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, IL 60606
(Address of principal executive offices) (Zip code)
Amy J. Lee
227 West Monroe Street, Chicago, IL 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, 2019 – November 30, 2019


Item 1.  Reports to Stockholders.
The registrant’s semi-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:



 

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.


 
   
(Unaudited) 
November 30, 2019 
 
DEAR SHAREHOLDER
We thank you for your investment in the Guggenheim Strategic Opportunities Fund (the “Fund”). This report covers the Fund’s performance for the six-month period ended November 30, 2019.
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 six-month period ended November 30, 2019, the Fund provided a total return based on market price of 2.76% and a total return based on NAV of 1.66%. As of November 30, 2019, the Fund’s market price of $19.36 represented a premium of 13.08% to its NAV of $17.12. NAV return includes the deduction of management fees, operating expenses, and all other Fund expenses.
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.
From June 2019 through November 2019, the Fund paid a monthly distribution of $0.1821 per share. The latest distribution represents an annualized distribution rate of 11.29% based on the Fund’s closing market price of $19.36 on November 30, 2019. 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 based on the performance of the Fund. Please see the Distributions to Shareholders & Annualized Distribution Rate on page 16, and Note 2(f) on page 64 for more information on distributions for the period.
Guggenheim Funds Investment Advisors, LLC (the “Adviser”) serves as the investment adviser to the Fund. Guggenheim Partners Investment Management, LLC (“GPIM” or the “Sub-Adviser”) serves as the Fund’s investment sub-adviser and is responsible for the management of the Fund’s portfolio of investments. Each of the Adviser and the Sub-Adviser is an affiliate of Guggenheim Partners, LLC (“Guggenheim”), a global diversified financial services firm.
We encourage shareholders to consider the opportunity to reinvest their distributions from the Fund through the Dividend Reinvestment Plan (“DRIP”), which is described in detail on page 89 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. 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. Since the Fund endeavors to maintain a stable monthly distribution, the DRIP effectively provides an income averaging technique

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 3


   
DEAR SHAREHOLDER (Unaudited) continued 
November 30, 2019 
 
which causes shareholders to accumulate a larger number of Fund shares when the market price is depressed than when the price is higher.
To learn more about the Fund’s performance and investment strategy, we encourage you to read the Economic and Market Overview and the Questions & Answers sections of this report, which begin on page 5. You’ll find information on Guggenheim’s investment philosophy, views on the economy and market environment, and detailed information about the factors that impacted the Fund’s performance.
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

December 31, 2019

4 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
ECONOMIC AND MARKET OVERVIEW (Unaudited) 
November 30, 2019 
 
U.S. real gross domestic product (“GDP”) growth held roughly steady at a 2.1% annualized rate in the third quarter of 2019 versus 2.0% in the second quarter. The data showed a moderation in government spending and personal consumption expenditure growth, which came in at a 3.1% annualized rate after an unsustainably strong 4.6% reading in the prior quarter. However, this was largely offset by a smaller drag from inventories and net exports.
Despite the pullback in consumer spending growth, the U.S. household sector has remained a bright spot, as clouds have gathered over the global economy. The manufacturing sector has borne the brunt of the escalation in U.S.-China tariffs, while also contending with headwinds in the form of U.S. dollar appreciation and weakness in foreign demand. Beyond the U.S., the trade conflict and China’s ongoing financial deleveraging have detracted from global trade volumes, which are contracting on a year-over-year basis for the first time since 2009. The global trade recession has weighed on GDP growth in economies that are particularly trade- and investment-oriented. Real GDP growth in China slowed to 6.0% year over year in the third quarter, the slowest pace in several decades, while German GDP grew by just 0.3% annualized in the third quarter of 2019 after contracting by 1.0% in the prior quarter.
The good news is that the manufacturing sector represents only 11.0% of U.S. GDP and 8.4% of non-farm payrolls. We see encouraging signs of an upturn in goods production, which a tentative U.S.-China trade truce should support. Meanwhile, growth in the much larger services sector has moderated, with real personal spending on services having softened over the past year. Also noteworthy to us was the decline in the employment diffusion index of the IHS Markit purchasing managers index (“PMI”) for services, which fell to 47.5 in October before rebounding in November and December. Global PMIs also showed a sequential improvement in labor market conditions in November.
Fiscal policy is estimated to have boosted U.S. real GDP growth by about 0.6% in 2019. This substantial fiscal support should fade in 2020, resulting in no contribution to growth (a shift in the growth impulse). We expect the U.S. Federal Reserve (the “Fed”) to remain on hold in the near term, with monetary policymakers having indicated that the bar is high for further rate changes. This message has since been reinforced by the Fed’s senior leadership, who have noted that “monetary policy is in a good place.” The recent rally in stocks and bear steepening (widening caused by long-term interest rates increasing at a faster rate than short-term rates) of the yield curve suggests that markets agree.
The Fed’s mid-cycle adjustment appears to have successfully staved off recession. The expansion will likely continue in the near term with the help of global monetary easing efforts that are helping to drive risk assets higher. Year-to-date performance across different asset classes shows rates and cyclical equities both delivering better returns than credit, although the Fed’s easing will likely allow risks to build in certain areas of the credit markets. For now, we continue to focus on income and capital preservation.
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.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 5


   
QUESTIONS & ANSWERS (Unaudited) 
November 30, 2019 
 
Guggenheim Strategic Opportunities Fund (“Fund”) is managed by a team of seasoned professionals at Guggenheim Partners Investment Management, LLC (“GPIM”). This team includes B. Scott Minerd, Chairman of Guggenheim Investments and Global Chief Investment Officer; Anne B. Walsh, CFA, JD, Senior Managing Director and Chief Investment Officer, Fixed Income; Steven H. Brown, CFA, Senior Managing Director and Portfolio Manager; and Adam Bloch, Managing Director and Portfolio Manager. In the following interview, the investment team discusses the market environment and the Fund’s performance for the six-month period ended November 30, 2019.
What is the Fund’s investment objective and how is it pursued?
The Fund seeks to maximize total return through a combination of current income and capital appreciation. The Fund pursues a relative value-based investment philosophy, which utilizes quantitative and qualitative analysis.
The Fund seeks to combine a credit-managed fixed-income portfolio with access to a diversified pool of alternative investments and equity strategies. The Fund seeks to achieve its investment objective by investing in a wide range of fixed-income and other debt and senior-equity securities (“Income Securities”) selected from a variety of credit qualities and sectors, including, but not limited to, corporate bonds, loans and loan participations, structured finance investments, U.S. government and agency securities, mezzanine and preferred securities and convertible securities, and in common stocks, limited liability company interests, trust certificates, and other equity investments (“Common Equity Securities”), exposure to which is obtained primarily by investing in exchange-traded funds (“ETFs”) that Guggenheim believes offer attractive yield and/or capital appreciation potential, including employing a strategy of writing (selling) covered call and put options on such equities. Guggenheim believes the volatility of the Fund can be reduced by diversifying across a large number of sectors and securities, some of which historically have not been highly correlated to one another.
Under normal market conditions:
The Fund may invest without limitation in fixed-income securities rated below investment grade (commonly referred to as “junk bonds”); the Fund may invest in below-investment grade income securities of any rating;
The Fund may invest up to 20% of its total assets in non-U.S. dollar denominated fixed-income securities of corporate and governmental issuers located outside the U.S., including up to 10% of total assets in fixed-income securities of issuers located in emerging markets;

6 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
QUESTIONS & ANSWERS (Unaudited) continued 
November 30, 2019 
 
The Fund may invest up to 50% of its total assets in common equity securities, and the Fund may invest in ETFs or other investment funds that track equity market indices and/or through derivative instruments that replicate the economic characteristics of exposure to Common Equity Securities; and
The Fund may invest up to 30% of its total assets in investment funds that primarily hold (directly or indirectly) investments in which the Fund may invest directly, of which amount up to 30% of the Fund’s total assets may be invested in investment funds that are registered as investment companies under the Investment Company Act of 1940 (the “1940 Act”) to the extent permitted by applicable law and related interpretations of the staff of the U.S. Securities and Exchange Commission.
Guggenheim’s process for determining whether to buy a security is a collaborative effort between various groups including: (i) economic research, which focus on key economic themes and trends, regional and country-specific analysis, and assessments of event-risk and policy impacts on asset prices, (ii) the Portfolio Construction Group, which utilize proprietary portfolio construction and risk modeling tools to determine allocation of assets among a variety of sectors, (iii) its Sector Specialists, who are responsible for identifying investment opportunities in particular securities within these sectors, including the structuring of certain securities directly with the issuers or with investment banks and dealers involved in the origination of such securities, and (iv) portfolio managers, who determine which securities best fit the Fund based on the Fund’s investment objective and top-down sector allocations. In managing the Fund, Guggenheim uses a process for selecting securities for purchase and sale that is based on intensive credit research and involves extensive due diligence on each issuer, region and sector. Guggenheim also considers macroeconomic outlook and geopolitical issues.
The Fund may use financial leverage to finance the purchase of additional securities. Although financial leverage may create an opportunity for increased return for shareholders, it also results in additional risks and can magnify the effect of any losses. There is no assurance that the strategy will be successful. If income and gains earned on securities purchased with the financial leverage proceeds are greater than the cost of the financial leverage, common shareholders’ return will be greater than if financial leverage had not been used. Conversely, if the income or gains from the securities purchased with the proceeds of financial leverage are less than the cost of the financial leverage, common shareholders’ return will be less than if financial leverage had not been used.
How did the Fund perform for the six months ended November 30, 2019?
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the six-month period ended November 30, 2019, the Fund provided a total return based on market price of 2.76% and a total return based on NAV of 1.66%. As

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 7


   
QUESTIONS & ANSWERS (Unaudited) continued 
November 30, 2019 
 
of November 30, 2019, the Fund’s market price of $19.36 represented a premium of 13.08% to its NAV of $17.12. As of May 31, 2019, the Fund’s market price of $19.96 represented a premium of 11.45% to its NAV of $17.91. NAV return includes the deduction of management fees, operating expenses, and all other Fund expenses. The market value of the Fund’s shares fluctuates from time to time and may be higher or lower than the Fund’s NAV. Past performance is not a guarantee of future results.
What were the Fund’s distributions?
From June 2019 through November 2019, the Fund paid a monthly distribution of $0.1821 per share. The latest distribution represents an annualized distribution rate of 11.29% based on the Fund’s closing market price of $19.36 on November 30, 2019. 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 based on the performance of the Fund. Please see the Distributions to Shareholders & Annualized Distribution Rate on page 16, and Note 2(f) on page 64 for more information on distributions for the period.
   
How did other markets perform in this environment for the six-month period ended November 30, 2019? 
 
Index 
Total Return 
Bloomberg Barclays U.S. Aggregate Bond Index 
3.81% 
Bloomberg Barclays U.S. Aggregate Bond 1-3 Year Index 
1.61% 
Bloomberg Barclays U.S. Corporate High Yield Index 
4.27% 
Credit Suisse Leveraged Loan Index 
1.21% 
ICE Bank of America Merrill Lynch Asset Backed Security Master BBB-AA Index 
1.95% 
S&P 500 Index 
15.26% 
 
Discuss performance over the period.
During the period, the Fund saw positive performance primarily attributable to the portfolio’s carry. Carry refers to the income received from portfolio investments over a defined period. Spreads widened over the period, although many sectors remain near cycle tights. While trade uncertainty and recession fears persisted over the period, in November optimism of an initial US-China trade agreement, anticipation of a strong holiday sales seasons, and better than expected jobless claims fueled bullish sentiment leading to a rally in risk assets.
Interest rates across the Treasury curve fell between 30 and 80 basis points over the period, which aided in the Fund’s performance.
Over the period, the Fund added taxable and tax-free municipal closed-end funds to take advantage of attractive yields and discounted share prices relative to their NAVs.

8 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
QUESTIONS & ANSWERS (Unaudited) continued 
November 30, 2019 
 
Bank loans, which constituted 41% of the Fund at period’s end, generated a positive total return despite spreads widening over the period, as associated price declines were more than offset by income earned. The Fund increased its allocation to the asset class over the period as spread widening presented opportunities to selectively add exposure.
Collateralized Loan Obligations (“CLOs”), which constituted 11% of the Fund at period’s end, detracted from performance as spread widening in CLO equity outpaced income earned. We continue to favor senior CLOs with short spread durations, as they offer a compelling spread pickup to similarly rated corporates while providing defensive positioning.
Non-Agency Residential Mortgage-Backed Securities (“non-Agency RMBS”), which constituted 10% of the Fund at period’s end, were also positive contributors as lower rates and improving credit fundamentals drove higher prepayments for discounted dollar price holdings. Limited home inventory and improving labor market conditions should support home prices and mortgage credit performance. Pre-crisis RMBS investment has benefited from a supply shortfall caused by ongoing paydowns and limited new issuance.
Asset Backed Securities (“ABS”) (not including CLO’s), which constituted 7% of the Fund at period’s end, performed well generating positive total returns as the investor base for esoteric structured credit, including aircraft securitization and other commercial ABS, continues to grow.
The Fund’s modest exposure to investment grade credit contributed to performance.
What was the impact of derivatives on Fund performance?
The Fund uses derivatives for its covered call strategy and for various hedging purposes, such as currency forward contracts to fully hedge exchange rate risk in the purchase of government securities of foreign countries. It also uses various derivatives to obtain exposure to indexes that track various equity market sectors.
Index futures contributed to performance for the period. Returns from the covered call allocation was roughly flat over the period. The allocation was reduced in May in line with our broader plan to help protect the portfolio and shareholders from future drawdowns.
The Fund also maintained a credit hedge via credit default swaps to reduce portfolio spread duration and help protect shareholders from a drawdown. With investment grade corporate spreads marginally tighter, the credit hedge detracted from performance over the period.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 9


   
QUESTIONS & ANSWERS (Unaudited) continued 
November 30, 2019 
 
Discuss the Fund’s approach to duration.
Although the Fund has no set policy regarding portfolio duration or maturity, the Fund maintained a generally low-duration throughout the period.
Discuss the Fund’s use of leverage.
The Fund employed no leverage during the period.
Index Definitions
Indices are unmanaged and reflect no expenses. It is not possible to invest directly in an index.
The Bloomberg Barclays 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), ABS, and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
The Bloomberg Barclays U.S. Aggregate Bond 1-3 Year Index measures the performance of publicly issued investment grade corporate, U.S. Treasury and government agency securities with remaining maturities of one to three years.
The Bloomberg Barclays 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 Merrill Lynch Asset Backed Security Master BBB-AA Index is a subset of the ICE BofA/ML U.S. Fixed Rate Asset Backed Securities Index including all securities rated AA1 through BBB3, inclusive.
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.

10 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
QUESTIONS & ANSWERS (Unaudited) continued 
November 30, 2019 
 
Risks and Other Considerations
Investing involves risk, including the possible loss of principal and fluctuation of value. 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 expressed for informational purposes only and are subject to change at any time, based on market and other conditions, and may not come to pass. These views may differ from views of other investment professionals at Guggenheim and should not be construed as research, investment advice or a recommendation of any kind regarding the fund or any issuer or security, do not constitute a solicitation to buy or sell any security and should not be considered specific legal, investment or tax advice. The information provided does not take into account the specific objectives, financial situation or particular needs of any specific investor.
The views expressed in this report may also include forward looking statements that involve risk and uncertainty, and there is no guarantee that any predictions will come to pass. Actual results or events may differ materially from those projected, estimated, assumed or anticipated in any such forward-looking statements. Important factors that could result in such differences, in addition to the other factors noted with such forward-looking statements, include general economic conditions such as inflation, recession and interest rates.
There can be no assurance that the Fund will achieve its investment objectives or that any investment strategies or techniques discussed herein will be effective. The value of the Fund will fluctuate with the value of the underlying securities. Historically, closed-end funds often trade at a discount to their net asset value.
As part of its investment strategy, the Fund utilizes short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized in the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 2 of these Notes to Financial Statements.
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.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 11


   
QUESTIONS & ANSWERS (Unaudited) continued 
November 30, 2019 
 
Please see guggenheiminvestments.com/gof for a detailed discussion of the Fund’s risks and considerations.
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.

12 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
FUND SUMMARY (Unaudited) 
November 30, 2019 
 
   
Fund Statistics 
 
Share Price 
$19.36 
Net Asset Value 
$17.12 
Premium to NAV 
13.08% 
Net Assets ($000) 
$675,796 
 
           
AVERAGE ANNUAL TOTAL RETURNS FOR THE
PERIOD ENDED NOVEMBER 30, 2019
 
Six month 
 
 
 
 
 
(non- 
One 
Three 
Five 
Ten 
 
annualized) 
Year 
Year 
Year 
Year 
Guggenheim Strategic Opportunities Fund 
 
 
 
 
NAV 
1.66% 
4.74% 
8.92% 
9.02% 
12.34% 
Market 
2.76% 
8.66% 
12.07% 
9.37% 
13.48% 
 
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.
   
Ten Largest Holdings 
(% of Total Net Assets) 
Morgan Stanley Finance LLC, 1.50% 
1.9% 
Government of Japan, 01/10/20 
1.5% 
BlackRock Taxable Municipal Bond Trust 
1.0% 
Nuveen Taxable Municipal Income Fund 
0.9% 
Federative Republic of Brazil, 01/01/20 
0.9% 
State of Israel, 1.00%, 04/30/21 
0.9% 
TSGE, 6.25% 
0.8% 
LSTAR Securities Investment Limited, 3.20% 
0.7% 
Lehman XS Trust Series, 1.89% 
0.7% 
Golub Capital Partners CLO Ltd., 3.99% 
0.7% 
Top Ten Total 
10.0 % 
 
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 13


   
FUND SUMMARY (Unaudited) continued 
November 30, 2019 
 
   
Portfolio Breakdown 
% of Net Assets 
Investments 
 
Senior Floating Rate Interests 
41.0% 
Asset-Backed Securities 
17.4% 
Corporate Bonds 
17.2% 
Collateralized Mortgage Obligations 
11.2% 
Foreign Government Debt 
6.4% 
Closed-End Funds 
4.3% 
Money Market Fund 
1.3% 
Other 
2.0% 
Total Investments 
100.8% 
Corporate Bonds Sold Short 
-0.4% 
Put Options Written 
0.0%* 
Other Assets & Liabilities, net 
-0.4% 
Net Assets 
100.0% 
 
Holdings diversification 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.
*    Less than 0.1%.


14 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
FUND SUMMARY (Unaudited) continued 
November 30, 2019 
 
Portfolio Composition by Quality Rating1
   
 
% of Total 
Rating 
Investments 
Investments 
 
AAA 
0.3% 
AA 
2.3% 
12.1% 
BBB 
10.5% 
BB 
12.8% 
31.2% 
CCC 
5.2% 
CC 
5.5% 
0.7% 
0.1% 
NR2 
14.3% 
Other Instruments 
 
Other 
5.0% 
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 rated securities 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 securities do not necessarily indicate low credit quality.
 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 15


   
FUND SUMMARY (Unaudited) continued 
November 30, 2019 
 







Portfolio breakdown is 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. All or a portion of the above distributions may be characterized as a return of capital. For the calendar year ended December 31, 2019, 63% of the distributions were characterized as return of capital and 37% of the distributions were characterized as ordinary income. The final determination of the tax character of the distributions paid by the Fund in 2019 will be reported to shareholders in January 2020.

16 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


     
SCHEDULE OF INVESTMENTS (Unaudited) 
 
November 30, 2019 
 
 

 
 
Shares 
Value 
 
COMMON STOCKS– 0.3% 
 
 
Consumer, Non-cyclical – 0.2% 
 
 
Chef Holdings, Inc.*,†††,1 
4,789 
$ 580,618 
ATD New Holdings, Inc.*,†† 
13,571 
339,275 
Cengage Learning Holdings II, Inc.*,†† 
11,126 
116,823 
Targus Group International Equity, Inc.*,†††,1,2 
12,989 
22,683 
Total Consumer, Non-cyclical 
 
1,059,399 
 
Utilities – 0.1% 
 
 
TexGen Power LLC*,†† 
22,219 
988,745 
 
Energy – 0.0% 
 
 
SandRidge Energy, Inc.*,17 
39,565 
130,169 
Titan Energy LLC*,17 
9,603 
279 
Total Energy 
 
130,448 
 
Technology – 0.0% 
 
 
Qlik Technologies, Inc. – Class A*,†††,1 
56 
72,131 
Qlik Technologies, Inc. – Class B*,†††,1 
13,812 
– 
Total Technology 
 
72,131 
 
Industrial – 0.0% 
 
 
BP Holdco LLC*,†††,1,2 
55,076 
19,447 
Vector Phoenix Holdings, LP*,†††,1 
55,076 
4,609 
Total Industrial 
 
24,056 
Total Common Stocks 
 
 
(Cost $3,387,298) 
 
2,274,779 
 
PREFERRED STOCKS†† – 0.4% 
 
 
Financial – 0.3% 
 
 
Public Storage 5.40% 
41,000 
1,053,700 
AmTrust Financial Services, Inc. 7.75% 
35,100 
621,270 
AgriBank FCB 6.88% 
4,000 
428,000 
AmTrust Financial Services, Inc. 7.50% 
3,410 
59,504 
AmTrust Financial Services, Inc. 7.63% 
2,940 
51,715 
AmTrust Financial Services, Inc. 7.25% 
1,685 
29,993 
Total Financial 
 
2,244,182 
 
Industrial – 0.1% 
 
 
Lytx Holdings, LLC *,†††,1 
591 
591,396 
Total Preferred Stocks 
 
 
(Cost $2,562,893) 
 
2,835,578 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 17


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Shares 
Value 
 
WARRANTS††† – 0.0% 
 
 
Lytx, Inc.*,1 
26 
$ 131 
Total Warrants 
 
 
(Cost $–) 
 
131 
 
CLOSED-END FUNDS– 4.3% 
 
 
BlackRock Taxable Municipal Bond Trust 
281,604 
6,721,887 
Nuveen Taxable Municipal Income Fund 
281,945 
6,104,109 
Nuveen AMT-Free Municipal Credit Income Fund 
285,719 
4,614,362 
Invesco Municipal Opportunity Trust 
221,815 
2,752,724 
Invesco Trust for Investment Grade Municipals 
201,581 
2,554,031 
Invesco Municipal Trust 
178,403 
2,185,437 
Invesco Advantage Municipal Income Trust II 
156,732 
1,741,293 
BlackRock Municipal Income Trust 
106,147 
1,477,566 
Nuveen AMT-Free Quality Municipal Income Fund 
28,110 
396,351 
Nuveen Quality Municipal Income Fund 
23,225 
335,369 
BlackRock MuniVest Fund, Inc. 
23,028 
207,713 
Total Closed-End Funds 
 
 
(Cost $29,700,933) 
 
29,090,842 
 
MONEY MARKET FUND– 1.3% 
 
 
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares 1.52%5 
9,049,257 
9,049,257 
Total Money Market Fund 
 
 
(Cost $9,049,257) 
 
9,049,257 

 
Face 
 
 
Amount~ 
 
 
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% 
 
 
Consumer, Cyclical – 9.1% 
 
 
EG Finco Ltd. 
 
 
6.10% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25 
3,007,380 
2,924,045 
8.75% (3 Month EURIBOR + 7.75%, Rate Floor: 8.75%) due 04/20/26 
EUR 249,505 
274,249 
Titan AcquisitionCo New Zealand Ltd. 
 
 
6.35% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 05/01/26 
2,793,000 
2,799,284 
Accuride Corp. 
 
 
7.35% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23 
3,376,702 
2,701,361 
1-800 Contacts 
 
 
5.20% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 01/22/23 
2,583,276 
2,554,860 
CH Holding Corp. 
 
 
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/05/26 
1,995,000 
2,001,484 
BGIS (BIFM CA Buyer, Inc.) 
 
 
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/01/26 
1,745,625 
1,743,443 
Shields Health Solutions Holdings LLC 
 
 
6.70% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 08/19/26††† 
1,750,000 
1,732,500 
 
See notes to financial statements.

18 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued) 
 
 
Consumer, Cyclical – 9.1% (continued) 
 
 
PT Intermediate Holdings III LLC 
 
 
7.49% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 10/15/25††† 
1,700,000 
$ 1,691,500 
Packers Sanitation Services, Inc. 
 
 
5.57% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 12/04/24 
1,697,975 
1,680,469 
Midas Intermediate Holdco II LLC 
 
 
4.85% (3 Month USD LIBOR + 2.75%, Rate Floor: 3.75%) due 08/18/21 
1,773,908 
1,670,808 
Power Solutions (Panther) 
 
 
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 04/30/26 
1,650,000 
1,648,977 
World Triathlon Corp. 
 
 
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 08/15/26 
1,650,000 
1,637,625 
BCPE Empire Holdings, Inc. 
 
 
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/11/26 
1,627,025 
1,612,789 
ERM 
 
 
5.85% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 07/10/26 
1,596,000 
1,596,287 
BBB Industries, LLC 
 
 
6.20% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 08/01/25 
1,634,492 
1,580,358 
AVSC Holding Corp. 
 
 
6.49% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 10/15/26 
1,250,000 
1,225,787 
5.14% (1 Month USD LIBOR + 3.25% and 3 Month 
 
 
USD LIBOR + 3.25%, Rate Floor: 4.25%) due 03/03/25 
323,925 
314,107 
Touchtunes Interactive Network 
 
 
6.45% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 05/28/21 
1,553,684 
1,538,147 
OEConnection LLC 
 
 
5.71% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 09/25/26 
1,552,814 
1,536,634 
CPI Acquisition, Inc. 
 
 
6.71% (3 Month USD LIBOR + 4.50%, Rate Floor: 6.50%) due 08/17/22 
2,021,782 
1,521,957 
K & N Parent, Inc. 
 
 
6.45% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 10/20/23††† 
1,937,936 
1,453,452 
SHO Holding I Corp. 
 
 
6.93% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/27/22 
1,295,810 
1,140,313 
5.87% (1 Month USD LIBOR + 4.00% and 3 Month USD 
 
 
LIBOR + 4.00%, Rate Floor: 4.00%) due 10/27/21†††,1 
334,000 
298,930 
Comet Bidco Ltd. 
 
 
6.91% (1 Month USD LIBOR + 5.00% and 3 Month USD 
 
 
LIBOR + 5.00%, Rate Floor: 6.00%) due 09/30/24 
1,477,612 
1,427,743 
IBC Capital Ltd. 
 
 
5.90% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23 
1,433,861 
1,423,107 
EnTrans International, LLC 
 
 
7.70% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 11/01/24††† 
1,415,625 
1,366,078 
Apro LLC 
 
 
5.84% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/14/26 
1,320,000 
1,323,300 
Blue Nile, Inc. 
 
 
8.41% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 02/17/23 
1,775,000 
1,273,563 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 19


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued) 
 
 
Consumer, Cyclical – 9.1% (continued) 
 
 
Alexander Mann 
 
 
6.70% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 06/16/25††† 
1,300,000 
$ 1,254,500 
WESCO 
 
 
6.36% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/14/24†††,1 
1,161,618 
1,157,242 
SMG US Midco 2, Inc. 
 
 
4.70% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/23/25 
985,000 
984,389 
8.70% (1 Month USD LIBOR + 7.00%, Rate Floor: 7.00%) due 01/23/26 
125,000 
125,625 
Galls LLC 
 
 
8.09% (2 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 01/31/25†††,1 
863,446 
856,267 
8.42% (1 Month USD LIBOR + 6.25% and Commercial Prime Lending 
 
 
Rate + 5.25%, Rate Floor: 7.25%) due 01/31/24†††,1 
113,195 
102,945 
8.08% (1 Month USD LIBOR + 6.25% and 2 Month USD LIBOR + 6.25%, 
 
 
Rate Floor: 7.25%) due 01/31/25†††,1 
95,533 
94,738 
Atkins Nutritionals, Inc. 
 
 
5.73% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/08/24††† 
1,000,000 
1,005,000 
Cast & Crew Payroll LLC 
 
 
5.71% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/09/26 
995,000 
998,114 
AT Home Holding III 
 
 
5.43% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/03/22 
1,098,497 
988,648 
Prime Security Services Borrower LLC (ADT) 
 
 
5.03% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 09/23/26 
1,000,000 
988,500 
Aimbridge Acquisition Co., Inc. 
 
 
5.46% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/02/26††† 
747,500 
751,238 
Nellson Nutraceutical 
 
 
6.35% (3 Month USD LIBOR + 4.25% and Commercial Prime Lending 
 
 
Rate + 3.25%, Rate Floor: 5.25%) due 12/23/21††† 
818,227 
736,404 
Zephyr Bidco Ltd. 
 
 
8.21% (1 Month GBP LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26 
GBP 570,000 
727,615 
Checkers Drive-In Restaurants, Inc. 
 
 
6.16% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 04/25/24 
1,002,861 
652,692 
NES Global Talent 
 
 
7.43% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 05/11/23 
618,987 
615,892 
Sotheby’s 
 
 
7.27% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 01/15/27 
560,141 
544,911 
American Tire Distributors, Inc. 
 
 
7.72% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23 
425,232 
418,216 
9.20% (1 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 09/02/24 
82,865 
72,299 
Outcomes Group Holdings, Inc. 
 
 
5.41% (1 Month USD LIBOR + 3.50% and 3 Month USD LIBOR + 3.50%, 
 
 
Rate Floor: 3.50%) due 10/24/25 
498,244 
490,357 
Belk, Inc . 
 
 
8.80% (3 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 07/31/25 
647,386 
482,995 
 
See notes to financial statements.

20 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued) 
 
 
Consumer, Cyclical – 9.1% (continued) 
 
 
Drive Chassis (DCLI) 
 
 
10.26% (3 Month USD LIBOR + 8.25%, Rate Floor: 8.25%) due 04/10/26††† 
500,000 
$ 450,000 
Leslie’s Poolmart, Inc. 
 
 
5.34% (2 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/16/23 
461,279 
431,296 
Truck Hero, Inc. 
 
 
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 04/22/24 
436,131 
407,420 
Mavis Tire Express Services Corp. 
 
 
4.95% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/20/25 
272,929 
257,691 
Argo Merchants 
 
 
5.85% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 12/06/24 
148,896 
147,034 
SP PF Buyer LLC 
 
 
6.20% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25 
150,000 
135,300 
Petco Animal Supplies, Inc. 
 
 
5.18% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 01/26/23 
98,465 
77,604 
Total Consumer, Cyclical 
 
61,648,089 
 
Technology – 7.7% 
 
 
TIBCO Software, Inc. 
 
 
5.78% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/30/26 
3,250,000 
3,258,125 
Cologix Holdings, Inc. 
 
 
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 03/20/24 
3,150,000 
3,050,586 
Planview, Inc. 
 
 
6.95% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 01/27/23†††,1 
1,955,000 
1,955,000 
11.45% (1 Month USD LIBOR + 9.75%, Rate Floor: 10.75%) due 07/27/23†††,1 
900,000 
908,865 
Emerald TopCo, Inc. (Press Ganey) 
 
 
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26 
2,300,000 
2,288,086 
Datix Bidco Ltd. 
 
 
6.43% (6 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25†††,1 
2,001,644 
1,986,246 
9.68% (6 Month USD LIBOR + 7.75%, Rate Floor: 7.75%) due 04/27/26†††,1 
300,111 
297,551 
GlobalFoundries, Inc. 
 
 
5.88% (2 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/05/26 
2,344,125 
2,250,360 
LANDesk Group, Inc. 
 
 
6.01% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 01/20/24 
2,216,349 
2,199,727 
Ministry Brands LLC 
 
 
5.86% (2 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 12/02/22††† 
2,173,665 
2,162,796 
II-VI Inc. 
 
 
5.21% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/24/26 
2,000,000 
2,001,260 
Upland Software, Inc. 
 
 
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26 
2,000,000 
1,993,760 
Cvent, Inc. 
 
 
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 11/29/24 
1,970,000 
1,928,137 
EIG Investors Corp. 
 
 
5.67% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, 
 
 
Rate Floor: 4.75%) due 02/09/23 
2,006,300 
1,885,922 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 21


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued) 
 
 
Technology – 7.7% (continued) 
 
 
Brave Parent Holdings, Inc. 
 
 
5.93% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/18/25 
1,876,250 
$ 1,805,891 
Dun & Bradstreet 
 
 
6.70% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 02/06/26 
1,750,000 
1,758,750 
MRI Software LLC 
 
 
7.46% (1 Month USD LIBOR + 5.75%, Rate Floor: 6.75%) due 06/30/23 
1,685,649 
1,668,793 
7.66% (2 Month USD LIBOR + 5.75%, Rate Floor: 6.75%) due 06/30/23 
63,803 
62,905 
Park Place Technologies LLC 
 
 
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 03/29/25 
1,071,485 
1,057,202 
9.70% (1 Month USD LIBOR + 8.00%, Rate Floor: 9.00%) due 03/30/26 
680,723 
670,512 
Project Boost Purchaser LLC 
 
 
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26 
1,700,000 
1,683,714 
Aston FinCo S.A.R.L. 
 
 
6.26% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/09/26 
1,700,000 
1,683,000 
Misys Ltd. 
 
 
5.70% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24 
1,696,804 
1,657,573 
Navicure, Inc. 
 
 
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 10/22/26 
1,541,667 
1,536,857 
24-7 Intouch, Inc. 
 
 
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 08/25/25 
1,485,000 
1,425,600 
Refinitiv (Financial & Risk Us Holdings, Inc.) 
 
 
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/01/25 
1,389,500 
1,397,601 
Transact Holdings, Inc. 
 
 
6.45% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 04/30/26††† 
1,350,000 
1,316,250 
Lytx, Inc. 
 
 
8.45% (1 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 08/31/23†††,1 
1,136,582 
1,119,000 
Optiv, Inc. 
 
 
4.95% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 02/01/24 
1,255,059 
1,027,579 
Aspect Software, Inc. 
 
 
7.21% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 01/15/24 
1,017,555 
933,607 
Greenway Health LLC 
 
 
5.85% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 02/16/24 
984,887 
861,776 
Informatica LLC 
 
 
4.95% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 08/05/22 
795,938 
796,224 
S2P Acquisition Borrower, Inc. 
 
 
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/14/26 
680,000 
676,811 
Apttus Corp. 
 
 
4.84% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/02/21†††,1 
425,000 
423,660 
Project Accelerate Parent, LLC 
 
 
6.01% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 01/02/25 
234,904 
232,555 
Peak 10 Holding Corp. 
 
 
5.60% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/01/24 
246,231 
197,231 
Ping Identity Corp. 
 
 
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 01/24/25 
101,813 
101,686 
 
See notes to financial statements.

22 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued) 
 
 
Technology – 7.7% (continued) 
 
 
Targus Group International, Inc. 
 
 
due 05/24/16*,†††,1,2,11 
155,450 
$ – 
Total Technology 
 
52,261,198 
 
Industrial – 7.5% 
 
 
Alion Science & Technology Corp. 
 
 
6.20% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 08/19/21 
3,324,205 
3,324,205 
Tronair Parent, Inc. 
 
 
6.66% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 09/08/23††† 
3,119,797 
2,807,817 
Dynasty Acquisition Co. 
 
 
6.10% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/06/26 
2,750,000 
2,758,167 
American Bath Group LLC 
 
 
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 09/29/23 
2,681,038 
2,649,214 
Capstone Logistics 
 
 
6.20% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 10/07/21 
2,613,814 
2,574,607 
ILPEA Parent, Inc. 
 
 
6.46% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 03/02/23 
2,514,976 
2,489,826 
WP CPP Holdings LLC 
 
 
5.68% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, 
 
 
Rate Floor: 4.75%) due 04/30/25 
2,356,200 
2,322,813 
Tank Holdings Corp. 
 
 
6.46% (1 Month USD LIBOR + 4.00% and 12 Month USD LIBOR + 4.00% 
 
 
and 3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 03/26/26 
2,000,000 
2,000,000 
STS Operating, Inc. (SunSource) 
 
 
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24 
2,053,493 
1,997,022 
Sundyne Us Purchaser, Inc. 
 
 
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/15/26 
1,888,889 
1,887,718 
Foundation Building Materials Holding Company LLC 
 
 
4.70% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 08/13/25 
1,736,875 
1,743,388 
NA Rail Hold Co LLC (Patriot) 
 
 
7.22% (3 Month USD LIBOR + 5.25%, Rate Floor: 5.25%) due 10/19/26††† 
1,700,000 
1,712,750 
Bioplan / Arcade 
 
 
6.45% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 09/23/21 
1,853,228 
1,630,841 
API Holdings III Corp. 
 
 
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 05/11/26 
1,596,000 
1,544,130 
Transcendia Holdings, Inc. 
 
 
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/30/24 
1,960,088 
1,398,189 
Anchor Packaging LLC 
 
 
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/20/26 
1,353,846 
1,331,846 
National Technical 
 
 
8.03% (1 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 06/12/21†††,1 
1,373,523 
1,328,884 
Avison Young (Canada), Inc. 
 
 
6.98% (3 Month USD LIBOR + 5.00% and 2 Month USD LIBOR + 5.00%, 
 
 
Rate Floor: 5.00%) due 01/31/26 
1,290,250 
1,263,374 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 23


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued) 
 
 
Industrial – 7.5% (continued) 
 
 
Charter Nex US, Inc. 
 
 
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 05/16/24 
1,197,000 
$ 1,196,749 
Savage Enterprises LLC 
 
 
5.77% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/01/25 
1,063,636 
1,073,517 
Diversitech Holdings, Inc. 
 
 
9.60% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 06/02/25††† 
1,000,000 
970,000 
5.10% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 06/03/24 
99,745 
97,418 
Duran, Inc. 
 
 
6.41% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 12/20/24 
548,505 
537,535 
6.26% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/29/24 
500,285 
490,279 
Bhi Investments LLC 
 
 
10.95% (3 Month USD LIBOR + 8.75%, Rate Floor: 9.75%) due 02/28/25†††,1 
1,000,000 
987,500 
Fortis Solutions Group LLC 
 
 
6.20% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 12/15/23†††,1 
582,944 
582,944 
6.27% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 12/15/23†††,1 
210,494 
210,494 
6.25% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 12/15/23†††,1 
193,249 
193,249 
Hillman Group, Inc. 
 
 
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/30/25 
989,975 
941,714 
ProAmpac PG Borrower LLC 
 
 
10.40% (3 Month USD LIBOR + 8.50%, Rate Floor: 9.50%) due 11/18/24††† 
1,000,000 
915,000 
SLR Consulting Ltd. 
 
 
5.72% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/23/25†††,1 
793,980 
776,901 
5.71% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25†††,1 
82,947 
81,162 
5.71% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/23/25†††,1 
GBP 39,120 
49,503 
Pelican Products, Inc. 
 
 
5.27% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/01/25††† 
987,500 
901,094 
YAK MAT (YAK ACCESS LLC) 
 
 
11.72% (1 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26 
1,000,000 
853,750 
Thermon Group Holdings, Inc. 
 
 
5.53% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/30/24 
709,339 
710,226 
TricorBraun Holdings, Inc. 
 
 
5.86% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 11/30/23 
598,463 
587,241 
BWAY Holding Co. 
 
 
5.23% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24 
497,836 
487,755 
Dimora Brands, Inc. 
 
 
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 08/24/24 
486,563 
471,358 
Titan Acquisition Ltd. (Husky) 
 
 
4.70% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25 
298,737 
285,500 
Hayward Industries, Inc. 
 
 
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/05/24 
261,866 
256,956 
KUEHG Corp. (KinderCare) 
 
 
5.85% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 02/21/25 
99,747 
98,833 
Total Industrial 
 
50,521,469 
 
See notes to financial statements.

24 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued) 
 
 
Consumer, Non-cyclical – 6.1% 
 
 
WIRB – Copernicus Group, Inc. 
 
 
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 08/15/22††† 
3,614,836 
$ 3,605,799 
Springs Window Fashions 
 
 
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 06/15/25 
1,786,383 
1,757,354 
10.20% (1 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26 
1,350,000 
1,272,375 
Endo Luxembourg Finance Co. 
 
 
6.00% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 04/29/24 
2,256,197 
2,074,144 
Civitas Solutions, Inc. 
 
 
5.96% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 03/09/26 
1,990,585 
1,993,909 
Immucor, Inc. 
 
 
7.10% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 06/15/21 
1,955,000 
1,942,175 
PlayPower, Inc. 
 
 
7.60% (3 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 05/08/26††† 
1,845,375 
1,817,694 
Snacking Investments US LLC (Arnott’s) 
 
 
due 10/15/26 
1,700,000 
1,696,821 
CPI Holdco LLC 
 
 
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 11/04/26††† 
1,700,000 
1,695,750 
MDVIP LLC 
 
 
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/14/24 
1,706,055 
1,695,392 
Arctic Glacier Group Holdings, Inc. 
 
 
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/20/24 
1,772,602 
1,673,638 
Cambrex Corp. 
 
 
due 11/20/26 
1,700,000 
1,670,250 
Diamond (BC) B.V. 
 
 
4.93% (2 Month USD LIBOR + 3.00% and 3 Month USD LIBOR + 3.00%, 
 
 
Rate Floor: 3.00%) due 09/06/24 
1,748,106 
1,658,079 
ScribeAmerica Intermediate Holdco LLC (Healthchannels) 
 
 
6.27% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25 
1,628,230 
1,595,665 
Confluent Health LLC 
 
 
7.10% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 06/24/26††† 
1,596,000 
1,572,060 
California Cryobank 
 
 
6.10% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/06/25††† 
1,436,617 
1,415,067 
BCPE Eagle Buyer LLC 
 
 
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 03/18/24 
1,463,970 
1,376,132 
Hearthside Group Holdings LLC 
 
 
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25 
1,439,125 
1,341,265 
Smart Foodservice (Sage Borrowco LLC) 
 
 
6.44% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 06/19/26††† 
1,296,750 
1,301,613 
Tecbid US, Inc. 
 
 
6.35% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 07/25/24††† 
988,890 
990,126 
Affordable Care Holding 
 
 
6.59% (2 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 10/24/22††† 
970,000 
943,325 
Sotera Health Holdings LLC 
 
 
5.43% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/16/22 
897,750 
894,006 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 25


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued) 
 
 
Consumer, Non-cyclical – 6.1% (continued) 
 
 
Packaging Coordinators Midco, Inc. 
 
 
6.11% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 06/30/23 
828,300 
$ 821,052 
Give and Go Prepared Foods Corp. 
 
 
6.35% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 07/29/23 
823,200 
773,808 
CTI Foods Holding Co. LLC 
 
 
8.91% (3 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) due 05/03/24††† 
467,357 
469,694 
10.91% (3 Month USD LIBOR + 9.00%, Rate Floor: 10.00%) due 05/03/24††† 
190,424 
178,999 
Certara, Inc. 
 
 
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/15/24 
613,005 
603,810 
Hoffmaster Group, Inc. 
 
 
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/21/23††† 
438,775 
429,999 
Moran Foods LLC 
 
 
due 12/05/2311 
1,191,324 
422,920 
Kar Nut Products Company 
 
 
6.20% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 03/31/23†††,1 
373,023 
370,431 
Recess Holdings, Inc. 
 
 
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24 
299,237 
294,748 
Sierra Acquisition, Inc. 
 
 
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/11/24 
297,733 
294,011 
Affordable Care Holdings Corp. 
 
 
6.59% (2 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 10/24/22††† 
240,567 
233,951 
Sterigenics-Norion Holdings 
 
 
4.93% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 05/15/22 
224,425 
222,928 
Examworks Group, Inc. 
 
 
4.95% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 07/27/23 
99,489 
99,862 
Total Consumer, Non-cyclical 
 
41,198,852 
 
Basic Materials – 3.1% 
 
 
ICP Industrial, Inc. 
 
 
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/03/23††† 
2,460,415 
2,448,113 
American Rock Salt Company LLC 
 
 
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 03/21/25 
1,906,739 
1,909,122 
PetroChoice Holdings 
 
 
6.93% (2 Month USD LIBOR + 5.00% and 3 Month USD LIBOR + 5.00%, 
 
 
Rate Floor: 6.00%) due 08/19/22 
2,024,474 
1,862,516 
PeroxyChem Holdings LP 
 
 
7.06% (6 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 10/01/24††† 
1,700,000 
1,693,625 
GrafTech Finance, Inc. 
 
 
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 02/12/25 
1,664,194 
1,622,590 
Niacet Corp. 
 
 
6.20% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 02/01/24††† 
1,609,644 
1,601,596 
Big River Steel LLC 
 
 
7.10% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 08/23/23 
1,532,025 
1,513,840 
DCG Acquisition Corp. 
 
 
6.51% (3 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26 
1,506,667 
1,491,600 
 
See notes to financial statements.

26 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued) 
 
 
Basic Materials – 3.1% (continued) 
 
 
Pregis TopCo Corp. 
 
 
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/31/26 
1,450,000 
$ 1,419,187 
Ascend Performance Materials Operations LLC 
 
 
7.35% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 08/27/26 
1,000,000 
1,000,000 
US Salt LLC 
 
 
6.45% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 01/16/26 
995,000 
996,244 
LTI Holdings, Inc. 
 
 
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/06/25 
990,000 
842,203 
Niacet B.V. 
 
 
5.50% (1 Month EURIBOR + 4.50%, Rate Floor: 5.50%) due 02/01/24 
EUR 757,480 
830,515 
Vectra Co. 
 
 
4.95% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/08/25 
547,859 
536,732 
ASP Chromaflo Dutch I B.V. 
 
 
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/20/23 
449,961 
442,649 
ASP Chromaflo Intermediate Holdings, Inc. 
 
 
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/20/23 
346,039 
340,416 
Noranda Aluminum Acquisition Corp. 
 
 
8.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.75%) due 02/28/19†††,11 
517,932 
25,897 
Total Basic Materials 
 
20,576,845 
 
Financial – 2.7% 
 
 
Nexus Buyer LLC 
 
 
5.51% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26 
1,700,000 
1,708,500 
National Financial Partners Corp. 
 
 
4.70% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/08/24 
1,699,232 
1,677,992 
Teneo Holdings LLC 
 
 
7.02% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 07/11/25 
1,750,000 
1,627,500 
Virtu Financial, Inc. 
 
 
6.04% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 03/01/26 
1,608,228 
1,605,220 
Aretec Group, Inc. 
 
 
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25 
1,687,250 
1,589,390 
Jefferies Finance LLC 
 
 
5.56% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/03/26 
1,546,125 
1,529,380 
Claros Mortgage Trust, Inc. 
 
 
5.01% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 08/10/26 
1,500,000 
1,500,000 
StepStone Group LP 
 
 
5.84% (2 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 03/27/25††† 
1,477,500 
1,470,113 
Situs AMC Holdings Corp. 
 
 
6.45% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/28/25††† 
1,466,595 
1,444,596 
Alliant Holdings Intermediate LLC 
 
 
5.02% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25 
997,500 
991,764 
4.70% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/09/25 
198,992 
196,754 
HUB International Ltd. 
 
 
5.90% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 04/25/25 
1,000,000 
1,002,040 
4.69% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/25/25 
99,747 
98,305 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 27


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued) 
 
 
Financial – 2.7% (continued) 
 
 
USI, Inc. 
 
 
due 12/02/26 
600,000 
$ 598,998 
5.10% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24 
248,731 
245,363 
Jane Street Group LLC 
 
 
4.70% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 08/25/22 
497,487 
494,169 
Northstar Financial Services LLC 
 
 
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 05/26/25 
392,341 
382,858 
Assetmark Financial Holdings, Inc. 
 
 
5.35% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 11/14/25 
358,875 
360,669 
Total Financial 
 
18,523,611 
 
Communications – 2.7% 
 
 
Trader Interactive 
 
 
8.20% (1 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 06/17/24†††,1 
2,711,211 
2,680,679 
Conterra Ultra Broadband Holdings, Inc. 
 
 
6.21% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/30/26 
1,995,000 
1,990,013 
Market Track LLC 
 
 
6.18% (2 Month USD LIBOR + 4.25% and 3 Month USD LIBOR + 4.25%, 
 
 
Rate Floor: 5.25%) due 06/05/24††† 
2,101,625 
1,870,446 
Flight Bidco, Inc. 
 
 
9.20% (1 Month USD LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26 
1,300,000 
1,283,750 
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25 
447,739 
443,821 
STV Group, Inc. 
 
 
due 11/22/26 
1,700,000 
1,687,250 
ProQuest, LLC 
 
 
5.20% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 10/23/26 
1,650,000 
1,654,125 
Liberty Cablevision Of Puerto Rico LLC 
 
 
6.77% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 10/15/26 
1,200,000 
1,209,300 
Resource Label Group LLC 
 
 
6.60% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 05/26/23 
1,322,865 
1,177,350 
Internet Brands, Inc. 
 
 
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24 
1,047,140 
1,043,213 
SFR Group S.A. 
 
 
5.77% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/14/26 
997,481 
989,062 
Imagine Print Solutions LLC 
 
 
6.46% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/21/22 
1,950,000 
776,743 
Houghton Mifflin Co. 
 
 
due 11/22/24 
700,000 
675,500 
Mcgraw-Hill Global Education Holdings LLC 
 
 
5.70% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 05/04/22 
483,281 
440,255 
Cengage Learning Acquisitions, Inc. 
 
 
5.95% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/07/23 
188,446 
172,087 
Total Communications 
 
18,093,594 
 
See notes to financial statements.

28 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,7 – 41.0% (continued) 
 
 
Utilities – 1.5% 
 
 
Oregon Clean Energy LLC 
 
 
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 03/02/26 
2,462,173 
$ 2,459,095 
Panda Power 
 
 
8.60% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 08/21/20 
2,350,698 
1,899,035 
UGI Energy Services, Inc. 
 
 
5.45% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/13/26 
1,645,875 
1,651,027 
Franklin Energy (KAMC Holdings, Inc.) 
 
 
5.91% (2 Month USD LIBOR + 4.00% and 3 Month USD LIBOR + 4.00%, 
 
 
Rate Floor: 4.00%) due 08/14/26††† 
1,650,000 
1,645,875 
Carroll County Energy LLC 
 
 
5.60% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/16/26 
1,544,683 
1,544,683 
EIF Channelview Cogeneration LLC 
 
 
5.96% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 05/03/25 
865,904 
870,450 
Total Utilities 
 
10,070,165 
 
Energy – 0.6% 
 
 
SeaPort Financing LLC 
 
 
7.21% (1 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 10/31/25††† 
1,488,750 
1,458,975 
Summit Midstream Partners, LP 
 
 
7.70% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 05/13/22 
1,122,648 
1,081,481 
Permian Production Partners LLC 
 
 
10.90% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 05/20/24†††,11 
1,805,000 
902,500 
Gavilan Resources LLC 
 
 
7.70% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 03/01/24 
990,000 
346,500 
Total Energy 
 
3,789,456 
Total Senior Floating Rate Interests 
 
 
(Cost $286,776,449) 
 
276,683,279 
 
ASSET-BACKED SECURITIES†† – 17.4% 
 
 
Collateralized Loan Obligations – 10.7% 
 
 
Golub Capital Partners CLO Ltd. 
 
 
2018-36A, 3.99% (3 Month USD LIBOR + 2.10%, Rate Floor: 0.00%) due 02/05/316,7 
5,000,000 
4,619,232 
2018-39A, 4.17% (3 Month USD LIBOR + 2.20%, Rate Floor: 2.20%) due 10/20/286,7 
2,500,000 
2,438,119 
2018-25A, 3.79% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 05/05/306,7 
2,500,000 
2,427,193 
2017-16A, 4.94% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 07/25/296,7 
1,500,000 
1,458,314 
Diamond CLO Ltd. 
 
 
2018-1A, 5.65% (3 Month USD LIBOR + 3.70%, Rate Floor: 3.70%) due 07/22/306,7 
3,000,000 
2,925,603 
2018-1A, 4.55% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 07/22/306,7 
2,500,000 
2,432,110 
Mountain Hawk II CLO Ltd. 
 
 
2018-2A, 4.32% (3 Month USD LIBOR + 2.35%, Rate Floor: 0.00%) due 07/20/246,7 
3,000,000 
2,986,904 
2013-2A, 5.12% (3 Month USD LIBOR + 3.15%, Rate Floor: 0.00%) due 07/22/246,7 
1,750,000 
1,744,429 
Fortress Credit Opportunities IX CLO Ltd. 
 
 
2017-9A, 4.56% (3 Month USD LIBOR + 2.65%, Rate Floor: 0.00%) due 11/15/296,7 
4,000,000 
3,868,256 
Marathon CRE Ltd. 
 
 
2018-FL1, 4.77% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/15/286,7 
3,000,000 
2,999,991 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 29


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
ASSET-BACKED SECURITIES†† – 17.4% (continued) 
 
 
Collateralized Loan Obligations – 10.7% (continued) 
 
 
FDF I Ltd. 
 
 
2015-1A, 6.88% due 11/12/306 
2,000,000 
$ 1,995,711 
2015-1A, 7.50% due 11/12/308 
1,000,000 
989,247 
FDF II Ltd. 
 
 
2016-2A, 7.70% due 05/12/318 
3,000,000 
2,974,679 
Dryden 50 Senior Loan Fund 
 
 
2017-50A, due 07/15/308,9 
3,555,000 
2,441,887 
Denali Capital CLO XI Ltd. 
 
 
2018-1A, 4.12% (3 Month USD LIBOR + 2.15%, Rate Floor: 0.00%) due 10/20/286,7 
2,400,000 
2,341,290 
Newstar Commercial Loan Funding LLC 
 
 
2017-1A, 7.26% (3 Month USD LIBOR + 5.10%, Rate Floor: 0.00%) due 03/20/276,7 
2,000,000 
2,001,327 
2017-1A, 5.66% (3 Month USD LIBOR + 3.50%, Rate Floor: 0.00%) due 03/20/276,7 
250,000 
250,142 
Hull Street CLO Ltd. 
 
 
2017-1A, 4.70% (3 Month USD LIBOR + 2.70%, Rate Floor: 0.00%) due 10/18/266,7 
2,200,000 
2,200,623 
Avery Point VI CLO Ltd. 
 
 
2018-6A, 3.89% (3 Month USD LIBOR + 2.00%, Rate Floor: 0.00%) due 08/05/276,7 
2,000,000 
1,958,290 
MP CLO VIII Ltd. 
 
 
2018-2A, 3.84% (3 Month USD LIBOR + 1.90%, Rate Floor: 0.00%) due 10/28/276,7 
2,000,000 
1,939,620 
DRSLF 
 
 
due 01/15/319 
2,998,799 
1,855,696 
Exantas Capital Corporation Ltd. 
 
 
2018-RSO6, 4.26% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 06/15/356,7 
1,800,000 
1,802,243 
Atlas Senior Loan Fund IX Ltd. 
 
 
2018-9A, due 04/20/288,9,17 
2,600,000 
1,118,445 
2018-9A, 3.77% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/286,7 
700,000 
674,370 
Hunt CRE Ltd. 
 
 
2017-FL1, 5.07% (1 Month USD LIBOR + 3.30%, Rate Floor: 0.00%) due 08/15/346,7 
1,800,000 
1,791,045 
Cent CLO 19 Ltd. 
 
 
2013-19A, 5.23% (3 Month USD LIBOR + 3.30%, Rate Floor: 0.00%) due 10/29/256,7 
1,750,000 
1,742,576 
Avery Point II CLO Ltd. 
 
 
2013-3X COM, due 01/18/259 
2,399,940 
1,728,506 
Monroe Capital CLO Ltd. 
 
 
2017-1A, 5.55% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/22/266,7 
1,750,000 
1,706,484 
OHA Credit Partners IX Ltd. 
 
 
2013-9A, due 10/20/256,9 
2,000,000 
1,683,845 
Treman Park CLO Ltd. 
 
 
2015-1A, due 10/20/286,9 
2,000,000 
1,618,727 
NewStar Clarendon Fund CLO LLC 
 
 
2015-1A, 6.29% (3 Month USD LIBOR + 4.35%, Rate Floor: 0.00%) due 01/25/276,7 
1,000,000 
1,000,127 
2019-1A, 4.99% (3 Month USD LIBOR + 3.05%, Rate Floor: 0.00%) due 01/25/276,7 
550,000 
549,281 
Carlyle Global Market Strategies CLO Ltd. 
 
 
2012-3A, due 01/14/328,9 
2,600,000 
1,286,537 
Voya CLO Ltd. 
 
 
2013-1A, due 10/15/308,9 
3,000,000 
1,259,499 
 
See notes to financial statements.

30 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
ASSET-BACKED SECURITIES†† – 17.4% (continued) 
 
 
Collateralized Loan Obligations – 10.7% (continued) 
 
 
Jackson Mill CLO Ltd. 
 
 
2018-1A, 3.85% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 04/15/276,7 
1,000,000 
$ 986,203 
KVK CLO Ltd. 
 
 
2013-1A, due 01/14/288,9,17 
2,300,000 
713,389 
Dryden 41 Senior Loan Fund 
 
 
2015-41A, due 04/15/318,9 
1,250,000 
706,816 
Great Lakes CLO Ltd. 
 
 
2014-1A, due 10/15/296,9 
1,153,846 
687,049 
Dryden 37 Senior Loan Fund 
 
 
2015-37A, due 01/15/318,9 
1,050,000 
649,754 
Venture XIII CLO Ltd. 
 
 
2013-13A, due 09/10/298,9 
1,500,000 
504,949 
Babson CLO Ltd. 
 
 
2014-IA, due 07/20/258,9 
3,000,000 
433,242 
Marathon CLO V Ltd. 
 
 
2013-5A, due 11/21/278,9 
3,566,667 
349,177 
A10 Permanent Asset Financing LLC 
 
 
2017-II, 6.24% (WAC) due 06/15/51†††,1,6,7 
250,000 
267,747 
West CLO Ltd. 
 
 
2013-1A, due 11/07/258,9 
1,350,000 
200,343 
Total Collateralized Loan Obligations 
 
72,309,017 
 
Transport-Aircraft – 3.8% 
 
 
Apollo Aviation Securitization Equity Trust 
 
 
2019-2, 4.46% due 10/16/396 
3,972,400 
3,953,398 
2019-1, 4.95% due 05/15/396 
1,909,000 
1,909,354 
2018-1A, 5.44% due 01/16/386 
2,278,544 
2,322,486 
2017-1A, 5.93% due 05/16/426 
1,839,677 
1,895,620 
2016-2, 7.87% due 11/15/41 
869,902 
870,670 
2016-2, 5.93% due 11/15/41 
512,841 
521,420 
AIM Aviation Finance Ltd. 
 
 
2015-1A, 5.07% due 02/15/406 
3,598,126 
3,595,703 
AASET US Ltd. 
 
 
2018-2A, 5.43% due 11/18/386 
2,729,297 
2,771,319 
Willis Engine Securitization Trust II 
 
 
2012-A, 5.50% due 09/15/376,10 
1,995,978 
2,058,491 
KDAC Aviation Finance Ltd. 
 
 
2017-1A, 4.21% due 12/15/426 
1,599,061 
1,624,801 
Falcon Aerospace Limited 
 
 
2017-1, 6.30% due 02/15/426 
1,562,427 
1,581,727 
Stripes Aircraft Ltd. 
 
 
2013-1 A1, 5.22% due 03/20/23††† 
999,747 
987,516 
Castlelake Aircraft Securitization Trust 
 
 
due 12/31/30†††,1,12 
3,054,105 
882,010 
Turbine Engines Securitization Ltd. 
 
 
2013-1A, 6.38% due 12/13/488 
456,880 
404,367 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 31


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
ASSET-BACKED SECURITIES†† – 17.4% (continued) 
 
 
Transport-Aircraft – 3.8% (continued) 
 
 
Airplanes Pass Through Trust 
 
 
2001-1A, 2.88% (1 Month USD LIBOR + 0.55%, Rate Floor: 0.55%) due 03/15/19†††,7,8,11 
6,677,317 
$ 106,420 
Total Transport-Aircraft 
 
25,485,302 
 
Financial – 0.9% 
 
 
Madison Avenue Secured Funding Trust 
 
 
2019-1, 3.30% (1 Month USD LIBOR + 1.50%, 
 
 
Rate Floor: 1.50%) due 11/11/20†††,6,7 
3,300,000 
3,300,000 
Nassau LLC 
 
 
2019-1, 3.98% due 08/15/346 
2,103,504 
2,087,845 
NCBJ 
 
 
2015-1A, 5.88% due 07/08/22†††,1 
878,774 
911,182 
Total Financial 
 
6,299,027 
 
Whole Business – 0.9% 
 
 
TSGE 
 
 
2017-1, 6.25% due 09/25/31†††,1 
5,000,000 
5,174,539 
Wingstop Funding LLC 
 
 
2018-1, 4.97% due 12/05/486 
995,000 
1,016,572 
Total Whole Business 
 
6,191,111 
 
Insurance – 0.3% 
 
 
LTCG Securitization Issuer LLC 
 
 
2018-A, 4.59% due 06/15/486 
1,939,428 
1,956,347 
CBC Insurance Revenue Securitization LLC 
 
 
2016-1, 5.25% due 07/15/468 
340,552 
347,647 
Total Insurance 
 
2,303,994 
 
Infrastructure – 0.3% 
 
 
Secured Tenant Site Contract Revenue Notes Series 
 
 
2018-1A, 5.92% due 06/15/486 
1,953,683 
1,944,709 
 
Diversified Payment Rights – 0.2% 
 
 
Bib Merchant Voucher Receivables Ltd. 
 
 
4.18% due 04/07/28†††,1 
1,100,000 
1,146,602 
 
Collateralized Debt Obligations – 0.2% 
 
 
Anchorage Credit Funding 4 Ltd. 
 
 
2016-4A, 5.50% due 02/15/356 
1,000,000 
1,006,933 
Highland Park CDO I Ltd. 
 
 
2006-1A, 3.05% (3 Month USD LIBOR + 0.40%, Rate Floor: 0.00%) due 11/25/517,8,17 
135,089 
133,869 
Total Collateralized Debt Obligations 
 
1,140,802 
 
Transport-Container – 0.1% 
 
 
Global SC Finance II SRL 
 
 
2013-1A, 2.98% due 04/17/286 
683,333 
683,464 
 
See notes to financial statements.

32 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
ASSET-BACKED SECURITIES†† – 17.4% (continued) 
 
 
Transport-Rail – 0.0% 
 
 
Trinity Rail Leasing, LP 
 
 
2009-1A, 6.66% due 11/16/396 
151,916 
$ 174,971 
Total Asset-Backed Securities 
 
 
(Cost $127,233,459) 
 
117,678,999 
 
CORPORATE BONDS†† – 17.2% 
 
 
Financial – 7.1% 
 
 
Morgan Stanley Finance LLC 
 
 
1.50% due 10/23/29†††,4 
13,500,000 
13,122,975 
Bank of America Corp. 
 
 
6.50%3,4 
2,000,000 
2,265,000 
6.30%3,4 
1,000,000 
1,145,000 
QBE Insurance Group Ltd. 
 
 
7.50% due 11/24/434,6 
3,000,000 
3,345,000 
American Equity Investment Life Holding Co. 
 
 
5.00% due 06/15/27 
2,950,000 
3,152,420 
BBC Military Housing-Navy Northeast LLC 
 
 
6.30% due 10/15/4917 
2,800,000 
3,104,773 
Citizens Financial Group, Inc. 
 
 
5.50%3,4 
2,500,000 
2,515,625 
Macquarie Group Ltd. 
 
 
5.03% due 01/15/304,6 
2,000,000 
2,282,943 
Fort Knox Military Housing Privatization Project 
 
 
5.82% due 02/15/526 
1,918,382 
2,174,309 
Assurant, Inc. 
 
 
4.90% due 03/27/28 
1,950,000 
2,145,927 
CNB Financial Corp. 
 
 
5.75% due 10/15/264,8 
2,000,000 
2,038,855 
Atlas Mara Ltd. 
 
 
8.00% due 12/31/208 
2,200,000 
1,947,000 
Hunt Companies, Inc. 
 
 
6.25% due 02/15/266 
1,675,000 
1,658,250 
Springleaf Finance Corp. 
 
 
6.13% due 03/15/24 
1,500,000 
1,642,515 
Newmark Group, Inc. 
 
 
6.13% due 11/15/23 
1,450,000 
1,593,825 
Jefferies Finance LLC / JFIN Company-Issuer Corp. 
 
 
7.25% due 08/15/246 
1,500,000 
1,530,000 
Fort Benning Family Communities LLC 
 
 
6.09% due 01/15/516 
725,545 
860,360 
Pacific Beacon LLC 
 
 
5.63% due 07/15/516,17 
692,989 
753,328 
Fort Gordon Housing LLC 
 
 
6.32% due 05/15/516 
200,000 
239,457 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 33


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
CORPORATE BONDS†† – 17.2% (continued) 
 
 
Financial – 7.1% (continued) 
 
 
USI, Inc. 
 
 
6.88% due 05/01/256 
150,000 
$ 150,750 
Oxford Finance LLC / Oxford Finance Company-Issuer II, Inc. 
 
 
6.38% due 12/15/226 
100,000 
103,240 
Icahn Enterprises, LP / Icahn Enterprises Finance Corp. 
 
 
5.88% due 02/01/22 
50,000 
50,286 
Total Financial 
 
47,821,838 
 
Energy – 2.1% 
 
 
Hess Corp. 
 
 
5.60% due 02/15/41 
1,550,000 
1,766,801 
6.00% due 01/15/40 
1,000,000 
1,155,619 
7.13% due 03/15/33 
500,000 
627,474 
Global Partners Limited Partnership / GLP Finance Corp. 
 
 
7.00% due 08/01/276 
1,625,000 
1,698,507 
Indigo Natural Resources LLC 
 
 
6.88% due 02/15/266 
1,750,000 
1,588,125 
Husky Energy, Inc. 
 
 
4.00% due 04/15/24 
900,000 
943,347 
3.95% due 04/15/22 
600,000 
619,173 
Antero Resources Corp. 
 
 
5.63% due 06/01/23 
1,200,000 
849,000 
5.13% due 12/01/22 
370,000 
300,625 
5.38% due 11/01/21 
230,000 
212,462 
Sunoco Logistics Partners Operations, LP 
 
 
4.25% due 04/01/24 
1,000,000 
1,043,161 
American Midstream Partners Limited Partnership / American Midstream Finance Corp. 
 
 
9.50% due 12/15/216 
895,000 
841,300 
Buckeye Partners, LP 
 
 
4.35% due 10/15/24 
750,000 
745,421 
Bruin E&P Partners LLC 
 
 
8.88% due 08/01/238 
990,000 
633,600 
Basic Energy Services, Inc. 
 
 
10.75% due 10/15/238 
500,000 
357,500 
Unit Corp. 
 
 
6.63% due 05/15/21 
343,000 
176,645 
Summit Midstream Holdings LLC / Summit Midstream Finance Corp. 
 
 
5.50% due 08/15/22 
200,000 
173,000 
FLNG Liquefaction 2 LLC 
 
 
4.13% due 03/31/388 
123,288 
116,326 
Schahin II Finance Co. SPV Ltd. 
 
 
5.88% due 09/25/226,11 
1,216,133 
91,210 
Total Energy 
 
13,939,296 
 
See notes to financial statements.

34 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
CORPORATE BONDS†† – 17.2% (continued) 
 
 
Industrial – 1.9% 
 
 
Encore Capital Group, Inc. 
 
 
5.63% due 08/11/24††† 
3,800,000 
$ 3,803,158 
Great Lakes Dredge & Dock Corp. 
 
 
8.00% due 05/15/22 
1,776,000 
1,884,915 
Reynolds Group Issuer Incorporated / Reynolds Group Issuer LLC / 
 
 
Reynolds Group Issuer Luxembourg 
 
 
5.50% (3 Month USD LIBOR + 3.50%) due 07/15/216,7 
1,225,000 
1,228,062 
5.75% due 10/15/20 
436,098 
436,622 
Intertape Polymer Group, Inc. 
 
 
7.00% due 10/15/266 
1,450,000 
1,508,000 
Princess Juliana International Airport Operating Company N.V. 
 
 
5.50% due 12/20/278 
1,459,483 
1,402,855 
Grinding Media Inc. / MC Grinding Media Canada Inc. 
 
 
7.38% due 12/15/236 
1,280,000 
1,277,530 
Cleaver-Brooks, Inc. 
 
 
7.88% due 03/01/236 
950,000 
908,438 
Standard Industries, Inc. 
 
 
5.38% due 11/15/246 
400,000 
411,500 
Glenn Pool Oil & Gas Trust 
 
 
6.00% due 08/02/21††† 
338,117 
334,958 
Total Industrial 
 
13,196,038 
 
Consumer, Cyclical – 1.8% 
 
 
HP Communities LLC 
 
 
6.16% due 09/15/536,17 
1,000,000 
1,263,371 
6.82% due 09/15/536,17 
956,522 
1,147,556 
Williams Scotsman International, Inc. 
 
 
6.88% due 08/15/236 
1,650,000 
1,733,605 
Sabre GLBL, Inc. 
 
 
5.38% due 04/15/236 
1,000,000 
1,025,000 
5.25% due 11/15/236 
625,000 
640,625 
Exide Technologies 
 
 
11.00% due 10/31/24†††,8,17 
2,591,725 
1,661,975 
LBC Tank Terminals Holding Netherlands BV 
 
 
6.88% due 05/15/236 
1,575,000 
1,587,474 
JB Poindexter & Company, Inc. 
 
 
7.13% due 04/15/266 
1,100,000 
1,147,300 
Exide International Holdings, LP 
 
 
10.75% (in-kind rate was 4.50%) due 10/31/21†††,8,16 
744,491 
710,989 
Party City Holdings, Inc. 
 
 
6.63% due 08/01/266 
875,000 
525,000 
Reliance Intermediate Holdings, LP 
 
 
6.50% due 04/01/236 
400,000 
412,000 
Total Consumer, Cyclical 
 
11,854,895 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 35


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
CORPORATE BONDS†† – 17.2% (continued) 
 
 
Consumer, Non-cyclical – 1.7% 
 
 
Nathan’s Famous, Inc. 
 
 
6.63% due 11/01/256 
2,050,000 
$ 2,070,500 
Nielsen Finance LLC / Nielsen Finance Co. 
 
 
5.00% due 04/15/226 
1,650,000 
1,660,313 
Sotheby’s 
 
 
7.38% due 10/15/276 
1,700,000 
1,659,625 
Vector Group Ltd. 
 
 
6.13% due 02/01/256 
1,725,000 
1,649,531 
Flexi-Van Leasing, Inc. 
 
 
10.00% due 02/15/236 
1,133,000 
1,079,182 
Acadia Healthcare Company, Inc. 
 
 
5.63% due 02/15/23 
600,000 
611,250 
KeHE Distributors LLC / KeHE Finance Corp. 
 
 
8.63% due 10/15/266 
550,000 
572,000 
Endo Finance LLC / Endo Finco, Inc. 
 
 
7.25% due 01/15/226 
800,000 
560,000 
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc. 
 
 
7.88% due 10/01/226 
600,000 
513,000 
Avanos Medical, Inc. 
 
 
6.25% due 10/15/22 
500,000 
509,375 
Beverages & More, Inc. 
 
 
11.50% due 06/15/228 
650,000 
409,500 
Endo Dac / Endo Finance LLC / Endo Finco, Inc. 
 
 
6.00% due 07/15/236 
200,000 
130,000 
Carriage Services, Inc. 
 
 
6.63% due 06/01/266 
100,000 
104,750 
Total Consumer, Non-cyclical 
 
11,529,026 
 
Basic Materials – 1.2% 
 
 
BHP Billiton Finance USA Ltd. 
 
 
6.75% due 10/19/754,6 
2,450,000 
2,870,298 
Yamana Gold, Inc. 
 
 
4.95% due 07/15/24 
2,560,000 
2,683,122 
Neon Holdings, Inc. 
 
 
10.13% due 04/01/266 
1,625,000 
1,637,187 
Kaiser Aluminum Corp. 
 
 
5.88% due 05/15/24 
1,100,000 
1,144,000 
Mirabela Nickel Ltd. 
 
 
due 06/24/198,11 
1,388,176 
69,409 
Total Basic Materials 
 
8,404,016 
 
Communications – 1.0% 
 
 
Cengage Learning, Inc. 
 
 
9.50% due 06/15/246 
1,851,000 
1,567,186 
 
See notes to financial statements.

36 l GOF l GUGGENHIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
CORPORATE BONDS†† – 17.2% (continued) 
 
 
Communications – 1.0% (continued) 
 
 
Altice France S.A. 
 
 
7.38% due 05/01/266 
1,060,000 
$ 1,131,550 
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance 
 
 
7.88% due 05/15/246 
1,346,000 
1,117,180 
EIG Investors Corp. 
 
 
10.88% due 02/01/24 
863,000 
847,898 
MDC Partners, Inc. 
 
 
6.50% due 05/01/246 
905,000 
823,550 
Houghton Mifflin Harcourt Publishers, Inc. 
 
 
9.00% due 02/15/256 
700,000 
668,640 
LCPR Senior Secured Financing DAC 
 
 
6.75% due 10/15/276 
500,000 
515,625 
Total Communications 
 
6,671,629 
 
Utilities – 0.4% 
 
 
Terraform Global Operating LLC 
 
 
6.13% due 03/01/266 
1,630,000 
1,695,200 
Petershill II Senior Secured Notes 
 
 
5.00% due 12/02/39††† 
1,000,000 
989,749 
Total Utilities 
 
2,684,949 
 
Technology – 0.0% 
 
 
NCR Corp. 
 
 
6.38% due 12/15/23 
200,000 
204,830 
Total Corporate Bonds 
 
 
(Cost $116,552,438) 
 
116,306,517 
 
COLLATERALIZED MORTGAGE OBLIGATIONS†† – 11.2% 
 
 
Residential Mortgage Backed Securities – 9.7% 
 
 
Lehman XS Trust Series 
 
 
2006-18N, 1.89% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 12/25/367 
4,871,814 
4,634,536 
2006-16N, 1.92% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 11/25/467 
1,957,870 
1,878,860 
WaMu Asset-Backed Certificates WaMu Series 
 
 
2007-HE4, 1.88% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/477 
2,254,461 
1,748,018 
2007-HE2, 1.96% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 04/25/377 
3,271,738 
1,714,636 
2007-HE2, 2.07% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 04/25/377 
2,093,912 
1,118,539 
2007-HE4, 1.96% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/477 
1,310,200 
912,600 
2007-HE2, 1.90% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/377 
1,701,304 
882,075 
LSTAR Securities Investment Limited 
 
 
2019-5, 3.20% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 11/01/246,7 
5,000,000 
4,991,685 
ACE Securities Corporation Home Equity Loan Trust Series 
 
 
2005-HE2, 2.73% (1 Month USD LIBOR + 1.02%, Rate Floor: 0.68%) due 04/25/357 
2,000,000 
2,006,227 
2007-HE1, 1.86% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 01/25/377 
2,909,577 
1,896,445 
2007-ASP1, 1.91% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 03/25/377 
1,574,512 
972,336 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 37


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
COLLATERALIZED MORTGAGE OBLIGATIONS†† – 11.2% (continued) 
 
 
Residential Mortgage Backed Securities – 9.7% (continued) 
 
 
Ameriquest Mortgage Securities Trust 
 
 
2006-M3, 1.88% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 10/25/367 
4,502,827 
$ 3,172,537 
2006-M3, 1.81% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 10/25/367 
2,262,838 
1,059,435 
GSAA Home Equity Trust 
 
 
2006-16, 1.88% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 10/25/367 
4,901,850 
2,189,233 
2006-12, 1.86% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 08/25/367 
3,408,160 
2,039,757 
Morgan Stanley ABS Capital I Incorporated Trust 
 
 
2006-HE8, 1.93% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 10/25/367 
3,462,695 
2,214,058 
2007-HE4, 1.94% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 02/25/377 
3,681,822 
1,678,037 
RALI Series Trust 
 
 
2006-QO6, 1.89% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 06/25/467 
6,609,247 
2,553,123 
2006-QO6, 1.94% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 06/25/467 
2,091,048 
832,947 
LSTAR Securities Investment Trust 
 
 
2019-1, 3.41% (1 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 03/01/246,7 
3,238,497 
3,240,116 
Long Beach Mortgage Loan Trust 
 
 
2006-8, 1.80% (1 Month USD LIBOR + 0.09%, Rate Floor: 0.09%) due 09/25/367 
4,661,538 
1,858,096 
2006-1, 1.90% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 02/25/367 
1,400,905 
1,242,373 
Morgan Stanley IXIS Real Estate Capital Trust 
 
 
2006-2, 1.93% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 11/25/367 
3,208,716 
1,594,928 
2006-2, 1.86% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/367 
2,117,753 
1,042,110 
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 
 
 
2006-E, 1.92% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 04/25/377 
3,274,630 
2,424,458 
American Home Mortgage Assets Trust 
 
 
2006-6, 1.92% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 12/25/467 
2,546,996 
2,213,003 
Citigroup Mortgage Loan Trust, Inc. 
 
 
2007-AMC3, 2.06% (1 Month USD LIBOR + 0.35%, Rate Floor: 0.35%) due 03/25/377 
2,382,793 
2,090,739 
JP Morgan Mortgage Acquisition Trust 
 
 
2006-WMC3, 1.95% (1 Month USD LIBOR + 0.24%, 
 
 
Rate Floor: 0.24%) due 08/25/367 
2,719,454 
2,047,230 
Master Asset Backed Securities Trust 
 
 
2006-WMC3, 1.87% (1 Month USD LIBOR + 0.16%, 
 
 
Rate Floor: 0.16%) due 08/25/367 
3,770,353 
1,760,108 
IXIS Real Estate Capital Trust 
 
 
2007-HE1, 1.82% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 05/25/377 
2,540,944 
862,023 
2007-HE1, 1.77% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/377 
2,555,858 
859,764 
Morgan Stanley Mortgage Loan Trust 
 
 
2006-9AR, 1.86% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 08/25/367 
3,703,334 
1,644,309 
First NLC Trust 
 
 
2007-1, 1.99% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 08/25/376,7 
1,532,072 
994,724 
GSAA Trust 
 
 
2007-3, 1.88% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 03/25/477 
1,824,370 
835,243 
Luminent Mortgage Trust 
 
 
2006-2, 1.91% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/25/467 
903,376 
797,911 
 
See notes to financial statements.

38 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
COLLATERALIZED MORTGAGE OBLIGATIONS†† – 11.2% (continued) 
 
 
Residential Mortgage Backed Securities – 9.7% (continued) 
 
 
CitiMortgage Alternative Loan Trust Series 
 
 
2007-A7, 2.11% (1 Month USD LIBOR + 0.40%, 
 
 
Rate Cap/Floor: 7.50%/0.40%) due 07/25/377 
969,017 
$ 784,428 
TBW Mortgage Backed Pass-Through Certificates 
 
 
2006-6, 6.04% due 01/25/3717 
1,185,071 
530,528 
2006-6, 5.75% due 01/25/3717 
484,704 
233,630 
Total Residential Mortgage Backed Securities 
 
65,550,805 
 
Military Housing – 1.5% 
 
 
GMAC Commercial Mortgage Asset Corp. 
 
 
2004-POKA, 6.36% due 09/10/44†††,6 
3,500,000 
4,166,888 
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates 
 
 
2015-R1, 5.49% (WAC) due 11/25/527,8 
3,708,110 
3,652,260 
Capmark Military Housing Trust 
 
 
2007-AETC, 5.75% due 02/10/526,17 
1,587,677 
1,775,245 
2007-AET2, 6.06% due 10/10/526,17 
474,961 
574,922 
Total Military Housing 
 
10,169,315 
Total Collateralized Mortgage Obligations 
 
 
(Cost $79,306,102) 
 
75,720,120 
 
FOREIGN GOVERNMENT DEBT†† – 6.4% 
 
 
Government of Japan 
 
 
due 01/10/2012 
JPY 1,112,000,000 
10,165,810 
0.10% due 06/01/20 
JPY 439,400,000 
4,021,297 
0.10% due 09/01/20 
JPY 407,000,000 
3,727,346 
0.10% due 06/20/20 
JPY 166,000,000 
1,519,455 
0.10% due 04/15/20 
JPY 142,900,000 
1,307,399 
0.10% due 03/20/20 
JPY 58,000,000 
530,533 
2.40% due 03/20/20 
JPY 24,000,000 
221,014 
1.30% due 03/20/20 
JPY 10,000,000 
91,793 
2.20% due 06/22/20 
JPY 6,650,000 
61,574 
Federative Republic of Brazil 
 
 
due 01/01/2012 
BRL 25,900,000 
6,102,246 
due 07/01/2112 
BRL 19,940,000 
4,366,030 
due 07/01/2012 
BRL 9,860,000 
2,274,420 
State of Israel 
 
 
1.00% due 04/30/21 
ILS 20,810,000 
6,067,638 
5.50% due 01/31/22 
ILS 5,410,000 
1,736,518 
0.50% due 01/31/21 
ILS 4,520,000 
1,307,426 
Total Foreign Government Debt 
 
 
(Cost $44,342,782) 
 
43,500,499 
 
MUNICIPAL BONDS†† – 0.2% 
 
 
Maryland – 0.1% 
 
 
Maryland Economic Development Corp. 
 
 
5.75% due 09/01/25 
550,000 
564,195 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 39


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
MUNICIPAL BONDS†† – 0.2% (continued) 
 
 
Oklahoma – 0.1% 
 
 
Oklahoma Development Finance Authority Revenue Bonds 
 
 
5.45% due 08/15/28 
400,000 
$ 455,272 
Total Municipal Bonds 
 
 
(Cost $964,554) 
 
1,019,467 
 
SENIOR FIXED RATE INTERESTS†† – 0.1% 
 
 
Communications – 0.1% 
 
 
MHGE Parent LLC 
 
 
11.00% due 04/20/22†††,1 
900,000 
826,987 
Total Senior Fixed Rate Interests 
 
 
(Cost $886,514) 
 
826,987 
 
U.S. TREASURY BILLS†† – 0.1% 
 
 
U.S. Treasury Bills 
 
 
1.59% due 02/20/2013,17 
400,000 
398,616 
Total U.S. Treasury Bills 
 
 
(Cost $398,570) 
 
398,616 
 
REPURCHASE AGREEMENTS††,14 – 0.4% 
 
 
Citigroup Global Markets, Inc. 
 
 
issued 10/16/19 at 1.35% 
 
 
open maturity15 
1,016,000 
1,016,000 
issued 10/08/19 at 1.35% 
 
 
open maturity15 
436,000 
436,000 
issued 10/25/19 at 1.25% 
 
 
open maturity15 
93,000 
93,000 
issued 11/25/19 at 1.35% 
 
 
open maturity15 
83,000 
83,000 
issued 10/30/19 at 1.30% 
 
 
open maturity15 
51,000 
51,000 
BofA Securities, Inc. 
 
 
issued 10/09/19 at 1.40% 
 
 
open maturity15 
448,950 
448,950 
issued 10/16/19 at 1.35% 
 
 
open maturity15 
328,575 
328,575 
issued 10/25/19 at 1.35% 
 
 
open maturity15 
93,288 
93,287 
issued 08/02/19 at 1.40% 
 
 
open maturity15 
59,850 
59,850 
RBC Capital Markets LLC 
 
 
issued 11/01/19 at 1.30% 
 
 
open maturity15 
52,375 
52,375 
 
See notes to financial statements.

40 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 
 

 
 
Face 
 
 
Amount~ 
Value 
 
REPURCHASE AGREEMENTS††,14 – 0.4% (continued) 
 
 
BNP Paribas 
 
 
issued 02/06/19 at 1.35% 
 
 
open maturity15 
4,638 
$ 4,638 
Total Repurchase Agreements 
 
 
(Cost $2,666,675) 
 
2,666,675 
 
COMMERCIAL PAPER†† – 0.3% 
 
 
Bemis Co., Inc. 
 
 
1.88% due 12/12/196,13 
2,000,000 
1,998,851 
Total Commercial Paper 
 
 
(Cost $1,998,851) 
 
1,998,851 

     
 
Notional Value/ 
 
 
Face Amount~ 
 
 
OTC OPTIONS PURCHASED†† – 0.2% 
 
 
Put options on: 
 
 
Citibank N.A., New York 2Y-10 CMS CAP 
 
 
Expiring July 2022 with strike price of $0.40 
441,000,000 
$ 679,140 
Bank of America, N.A. 2Y-10 CMS CAP 
 
 
Expiring July 2022 with strike price of $0.61 
165,000,000 
161,700 
Bank of America, N.A. 2Y-10 CMS CAP 
 
 
Expiring July 2022 with strike price of $0.40 
53,000,000 
81,620 
Total OTC Options Purchased 
 
 
(Cost $1,391,950) 
 
922,460 
Total Investments – 100.8% 
 
 
(Cost $707,218,725) 
 
$ 680,973,057 
 
Corporate Bonds Sold Short†† – (0.4)% 
 
 
Communications – 0.0% 
 
 
Univision Communications, Inc. 
 
 
5.13% due 05/15/236 
(50,000) 
(49,312) 
5.13% due 02/15/256 
(150,000) 
(144,563) 
Total Communications 
 
(193,875) 
 
Industrial – (0.2)% 
 
 
Flex Ltd. 
 
 
4.75% due 06/15/25 
(170,000) 
(183,035) 
Spirit AeroSystems, Inc. 
 
 
4.60% due 06/15/28 
(810,000) 
(878,492) 
Total Industrial 
 
(1,061,527) 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 41


     
SCHEDULE OF INVESTMENTS (Unaudited) continued 
 
November 30, 2019 
 

 
 
Face 
 
 
Amount~ 
Value 
 
Corporate Bonds Sold Short†† – (0.4)% (continued) 
 
 
Consumer, Cyclical – (0.2)% 
 
 
Harley-Davidson, Inc. 
 
 
3.50% due 07/28/25 
(100,000) 
$ (104,154) 
Dollar Tree, Inc. 
 
 
4.00% due 05/15/25 
(1,200,000) 
(1,266,246) 
Total Consumer, Cyclical 
 
(1,370,400) 
Total Corporate Bonds Sold Short 
 
 
(Proceeds $2,369,340) 
 
(2,625,802) 

     
 
Contracts 
 
 
LISTED OPTIONS WRITTEN– 0.0% 
 
 
Call options on: 
 
 
S&P 500 Index 
 
 
Expiring December 2019 with strike price of 
 
 
$3,105.00 (Notional Value $942,294) 
(17,355) 
Total Listed Options Written 
 
 
(Premiums received $12,834) 
 
(17,355) 
Other Assets & Liabilities, net – (0.4)% 
 
(2,534,398) 
Total Net Assets – 100.0% 
 
$ 675,795,502 
 
FUTURES CONTRACTS
         
 
 
 
 
Value and 
 
Number of 
 
Notional 
Unrealized 
Description 
Contracts 
Expiration Date 
Amount 
Appreciation** 
 
EQUITY FUTURES CONTRACTS PURCHASED 
 
 
 
 
S&P 500 Index Mini Futures Contracts 
Dec 2019 
$942,600 
$40,208 
 
CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS PROTECTION PURCHASED††
                   
 
 

Protection
 
 
 
 
Upfront 
 
 
 
 
Premium 
Payment 
Maturity 
Notional 
 
Premiums 
Unrealized 
Counterparty 
Exchange 
Index 
Rate 
Frequency 
Date 
Amount 
Value 
Received 
Depreciation** 
BofA Securities, Inc. 
ICE 
CDX.NA.IG.31 
1.00% 
Quarterly 
12/20/23 
$98,500,000 
$(2,405,693) 
$(944,702) 
$(1,460,991) 
 
See notes to financial statements.

42 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
SCHEDULE OF INVESTMENTS (Unaudited) continued 
November 30, 2019 
 
OTC CREDIT DEFAULT SWAP AGREEMENTS PROTECTION PURCHASED††
                 
 
 
 
 
 
 
 
Upfront 
 
 
Index/ 
Protection
 
 
 
 
Premiums 
 
 
Reference 
Premium
Payment 
Maturity 
Notional 
 
Paid 
Unrealized 
Counterparty 
Obligation 
Rate 
Frequency 
Date 
Amount 
Value 
(Received) 
Depreciation**
Goldman Sachs 
 
 
 
 
 
 
 
 
International 
L Brands, Inc. 
1.00% 
Quarterly 
12/20/24 
$ 30,000 
$ 2,550 
$ 3,179 
$ (629) 
Morgan Stanley 
CDX.NA.IG.31 
 
 
 
 
 
 
 
Capital Services LLC 
(7-15%) 
1.00% 
Quarterly 
12/20/23 
5,800,000 
(144,441) 
(1,118) 
(143,323) 
Goldman Sachs 
CDX.NA.IG.31 
 
 
 
 
 
 
 
International 
(7-15%) 
1.00% 
Quarterly 
12/20/23 
13,410,000 
(333,958) 
(17,793) 
(316,165) 
 
 
 
 
 
 
$(475,849) 
$(15,732) 
$(460,117) 
 
CENTRALLY CLEARED INTEREST RATE SWAP AGREEMENTS††
                   
 
 
Floating 
Floating 
Fixed Payment 
Maturity 
Notional 
 
Premiums 
Unrealized 
Counterparty 
Exchange 
Rate Type
Rate Index 
Rate Frequency 
Date 
Amount 
Value 
Paid 
Appreciation** 
BofA Securities, Inc. 
CME
Receive 
3-Month 
1.54% Quarterly 
08/04/21 
$2,390,000 
$4,891 
$263 
$4,628 
 
 
 
USD LIBOR 
 
 
 
 
 
 
 
TOTAL RETURN SWAP AGREEMENTS
               
 
 
Financing 
 
 
 
 
Value and 
 
Reference 
Rate 
Payment 
Maturity 
 
Notional 
Unrealized 
Counterparty 
Obligation 
Pay 
Frequency 
Date 
Units 
Amount 
Depreciation** 
OTC Sovereign Debt Swap Agreements††
 
 
 
 
Deutsche 
Korea 
 
 
 
 
 
 
Bank AG 
Monetary 
 
 
 
 
 
 
 
Stabilization 
2.34% (3 Month 
At Maturity 
08/04/21 
N/A 
$2,418,367 
$(15,683) 
 
Bond 
USD LIBOR + 0.45%) 
 
 
 
 
 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 43


   
SCHEDULE OF INVESTMENTS (Unaudited) continued 
November 30, 2019 
 

   
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
 
 
     
 
 
       
Value at
   
Unrealized
 
 
     
   
Settlement 
 
Settlement
   
November 30,
   
Appreciation
 
Counterparty 
 
Contracts to Sell
 
Currency 
Date 
 
Value
   
2019
   
(Depreciation)
 
Goldman Sachs International 
   
1,777,600,000
 
JPY 
01/10/20 
 
$
16,579,924
   
$
16,301,156
   
$
278,768
 
Citibank N.A., New York 
   
25,900,000
 
BRL 
01/02/20 
   
6,314,237
     
6,121,485
     
192,752
 
Citibank N.A., New York 
   
11,240,000
 
BRL 
07/01/21 
   
2,716,438
     
2,559,645
     
156,793
 
Goldman Sachs International 
   
5,420,000
 
BRL 
07/01/20 
   
1,407,427
     
1,271,395
     
136,032
 
Barclays Bank plc 
   
2,366,000
 
EUR 
01/17/20 
   
2,732,494
     
2,616,303
     
116,191
 
Goldman Sachs International 
   
2,290,000
 
EUR 
01/17/20 
   
2,644,305
     
2,532,262
     
112,043
 
Citibank N.A., New York 
   
4,440,000
 
BRL 
07/01/20 
   
1,143,623
     
1,041,512
     
102,111
 
JPMorgan Chase Bank, N.A. 
   
407,203,500
 
JPY 
09/01/20 
   
3,870,646
     
3,784,385
     
86,261
 
Citibank N.A., New York 
   
379,189,500
 
JPY 
06/01/20 
   
3,587,277
     
3,505,830
     
81,447
 
Citibank N.A., New York 
   
444,400,000
 
JPY 
01/10/20 
   
4,143,474
     
4,075,289
     
68,185
 
Goldman Sachs International 
   
5,700,000
 
BRL 
07/01/21 
   
1,335,364
     
1,298,040
     
37,324
 
Bank of America, N.A. 
   
166,083,000
 
JPY 
06/22/20 
   
1,570,822
     
1,537,355
     
33,467
 
Bank of America, N.A. 
   
142,971,450
 
JPY 
04/15/20 
   
1,348,545
     
1,318,179
     
30,366
 
JPMorgan Chase Bank, N.A. 
   
3,000,000
 
BRL 
07/01/21 
   
712,674
     
683,179
     
29,495
 
Bank of America, N.A. 
   
749,320
 
EUR 
06/15/20 
   
861,699
     
836,372
     
25,327
 
Goldman Sachs International 
   
660,240
 
EUR 
06/15/20 
   
759,659
     
736,943
     
22,716
 
JPMorgan Chase Bank, N.A. 
   
58,029,000
 
JPY 
03/23/20 
   
548,032
     
534,289
     
13,743
 
JPMorgan Chase Bank, N.A. 
   
60,430,200
 
JPY 
06/01/20 
   
571,147
     
558,713
     
12,434
 
Goldman Sachs International 
   
260,000
 
EUR 
04/30/20 
   
298,168
     
289,380
     
8,788
 
Goldman Sachs International 
   
34,353,000
 
JPY 
03/23/20 
   
324,553
     
316,297
     
8,256
 
Goldman Sachs International 
   
6,723,951
 
JPY 
06/22/20 
   
63,635
     
62,241
     
1,394
 
JPMorgan Chase Bank, N.A. 
   
203,500
 
JPY 
03/02/20 
   
1,912
     
1,871
     
41
 
Citibank N.A., New York 
   
189,500
 
JPY 
12/02/19 
   
1,770
     
1,732
     
38
 
Bank of America, N.A. 
   
43,318
 
ILS 
04/30/20 
   
12,646
     
12,609
     
37
 
Bank of America, N.A. 
   
83,000
 
JPY 
12/20/19 
   
775
     
760
     
15
 
Goldman Sachs International 
   
73,150
 
JPY 
12/20/19 
   
684
     
670
     
14
 
JPMorgan Chase Bank, N.A. 
   
30,200
 
JPY 
12/02/19 
   
282
     
276
     
6
 
Deutsche Bank AG 
   
7,680,324
 
KRW 
02/04/21 
   
6,512
     
6,582
     
(70
)
Deutsche Bank AG 
   
7,680,324
 
KRW 
11/04/20 
   
6,492
     
6,562
     
(70
)
Deutsche Bank AG 
   
7,429,879
 
KRW 
05/06/21 
   
6,315
     
6,386
     
(71
)
Deutsche Bank AG 
   
7,680,324
 
KRW 
08/05/20 
   
6,473
     
6,546
     
(73
)
Deutsche Bank AG 
   
7,513,360
 
KRW 
05/06/20 
   
6,310
     
6,387
     
(77
)
Deutsche Bank AG 
   
7,680,324
 
KRW 
02/05/20 
   
6,430
     
6,515
     
(85
)
Goldman Sachs International 
   
165,352
 
ILS 
04/30/20 
   
47,654
     
48,132
     
(478
)
Bank of America, N.A. 
   
1,009,000
 
EUR 
12/13/19 
   
1,112,303
     
1,112,782
     
(479
)
Goldman Sachs International 
   
320,150
 
ILS 
01/31/20 
   
91,758
     
92,590
     
(832
)
Bank of America, N.A. 
   
4,363,200
 
ILS 
04/30/21 
   
1,293,950
     
1,296,950
     
(3,000
)
Goldman Sachs International 
   
1,135,000
 
GBP 
12/13/19 
   
1,457,914
     
1,468,523
     
(10,609
)
Goldman Sachs International 
   
4,841,027
 
ILS 
02/01/21 
   
1,410,169
     
1,432,227
     
(22,058
)
Deutsche Bank AG 
   
2,876,875,324
 
KRW 
08/04/21 
   
2,453,415
     
2,479,892
     
(26,477
)
Goldman Sachs International 
   
5,707,550
 
ILS 
01/31/22 
   
1,691,893
     
1,719,844
     
(27,951
)
Barclays Bank plc 
   
8,085,000
 
ILS 
01/31/20 
   
2,287,452
     
2,338,258
     
(50,806
)
Goldman Sachs International 
   
16,654,900
 
ILS 
04/30/21 
   
4,882,148
     
4,950,625
     
(68,477
)
 
       
 
 
                 
$
1,342,431
 
 
See notes to financial statements.

44 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
SCHEDULE OF INVESTMENTS (Unaudited) continued 
November 30, 2019 
 

   
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS†† (continued)
 
 
     
 
 
       
Value at
   
Unrealized
 
 
     
   
Settlement 
 
Settlement
   
November 30,
   
Appreciation
 
Counterparty 
 
Contracts to Buy
 
Currency 
Date 
 
Value
   
2019
   
(Depreciation)
 
Citibank N.A., New York 
   
8,085,000
 
ILS 
01/31/20 
 
$
2,317,966
   
$
2,338,258
   
$
20,292
 
Citibank N.A., New York 
   
260,000
 
EUR 
04/30/20 
   
290,382
     
289,380
     
(1,002
)
Barclays Bank plc 
   
1,409,560
 
EUR 
06/15/20 
   
1,578,236
     
1,573,315
     
(4,921
)
JPMorgan Chase Bank, N.A. 
   
4,656,000
 
EUR 
01/17/20 
   
5,176,715
     
5,148,566
     
(28,149
)
JPMorgan Chase Bank, N.A. 
   
1,110,000,000
 
JPY 
01/10/20 
   
10,266,380
     
10,179,052
     
(87,328
)
 
       
 
 
                 
$
(101,108
)
 
 
The face amount is denominated in U.S. dollars unless otherwise indicated. 
Non-income producing security. 
** 
Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. 
† 
Value determined based on Level 1 inputs, unless otherwise noted — See Note 6. 
†† 
Value determined based on Level 2 inputs, unless otherwise noted — See Note 6. 
††† 
Value determined based on Level 3 inputs — See Note 6. 
Security was fair valued by the Valuation Committee at November 30, 2019. The total market value of fair valued securities amounts to $26,962,273, (cost $27,399,619) or 4.0% of total net assets. 
Affiliated issuer. 
Perpetual maturity. 
Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. 
Rate indicated is the 7-day yield as of November 30, 2019. 
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 $160,686,705 (cost $160,641,972), or 23.8% of total net assets. 
Variable rate security. Rate indicated is the rate effective at November 30, 2019. 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. 
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 $27,620,536 (cost $44,816,083), or 4.1% of total net assets — See Note 12. 
Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. 
10 
Security is a step up bond, with a 5.50% coupon rate until September 14, 2020. Future rate is 8.50% with a reset date of September 15, 2020. 
11 
Security is in default of interest and/or principal obligations. 
12 
Zero coupon rate security. 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 45


   
SCHEDULE OF INVESTMENTS (Unaudited) continued 
November 30, 2019 
 
 
 
13 
Rate indicated is the effective yield at the time of purchase. 
14 
Repurchase Agreements - See additional disclosure in the repurchase agreements table below for more information on repurchase agreements. 
15 
The rate is adjusted periodically by the counterparty, subject to approval by the Adviser, and is not based upon a set reference rate and spread. Rate indicated is the rate effective at November 30, 2019. 
16 
Payment in-kind security. 
17 
All or a portion of these securities have been physically segregated in connection with futures contracts, options and unfunded loan commitments. As of November 30, 2019, the total value of segregated securities was $15,136,851. 
 
   
BofA 
Bank of America 
BRL 
Brazilian Real 
CDX.NA.IG.31 
Credit Default Swap North American Investment Grade Series 31 Index 
CME 
Chicago Mercantile Exchange 
CMS 
Constant Maturity Swap 
EURIBOR 
European Interbank Offered Rate 
EUR 
Euro 
GBP 
British Pound 
ICE 
Intercontinental Exchange 
ILS 
Israeli New Shekel 
JPY 
Japanese Yen 
KRW 
South Korean Won 
LIBOR 
London Interbank Offered Rate 
plc 
Public Limited Company 
WAC 
Weighted Average Coupon 
 
See Sector Classification in Other Information section.
     
Country Diversification
 
 
% of Long-Term 
Country 
 
Investments 
United States 
 
84.9% 
Cayman Islands 
 
4.7% 
Japan 
 
3.4% 
Brazil 
 
2.0% 
Canada 
 
1.6% 
Israel 
 
1.4% 
Australia 
 
0.9% 
Other 
 
1.1% 
Total Long-Term Investments 
 
100.0% 
 
See notes to financial statements.

46 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
SCHEDULE OF INVESTMENTS (Unaudited) continued 
November 30, 2019 
 
The following table summarizes the inputs used to value the Fund’s investments at November 30, 2019 (See Note 6 in the Notes to Financial Statements):
                         
 
       
Level 2
   
Level 3
       
 
       
Significant
   
Significant
       
Investments in 
 
Level 1
   
Observable
   
Unobservable
       
Securities (Assets) 
 
Quoted Prices
   
Inputs
   
Inputs
   
Total
 
Common Stocks 
 
$
130,448
   
$
1,444,843
   
$
699,488
   
$
2,274,779
 
Preferred Stocks 
   
     
2,244,182
     
591,396
     
2,835,578
 
Warrants 
   
     
     
131
     
131
 
Closed-End Funds 
   
29,090,842
     
     
     
29,090,842
 
Money Market Fund 
   
9,049,257
     
     
     
9,049,257
 
Senior Floating Rate Interests 
   
     
209,778,896
     
66,904,383
     
276,683,279
 
Asset-Backed Securities 
   
     
104,902,983
     
12,776,016
     
117,678,999
 
Corporate Bonds 
   
     
95,682,713
     
20,623,804
     
116,306,517
 
Collateralized Mortgage Obligations 
   
     
71,553,232
     
4,166,888
     
75,720,120
 
Foreign Government Debt 
   
     
43,500,499
     
     
43,500,499
 
Municipal Bonds 
   
     
1,019,467
     
     
1,019,467
 
Senior Fixed Rate Interests 
   
     
     
826,987
     
826,987
 
U.S. Treasury Bills 
   
     
398,616
     
     
398,616
 
Repurchase Agreements 
   
     
2,666,675
     
     
2,666,675
 
Commercial Paper 
   
     
1,998,851
     
     
1,998,851
 
Options Purchased 
   
     
922,460
     
     
922,460
 
Equity Futures Contracts* 
   
40,208
     
     
     
40,208
 
Interest Rate Swap Agreements* 
   
     
4,628
     
     
4,628
 
Forward Foreign Currency Exchange Contracts* 
   
     
1,574,336
     
     
1,574,336
 
Total Assets 
 
$
38,310,755
   
$
537,692,381
   
$
106,589,093
   
$
682,592,229
 

   
 
         
Level 2
   
Level 3
         
 
         
Significant
   
Significant
         
Investments in 
 
Level 1
   
Observable
   
Unobservable
         
Securities (Liabilities) 
 
Quoted Prices
   
Inputs
   
Inputs
   
Total
 
Corporate Bonds Sold Short 
 
$
   
$
2,625,802
   
$
   
$
2,625,802
 
Options Written 
   
17,355
     
     
     
17,355
 
Credit Default Swap Agreements* 
   
     
1,921,108
     
     
1,921,108
 
Total Return Swap Agreements* 
           
15,683
             
15,683
 
Forward Foreign Currency Exchange Contracts* 
   
     
333,013
     
     
333,013
 
Unfunded Loan Commitments (Note 11) 
   
     
     
529,028
     
529,028
 
Total Liabilities 
 
$
17,355
   
$
4,895,606
   
$
529,028
   
$
5,441,989
 
 
*   This derivative is reported as unrealized appreciation/depreciation at period end.
Please refer to the detailed Schedule of Investments for a breakdown of investment type by industry category.
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 47


   
SCHEDULE OF INVESTMENTS (Unaudited) continued 
November 30, 2019 
 
The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:
             
 
Ending Balance at 
 
Valuation 
Unobservable 
Input 
Weighted 
Category 
November 30, 2019
 
Technique 
Inputs 
Range 
Average* 
Assets: 
 
 
 
 
 
 
Asset-Backed Securities 
$ 8,382,080 
 
Yield Analysis 
Yield 
3.0%-13.0% 
5.4% 
Asset-Backed Securities 
4,393,936 
 
Option Adjusted 
Broker Quote 
— 
— 
 
 
 
Spread off prior 
 
 
 
 
 
 
month end broker 
 
 
 
 
 
 
quote 
 
 
 
Collateralized Mortgage 
4,166,888 
 
Option Adjusted 
Broker Quote 
— 
— 
Obligations 
 
 
Spread off prior 
 
 
 
 
 
 
month end broker 
 
 
 
 
 
 
quote 
 
 
 
Common Stocks 
699,488 
 
Enterprise Value 
Valuation Multiple 
1.9x-15.8x 
9.4x 
Corporate Bonds 
19,634,055 
 
Option Adjusted 
Broker Quote 
— 
— 
 
 
 
Spread off prior 
 
 
 
 
 
 
month end broker 
 
 
 
 
 
 
quote 
 
 
 
Corporate Bonds 
989,749 
 
Yield Analysis 
Yield 
4.7% 
— 
Preferred Stocks 
591,396 
 
Enterprise Value 
Valuation Multiple 
16.8x 
— 
Senior Fixed Rate Interests 
826,987 
 
Model Price 
Market Comparable Yields 
8.8% 
— 
Senior Floating Rate Interests 
46,613,920 
 
Third Party Pricing 
Broker Quote 
— 
— 
Senior Floating Rate Interests 
3,828,272 
 
Option Adjusted 
Broker Quote 
— 
— 
 
 
 
Spread off prior 
 
 
 
 
 
 
month end broker 
 
 
 
 
 
 
quote 
 
 
 
Senior Floating Rate Interests 
9,893,380 
 
Yield Analysis 
Yield 
5.0%-9.9% 
7.5% 
Senior Floating Rate Interests 
2,863,865 
 
Model Price 
Liquidation Value 
— 
— 
Senior Floating Rate Interests 
2,316,384 
 
Model Price 
Market Comparable Yields 
5.8%-10.2% 
7.7% 
Senior Floating Rate Interests 
986,687 
 
Enterprise Value 
Valuation Multiple 
11.0x 
11.0x 
Senior Floating Rate Interests 
401,875 
 
Model Price 
Purchase Price 
— 
— 
Warrants 
131 
 
Enterprise Value 
Valuation Multiple 
16.8x 
— 
Total Assets 
$ 106,589,093 
 
 
 
 
 
Liabilities: 
 
 
 
 
 
 
Unfunded Loan Commitments 
$ 529,028 
 
Model Price 
Purchase Price 
— 
— 
 
*    Inputs are weighted by the fair value of the instruments.
Significant changes in quote, yield, market comparable yields, liquidation value, purchase price or valuation multiples would generally result in significant changes in the fair value of the security.
The Fund’s fair valuation leveling guidelines were recently revised to classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3 rather than Level 2, 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 November 30, 2019, the Fund had securities with a total value of $34,696,935 transfer into Level 3 from Level 2 due to lack of observable inputs and had securities with a
See notes to financial statements.

48 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
SCHEDULE OF INVESTMENTS (Unaudited) continued 
November 30, 2019 
 
total market value of $5,240 transfer out of Level 3 to 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 of the period ended November 30, 2019:
                                                             
 
 
Assets
         
Liabilities
 
 
                   
Senior
                     
Senior
             
 
       
Collateralized
         
Floating
                     
Fixed
         
Unfunded
 
 
 
Asset-Backed
   
Mortgage
   
Corporate
   
Rate
         
Common
   
Preferred
   
Rate
   
Total
   
Loan
 
 
 
Securities
   
Obligations
   
Bonds
   
Interests
    Warrants    
Stocks
   
Stocks
   
Interests
   
Assets
    Commitments
 
Beginning 
                                                           
Balance 
 
$
9,756,075
   
$
3,932,893
   
$
4,421,050
   
$
20,824,542
   
$
131
   
$
717,392
   
$
559,157
   
$
835,218
   
$
41,046,458
   
$
(633,706
)
Purchases/ 
                                                                               
(Receipts) 
   
3,537,501
     
     
17,109,653
     
17,380,161
     
     
     
32,239
     
     
38,059,554
     
(298,503
)
(Sales, 
                                                                               
maturities 
                                                                               
and paydowns)/ 
                                                                               
Fundings 
   
(277,431
)
   
     
(313,402
)
   
(6,063,495
)
   
     
(39,350
)
   
     
     
(6,693,678
)
   
241,338
 
Amortization of 
                                                                               
premiums/ 
                                                                               
discount 
   
164,615
     
(3,733
)
   
31,190
     
30,991
     
     
     
     
2,794
     
225,857
     
 
Total realized 
                                                                               
gains (losses) 
                                                                               
included in 
                                                                               
earnings 
   
     
     
     
(498,708
)
   
     
31,700
     
     
     
(467,008
)
   
110,700
 
Total change in 
                                                                               
unrealized 
                                                                               
appreciation 
                                                                               
(depreciation) 
                                                                               
included in 
                                                                               
earnings 
   
(404,744
)
   
237,728
     
(624,687
)
   
539,197
     
     
(10,254
)
   
     
(11,025
)
   
(273,785
)
   
51,143
 
Transfers into 
                                                                               
Level 3 
   
     
     
     
34,696,935
     
     
     
     
     
34,696,935
     
 
Transfers out of 
                                                                               
Level 3 
   
     
     
     
(5,240
)
   
     
     
     
     
(5,240
)
   
 
Ending Balance 
 
$
12,776,016
   
$
4,166,888
   
$
20,623,804
   
$
66,904,383
   
$
131
   
$
699,488
   
$
591,396
   
$
826,987
   
$
106,589,093
   
$
(529,028
)
Net change in 
                                                                               
unrealized 
                                                                               
appreciation 
                                                                               
(depreciation) 
                                                                               
for investments 
                                                                               
in Level 3 securities 
                                                                               
still held at 
                                                                               
November 30, 
                                                                               
2019 
 
$
(404,744
)
 
$
237,728
   
$
(624,687
)
 
$
82,781
   
$
   
$
(10,254
)
  $    
$
(11,025
)
  $ (730,201 )  
$
132,733
 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 49


   
SCHEDULE OF INVESTMENTS (Unaudited) continued 
November 30, 2019 
 
Repurchase Agreements
In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian takes possession of the underlying collateral. For the following repurchase agreements, the collateral is in the possession of the Fund’s custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements, with the exception of where securities are being sold short. The interest rate on repurchase agreements is market driven and based on the underlying collateral obtained.
The Fund may engage in repurchase agreements. Repurchase agreements are fixed income securities in the form of agreements backed by collateral. These agreements typically involve the acquisition by the Fund of securities from the selling institution coupled with the agreement that the selling institution will repurchase the underlying securities at a specified price and at a fixed time in the future. The Fund may accept a wide variety of underlying securities as collateral for the repurchase agreements entered into by the Fund. Any such securities serving as collateral are marked-to-market daily in order to maintain full collateralization. Securities purchased under repurchase agreements are reflected as an asset on the Statement of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statement of Operations.
The use of repurchase agreements involves certain risks. For example, if the selling institution defaults on its obligation to repurchase the underlying securities at a time when the value of securities has declined, the Fund may incur a loss upon disposition of them. In the event of an insolvency or bankruptcy by the selling institution, the Fund’s right to control the collateral could be affected and result in certain costs and delays. In addition, the Fund could incur a loss if the value of the underlying collateral falls below the agreed upon repurchase price.
At November 30, 2019, the repurchase agreements in the account were as follows:
               
Counterparty and 
 
 
Repurchase 
 
 
 
 
Terms of Agreement 
Face Value 
 
Price 
 
Collateral 
Par Value 
Fair Value 
Citigroup Global Markets, Inc. 
 
 
 
 
Dollar Tree, Inc. 
 
 
1.25% - 1.35% 
 
 
 
 
4.00% 
 
 
Open Maturity* 
$1,679,000 
 
$1,679,000 
 
05/15/251 
$ 910,000 
$ 960,232 
 
 
 
 
 
Spirit AeroSystems, Inc. 
 
 
 
 
 
 
 
4.60% 
 
 
 
 
 
 
 
06/15/281 
400,000 
433,840 
 
 
 
 
 
Flex Ltd. 
 
 
 
 
 
 
 
4.75% 
 
 
 
 
 
 
 
06/15/251 
85,000 
91,520 
 
 
 
 
 
Univision Communications, Inc. 
 
 
 
 
 
 
 
5.13% 
 
 
 
 
 
 
 
02/15/251 
85,000 
81,923 
 
 
 
 
 
Harley-Davidson, Inc. 
 
 
 
 
 
 
 
3.50% 
 
 
 
 
 
 
 
07/28/251 
50,000 
52,075 
 
 
 
 
 
Univision Communications, Inc. 
 
 
 
 
 
 
 
5.13% 
 
 
 
 
 
 
 
05/15/231 
35,000 
34,517 
 
 
 
 
 
 
1,565,000 
1,654,107 
 
See notes to financial statements.

50 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
SCHEDULE OF INVESTMENTS (Unaudited) continued 
November 30, 2019 
 
 

 
Counterparty and 
 
 
Repurchase 
 
 
 
 
Terms of Agreement 
Face Value 
 
Price 
 
Collateral 
Par Value 
Fair Value 
BofA Securities, Inc. 
 
 
 
 
Spirit AeroSystems, Inc. 
 
 
1.35% - 1.40% 
 
 
 
 
4.60% 
 
 
Open Maturity* 
$930,662 
 
$930,662 
 
06/15/281 
$ 410,000 
$ 444,686 
 
 
 
 
 
Dollar Tree, Inc. 
 
 
 
 
 
 
 
4.00% 
 
 
 
 
 
 
 
05/15/251 
290,000 
306,008 
 
 
 
 
 
Flex Ltd. 
 
 
 
 
 
 
 
4.75% 
 
 
 
 
 
 
 
06/15/251 
85,000 
91,520 
 
 
 
 
 
Univision Communications, Inc. 
 
 
 
 
 
 
 
5.13% 
 
 
 
 
 
 
 
02/15/251 
60,000 
57,828 
 
 
 
 
 
Univision Communications, Inc. 
 
 
 
 
 
 
 
5.13% 
 
 
 
 
 
 
 
05/15/231 
15,000 
14,793 
 
 
 
 
 
 
860,000 
914,835 
RBC Capital Markets LLC 
 
 
 
 
Harley-Davidson, Inc. 
 
 
1.30% 
 
 
 
 
3.50% 
 
 
Open Maturity* 
52,375 
 
52,375 
 
07/28/251 
50,000 
52,075 
 
BNP Paribas 
 
 
 
 
Univision Communications, Inc. 
 
 
1.35% 
 
 
 
 
5.13% 
 
 
Open Maturity* 
4,638 
 
4,638 
 
02/15/251 
5,000 
4,819 
 
*
The rate is adjusted periodically by the counterparty, subject to approval by the Adviser, and is not based upon a set reference rate and spread. Rate indicated is the rate effective at November 30, 2019.
1
Collateral is related to securities which are being sold short.
 
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 November 30, 2019, in which the company is an affiliated issuer, were as follows:
               
 
 
 
 
 
Change in 
 
Shares/ 
 
 
 
 
Realized 
Unrealized 
 
Face 
 
Value 
 
 
Gain 
Appreciation 
Value 
Amount 
Security Name 
05/31/19 
Additions 
Reductions 
(Loss) 
(Depreciation) 
11/30/19 
11/30/19 
Common Stocks 
 
 
 
 
 
 
 
BP Holdco LLC *,1 
$ 19,447 
$ – 
$ – 
$ – 
$ – 
$ 19,447 
55,076 
Targus Group 
 
 
 
 
 
 
 
International Equity, Inc.*,1 
28,515 
– 
(7,651) 
– 
1,819 
22,683 
12,989 
Senior Floating Rate Interests 
 
 
 
 
 
 
 
Targus Group 
 
 
 
 
 
 
 
International, Inc. 
 
 
 
 
 
 
 
due 05/24/16*,1,2,3 
–** 
– 
– 
– 
– 
–** 
$155,450 
 
$ 47,962 
$ – 
$ (7,651) 
$ – 
$ 1,819 
$ 42,130 
 
   
Non-income producing security. 
** 
Market value is less than $1. 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 51


   
SCHEDULE OF INVESTMENTS (Unaudited) continued 
November 30, 2019 
 
 
1
Security was fair valued by the Valuation Committee at November 30, 2019. The total market value of fair valued and affiliated securities amounts to $42,130, (cost $170,660) or less than 0.1% of total net assets.
2
Security is in default of interest and/or principal obligations.
3
Variable rate security. Rate indicated is the rate effective at November 30, 2019. 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.
 

52 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) 
November 30, 2019 
 

   
ASSETS: 
     
Investments in unaffiliated issuers, at value (cost $704,381,390) 
 
$
678,264,252
 
Investments in affiliated issuers, at value (cost $170,660) 
   
42,130
 
Repurchase agreements, at value (cost $2,666,675) 
   
2,666,675
 
Cash 
   
1,009,383
 
Restricted cash 
   
1,877,875
 
Unrealized appreciation on forward foreign currency exchange contracts 
   
1,574,336
 
Unamortized upfront premiums paid on credit default swap agreements 
   
3,179
 
Unamortized upfront premiums paid on interest rate swap agreements 
   
263
 
Prepaid expenses 
   
7,722
 
Receivables: 
       
Interest 
   
3,286,830
 
Investments sold 
   
1,805,315
 
Fund shares sold 
   
731,338
 
Dividends 
   
60,422
 
Variation margin on credit default swap agreements 
   
17,260
 
Tax reclaims 
   
1,909
 
Other assets 
   
6,813
 
Total assets 
   
691,355,702
 
         
LIABILITIES: 
       
Unfunded loan commitments, at value (Note 11) (Commitment fees received $1,190,262) 
   
529,028
 
Securities sold short, at value (proceeds $2,369,340) 
   
2,625,802
 
Options written, at value (premiums received $12,834) 
   
17,355
 
Unamortized upfront premiums received on credit default swap agreements 
   
963,613
 
Unrealized depreciation on OTC swap agreements 
   
475,800
 
Unrealized depreciation on forward foreign currency exchange contracts 
   
333,013
 
Segregated cash due to broker 
   
1,420,000
 
Payable for: 
       
Investments purchased 
   
7,582,069
 
Investment advisory fees 
   
573,248
 
Offering costs 
   
563,403
 
Protection fees on credit default swap agreements 
   
235,480
 
Professional fees 
   
111,266
 
Trustees’ fees and expenses* 
   
26,727
 
Variation margin on interest rate swap agreements 
   
6,739
 
Swap settlement 
   
4,314
 
Variation margin on futures contracts 
   
3,540
 
Other liabilities 
   
88,803
 
Total liabilities 
   
15,560,200
 
NET ASSETS 
 
$
675,795,502
 
         
NET ASSETS CONSIST OF: 
       
Common stock, $0.01 par value per share; unlimited number of shares 
       
authorized, 39,484,231 shares issued and outstanding 
 
$
394,842
 
Additional paid-in capital 
   
750,929,960
 
Total distributable earnings (loss) 
   
(75,529,300
)
NET ASSETS 
 
$
675,795,502
 
Shares outstanding ($0.01 par value with unlimited amount authorized) 
   
39,484,231
 
Net asset value 
 
$
17.12
 
 
*    Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 53


   
STATEMENT OF OPERATIONS 
November 30, 2019 
For the Six Months Ended November 30, 2019 (Unaudited) 
 

   
INVESTMENT INCOME: 
     
Interest from securities of unaffiliated issuers (net of foreign tax withholding $584) 
 
$
20,874,402
 
Dividends from securities of unaffiliated issuers 
   
440,673
 
Total investment income 
   
21,315,075
 
         
EXPENSES: 
       
Investment advisory fees 
   
3,314,908
 
Professional fees 
   
146,909
 
Administration fees 
   
69,778
 
Fund accounting fees 
   
68,776
 
Trustees’ fees and expenses* 
   
56,913
 
Printing fees 
   
52,370
 
Custodian fees 
   
43,902
 
Short sales interest expense 
   
37,499
 
Registration and filing fees 
   
29,745
 
Interest expense 
   
14,066
 
Transfer agent fees 
   
10,166
 
Insurance 
   
6,528
 
Miscellaneous 
   
7,682
 
Total expenses 
   
3,859,242
 
Net investment income 
   
17,455,833
 
         
NET REALIZED AND UNREALIZED GAIN (LOSS): 
       
Net realized gain (loss) on: 
       
Investments in unaffiliated issuers 
   
(1,665,658
)
Investments sold short 
   
(11,698
)
Swap agreements 
   
(632,803
)
Futures contracts 
   
78,278
 
Options purchased 
   
(749,134
)
Options written 
   
116,691
 
Forward foreign currency exchange contracts 
   
662,056
 
Foreign currency transactions 
   
(75,169
)
Net realized loss 
   
(2,277,437
)
Net change in unrealized appreciation (depreciation) on: 
       
Investments in unaffiliated issuers 
   
(10,149,286
)
Investments in affiliated issuers 
   
1,819
 
Investments sold short 
   
(122,966
)
Swap agreements 
   
(1,265,492
)
Futures contracts 
   
58,377
 
Options purchased 
   
(839,938
)
Options written 
   
15,820
 
Forward foreign currency exchange contracts 
   
1,429,759
 
Foreign currency translations 
   
1,718
 
Net change in unrealized appreciation (depreciation) 
   
(10,870,189
)
Net realized and unrealized loss 
   
(13,147,626
)
Net increase in net assets resulting from operations 
 
$
4,308,207
 
 
*    Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
See notes to financial statements.

54 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


     
STATEMENTS OF CHANGES IN NET ASSETS 
 
November 30, 2019 
 

   
 
 
Six Months Ended
       
 
 
November 30, 2019
   
Year Ended
 
 
 
(Unaudited)
   
May 31, 2019
 
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: 
           
Net investment income 
 
$
17,455,833
   
$
30,692,430
 
Net realized loss on investments 
   
(2,277,437
)
   
(9,560,369
)
Net change in unrealized appreciation (depreciation) 
               
on investments 
   
(10,870,189
)
   
(2,624,459
)
Net increase in net assets resulting from operations 
   
4,308,207
     
18,507,602
 
DISTRIBUTIONS: 
               
Distributions to shareholders 
   
(41,217,132
)
   
(40,514,482
)
Return of capital 
   
     
(28,880,612
)
Total distributions 
   
(41,217,132
)
   
(69,395,094
)
   
SHAREHOLDER TRANSACTIONS: 
               
Proceeds from shares issued through at-the-market offering 
   
66,793,714
     
155,705,147
 
Reinvestments of distributions 
   
4,482,895
     
6,817,561
 
Common shares offering costs charged to paid-in capital 
   
(396,796
)
   
(61,023
)
Net increase in net assets resulting from shareholder transactions 
   
70,879,813
     
162,461,685
 
Net increase in net assets 
   
33,970,888
     
111,574,193
 
NET ASSETS: 
               
Beginning of period 
   
641,824,614
     
530,250,421
 
End of period 
 
$
675,795,502
   
$
641,824,614
 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 55


   
STATEMENT OF CASH FLOWS (Unaudited) 
November 30, 2019 
For the Six Months Ended November 30, 2019 
 

       
Cash Flows from Operating Activities: 
     
Net increase in net assets resulting from operations 
 
$
4,308,207
 
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to 
       
Net Cash Used in Operating and Investing Activities: 
       
Net change in unrealized (appreciation) depreciation on investments 
   
10,270,433
 
Net change in unrealized (appreciation) depreciation on options written 
   
(15,820
)
Net change in unrealized (appreciation) depreciation on options purchased 
   
839,938
 
Net change in unrealized (appreciation) depreciation on swap agreements 
   
333,750
 
Net change in unrealized (appreciation) depreciation on forward foreign currency 
       
exchange contracts 
   
(1,429,759
)
Net realized loss on investments 
   
1,677,356
 
Net realized loss on options purchased 
   
749,134
 
Net realized gain on options written 
   
(116,691
)
Net realized loss on swap agreements 
   
106,914
 
Purchase of long-term investments 
   
(217,001,308
)
Proceeds from sale of long-term investments 
   
99,729,412
 
Net proceeds from sale of short-term investments 
   
77,703,379
 
Return of capital distributions received from investments 
   
7,651
 
Net accretion of discount and amortization of premium 
   
(3,903,611
)
Corporate actions and other payments 
   
(17,548
)
Premiums received on options written 
   
76,012
 
Cost of closing options written 
   
(132,676
)
Commitment fees received and repayments of unfunded loan commitments 
   
(135,610
)
Increase in interest receivable 
   
(150,685
)
Increase in dividends receivable 
   
(60,422
)
Increase in investments sold receivable 
   
(1,311,701
)
Decrease in variation margin on credit default swap agreements 
   
104,040
 
Decrease in prepaid expenses 
   
21,100
 
Decrease in tax reclaims receivable 
   
72
 
Increase in other assets 
   
(6,813
)
Decrease in investments purchased payable 
   
(3,819,115
)
Decrease in professional fees payable 
   
(93,464
)
Increase in segregated cash due to broker 
   
1,420,000
 
Increase in investment advisory fees payable 
   
12,677
 
Increase in swap settlement payable 
   
4,314
 
Decrease in protection fees on credit default swap agreements 
   
(3,271
)
Increase in variation margin on interest rate swap agreements 
   
6,739
 
Decrease in variation margin on futures contracts 
   
(11,820
)
Increase in trustees’ fees and expenses payable* 
   
2,806
 
Increase in accrued expenses and other liabilities 
   
14,744
 
Net Cash Used in Operating and Investing Activities 
 
$
(30,821,636
)
 
See notes to financial statements.

56 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
STATEMENT OF CASH FLOWS (Unaudited) continued 
November 30, 2019 
For the Six Months Ended November 30, 2019 
 

       
Cash Flows From Financing Activities: 
     
Distributions to common shareholders 
 
$
(36,734,237
)
Proceeds from the issuance of common shares 
   
66,788,719
 
Proceeds from reverse repurchase agreements 
   
1,853,563
 
Payments made on reverse repurchase agreements 
   
(1,853,563
)
Offering costs in connection with the issuance of common shares 
   
(269,187
)
Net Cash Provided by Financing Activities 
 
$
29,785,295
 
Net decrease in cash 
   
(1,036,341
)
Cash at Beginning of Year (including foreign currency and restricted cash) 
   
3,923,599
 
Cash at End of Year (including restricted cash)** 
 
$
2,887,258
 
Supplemental Disclosure of Cash Flow Information: 
       
Cash paid during the year for interest 
 
$
14,066
 
Supplemental Disclosure of Non Cash Financing Activity: Dividend reinvestment 
 
$
4,482,895
 
   
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. 
** 
Includes $1,009,383 of cash and $1,877,875 of segregated cash for swap agreements with broker. 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 57


   
FINANCIAL HIGHLIGHTS 
November 30, 2019 
 
   
Period Ended
                               
 
 
November 30,
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
 
 
2019
   
May 31,
   
May 31,
   
May 31,
   
May 31,
   
May 31,
 
 
 
(Unaudited)
   
2019
   
2018
   
2017
   
2016
   
2015
 
   
Per Share Data: 
                                   
Net asset value, beginning of period 
 
$
17.91
   
$
19.12
   
$
19.78
   
$
17.50
   
$
19.61
   
$
20.56
 
Income from investment operations: 
                                               
Net investment income(a) 
   
0.46
     
0.97
     
1.23
     
1.61
     
1.40
     
1.28
 
Net gain (loss) on investments (realized and unrealized) 
   
(0.16
)
   
0.01
     
0.30
     
2.86
     
(1.33
)
   
(0.05
)
Total from investment operations 
   
0.30
     
0.98
     
1.53
     
4.47
     
0.07
     
1.23
 
Less distributions from: 
                                               
Net investment income 
   
(1.09
)
   
(1.12
)
   
(2.01
)
   
(2.18
)
   
(1.82
)
   
(1.42
)
Capital gains 
   
     
(0.16
)
   
(0.18
)
   
(0.01
)
   
(0.36
)
   
(0.76
)
Return of capital 
   
     
(0.91
)
   
     
     
     
 
Total distributions to shareholders 
   
(1.09
)
   
(2.19
)
   
(2.19
)
   
(2.19
)
   
(2.18
)
   
(2.18
)
Net asset value, end of period 
 
$
17.12
   
$
17.91
   
$
19.12
   
$
19.78
   
$
17.50
   
$
19.61
 
Market value, end of period 
 
$
19.36
   
$
19.96
   
$
21.29
   
$
20.94
   
$
17.61
   
$
21.21
 
   
Total Return(b) 
                                               
Net asset value 
   
1.66
%
   
5.43
%
   
8.02
%
   
26.76
%
   
0.80
%
   
6.39
%
Market value 
   
2.76
%
   
4.94
%
   
13.31
%
   
33.33
%
   
-6.07
%
   
8.08
%
Ratios/Supplemental Data: 
                                               
Net assets, end of period (in thousands) 
 
$
675,796
   
$
641,825
   
$
530,250
   
$
410,465
   
$
310,246
   
$
342,988
 
Ratio to average net assets of: 
                                               
Net investment income, including interest expense 
   
5.28
%(f)
   
5.26
%
   
6.27
%
   
8.55
%
   
7.79
%
   
6.44
%
Total expenses, including interest expense(c)(d) 
   
1.17
%(f)
   
1.17
%
   
1.52
%
   
2.35
%
   
2.38
%
   
2.16
%
Portfolio turnover rate 
   
17
%
   
38
%
   
48
%
   
41
%
   
116
%
   
86
%
 
See notes to financial statements.

58 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
FINANCIAL HIGHLIGHTS continued 
November 30, 2019 
 
   
Period Ended
                               
 
 
November 30,
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
   
Year Ended
 
 
 
2019
   
May 31,
   
May 31,
   
May 31,
   
May 31,
   
May 31,
 
 
 
(Unaudited)
   
2019
   
2018
   
2017
   
2016
   
2015
 
   
Senior Indebtedness: 
                                   
Borrowings-committed facility agreement (in thousands) 
   
N/A
     
N/A
     
N/A
   
$
16,705
   
$
9,355
   
$
45,489
 
Asset Coverage per $1,000 of borrowing(e) 
   
N/A
     
N/A
     
N/A
   
$
25,571
   
$
34,164
   
$
8,540
 
 
   
(a) 
Based on average shares outstanding. 
(b) 
Total return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported either at net asset value (“NAV”) or market price per share. Dividends and distributions are assumed to be reinvested at NAV for NAV returns or the prices obtained under the Fund’s Dividend Reinvestment Plan for market value returns. Total return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. 
(c) 
The ratios of total expenses to average net assets applicable to common shares do not reflect fees and expenses incurred indirectly by the Fund as a result of its investment in shares of other investment companies. If these fees were included in the expense ratios, the expense ratios would increase by 0.00%*, 0.00%*, 0.00%*, 0.00%*, 0.02% and 0.03% for the period ended November 30, 2019 and for the years ended May 31, 2019, 2018, 2017, 2016, and 2015 respectively. 
(d) 
Excluding interest expense, the operating expense ratios for the period ended November 30, 2019 and the years ended May 31 would be: 
 
           
November 30, 
 
 
 
 
 
2019 
 
 
 
 
 
(Unaudited) 
2019 
2018 
2017 
2016 
2015 
1.16% 
1.15% 
1.33% 
1.62% 
1.74% 
1.72% 
 
   
(e) 
Calculated by subtracting the Fund’s total liabilities (not including the borrowings) from the Fund’s total assets and dividing by the borrowings. 
(f) 
Annualized. 
Less than 0.01%. 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 59


   
NOTES TO FINANCIAL STATEMENTS (Unaudited) 
November 30, 2019 
 
Note 1 – Organization
Guggenheim Strategic Opportunities Fund (the “Fund”) was organized as a Delaware statutory trust on November 13, 2006. 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.
Note 2 – 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”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.
Valuations of the Fund’s securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price.

60 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
Open-end investment companies are valued at their net asset value (“NAV”) as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and Guggenheim Funds Investment Advisors, LLC (“GFIA or the “Adviser”) are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.
Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
Typically, loans are valued using information provided by an independent third party pricing service which uses broker quotes. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded. Over-the-counter (“OTC”) options are valued using a price provided by a pricing service.
The value of futures contracts is accounted for using the unrealized appreciation or depreciation on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 61


   
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The value of interest rate swap agreements entered into by the Fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the spread priced off the previous day’s Chicago Mercantile Exchange price.
The values of over-the-counter (“OTC”) swap agreements and credit default swap agreements entered into by a fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying positions that the swaps pertain to at the close NYSE.
Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GFIA, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis.
(b) Investment Transactions and Investment Income
Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded on an accrual basis. Discounts or premiums on debt securities purchased are accreted or amortized to interest income over the lives of the respective securities using the effective interest method. Paydown gains and losses on mortgage-backed and asset-backed securities are treated as an adjustment to interest income.
Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.
(c) Senior Floating Rate Interests and Loan Investments
Senior floating rate interests in which the Fund invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as

62 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
the one-month or three-month London Inter-Bank Offered Rate (“LIBOR”), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities disclosed on the Schedule of Investments.
The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.
(d) Currency Translations
The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions.
Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Fund does not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange appreciation and depreciation arise from changes in the fair

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NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
(e) Forward Foreign Currency Exchange Contracts
Forward foreign currency exchange contracts are agreements between two parties to buy and sell currencies at a set price on a future date. Fluctuations in the value of open forward foreign currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and depreciation by the Fund until the contracts are closed. When the contracts are closed, realized gains and losses are recorded, and included on the Statement of Operations in forward foreign currency exchange contracts.
(f) Distributions to Shareholders
The Fund declares and pays monthly distributions to common shareholders. These distributions consist of investment company taxable income, which generally includes qualified dividend income, ordinary income and short-term capital gains. Any net realized long-term capital gains are distributed annually to common shareholders. To the extent distributions exceed taxable income, the excess will be deemed a return of capital.
Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
(g) Restricted Cash
A portion of cash on hand relates to collateral received by the Fund for repurchase agreements and futures contracts. This amount, if any, is presented on the Statement of Assets and Liabilities as Restricted Cash. At November 30, 2019, there was $1,877,875 of restricted cash outstanding.
(h) U.S. Government Agency Obligations
Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedule of Investments reflect the effective rates paid at the time of purchase by the Fund. Other securities bear interest at the rates shown, payable at fixed dates through maturity.
(i) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

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NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
(j) Options
Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.
When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).
(k) Futures Contracts
Upon entering into a futures contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
(l) Short Sales
When the Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
(m) Indemnifications
Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 65


   
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
Note 3 – Financial Instruments and Derivatives
As part of its investment strategy, the Fund utilizes short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized in the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 2 of these Notes to Financial Statements.
Short Sales
A short sale is a transaction in which the Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Fund utilized derivatives for the following purposes:
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

66 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.
The following table represents the Fund’s use and volume of call/put options purchased on a monthly basis:
             
 
 
Average Notional Amount
 
Use 
 
Call
   
Put
 
Hedge 
 
$
   
$
554,756,011
 
 
The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.
The following table represents the Fund’s use and volume of call/put options written on a monthly basis:
             
 
 
Average Notional Amount
 
Use 
 
Call
   
Put
 
Hedge, Income 
 
$
900,194
   
$
 
 
Futures Contracts
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statement of Assets and Liabilities; securities held as collateral are noted on the Schedule of Investments.
The following table represents the Fund’s use and volume of futures on a monthly basis:
             
 
 
Average Notional Amount
 
Use 
 
Long
   
Short
 
Index Exposure 
 
$
924,615
   
$
 
 

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NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
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 multilateral 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. Upon entering into certain centrally-cleared swap transactions, the Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin payments or receipts are made or received by the Fund, depending on fluctuations in the fair value of the reference entity.
For a fund utilizing centrally cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing total return swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.
The following table represents the Fund’s use and volume of total return swaps on a monthly basis:
             
 
 
Average Notional Amount
 
Use 
 
Long
   
Short
 
Income 
 
$
1,199,751
   
$
 
 
Interest rate swaps involve the exchange by the Fund with another party for its respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, but central clearing does not make interest rate swap transactions risk free.
The following table represents the Fund’s use and volume of interest rate swaps on a monthly basis:
             
 
 
Average Notional Amount
 

 
Pay
   
Receive
 
Use
 
Floating Rate
   
Floating Rate
 
Hedge 
 
$
   
$
1,593,333
 
 

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NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. The Fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The Notional Amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will received a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.
The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The following table represents the Fund’s use and volume of credit default swaps on a monthly basis:
             
 
 
Average Notional Amount
 
 
 
Protection
   
Protection
 
Use 
 
Sold
   
Purchased
 
Hedge 
 
$
   
$
117,740,000
 
 

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NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.
The following table represents the Fund’s use, and volume of forward foreign currency exchange contracts on a monthly basis:
             
 
 
Average Value
 
Use 
 
Purchased
   
Sold
 
Hedge,Income 
 
$
10,281,401
   
$
76,769,976
 
 
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of November 30, 2019:
     
Derivative Investment Type 
Asset Derivatives 
Liability Derivatives 
Equity contracts 
Investments in unaffiliated 
Variation margin on 
 
issuers, at value 
futures contracts 
 
 
Options written, at value 
 
Interest rate contracts 
Investments in unaffiliated 
Variation margin on interest 
 
issuers, at value 
rate swap agreements 
 
Credit contracts 
Unamortized upfront premiums 
Unrealized depreciation on 
 
paid on credit default 
OTC swap agreements 
 
swap agreements 
 
 
 
Variation margin on credit 
Unamortized upfront 
 
default swap agreements 
premiums received on credit 
 
 
default swap agreements 
 
Currency contracts 
Unrealized appreciation on 
Unrealized depreciation on 
 
forward foreign currency 
forward foreign currency 
 
exchange contracts 
exchange contracts 
 

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NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
The following table sets forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at November 30, 2019:
                                       
Asset Derivative Investments Value
 
                        Options
   
Forward
       
     
Swaps
         
Options
   
Purchased
   
Foreign
       
Futures
   
Interest
   
Swaps
   
Written
   
Interest
   
Currency
   
Total Value at
 
Equity
   
Rate
   
Credit
   
Equity
   
Rate
   
Exchange
   
November 30,
 
Risk*
   
Risk
   
Risk*
   
Risk
   
Risk
   
Risk
   
2019
 
$
40,208
   
$
4,628
   
$
   
$
   
$
922,460
   
$
1,574,336
   
$
2,541,632
 
   
   
Liability Derivative Investments Value
 
                               
Options
   
Forward
         
       
Swaps
           
Options
   
Purchased
   
Foreign
         
Futures
   
Interest
   
Swaps
   
Written
   
Interest
   
Currency
   
Total Value at
 
Equity
   
Rate
   
Credit
   
Equity
   
Rate
   
Exchange
   
November 30,
 
Risk*
   
Risk
   
Risk*
   
Risk
   
Risk
   
Risk
     
2019
 
$
   
$
   
$
1,936,791
   
$
17,355
   
$
   
$
333,013
   
$
2,287,159
 
 
*
Includes cumulative appreciation (depreciation) of futures contracts and OTC and centrally-cleared swap agreements as reported on the Schedule of Investments. For futures contracts and centrally-cleared swaps, variation margin is reported within the Statement of Assets and Liabilities.
 
The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the period ended November 30, 2019:
   
Derivative Investment Type 
Location of Gain (Loss) on Derivatives 
Equity contracts 
Net realized gain (loss) on futures contracts 
 
Net change in unrealized appreciation 
 
(depreciation) on futures contracts 
 
Net realized gain (loss) on options written 
 
Net change in unrealized appreciation 
 
(depreciation) on options written 
 
Interest rate contracts 
Net realized gain (loss) on options purchased 
 
Net change in unrealized appreciation 
 
(depreciation) on options purchased 
 
Net realized gain (loss) on swap agreements 
 
Net change in unrealized appreciation 
 
(depreciation) on swap agreements 
 
Credit contracts 
Net realized gain (loss) on swap agreements 
 
Net change in unrealized appreciation 
 
(depreciation) on swap agreements 
 
Currency contracts 
Net realized gain (loss) on forward foreign 
 
currency exchange contracts 
 
Net change in unrealized appreciation 
 
(depreciation) on forward foreign currency 
 
exchange contracts 
 

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NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the period ended November 30, 2019:
             
Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations 
 
 
 
 
Options 
Forward 
 
 
Swaps 
 
Options 
Purchased 
Foreign 
 
Futures 
Interest 
Swaps 
Written 
Interest 
Currency 
 
Equity 
Rate 
Credit 
Equity 
Rate 
Exchange 
 
Risk 
Risk 
Risk 
Risk 
Risk 
Risk 
Total 
$ 78,278 
$(632,358)
$ (445) 
$ 116,691 
$ (749,134)
$ 662,056 
$ (524,912) 
 
             
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations 
 
 
 
 
Options 
Forward 
 
 
Swaps 
 
Options 
Purchased 
Foreign 
 
Futures 
Interest 
Swaps 
Written 
Interest 
Currency 
 
Equity 
Rate 
Credit 
Equity 
Rate 
Exchange 
 
Risk 
Risk 
Risk 
Risk 
Risk 
Risk 
Total 
$ 58,377 
$ 4,628 
$(1,270,120)
$ 15,820 
$ (839,938)
$ 1,429,759 
$ (601,474) 
 
In conjunction with short sales and the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.
Foreign Investments
There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. The Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case 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

72 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund.
The 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.
Note 4 – Offsetting
In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately on the Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund,

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NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
                                     
 
             
Net Amount
   
Gross Amounts Not Offset
       
 
       
Gross Amounts
   
of Assets
   
in the Statement of
       
 
 
Gross
   
Offset in the
   
Presented on the
   
Assets and Liabilities
       
 
 
Amounts of
   
Statement of
   
Statement of
         
Cash
       
 
 
Recognized
   
Assets and
   
Assets and
   
Financial
   
Collateral
       
Instrument 
 
Assets1
   
Liabilities
   
Liabilities
   
Instruments
   
Received
   
Net Amount
 
Forward foreign 
                                   
currency 
                                   
exchange 
                                   
contracts 
 
$
1,574,336
   
$
   
$
1,574,336
   
$
(622,884
)
 
$
(620,616
)
 
$
330,836
 
Options purchased 
                                               
contracts 
   
922,460
     
     
922,460
     
     
(679,140
)
   
243,320
 

   
 
             
Net Amount
   
Gross Amounts Not Offset
       
 
       
Gross Amounts
   
of Liabilities
   
in the Statement of
       
 
 
Gross
   
Offset in the
   
Presented on the
   
Assets and Liabilities
       
 
 
Amounts of
   
Statement of
   
Statement of
         
Cash
       
 
 
Recognized
   
Assets and
   
Assets and
   
Financial
   
Collateral
       
Instrument 
 
Liabilities1
   
Liabilities
   
Liabilities
   
Instruments
   
Pledged
   
Net Amount
 
Credit 
                                   
default 
                                   
swap 
                                   
agreements 
 
$
460,117
   
$
   
$
460,117
   
$
(316,794
)
 
$
   
$
143,323
 
Forward foreign 
                                               
currency 
                                               
exchange 
                                               
contracts 
   
333,013
     
     
333,013
     
(306,090
)
   
     
26,923
 
Sovereign 
                                               
debt swap 
                                               
agreements 
   
15,683
     
     
15,683
     
     
     
15,683
 
 
1    Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. 
 

74 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of November 30, 2019.
               
Counterparty 
Asset Type 
 
Cash Pledged
   
Cash Received
 
BofA Securities, Inc. 
Credit default swap agreements 
 
$
1,137,777
   
$
 
BofA Securities, Inc. 
Interest rate swap agreements 
   
740,098
     
 
Citigroup Global Markets Inc. 
Forward foreign currency exchange 
               

contracts, Options purchased
   
     
1,420,000
 
 
  
 
$
1,877,875
   
$
1,420,000
 
 
Note 5 – Fees and Other Transactions with Affiliates
Pursuant to an Investment Advisory Agreement between the Fund and the Adviser, the Adviser furnishes offices, necessary facilities and equipment, provides administrative services, oversees the activities of Guggenheim Partners Investment Management, LLC (“GPIM” or “Sub-Adviser”), provides personnel including certain officers required for the Fund’s administrative management and compensates the officers and trustees of the Fund who are affiliates of the Adviser. As compensation for these services, the Fund pays the Adviser a fee, payable monthly, in an amount equal to 1.00% of the Fund’s average daily managed assets.
Pursuant to a Sub-Advisory Agreement among the Fund, the Adviser and GPIM, GPIM under the supervision of the Fund’s Board of Trustees and the Adviser, provides a continuous investment program for the Fund’s portfolio; provides investment research; makes and executes recommendations for the purchase and sale of securities; and provides certain facilities and personnel, including certain officers required for its administrative management and pays the compensation of all officers and trustees of the Fund who are GPIM’s affiliates. As compensation for its services, the Adviser pays GPIM a fee, payable monthly, in an annual amount equal to 0.50% of the Fund’s average daily managed assets.
For purposes of calculating the fees payable under the foregoing agreements, average daily managed assets means the average daily value of the Fund’s total assets minus the sum of its accrued liabilities. Total assets means all of the Fund’s assets and is not limited to its investment securities. Accrued liabilities means all of the Fund’s liabilities other than borrowings for investment purposes.
Certain officers and trustees of the Fund may also be officers, directors and/or employees of the Adviser or GPIM. The Fund does not compensate its officers who are officers, directors and/or employees of the aforementioned firms.
GFIA pays operating expenses on behalf of the Fund, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis.
MUFG Investor Service (US), LLC (“MUIS”) acts as the Fund’s administrator and accounting agent. As administrator and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 75


   
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
aforementioned services, MUIS and BNY are entitled to receive a monthly fee equal to an annual percentage of the Fund’s average daily managed assets subject to certain minimum monthly fees and out of pocket expenses.
Note 6 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — quoted prices in active markets for identical assets or liabilities.
Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.
Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may be also 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 quote.

76 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 7 – 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 when it is able 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. For the period ended November 30, 2019, the average daily balance for which reverse repurchase agreements were outstanding amounted to $682,964. The weighted average interest rate was (0.80%). As of November 30, 2019, there were no reverse repurchase agreements outstanding.
Note 8 – Borrowings
The Fund has entered into a $80,000,000 credit facility agreement with an approved lender whereby the lender has agreed to provide secured financing to the Fund and the Fund will provide pledged collateral to the lender. Interest on the amount borrowed is based on the 3 month LIBOR plus 0.85%. The Fund did not have any borrowings outstanding in connection with the Fund’s credit facility as of or for the period ended November 30, 2019.
The credit facility agreement governing the loan facility includes usual and customary covenants. These covenants impose on the Fund asset coverage requirements, collateral requirements, investment strategy requirements, and certain financial obligations. These covenants place limits or restrictions on the Fund’s ability to (i) enter into additional indebtedness with a party other than the counterparty, (ii) change its fundamental investment policy, or (iii) pledge to any other party, other than to the counterparty, securities owned or held by the Fund over which the counterparty has a lien. In addition, the Fund is required to deliver financial information to the counterparty within established deadlines, maintain an asset coverage ratio (as defined in Section 18(g) of the 1940 Act) greater than 300%, comply with the rules of the stock exchange on which its shares are listed, and maintain its classification as a “closed-end management investment company” as defined in the 1940 Act.
There is no guarantee that the Fund’s leverage strategy will be successful. The Fund’s use of leverage may cause the Fund’s NAV and market price of common shares to be more volatile and can magnify the effect of any losses.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 77


   
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
Note 9 – 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 November 30, 2019, 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:
       
 
 
 
Net 
 
Tax 
Tax 
Unrealized 
Tax 
Unrealized 
Unrealized 
Appreciation/ 
Cost 
Appreciation 
Depreciation 
(Depreciation) 
$704,883,855 
$10,331,452 
$(37,536,039) 
$(27,204,587) 
 
As of May 31, 2019, (the most recent fiscal year end for U.S. federal income tax purposes) tax components of distributable earnings/)loss) were as follows:
     
 
Net 
 
Accumulated 
Unrealized 
 
Capital and 
Appreciation/ 
 
Other Losses 
(Depreciation) 
Total 
$(14,654,569) 
$(23,965,806) 
$(38,620,375) 
 
For the year ended May 31, 2019, (the most fiscal year end for U.S. federal income tax purposes) the tax character of distributions paid to shareholders as reflected in the Statement of Changes in Net Assets was follows:
       
Ordinary 
Long-Term 
Return of 
 
Income 
Capital Gain 
Capital 
Total 
$38,174,878 
$2,339,604 
$28,880,612 
$69,395,094 
 
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
For all open tax years and all major jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements.

78 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
Uncertain tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns that would not meet a more-likely-than-not threshold of being sustained by the applicable tax authority and would be recorded as tax expense in the current year. Open tax years are those that are open for examination by taxing authorities (i.e. generally the last four tax year ends and the interim tax period since then).
Note 10 – Securities Transactions
For the period ended November 30, 2019, the cost of purchases and proceeds from sales of investment securities, excluding written options, swap agreements, futures contracts and short-term investments were as follows:
   
Purchases 
Sales 
$217,001,308 
$99,729,412 
 
The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period November 30, 2019, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
     
Purchases 
Sales 
Realized Gain 
$2,764,438 
$– 
$– 
 
Note 11 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of November 30, 2019. The Fund is obligated to fund these loan commitments at the borrower’s discretion. The Fund reserves against such contingent obligations by designating cash, liquid securities, illiquid securities, and liquid term loans as a reserve. As of November 30, 2019, the total amount segregated in connection with unfunded loan commitments was $14,927,578.
The unfunded loan commitments as of November 30, 2019, were as follows:
               
Borrower 
Maturity Date 
 
Face Amount*
   
Value
 
Alexander Mann 
12/16/24 
 
GBP 1,250,000
   
$
179,649
 
Anchor Packaging LLC 
07/18/26 
   
296,154
     
1,405
 
Apro LLC 
11/14/26 
   
380,000
     
3,752
 
Aspect Software, Inc. 
07/15/23 
   
211,650
     
2,595
 
BCPE Empire Holdings, Inc. 
06/11/26 
   
272,975
     
2,388
 
Cypress Intermediate Holdings III, Inc. 
04/27/22 
   
1,250,000
     
74,102
 
DCG Acquisition Corp. 
09/30/26 
   
243,333
     
5,981
 
Examworks Group, Inc. 
01/27/23 
   
1,500,000
     
69,770
 
Fortis Solutions Group LLC 
12/15/23 
   
163,320
     
13,540
 
 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 79


   
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
               
Borrower 
Maturity Date 
 
Face Amount*
   
Value
 
Galls LLC 
01/31/25 
   
349,651
   
$
2,908
 
Galls LLC 
01/31/24 
   
24,963
     
2,260
 
Hostess Brands LLC 
08/03/20 
   
500,000
     
9,603
 
Lytx, Inc. 
08/31/22 
   
52,632
     
3,625
 
Mavis Tire Express Services Corp. 
03/20/25 
   
26,154
     
1,460
 
MRI Software LLC 
06/30/23 
   
50,000
     
2,838
 
OEConnection LLC 
09/25/26 
   
147,186
     
717
 
Packaging Coordinators Midco, Inc. 
07/01/21 
   
1,500,000
     
59,416
 
SHO Holding I Corp. 
10/27/21 
   
166,000
     
17,430
 
Situs AMC Holdings Corp. 
06/30/25 
   
129,730
     
 
SLR Consulting Ltd. 
05/23/25 
 
GBP 95,630
     
2,660
 
Solera LLC 
03/03/21 
   
2,033,000
     
72,038
 
Trader Interactive 
06/15/23 
   
115,385
     
 
WIRB - Copernicus Group, Inc. 
08/15/22 
   
287,347
     
891
 
 
 
         
$
529,028
 
 
*    The face amount is denominated in U.S. dollars unless otherwise indicated. 
GBP – British Pound 
 
Note 12 – Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board:
               
Restricted Securities 
Acquisition Date 
 
Cost
   
Value
 
Airplanes Pass Through Trust 
 
           
2001-1A, 2.88% (1 Month USD LIBOR + 0.55%, 
 
           
Rate Floor: 0.55%) due 03/15/191,4 
10/14/09 
 
$
5,384,675
   
$
106,420
 
Atlas Mara Ltd. 
 
               
8.00% due 12/31/20 
10/01/15 
   
2,099,971
     
1,947,000
 
Atlas Senior Loan Fund IX Ltd. 
 
               
2018-9A, due 04/20/282,5 
11/29/12 
   
2,450,500
     
1,118,445
 
Babson CLO Ltd. 
 
               
2014-IA, due 07/20/252 
10/13/17 
   
1,535,100
     
433,242
 
Basic Energy Services, Inc. 
 
               
10.75% due 10/15/23 
09/25/18 
   
496,100
     
357,500
 
Beverages & More, Inc. 
 
               
11.50% due 06/15/22 
06/16/17 
   
628,132
     
409,500
 
Bruin E&P Partners LLC 
 
               
8.88% due 08/01/23 
07/23/18 
   
976,235
     
633,600
 
Carlyle Global Market Strategies CLO Ltd. 
 
               
2012-3A, due 01/14/322 
09/20/12 
   
2,515,500
     
1,286,537
 
CBC Insurance Revenue Securitization LLC 
 
               
2016-1, 5.25% due 07/15/46 
08/09/19 
   
331,300
     
347,647
 
CNB Financial Corp. 
 
               
5.75% due 10/15/263 
09/14/16 
   
2,000,000
     
2,038,855
 
Dryden 37 Senior Loan Fund 
 
               
2015-37A, due 01/15/312 
01/29/15 
   
971,250
     
649,754
 
Dryden 41 Senior Loan Fund 
 
               
2015-41A, due 04/15/312 
04/18/18 
   
879,687
     
706,816
 
Dryden 50 Senior Loan Fund 
 
               
2017-50A, due 07/15/302 
07/24/17 
   
3,089,900
     
2,441,887
 
Exide International Holdings, LP 
 
               
10.75% (in-kind rate was 4.50%) due 10/31/216 
05/31/19 
   
683,332
     
710,989
 
 

80 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
               
Restricted Securities 
Acquisition Date 
 
Cost
   
Value
 
Exide Technologies 
 
           
11.00% due 10/31/245 
07/02/19 
 
$
1,957,262
   
$
1,661,975
 
FDF I Ltd. 
 
               
2015-1A, 7.50% due 11/12/30 
04/22/16 
   
988,483
     
989,247
 
FDF II Ltd. 
 
               
2016-2A, 7.70% due 05/12/31 
04/15/16 
   
2,982,687
     
2,974,679
 
FLNG Liquefaction 2 LLC 
 
               
4.13% due 03/31/38 
07/23/19 
   
111,102
     
116,326
 
Freddie Mac Military Housing Bonds Resecuritization 
               
Trust Certificates 
 
               
2015-R1, 5.49% (WAC) due 11/25/521 
09/10/19 
   
3,708,110
     
3,652,260
 
Highland Park CDO I Ltd. 
 
               
2006-1A, 3.05% (3 Month USD LIBOR + 0.40%, 
 
               
Rate Floor 0.00%) due 11/25/511,5 
04/14/15 
   
110,010
     
133,869
 
KVK CLO Ltd. 
 
               
2013-1A, due 01/14/282,5 
10/21/14 
   
1,802,625
     
713,389
 
Marathon CLO V Ltd. 
 
               
2013-5A, due 11/21/272 
09/28/15 
   
2,147,334
     
349,177
 
Mirabela Nickel Ltd. 
 
               
due 06/24/194 
12/31/13 
   
1,259,370
     
69,409
 
Princess Juliana International Airport Operating 
 
               
Company N.V. 
 
               
5.50% due 12/20/27 
12/17/12 
   
1,453,713
     
1,402,855
 
Turbine Engines Securitization Ltd. 
 
               
2013-1A, 6.38% due 12/13/48 
11/27/13 
   
451,330
     
404,367
 
Venture XIII CLO Ltd. 
 
               
2013-13A, due 09/10/292 
09/28/15 
   
1,009,500
     
504,949
 
Voya CLO Ltd. 
 
               
2013-1A, due 10/15/302 
01/30/18 
   
1,810,750
     
1,259,499
 
West CLO Ltd. 
 
               
2013-1A, due 11/07/252 
11/06/14 
   
982,125
     
200,343
 
 
  
 
$
44,816,083
   
$
27,620,536
 
 

Variable rate security. Rate indicated is the rate effective at November 30, 2019. 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.

Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.

Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.

Security is in default of interest and/or principal obligations.

All or a portion of this security has been physically segregated in connection with unfunded loan commitments.

Payment in-kind security.
 
Note 13 – Capital
Common Shares
The Fund has an unlimited amount of common shares, $0.01 par value, authorized and 39,484,231 issued and outstanding.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 81


   
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued 
November 30, 2019 
 
Transactions in common shares were as follows:
     
 
Period Ended 
 
 
November 30, 
Year Ended 
 
2019 
May 31, 2019 
Beginning shares 
35,845,939 
27,733,512 
Shares issued through at-the-market offering 
3,399,848 
7,758,097 
Shares issued through dividend reinvestment 
238,444 
354,330 
Ending shares 
39,484,231 
35,845,939 
 
On July 1, 2019, the Fund’s shelf registration allowing for delayed or continuous offering of additional shares became effective. The shelf registration statement allows for the issuance of up to $350,000,000 of common shares. On July 1, 2019, the Fund entered into an at-the-market sales agreement with Cantor Fitzgerald & Co. to offer and sell up to 11,250,000 common shares, from time to time, through Cantor Fitzgerald & Co. as agent for the Fund.
As of November 30, 2019, up to 8,587,842 shares remained available under the at-the-market sales agreement. For the period ended November 30, 2019, the Fund paid $269,188 for offering costs associated with the at-the market offering, and will be responsible for additional offering costs in the future of up to 0.60% of the offering price of commons shares sold pursuant to the shelf registration statement.
Note 14 – Recent Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “2017 ASU”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The 2017 ASU does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. As of June 1, 2019, the Fund has fully adopted the provisions of the 2017 ASU which was applied on a modified-retrospective basis, as prescribed. The adoption did not result in a cumulative-effect adjustment as of the beginning of the period and had no impact on total distributable earnings, net assets, the current period results from operations, or any prior period information presented in the financial statements.
Note 15 – Subsequent Events
The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

82 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
OTHER INFORMATION (Unaudited) 
November 30, 2019 
 
Federal Income Tax Information
In January 2020, you will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the U.S. federal tax status of the distributions received by you in the calendar year 2019.
Sector Classification
Information in the “Schedule of Investments” is categorized by sectors using sector-level classifications used by Bloomberg Industry Classifica -tion 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.
Trustees
The Trustees of the Guggenheim Strategic Opportunities Fund and their principal business occupations during the past five years:
           
 
Position(s) 
Term of Office 
 
Number of 
 
Name, Address* 
Held 
and Length 
 
Portfolios in 
 
and Year of Birth 
with 
of Time 
Principal Occupation(s) 
Fund Complex 
Other Directorships 
of Trustees 
Trust 
Served** 
During Past Five Years 
Overseen 
Held by Trustees 
Independent Trustees:
Randall C. Barnes 
Trustee 
Since 2004 
Current: Private Investor (2001-present). 
158 
Current: Trustee, Purpose Investments 
(1951) 
 
 
 
 
Funds (2013-present). 
 
 
 
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); 
 
 
 
 
 
President, Pizza Hut International (1991-1993); Senior Vice President, 
 
Former: Managed Duration Investment 
 
 
 
Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). 
 
Grade Municipal Fund (2003-2016). 
Angela Brock-Kyle 
Trustee 
Since 2019 
Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm). 
157 
Current: Hunt Companies, Inc. (2019- 
(1959) 
 
 
 
 
present). 
 
 
 
Former: Senior Leader, TIAA (financial services firm) (1987-2012). 
 
 
 
 
 
 
 
Former: Infinity Property & Casualty 
 
 
 
 
 
Corp. (2014-2018). 
 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 83


   
OTHER INFORMATION (Unaudited) continued 
November 30, 2019 
 
           
 
Position(s) 
Term of Office 
 
Number of 
 
Name, Address* 
Held 
and Length 
 
Portfolios in 
 
and Year of Birth 
with 
of Time 
Principal Occupation(s) 
Fund Complex 
Other Directorships 
of Trustees 
Trust 
Served** 
During Past Five Years 
Overseen 
Held by Trustees 
Independent Trustees continued:
Donald A. 
Trustee and 
Since 2014 
Current: Retired. 
157 
Former: Midland Care, Inc. (2011-2016). 
Chubb, Jr. 
Chairman of 
 
 
 
 
(1946) 
the Valuation 
 
Former: Business broker and manager of commercial real estate, Griffith & 
 
 
 
Oversight 
 
Blair, Inc. (1997-2017). 
 
 
 
Committee 
 
 
 
 
Jerry B. Farley 
Trustee and 
Since 2014 
Current: President, Washburn University (1997-present). 
157 
Current: CoreFirst Bank & Trust 
(1946) 
Chairman of 
 
 
 
(2000-present). 
 
the Audit 
 
 
 
 
 
Committee 
 
 
 
Former: Westar Energy, Inc. (2004-2018). 
Roman 
Trustee and 
Since 2011 
Current: Founder and Managing Partner, Roman Friedrich & Company 
157 
Former: Zincore Metals, Inc. 
Friedrich III 
Chairman of 
 
(1998-present). 
 
(2009-2019). 
(1946) 
the Contracts 
 
 
 
 
 
Review 
 
 
 
 
 
Committee 
 
 
 
 
Thomas F. 
Trustee and 
Since 2019 
Current: President, Global Trends Investments (registered investment adviser) 
157 
Current: US Global Investors (GROW) 
Lydon, Jr. 
Vice Chairman 
 
(1996-present). 
 
(1995-present); and Harvest Volatility 
(1960) 
of the Contracts 
 
 
 
Edge Trust (3) (2017-present). 
 
Review 
 
 
 
 
 
Committee 
 
 
 
 
Ronald A. Nyberg 
Trustee and 
Since 2004 
Current: Partner, Momkus LLC (2016-present). 
158 
Current: PPM Funds (9) (2018-present); 
(1953) 
Chairman of 
 
 
 
Edward-Elmhurst Healthcare System 
 
the Nominating 
 
Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive
 
(2012-present); Western Asset Inflation- 
 
and Governance 
 
Vice President, General Counsel, and Corporate Secretary, Van
Linked Opportunities & Income Fund 
 
Committee 
 
Kampen Investments (1982-1999).
 
(2004-present); Western Asset Inflation- 
 
 
 
 
 
Linked Income Fund (2003-present). 
 
 
 
 
 
 
Former: Managed Duration Investment 
 
 
 
 
 
Grade Municipal Fund (2003-2016). 
 

84 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
OTHER INFORMATION (Unaudited) continued 
November 30, 2019 
 
           
 
Position(s) 
Term of Office 
 
Number of 
 
Name, Address* 
Held 
and Length 
 
Portfolios in 
 
and Year of Birth 
with 
of Time 
Principal Occupation(s) 
Fund Complex 
Other Directorships 
of Trustees 
Trust 
Served** 
During Past Five Years 
Overseen 
Held by Trustees 
Independent Trustees continued:
Sandra G. Sponem 
Trustee 
Since 2019 
Current: Retired. 
157 
Current: SPDR Series Trust (78) 
(1958) 
 
 
 
 
(2018-present); SPDR Index Shares 
 
 
 
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson 
 
Funds (31) (2018-present); SSGA Active 
 
 
 
Companies, Inc. (general contracting firm) (2007-2017). 
 
Trust (12) (2018-present); and SSGA 
 
 
 
 
 
Master Trust (1) (2018-present). 
Ronald E. 
Trustee and 
Since 2004 
Current: Portfolio Consultant (2010-present); Member, Governing Council, 
157 
Current: Western Asset Inflation-Linked 
Toupin, Jr. 
Chairman of 
 
Independent Directors Council (2013-present); Governor, Board of Governors, 
 
Opportunities & Income Fund 
(1958) 
the Board 
 
Investment Company Institute (2018-present). 
 
(2004-present); Western Asset Inflation- 
 
 
 
 
 
Linked Income Fund (2003-present). 

    Former: Member, Executive Committee, Independent Directors Council
   
 
 
 
(2016-2018); Vice President, Manager and Portfolio Manager,
 
Former: Managed Duration Investment 
 
 
 
Nuveen Asset Management (1998-1999); Vice President, Nuveen
 
Grade Municipal Fund (2003-2016). 

    Investment Advisory Corp. (1992-1999); Vice President and Manager,
   
      Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice    

    President and Portfolio Manager, Nuveen Unit Investment Trusts    
 
 
 
(1988-1999), each of John Nuveen & Co., Inc. (1982-1999). 
 
 
 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 85


   
OTHER INFORMATION (Unaudited) continued 
November 30, 2019 
 
           
 
Position(s) 
Term of Office 
 
Number of 
 
Name, Address* 
Held 
and Length 
 
Portfolios in 
 
and Year of Birth 
with 
of Time 
Principal Occupation(s) 
Fund Complex 
Other Directorships 
of Trustees 
Trust 
Served** 
During Past Five Years 
Overseen 
Held by Trustees 
Interested Trustee: 
Amy J. Lee*** 
Trustee, 
Since 2018 
Current: Interested Trustee, certain other funds in the Fund Complex 
157 
None. 
(1961) 
Vice President 
(Trustee) 
(2018-present); Chief Legal Officer, certain other funds in the Fund Complex 
 
 
 
and Chief 
 
(2014-present); Vice President, certain other funds in the Fund Complex 
 
 
 
Legal Officer 
Since 2014 
(2007-present); Senior Managing Director, Guggenheim Investments 
 
 
 
 
(Chief Legal 
(2012-present). 
 
 
 
 
Officer) 
 
 
 
 
 
 
Former: President and Chief Executive Officer (2017-2018); President, certain 
 
 
 
 
Since 2012 
other funds in the Fund Complex (2017-2019); Vice President, Associate 
 
 
 
 
(Vice President) 
General Counsel and Assistant Secretary, Security Benefit Life Insurance Company 
 
 
 
 
and Security Benefit Corporation (2004-2012). 
 
 
   
The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, IL 60606. 
** 
Each Trustee serves an indefinite term, until his successor is duly elected and qualified. 
 
— Messrs. Barnes, Chubb, Friedrich, Ms. Brock-Kyle and Ms. Lee are Class I Trustees. Class I Trustees are expected to stand for re-election at the Fund’s 
annual meeting of shareholders for the fiscal year ended May 31, 2020. 
 
— Messrs. Farley, Lydon, Jr., Nyberg, Toupin and Ms. Sponem are Class II Trustees. Class II Trustees are expected to stand for re-election at the Fund’s annual 
meeting of shareholders for the fiscal year ended May 31, 2021. 
*** 
This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Adviser and/or the 
parent of the Investment Adviser. 
 

86 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
OTHER INFORMATION (Unaudited) continued 
November 30, 2019 
 
OFFICERS
The Officers of the Guggenheim Strategic Opportunities Fund, who are not Trustees, and their principal occupations during the past five years:
       
 
Position(s) 
 
 
 
held 
Term of Office 
 
Name, Address* 
with the 
and Length of 
Principal Occupations 
and Year of Birth 
Trust 
Time Served** 
During Past Five Years 
Officers: 
Brian E. Binder 
President 
Since 2018 
Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President and Chief Executive Officer, 
(1972) 
and Chief 
 
Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (2018-present); Senior Managing Director and Chief Administrative 
 
Executive 
 
Officer, Guggenheim Investments (2018-present). 
 
Officer 
 
 
 
 
 
Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset 
 
 
 
Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012). 
Joanna M. 
Chief 
Since 2012 
Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments 
Catalucci 
Compliance 
 
(2014-present). 
(1966) 
Officer 
 
 
 
 
 
Former: AML Officer, certain funds in the Fund Complex (2016-2017); Chief Compliance Officer and Secretary, certain other funds in the Fund 
 
 
 
Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief 
 
 
 
Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011). 
James M. Howley 
Assistant 
Since 2006 
Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex 
(1972) 
Treasurer 
 
(2006-present). 
 
 
 
 
Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004). 
Mark E. 
Secretary 
Since 2008 
Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). 
Mathiasen 
 
 
 
(1978) 
 
 
 
Glenn McWhinnie 
Assistant 
Since 2016 
Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). 
(1969) 
Treasurer 
 
 
Michael P. Megaris 
Assistant 
Since 2014 
Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). 
(1984) 
Secretary 
 
 
 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 87


   
OTHER INFORMATION (Unaudited) continued 
November 30, 2019 
 
       
 
Position(s) 
 
 
 
held 
Term of Office 
 
Name, Address* 
with the 
and Length of 
Principal Occupations 
and Year of Birth 
Trust 
Time Served** 
During Past Five Years 
Officers continued:
Adam J. Nelson 
Assistant 
Since 2015 
Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present). 
(1979) 
Treasurer 
 
 
 
 
 
Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant 
 
 
 
Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). 
Kimberly J. Scott 
Assistant 
Since 2012 
Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). 
(1974) 
Treasurer 
 
 
 
 
 
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for 
 
 
 
Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen 
 
 
 
Investments, Inc./Morgan Stanley Investment Management (2005-2009). 
Bryan Stone 
Vice 
Since 2014 
Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). 
(1979) 
President 
 
 
 
 
 
Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). 
John L. Sullivan 
Chief 
Since 2010 
Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior 
(1955) 
Financial 
 
Managing Director, Guggenheim Investments (2010-present). 
 
Officer, Chief 
 
 
 
Accounting 
 
Former: Managing Director and Chief Compliance Officer, each of the funds in the Van Kampen Investments fund complex (2004-2010); 
 
Officer and 
 
Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); Chief Financial 
 
Treasurer 
 
Officer and Treasurer, Van Kampen Funds (1996-2004). 
Jon Szafran 
Assistant 
Since 2017 
Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). 
(1989) 
Treasurer 
 
 
 
 
 
Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors 
 
 
 
(North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014-2017); Senior Associate of Fund 
 
 
 
Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). 
 
   
The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, IL 60606. 
** 
Each officer serves an indefinite term, until his or her successor is duly elected and qualified. The date reflects the commencement date upon which the officer 
 
held any officer position with the Fund. 
 

88 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
DIVIDEND REINVESTMENT PLAN (Unaudited) 
November 30, 2019 
 
Unless the registered owner of common shares elects to receive cash by contacting Computershare Trust Company, N.A. (the “Plan Administrator”), all dividends declared on common shares of the Fund will be automatically reinvested by the Plan Administrator for shareholders in the Fund’s Dividend Reinvestment Plan (the “Plan”), in additional common shares of the Fund. Participation in the Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Plan Administrator prior to the dividend record date; otherwise such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution. Some brokers may automatically elect to receive cash on your behalf and may re-invest that cash in additional common shares of the Fund for you. If you wish for all dividends declared on your common shares of the Fund to be automatically reinvested pursuant to the Plan, please contact your broker.
The Plan Administrator will open an account for each common shareholder under the Plan in the same name in which such common shareholder’s common shares are registered. Whenever the Fund declares a dividend or other distribution (together, a “Dividend”) payable in cash, nonparticipants in the Plan will receive cash and participants in the Plan will receive the equivalent in common shares. The common shares will be acquired by the Plan Administrator for the participants’ accounts, depending upon the circumstances described below, either (i) through receipt of additional unissued but authorized common shares from the Fund (“Newly Issued Common Shares”) or (ii) by purchase of outstanding common shares on the open market (“Open-Market Purchases”) on the New York Stock Exchange or elsewhere. If, on the payment date for any Dividend, the closing market price plus estimated brokerage commission per common share is equal to or greater than the net asset value per common share, the Plan Administrator will invest the Dividend amount in Newly Issued Common Shares on behalf of the participants. The number of Newly Issued Common Shares to be credited to each participant’s account will be determined by dividing the dollar amount of the Dividend by the net asset value per common share on the payment date; provided that, if the net asset value is less than or equal to 95% of the closing market value on the payment date, the dollar amount of the Dividend will be divided by 95% of the closing market price per common share on the payment date. If, on the payment date for any Dividend, the net asset value per common share is greater than the closing market value plus estimated brokerage commission, the Plan Administrator will invest the Dividend amount in common shares acquired on behalf of the participants in Open-Market Purchases.
If, before the Plan Administrator has completed its Open-Market Purchases, the market price per common share exceeds the net asset value per common share, the average per common share purchase price paid by the Plan Administrator may exceed the net asset value of the common shares, resulting in the acquisition of fewer common shares than if the Dividend had been paid in Newly Issued Common Shares on the Dividend payment date. Because of the foregoing difficulty with respect to Open-Market Purchases, the Plan provides that if the Plan Administrator is unable to invest the full Dividend amount in Open-Market Purchases during the purchase period or if the market discount shifts to a market premium during the purchase period, the Plan Administrator may cease making Open-Market Purchases and may invest the uninvested portion of the Dividend

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 89


   
DIVIDEND REINVESTMENT PLAN (Unaudited) continued 
November 30, 2019 
 
amount in Newly Issued Common Shares at net asset value per common share at the close of business on the Last Purchase Date provided that, if the net asset value is less than or equal to 95% of the then current market price per common share; the dollar amount of the Dividend will be divided by 95% of the market price on the payment date.
The Plan Administrator maintains all shareholders’ accounts in the Plan and furnishes written confirmation of all transactions in the accounts, including information needed by shareholders for tax records. Common shares in the account of each Plan participant will be held by the Plan Administrator on behalf of the Plan participant, and each shareholder proxy will include those shares purchased or received pursuant to the Plan. The Plan Administrator will forward all proxy solicitation materials to participants and vote proxies for shares held under the Plan in accordance with the instruction of the participants.
There will be no brokerage charges with respect to common shares issued directly by the Fund. However, each participant will pay a pro rata share of brokerage commission incurred in connection with Open-Market Purchases. The automatic reinvestment of Dividends will not relieve participants of any Federal, state or local income tax that may be payable (or required to be withheld) on such Dividends.
The Fund reserves the right to amend or terminate the Plan. There is no direct service charge to participants with regard to purchases in the Plan; however, the Fund reserves the right to amend the Plan to include a service charge payable by the participants.
All correspondence or questions concerning the Plan should be directed to the Plan Administrator, Computershare Trust Company, N.A., P.O. Box 30170 College Station, TX 77842-3170: Attention: Shareholder Services Department, Phone Number: (866) 488-3559 or online at www.computershare.com/investor.

90 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


   
FUND INFORMATION 
November 30, 2019 
 
Board of Trustees 

Randall C. Barnes 
 
Angela Brock-Kyle 
 
Donald A. Chubb, Jr. 
 
Jerry B. Farley 
 
Roman Friedrich III 

Amy J. Lee* 
 
Thomas F. Lydon Jr. 

Ronald A. Nyberg 

Sandra G. Sponem 

Ronald E. Toupin, Jr., 
Chairman 
 
* This Trustee is an “interested person” (as 
defined in Section 2(a)(19) of the 1940 Act) 
(“Interested Trustee”) of the Fund because of 
her position as President of the Investment 
Adviser and Sub-Adviser. 
 
Principal Executive Officers 

Brian E. Binder 
President and Chief Executive Officer 
 
Joanna M. Catalucci 
Chief Compliance Officer 
 
Amy J. Lee 
Vice President and Chief Legal Officer 
 
Mark E. Mathiasen 
Secretary 
 
John L. Sullivan 
Chief Financial Officer, Chief Accounting 
Officer and Treasurer 
Investment Adviser 
Guggenheim Funds Investment 
Advisors, LLC 
Chicago, IL 
 
Investment Sub-Adviser 
Guggenheim Partners Investment 
Management, LLC 
Santa Monica, CA 
 
Administrator and Accounting Agent 
MUFG Investor Services (US), LLC 
Rockville, MD

Custodian 
The Bank of New York Mellon Corp. 
New York, NY 
 
Legal Counsel 
Dechert LLP 
Washington, D.C. 
 
Independent Registered Public 
Accounting Firm 
Ernst & Young LLP 
Tysons, VA 
 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 91


   
FUND INFORMATION continued 
November 30, 2019 
 
Privacy Principles of Guggenheim Strategic Opportunities Fund for Shareholders
The Fund is committed to maintaining the privacy of its shareholders and to safeguarding its non-public personal information. The following information is provided to help you understand what personal information the Fund collects, how we protect that information and why, in certain cases, we may share information with select other parties.
Generally, the Fund does not receive any non-public personal information relating to its shareholders, although certain non-public personal information of its shareholders may become available to the Fund. The Fund does not disclose any non-public personal information about its shareholders or former shareholders to anyone except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party administrator).
The Fund restricts access to non-public personal information about the shareholders to Guggenheim Funds Investment Advisors, LLC employees with a legitimate business need for the information. The Fund maintains physical, electronic and procedural safeguards designed to protect the non-public personal information of its shareholders.
Questions concerning your shares of Guggenheim Strategic Opportunities Fund?
•     If your shares are held in a Brokerage Account, contact your Broker.

If you have physical possession of your shares in certificate form, contact the Fund’s Transfer Agent:
Computershare Trust Company, N.A., P.O. Box 30170 College Station, TX 77842-3170; (866) 488-3559 or online at www.computershare.com/investor
This report is sent to shareholders of Guggenheim Strategic Opportunities Fund for their information. It is not a Prospectus, circular or representation intended for use in the purchase or sale of shares of the Fund or of any securities mentioned in this report.
A description of the Fund’s proxy voting policies and procedures related to portfolio securities is available without charge, upon request, by calling the Fund at (888) 991-0091.
Information regarding how the Fund voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, is also available, without charge and upon request by calling (888) 991-0091, by visiting the Fund’s website at guggenheiminvestments.com/gof or by accessing the Fund’s Form N-PX on the U.S. Securities and Exchange Commission’s (SEC) website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT, and for the reporting periods ended prior to August 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC website at www.sec.gov or at guggenheiminvestments.com/gof. The Fund’s Forms N-PORT and N-Q may also be viewed and copied at the SEC’s Public Reference Room in Washington, DC and that information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330.
Notice to Shareholders
Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that the Fund from time to time may purchase shares of its common stock in the open market or in private transactions.

92 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT

 

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GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 93

 

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GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 95


ABOUT THE FUND MANAGERS

Guggenheim Partners Investment Management, LLC
Guggenheim Partners Investment Management, LLC (“GPIM”) is an indirect subsidiary of Guggenheim Partners, LLC, a diversified financial services firm. The firm provides capital markets services, portfolio and risk management expertise, wealth management, and investment advisory services. Clients of Guggenheim Partners, LLC subsidiaries are an elite mix of individuals, family offices, endowments, foundations, insurance companies and other institutions.
Investment Philosophy
GPIM’s investment philosophy is predicated upon the belief that thorough research and independent thought are rewarded with performance that has the potential to outperform benchmark indexes with both lower volatility and lower correlation of returns over time as compared to such benchmark indexes.
Investment Process
GPIM’s investment process is a collaborative effort between various groups including the Portfolio Construction Group, which utilize proprietary portfolio construction and risk modeling tools to determine allocation of assets among a variety of sectors, and its Sector Specialists, who are responsible for security selection within these sectors and for implementing securities transactions, including the structuring of certain securities directly with the issuers or with investment banks and dealers involved in the origination of such securities.
 
Guggenheim Funds Distributors, LLC 
227 West Monroe Street 
Chicago, IL 60606 
Member FINRA/SIPC 
(01/20) 
 
NOT FDIC-INSURED l NOT BANK-GUARANTEED l MAY LOSE VALUE
CEF-GOF-SAR-1119


Item 2.  Code of Ethics.
Not applicable for a semi-annual reporting period.
Item 3.  Audit Committee Financial Expert.
Not applicable for a semi-annual reporting period.
Item 4.  Principal Accountant Fees and Services.
Not applicable for a semi-annual reporting period.
Item 5.  Audit Committee of Listed Registrants.
Not applicable for a semi-annual reporting period.
Item 6.  Schedule of Investments.
The Schedule of Investments is included as part of Item 1.
Item 7.  Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable for a semi-annual reporting period.
Item 8.  Portfolio Managers of Closed-End Management Investment Companies.
(a)   Not applicable for a semi-annual reporting period.
(b)   There has been no change, as of the date of filing, in any of the Portfolio Managers identified in response to paragraph (a)(1) of this Item in the registrant’s most recent annual report on Form N-CSR
Item 9.  Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
None.
Item 10.  Submission of Matters to a Vote of Security Holders.
The registrant has not made any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.
Item 11.  Controls and Procedures.
(a)      The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of this filing and have concluded based on such

evaluation, as required by Rule 30a-3(b) under the Investment Company Act, that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
(b)      There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the registrant’s period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) The registrant has not participated in securities lending activities during the period covered by this report.
(b) Not applicable.
Item 13.  Exhibits.
(a)(1) Not applicable
(a)(2) Certifications of principal executive officer and principal financial officer pursuant to Rule 30a-2(a) under the Investment Company Act.
 (a)(3) Not applicable.
(b)     Certification of principal executive officer and principal financial officer pursuant to Rule 30a-2(b) under the Investment Company Act and Section 906 of the Sarbanes-Oxley Act of 2002.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Guggenheim Strategic Opportunities Fund
By:        /s/ Brian E. Binder     
Name:  Brian E. Binder
Title:    President and Chief Executive Officer
Date:     February 10, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By:        /s/ Brian E. Binder     
Name:  Brian E. Binder
Title:    President and Chief Executive Officer
Date:     February 10, 2020
By:        /s/ John L. Sullivan    
Name:  John L. Sullivan
Title:    Chief Financial Officer, Chief Accounting Officer and Treasurer
Date:     February 10, 2020
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