UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number  811-21982
Guggenheim Strategic Opportunities Fund
(Exact name of registrant as specified in charter)

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

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

Registrant's telephone number, including area code:    (312) 827-0100
Date of fiscal year end:   May 31
Date of reporting period:   June 1, 2019 - May 31, 2020

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




 

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) 
May 31, 2020 
 
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 12-month period ended May 31, 2020. The period was marked by the emergence and spread of a novel and highly contagious form of coronavirus, producing a pandemic that caused a steeper plunge in output and employment in two months than during the first two years of the Great Depression.
A recovery began in May 2020 as states began to reopen, but the subsequent rise in infections showed the difficulty in managing an economic recovery amid a pandemic. We expect the recovery could continue at an uneven pace as households, businesses, and governments gradually learn how to adapt. However, we do not expect a full recovery will be possible until a vaccine has been developed, tested, approved, produced, and administered across the globe. This process may take until mid-2021, or possibly longer. Even after a vaccine is deployed, the recovery could be sluggish due to the long-term damage being done to the economy. The surge in joblessness is damaging household balance sheets, and precautionary saving will further hold back the recovery in consumption.
The impact of these events affected performance of the Fund for the period. 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.
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 12-month period ended May 31, 2020, the Fund provided a total return based on market price of -7.96% and a total return based on NAV of -2.79%. As of May 31, 2020, the Fund’s market price of $16.20 per share represented a premium of 5.95% to its NAV of $15.29 per share.
Past performance is not a guarantee of future results. All NAV returns include the deduction of management fees, operating expenses, and all other Fund expenses. The market price of the Fund’s shares fluctuates from time to time, and it may be higher or lower than the Fund’s NAV.
From June 2019 through May 2020, the Fund paid a monthly distribution of $0.1821 per share. The latest distribution represents an annualized distribution rate of 13.49% based on the Fund’s closing market price of $16.20 per share on May 31, 2020. 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 24, and Note 2(f) on page 69 for more information on distributions for the period.

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DEAR SHAREHOLDER (Unaudited) continued 
May 31, 2020 
 
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 107 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 which causes shareholders to accumulate a larger number of Fund shares when the market price is depressed than when the price is higher.
We appreciate your investment and look forward to serving your investment needs in the future. For the most up-to-date information on your investment, please visit the Fund’s website at guggenheiminvestments.com/gof.
Sincerely,


Guggenheim Funds Investment Advisors, LLC
Guggenheim Strategic Opportunities Fund


June 30, 2020

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ECONOMIC AND MARKET OVERVIEW (Unaudited) 
May 31, 2020 
 
Our recession forecasting tools pointed to a downturn beginning between the fourth quarter of 2019 and the second quarter of 2020, with a midpoint of February 2020. While we did not see a pandemic coming, it turns out that February was indeed the peak in the business cycle. What has unfolded since has been an economic shock of unprecedented scale and scope. COVID-19, one of the deadliest pandemics in a century, caused a steeper plunge in output and employment in two months than occurred during the first two years of the Great Depression. As COVID-19 spiraled into a global pandemic, risk assets traded down and corporate spreads widened to levels not seen since the financial crisis. During the first quarter of 2020, the S&P 500 Index and benchmark high yield, bank loan, and investment-grade indices declined by 19.60%, 12.68%, 13.19%, and 3.63%, respectively.
In response to the crisis, the Federal Open Market Committee cut interest rates by 125 basis points in March and passed a series of stimulus programs. Among them were the Primary and Secondary Market Corporate Credit Facilities, which are lending programs primarily targeting investment-grade corporate bond issuers, implemented in concert with the U.S. Treasury. It was only after the announcement of this program that corporate credit found some relief from the selloff, and subsequent market performance, especially for stocks, has defied weak economic signals in the belief that policymakers will not allow companies to collapse under the weight of their substantial debt. For the 12 months ended May 31, 2020, the S&P 500 Index returned 12.84%, and the Bloomberg Barclays U.S. Aggregate Bond Index returned 9.42%. As a result of the supportive policy response, the U.S. budget deficit is headed to its highest as a share of GDP since World War II, and the U.S. Federal Reserve’s (the “Fed”) balance sheet could exceed $9 trillion by the end of the year. But even this policy response cannot force consumers to spend or businesses to invest amid staggering uncertainty, and future rounds of fiscal stimulus will likely be needed.
Many countries and all U.S. states are taking tentative steps to reopen their economies, which is supporting an uptick in economic activity. However, we do not expect a genuine recovery will be possible until a vaccine has been developed, tested, approved, produced, and administered across the globe. This process is likely to take 12–18 months, but possibly longer. In the meantime, keeping the infection rate in check will require social distancing measures that stymie economic activity. Given millions of identified cases today and limited testing capabilities, a premature reopening could mean another spike in infections.
Joblessness has surged, with the fall in U.S. employment in April alone representing a 40 standard deviation shock, erasing all the job gains of the preceding 21 years. As personal, small business, and corporate bankruptcies mount, permanent damage is being done to the productive capacity of the economy, which will stunt the recovery in output and corporate profits. The road to recovery may have begun in May, but we would remind investors that it took nearly 10 years for the unemployment rate to return to the cycle low seen in 2007, and the current shock appears to be several times more severe than the last financial crisis.
We would also note that cracks were forming long before the current crisis. On July 31, 2019, the Fed announced its first rate cut since 2008 amid growing downside risks to policymakers’ baseline growth and inflation forecasts. Key among these were slowing global growth, the threat of additional U.S.-China tariffs, and concerns over Brexit. The Fed went on to cut rates in September and December of 2019 as it sought to sustain the expansion.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 5

 
   
QUESTIONS & ANSWERS (Unaudited) 
May 31, 2020 
 
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 12-month period ended May 31, 2020.
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;
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

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QUESTIONS & ANSWERS (Unaudited) continued 
May 31, 2020 
 
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 12 months ended May 31, 2020?
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the 12-month period ended May 31, 2020, the Fund provided a total return based on market price of -7.96% and a total return based on NAV of -2.79%. As of May 31, 2020, the Fund’s market price of $16.20 per share represented a premium of 5.95% to its NAV of $15.29 per share. As of May 31, 2019, the Fund’s market price of $19.96 per share represented a premium of 11.45% to its NAV of $17.91 per share.
Past performance is not a guarantee of future results. All NAV returns include the deduction of management fees, operating expenses, and all other Fund expenses. The market value of the Fund’s shares fluctuates from time to time and maybe higher or lower than the Fund’s NAV.

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QUESTIONS & ANSWERS (Unaudited) continued 
May 31, 2020 
 
What were the Fund’s distributions?
From June 2019 through May 2020, the Fund paid a monthly distribution of $0.1821 per share. The latest distribution represents an annualized distribution rate of 13.49% based on the Fund’s closing market price of $16.20 per share on May 31, 2020. 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 a variety of factors. Please see the Distributions to Shareholders & Annualized Distribution Rate on page 24, and Note 2(f) on page 69 for more information on distributions for the period.
For the year ended May 31, 2020, 60.6% of the distributions were characterized as return of capital and 39.4% of the distributions were characterized as ordinary income. The final determination of the tax character of the distributions paid by the Fund in 2020 will be reported to shareholders in January 2021.
How did other markets perform in this environment for the 12-month period ended May 31, 2020?
   
Index 
Total Return 
Bloomberg Barclays U.S. Aggregate Bond Index 
9.42% 
Bloomberg Barclays U.S. Aggregate Bond 1-3 Year Index 
4.43% 
Bloomberg Barclays U.S. Corporate High Yield Index 
1.32% 
Credit Suisse Leveraged Loan Index 
-3.35% 
ICE Bank of America Merrill Lynch Asset Backed Security Master BBB-AA Index 
-1.83% 
S&P 500 Index 
12.84% 
 
Discuss performance over the period.
During the period, the Fund returned -2.79% based on NAV performance as spread widening outpaced the Fund’s carry and the positive impact from duration. Carry refers to the income received from portfolio investments over a defined period.
As COVID-19 spiraled into a global pandemic, risk assets sold off sharply in the first quarter of 2020. U.S. unemployment claims surged to more than 40 million over a 10-week period, highlighting the tremendous and sudden disruption in the U.S. economy. The negative performance for the Fund was due to price declines seen across risk asset classes. Spreads on all credit assets, including those that we view as broadly credit loss remote, widened to levels not seen since the financial crisis. Default risk within the portfolio remains relatively low given the rigor of our underwriting and decision to allocate senior in the capital structure. Defensive positioning and the decision to de-lever the Fund in 2019 helped limit the drawdown and afforded an opportunity to add credit exposure at historically wide levels.
As spreads swung from cycle tights to near historical wide levels, the Fund unwound its credit protection on the Investment Grade Credit Default Swap (CDX) index, which had added to performance for the period. The Fund subsequently took advantage of the dislocations across

8 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
QUESTIONS & ANSWERS (Unaudited) continued 
May 31, 2020 
 
corporate credit markets to add both high yield and investment grade corporate exposure, and has continued to source opportunities at elevated spread levels.
High yield corporate bonds added to performance as the Fund nearly doubled its allocation to 17.4% at period’s end to take advantage of market dislocations. High yield corporate index spreads widened more than 200 basis points over the period to end at 637 basis points on May 31, 2020. After beginning the year near cycle tights, high yield spreads spiked to a peak of 1,100 basis points on March 23, 2020, before retracing after the Fed announced that it would purchase an unlimited amount of Treasuries and mortgage-backed securities, and expand its facilities to include certain types of corporate and municipal debt in order to support the financial markets. Subsequent spread tightening reflected optimism that the aggressive monetary efforts by the Fed, coupled with $3.0 trillion fiscal spending approved by Congress, should help blunt the economic blow from COVID-19.
Investment grade corporate bonds also added to performance as the Fund increased its allocation by 8 percentage points to 11.8% at period’s end to take advantage of historically wide spread levels. Since the start of the period, investment grade corporate spreads widened by 245 basis points to a peak of 373 basis points on March 23, 2020, before retracing to a level inside 175 basis points at period end.
Bank loans, which constituted 38.0% of the Fund at period’s end, detracted from performance with the broader loan index average price falling to the mid-$70s context before recovering to the mid-$80s, down from high-$90s earlier in the year. The Credit Suisse Leveraged Loan Index returned -3.35% over the period. The Fed and U.S. Treasury’s expanded support for corporate borrowers removed some of the hazards that lead to default, such as being shut out of the market when in need of money. The Main Street Loan Facilities program was designed to support loans to some U.S. businesses, but leverage caps limit accessibility for many issuers in the broadly syndicated loan market. However, use of this program may free up bank capacity to make credit more available to other borrowers most at risk of default.
Asset Backed Securities (“ABS”) (not including CLOs), which constituted 8.6% of the Fund at period’s end, generated a marginally positive total return as income earned and duration impact outweighed spread widening over the period.
Collateralized Loan Obligations (“CLOs”), which constituted 10.9% of the Fund at period’s end, detracted from performance as spread widening in CLOs outpaced income earned. The Fund’s CLO holdings are mostly senior in the capital structure and should remain substantially loss remote even in a severe economic downturn. That did not mean the holdings were immune from broader spread widening, however. Over the period, we saw spreads widen and prices fall mainly as a function of liquidity, as investors looked to convert shorter duration/higher credit quality securities to cash.

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QUESTIONS & ANSWERS (Unaudited) continued 
May 31, 2020 
 
Non-Agency Residential Mortgage-Backed Securities (“non-Agency RMBS”), which constituted 8.0% of the Fund at period’s end, also detracted from performance as current macroeconomic headwinds resulted in spread widening. Mortgage credit performance was under pressure as unemployment continued to rise. Weakness in the broader economy will likely overwhelm the positive housing fundamentals that existed prior to the onset of the pandemic. Despite recent widening of spreads between senior and subordinated classes, differences in their credit profiles suggest better value in more senior securities.
Over the period, the Fund added select credit closed-end funds to take advantage of attractive yields and discounted share prices relative to their NAVs.
Interest rates across the U.S. Treasury curve fell between 120 and 225 basis points over the period, which aided in the Fund’s performance.
What was the impact of derivatives on Fund performance?
The Fund uses derivatives for its equity 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.
Returns from the covered call allocation detracted from performance over the period. The allocation had been reduced in May 2019 in line with our broader plan to help protect the portfolio and shareholders from future drawdowns.
The Fund held a credit hedge via credit default swaps to reduce portfolio spread duration and help protect shareholders from a drawdown. As spreads swung from cycle tights to near historical wide levels, the Fund unwound its credit protection on the Markit North American Investment Grade CDX Index which had added to performance for the period.
As part of the re-risking strategy, the Fund utilized credit default swaps on the Markit North American High Yield CDX Index to gain high yield market exposure, which was additive to performance over the period.
Discuss the Fund’s approach to duration.
The Fund has no set policy regarding portfolio duration or maturity; interest rate duration at period’s end was 3.6 years.

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QUESTIONS & ANSWERS (Unaudited) continued 
May 31, 2020 
 
Discuss the Fund’s use of leverage.
The Fund employed no leverage going into the COVID-19 crisis. After spreads widened materially, the Fund began adding leverage and ended the period with leverage of approximately 8.69% of managed assets (including the proceeds of leverage) at May 31, 2020.
The purpose of leverage (borrowings and reverse repurchase agreements) is to fund the purchase of additional securities that may provide increased income and potentially greater appreciation to common shareholders than could be achieved from an unlevered portfolio. Leverage results in greater NAV volatility and entails more downside risk than an unleveraged portfolio.
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 Markit North American High Yield CDX Index is composed of 100 liquid North American entities with high yield credit ratings that trade in the credit default swap market.
The Markit North American Investment Grade CDX Index is composed of 125 of the most liquid North American entities with investment grade credit ratings that trade in the credit default swap market.

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QUESTIONS & ANSWERS (Unaudited) continued 
May 31, 2020 
 
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.
Risks and Other Considerations
The global ongoing crisis caused by the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Fund’s investments and a shareholder’s investment in the Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Fund, the Fund, its service providers, the markets in which it invests and market intermediaries are also impacted by quarantines and similar measures intended to contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational risks.
The views expressed in this report reflect those of the portfolio managers only through the report period as stated on the cover. These views are subject to change at any time, based on market and other conditions and should not be construed as a recommendation of any kind. The material may also include forward looking statements that involve risk and uncertainty, and there is no guarantee that any predictions will come to pass.
There can be no assurance that the Fund will achieve its investment objectives. The value of the Fund will fluctuate with the value of the underlying securities. Risk is inherent in all investing, including the loss of your entire principal. Therefore, before investing you should consider the risks carefully.
The Fund is subject to various risk factors. Certain of these risk factors are described below. Please see the Fund’s Prospectus, Statement of Additional Information (SAI) and guggenheiminvestments.com/gof for a more detailed description of the risks of investing in the Fund. Shareholders may access the Fund’s Prospectus and SAI on the EDGAR Database on the Securities and Exchange Commission’s website at www.sec.gov.
Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions around the world, the risks below are heightened significantly compared to normal conditions and therefore subject the Fund’s investments and a shareholder’s investment in the Fund to sudden and substantial losses. The fact that a particular risk below is not specifically identified as being heightened under current conditions does not mean that the risk is not greater than under normal conditions.

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QUESTIONS & ANSWERS (Unaudited) continued 
May 31, 2020 
 
Below Investment Grade Securities Risk. High yield, below investment grade and unrated high risk debt securities (which also may be known as “junk bonds”) may present additional risks because these securities may be less liquid, and therefore more difficult to value accurately and sell at an advantageous price or time, and present more credit risk than investment grade bonds. The price of high yield securities tends to be subject to greater volatility due to issuer-specific operating results and outlook and to real or perceived adverse economic and competitive industry conditions. This exposure may be obtained through investments in other investment companies. Generally, the risks associated with high yield securities are heightened during times of weakening economic conditions or rising interest rates and are therefore especially heightened under current conditions.
Covered Call Option Strategy Risk. The ability of the Fund to achieve its investment objective is partially dependent on the successful implementation of its covered call option strategy. The Fund may write call options on individual securities. The buyer of an option acquires the right to buy (a call option) or sell (a put option) a certain quantity of a security (the underlying security) or instrument, at a certain price up to a specified point in time or on expiration, depending on the terms. The seller or writer of an option is obligated to sell (a call option) or buy (a put option) the underlying instrument. A call option is “covered” if the Fund owns the security underlying the call or has an absolute right to acquire the security without additional cash consideration (or, if additional cash consideration is required, cash or cash equivalents in such amount are segregated by the Fund’s custodian). As a seller of covered call options, the Fund faces the risk that it will forgo the opportunity to profit from increases in the market value of the security covering the call option during an option’s life. As the Fund writes covered calls over more of its portfolio, its ability to benefit from capital appreciation becomes more limited.
Credit Risk. The Fund could lose money if the issuer or guarantor of a fixed-income instrument or a counterparty to a derivatives transaction or other transaction is unable or unwilling, or perceived to be unable or unwilling, to pay interest or repay principal on time or defaults. The issuer, guarantor or counterparty could also suffer a rapid decrease in credit quality rating, which would adversely affect the volatility of the value and liquidity of the instrument. The risk of the occurrence of these types of events is especially heightened under current conditions. Credit ratings may not be an accurate assessment of liquidity or credit risk.
Current Fixed-Income and Debt Market Conditions. Fixed-income and debt market conditions are highly unpredictable and some parts of the market are subject to dislocations. In response to the crisis initially caused by the outbreak of COVID-19, as with other serious economic disruptions, governmental authorities and regulators are enacting significant fiscal and monetary policy changes, including providing direct capital infusions into companies, creating new monetary programs and lowering interest rates considerably. These actions present heightened risks to fixed-income and debt

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QUESTIONS & ANSWERS (Unaudited) continued 
May 31, 2020 
 
instruments, and such risks could be even further heightened if these actions are unexpectedly or suddenly reversed or are ineffective in achieving their desired outcomes. In light of these actions and current conditions, interest rates and bond yields in the United States and many other countries are at or near historic lows, and in some cases, such rates and yields are negative. The current very low or negative interest rates are magnifying the Fund’s susceptibility to interest rate risk and diminishing yield and performance. In addition, the current environment is exposing fixed-income and debt markets to significant volatility and reduced liquidity for Fund investments.
Derivatives Transactions Risk. The Fund may utilize derivatives, including futures contracts and other strategic transactions, to seek to earn income, facilitate portfolio management and mitigate risks. Participation in derivatives markets transactions involves investment risks and transaction costs to which the Fund would not be subject absent the use of these strategies (other than its covered call writing strategy and put option writing strategy). If the Sub-Adviser (Guggenheim Partners Investment Management, LLC, or GPIM) is incorrect about its expectations of market conditions, the use of derivatives could also result in a loss, which in some cases may be unlimited.
Equity Securities Risk. Equity securities include common stocks and other equity and equity-related securities (and securities convertible into stocks) such as limited liability company interests and trust certificates. The prices of equity securities generally fluctuate in value more than fixed-income investments, may rise or fall rapidly or unpredictably and may reflect real or perceived changes in the issuing company’s financial condition and changes in the overall market or economy. Equity securities are currently experiencing heightened volatility and therefore, the Fund’s investments in equity securities are subject to heightened risks related to volatility. A decline in the value of equity securities held by the Fund will adversely affect the value of your investment in the Fund.
Interest Rate Risk. Fixed-income and other debt instruments are subject to the possibility that interest rates could change. Changes in interest rates may adversely affect the Fund’s investments in these instruments, such as the value or liquidity of, and income generated by, the investments. Interest rates may change as a result of a variety of factors, and the change may be sudden and significant, with unpredictable impacts on the financial markets and the Fund’s investments. Generally, when interest rates increase, the values of fixed-income and other debt instruments decline, and when interest rates decrease, the values of fixed-income and other debt instruments rise. In response to the crisis initially caused by the outbreak of COVID-19, as with other serious economic disruptions, governmental authorities and regulators are enacting significant fiscal and monetary policy changes, including providing direct capital infusions into companies, creating new monetary programs and lowering interest rates considerably. These actions present heightened risks to fixed-income and debt instruments, and such risks could be even further heightened if these actions are unexpectedly or suddenly reversed or are ineffective in achieving their desired outcomes. In light of these actions and

14 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
QUESTIONS & ANSWERS (Unaudited) continued 
May 31, 2020 
 
current conditions, interest rates and bond yields in the United States and many other countries are at or near historic lows, and in some cases, such rates and yields are negative. The current very low or negative interest rates are magnifying the Fund’s susceptibility to interest rate risk and diminishing yield and performance.
Investment in Loans Risk. The Fund may invest in loans directly or indirectly through assignments or participations. Investments in loans, including loan syndicates and other direct lending opportunities, involve special types of risks, including credit risk, interest rate risk, counterparty risk, prepayment risk and extension risk, which are heightened under current conditions. Loans may offer a fixed or floating interest rate. Loans are often below investment grade and may be unrated. The Fund’s investments in loans can also be difficult to value accurately and may be more susceptible to liquidity risk than fixed-income instruments of similar credit quality and/or maturity. Participations in loans may subject the Fund to the credit risk of both the borrower and the seller of the participation and may make enforcement of loan covenants, if any, more difficult for the Fund as legal action may have to go through the seller of the participation (or an agent acting on its behalf). Covenants contained in loan documentation are intended to protect lenders and investors by imposing certain restrictions and other limitations on a borrower’s operations or assets and by providing certain information and consent rights to lenders. The Fund invests in or is exposed to loans and other similar debt obligations that are sometimes referred to as “covenant-lite” loans or obligations, which are generally subject to more risk than investments that contain traditional financial maintenance covenants and financial reporting requirements. The terms of many loans and other instruments are tied to the London Interbank Offered Rate (“LIBOR”), which functions as a reference rate or benchmark. It is anticipated that LIBOR will be discontinued at the end of 2021, which may cause increased volatility and illiquidity in the markets for instruments with terms tied to LIBOR or other adverse consequences for these instruments. These events may adversely affect the Fund and its investments in such instruments.
Senior Loans Risk. The Fund may invest in senior secured floating rate loans made to corporations and other non-governmental entities and issuers (“Senior Loans). Senior Loans typically hold the most senior position in the capital structure of the issuing entity, are typically secured with specific collateral and typically have a claim on the assets and/or stock of the borrower that is senior to that held by subordinated debt holders and stockholders of the borrower. The Fund’s investments in Senior Loans are generally rated below investment grade or unrated but believed by the Adviser to be of below investment grade quality and are considered speculative because of the credit risk of their issuers. The risks associated with such Senior Loans are similar to the risks of other lower grade securities, although Senior Loans are typically senior and secured in contrast to subordinated and unsecured securities. Senior Loans’ higher standing has historically resulted in generally higher recoveries in the event of a corporate reorganization. In addition, because their interest payments are

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 15

 
   
QUESTIONS & ANSWERS (Unaudited) continued 
May 31, 2020 
 
adjusted for changes in short-term interest rates, investments in Senior Loans generally have less interest rate risk than other lower grade securities, which may have fixed interest rates.
Second Lien Loans Risk. The Fund may invest in “second lien” secured floating rate loans made to public and private corporations and other non-governmental entities and issuers for a variety of purposes (“Second Lien Loans”). Second Lien Loans are second in right of payment to one or more Senior Loans of the related borrower. Second Lien Loans are generally subject to similar risks associated with investment in Senior Loans and other lower grade debt securities. However, Second Lien Loans are second in right of payment to Senior Loans and therefore are subject to the additional risk that the cash flow of the borrower and any property securing the Loan may be insufficient to meet scheduled payments and repayment of principal after giving effect to the senior secured obligations of the borrower. Second Lien Loans are expected to have greater price volatility and exposure to losses upon default than Senior Loans and may be less liquid.
Subordinated Secured Loans Risk. Subordinated secured loans generally are subject to similar risks as those associated with investment in Senior Loans, Second Lien Loans and below investment grade securities. However, such loans may rank lower in right of payment than any outstanding Senior Loans, Second Lien Loans or other debt instruments with higher priority of the borrower and therefore are subject to additional risk that the cash flow of the borrower and any property securing the loan may be insufficient to meet scheduled payments and repayment of principal in the event of default or bankruptcy after giving effect to the higher ranking secured obligations of the borrower. Subordinated secured loans are expected to have greater price volatility than Senior Loans and Second Lien Loans and may be less liquid.
Unsecured Loans Risk. Unsecured loans generally are subject to similar risks as those associated with investment in Senior Loans, Second Lien Loans, subordinated secured loans and below investment grade securities. However, because unsecured loans have lower priority in right of payment to any higher ranking obligations of the borrower and are not backed by a security interest in any specific collateral, they are subject to additional risk that the cash flow of the borrower and available assets may be insufficient to meet scheduled payments and repayment of principal after giving effect to any higher ranking obligations of the borrower. Unsecured loans are expected to have greater price volatility than Senior Loans, Second Lien Loans and subordinated secured loans and may be less liquid.
Leverage Risk. The Fund’s use of leverage, through borrowings or instruments such as derivatives, causes the Fund to be more volatile and riskier than if it had not been leveraged. Although the use of leverage by the Fund may create an opportunity for increased return, it also results in additional risks and can magnify the effect of any losses. The effect of leverage in a declining market is likely to cause a greater decline in the net asset value of the Fund than if the Fund were not leveraged, which may

16 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
QUESTIONS & ANSWERS (Unaudited) continued 
May 31, 2020 
 
result in a greater decline in the market price of the Fund shares. There can be no assurance that a leveraging strategy will be implemented or that it will be successful during any period during which it is employed. Recent economic and market events have contributed to severe market volatility and caused severe liquidity strains in the credit markets. If dislocations in the credit markets continue, the Fund’s leverage costs may increase and there is a risk that the Fund may not be able to renew or replace existing leverage on favorable terms or at all. If the cost of leverage is no longer favorable, or if the Fund is otherwise required to reduce its leverage, the Fund may not be able to maintain distributions at historical levels and common shareholders will bear any costs associated with selling portfolio securities. The Fund’s total leverage may vary significantly over time. To the extent the Fund increases its amount of leverage outstanding, it will be more exposed to these risks.
Management Risk. The Fund is actively managed, which means that investment decisions are made based on investment views. There is no guarantee that the investment views will produce the desired results or expected returns, causing the Fund to fail to meet its investment objective or underperform its benchmark index or funds with similar investment objectives and strategies.
Market Risk. The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation. The value of certain investments (e.g., equity securities) tends to fluctuate more dramatically over the shorter term than do the value of other asset classes. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation or expectations about inflation, investor confidence or economic, political, social or financial market conditions, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics) and other similar events, each of which may be temporary or last for extended periods. For example, the crisis initially caused by the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes, which could further increase volatility in securities and other financial markets, reduce market liquidity, heighten investor uncertainty and adversely affect the value of the Fund’s investments and the performance of the Fund. Administrative changes, policy reform and/or changes in law or governmental regulations can result in expropriation or nationalization of the investments of a company in which the Fund invests.
Prepayment Risk. Certain debt instruments, including loans and mortgage- and other asset-backed securities, are subject to the risk that payments on principal may occur more quickly or earlier than expected. In this event, the Fund might be forced to forego future interest income on the principal

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 17

 
   
QUESTIONS & ANSWERS (Unaudited) continued 
May 31, 2020 
 
repaid early and to reinvest income or proceeds at generally lower interest rates, thus reducing the Fund’s yield. These types of instruments are particularly subject to prepayment risk, and offer less potential for gains, during periods of declining interest rates.
Structured Finance Investments Risk. The Fund’s structured finance investments may consist of residential mortgage-backed securities (“RMBS”) and commercial mortgage-backed securities (“CMBS”) issued by governmental entities and private issuers, asset-backed securities (“ABS”), structured notes, credit-linked notes and other types of structured finance securities. Holders of structured finance investments bear risks of the underlying investments, index or reference obligation and are subject to counterparty risk. The Fund may have the right to receive payments only from the structured product, and generally does not have direct rights against the issuer or the entity that sold the assets to be securitized. The Fund may invest in structured finance products collateralized by low grade or defaulted loans or securities. Investments in such structured finance products are subject to the risks associated with below investment grade securities. Such securities are characterized by high risk. It is likely that an economic recession could severely disrupt the market for such securities and may have an adverse impact on the value of such securities. Structured finance securities are typically privately offered and sold, and thus are not registered under the securities laws. As a result, investments in structured finance securities may be characterized by the Fund as illiquid securities; however, an active dealer market may exist which would allow such securities to be considered liquid in some circumstances.
Mortgage-Backed Securities (“MBS”) Risk. MBS represent an interest in a pool of mortgages. The risks associated with MBS include: (1) credit risk associated with the performance of the underlying mortgage properties and of the borrowers owning these properties; (2) risks associated with their structure and execution (including the collateral, the process by which principal and interest payments are allocated and distributed to investors and how credit losses affect the return to investors in such MBS); (3) risks associated with the servicer of the underlying mortgages; (4) adverse changes in economic conditions and circumstances, which are more likely to have an adverse impact on MBS secured by loans on certain types of commercial properties than on those secured by loans on residential properties; (5) prepayment risk, which can lead to significant fluctuations in the value of the MBS; (6) loss of all or part of the premium, if any, paid; and (7) decline in the market value of the security, whether resulting from changes in interest rates, prepayments on the underlying mortgage collateral or perceptions of the credit risk associated with the underlying mortgage collateral.
Commercial Mortgage-Backed Securities Risk. CMBS are subject to particular risks, including lack of standardized terms, shorter maturities than residential mortgage loans and providing for payment of all or substantially all of the principal only at maturity rather than regular amortization of principal. In addition, commercial lending generally is viewed as

18 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
QUESTIONS & ANSWERS (Unaudited) continued 
May 31, 2020 
 
exposing the lender to a greater risk of loss than residential lending. Economic downturns and other events that limit the activities of and demand for commercial retail and office spaces (such as the current crisis) adversely impact the value of such securities.
Residential Mortgage-Backed Securities Risk. Credit-related risk on RMBS arises from losses due to delinquencies and defaults by the borrowers in payments on the underlying mortgage loans and breaches by originators and servicers of their obligations under the underlying documentation pursuant to which the RMBS are issued. The rate of delinquencies and defaults on residential mortgage loans and the aggregate amount of the resulting losses will be affected by a number of factors, including general economic conditions, particularly those in the area where the related mortgaged property is located, the level of the borrower’s equity in the mortgaged property and the individual financial circumstances of the borrower. These risks are elevated given the current distressed economic, market, health and labor conditions, notably, increased levels of unemployment, delays and delinquencies in payments of mortgage and rent obligations, and uncertainty regarding the effects and extent of government intervention with respect to mortgage payments and other economic matters.
Asset-Backed Securities Risk. ABS may be particularly sensitive to changes in prevailing interest rates. ABS involve certain risks in addition to those presented by mortgage-backed securities (“MBS”). ABS do not have the benefit of the same security interest in the underlying collateral as MBS and are more dependent on the borrower’s ability to pay and may provide the Fund with a less effective security interest in the related collateral than do MBS. There is the possibility that recoveries on the underlying collateral may not, in some cases, be available to support payments on these securities. The collateral underlying ABS may constitute assets related to a wide range of industries and sectors, such as credit card and automobile receivables or other assets derived from consumer, commercial or corporate sectors. If the economy of the United States deteriorates, defaults on securities backed by credit card, automobile and other receivables may increase, which may adversely affect the value of any ABS owned by the Fund. In addition, these securities may provide the Fund with a less effective security interest in the related collateral than do mortgage-related securities. Therefore, there is the possibility that recoveries on the underlying collateral may not, in some cases, be available to support payments on these securities. ABS collateralized by other types of assets are subject to risks associated with the underlying collateral. These risks are elevated given the currently distressed economic, market, labor and health conditions.
CLO, CDO and CBO Risk. In addition to the general risks associated with debt securities discussed herein, collateralized loan obligations (“CLOs”), collateralized debt obligations (“CDOs”), and collateralized bond obligations (“CBOs”) are subject to additional risks. CLOs, CDOs and CBOs are subject to risks associated with the possibility that distributions from collateral securities will not be

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 19

 
   
QUESTIONS & ANSWERS (Unaudited) continued 
May 31, 2020 
 
adequate to make interest or other payments; the quality of the collateral may decline in value or default; and the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
Valuation Risk. The Fund may invest without limitation in unregistered securities, restricted securities and securities for which there is no readily available trading market. It may be difficult for the Fund to purchase and sell a particular investment at the price at which it has been valued by the Fund for purposes of the Fund’s net asset value, causing the Fund to be unable to realize what the Fund believes should be the price of the investment. Valuation of portfolio investments may be difficult, such as during periods of market turmoil or reduced liquidity, and for investments that may, for example, trade infrequently or irregularly. In these and other circumstances, an investment may be valued using fair value methodologies, which are inherently subjective, reflect good faith judgments based on available information and may not accurately estimate the price at which the Fund could sell the investment at that time. Based on its investment strategies, a significant portion of the Fund’s investments can be difficult to value and thus particularly prone to the foregoing risks.
In addition to the foregoing risks, investors should note that the Fund reserves the right to merge or reorganize with another fund, liquidate or convert into an open-end fund, in each case subject to applicable approvals by shareholders and the Fund’s Board of Trustees as required by law and the Fund’s governing documents.
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.

20 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
FUND SUMMARY (Unaudited) 
May 31, 2020 
 
   
Fund Statistics 
 
Share Price 
$16.20 
Net Asset Value 
$15.29 
Premium to NAV 
5.95% 
Net Assets ($000) 
$648,892 

 
AVERAGE ANNUAL TOTAL RETURNS FOR THE 
 
PERIOD ENDED MAY 31, 2020 
 
 
 
One 
Three 
Five 
Ten 
 
Year 
Year 
Year 
Year 
Guggenheim Strategic Opportunities Fund 
 
 
 
 
NAV 
(2.79%) 
3.45% 
7.18% 
10.11% 
Market 
(7.96%) 
3.05% 
6.51% 
10.59% 
 
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.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 21

 
   
FUND SUMMARY (Unaudited) continued 
May 31, 2020 
 
   
Portfolio Breakdown 
% of Net Assets 
Investments 
 
Senior Floating Rate Interests 
38.0% 
Corporate Bonds 
29.2% 
Asset-Backed Securities 
19.5% 
Collateralized Mortgage Obligations 
10.5% 
Closed-End Funds 
5.6% 
U.S. Treasury Bills 
2.6% 
Exchange-Traded Funds 
1.7% 
Other 
2.3% 
Total Investments 
109.4% 
Call Options Written 
(0.5%) 
Other Assets & Liabilities, net 
(8.9%) 
Net Assets 
100.0% 

 
Ten Largest Holdings 
(% of Total Net Assets) 
Morgan Stanley Finance LLC, 1.50% 
2.0% 
Delta Air Lines, Inc., 7.00% 
1.8% 
SPDR Bloomberg Barclays High Yield Bond ETF 
1.7% 
Boeing Co., 5.81% 
1.6% 
Aesf Vi Verdi LP, 1.80% 
1.5% 
BlackRock Taxable Municipal Bond Trust 
1.0% 
ViacomCBS, Inc., 4.95% 
1.0% 
VB-S1 Issuer LLC, 6.66% 
1.0% 
Nuveen Taxable Municipal Income Fund 
0.9% 
TSGE, 6.25% 
0.8% 
Top Ten Total 
13.3% 
 
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Portfolio breakdown and holdings are subject to change daily. For more information, please visit guggenheiminvestments.com/gof. The above summaries are provided for informational purposes only and should not be viewed as recommendations. Past performance does not guarantee future results.

22 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
FUND SUMMARY (Unaudited) continued 
May 31, 2020 
 
   
Portfolio Composition by Quality Rating1 
 
 
 
% of Total 
Rating 
Investments 
Investments 
 
AAA 
3.1% 
AA 
1.1% 
8.9% 
BBB 
14.8% 
BB 
13.4% 
25.1% 
CCC 
4.6% 
CC 
4.0% 
0.5% 
0.0%* 
NR2 
11.9% 
Other Instruments 
12.6% 
Total Investments 
100.0% 
 
*  Less than 0.1%.
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 (not rated) securities do not necessarily indicate low credit quality.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 23

 
   
FUND SUMMARY (Unaudited) continued 
May 31, 2020 
 


For the year ended May 31, 2020, 60.6% of the distributions were characterized as return of capital and 39.4% of the distributions were characterized as ordinary income. The final determination of the tax character of the distributions paid by the Fund in 2020 will be reported to shareholders in January 2021.

24 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
SCHEDULE OF INVESTMENTS 
May 31, 2020 
 
     
 
Shares 
Value 
 
COMMON STOCKS – 0.2% 
 
 
Utilities – 0.1% 
 
 
TexGen Power LLC††† 
22,219 
$ 666,570 
 
Consumer, Non-cyclical – 0.1% 
 
 
Chef Holdings, Inc.*,†††,1 
4,789 
400,817 
ATD New Holdings, Inc.*,†† 
13,571 
198,476 
Cengage Learning Holdings II, Inc.*,†† 
11,126 
33,378 
Targus Group International Equity, Inc.*,†††,1,2 
12,989 
23,091 
Save-A-Lot*,†††,1 
15,565 
– 
Total Consumer, Non-cyclical 
 
655,762 
 
Technology – 0.0% 
 
 
Qlik Technologies, Inc. – Class A*,†††,1 
56 
68,267 
Qlik Technologies, Inc. – Class B*,†††,1 
13,812 
– 
Total Technology 
 
68,267 
 
Energy – 0.0% 
 
 
SandRidge Energy, Inc.* 
39,565 
62,513 
Titan Energy LLC*,3 
9,603 
288 
Total Energy 
 
62,801 
 
Industrial – 0.0% 
 
 
BP Holdco LLC*,†††,1,2 
55,076 
16,061 
Vector Phoenix Holdings, LP*,†††,1 
55,076 
4,380 
Total Industrial 
 
20,441 
Total Common Stocks 
 
 
(Cost $3,252,487) 
 
1,473,841 
 
PREFERRED STOCKS†† – 0.6% 
 
 
Government – 0.4% 
 
 
Farmer Mac 5.75% 
112,000 
2,794,400 
 
Financial – 0.2% 
 
 
Public Storage 5.40% 
41,000 
1,055,750 
AgriBank FCB 6.88% 
4,000 
401,000 
Total Financial 
 
1,456,750 
Total Preferred Stocks 
 
 
(Cost $4,143,000) 
 
4,251,150 
 
EXCHANGE-TRADED FUNDS – 1.7% 
 
 
SPDR Bloomberg Barclays High Yield Bond ETF 
106,075 
10,818,589 
Total Exchange-Traded Funds 
 
 
(Cost $10,333,095) 
 
10,818,589 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 25

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Shares 
Value 
 
CLOSED-END FUNDS – 5.6% 
 
 
BlackRock Taxable Municipal Bond Trust 
284,422 
$ 6,794,842 
Nuveen Taxable Municipal Income Fund 
284,599 
5,922,505 
Nuveen AMT-Free Municipal Credit Income Fund 
286,600 
4,287,536 
BlackRock Corporate High Yield Fund, Inc. 
350,804 
3,529,088 
Invesco Municipal Opportunity Trust 
223,701 
2,626,250 
Invesco Trust for Investment Grade Municipals 
203,291 
2,451,689 
Invesco Municipal Trust 
179,952 
2,101,839 
Invesco Advantage Municipal Income Trust II 
158,081 
1,644,042 
BlackRock Credit Allocation Income Trust 
113,944 
1,541,663 
BlackRock Municipal Income Trust 
107,069 
1,390,826 
Blackstone / GSO Strategic Credit Fund 
123,339 
1,375,230 
Eaton Vance Limited Duration Income Fund 
80,135 
903,923 
Ares Dynamic Credit Allocation Fund, Inc. 
62,013 
729,893 
Nuveen AMT-Free Quality Municipal Income Fund 
28,751 
398,776 
BlackRock Debt Strategies Fund, Inc. 
39,371 
380,324 
Nuveen Quality Municipal Income Fund 
23,748 
332,235 
BlackRock MuniVest Fund, Inc. 
23,221 
194,128 
Total Closed-End Funds 
 
 
(Cost $36,956,533) 
 
36,604,789 
 
MONEY MARKET FUND – 1.0% 
 
 
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.10%4 
6,469,422 
6,469,422 
Total Money Market Fund 
 
 
(Cost $6,469,422) 
 
6,469,422 

 
Face 
 
 
Amount~ 
 
 
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% 
 
 
Consumer, Cyclical – 8.3% 
 
 
Samsonite IP Holdings SARL 
 
 
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 04/25/25 
3,050,000 
2,957,219 
1-800 Contacts 
 
 
4.08% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 01/22/23 
2,569,994 
2,499,319 
Alexander Mann 
 
 
4.43% (6 Month GBP LIBOR + 3.75%, Rate Floor: 3.75%) due 12/16/24†††,1 
GBP 1,172,865 
1,141,657 
6.06% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 06/16/25††† 
1,300,000 
1,014,000 
World Triathlon Corp. 
 
 
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 08/15/26††† 
2,182,398 
2,138,750 
BCPE Empire Holdings, Inc. 
 
 
4.17% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/11/26 
1,827,608 
1,708,814 
BGIS (BIFM CA Buyer, Inc.) 
 
 
4.11% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/01/26††† 
1,736,875 
1,671,742 
 
See notes to financial statements.

26 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued) 
 
 
Consumer, Cyclical – 8.3% (continued) 
 
 
Apro LLC 
 
 
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/14/26 
1,316,700 
$ 1,290,366 
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/16/26 
380,000 
372,400 
WIRB – Copernicus Group, Inc. 
 
 
5.24% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 01/08/27 
1,700,000 
1,651,125 
Titan US Finco Llc 
 
 
5.45% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/01/26 
1,781,398 
1,616,619 
Packers Sanitation Services, Inc. 
 
 
4.25% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 12/04/24 
1,689,334 
1,604,022 
Midas Intermediate Holdco II LLC 
 
 
4.02% (3 Month USD LIBOR + 2.75%, Rate Floor: 3.75%) due 08/18/21 
1,764,788 
1,565,967 
Power Solutions (Panther) 
 
 
3.67% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 04/30/26 
1,641,750 
1,559,662 
Shields Health Solutions Holdings LLC 
 
 
5.17% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 08/19/26††† 
1,741,250 
1,532,300 
CPI Acquisition, Inc. 
 
 
6.38% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 08/17/22 
2,021,782 
1,478,428 
ERM 
 
 
5.20% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 07/10/26 
1,588,000 
1,468,900 
PT Intermediate Holdings III LLC 
 
 
6.95% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 10/15/25††† 
1,695,750 
1,424,430 
OEConnection LLC 
 
 
5.07% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 09/25/26 
1,545,050 
1,416,811 
SHO Holding I Corp. 
 
 
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/27/22 
1,289,079 
1,005,481 
4.42% (1 Month USD LIBOR + 4.00% and 3 Month USD 
 
 
LIBOR + 4.00%, Rate Floor: 4.00%) due 10/27/21†††,1 
474,720 
375,029 
Accuride Corp. 
 
 
6.70% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23 
3,359,341 
1,347,096 
K & N Parent, Inc. 
 
 
5.82% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 10/20/23 
1,927,973 
1,303,309 
BBB Industries, LLC 
 
 
5.58% (3 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 08/01/25 
1,626,237 
1,301,673 
Playtika Holding Corp. 
 
 
7.07% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 12/09/24 
1,237,500 
1,236,176 
WESCO 
 
 
5.33% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/14/24†††,1 
1,155,737 
1,130,542 
IBC Capital Ltd. 
 
 
4.64% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23 
1,220,765 
1,098,689 
Cast & Crew Payroll LLC 
 
 
3.93% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/09/26 
1,189,748 
1,077,709 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 27

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued) 
 
 
Consumer, Cyclical – 8.3% (continued) 
 
 
Galls LLC 
 
 
14.50% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) 
 
 
(in-kind rate was 7.25%) due 01/31/25†††,1,15 
875,756 
$ 845,104 
7.25% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 01/31/24†††,1 
112,782 
103,790 
7.32% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 01/31/25†††,1 
95,055 
91,728 
Blue Nile, Inc. 
 
 
7.50% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 02/17/23 
1,725,000 
997,619 
Prime Security Services Borrower LLC (ADT) 
 
 
4.25% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 09/23/26 
995,000 
968,573 
EnTrans International, LLC 
 
 
6.17% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 11/01/24 
1,368,750 
958,125 
Atkins Nutritionals, Inc. 
 
 
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/08/24 
969,489 
952,523 
Recorded Books, Inc. 
 
 
due 08/29/25 
900,000 
843,750 
CHG Healthcare Services, Inc. 
 
 
4.07% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 06/07/23 
748,846 
730,597 
AT Home Holding III 
 
 
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/03/22 
1,092,746 
710,285 
Nellson Nutraceutical 
 
 
5.70% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/23/21 
813,965 
681,696 
Alterra Mountain Co. 
 
 
due 08/01/26††† 
600,000 
594,000 
EG Finco Ltd. 
 
 
5.07% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25 
293,286 
277,155 
8.75% (6 Month EURIBOR + 7.75%, Rate Floor: 8.75%) due 04/20/26 
EUR 249,505 
238,125 
Checkers Drive-In Restaurants, Inc. 
 
 
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 04/25/24 
997,731 
498,866 
NES Global Talent 
 
 
6.50% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 05/11/23††† 
615,815 
492,652 
Mavis Tire Express Services Corp. 
 
 
4.70% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/20/25 
496,661 
448,649 
Outcomes Group Holdings, Inc. 
 
 
3.67% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 10/24/25 
495,734 
442,031 
American Tire Distributors, Inc. 
 
 
7.20% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23 
425,232 
378,456 
8.55% (1 Month USD LIBOR + 7.50% and 3 Month USD LIBOR + 7.50%, 
 
 
Rate Floor: 8.50%) due 09/02/24 
82,449 
50,019 
Drive Chassis (DCLI) 
 
 
9.56% (3 Month USD LIBOR + 8.25%, Rate Floor: 8.25%) due 04/10/26††† 
500,000 
427,500 
 
See notes to financial statements.

28 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued) 
 
 
Consumer, Cyclical – 8.3% (continued) 
 
 
Aimbridge Acquisition Co., Inc. 
 
 
5.02% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/02/26 
497,084 
$ 420,036 
Zephyr Bidco Ltd. 
 
 
7.61% (1 Month GBP LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26 
GBP 360,000 
383,759 
Sotheby's 
 
 
6.50% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 01/15/27 
347,705 
312,354 
Intrawest Resorts Holdings, Inc. 
 
 
2.92% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 07/31/24 
299,235 
280,907 
Landry's Inc. 
 
 
13.00% (3 Month USD LIBOR + 12.00%, Rate Floor: 13.00%) due 10/04/23 
200,000 
205,500 
Belk, Inc. 
 
 
7.75% (3 Month USD LIBOR + 6.75%, Rate Floor: 7.75%) due 07/31/25 
620,047 
178,108 
Argo Merchants 
 
 
5.20% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 12/06/24††† 
148,159 
134,825 
SP PF Buyer LLC 
 
 
4.67% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25 
149,246 
111,615 
Atlantic Aviation FBO, Inc. 
 
 
3.93% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 12/08/25 
100,000 
93,625 
Petco Animal Supplies, Inc. 
 
 
4.25% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 01/26/23 
38,110 
26,275 
Total Consumer, Cyclical 
 
53,866,482 
 
Consumer, Non-cyclical – 6.6% 
 
 
US Foods, Inc. 
 
 
4.25% (6 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 04/24/25 
4,400,000 
4,092,000 
Bombardier Recreational Products, Inc. 
 
 
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 05/24/27 
3,100,000 
3,076,750 
Civitas Solutions, Inc. 
 
 
4.79% (1 Month USD LIBOR + 4.25% and 3 Month USD LIBOR + 4.25%, 
 
 
Rate Floor: 4.25%) due 03/09/26 
2,295,813 
2,217,755 
5.71% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 03/09/26 
104,267 
100,722 
Packaging Coordinators Midco, Inc. 
 
 
4.33% (1 Month USD LIBOR + 3.50% and 2 Month USD LIBOR + 3.50%, 
 
 
Rate Floor: 3.50%) due 07/01/21†††,1 
1,338,462 
1,288,269 
5.08% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 06/30/23 
1,024,019 
977,938 
Endo Luxembourg Finance Co. 
 
 
5.00% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 04/29/24 
2,244,656 
2,094,691 
Springs Window Fashions 
 
 
9.57% (3 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26 
1,350,000 
1,111,496 
5.32% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 06/15/25 
892,338 
782,286 
CPI Holdco LLC 
 
 
5.70% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 11/04/26 
1,930,000 
1,864,863 
Immucor, Inc. 
 
 
6.45% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 06/15/21 
1,945,000 
1,824,663 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 29

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued) 
 
 
Consumer, Non-cyclical – 6.6% (continued) 
 
 
Snacking Investments US LLC (Arnott's) 
 
 
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 12/18/26 
1,695,750 
$ 1,648,405 
Cambrex Corp. 
 
 
6.00% (1 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 12/04/26 
1,695,750 
1,634,279 
Diamond (BC) BV 
 
 
3.76% (1 Month USD LIBOR + 3.00% and 3 Month USD LIBOR + 3.00%, 
 
 
Rate Floor: 3.00%) due 09/06/24 
1,739,210 
1,606,160 
MDVIP LLC 
 
 
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/14/24††† 
1,697,372 
1,578,556 
PlayPower, Inc. 
 
 
6.95% (3 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 05/08/26 
1,809,260 
1,429,316 
California Cryobank 
 
 
5.45% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/06/25††† 
1,529,361 
1,376,425 
Hearthside Group Holdings LLC 
 
 
4.17% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25 
1,431,875 
1,373,412 
Arctic Glacier Group Holdings, Inc. 
 
 
4.95% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/20/24 
1,772,602 
1,368,786 
ScribeAmerica Intermediate Holdco LLC (Healthchannels) 
 
 
4.67% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25 
1,619,965 
1,360,770 
Confluent Health LLC 
 
 
5.44% (1 Month USD LIBOR + 5.00% and 3 Month USD LIBOR + 5.00%, 
 
 
Rate Floor: 5.00%) due 06/24/26 
1,588,000 
1,349,800 
EyeCare Partners LLC 
 
 
4.82% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/18/27 
1,418,919 
1,291,216 
BCPE Eagle Buyer LLC 
 
 
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 03/18/24 
1,456,462 
1,270,763 
Sierra Acquisition, Inc. 
 
 
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/11/24 
1,421,222 
1,211,591 
Tecbid US, Inc. 
 
 
5.20% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/25/24 
988,890 
979,001 
CTI Foods Holding Co. LLC 
 
 
8.77% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) 
 
 
(in-kind rate was 3.00%) due 05/03/24†††,1,15 
468,586 
431,099 
10.77% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) 
 
 
(in-kind rate was 6.00%) due 05/03/24†††,15 
192,379 
171,218 
Affordable Care Holdings Corp. 
 
 
6.20% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 10/24/22 
804,278 
599,187 
Certara, Inc. 
 
 
4.95% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/15/24††† 
608,054 
565,490 
Moran Foods LLC 
 
 
12.18% (3 Month USD LIBOR + 10.75%, Rate Floor: 11.75%) due 10/01/24†††,1 
297,594 
265,096 
1.00% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 04/01/24†††,1 
251,869 
226,682 
 
See notes to financial statements.

30 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued) 
 
 
Consumer, Non-cyclical – 6.6% (continued) 
 
 
Examworks Group, Inc. 
 
 
3.42% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 01/27/23†††,1 
400,000 
$ 383,255 
4.32% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 07/27/23 
98,977 
96,565 
Kar Nut Products Company LLC 
 
 
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 03/31/23†††,1 
364,523 
359,055 
Hoffmaster Group, Inc. 
 
 
5.45% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/21/23 
422,558 
304,241 
Recess Holdings, Inc. 
 
 
5.20% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24 
297,710 
240,648 
Blue Ribbon LLC 
 
 
5.04% (1 Month USD LIBOR + 4.00% and 3 Month USD LIBOR + 4.00%, 
 
 
Rate Floor: 5.00%) due 11/15/21 
220,000 
180,950 
Total Consumer, Non-cyclical 
 
42,733,399 
 
Industrial – 6.4% 
 
 
Alion Science & Technology Corp. 
 
 
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 08/19/21 
3,112,269 
3,075,949 
Capstone Logistics 
 
 
5.57% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 10/07/21 
2,613,814 
2,463,520 
American Bath Group LLC 
 
 
5.00% (2 Month USD LIBOR + 4.00% and 3 Month USD LIBOR + 4.00%, 
 
 
Rate Floor: 5.00%) due 09/29/23 
2,667,429 
2,454,034 
StandardAero 
 
 
4.95% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 04/06/26 
2,736,250 
2,294,346 
ILPEA Parent, Inc. 
 
 
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 03/02/23††† 
2,458,726 
2,286,615 
WP CPP Holdings LLC 
 
 
4.75% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, 
 
 
Rate Floor: 4.75%) due 04/30/25 
2,344,819 
2,016,545 
Tank Holdings Corp. 
 
 
3.67% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 03/26/26 
1,990,000 
1,874,958 
STS Operating, Inc. (SunSource) 
 
 
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24 
2,043,043 
1,820,004 
Foundation Building Materials Holding Company LLC 
 
 
3.17% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 08/13/25 
1,728,125 
1,630,918 
NA Rail Hold Co LLC (Patriot) 
 
 
6.27% (2 Month USD LIBOR + 5.25%, Rate Floor: 5.25%) due 10/19/26††† 
1,700,000 
1,606,500 
AI Convoy Luxembourg SARL 
 
 
4.65% (3 Month USD LIBOR + 3.50% and 6 Month USD LIBOR + 3.50%, 
 
 
Rate Floor: 4.50%) due 01/18/27 
1,500,000 
1,428,750 
Pelican Products, Inc. 
 
 
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/01/25 
1,607,500 
1,422,637 
API Holdings III Corp. 
 
 
4.42% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 05/11/26 
1,588,000 
1,338,557 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 31

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued) 
 
 
Industrial – 6.4% (continued) 
 
 
National Technical 
 
 
7.43% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 06/12/21†††,1 
1,358,790 
$ 1,304,438 
Anchor Packaging LLC 
 
 
4.17% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/20/26 
1,347,077 
1,279,723 
Transcendia Holdings, Inc. 
 
 
4.57% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/30/24 
1,764,587 
1,182,273 
Avison Young (Canada), Inc. 
 
 
5.85% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 01/31/26 
1,283,750 
1,146,954 
Charter Nex US, Inc. 
 
 
3.42% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/16/24 
1,177,049 
1,142,479 
Fortis Solutions Group LLC 
 
 
6.00% (1 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 12/15/23†††,1 
1,144,766 
1,106,646 
Diversitech Holdings, Inc. 
 
 
8.95% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 06/02/25 
1,000,000 
900,000 
4.45% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 06/03/24††† 
99,235 
94,273 
SLR Consulting Ltd. 
 
 
4.98% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/23/25†††,1 
793,980 
740,358 
4.97% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/23/25†††,1 
207,744 
193,714 
4.98% (1 Month USD LIBOR + 4.00% and 6 Month USD LIBOR + 4.00%, 
 
 
Rate Floor: 4.00%) due 06/23/25†††,1 
39,120 
45,041 
Bhi Investments LLC 
 
 
10.67% (3 Month USD LIBOR + 8.75%, Rate Floor: 9.75%) due 02/28/25†††,1 
1,000,000 
950,000 
Duran, Inc. 
 
 
6.15% (6 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 12/20/24†††,1 
539,701 
480,805 
6.12% (6 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/29/24†††,1 
492,255 
438,536 
ProAmpac PG Borrower LLC 
 
 
9.50% (3 Month USD LIBOR + 8.50%, Rate Floor: 9.50%) due 11/18/24 
1,000,000 
810,000 
Savage Enterprises LLC 
 
 
3.18% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 08/01/25 
780,000 
767,325 
YAK MAT (YAK ACCESS LLC) 
 
 
11.20% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26 
1,000,000 
650,000 
BWAY Holding Co. 
 
 
4.56% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24 
695,803 
632,749 
Thermon Group Holdings, Inc. 
 
 
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/30/24††† 
639,180 
594,437 
TricorBraun Holdings, Inc. 
 
 
5.20% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 11/30/23 
586,325 
547,481 
Dimora Brands, Inc. 
 
 
4.57% (2 Month USD LIBOR + 3.50% and 3 Month USD LIBOR + 3.50%, 
 
 
Rate Floor: 4.50%) due 08/24/24††† 
486,563 
440,340 
Titan Acquisition Ltd. (Husky) 
 
 
4.45% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25 
296,123 
267,357 
Hayward Industries, Inc. 
 
 
3.67% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/05/24 
155,528 
150,279 
 
See notes to financial statements.

32 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued) 
 
 
Industrial – 6.4% (continued) 
 
 
CPM Holdings, Inc. 
 
 
3.97% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/17/25 
99,496 
$ 80,915 
Total Industrial 
 
41,659,456 
 
Technology – 6.4% 
 
 
Cologix Holdings, Inc. 
 
 
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 03/20/24 
3,150,000 
3,012,975 
Planview, Inc. 
 
 
6.25% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 01/27/23†††,1 
2,639,375 
2,590,912 
Datix Bidco Ltd. 
 
 
5.36% (6 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25†††,1 
2,001,644 
1,987,670 
8.61% (6 Month USD LIBOR + 7.75%, Rate Floor: 7.75%) due 04/27/26†††,1 
300,111 
290,051 
Emerald TopCo, Inc. (Press Ganey) 
 
 
4.26% (1 Month USD LIBOR + 3.50% and 3 Month USD LIBOR + 3.50%, 
 
 
Rate Floor: 3.50%) due 07/24/26 
2,288,500 
2,193,527 
GlobalFoundries, Inc. 
 
 
6.25% (3 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 06/05/26 
2,332,375 
2,180,771 
Ministry Brands LLC 
 
 
5.00% (2 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 12/02/22††† 
2,162,540 
2,054,414 
II-VI, Inc. 
 
 
3.67% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/24/26 
1,990,000 
1,913,723 
Upland Software, Inc. 
 
 
3.92% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26 
1,990,000 
1,890,500 
EIG Investors Corp. 
 
 
4.75% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, 
 
 
Rate Floor: 4.75%) due 02/09/23 
1,915,395 
1,854,735 
Brave Parent Holdings, Inc. 
 
 
4.17% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/18/25 
1,866,750 
1,792,080 
Dun & Bradstreet 
 
 
4.17% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/06/26 
1,750,000 
1,701,140 
Cvent, Inc. 
 
 
3.92% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/29/24 
1,960,000 
1,700,300 
TIBCO Software, Inc. 
 
 
3.93% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/30/26 
1,750,000 
1,681,103 
Park Place Technologies LLC 
 
 
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 03/29/25††† 
1,066,060 
1,002,096 
9.00% (3 Month USD LIBOR + 8.00%, Rate Floor: 9.00%) due 03/30/26††† 
680,723 
592,229 
Project Boost Purchaser LLC 
 
 
3.67% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26 
1,691,500 
1,582,956 
Aston FinCo SARL 
 
 
4.47% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/09/26 
1,700,000 
1,553,800 
Misys Ltd. 
 
 
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24 
1,687,691 
1,530,179 
Navicure, Inc. 
 
 
4.17% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 10/22/26††† 
1,541,667 
1,491,563 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 33

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued) 
 
 
Technology – 6.4% (continued) 
 
 
24-7 Intouch, Inc. 
 
 
4.92% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 08/25/25††† 
1,477,500 
$ 1,344,525 
Transact Holdings, Inc. 
 
 
4.92% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 04/30/26 
1,343,250 
1,185,418 
Informatica LLC 
 
 
3.42% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/25/27 
1,200,000 
1,142,004 
Aspect Software, Inc. 
 
 
6.00% (2 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 01/15/24††† 
1,012,442 
911,198 
6.23% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 07/17/23†††,1 
90,707 
89,747 
CCC Information Services, Inc. 
 
 
3.18% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/27/22†††,1 
890,411 
848,097 
Greenway Health LLC 
 
 
4.82% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 02/16/24 
979,849 
734,887 
Apttus Corp. 
 
 
4.20% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 10/02/21†††,1 
425,000 
416,695 
EXC Holdings III Corp. 
 
 
4.95% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 12/02/24 
99,491 
95,014 
Total Technology 
 
41,364,309 
 
Communications – 3.0% 
 
 
Xplornet Communications Inc. 
 
 
due 06/10/27 
3,250,000 
3,103,750 
Trader Interactive 
 
 
7.57% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 06/17/24†††,1 
2,697,388 
2,508,571 
7.72% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 06/15/23†††,1 
46,154 
42,640 
Conterra Ultra Broadband Holdings, Inc. 
 
 
4.68% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/30/26 
1,985,000 
1,890,713 
Market Track LLC 
 
 
5.25% (2 Month USD LIBOR + 4.25% and 3 Month USD LIBOR + 4.25%, 
 
 
Rate Floor: 5.25%) due 06/05/24 
2,090,875 
1,735,426 
Zayo Group Holdings, Inc. 
 
 
3.17% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27 
1,750,000 
1,681,103 
ProQuest, LLC 
 
 
3.67% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 10/23/26 
1,645,875 
1,589,817 
Flight Bidco, Inc. 
 
 
7.67% (1 Month USD LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26††† 
1,300,000 
1,105,000 
3.67% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25 
445,477 
416,521 
Resource Label Group LLC 
 
 
5.95% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 05/26/23††† 
1,305,130 
1,213,771 
Liberty Cablevision Of Puerto Rico LLC 
 
 
5.18% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 10/15/26 
1,200,000 
1,196,004 
Authentic Brands 
 
 
4.95% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 09/27/24 
1,250,000 
1,091,150 
Internet Brands, Inc. 
 
 
4.82% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24 
1,041,797 
1,006,470 
 
See notes to financial statements.

34 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued) 
 
 
Communications – 3.0% (continued) 
 
 
Houghton Mifflin Co. 
 
 
7.25% (1 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 11/22/24 
691,250 
$ 639,406 
McGraw-Hill Global Education Holdings LLC 
 
 
5.45% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 05/04/22 
467,805 
397,634 
Cengage Learning Acquisitions, Inc. 
 
 
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/07/23 
187,472 
151,008 
Total Communications 
 
19,768,984 
 
Financial – 2.8% 
 
 
Nexus Buyer LLC 
 
 
3.93% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26 
1,695,750 
1,661,835 
NFP Corp. 
 
 
3.42% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27 
1,694,864 
1,588,935 
Teneo Holdings LLC 
 
 
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 07/11/25 
1,741,250 
1,584,537 
Situs AMC Holdings Corp. 
 
 
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/28/25††† 
1,459,243 
1,439,316 
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/30/25††† 
129,730 
127,958 
Aretec Group, Inc. 
 
 
4.42% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25 
1,678,750 
1,544,450 
StepStone Group LP 
 
 
5.00% (6 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 03/27/25††† 
1,470,000 
1,418,550 
Jefferies Finance LLC 
 
 
3.19% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/03/26 
1,534,500 
1,407,428 
Claros Mortgage Trust, Inc. 
 
 
3.47% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 08/10/26 
1,492,500 
1,343,250 
Alliant Holdings Intermediate LLC 
 
 
3.42% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25 
992,500 
948,334 
2.92% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/09/25 
197,985 
188,602 
HUB International Ltd. 
 
 
5.00% (1 Month USD LIBOR + 4.00% and 3 Month USD LIBOR + 4.00%, 
 
 
Rate Floor: 5.00%) due 04/25/25 
997,500 
975,086 
4.02% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/25/25 
99,242 
95,410 
Virtu Financial, Inc. 
 
 
3.22% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/01/26 
1,087,568 
1,067,176 
USI, Inc. 
 
 
4.17% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 12/02/26 
598,500 
579,797 
3.17% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24 
247,462 
237,378 
AmeriLife Holdings LLC 
 
 
4.37% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 03/18/27 
750,000 
690,000 
Jane Street Group LLC 
 
 
3.17% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/31/25 
494,991 
482,616 
Citadel Securities LP 
 
 
2.92% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 02/27/26 
399,000 
390,190 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 35

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued) 
 
 
Financial – 2.8% (continued) 
 
 
Assetmark Financial Holdings, Inc. 
 
 
4.45% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 11/14/25 
358,875 
$ 349,903 
Northstar Financial Services LLC 
 
 
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 05/26/25 
392,341 
347,222 
Total Financial 
 
18,467,973 
 
Basic Materials – 2.7% 
 
 
ICP Industrial, Inc. 
 
 
5.07% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/03/23††† 
2,447,915 
2,239,843 
American Rock Salt Company LLC 
 
 
4.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/21/25 
1,896,892 
1,830,501 
PetroChoice Holdings 
 
 
6.00% (2 Month USD LIBOR + 5.00% and 3 Month USD LIBOR + 5.00%, 
 
 
Rate Floor: 6.00%) due 08/19/22 
2,013,931 
1,654,786 
DCG Acquisition Corp. 
 
 
4.68% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26 
1,741,858 
1,567,672 
Pregis TopCo Corp. 
 
 
4.17% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/31/26 
1,645,875 
1,550,727 
Ascend Performance Materials Operations LLC 
 
 
6.70% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 08/27/26 
1,495,000 
1,422,119 
GrafTech Finance, Inc. 
 
 
4.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 02/12/25 
1,483,194 
1,416,451 
Niacet Corp. 
 
 
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 02/01/24††† 
1,572,965 
1,415,669 
Big River Steel LLC 
 
 
6.45% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 08/23/23 
1,524,209 
1,387,030 
LTI Holdings, Inc. 
 
 
3.67% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/06/25 
985,000 
862,614 
Niacet B.V. 
 
 
5.50% (1 Month EURIBOR + 4.50%, Rate Floor: 5.50%) due 02/01/24††† 
EUR 740,219 
739,315 
Vectra Co. 
 
 
3.42% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/08/25 
545,085 
507,202 
ASP Chromaflo Dutch I B.V. 
 
 
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/20/23††† 
447,700 
402,930 
Alpha 3 BV 
 
 
4.45% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 01/31/24 
400,000 
384,376 
ASP Chromaflo Intermediate Holdings, Inc. 
 
 
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/20/23††† 
344,300 
309,870 
Noranda Aluminum Acquisition Corp. 
 
 
due 02/28/19†††,5 
517,932 
31,076 
Total Basic Materials 
 
17,722,181 
 
See notes to financial statements.

36 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FLOATING RATE INTERESTS††,6 – 38.0% (continued) 
 
 
Utilities – 1.5% 
 
 
Oregon Clean Energy LLC 
 
 
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 03/02/26 
2,401,356 
$ 2,269,281 
Panda Power 
 
 
7.95% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 08/21/20 
2,338,549 
2,148,542 
UGI Energy Services, Inc. 
 
 
3.92% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/13/26 
1,637,625 
1,551,650 
Carroll County Energy LLC 
 
 
4.95% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/16/26 
1,492,521 
1,414,164 
Franklin Energy (KAMC Holdings, Inc.) 
 
 
4.36% (1 Month USD LIBOR + 4.00% and 3 Month USD LIBOR + 4.00%, 
 
 
Rate Floor: 4.00%) due 08/14/26 
1,641,750 
1,362,652 
EIF Channelview Cogeneration LLC 
 
 
5.25% (2 Month USD LIBOR + 4.25% and 3 Month USD LIBOR + 4.25%, 
 
 
Rate Floor: 5.25%) due 05/03/25 
800,197 
797,197 
Total Utilities 
 
9,543,486 
 
Energy – 0.3% 
 
 
SeaPort Financing LLC 
 
 
5.68% (1 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 10/31/25††† 
1,476,914 
1,255,377 
Summit Midstream Partners, LP 
 
 
7.00% (1 Month USD LIBOR + 6.00% and 3 Month USD LIBOR + 6.00%, 
 
 
Rate Floor: 7.00%) due 05/13/22 
1,094,653 
192,659 
Permian Production Partners LLC 
 
 
due 05/20/24†††,5 
1,805,000 
90,250 
Gavilan Resources LLC 
 
 
due 03/01/245 
990,000 
84,150 
Total Energy 
 
1,622,436 
Total Senior Floating Rate Interests 
 
 
(Cost $272,472,835) 
 
246,748,706 
 
CORPORATE BONDS†† – 29.2% 
 
 
Financial – 9.6% 
 
 
Morgan Stanley Finance LLC 
 
 
1.50% due 10/23/2916 
13,500,000 
13,216,500 
Markel Corp. 
 
 
6.00%7,8 
4,770,000 
4,770,000 
QBE Insurance Group Ltd. 
 
 
7.50% due 11/24/433,8,9 
3,000,000 
3,273,000 
5.88%7,8,9 
950,000 
972,325 
Cushman & Wakefield US Borrower LLC 
 
 
6.75% due 05/15/289 
3,150,000 
3,292,380 
Bank of America Corp. 
 
 
6.50%7,8 
2,000,000 
2,155,320 
6.30%7,8 
1,000,000 
1,095,000 
Charles Schwab Corp. 
 
 
5.38%7,8 
3,000,000 
3,178,350 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 37

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
CORPORATE BONDS†† – 29.2% (continued) 
 
 
Financial – 9.6% (continued) 
 
 
American Equity Investment Life Holding Co. 
 
 
5.00% due 06/15/273 
2,950,000 
$ 2,924,502 
Lincoln National Corp. 
 
 
4.38% due 06/15/503 
2,560,000 
2,765,166 
BBC Military Housing-Navy Northeast LLC 
 
 
6.30% due 10/15/49 
2,800,000 
2,745,986 
Citizens Financial Group, Inc. 
 
 
5.33% (3 Month USD LIBOR + 3.96%)6,7 
2,500,000 
2,122,550 
Assurant, Inc. 
 
 
4.90% due 03/27/283 
1,950,000 
2,086,799 
Fort Knox Military Housing Privatization Project 
 
 
5.82% due 02/15/529 
1,908,377 
1,984,637 
First American Financial Corp. 
 
 
4.00% due 05/15/303 
1,740,000 
1,864,440 
Atlas Mara Ltd. 
 
 
8.00% due 12/31/2010 
2,200,000 
1,738,000 
NFP Corp. 
 
 
7.00% due 05/15/259 
1,600,000 
1,660,000 
Hunt Companies, Inc. 
 
 
6.25% due 02/15/263,9 
1,675,000 
1,474,000 
Springleaf Finance Corp. 
 
 
6.13% due 03/15/24 
1,500,000 
1,455,450 
Newmark Group, Inc. 
 
 
6.13% due 11/15/23 
1,450,000 
1,332,071 
Jefferies Finance LLC / JFIN Company-Issuer Corp. 
 
 
7.25% due 08/15/243,9 
1,500,000 
1,305,000 
CNB Financial Corp. 
 
 
5.75% due 10/15/268,10 
1,000,000 
1,028,878 
Fort Benning Family Communities LLC 
 
 
6.09% due 01/15/519 
721,603 
829,309 
Pacific Beacon LLC 
 
 
5.63% due 07/15/519 
690,331 
728,102 
Bank of New York Mellon Corp. 
 
 
4.70%7,8 
670,000 
689,262 
Macquarie Bank Ltd. 
 
 
3.62% due 06/03/309 
640,000 
652,351 
Greystar Real Estate Partners LLC 
 
 
5.75% due 12/01/259 
450,000 
423,000 
Fort Gordon Housing LLC 
 
 
6.32% due 05/15/519 
200,000 
235,872 
USI, Inc. 
 
 
6.88% due 05/01/253,9 
150,000 
153,688 
Oxford Finance LLC / Oxford Finance Company-Issuer II, Inc. 
 
 
6.38% due 12/15/223,9 
41,000 
38,950 
Total Financial 
 
62,190,888 
 
See notes to financial statements.

38 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
CORPORATE BONDS†† – 29.2% (continued) 
 
 
Consumer, Cyclical – 6.1% 
 
 
Delta Air Lines, Inc. 
 
 
7.00% due 05/01/253,9 
11,050,000 
$ 11,418,447 
Marriott International, Inc. 
 
 
4.63% due 06/15/30 
2,320,000 
2,368,394 
5.75% due 05/01/253 
490,000 
531,073 
Live Nation Entertainment, Inc. 
 
 
6.50% due 05/15/279 
2,400,000 
2,548,500 
HP Communities LLC 
 
 
6.16% due 09/15/539 
1,000,000 
1,188,655 
6.82% due 09/15/539 
952,899 
1,102,420 
Wolverine World Wide, Inc. 
 
 
6.38% due 05/15/259 
2,075,000 
2,163,188 
Sabre GLBL, Inc. 
 
 
5.38% due 04/15/233,9 
900,000 
850,500 
9.25% due 04/15/259 
750,000 
805,312 
5.25% due 11/15/239 
475,000 
448,875 
Aramark Services, Inc. 
 
 
6.38% due 05/01/253,9 
1,750,000 
1,831,883 
5.00% due 02/01/289 
110,000 
108,350 
Hyatt Hotels Corp. 
 
 
5.75% due 04/23/303 
1,690,000 
1,781,294 
Six Flags Theme Parks, Inc. 
 
 
7.00% due 07/01/259 
1,575,000 
1,673,437 
Williams Scotsman International, Inc. 
 
 
6.88% due 08/15/233,9 
1,650,000 
1,670,625 
LBC Tank Terminals Holding Netherlands BV 
 
 
6.88% due 05/15/233,9 
1,575,000 
1,539,893 
Exide Technologies 
 
 
due 10/31/24†††,5,10,15 
2,695,392 
1,296,340 
JB Poindexter & Company, Inc. 
 
 
7.13% due 04/15/263,9 
1,100,000 
1,094,918 
Exide International Holdings, LP 
 
 
15.25% (in-kind rate was 4.50%) due 10/31/21†††,10,15 
761,242 
643,249 
Vail Resorts, Inc. 
 
 
6.25% due 05/15/259 
600,000 
630,000 
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp. 
 
 
5.75% due 03/01/253 
575,000 
572,125 
Ferguson Finance plc 
 
 
3.25% due 06/02/309 
490,000 
494,528 
United Airlines Class AA Pass Through Trust 
 
 
3.45% due 12/01/27 
529,198 
489,626 
Performance Food Group, Inc. 
 
 
6.88% due 05/01/259 
450,000 
471,375 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 39

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
CORPORATE BONDS†† – 29.2% (continued) 
 
 
Consumer, Cyclical – 6.1% (continued) 
 
 
Reliance Intermediate Holdings, LP 
 
 
6.50% due 04/01/239 
400,000 
$ 403,000 
Superior Plus Limited Partnership / Superior General Partner, Inc. 
 
 
7.00% due 07/15/263,9 
395,000 
402,900 
Brookfield Residential Properties Incorporated / Brookfield Residential US Corp. 
 
 
4.88% due 02/15/303,9 
325,000 
276,152 
Boyd Gaming Corp. 
 
 
8.63% due 06/01/259 
250,000 
267,065 
Yum! Brands, Inc. 
 
 
7.75% due 04/01/259 
200,000 
221,000 
Boyne USA, Inc. 
 
 
7.25% due 05/01/259 
150,000 
158,625 
Party City Holdings, Inc. 
 
 
6.63% due 08/01/2610 
544,000 
83,640 
Total Consumer, Cyclical 
 
39,535,389 
 
Industrial – 4.2% 
 
 
Boeing Co. 
 
 
5.81% due 05/01/503 
9,400,000 
10,665,188 
Encore Capital Group, Inc. 
 
 
5.63% due 08/11/24††† 
3,400,000 
3,373,380 
Great Lakes Dredge & Dock Corp. 
 
 
8.00% due 05/15/223 
1,776,000 
1,811,520 
Intertape Polymer Group, Inc. 
 
 
7.00% due 10/15/263,9 
1,450,000 
1,479,000 
JELD-WEN, Inc. 
 
 
6.25% due 05/15/259 
1,350,000 
1,390,500 
Grinding Media Inc. / MC Grinding Media Canada Inc. 
 
 
7.38% due 12/15/233,9 
1,280,000 
1,273,664 
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC 
 
 
4.72% (3 Month USD LIBOR + 3.50%) due 07/15/213,6,9 
1,225,000 
1,215,812 
Princess Juliana International Airport Operating Company N.V. 
 
 
5.50% due 12/20/27†††,1,3,10 
1,388,504 
1,145,807 
Mauser Packaging Solutions Holding Co. 
 
 
8.50% due 04/15/249 
950,000 
959,500 
Howmet Aerospace, Inc. 
 
 
6.88% due 05/01/25 
800,000 
850,019 
Cleaver-Brooks, Inc. 
 
 
7.88% due 03/01/233,9 
950,000 
795,825 
PowerTeam Services LLC 
 
 
9.03% due 12/04/259 
690,000 
697,887 
GATX Corp. 
 
 
4.00% due 06/30/303 
560,000 
579,875 
Harsco Corp. 
 
 
5.75% due 07/31/273,9 
500,000 
489,345 
 
See notes to financial statements.

40 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
CORPORATE BONDS†† – 29.2% (continued) 
 
 
Industrial – 4.2% (continued) 
 
 
Standard Industries, Inc. 
 
 
5.38% due 11/15/249 
400,000 
$ 407,000 
Glenn Pool Oil & Gas Trust 
 
 
6.00% due 08/02/21††† 
225,111 
171,075 
EnPro Industries, Inc. 
 
 
5.75% due 10/15/26 
115,000 
112,988 
Hillman Group, Inc. 
 
 
6.38% due 07/15/229 
40,000 
36,029 
Total Industrial 
 
27,454,414 
 
Consumer, Non-cyclical – 2.6% 
 
 
Kraft Heinz Foods Co. 
 
 
5.20% due 07/15/45 
1,250,000 
1,283,817 
4.38% due 06/01/46 
850,000 
802,043 
US Foods, Inc. 
 
 
6.25% due 04/15/259 
1,950,000 
2,020,687 
Nathan's Famous, Inc. 
 
 
6.63% due 11/01/253,9 
2,050,000 
2,019,250 
Vector Group Ltd. 
 
 
6.13% due 02/01/259 
1,725,000 
1,686,188 
Nielsen Finance LLC / Nielsen Finance Co. 
 
 
5.00% due 04/15/229 
1,650,000 
1,647,442 
Sotheby's 
 
 
7.38% due 10/15/273,9 
1,700,000 
1,547,000 
Avanos Medical, Inc. 
 
 
6.25% due 10/15/223 
1,360,000 
1,353,200 
Jaguar Holding Company II / PPD Development, LP 
 
 
5.00% due 06/15/289 
700,000 
726,250 
Endo Finance LLC / Endo Finco, Inc. 
 
 
7.25% due 01/15/229 
800,000 
696,000 
Acadia Healthcare Company, Inc. 
 
 
5.63% due 02/15/233 
600,000 
598,374 
KeHE Distributors LLC / KeHE Finance Corp. 
 
 
8.63% due 10/15/263,9 
550,000 
580,250 
Carriage Services, Inc. 
 
 
6.63% due 06/01/263,9 
475,000 
496,375 
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc. 
 
 
7.88% due 10/01/229 
600,000 
444,000 
Beverages & More, Inc. 
 
 
11.50% due 06/15/223,10 
650,000 
419,250 
FAGE International S.A. / FAGE USA Dairy Industry, Inc. 
 
 
5.63% due 08/15/269 
200,000 
189,000 
Endo Dac / Endo Finance LLC / Endo Finco, Inc. 
 
 
6.00% due 07/15/239 
140,000 
107,800 
Total Consumer, Non-cyclical 
 
16,616,926 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 41

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
CORPORATE BONDS†† – 29.2% (continued) 
 
 
Communications – 2.3% 
 
 
ViacomCBS, Inc. 
 
 
4.95% due 05/19/503 
6,390,000 
$ 6,573,808 
Walt Disney Co. 
 
 
3.80% due 05/13/603 
2,820,000 
3,216,259 
Altice France S.A. 
 
 
7.38% due 05/01/263,9 
1,660,000 
1,747,150 
Cengage Learning, Inc. 
 
 
9.50% due 06/15/249 
1,416,000 
955,800 
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance 
 
 
7.88% due 05/15/249 
1,126,000 
757,471 
Houghton Mifflin Harcourt Publishers, Inc. 
 
 
9.00% due 02/15/253,9 
700,000 
623,000 
LCPR Senior Secured Financing DAC 
 
 
6.75% due 10/15/273,9 
500,000 
520,185 
Ziggo Bond Company BV 
 
 
5.13% due 02/28/303,9 
500,000 
512,500 
Total Communications 
 
14,906,173 
 
Energy – 1.8% 
 
 
Hess Corp. 
 
 
5.60% due 02/15/41 
1,550,000 
1,540,029 
6.00% due 01/15/40 
1,000,000 
993,946 
7.13% due 03/15/33 
500,000 
543,894 
CVR Energy, Inc. 
 
 
5.25% due 02/15/253,9 
1,750,000 
1,575,000 
Husky Energy, Inc. 
 
 
4.00% due 04/15/243 
900,000 
899,568 
3.95% due 04/15/223 
600,000 
604,364 
Global Partners Limited Partnership / GLP Finance Corp. 
 
 
7.00% due 08/01/273 
1,625,000 
1,413,263 
Sunoco Logistics Partners Operations, LP 
 
 
4.25% due 04/01/243 
1,000,000 
1,042,910 
Indigo Natural Resources LLC 
 
 
6.88% due 02/15/269 
895,000 
865,912 
American Midstream Partners Limited Partnership / American Midstream Finance Corp. 
 
 
9.50% due 12/15/219 
895,000 
805,500 
Buckeye Partners, LP 
 
 
4.35% due 10/15/243 
750,000 
731,250 
Antero Resources Corp. 
 
 
5.13% due 12/01/22 
221,000 
154,700 
5.63% due 06/01/23 
250,000 
145,000 
FLNG Liquefaction 2 LLC 
 
 
4.13% due 03/31/3810 
266,970 
225,898 
 
See notes to financial statements.

42 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
CORPORATE BONDS†† – 29.2% (continued) 
 
 
Energy – 1.8% (continued) 
 
 
Basic Energy Services, Inc. 
 
 
10.75% due 10/15/233,10 
500,000 
$ 205,075 
Summit Midstream Holdings LLC / Summit Midstream Finance Corp. 
 
 
5.50% due 08/15/22 
200,000 
96,000 
Schahin II Finance Co. SPV Ltd. 
 
 
due 09/25/225,9 
1,216,133 
76,008 
Unit Corp. 
 
 
due 05/15/215 
343,000 
34,300 
Total Energy 
 
11,952,617 
 
Basic Materials – 1.6% 
 
 
United States Steel Corp. 
 
 
12.00% due 06/01/259 
4,780,000 
4,785,975 
BHP Billiton Finance USA Ltd. 
 
 
6.75% due 10/19/753,8,9 
2,450,000 
2,809,832 
Neon Holdings, Inc. 
 
 
10.13% due 04/01/263,9 
1,153,000 
1,109,763 
Kaiser Aluminum Corp. 
 
 
6.50% due 05/01/259 
1,050,000 
1,077,562 
Arconic Corp. 
 
 
6.00% due 05/15/259 
350,000 
362,617 
Mirabela Nickel Ltd. 
 
 
due 06/24/195,10 
1,388,176 
69,409 
Total Basic Materials 
 
10,215,158 
 
Utilities – 0.6% 
 
 
Terraform Global Operating LLC 
 
 
6.13% due 03/01/269 
1,630,000 
1,605,550 
AES Corp. 
 
 
3.95% due 07/15/309 
1,430,000 
1,435,649 
Petershill II Senior Secured Notes 
 
 
5.00% due 12/02/39†††,1 
1,000,000 
903,181 
Total Utilities 
 
3,944,380 
 
Technology – 0.4% 
 
 
NCR Corp. 
 
 
6.13% due 09/01/299 
600,000 
597,222 
8.13% due 04/15/259 
525,000 
565,031 
6.38% due 12/15/233 
200,000 
204,478 
Boxer Parent Company, Inc. 
 
 
7.13% due 10/02/259 
1,100,000 
1,161,875 
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc. 
 
 
5.75% due 03/01/259 
400,000 
399,428 
Total Technology 
 
2,928,034 
Total Corporate Bonds 
 
 
(Cost $191,659,248) 
 
189,743,979 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 43

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
ASSET-BACKED SECURITIES†† – 19.5% 
 
 
Collateralized Loan Obligations – 10.9% 
 
 
Golub Capital Partners CLO Ltd. 
 
 
2018-36A, 2.64% (3 Month USD LIBOR + 2.10%, Rate Floor: 0.00%) due 02/05/316,9 
5,000,000 
$ 4,087,527 
2018-39A, 3.34% (3 Month USD LIBOR + 2.20%, Rate Floor: 2.20%) due 10/20/286,9 
2,500,000 
2,394,172 
2018-25A, 2.44% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 05/05/306,9 
2,500,000 
2,263,682 
2017-16A, 3.99% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 07/25/296,9 
1,500,000 
1,352,415 
Diamond CLO Ltd. 
 
 
2018-1A, 4.80% (3 Month USD LIBOR + 3.70%, Rate Floor: 3.70%) due 07/22/306,9 
3,000,000 
2,533,696 
2018-1A, 3.70% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 07/22/306,9 
2,500,000 
2,280,627 
Mountain Hawk II CLO Ltd. 
 
 
2018-2A, 3.49% (3 Month USD LIBOR + 2.35%, Rate Floor: 0.00%) due 07/20/246,9 
3,000,000 
2,849,179 
2013-2A, 4.29% (3 Month USD LIBOR + 3.15%, Rate Floor: 0.00%) due 07/22/246,9 
1,750,000 
1,575,625 
LoanCore Issuer Ltd. 
 
 
2019-CRE2, 1.68% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/366,9 
4,750,000 
4,276,439 
Fortress Credit Opportunities IX CLO Ltd. 
 
 
2017-9A, 3.04% (3 Month USD LIBOR + 2.65%, Rate Floor: 0.00%) due 11/15/296,9 
4,000,000 
3,551,868 
Marathon CRE Ltd. 
 
 
2018-FL1, 3.18% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/15/286,9 
3,000,000 
2,681,070 
Monroe Capital CLO Ltd. 
 
 
2017-1A, 4.70% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/22/266,9 
1,750,000 
1,511,753 
2017-1A, 3.50% (3 Month USD LIBOR + 2.40%, Rate Floor: 0.00%) due 10/22/266,9 
1,250,000 
1,155,821 
FDF I Ltd. 
 
 
2015-1A, 6.88% due 11/12/309 
2,000,000 
1,738,520 
2015-1A, 7.50% due 11/12/3010 
1,000,000 
860,467 
FDF II Ltd. 
 
 
2016-2A, 7.70% due 05/12/3110 
3,000,000 
2,582,872 
Denali Capital CLO XI Ltd. 
 
 
2018-1A, 3.29% (3 Month USD LIBOR + 2.15%, Rate Floor: 0.00%) due 10/20/286,9 
2,400,000 
2,194,013 
Hull Street CLO Ltd. 
 
 
2017-1A, 3.84% (3 Month USD LIBOR + 2.70%, Rate Floor: 0.00%) due 10/18/266,9 
2,200,000 
2,086,268 
Newstar Commercial Loan Funding LLC 
 
 
2017-1A, 6.22% (3 Month USD LIBOR + 5.10%, Rate Floor: 0.00%) due 03/20/276,9 
2,000,000 
1,826,493 
2017-1A, 4.62% (3 Month USD LIBOR + 3.50%, Rate Floor: 0.00%) due 03/20/276,9 
250,000 
238,474 
Avery Point VI CLO Ltd. 
 
 
2018-6A, 2.54% (3 Month USD LIBOR + 2.00%, Rate Floor: 0.00%) due 08/05/276,9 
2,000,000 
1,956,644 
MP CLO VIII Ltd. 
 
 
2018-2A, 2.79% (3 Month USD LIBOR + 1.90%, Rate Floor: 0.00%) due 10/28/276,9 
2,000,000 
1,897,247 
Marathon CLO V Ltd. 
 
 
2017-5A, 2.22% (3 Month USD LIBOR + 1.85%) due 11/21/276,9 
2,017,730 
1,777,033 
2013-5A, due 11/21/279,11 
3,566,667 
88,090 
NewStar Clarendon Fund CLO LLC 
 
 
2015-1A, 5.34% (3 Month USD LIBOR + 4.35%, Rate Floor: 0.00%) due 01/25/276,9 
1,500,000 
1,338,158 
2019-1A, 4.04% (3 Month USD LIBOR + 3.05%, Rate Floor: 0.00%) due 01/25/276,9 
550,000 
518,571 
Exantas Capital Corporation Ltd. 
 
 
2018-RSO6, 2.68% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 06/15/356,9 
1,800,000 
1,689,209 
 
See notes to financial statements.

44 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
ASSET-BACKED SECURITIES†† – 19.5% (continued) 
 
 
Collateralized Loan Obligations – 10.9% (continued) 
 
 
Hunt CRE Ltd. 
 
 
2017-FL1, 3.48% (1 Month USD LIBOR + 3.30%, Rate Floor: 0.00%) due 08/15/346,9 
1,800,000 
$ 1,679,508 
Cent CLO 19 Ltd. 
 
 
2013-19A, 4.14% (3 Month USD LIBOR + 3.30%, Rate Floor: 0.00%) due 10/29/256,9 
1,750,000 
1,611,445 
Avery Point II CLO Ltd. 
 
 
2013-3X COM, due 01/18/2511 
2,350,912 
1,550,415 
Dryden 50 Senior Loan Fund 
 
 
2017-50A, due 07/15/309,11 
3,555,000 
1,494,614 
Treman Park CLO Ltd. 
 
 
2015-1A, due 10/20/289,11 
2,000,000 
1,438,335 
OHA Credit Partners IX Ltd. 
 
 
2013-9A, due 10/20/259,11 
1,823,852 
1,386,641 
Dryden Senior Loan Fund 
 
 
due 01/15/3111 
2,998,799 
1,335,830 
Atlas Senior Loan Fund IX Ltd. 
 
 
2018-9A, 2.94% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/286,9 
700,000 
639,934 
2018-9A, due 04/20/283,9,11 
2,600,000 
477,381 
Voya CLO Ltd. 
 
 
2013-1A, due 10/15/309,11 
3,000,000 
983,016 
Jackson Mill CLO Ltd. 
 
 
2018-1A, 3.07% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 04/15/276,9 
1,000,000 
945,523 
MMCF CLO LLC 
 
 
2019-2A, 3.62% (3 Month USD LIBOR + 2.40%) due 04/15/296,9 
950,000 
903,013 
Dryden 41 Senior Loan Fund 
 
 
2015-41A, due 04/15/319,11 
1,250,000 
578,069 
Great Lakes CLO Ltd. 
 
 
2014-1A, due 10/15/299,11 
1,153,846 
475,822 
Dryden 37 Senior Loan Fund 
 
 
2015-37A, due 01/15/319,11 
1,050,000 
467,728 
Carlyle Global Market Strategies CLO Ltd. 
 
 
2012-3A, due 01/14/329,11 
2,600,000 
436,628 
Venture XIII CLO Ltd. 
 
 
2013-13A, due 09/10/299,11 
1,500,000 
310,665 
KVK CLO Ltd. 
 
 
2013-1A, due 01/14/283,9,11 
2,300,000 
295,327 
A10 Permanent Asset Financing LLC 
 
 
2017-II, 6.24% (WAC) due 06/15/51†††,1,6,9 
250,000 
233,809 
Babson CLO Ltd. 
 
 
2014-IA, due 07/20/259,11 
3,000,000 
116,400 
West CLO Ltd. 
 
 
2013-1A, due 11/07/259,11 
1,350,000 
15,255 
Total Collateralized Loan Obligations 
 
70,681,291 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 45

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
ASSET-BACKED SECURITIES†† – 19.5% (continued) 
 
 
Transport-Aircraft – 2.5% 
 
 
AASET Trust 
 
 
2019-2, 4.46% due 10/16/399 
3,857,403 
$ 2,023,379 
2020-1A, 4.34% due 01/16/409 
1,959,012 
1,018,700 
2019-1, 4.95% due 05/15/399 
1,785,783 
941,895 
2019-1, 3.84% due 05/15/399 
886,971 
734,404 
Castlelake Aircraft Securitization Trust 
 
 
2018-1, 4.13% due 06/15/439 
3,649,896 
2,934,811 
due 12/31/30†††,1 
3,054,105 
490,173 
AASET US Ltd. 
 
 
2018-2A, 5.43% due 11/18/389 
2,630,693 
1,400,691 
GAIA Aviation Ltd. 
 
 
2019-1, 3.97% due 12/15/449,12 
1,702,056 
1,341,174 
KDAC Aviation Finance Ltd. 
 
 
2017-1A, 4.21% due 12/15/429 
1,540,441 
1,265,889 
Falcon Aerospace Ltd. 
 
 
2017-1, 6.30% due 02/15/429 
1,191,926 
837,515 
2019-1, 3.60% due 09/15/399 
332,045 
257,083 
Sapphire Aviation Finance II Ltd. 
 
 
2020-1A, 4.34% due 03/15/409 
2,000,000 
941,245 
Stripes Aircraft Ltd. 
 
 
2013-1 A1, 3.67% due 03/20/23††† 
862,804 
855,824 
Sapphire Aviation Finance I Ltd. 
 
 
2018-1A, 4.25% due 03/15/409 
946,574 
785,389 
Turbine Engines Securitization Ltd. 
 
 
2013-1A, 6.38% due 12/13/4810 
455,390 
249,267 
MAPS Ltd. 
 
 
2019-1A, 4.46% due 03/15/449 
225,860 
183,757 
Airplanes Pass Through Trust 
 
 
2001-1A, due 03/15/19†††,5,10 
6,677,317 
668 
Total Transport-Aircraft 
 
16,261,864 
 
Financial – 2.4% 
 
 
Aesf Vi Verdi LP 
 
 
1.80% due 11/25/24††† 
EUR 9,000,000 
9,551,486 
Madison Avenue Secured Funding Trust 
 
 
2019-1, 1.72% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 11/11/20†††,6,9 
3,300,000 
3,300,000 
Nassau LLC 
 
 
2019-1, 3.98% due 08/15/349 
2,029,251 
1,916,394 
NCBJ 
 
 
2015-1A, 5.88% due 07/08/22†††,1 
729,298 
699,401 
Total Financial 
 
15,467,281 
 
See notes to financial statements.

46 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
ASSET-BACKED SECURITIES†† – 19.5% (continued) 
 
 
Infrastructure – 1.2% 
 
 
VB-S1 Issuer LLC 
 
 
2020-1A, 6.66% due 06/15/509 
6,300,000 
$ 6,319,132 
Secured Tenant Site Contract Revenue Notes Series 
 
 
2018-1A, 5.92% due 06/15/489 
1,933,683 
1,698,342 
Total Infrastructure 
 
8,017,474 
 
Whole Business – 1.1% 
 
 
TSGE 
 
 
2017-1, 6.25% due 09/25/31†††,1 
5,000,000 
4,997,012 
Taco Bell Funding LLC 
 
 
2018-1A, 4.32% due 11/25/489 
985,000 
1,004,976 
Wingstop Funding LLC 
 
 
2018-1, 4.97% due 12/05/489 
990,000 
1,002,988 
Total Whole Business 
 
7,004,976 
 
Net Lease – 0.4% 
 
 
CARS-DB4, LP 
 
 
2020-1A, 4.95% due 02/15/509 
2,750,000 
2,414,977 
 
Transport-Container – 0.3% 
 
 
Textainer Marine Containers V Ltd. 
 
 
2017-1A, 3.72% due 05/20/429 
1,555,402 
1,524,152 
Global SC Finance II SRL 
 
 
2013-1A, 2.98% due 04/17/289 
583,333 
579,989 
Total Transport-Container 
 
2,104,141 
 
Insurance – 0.3% 
 
 
LTCG Securitization Issuer LLC 
 
 
2018-A, 4.59% due 06/15/489 
1,769,902 
1,767,448 
CBC Insurance Revenue Securitization LLC 
 
 
2016-1, 5.25% due 07/15/4610 
329,978 
310,628 
Total Insurance 
 
2,078,076 
 
Diversified Payment Rights – 0.2% 
 
 
Bib Merchant Voucher Receivables Ltd. 
 
 
4.18% due 04/07/28†††,1 
1,100,000 
1,039,554 
 
Collateralized Debt Obligations – 0.1% 
 
 
Anchorage Credit Funding 4 Ltd. 
 
 
2016-4A, 5.50% due 02/15/359 
1,000,000 
840,438 
 
Automotive – 0.1% 
 
 
Hertz Vehicle Financing LLC 
 
 
3.29% due 02/25/24 
250,000 
241,297 
2016-2A, 2.95% due 03/25/229 
150,000 
144,842 
Total Automotive 
 
386,139 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 47

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
ASSET-BACKED SECURITIES†† – 19.5% (continued) 
 
 
Transport-Rail – 0.0% 
 
 
Trinity Rail Leasing, LP 
 
 
2009-1A, 6.66% due 11/16/399 
148,703 
$ 160,424 
Total Asset-Backed Securities 
 
 
(Cost $150,757,255) 
 
126,456,635 
 
COLLATERALIZED MORTGAGE OBLIGATIONS†† – 10.5% 
 
 
Residential Mortgage Backed Securities – 8.0% 
 
 
WaMu Asset-Backed Certificates WaMu Series 
 
 
2007-HE4, 0.34% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/476 
2,169,540 
1,620,142 
2007-HE2, 0.42% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 04/25/376 
3,183,738 
1,474,757 
2007-HE2, 0.53% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 04/25/376 
2,037,592 
968,785 
2007-HE4, 0.42% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/476 
1,270,737 
819,997 
2007-HE2, 0.36% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/376 
1,655,544 
755,820 
Lehman XS Trust Series 
 
 
2006-18N, 0.35% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 12/25/366 
4,228,144 
3,895,517 
2006-16N, 0.38% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 11/25/466 
1,782,491 
1,647,261 
LSTAR Securities Investment Limited 
 
 
2019-5, 1.87% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 11/01/246,9 
4,386,578 
4,295,996 
Ameriquest Mortgage Securities Trust 
 
 
2006-M3, 0.34% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 10/25/366 
4,381,682 
2,672,510 
2006-M3, 0.27% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 10/25/366 
2,221,413 
898,153 
Morgan Stanley ABS Capital I Incorporated Trust 
 
 
2006-HE8, 0.39% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 10/25/366 
3,376,068 
1,708,953 
2007-HE4, 0.40% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 02/25/376 
3,638,824 
1,432,922 
RALI Series Trust 
 
 
2006-QO6, 0.35% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 06/25/466 
6,478,684 
2,215,543 
2006-QO6, 0.40% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 06/25/466 
2,049,741 
724,764 
LSTAR Securities Investment Trust 
 
 
2019-1, 2.07% (1 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 03/01/246,9 
2,885,499 
2,868,025 
Long Beach Mortgage Loan Trust 
 
 
2006-8, 0.26% (1 Month USD LIBOR + 0.09%, Rate Floor: 0.09%) due 09/25/366 
4,601,492 
1,668,566 
2006-1, 0.36% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 02/25/366 
1,356,463 
1,115,551 
ACE Securities Corporation Home Equity Loan Trust Series 
 
 
2005-HE2, 1.19% (1 Month USD LIBOR + 1.02%, Rate Floor: 0.68%) due 04/25/356 
2,000,000 
1,921,248 
2007-ASP1, 0.37% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 03/25/376 
1,526,722 
842,961 
Morgan Stanley IXIS Real Estate Capital Trust 
 
 
2006-2, 0.39% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 11/25/366 
3,131,392 
1,379,080 
2006-2, 0.32% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/366 
2,066,718 
897,340 
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 
 
 
2006-E, 0.38% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 04/25/376 
3,162,006 
2,243,408 
JP Morgan Mortgage Acquisition Trust 
 
 
2006-WMC3, 0.41% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 08/25/366 
2,605,669 
1,946,671 
Citigroup Mortgage Loan Trust, Inc. 
 
 
2007-AMC3, 0.52% (1 Month USD LIBOR + 0.35%, Rate Floor: 0.35%) due 03/25/376 
2,298,458 
1,932,872 
 
See notes to financial statements.

48 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
COLLATERALIZED MORTGAGE OBLIGATIONS†† – 10.5% (continued) 
 
 
Residential Mortgage Backed Securities – 8.0% (continued) 
 
 
GSAA Home Equity Trust 
 
 
2006-16, 0.34% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 10/25/366 
4,754,600 
$ 1,857,324 
American Home Mortgage Assets Trust 
 
 
2006-6, 0.38% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 12/25/466 
2,298,035 
1,778,836 
Master Asset Backed Securities Trust 
 
 
2006-WMC3, 0.33% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 08/25/366 
3,718,969 
1,578,618 
IXIS Real Estate Capital Trust 
 
 
2007-HE1, 0.28% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 05/25/376 
2,505,571 
746,693 
2007-HE1, 0.23% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/376 
2,520,277 
740,092 
Morgan Stanley Mortgage Loan Trust 
 
 
2006-9AR, 0.32% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 08/25/366 
3,559,027 
1,451,343 
First NLC Trust 
 
 
2007-1, 0.45% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 08/25/376,9 
1,498,874 
844,334 
GSAA Trust 
 
 
2007-3, 0.34% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 03/25/476 
1,751,944 
703,070 
TBW Mortgage Backed Pass-Through Certificates 
 
 
2006-6, 6.04% due 01/25/37 
9,153 
3,731 
Total Residential Mortgage Backed Securities 
 
51,650,883 
 
Military Housing – 2.3% 
 
 
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates 
 
 
2015-R1, 5.49% (WAC) due 11/25/526,10 
3,672,621 
3,311,434 
2015-R1, 1.94% (WAC) due 11/25/556,9,13 
41,885,749 
3,000,272 
2015-R1, 0.65% (WAC) due 11/25/526,9,13 
34,428,637 
2,090,744 
GMAC Commercial Mortgage Asset Corp. 
 
 
2004-POKA, 6.36% due 09/10/44†††,9 
3,500,000 
4,210,076 
Capmark Military Housing Trust 
 
 
2007-AETC, 5.75% due 02/10/529 
1,579,329 
1,537,445 
2007-AET2, 6.06% due 10/10/529 
472,741 
515,846 
Total Military Housing 
 
14,665,817 
 
Commercial Mortgage Backed Securities – 0.2% 
 
 
GS Mortgage Securities Corporation Trust 
 
 
2020-DUNE, 2.68% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 12/15/366,9 
2,000,000 
1,571,717 
Total Collateralized Mortgage Obligations 
 
 
(Cost $77,223,813) 
 
67,888,417 
 
U.S. TREASURY BILLS†† – 2.6% 
 
 
U.S. Treasury Bills 
 
 
0.01% due 08/20/203,14 
6,000,000 
5,998,033 
0.04% due 12/31/203,14 
4,000,000 
3,995,888 
0.01% due 09/24/203,14 
3,000,000 
2,998,395 
0.11% due 03/25/2114 
3,000,000 
2,995,112 
0.17% due 08/06/203,14 
600,000 
599,841 
1.46% due 06/25/203,14 
200,000 
199,984 
Total U.S. Treasury Bills 
 
 
(Cost $16,795,651) 
 
16,787,253 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 49

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
     
 
Face 
 
 
Amount~ 
Value 
 
SENIOR FIXED RATE INTERESTS†† – 0.1% 
 
 
Communications – 0.1% 
 
 
MHGE Parent LLC 
 
 
11.00% due 04/20/22†††,1 
900,000 
$ 584,338 
Total Senior Fixed Rate Interests 
 
 
(Cost $889,334) 
 
584,338 
 
MUNICIPAL BONDS†† – 0.1% 
 
 
Oklahoma – 0.1% 
 
 
Oklahoma Development Finance Authority Revenue Bonds 
 
 
5.45% due 08/15/28 
400,000 
463,184 
Total Municipal Bonds 
 
 
(Cost $400,000) 
 
463,184 

 
Notional Value/ 
 
 
Contracts 
 
 
OTC OPTIONS PURCHASED†† – 0.3% 
 
 
Put options on: 
 
 
Citibank N.A., New York 2Y-10 CMS CAP 
 
 
Expiring July 2022 with strike price of $0.40 
441,000,000 
1,203,930 
Bank of America, N.A 2Y-10 CMS CAP 
 
 
Expiring July 2022 with strike price of $0.61 
165,000,000 
288,750 
Bank of America, N.A. 2Y-10 CMS CAP 
 
 
Expiring July 2022 with strike price of $0.40 
53,000,000 
144,690 
Total OTC Options Purchased 
 
 
(Cost $1,391,950) 
 
1,637,370 
Total Investments – 109.4% 
 
 
(Cost $772,744,623) 
 
$ 709,927,673 
 
LISTED OPTIONS WRITTEN – (0.5)% 
 
 
Call options on: 
 
 
S&P 500 Index 
 
 
Expiring June 2020 with strike price of $2,840.00 (Notional Value $44,142,495) 
145 
(3,378,500) 
Total Listed Options Written 
 
 
(Premiums received $1,435,172) 
 
(3,378,500) 
Other Assets & Liabilities, net – (8.9)% 
 
(57,657,102) 
Total Net Assets – 100.0% 
 
$ 648,892,071 
 
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 
290 
Jun 2020 
$44,058,250 
$ 8,269,276 
 
See notes to financial statements.

50 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS PROTECTION SOLD†† 
                   
 
 

Protection 
 
 
 
 
Upfront 
 
 
 

Premium 
Payment 
Maturity 
Notional 
 
Premiums 
Unrealized 
Counterparty 
Exchange 
Index 
Rate 
Frequency 
Date 
Amount 
Value 
Received  
Appreciation**
BofA Securities, 
 
 
 
 
 
 
 
 
 
Inc. 
ICE 
CDX.NA.HY.34.V3 
5.00% 
Quarterly 
06/20/25 
$15,876,000 
$ (292,118) 
$ (327,639) 
$ 35,521 
BofA Securities, 
 
 
 
 
 
 
 
 
 
Inc. 
ICE 
CDX.NA.HY.33.V6 
5.00% 
Quarterly 
12/20/24 
24,225,000 
(491,005) 
(1,985,749) 
1,494,744 
 
 
 
 
 
 
 
$ (783,123) 
$(2,313,388) 
$1,530,265 
 
TOTAL RETURN SWAP AGREEMENTS
               
 
 
 
 
 
 
 
Value and 
 
 
Financing 
Payment 
Maturity 
 
Notional 
Unrealized 
Counterparty 
Index 
Rate Pay 
Frequency 
Date 
Units 
Amount 
Appreciation 
OTC Fixed Income Index Swap Agreements†† 
 
 
 
Goldman Sachs 
iShares iBoxx 
 
 
 
 
 
 
International 
$ High Yield 
0.36% (3 Month 
At Maturity 
08/03/20 
451,630 
$37,223,345 
$898,744 
 
Corporate 
USD LIBOR - 0.20%) 
 
 
 
 
 
 
Bond ETF 
 
 
 
 
 
 
 
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS†† 
             
 
 
 
 
 
Value at 
Unrealized 
 
 
 
Settlement 
Settlement 
May 31, 
Appreciation 
Counterparty 
Contracts to Sell 
Currency 
Date 
Value 
2020 
(Depreciation) 
Citibank N.A., New York 
11,240,000 
BRL 
07/01/21 
$ 2,716,437 
$ 2,101,052 
$ 615,385 
Goldman Sachs International 
5,420,000 
BRL 
07/01/20 
1,407,427 
1,015,244 
392,183 
Citibank N.A., New York 
4,440,000 
BRL 
07/01/20 
1,143,623 
831,676 
311,947 
Goldman Sachs International 
5,700,000 
BRL 
07/01/21 
1,335,364 
1,065,480 
269,884 
JPMorgan Chase Bank, N.A. 
3,000,000 
BRL 
07/01/21 
712,674 
560,779 
151,895 
JPMorgan Chase Bank, N.A. 
407,203,500 
JPY 
09/01/20 
3,870,645 
3,781,451 
89,194 
Goldman Sachs International 
16,654,900 
ILS 
04/30/21 
4,882,148 
4,804,034 
78,114 
Citibank N.A., New York 
379,189,500 
JPY 
06/01/20 
3,587,277 
3,516,223 
71,054 
Goldman Sachs International 
5,707,550 
ILS 
01/31/22 
1,691,893 
1,653,303 
38,590 
Bank of America, N.A. 
4,363,200 
ILS 
04/30/21 
1,293,950 
1,258,546 
35,404 
Bank of America, N.A. 
166,083,000 
JPY 
06/22/20 
1,570,821 
1,540,562 
30,259 
Bank of America, N.A. 
749,320 
EUR 
06/15/20 
861,699 
831,782 
29,917 
Morgan Stanley Capital Services LLC 
9,018,000 
EUR 
06/30/20 
10,041,273 
10,013,494 
27,779 
Goldman Sachs International 
660,240 
EUR 
06/15/20 
759,659 
732,899 
26,760 
Goldman Sachs International 
4,841,027 
ILS 
02/01/21 
1,410,169 
1,391,672 
18,497 
JPMorgan Chase Bank, N.A. 
60,430,200 
JPY 
06/01/20 
571,147 
560,369 
10,778 
Goldman Sachs International 
6,723,951 
JPY 
06/22/20 
63,634 
62,370 
1,264 
Goldman Sachs International 
136,000 
GBP 
06/16/20 
166,150 
167,938 
(1,788) 
Bank of America, N.A. 
1,138,000 
GBP 
06/16/20 
1,397,276 
1,405,242 
(7,966) 
JPMorgan Chase Bank, N.A. 
864,000 
EUR 
06/16/20 
938,355 
959,102 
(20,747) 
 
 
 
 
 
 
$ 2,168,403 
 
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 51

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS†† (continued)
             
 
 
 
 
 
Value at 
Unrealized 
 
 
 
Settlement 
Settlement 
May 31, 
Appreciation 
Counterparty 
Contracts to Buy 
Currency 
Date 
Value 
2020 
(Depreciation) 
Goldman Sachs International 
21,018,100 
ILS 
04/30/21 
$ 5,892,376 
$ 6,062,580 
$ 170,204 
Goldman Sachs International 
5,707,550 
ILS 
01/31/22 
1,554,802 
1,653,304 
98,502 
Goldman Sachs International 
4,841,027 
ILS 
02/01/21 
1,354,445 
1,391,672 
37,227 
Bank of America, N.A. 
166,083,000 
JPY 
06/22/20 
1,517,988 
1,540,563 
22,575 
JPMorgan Chase Bank, N.A. 
375,000 
EUR 
06/30/20 
411,246 
416,396 
5,150 
JPMorgan Chase Bank, N.A. 
6,723,951 
JPY 
06/22/20 
60,752 
62,370 
1,618 
Barclays Bank plc 
1,409,560 
EUR 
06/15/20 
1,578,235 
1,564,681 
(13,554) 
Citibank N.A., New York 
4,930,000 
BRL 
07/01/20 
961,670 
923,460 
(38,210) 
Morgan Stanley Capital Services LLC 
4,930,000 
BRL 
07/01/20 
983,482 
923,460 
(60,022) 
Citibank N.A., New York 
19,940,000 
BRL 
07/01/21 
3,831,370 
3,727,310 
(104,060) 
Citibank N.A., New York 
439,619,700 
JPY 
06/01/20 
4,220,558 
4,076,592 
(143,966) 
JPMorgan Chase Bank, N.A. 
407,203,500 
JPY 
09/01/20 
3,944,471 
3,781,451 
(163,020) 
 
 
 
 
 
 
$ (187,556) 
 
 
 
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 May 31, 2020. The total market value of fair valued securities amounts to $31,281,118, (cost $33,531,939) or 4.8% of total net assets. 
Affiliated issuer. 
All or a portion of these securities have been physically segregated in connection with futures contracts, options, borrowings, reverse repurchase agreements and unfunded loan commitments. As of May 31, 2020, the total value of segregated securities was $99,311,185. 
Rate indicated is the 7-day yield as of May 31, 2020. 
Security is in default of interest and/or principal obligations. 
Variable rate security. Rate indicated is the rate effective at May 31, 2020. 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. 
Perpetual maturity. 
Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. 
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 $216,672,292 (cost $233,432,637), or 33.4% of total net assets. 
 
See notes to financial statements.

52 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
   
10 
Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $14,170,882 (cost $24,286,712), or 2.2% of total net assets — See Note 12. 
11 
Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
12 
Security is a step down bond, with a 3.97% coupon rate until November 14, 2026. Future rate is 2.00% with a reset date of November 15, 2026. 
13 
Security is an interest-only strip. 
14 
Rate indicated is the effective yield at the time of purchase. 
15 
Payment in-kind security 
16 
Variable rate security. Rate indicated is the rate effective at May 31, 2020. The rate is linked to the volatility- adjusted performance of the series 1 securities due 2069 of the underlying company, Alphas Managed Accounts Platform LXXIX Limited. 
 
   
BofA 
Bank of America 
BRL 
Brazilian Real 
CDX.NA.HY.33.V6 
Credit Default Swap North American High Yield Series 33 Index 
CDX.NA.HY.34.V3 
Credit Default Swap North American High Yield Series 34 Index 
CMS 
Constant Maturity Swap 
EURIBOR 
European Interbank Offered Rate 
EUR 
Euro 
GBP 
British Pound 
ICE 
Intercontinental Exchange 
ILS 
Israeli New Shekel 
JPY 
Japanese Yen 
LIBOR 
London Interbank Offered Rate 
plc 
Public Limited Company 
SARL 
Société à Responsabilité Limitée 
WAC 
Weighted Average Coupon 
 
See Sector Classification in Other Information section.
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 53

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
   
Country Diversification
 
% of Long-Term 
Country 
Investments 
United States 
92.0% 
Cayman Islands 
4.7% 
Netherlands 
1.0% 
Canada 
0.9% 
Australia 
0.6% 
United Kingdom 
0.3% 
France 
0.2% 
Other 
0.3% 
Total Long-Term Investments 
100.0% 
 
The following table summarizes the inputs used to value the Fund's investments at May 31, 2020 (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 
 
$
62,801
   
$
231,854
   
$
1,179,186
   
$
1,473,841
 
Preferred Stocks 
   
     
4,251,150
     
     
4,251,150
 
Exchange-Traded Funds 
   
10,818,589
     
     
     
10,818,589
 
Closed-End Funds 
   
36,604,789
     
     
     
36,604,789
 
Money Market Fund 
   
6,469,422
     
     
     
6,469,422
 
Senior Floating Rate Interests 
   
     
188,744,476
     
58,004,230
     
246,748,706
 
Corporate Bonds 
   
     
182,210,947
     
7,533,032
     
189,743,979
 
Asset-Backed Securities 
   
     
105,288,708
     
21,167,927
     
126,456,635
 
Collateralized Mortgage Obligations 
   
     
63,678,341
     
4,210,076
     
67,888,417
 
U.S. Treasury Bills 
   
     
16,787,253
     
     
16,787,253
 
Senior Fixed Rate Interests 
   
     
     
584,338
     
584,338
 
Municipal Bonds 
   
     
463,184
     
     
463,184
 
Options Purchased 
   
     
1,637,370
     
     
1,637,370
 
Futures Contracts* 
   
8,269,276
     
     
     
8,269,276
 
Credit Default Swap Agreements* 
   
     
1,530,265
     
     
1,530,265
 
Total Return Swap Agreements* 
   
     
898,744
     
     
898,744
 
Forward Foreign Currency Exchange Contracts* 
   
     
2,534,180
     
     
2,534,180
 
Total Assets 
 
$
62,224,877
   
$
568,256,472
   
$
92,678,789
   
$
723,160,138
 
 
See notes to financial statements.

54 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
                         
 
       
Level 2
   
Level 3
       
 
       
Significant
   
Significant
       
Investments in 
 
Level 1
   
Observable
   
Unobservable
       
Securities (Liabilities) 
 
Quoted Prices
   
Inputs
   
Inputs
   
Total
 
Options Written 
 
$
3,378,500
   
$
   
$
   
$
3,378,500
 
Forward Foreign Currency Exchange Contracts* 
   
     
553,333
     
     
553,333
 
Unfunded Loan Commitments (Note 11) 
   
     
     
266,911
     
266,911
 
Total Liabilities 
 
$
3,378,500
   
$
553,333
   
$
266,911
   
$
4,198,744
 
 
*  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.
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $42,445,822 are categorized as Level 2 within the disclosure hierarchy — See Note 7.
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 
Valuation 
Unobservable 
Input 
Weighted 
Category 
at May 31, 2020 
Technique 
Inputs 
Range 
Average* 
Assets: 
 
 
 
 
 
Asset-Backed Securities 
$12,851,486 
Third Party Pricing 
Broker Quote 
— 
— 
Asset-Backed Securities 
7,459,949 
Yield Analysis 
Yield 
4.0%-13.0% 
6.6% 
Asset-Backed Securities 
856,492 
Option Adjusted Spread 
Broker Quote 
— 
— 
 
 
off prior month end 
 
 
 
 
 
broker quote 
 
 
 
Collateralized Mortgage 
4,210,076 
Option Adjusted Spread 
Broker Quote 
— 
— 
Obligations 
 
off prior month end 
 
 
 
 
 
broker quote 
 
 
 
Common Stocks 
666,570 
Third Party Pricing 
Broker Quote 
— 
— 
Common Stocks 
512,616 
Enterprise Value 
Valuation Multiple 
1.6x-15.8x 
10.1x 
Corporate Bonds 
5,484,044 
Option Adjusted Spread 
Broker Quote 
— 
— 
 
 
off prior month end 
 
 
 
 
 
broker quote 
 
 
 
Corporate Bonds 
2,048,988 
Yield Analysis 
Yield 
6.4%-10.0% 
8.4% 
Senior Fixed Rate Interests 
584,338 
Model Price 
Market Comparable Yields 
11.6% 
— 
Senior Floating Rate Interests 
37,329,003 
Third Party Pricing 
Broker Quote 
— 
— 
Senior Floating Rate Interests 
8,971,447 
Yield Analysis 
Yield 
4.2%-15.1% 
6.5% 
Senior Floating Rate Interests 
5,893,551 
Model Price 
Market Comparable Yields 
5.8%-12.3% 
8.6% 
Senior Floating Rate Interests 
4,991,038 
Model Price 
Purchase Price 
— 
— 
Senior Floating Rate Interests 
819,191 
Enterprise Value 
Valuation Multiple 
9.5x-9.8x 
9.7x 
Total Assets 
$92,678,789 
 
 
 
 
Liabilities: 
 
 
 
 
 
Unfunded Loan Commitments 
$ 266,911 
Model Price 
Purchase Price 
— 
— 
 
*  Inputs are weighted by the fair value of the instruments.
See notes to financial statements.

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT l 55

 
   
SCHEDULE OF INVESTMENTS continued 
May 31, 2020 
 
Significant changes in a quote, yield, market comparable yields, liquidation value or valuation multiples would generally result in significant changes in the fair value of the security.
The Fund’s fair valuation leveling guidelines were 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 year ended May 31, 2020, the Fund had securities with a total value of $30,042,730 transfer into Level 3 from Level 2 due to a lack of observable inputs.
Summary of Fair Value Level 3 Activity
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended May 31, 2020:
                                                             
 
 
Assets
         
Liabilities
 
 
                   
Senior
                     
Senior
             
 
   Asset-    
Collateralized
         
Floating
                     
Fixed
         
Unfunded
 
 
 
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) 
   
13,297,831
     
     
3,730,070
     
19,861,217
     
     
     
32,240
     
     
36,921,358
     
(370,365
)
(Sales, 
                                                                               
maturities 
                                                                               
and paydowns)/
                                                                         
Fundings 
   
(563,849
)
   
     
(826,407
)
   
(10,325,023
)
    (16,303 )    
(39,350
)
    (685,803 )    
      (12,456,735 )    
922,127
 
Amortization of