Certified Annual Shareholder Report for Management Investment Companies (n-csr)

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 number811-21982

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, 2021 - May 31, 2022

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:

5.31.2022

Guggenheim Funds Annual Report

Guggenheim Strategic Opportunities Fund

GuggenheimInvestments.com

CEF-GOF-AR-0522

GUGGENHEIMINVESTMENTS.COM/GOF

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

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

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

Daily, weekly and monthly data on share prices, net asset values, distributions and more
Portfolio overviews and performance analyses
Announcements, press releases and special notices
Fund and adviser contact information

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

DEAR SHAREHOLDER (Unaudited)

May 31, 2022

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, 2022 (the “Reporting Period”).

On September 14, 2021, Guggenheim Investments announced that shareholders approved the mergers of Guggenheim Enhanced Equity Income Fund and Guggenheim Credit Allocation Fund with and into the Fund. The mergers became effective with the open of the New York Stock Exchange on October 25, 2021. More information regarding the mergers is presented later in this report.

The COVID-19 pandemic and the recovery response has caused and continues to cause at times reduced consumer demand and economic output, supply chain disruptions, market closures, travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators have responded in recent years to this situation with significant fiscal and monetary policy changes. These included providing direct capital infusions into companies, introducing new monetary programs, and lowering interest rates. In some cases, these responses resulted in high inflation, low interest rates, and negative interest rates (which have since risen). Recently, the United States and other governments have also made investments and engaged in infrastructure modernization projects that have also increased public debt and spending. These actions, including their reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. These actions also contribute to a risk that asset prices have a high degree of correlation across markets and asset classes. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict.

The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss. These movements may result from factors affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have risen recently and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region and economies, markets and issuers generally because of the increasingly interconnected global economies and financial markets.

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

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FUND ANNUAL REPORT} l ³

DEAR SHAREHOLDER (Unaudited) continued

May 31, 2022

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-advisers seek to combine a credit-managed fixed-income portfolio with access to a diversified pool of alternative investments and equity strategies.

All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the Reporting Period, the Fund provided a total return based on market price of -3.48% and a total return based on NAV of -3.99%. As of May 31, 2022, the Fund’s market price of $17.92 per share represented a premium of 25.05% to its NAV of $14.33 per share.

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

During the Reporting Period, the Fund paid a monthly distribution of $0.1821 per share. The most recent distribution represents an annualized distribution rate of 12.19% based on the Fund’s closing market price of $17.92 per share on May 31, 2022. The Fund’s distribution rate is not constant and the amount of distributions, when declared by the Fund’s Board of Trustees, is subject to change. There is no guarantee of any future distribution or that the current returns and distribution rate will be maintained. Please see Distributions to Shareholders & Annualized Distribution Rate on page 16, and Note 2(f) on page 79 for more information on distributions for the period.

We encourage shareholders to consider the opportunity to reinvest their distributions from the Fund through the Dividend Reinvestment Plan (“DRIP”), which is described in detail on page 200 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. 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, 2022

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OPPORTUNITIES FUND ANNUAL REPORT}

ECONOMIC AND MARKET OVERVIEW (Unaudited)

May 31, 2022

In the 12 months ended May 31, 2022, the yield on the two-year Treasury rose 242 basis points to 2.56% from 0.14%, and the 10-year Treasury increased by 125 basis points to 2.84% from 1.59% as the Federal Reserve (the “Fed”) began raising rates in March 2022 to battle inflation. The spread between the two-year Treasury and 10-year Treasury narrowed to 29 basis points from 145 basis points. One basis point is equal to one-hundredth of one percent, or 0.01%.

The first half of 2022 was extremely challenging for investors, with interest rates rising sharply even as downside risks to the economic outlook accumulated, pushing stock and bond returns deep into negative territory.

With the labor market overheated and inflation considerably above the Fed’s target, we have entered an uncomfortable regime where “good news is bad news,” and the “Fed put” is deeply out of the money. For the first time in many years, the Fed is aggressively tightening financial conditions in an effort to slow down the economy, keep inflation expectations in check, and bring inflation down to the 2% target. The Fed’s crusade to crush inflation is reverberating around the world, as the strengthening dollar is boosting inflation and inflation expectations in other countries, forcing central banks to tighten policy to avoid an erosion of their own inflation credibility.

The tightening of global financial conditions may further restrain growth, which has already slowed meaningfully in the United States in the first half of 2022 after a robust 2021. Growth this year has been hampered by supply-side constraints as the unemployment rate has fallen to 3.6%, commodity markets have been roiled by Russia’s war in Ukraine and the Chinese economy has been hobbled by renewed COVID-19 lockdowns.

Slower demand growth and limited slack have already served to moderate the pace of improvement in the labor market, with aggregate payroll growth and the pace of the decline in the unemployment rate slowing markedly since last fall. This indicates that the labor market has already started to cool even before the tightening of financial conditions has really been felt. High-frequency indicators and news reports point to a further slowdown in the job market in coming months.

Inflation is a lagging indicator and continues to run far above the Fed’s target. While some measures of inflation have cooled in recent months, the all-important headline consumer price index sits at a cycle high of 8.6% as of May 2022. Our analysis indicates that a recession will be required to bring inflation down to target, and we believe a recession could begin by 2023.

With a recession coming closer into view and the bond market already pricing in wider credit spreads and substantial further Fed tightening, we believe now is an opportune time to add high-quality, longer-duration fixed income ahead of the Fed easing cycle that we forecast to begin next year. We expect fixed income to once again provide a ballast in multi-asset portfolios as growth slows and inflation begins to recede.

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FUND ANNUAL REPORT} l ⁵

MANAGEMENT’S DISCUSSION OF
FUND PERFORMANCE (Unaudited)	May 31, 2022

MANAGEMENT TEAM

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

This team includes B. Scott Minerd, Chairman of Guggenheim Investments, Chief Investment Officer of GPA, and Global Chief Investment Officer and Managing Partner of Guggenheim Partners, LLC; Anne B. Walsh, CFA, JD, Chief Investment Officer, Fixed Income, Portfolio Manager, and Managing Partner of GPIM; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, and Senior Managing Director of GPIM; Adam J. Bloch, Managing Director and Portfolio Manager of GPIM; and Evan L. Serdensky, Director and Portfolio Manager of GPIM.

RETURN OF FUND AND COMPARATIVE INDEXES

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, 2022 (“Reporting Period”), the Fund provided a total return based on market price of -3.48% and a total return based on NAV of -3.99%. As of May 31, 2022, the Fund’s market price of $17.92 per share represented a premium of 25.05% to its NAV of $14.33 per share. As of May 31, 2021, the Fund’s market price of $20.90 per share represented a premium of 22.58% to its NAV of $17.05 per share.

Please refer to the graphs and tables included within the Fund Summary, beginning on page 13 for additional information about the Fund's performance.

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MANAGEMENT’S DISCUSSION OF
FUND PERFORMANCE (Unaudited) continued	May 31, 2022

Index	Total Return
Bloomberg U.S. Aggregate Bond Index	-8.22%
Bloomberg U.S. Corporate Bond Index	-10.28%
Bloomberg U.S. Corporate High Yield Index	-5.27%
Credit Suisse Leveraged Loan Index	-0.20%
ICE Bank of America Asset Backed Security Master BBB-AA Index	-5.46%
NASDAQ 100 Index	-6.96%
Russell 2000 Index	-16.92%
Standard & Poor's 500 (“S&P 500”) Index	-0.30%

DISTRIBUTIONS

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

Please see the Distributions to Shareholders & Annualized Distribution Rate table on page 16, and Note 2(f) on page 79 for more information on distributions for the period.

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MANAGEMENT’S DISCUSSION OF
FUND PERFORMANCE (Unaudited) continued	May 31, 2022


Payable Date	Amount
June 30, 2021	$0.1821
July 30, 2021	$0.1821
August 31, 2021	$0.1821
September 30, 2021	$0.1821
October 29, 2021	$0.1821
November 30, 2021	$0.1821
December 31, 2021	$0.1821
January 31, 2022	$0.1821
February 28, 2022	$0.1821
March 31, 2022	$0.1821
April 29, 2022	$0.1821
May 31, 2022	$0.1821
Total	$2.1852

PERFORMANCE CONTRIBUTORS AND DETRACTORS

The Reporting Period was comprised of two very unique periods, which bore little-to-no resemblance to each other. The first seven months of the period was generally marked by low interest rates, low volatility, and strong performance across both equities and credit. During this period, nearly all of the Fund’s allocations added to performance, with high yield credit, bank loans, and equities leading the way. As the Fund entered 2022, broader risk markets began to deflate as expectations for the removal of easy monetary conditions and the reduced prospects for growth began to dominate the rhetoric. The widening in credit spreads that began in January 2022 was the primary detractor from the Fund’s performance during the latter five months of the Reporting Period, with the Fund’s allocations to high yield corporates and preferred stock particularly impacted. Alongside widening in credit, equity markets experienced negative returns during the Reporting Period, which negatively impacted the Fund’s equity strategy, though that strategy did outperform broader equity markets. The rise in interest rates over the Reporting Period also detracted from performance, though this was relatively limited given the Fund’s shorter duration profile. The Fund’s use of leverage has been relatively moderate, and negative total returns across all asset classes over the Reporting Period meant leverage also detracted from performance. The Fund’s portfolio allocations remained relatively consistent during the Reporting Period.

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MANAGEMENT’S DISCUSSION OF
FUND PERFORMANCE (Unaudited) continued	May 31, 2022

DURATION

The Fund has no set policy regarding portfolio duration or maturity; the Fund’s duration at the end of the Reporting Period was 3.46 years. (Duration is a measure of a bond’s price sensitivity to changes in interest rates, expressed in years, and reflects the weighted average term to maturity of discounted bond cash flow). GPIM may seek to manage the Fund’s duration in a flexible and opportunistic manner based primarily on then-current market conditions and interest rate levels.

LEVERAGE

As of May 31, 2022, the Fund’s leverage was approximately 24% of Managed Assets (as described herein), compared with about 30% at the beginning of the Reporting Period.

The Fund currently employs financial leverage through reverse repurchase agreements and a credit facility with a major bank. Given negative total returns across asset classes over the Reporting Period, leverage detracted from performance.

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

Investments in Investment Funds (as defined below in the Additional Information Regarding the Fund section) frequently expose the Fund to an additional layer of financial leverage and the associated risks, such as the magnified effect of any losses. These risks are further discussed below in the Additional Information Regarding the Fund section.

DERIVATIVES TYPES, USES, AND IMPACT ON PERFORMANCE

The Fund used a variety of derivatives during the Reporting Period both to gain market exposure and to hedge certain exposures. Derivatives used for market exposure included equity futures, which added to performance over the period. Derivatives used for hedging include call writing, which added to performance through monetization of premium; foreign currency forwards, which benefitted as the dollar strengthened versus both the Euro and the Pound; and interest rate curve caps which detracted as the yield curve flattened (thus benefitting the Fund’s long-duration bond exposure).

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MANAGEMENT’S DISCUSSION OF
FUND PERFORMANCE (Unaudited) continued	May 31, 2022

MERGER UPDATE

On September 14, 2021, Guggenheim Investments announced that shareholders approved the mergers (together, the “Mergers”) of Guggenheim Enhanced Equity Income Fund and Guggenheim Credit Allocation Fund with and into the Fund, each a closed-end fund. The Mergers became effective with the open of the New York Stock Exchange on October 25, 2021.

The Mergers had a positive impact on the Fund from several perspectives, including that the Fund benefitted from certain equity strategy exposure obtained in the Mergers that outperformed broader equity markets and many credit markets for the period from the Mergers to the end of the Reporting Period. Additionally, the Fund benefitted from its increased market capitalization and secondary trading liquidity, allowing it to issue shares at an average 25% premium to NAV for the period from the Mergers to the end of the Reporting Period.

FUND POSITIONING AND OUTLOOK

At the end of the Reporting Period, risk assets continued to re-price lower as markets came to terms with tighter monetary policy and accordingly higher interest rates amid global central bankers’ efforts to curb record inflation. We expect volatility to continue for several months after the Reporting Period as rapidly changing economic data remains highly impactful on valuations. While that outlook is likely negative for risk assets in the near term, the Fund generally benefits from a long-term investment horizon. During such periods of volatility, GPIM typically seeks to add to attractive risk, particularly within credit, where, during the Reporting Period, negative performance outpaced what we would expect relative to equities. Accordingly, by the end of the Reporting Period, the Fund had reduced its exposure to equities, in particular taking advantage of gains in its covered call strategy, to free up cash to re-deploy into credit sectors that cheapened. We believe high yield bonds and certain areas of structured credit, including CLOs, presented compelling relative value as of the end of the Reporting Period, especially when combined with our fundamental, bottom-up credit work.

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MANAGEMENT’S DISCUSSION OF
FUND PERFORMANCE (Unaudited) continued	May 31, 2022

Index Definitions

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

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

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

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

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

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

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

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

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

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MANAGEMENT’S DISCUSSION OF
FUND PERFORMANCE (Unaudited) continued	May 31, 2022

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 objective. 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, including investment risk, which could result in the loss of the entire principal amount that you invest. Certain of these risk factors are described below. The Fund’s Prospectus, Statement of Additional Information (SAI) and guggenheiminvestments.com/gof also include information about the risks of investing in the Fund. Shareholders may access the Fund’s Prospectus and SAI on the EDGAR Database on the Securities and Exchange Commission’s website at www.sec.gov.

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

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FUND SUMMARY (Unaudited)

May 31, 2022


Fund Statistics
Market Price	$17.92
Net Asset Value	$14.33
Premium to NAV	25.05%
Net Assets ($000)	$1,492,615

Cumulative Fund Performance*

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

AVERAGE ANNUAL TOTAL RETURNS FOR THE
PERIOD ENDED MAY 31, 2022
	One	Three	Five	Ten
	Year	Year	Year	Year
Guggenheim Strategic Opportunities Fund
NAV	(3.99%)	5.89%	6.22%	9.31%
Market	(3.48%)	8.95%	8.99%	10.15%
Bloomberg U.S. Aggregate
Bond Index	(8.22%)	0.00%*	1.18%	1.71%

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

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

* Less than 0.01%.

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FUND SUMMARY (Unaudited) continued

May 31, 2022


Portfolio Breakdown	% of Net Assets
Investments
Corporate Bonds	44.6%
Senior Floating Rate Interests	30.7%
Common Stocks	21.3%
Asset-Backed Securities	12.9%
Exchange-Traded Funds	8.5%
Preferred Stocks	5.9%
Closed-End Funds	2.6%
Collateralized Mortgage Obligations	1.5%
Money Market Funds	1.0%
U.S. Government Securities	0.9%
Other	0.3%
Total Investments	130.2%
Options Written	(0.9%)
Other Assets & Liabilities, net	(29.3%)
Net Assets	100.0%

Ten Largest Holdings	% of Net Assets
SPDR S&P 500 ETF Trust	2.9%
Invesco QQQ Trust Series	2.8%
iShares Russell 2000 Index ETF	2.8%
Pershing Square Tontine Holdings Ltd. — Class A	1.4%
Madison Park Funding LIII Ltd., 6.40%	1.1%
Sprite Ltd., 3.75%	0.9%
U.S. Treasury Bonds	0.9%
Morgan Stanley Finance LLC, 1.50%	0.8%
Delta Air Lines, Inc., 7.00%	0.8%
CIFC Funding Ltd., 8.04%	0.7%
Top Ten Total	15.1%

“

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

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

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FUND SUMMARY (Unaudited) continued

May 31, 2022

Portfolio Composition by Quality Rating¹

	% of Total
Rating	Investments
Fixed Income Investments
AAA	1.0%
AA	0.2%
A	2.9%
BBB	9.5%
BB	20.3%
B	25.7%
CCC	3.8%
CC	0.1%
C	0.1%
NR²	6.1%
Other Investments	30.3%
Total Investments	100.0%

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

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

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FUND SUMMARY (Unaudited) continued	May 31, 2022

All or a portion of the above distributions may be characterized as a return of capital. For the year ended May 31, 2022, 47.5% of the distributions were characterized as ordinary income, 8.7% of the distributions were characterized as long-term capital gains and 43.8% of the distributions were characterized as return of capital. The final determination of the tax character of the distributions paid by the Fund in 2022 will be reported to shareholders in January 2023.

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SCHEDULE OF INVESTMENTS	May 31, 2022


	Shares	Value
COMMON STOCKS^† – 21.3%
Financial – 5.9%
Pershing Square Tontine Holdings Ltd. — Class A*^,1	1,042,742	$ 20,708,841
KKR Acquisition Holdings I Corp. — Class A*^,1	783,532	7,678,614
RXR Acquisition Corp. — Class A*^,1	160,538	1,566,851
TPG Pace Beneficial II Corp.*^,1	160,210	1,563,650
Colicity, Inc. — Class A*^,1	120,524	1,177,519
MSD Acquisition Corp. — Class A*^,1	116,869	1,142,979
AfterNext HealthTech Acquisition Corp. — Class A*^,1	107,300	1,073,000
Conyers Park III Acquisition Corp. — Class A*^,1	99,600	963,132
Acropolis Infrastructure Acquisition Corp. — Class A*^,1	98,300	948,595
Waverley Capital Acquisition Corp. 1 — Class A*^,1	93,900	907,543
Progressive Corp.²	5,153	615,165
W R Berkley Corp.²	8,641	614,634
Principal Financial Group, Inc.²	8,359	609,622
Host Hotels & Resorts, Inc. REIT²	30,178	603,258
Allstate Corp.²	4,408	602,530
Mastercard, Inc. — Class A²	1,674	599,074
Crown Castle International Corp. REIT²	3,132	593,984
American Tower Corp. — Class A REIT²	2,316	593,197
Discover Financial Services²	5,205	590,715
Hartford Financial Services Group, Inc.²	8,123	588,999
Visa, Inc. — Class A²	2,765	586,650
Loews Corp.²	8,933	585,022
Marsh & McLennan Companies, Inc.²	3,635	581,418
Iron Mountain, Inc. REIT²	10,762	580,072
Northern Trust Corp.²	5,172	577,971
Synchrony Financial²	15,520	574,861
Arthur J Gallagher & Co.²	3,540	573,268
Cincinnati Financial Corp.²	4,469	571,406
MetLife, Inc.²	8,471	570,861
SBA Communications Corp. REIT²	1,695	570,554
Chubb Ltd.	2,693	569,004
M&T Bank Corp.²	3,158	568,345
Realty Income Corp. REIT²	8,322	567,727
Everest Re Group Ltd.	2,003	565,847
Assurant, Inc.²	3,200	565,408
Travelers Companies, Inc.²	3,130	560,395
American International Group, Inc.²	9,541	559,866
Digital Realty Trust, Inc. REIT²	4,008	559,477
JPMorgan Chase & Co.²	4,219	557,878
Raymond James Financial, Inc.²	5,657	557,158
Regency Centers Corp. REIT²	8,136	554,957

See notes to financial statements.

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


SCHEDULE OF INVESTMENTS continued	May 31, 2022


	Shares	Value
COMMON STOCKS^† – 21.3% (continued)
Financial – 5.9% (continued)
Ameriprise Financial, Inc.²	2,000	$ 552,540
Blue Whale Acquisition Corp. I — Class A*^,1	57,300	552,372
Morgan Stanley²	6,384	549,918
Aflac, Inc.²	9,070	549,370
Regions Financial Corp.²	24,821	548,296
U.S. Bancorp²	10,329	548,160
Globe Life, Inc.²	5,615	547,856
American Express Co.²	3,239	546,808
Prudential Financial, Inc.²	5,128	544,850
Goldman Sachs Group, Inc.²	1,663	543,552
Weyerhaeuser Co. REIT²	13,726	542,451
Kimco Realty Corp. REIT²	22,936	542,436
Franklin Resources, Inc.²	19,949	540,219
Equinix, Inc. REIT²	784	538,679
Citigroup, Inc.²	10,041	536,290
Cboe Global Markets, Inc.²	4,770	535,719
Duke Realty Corp. REIT²	10,140	535,696
Capital One Financial Corp.²	4,180	534,455
Welltower, Inc. REIT²	5,962	531,155
BlackRock, Inc. — Class A²	792	529,911
Federal Realty Investment Trust REIT²	4,591	527,827
Ventas, Inc. REIT²	9,296	527,455
Berkshire Hathaway, Inc. — Class B*^,2	1,665	526,107
First Republic Bank²	3,390	525,552
Invesco Ltd.²	27,137	524,830
PNC Financial Services Group, Inc.²	2,985	523,599
Willis Towers Watson plc²	2,464	520,076
Lincoln National Corp.²	8,977	520,038
Brown & Brown, Inc.²	8,672	514,857
CBRE Group, Inc. — Class A*^,2	6,210	514,436
Comerica, Inc.²	6,177	513,988
Wells Fargo & Co.²	11,220	513,539
Huntington Bancshares, Inc.²	36,944	512,783
Nasdaq, Inc.²	3,298	512,047
Aon plc — Class A²	1,841	507,508
T. Rowe Price Group, Inc.²	3,989	506,962
Bank of New York Mellon Corp.²	10,876	506,930
Bank of America Corp.²	13,484	501,605
SVB Financial Group*^,2	1,025	500,784
Healthpeak Properties, Inc. REIT²	16,779	498,168
Extra Space Storage, Inc. REIT²	2,767	493,079

See notes to financial statements.

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


SCHEDULE OF INVESTMENTS continued	May 31, 2022


	Shares	Value
COMMON STOCKS^† – 21.3% (continued)
Financial – 5.9% (continued)
Public Storage REIT²	1,486	$ 491,331
Boston Properties, Inc. REIT²	4,405	489,748
Fifth Third Bancorp²	12,359	487,315
Zions Bancorp North America²	8,469	483,072
Equity Residential REIT²	6,265	481,340
State Street Corp.²	6,625	480,246
Citizens Financial Group, Inc.²	11,600	480,008
Simon Property Group, Inc. REIT²	4,181	479,352
Alexandria Real Estate Equities, Inc. REIT²	2,886	478,932
CME Group, Inc. — Class A²	2,407	478,584
Charles Schwab Corp.²	6,777	475,068
KeyCorp²	23,727	473,591
Truist Financial Corp.²	9,517	473,376
Mid-America Apartment Communities, Inc. REIT²	2,608	472,048
Prologis, Inc. REIT²	3,679	468,999
AvalonBay Communities, Inc. REIT²	2,255	468,950
Essex Property Trust, Inc. REIT²	1,618	459,269
UDR, Inc. REIT²	9,601	458,928
Intercontinental Exchange, Inc.²	4,304	440,687
Camden Property Trust REIT²	3,029	434,631
Vornado Realty Trust REIT²	11,766	411,339
Signature Bank²	1,880	406,588
TPG, Inc.	8,300	242,111
Sparta Systems*^,†††	1,922	—
Total Financial		87,858,463

Consumer, Non-cyclical – 4.1%
Nielsen Holdings plc²	31,058	793,842
Lamb Weston Holdings, Inc.²	10,852	733,378
Viatris, Inc.²	54,273	665,930
Monster Beverage Corp.*^,2	7,427	661,894
Philip Morris International, Inc.²	6,119	650,144
Cigna Corp.²	2,397	643,091
Eli Lilly & Co.²	2,042	640,045
Merck & Company, Inc.²	6,949	639,516
McKesson Corp.²	1,934	635,686
Corteva, Inc.²	10,136	634,716
Kellogg Co.²	9,086	633,658
Constellation Brands, Inc. — Class A²	2,560	628,403
Vertex Pharmaceuticals, Inc.*^,2	2,300	617,895
Campbell Soup Co.²	12,896	617,847
Kimberly-Clark Corp.²	4,627	615,484

See notes to financial statements.

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


SCHEDULE OF INVESTMENTS continued	May 31, 2022


	Shares	Value
COMMON STOCKS^† – 21.3% (continued)
Consumer, Non-cyclical – 4.1% (continued)
Amgen, Inc.²	2,376	$ 610,014
General Mills, Inc.²	8,733	610,000
Gilead Sciences, Inc.²	9,376	608,034
Clorox Co.²	4,178	607,314
Rollins, Inc.²	16,889	598,884
Molson Coors Beverage Co. — Class B²	10,701	597,544
Bristol-Myers Squibb Co.²	7,896	595,753
Anthem, Inc.²	1,169	595,734
Coca-Cola Co.²	9,389	595,075
Conagra Brands, Inc.²	18,067	594,224
PepsiCo, Inc.²	3,537	593,332
Archer-Daniels-Midland Co.²	6,505	590,784
Hologic, Inc.*^,2	7,831	589,439
FleetCor Technologies, Inc.*^,2	2,369	589,431
Sysco Corp.²	6,988	588,250
Cintas Corp.²	1,472	586,342
Automatic Data Processing, Inc.²	2,624	584,995
Mondelez International, Inc. — Class A²	9,198	584,625
Catalent, Inc.*^,2	5,658	583,113
Altria Group, Inc.²	10,773	582,711
Cardinal Health, Inc.²	10,345	582,630
Thermo Fisher Scientific, Inc.²	1,026	582,327
AmerisourceBergen Corp. — Class A²	3,762	582,320
Colgate-Palmolive Co.²	7,372	580,987
Humana, Inc.²	1,276	579,597
Avery Dennison Corp.²	3,349	577,903
Johnson & Johnson²	3,211	576,471
Organon & Co.²	15,178	576,157
Brown-Forman Corp. — Class B²	8,694	574,847
Pfizer, Inc.²	10,818	573,787
Moderna, Inc.*^,2	3,935	571,874
Waters Corp.*^,2	1,738	569,977
STERIS plc	2,486	567,305
Quest Diagnostics, Inc.²	3,989	562,529
Hershey Co.²	2,657	562,513
Regeneron Pharmaceuticals, Inc.*^,2	846	562,370
Procter & Gamble Co.²	3,797	561,500
Global Payments, Inc.²	4,282	561,113
Abbott Laboratories²	4,769	560,167
UnitedHealth Group, Inc.²	1,126	559,374
Becton Dickinson and Co.²	2,186	559,179

See notes to financial statements.

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


SCHEDULE OF INVESTMENTS continued	May 31, 2022


	Shares	Value
COMMON STOCKS^† – 21.3% (continued)
Consumer, Non-cyclical – 4.1% (continued)
Incyte Corp.*^,2	7,355	$ 558,171
Tyson Foods, Inc. — Class A²	6,205	556,030
Henry Schein, Inc.*^,2	6,461	553,320
Bio-Rad Laboratories, Inc. — Class A*^,2	1,026	551,772
Kraft Heinz Co.²	14,556	550,654
Zimmer Biomet Holdings, Inc.²	4,577	550,201
Biogen, Inc.*^,2	2,751	550,200
IQVIA Holdings, Inc.*^,2	2,546	548,027
Danaher Corp.²	2,071	546,371
Moody's Corp.²	1,786	538,604
Baxter International, Inc.²	7,076	538,130
AbbVie, Inc.²	3,648	537,606
Boston Scientific Corp.*^,2	13,041	534,811
Centene Corp.*^,2	6,520	530,989
Edwards Lifesciences Corp.*^,2	5,257	530,168
J M Smucker Co.²	4,221	529,187
Quanta Services, Inc.²	4,410	524,790
Medtronic plc²	5,238	524,586
Hormel Foods Corp.²	10,773	524,322
Estee Lauder Companies, Inc. — Class A²	2,058	524,070
Verisk Analytics, Inc. — Class A²	2,987	522,486
McCormick & Company, Inc.²	5,634	522,384
Kroger Co.²	9,730	515,398
Stryker Corp.²	2,195	514,728
Church & Dwight Company, Inc.²	5,715	514,693
Gartner, Inc.*^,2	1,943	509,843
CVS Health Corp.²	5,256	508,518
Laboratory Corporation of America Holdings²	2,048	505,283
Molina Healthcare, Inc.*^,2	1,737	504,112
United Rentals, Inc.*^,2	1,685	502,433
Cooper Companies, Inc.²	1,431	501,909
Bio-Techne Corp.²	1,357	501,724
Zoetis, Inc.²	2,935	501,680
S&P Global, Inc.²	1,433	500,686
ABIOMED, Inc.*^,2	1,896	499,975
Equifax, Inc.²	2,429	492,067
PerkinElmer, Inc.²	3,278	490,618
Charles River Laboratories International, Inc.*^,2	2,095	490,398
DaVita, Inc.*^,2	4,945	482,088
PayPal Holdings, Inc.*^,2	5,631	479,817
Teleflex, Inc.²	1,618	465,563

See notes to financial statements.

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

SCHEDULE OF INVESTMENTS continued

May 31, 2022


	Shares	Value

COMMON STOCKS^† – 21.3% (continued)
Consumer, Non-cyclical – 4.1% (continued)
ResMed, Inc.²	2,284	$ 464,703
West Pharmaceutical Services, Inc.²	1,497	464,639
Intuitive Surgical, Inc.*^,2	1,987	452,321
Robert Half International, Inc.²	4,998	450,570
Universal Health Services, Inc. — Class B²	3,609	449,717
MarketAxess Holdings, Inc.²	1,587	447,026
Dentsply Sirona, Inc.²	11,150	441,094
HCA Healthcare, Inc.²	2,037	428,585
Illumina, Inc.*^,2	1,789	428,430
IDEXX Laboratories, Inc.*^,2	1,092	427,649
Dexcom, Inc.*^,2	1,393	415,030
Align Technology, Inc.*^,2	1,357	376,758
Cengage Learning Holdings II, Inc.*^,††	11,126	144,638
Targus Group International Equity, Inc.*^,†††,3	45,049	113,897
Save-A-Lot*^,††	40,316	17,658
Total Consumer, Non-cyclical		60,533,181
Consumer, Cyclical – 2.5%
ATD New Holdings, Inc.*^,††	23,593	1,922,829
United Airlines Holdings, Inc.*^,2	15,595	742,790
Delta Air Lines, Inc.*^,2	16,957	706,937
American Airlines Group, Inc.*^,2	38,789	693,160
LKQ Corp.²	12,345	634,409
Ulta Beauty, Inc.*^,2	1,476	624,496
Southwest Airlines Co.*^,2	13,514	619,752
Genuine Parts Co.²	4,469	611,046
McDonald's Corp.²	2,397	604,547
BorgWarner, Inc.²	14,973	603,711
AutoZone, Inc.*^,2	291	599,358
Dollar Tree, Inc.*^,2	3,699	593,061
Dollar General Corp.²	2,645	582,799
Cummins, Inc.²	2,785	582,399
Marriott International, Inc. — Class A²	3,364	577,195
Yum! Brands, Inc.²	4,677	568,115
Hasbro, Inc.²	6,289	564,438
TJX Companies, Inc.²	8,853	562,785
WW Grainger, Inc.²	1,151	560,618
PACCAR, Inc.²	6,356	551,955
Tapestry, Inc.²	15,832	546,204
Aptiv plc*^,2	5,123	544,268
CarMax, Inc.*^,2	5,481	544,099
Whirlpool Corp.²	2,933	540,376

See notes to financial statements.

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


SCHEDULE OF INVESTMENTS continued	May 31, 2022

	Shares	Value
COMMON STOCKS^† – 21.3% (continued)
Consumer, Cyclical – 2.5% (continued)
Hilton Worldwide Holdings, Inc.²	3,836	$ 540,339
Newell Brands, Inc.²	25,200	540,288
Fastenal Co.²	10,076	539,671
Copart, Inc.*^,2	4,708	539,207
Alaska Air Group, Inc.*^,2	11,139	537,568
PVH Corp.²	7,499	531,454
PulteGroup, Inc.²	11,723	530,583
Las Vegas Sands Corp.*^,2	14,932	529,489
NIKE, Inc. — Class B²	4,435	527,100
Darden Restaurants, Inc.²	4,215	526,875
Ross Stores, Inc.²	6,197	526,869
Home Depot, Inc.²	1,717	519,822
Tesla, Inc.*^,2	684	518,650
Chipotle Mexican Grill, Inc. — Class A*^,2	368	516,138
Starbucks Corp.²	6,573	515,981
VF Corp.²	10,165	512,926
O'Reilly Automotive, Inc.*^,2	805	512,922
Ralph Lauren Corp. — Class A²	5,057	511,212
Domino's Pizza, Inc.²	1,407	510,980
NVR, Inc.*^,2	114	507,371
General Motors Co.*^,2	13,101	506,746
Advance Auto Parts, Inc.²	2,665	505,977
DR Horton, Inc.²	6,717	504,783
Lennar Corp. — Class A²	6,282	504,130
Walgreens Boots Alliance, Inc.²	11,463	502,423
Wynn Resorts Ltd.*^,2	7,519	497,006
Walmart, Inc.²	3,828	492,396
Pool Corp.²	1,230	490,303
Costco Wholesale Corp.²	1,031	480,673
Lowe's Companies, Inc.²	2,447	477,899
Bath & Body Works, Inc.²	11,617	476,529
Live Nation Entertainment, Inc.*^,2	5,010	476,200
MGM Resorts International²	13,558	474,123
Best Buy Company, Inc.²	5,749	471,763
Ford Motor Co.²	33,904	463,807
Royal Caribbean Cruises Ltd.*	7,947	461,482
Tractor Supply Co.²	2,401	449,851
Carnival Corp.*^,2	31,599	438,594
Target Corp.²	2,627	425,259
Penn National Gaming, Inc.*^,2	12,745	407,330
Norwegian Cruise Line Holdings Ltd.*	25,392	406,526

See notes to financial statements.

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

SCHEDULE OF INVESTMENTS continued

May 31, 2022


	Shares	Value
COMMON STOCKS^† – 21.3% (continued)
Consumer, Cyclical – 2.5% (continued)
Caesars Entertainment, Inc.*^,2	7,269	$ 364,686
Exide Technologies*^,†††	342	341,710
Under Armour, Inc. — Class C*^,2	19,788	191,944
Under Armour, Inc. — Class A*	17,357	183,637
Total Consumer, Cyclical		37,172,569
Industrial – 2.4%
Amcor plc	49,892	653,585
Jacobs Engineering Group, Inc.²	4,349	609,251
Westrock Co.²	12,559	608,986
Fortive Corp.²	9,669	597,254
Expeditors International of Washington, Inc.²	5,462	594,484
Mohawk Industries, Inc.*^,2	4,148	586,776
Snap-on, Inc.²	2,644	586,651
Northrop Grumman Corp.²	1,246	583,091
Honeywell International, Inc.²	2,984	577,762
CH Robinson Worldwide, Inc.²	5,319	577,165
Westinghouse Air Brake Technologies Corp.²	6,107	576,867
Howmet Aerospace, Inc.²	16,123	576,720
3M Co.²	3,858	575,961
Republic Services, Inc. — Class A²	4,298	575,244
Masco Corp.²	10,121	573,760
FedEx Corp.²	2,551	572,904
Packaging Corporation of America²	3,631	571,084
Waste Management, Inc.²	3,590	569,051
Trimble, Inc.*^,2	8,306	565,223
Otis Worldwide Corp.²	7,511	558,818
Huntington Ingalls Industries, Inc.²	2,639	555,404
Illinois Tool Works, Inc.²	2,667	554,923
TE Connectivity Ltd.²	4,268	552,236
Nordson Corp.²	2,529	551,019
IDEX Corp.²	2,868	549,365
Xylem, Inc.²	6,503	547,878
Caterpillar, Inc.²	2,531	546,316
Parker-Hannifin Corp.²	2,007	546,245
Allegion plc²	4,885	545,410
Lockheed Martin Corp.²	1,239	545,296
Keysight Technologies, Inc.*^,2	3,728	542,797
Ingersoll Rand, Inc.²	11,427	538,783
Mettler-Toledo International, Inc.*^,2	415	533,740
Raytheon Technologies Corp.²	5,611	533,718
Agilent Technologies, Inc.²	4,173	532,308

See notes to financial statements.

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


SCHEDULE OF INVESTMENTS continued	May 31, 2022


	Shares	Value
COMMON STOCKS^† – 21.3% (continued)
Industrial – 2.4% (continued)
TransDigm Group, Inc.*^,2	871	$ 527,277
General Dynamics Corp.²	2,339	526,065
L3Harris Technologies, Inc.²	2,175	523,958
Teledyne Technologies, Inc.*^,2	1,293	523,859
Amphenol Corp. — Class A²	7,388	523,514
Garmin Ltd.²	4,953	523,136
AMETEK, Inc.²	4,304	522,807
Sealed Air Corp.²	8,396	522,063
Emerson Electric Co.²	5,847	518,395
Textron, Inc.²	7,860	513,179
Eaton Corporation plc²	3,701	512,959
Vulcan Materials Co.²	3,102	511,427
Pentair plc²	10,108	507,119
Trane Technologies plc²	3,654	504,471
Deere & Co.²	1,396	499,461
CSX Corp.²	15,676	498,340
Martin Marietta Materials, Inc.²	1,466	497,531
A O Smith Corp.²	8,275	497,493
Carrier Global Corp.²	12,582	494,598
Johnson Controls International plc²	8,992	490,154
Norfolk Southern Corp.²	2,034	487,468
United Parcel Service, Inc. — Class B²	2,667	486,061
Dover Corp.²	3,610	483,415
Generac Holdings, Inc.*,²	1,931	477,111
J.B. Hunt Transport Services, Inc.²	2,742	473,214
General Electric Co.²	5,893	461,363
Old Dominion Freight Line, Inc.²	1,775	458,376
Union Pacific Corp.²	2,079	456,923
Rockwell Automation, Inc.²	2,116	451,131
Ball Corp.²	6,356	450,577
Fortune Brands Home & Security, Inc.²	6,483	449,596
Stanley Black & Decker, Inc.²	3,713	440,696
Boeing Co.*^,2	3,086	405,500
BP Holdco LLC*^,†††,3	121,041	85,334
Vector Phoenix Holdings, LP*^,†††	121,040	33,286
Total Industrial		36,203,932
Technology – 2.2%
Citrix Systems, Inc.*^,2	10,484	1,055,634
EPAM Systems, Inc.*	2,717	919,759
Western Digital Corp.*^,2	12,005	728,583
Fidelity National Information Services, Inc.²	6,087	636,091

See notes to financial statements.

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

SCHEDULE OF INVESTMENTS continued

May 31, 2022


	Shares	Value
COMMON STOCKS^† – 21.3% (continued)
Technology – 2.2% (continued)
DXC Technology Co.*^,2	17,795	$ 626,740
Analog Devices, Inc.²	3,684	620,385
Monolithic Power Systems, Inc.²	1,374	618,836
Electronic Arts, Inc.²	4,445	616,299
KLA Corp.²	1,682	613,678
PTC, Inc.*^,2	5,232	609,685
International Business Machines Corp.²	4,387	609,091
Synopsys, Inc.*^,2	1,851	590,839
Autodesk, Inc.*^,2	2,828	587,517
Lam Research Corp.²	1,125	585,034
HP, Inc.²	14,985	582,017
Fiserv, Inc.*^,2	5,776	578,640
NXP Semiconductor N.V.²	3,045	577,819
Cadence Design Systems, Inc.*^,2	3,753	576,949
Fortinet, Inc.*^,2	1,948	572,985
Microchip Technology, Inc.²	7,877	572,264
Texas Instruments, Inc.²	3,192	564,218
Paychex, Inc.²	4,510	558,473
Jack Henry & Associates, Inc.²	2,965	557,776
Leidos Holdings, Inc.²	5,333	557,299
Roper Technologies, Inc.²	1,258	556,589
Teradyne, Inc.²	5,088	555,915
Cerner Corp.²	5,822	552,217
Micron Technology, Inc.²	7,468	551,437
Broadridge Financial Solutions, Inc.²	3,761	549,933
Broadcom, Inc.²	941	545,902
Adobe, Inc.*^,2	1,306	543,923
Advanced Micro Devices, Inc.*^,2	5,214	531,140
Microsoft Corp.²	1,942	527,972
Activision Blizzard, Inc.²	6,771	527,325
Seagate Technology Holdings plc²	6,227	527,240
Intel Corp.²	11,866	527,088
MSCI, Inc. — Class A²	1,191	526,839
Apple, Inc.²	3,514	523,024
Accenture plc — Class A²	1,745	520,813
IPG Photonics Corp.*^,2	4,908	517,745
Applied Materials, Inc.²	4,398	515,841
Intuit, Inc.²	1,238	513,101
Hewlett Packard Enterprise Co.²	32,859	512,600
QUALCOMM, Inc.²	3,570	511,295
Paycom Software, Inc.*^,2	1,793	509,822

See notes to financial statements.

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


SCHEDULE OF INVESTMENTS continued	May 31, 2022


	Shares	Value
COMMON STOCKS^† – 21.3% (continued)
Technology – 2.2% (continued)
Akamai Technologies, Inc.*^,2	5,015	$ 506,716
Oracle Corp.²	6,988	502,577
Ceridian HCM Holding, Inc.*^,2	8,860	498,818
ServiceNow, Inc.*^,2	1,062	496,453
Qorvo, Inc.*^,2	4,399	491,588
Tyler Technologies, Inc.*^,2	1,365	485,694
ANSYS, Inc.*^,2	1,852	482,187
Zebra Technologies Corp. — Class A*^,2	1,408	476,172
NetApp, Inc.²	6,466	465,229
Skyworks Solutions, Inc.²	4,264	464,222
Cognizant Technology Solutions Corp. — Class A²	6,177	461,422
NVIDIA Corp.²	2,461	459,518
Take-Two Interactive Software, Inc.*^,2	3,543	441,210
Salesforce, Inc.*^,2	2,748	440,340
Qlik Technologies, Inc. - Class A*^,†††	112	168,441
Qlik Technologies, Inc. - Class B*^,†††	27,624	3
Total Technology		33,104,962
Utilities – 1.3%
TexGen Power LLC*^,†††	68,676	1,648,224
Dominion Energy, Inc.²	9,667	814,155
Constellation Energy Corp.²	11,026	684,494
NRG Energy, Inc.²	14,133	650,683
PPL Corp.²	20,701	624,756
CenterPoint Energy, Inc.²	19,115	612,636
Exelon Corp.²	12,464	612,606
WEC Energy Group, Inc.²	5,794	608,776
Consolidated Edison, Inc.²	6,087	604,196
Entergy Corp.²	5,000	601,600
Eversource Energy²	6,489	599,064
Southern Co.²	7,917	599,000
Ameren Corp.²	6,216	591,701
Evergy, Inc.²	8,451	591,063
Edison International²	8,393	586,755
CMS Energy Corp.²	8,245	585,725
Xcel Energy, Inc.²	7,728	582,228
American Electric Power Company, Inc.²	5,692	580,755
Sempra Energy²	3,526	577,770
Duke Energy Corp.²	5,124	576,552
Alliant Energy Corp.²	9,029	576,231
NiSource, Inc.²	18,255	574,120
Pinnacle West Capital Corp.²	7,373	572,513

See notes to financial statements.

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


SCHEDULE OF INVESTMENTS continued	May 31, 2022


	Shares	Value
COMMON STOCKS^† – 21.3% (continued)
Utilities – 1.3% (continued)
DTE Energy Co.²	4,283	$ 568,397
Public Service Enterprise Group, Inc.²	8,275	567,168
Atmos Energy Corp.²	4,781	556,078
American Water Works Company, Inc.²	3,576	540,870
AES Corp.²	24,496	539,892
FirstEnergy Corp.²	12,368	531,329
NextEra Energy, Inc.²	6,858	519,082
Total Utilities		18,878,419
Communications – 1.2%
Vacasa, Inc. — Class A*	196,839	875,934
Twitter, Inc.*^,2	17,407	689,317
AT&T, Inc.²	30,612	651,729
Lumen Technologies, Inc.²	50,919	623,249
Booking Holdings, Inc.*^,2	269	603,518
T-Mobile US, Inc.*^,2	4,366	581,944
Paramount Global — Class B²	16,671	572,315
Meta Platforms, Inc. — Class A*^,2	2,899	561,362
CDW Corp.²	3,199	543,382
Motorola Solutions, Inc.²	2,452	538,802
Comcast Corp. — Class A²	12,079	534,858
Corning, Inc.²	14,924	534,578
Omnicom Group, Inc.²	7,132	532,119
Interpublic Group of Companies, Inc.²	16,484	531,279
eBay, Inc.²	10,863	528,702
Verizon Communications, Inc.²	10,253	525,876
FactSet Research Systems, Inc.²	1,333	508,913
Juniper Networks, Inc.²	16,410	503,459
Charter Communications, Inc. — Class A*^,2	972	492,736
Match Group, Inc.*^,2	6,148	484,339
NortonLifeLock, Inc.²	19,689	479,230
VeriSign, Inc.*^,2	2,664	465,001
Arista Networks, Inc.*^,2	4,535	463,840
F5, Inc.*^,2	2,797	456,023
Walt Disney Co.*^,2	4,128	455,896
Amazon.com, Inc.*^,2	187	449,584
Cisco Systems, Inc.²	9,943	447,932
Warner Bros Discovery, Inc.*^,2	22,684	418,520
DISH Network Corp. — Class A*^,2	18,097	413,155
Expedia Group, Inc.*^,2	3,033	392,258
Etsy, Inc.*^,2	4,486	363,904
Fox Corp. — Class A²	9,722	345,228

See notes to financial statements.

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


SCHEDULE OF INVESTMENTS continued	May 31, 2022


	Shares	Value
COMMON STOCKS^† – 21.3% (continued)
Communications – 1.2% (continued)
News Corp. — Class A²	19,708	$ 342,919
Netflix, Inc.*^,2	1,598	315,509
Alphabet, Inc. — Class A*^,2	108	245,726
Alphabet, Inc. — Class C*^,2	101	230,359
Fox Corp. — Class B	4,463	145,985
News Corp. — Class B	6,106	107,344
Figs, Inc. — Class A*^,2	10,450	93,005
Total Communications		18,049,829
Energy – 1.0%
Valero Energy Corp.²	5,932	768,787
Marathon Oil Corp.²	23,471	737,694
Coterra Energy, Inc. — Class A²	21,218	728,414
Hess Corp.²	5,748	707,406
Marathon Petroleum Corp.²	6,927	705,099
Devon Energy Corp.²	9,274	694,623
Phillips 66²	6,733	678,754
APA Corp.²	13,926	654,661
Occidental Petroleum Corp.²	9,384	650,405
Pioneer Natural Resources Co.²	2,339	650,102
EOG Resources, Inc.²	4,701	643,849
Diamondback Energy, Inc.²	4,194	637,572
Williams Companies, Inc.²	17,047	631,762
ConocoPhillips²	5,526	620,901
Exxon Mobil Corp.²	6,404	614,784
Enphase Energy, Inc.*^,2	3,179	591,898
Kinder Morgan, Inc.²	30,045	591,586
Halliburton Co.²	14,537	588,749
Schlumberger N.V.²	12,676	582,589
Chevron Corp.²	3,182	555,768
ONEOK, Inc.²	8,232	542,077
Baker Hughes Co.²	14,448	519,839
SolarEdge Technologies, Inc.*^,2	1,710	466,471
Permian Production Partners LLC^†††	184,043	150,915
Legacy Reserves, Inc.*^,†††	2,359	23,590
Bruin E&P Partnership Units^†††	40,617	2,112
Total Energy		14,740,407
Basic Materials – 0.7%
Albemarle Corp.²	2,943	766,416
Linde plc	1,937	628,905
Sherwin-Williams Co.²	2,328	623,997
International Paper Co.²	12,817	620,983

See notes to financial statements.

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

SCHEDULE OF INVESTMENTS continued

May 31, 2022


	Shares	Value
COMMON STOCKS^† – 21.3% (continued)
Basic Materials – 0.7%
Celanese Corp. — Class A²	3,940	$ 616,689
Air Products and Chemicals, Inc.²	2,479	610,231
International Flavors & Fragrances, Inc.²	4,603	608,379
Dow, Inc.²	8,928	606,925
LyondellBasell Industries N.V. — Class A²	5,258	600,727
PPG Industries, Inc.²	4,523	572,114
Eastman Chemical Co.²	5,158	568,205
Ecolab, Inc.²	3,423	561,064
CF Industries Holdings, Inc.²	5,662	559,236
Mosaic Co.²	8,782	550,192
FMC Corp.²	4,411	540,700
Nucor Corp.²	4,021	532,622
DuPont de Nemours, Inc.²	7,502	509,011
Newmont Corp.²	7,073	479,903
Freeport-McMoRan, Inc.²	11,588	452,859
Total Basic Materials		11,009,158
Total Common Stocks
(Cost $272,162,485)		317,550,920
PREFERRED STOCKS^†† – 5.9%
Financial – 5.7%
Bank of America Corp.
4.38%	275,000	5,464,250
4.38% due 12/31/70	2,650,000	2,331,824
6.50% due 12/31/70²	2,000,000	2,029,484
6.30% due 12/31/70²	1,000,000	1,019,025
4.13%	26,000	505,700
Wells Fargo & Co.
4.75%	183,750	3,809,137
3.90% due 12/31/70	3,300,000	3,037,539
4.70%	148,000	3,025,120
4.38%	50,000	952,000
First Republic Bank
4.50%	200,000	3,960,000
4.25%	158,000	2,998,840
4.13%	84,800	1,549,296
Citigroup, Inc.
3.88% due 12/31/70²	4,000,000	3,570,800
4.15% due 12/31/70	2,000,000	1,764,377
4.00% due 12/31/70²	1,750,000	1,578,604
Kuvare US Holdings, Inc.
7.00% due 02/17/51⁴	6,400,000	6,495,593

See notes to financial statements.

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

SCHEDULE OF INVESTMENTS continued

May 31, 2022


	Shares	Value
PREFERRED STOCKS^†† – 5.9% (continued)
Financial – 5.7% (continued)
Charles Schwab Corp.
5.38% due 12/31/70²	3,000,000	$ 3,030,290
4.00% due 12/31/70	3,150,000	2,509,472
Equitable Holdings, Inc.
4.95% due 12/31/70²	3,650,000	3,539,888
4.30%	82,000	1,579,320
Markel Corp.
6.00% due 12/31/70	4,770,000	4,797,260
Public Storage
4.63%	144,400	3,267,772
4.13%	16,400	336,856
W R Berkley Corp.
4.13% due 03/30/61	126,000	2,540,160
4.25% due 09/30/60	36,800	730,848
Prudential Financial, Inc.
4.13% due 09/01/60	140,000	2,994,600
PartnerRe Ltd.
4.88%	128,000	2,814,720
JPMorgan Chase & Co.
4.55%	49,000	1,014,790
4.20%	40,000	796,400
4.63%	24,000	504,240
American Financial Group, Inc.
4.50% due 09/15/60	100,000	2,134,000
MetLife, Inc.
3.85% due 12/31/70²	1,820,000	1,688,954
CNO Financial Group, Inc.
5.13% due 11/25/60	80,000	1,661,600
Assurant, Inc.
5.25% due 01/15/61	58,000	1,296,880
American Equity Investment Life Holding Co.
5.95%	46,000	1,141,720
Arch Capital Group Ltd.
4.55%	38,000	753,920
Selective Insurance Group, Inc.
4.60%	36,000	747,720
RenaissanceRe Holdings Ltd.
4.20%	13,000	244,010
Globe Life, Inc.
4.25% due 06/15/61	11,000	217,470
Total Financial		84,434,479
Government – 0.2%
Farmer Mac
5.75%	112,000	2,668,960

See notes to financial statements.

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

SCHEDULE OF INVESTMENTS continued

May 31, 2022


	Shares	Value

PREFERRED STOCKS^†† – 5.9% (continued)
Government – 0.2% (continued)
AgriBank FCB
6.88%	4,000	$ 408,000
Total Government		3,076,960
Consumer, Cyclical – 0.0%
Exide Technologies*^,†††	761	855,025
Total Preferred Stocks
(Cost $100,461,558)		88,366,464
WARRANTS^† – 0.0%
KKR Acquisition Holdings I Corp. — Class A
Expiring 12/31/27*^,1	195,882	78,842
Pershing Square Tontine Holdings, Ltd. — Class A
Expiring 07/24/25*^,1	115,860	53,319
Aequi Acquisition Corp.
Expiring 11/30/27*^,1	246,299	35,713
Ginkgo Bioworks Holdings, Inc.
Expiring 12/31/27*	26,852	16,380
AfterNext HealthTech Acquisition Corp. — Class A
Expiring 05/13/23*^,1	35,766	11,198
Conyers Park III Acquisition Corp. — Class A
Expiring 08/12/28*	33,200	10,083
MSD Acquisition Corp. — Class A
Expiring 05/13/23*^,1	23,373	8,730
Acropolis Infrastructure Acquisition Corp. — Class A
Expiring 03/31/26*^,1	32,766	8,516
RXR Acquisition Corp. — Class A
Expiring 03/08/26*^,1	32,105	7,856
Waverley Capital Acquisition Corp. 1— Class A
Expiring 04/30/27*^,1	31,300	6,783
Colicity, Inc. — Class A
Expiring 12/31/27*^,1	24,102	5,218
Blue Whale Acquisition Corp. I — Class A
Expiring 07/30/26*^,1	14,324	4,154
Total Warrants
(Cost $2,301,369)		246,792
EXCHANGE-TRADED FUNDS^† – 8.5%
SPDR S&P 500 ETF Trust²	103,730	42,833,229
Invesco QQQ Trust Series²	138,135	42,584,258
iShares Russell 2000 Index ETF²	225,485	41,784,625
Total Exchange-Traded Funds
(Cost $98,552,569)		127,202,112

See notes to financial statements.

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

SCHEDULE OF INVESTMENTS continued

May 31, 2022


	Shares	Value
CLOSED-END FUNDS^† – 2.6%
BlackRock Taxable Municipal Bond Trust²	292,122	$ 5,857,046
Nuveen Taxable Municipal Income Fund	289,790	5,427,767
Nuveen AMT-Free Municipal Credit Income Fund	291,077	4,121,650
BlackRock Corporate High Yield Fund, Inc.²	371,445	3,840,741
Invesco Municipal Opportunity Trust	229,099	2,465,105
Invesco Trust for Investment Grade Municipals	212,335	2,367,535
Blackstone Strategic Credit Fund²	186,741	2,211,013
BlackRock Credit Allocation Income Trust²	184,289	2,126,695
Invesco Municipal Trust	188,704	2,024,794
Invesco Advantage Municipal Income Trust II	163,240	1,603,017
Eaton Vance Limited Duration Income Fund	141,764	1,504,116
BlackRock Municipal Income Trust	108,502	1,400,761
Ares Dynamic Credit Allocation Fund, Inc.	68,740	922,491
BlackRock Debt Strategies Fund, Inc.²	83,425	801,714
Western Asset High Income Opportunity Fund, Inc.²	160,170	682,324
Nuveen AMT-Free Quality Municipal Income Fund	31,454	396,635
Nuveen Quality Municipal Income Fund	25,984	340,391
BlackRock MuniVest Fund, Inc.	24,898	193,707
Total Closed-End Funds
(Cost $41,761,450)		38,287,502

MONEY MARKET FUNDS^† – 1.0%
Dreyfus Treasury Securities
Cash Management Fund — Institutional Shares, 0.64%⁵	12,849,910	12,849,910
Dreyfus Treasury Obligations
Cash Management Fund — Institutional Shares, 0.65%⁵	2,341,558	2,341,558
Total Money Market Funds
(Cost $15,191,468)		15,191,468
	Face
	Amount~
CORPORATE BONDS^†† – 44.6%
Financial – 11.0%
Morgan Stanley Finance LLC
1.50% due 10/23/29⁶	13,500,000	11,364,300
Dyal Capital Partners III
4.40% due 06/15/40^†††	10,000,000	8,953,078
Wilton RE Ltd.
6.00%^2,4,7,8	7,800,000	6,922,578
Hunt Companies, Inc.
5.25% due 04/15/29^2,4	7,325,000	6,903,812
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/28^2,4	7,500,000	6,763,950

See notes to financial statements.

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

SCHEDULE OF INVESTMENTS continued

May 31, 2022


	Face
	Amount~	Value
CORPORATE BONDS^†† – 44.6% (continued)
Financial – 11.0% (continued)
United Wholesale Mortgage LLC
5.50% due 11/15/25^2,4	4,060,000	$ 3,836,700
5.50% due 04/15/29^2,4	1,925,000	1,690,420
5.75% due 06/15/27^2,4	1,250,000	1,126,638
Maple Grove Funding Trust I
4.16% due 08/15/51^2,4	8,000,000	6,407,162
Iron Mountain, Inc.
5.63% due 07/15/32^2,4	6,500,000	6,196,580
NFP Corp.
6.88% due 08/15/28^2,4	6,925,000	6,036,453
OneMain Finance Corp.
4.00% due 09/15/30²	2,200,000	1,868,240
6.13% due 03/15/24²	1,500,000	1,515,220
7.13% due 03/15/26	1,100,000	1,126,400
3.88% due 09/15/28	800,000	690,966
6.63% due 01/15/28	450,000	450,562
8.88% due 06/01/25	350,000	365,533
Home Point Capital, Inc.
5.00% due 02/01/26^2,4	6,650,000	5,461,113
Liberty Mutual Group, Inc.
4.30% due 02/01/61⁴	7,300,000	5,383,750
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/28^2,4	4,800,000	4,829,280
National Life Insurance Co.
10.50% due 09/15/39⁴	3,400,000	4,803,003
Kennedy-Wilson, Inc.
5.00% due 03/01/31²	3,225,000	2,862,187
4.75% due 02/01/30²	1,450,000	1,292,835
4.75% due 03/01/29²	425,000	381,437
Hampton Roads PPV LLC
6.62% due 06/15/53⁴	4,735,000	4,411,929
LPL Holdings, Inc.
4.00% due 03/15/29^2,4	4,172,000	3,864,315
4.38% due 05/15/31⁴	550,000	494,312
RXR Realty LLC
5.25% due 07/17/25^†††	4,200,000	4,171,147
QBE Insurance Group Ltd.
7.50% due 11/24/43^4,8	3,000,000	3,086,503
5.88%^4,7,8	950,000	940,051
Jane Street Group / JSG Finance, Inc.
4.50% due 11/15/29^2,4	3,500,000	3,272,500
Host Hotels & Resorts, LP
3.50% due 09/15/30²	3,610,000	3,220,398
Sherwood Financing plc
6.00% due 11/15/26⁴	GBP 2,000,000	2,192,734
4.50% due 11/15/26⁴	EUR 1,000,000	972,833

See notes to financial statements.

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


SCHEDULE OF INVESTMENTS continued	May 31, 2022


	Face
	Amount~	Value
CORPORATE BONDS^†† – 44.6% (continued)
Financial – 11.0% (continued)
Barclays plc
7.75%^2,7,8	3,000,000	$ 3,054,608
Ares Finance Company IV LLC
3.65% due 02/01/52^2,4	4,100,000	3,049,785
HUB International Ltd.
5.63% due 12/01/29^2,4	2,500,000	2,331,250
7.00% due 05/01/26^2,4	550,000	555,429
BBC Military Housing-Navy Northeast LLC
6.30% due 10/15/49^†††	2,800,000	2,606,375
Global Atlantic Finance Co.
4.70% due 10/15/51^4,8	2,700,000	2,288,539
Lincoln National Corp.
4.38% due 06/15/50²	2,560,000	2,286,103
Fort Knox Military Housing Privatization Project
5.82% due 02/15/52⁴	1,865,251	1,859,461
First American Financial Corp.
4.00% due 05/15/30²	1,740,000	1,625,170
AmWINS Group, Inc.
4.88% due 06/30/29^2,4	1,725,000	1,597,393
Atlas Mara Ltd.
due 12/31/21^{†††,9,10}	2,200,000	1,573,000
OneAmerica Financial Partners, Inc.
4.25% due 10/15/50^2,4	1,730,000	1,480,960
Newmark Group, Inc.
6.13% due 11/15/23²	1,450,000	1,462,688
PHM Group Holding Oy
4.75% due 06/18/26⁴	EUR 1,400,000	1,442,834
Weyerhaeuser Co.
6.88% due 12/15/33²	1,100,000	1,283,279
Allianz SE
3.50%^2,4,7,8	1,400,000	1,226,694
GLP Capital Limited Partnership / GLP Financing II, Inc.
5.30% due 01/15/29	1,050,000	1,043,721
Ryan Specialty Group LLC
4.38% due 02/01/30⁴	1,100,000	990,093
Reinsurance Group of America, Inc.
3.15% due 06/15/30²	1,000,000	915,020
Pershing Square Holdings Ltd.
3.25% due 10/01/31	1,100,000	910,303
PartnerRe Finance B LLC
4.50% due 10/01/50^2,8	950,000	846,849
Fort Benning Family Communities LLC
6.09% due 01/15/51^2,4	704,631	704,777
Alliant Holdings Intermediate LLC / Alliant Holdings Company-Issuer
4.25% due 10/15/27^2,4	725,000	686,617

See notes to financial statements.

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


SCHEDULE OF INVESTMENTS continued	May 31, 2022


	Face
	Amount~	Value
CORPORATE BONDS^†† – 44.6% (continued)
Financial – 11.0% (continued)
Pacific Beacon LLC
5.63% due 07/15/51⁴	677,334	$ 678,209
Prudential Financial, Inc.
5.13% due 03/01/52⁸	700,000	672,875
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
3.88% due 03/01/31⁴	700,000	589,267
Macquarie Bank Ltd.
3.62% due 06/03/30⁴	640,000	569,266
Greystar Real Estate Partners LLC
5.75% due 12/01/25^2,4	450,000	450,364
Assurant, Inc.
7.00% due 03/27/48⁸	400,000	399,429
Fort Gordon Housing LLC
6.32% due 05/15/51⁴	200,000	219,596
USI, Inc.
6.88% due 05/01/25^2,4	150,000	147,535
Total Financial		163,406,408
Consumer, Non-cyclical – 7.9%
US Foods, Inc.
6.25% due 04/15/25^2,4	3,000,000	3,090,000
4.63% due 06/01/30^2,4	2,500,000	2,295,000
4.75% due 02/15/29^2,4	2,250,000	2,112,019
Bausch Health Companies, Inc.
4.88% due 06/01/28^2,4	8,025,000	6,894,077
Mozart Debt Merger Sub, Inc.
5.25% due 10/01/29^2,4	5,200,000	4,603,092
3.88% due 04/01/29⁴	2,000,000	1,805,000
BCP V Modular Services Finance II plc
6.13% due 10/30/28⁴	GBP 4,250,000	4,686,338
4.75% due 10/30/28⁴	EUR 1,550,000	1,474,705
CPI CG, Inc.
8.63% due 03/15/26^2,4	6,348,000	6,061,814
Sabre GLBL, Inc.
7.38% due 09/01/25^2,4	3,725,000	3,678,438
9.25% due 04/15/25^2,4	1,875,000	1,940,475
Cheplapharm Arzneimittel GmbH
5.50% due 01/15/28^2,4	5,370,000	4,851,473
Sotheby's
7.38% due 10/15/27^2,4	4,899,000	4,784,532
Kraft Heinz Foods Co.
5.20% due 07/15/45²	1,400,000	1,362,679
5.00% due 06/04/42	1,225,000	1,174,808
4.38% due 06/01/46²	1,300,000	1,141,516
4.88% due 10/01/49²	600,000	560,996

See notes to financial statements.

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

SCHEDULE OF INVESTMENTS continued

May 31, 2022


	Face
	Amount~	Value
CORPORATE BONDS^†† – 44.6% (continued)
Consumer, Non-cyclical – 7.9% (continued)
Altria Group, Inc.
3.70% due 02/04/51²	6,000,000	$ 4,202,393
Nielsen Finance LLC / Nielsen Finance Co.
5.63% due 10/01/28^2,4	1,900,000	1,883,109
4.75% due 07/15/31^2,4	1,300,000	1,244,750
5.88% due 10/01/30^2,4	975,000	958,025
KeHE Distributors LLC / KeHE Finance Corp.
8.63% due 10/15/26^2,4	3,632,000	3,775,181
Williams Scotsman International, Inc.
4.63% due 08/15/28^2,4	3,675,000	3,474,602
Post Holdings, Inc.
4.50% due 09/15/31^2,4	3,925,000	3,444,187
Rent-A-Center, Inc.
6.38% due 02/15/29^2,4	3,625,000	3,176,624
FAGE International S.A. / FAGE USA Dairy Industry, Inc.
5.63% due 08/15/26^2,4	3,301,000	2,920,395
Acadia Healthcare Company, Inc.
5.00% due 04/15/29^2,4	2,400,000	2,329,829
5.50% due 07/01/28⁴	550,000	543,812
Nathan's Famous, Inc.
6.63% due 11/01/25^2,4	2,676,000	2,667,669
Par Pharmaceutical, Inc.
7.50% due 04/01/27^2,4	3,345,000	2,617,462
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.
5.00% due 02/01/26^2,4	2,775,000	2,595,638
Avantor Funding, Inc.
4.63% due 07/15/28^2,4	1,700,000	1,655,001
3.88% due 11/01/29^2,4	925,000	858,622
Castor S.p.A.
5.25% (3 Month EURIBOR + 5.25%, Rate Floor: 5.25%) due 02/15/29^◊,4	EUR 2,300,000	2,390,958
Sotheby's/Bidfair Holdings, Inc.
5.88% due 06/01/29^2,4	2,700,000	2,376,000
Option Care Health, Inc.
4.38% due 10/31/29^2,4	2,275,000	2,073,640
ADT Security Corp.
4.13% due 08/01/29^2,4	1,050,000	934,395
4.88% due 07/15/32^2,4	1,000,000	868,654
Gartner, Inc.
4.50% due 07/01/28^2,4	1,700,000	1,653,165
DaVita, Inc.
4.63% due 06/01/30^2,4	1,900,000	1,650,625
Spectrum Brands, Inc.
5.50% due 07/15/30^2,4	1,700,000	1,571,480
Royalty Pharma plc
3.55% due 09/02/50²	2,100,000	1,540,595

See notes to financial statements.

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

SCHEDULE OF INVESTMENTS continued

May 31, 2022


	Face
	Amount~	Value
CORPORATE BONDS^†† – 44.6% (continued)
Consumer, Non-cyclical – 7.9% (continued)
HealthEquity, Inc.
4.50% due 10/01/29^2,4	1,550,000	$ 1,445,375
Endo Luxembourg Finance Company I SARL / Endo US, Inc.
6.13% due 04/01/29^2,4	1,900,000	1,444,646
Grifols Escrow Issuer S.A.
4.75% due 10/15/28^2,4	1,350,000	1,233,562
APi Escrow Corp.
4.75% due 10/15/29^2,4	1,225,000	1,078,000
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.
7.00% due 12/31/27⁴	1,038,000	833,089
5.00% due 12/31/26⁴	250,000	226,250
TreeHouse Foods, Inc.
4.00% due 09/01/28	1,150,000	997,050
Central Garden & Pet Co.
4.13% due 10/15/30²	625,000	553,125
4.13% due 04/30/31⁴	400,000	354,294
AMN Healthcare, Inc.
4.63% due 10/01/27^2,4	725,000	697,725
WW International, Inc.
4.50% due 04/15/29⁴	950,000	672,125
Catalent Pharma Solutions, Inc.
3.50% due 04/01/30⁴	625,000	560,594
Carriage Services, Inc.
4.25% due 05/15/29^2,4	575,000	485,875
Performance Food Group, Inc.
6.88% due 05/01/25⁴	450,000	459,596
APi Group DE, Inc.
4.13% due 07/15/29⁴	400,000	344,500
Charles River Laboratories International, Inc.
4.00% due 03/15/31⁴	300,000	276,479
Prestige Brands, Inc.
3.75% due 04/01/31⁴	300,000	253,443
Endo Dac / Endo Finance LLC / Endo Finco, Inc.
9.50% due 07/31/27^2,4	181,000	43,440
Total Consumer, Non-cyclical		117,882,941
Consumer, Cyclical – 6.9%
Delta Air Lines, Inc.
7.00% due 05/01/25^2,4	10,535,000	11,269,387
JB Poindexter & Company, Inc.
7.13% due 04/15/26^2,4	5,275,000	5,225,468
Marriott International, Inc.
4.63% due 06/15/30²	2,320,000	2,297,208
3.50% due 10/15/32	1,400,000	1,257,557
2.85% due 04/15/31	1,280,000	1,108,883
5.75% due 05/01/25	490,000	516,898

See notes to financial statements.

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

SCHEDULE OF INVESTMENTS continued

May 31, 2022


	Face
	Amount~	Value
CORPORATE BONDS^†† – 44.6% (continued)
Consumer, Cyclical – 6.9% (continued)
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.88% due 03/01/27²	3,210,000	$ 3,187,209
5.00% due 06/01/31^2,4	1,800,000	1,658,397
Air Canada Class A Pass Through Trust
5.25% due 04/01/29^2,4	4,381,804	4,434,833
Delta Air Lines, Inc. / SkyMiles IP Ltd.
4.75% due 10/20/28^2,4	3,950,000	3,944,674
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc.
4.63% due 01/15/29^2,4	4,100,000	3,731,000
Live Nation Entertainment, Inc.
6.50% due 05/15/27^2,4	3,350,000	3,467,451
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/27^2,4	3,350,000	3,400,585
Station Casinos LLC
4.63% due 12/01/31^2,4	4,000,000	3,388,290
Wabash National Corp.
4.50% due 10/15/28^2,4	4,100,000	3,341,500
Walgreens Boots Alliance, Inc.
4.10% due 04/15/50²	3,800,000	3,165,832
Powdr Corp.
6.00% due 08/01/25^2,4	2,790,000	2,814,413
Air Canada
4.63% due 08/15/29⁴	CAD 2,900,000	2,030,539
3.88% due 08/15/26^2,4	825,000	768,941
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.
5.75% due 01/20/26^2,4	2,575,000	2,557,632
PetSmart, Inc. / PetSmart Finance Corp.
4.75% due 02/15/28^2,4	2,725,000	2,507,000
Aramark Services, Inc.
6.38% due 05/01/25^2,4	2,300,000	2,357,212
5.00% due 02/01/28^2,4	110,000	107,140
United Airlines, Inc.
4.63% due 04/15/29^2,4	2,575,000	2,415,865
Scotts Miracle-Gro Co.
4.00% due 04/01/31²	2,150,000	1,793,971
4.38% due 02/01/32	700,000	577,500
HP Communities LLC
6.82% due 09/15/53⁴	934,783	1,059,825
6.16% due 09/15/53⁴	1,000,000	1,049,713
Six Flags Theme Parks, Inc.
7.00% due 07/01/25⁴	1,925,000	1,992,375
Superior Plus Limited Partnership / Superior General Partner, Inc.
4.50% due 03/15/29^2,4	2,000,000	1,867,500
Yum! Brands, Inc.
4.63% due 01/31/32²	1,987,000	1,854,129

See notes to financial statements.

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


SCHEDULE OF INVESTMENTS continued	May 31, 2022


	Face
	Amount~	Value
CORPORATE BONDS^†† – 44.6% (continued)
Consumer, Cyclical – 6.9% (continued)
Hyatt Hotels Corp.
5.75% due 04/23/30²	1,690,000	$ 1,765,046
Picasso Finance Sub, Inc.
6.13% due 06/15/25^2,4	1,683,000	1,712,452
Boyd Gaming Corp.
8.63% due 06/01/25^2,4	1,624,000	1,694,043
CD&R Smokey Buyer, Inc.
6.75% due 07/15/25^2,4	1,650,000	1,686,481
Wyndham Hotels & Resorts, Inc.
4.38% due 08/15/28^2,4	1,625,000	1,533,382
1011778 BC ULC / New Red Finance, Inc.
3.88% due 01/15/28⁴	850,000	802,188
4.00% due 10/15/30⁴	725,000	639,019
Hilton Domestic Operating Company, Inc.
3.63% due 02/15/32⁴	1,350,000	1,171,125
Boyne USA, Inc.
4.75% due 05/15/29^2,4	1,250,000	1,162,500
Crocs, Inc.
4.13% due 08/15/31⁴	1,400,000	1,116,759
4.25% due 03/15/29⁴	50,000	41,652
Clarios Global, LP / Clarios US Finance Co.
8.50% due 05/15/27⁴	1,050,000	1,046,483
Vail Resorts, Inc.
6.25% due 05/15/25⁴	1,000,000	1,027,110
Clarios Global, LP
6.75% due 05/15/25⁴	990,000	996,160
Wolverine World Wide, Inc.
4.00% due 08/15/29⁴	1,150,000	953,815
Allison Transmission, Inc.
3.75% due 01/30/31^2,4	1,100,000	941,875
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc.
6.63% due 03/01/30^2,4	650,000	602,966
Tempur Sealy International, Inc.
3.88% due 10/15/31^2,4	700,000	583,870
Penn National Gaming, Inc.
4.13% due 07/01/29⁴	675,000	552,420
Rite Aid Corp.
7.50% due 07/01/25⁴	625,000	526,797
United Airlines Class AA Pass Through Trust
3.45% due 12/01/27	467,596	442,024
Superior Plus, LP
4.25% due 05/18/28⁴	CAD 350,000	247,717
Exide Technologies
due 10/31/24^†††,9	2,353,687	2
Total Consumer, Cyclical		102,394,813

See notes to financial statements.

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

SCHEDULE OF INVESTMENTS continued

May 31, 2022

	Face
	Amount~	Value
CORPORATE BONDS^†† – 44.6% (continued)
Communications – 5.1%
Altice France S.A.
5.50% due 10/15/29^2,4	8,175,000	$ 7,091,813
5.13% due 07/15/29^2,4	3,025,000	2,640,447
8.13% due 02/01/27^2,4	1,300,000	1,301,846
McGraw-Hill Education, Inc.
8.00% due 08/01/29^2,4	6,300,000	5,454,330
5.75% due 08/01/28⁴	3,525,000	3,214,747
VZ Secured Financing BV
5.00% due 01/15/32⁴	6,850,000	6,200,757
British Telecommunications plc
4.88% due 11/23/81^2,4,8	5,550,000	5,012,635
4.25% due 11/23/81^4,8	950,000	875,265
Paramount Global
4.95% due 05/19/50²	6,390,000	5,757,376
Cengage Learning, Inc.
9.50% due 06/15/24^2,4	4,976,000	4,695,503
UPC Broadband Finco BV
4.88% due 07/15/31^2,4	4,550,000	4,172,953
LCPR Senior Secured Financing DAC
6.75% due 10/15/27⁴	2,114,000	2,129,855
5.13% due 07/15/29^2,4	1,900,000	1,728,525
Corning, Inc.
4.38% due 11/15/57²	4,100,000	3,744,890
Vodafone Group plc
5.13% due 06/04/81^2,8	4,100,000	3,183,060
AMC Networks, Inc.
4.25% due 02/15/29²	3,450,000	3,157,181
Ciena Corp.
4.00% due 01/31/30^2,4	2,150,000	1,978,000
CCO Holdings LLC / CCO Holdings Capital Corp.
4.50% due 06/01/33^2,4	1,225,000	1,054,217
4.25% due 01/15/34⁴	750,000	621,274
4.50% due 05/01/32	325,000	285,935
Level 3 Financing, Inc.
3.63% due 01/15/29^2,4	1,500,000	1,267,500
3.75% due 07/15/29⁴	600,000	511,598
Vmed O2 UK Financing I plc
4.25% due 01/31/31^2,4	1,225,000	1,084,125
4.75% due 07/15/31⁴	650,000	588,250
Radiate Holdco LLC / Radiate Finance, Inc.
4.50% due 09/15/26^2,4	1,800,000	1,668,582
TripAdvisor, Inc.
7.00% due 07/15/25^2,4	1,575,000	1,629,416
CSC Holdings LLC
4.63% due 12/01/30^2,4	1,913,000	1,501,896

See notes to financial statements.

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


SCHEDULE OF INVESTMENTS continued	May 31, 2022


	Face
	Amount~	Value
CORPORATE BONDS^†† – 44.6% (continued)
Communications – 5.1% (continued)
Virgin Media Secured Finance plc
4.50% due 08/15/30^2,4	1,200,000	$ 1,085,640
Sirius XM Radio, Inc.
3.88% due 09/01/31^2,4	900,000	791,298
Match Group Holdings II LLC
3.63% due 10/01/31⁴	875,000	743,488
Ziggo BV
4.88% due 01/15/30⁴	725,000	671,386
Ziggo Bond Company BV
5.13% due 02/28/30⁴	500,000	444,182
Total Communications		76,287,970
Industrial – 4.6%
Boeing Co.
5.81% due 05/01/50²	9,400,000	9,249,205
New Enterprise Stone & Lime Company, Inc.
9.75% due 07/15/28^2,4	7,717,000	7,401,432
5.25% due 07/15/28^2,4	2,025,000	1,792,062
Standard Industries, Inc.
4.38% due 07/15/30^2,4	7,050,000	6,351,380
3.38% due 01/15/31^2,4	1,100,000	923,241
Cleaver-Brooks, Inc.
7.88% due 03/01/23^2,4	5,853,000	5,443,290
Artera Services LLC
9.03% due 12/04/25^2,4	6,290,000	4,969,100
Great Lakes Dredge & Dock Corp.
5.25% due 06/01/29^2,4	3,450,000	3,243,000
Harsco Corp.
5.75% due 07/31/27^2,4	3,624,000	3,122,076
Howmet Aerospace, Inc.
3.00% due 01/15/29²	1,175,000	1,071,765
5.95% due 02/01/37²	875,000	874,943
6.88% due 05/01/25²	800,000	854,920
GrafTech Finance, Inc.
4.63% due 12/15/28^2,4	2,785,000	2,549,027
Mauser Packaging Solutions Holding Co.
8.50% due 04/15/24⁴	1,700,000	1,691,500
5.50% due 04/15/24^2,4	800,000	790,160
TransDigm, Inc.
8.00% due 12/15/25^2,4	2,050,000	2,138,396
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc
4.00% due 09/01/29^2,4	2,300,000	1,992,962
Summit Materials LLC / Summit Materials Finance Corp.
5.25% due 01/15/29^2,4	1,775,000	1,676,052

See notes to financial statements.

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

SCHEDULE OF INVESTMENTS continued

May 31, 2022


	Face
	Amount~	Value
CORPORATE BONDS^†† – 44.6% (continued)
Industrial – 4.6% (continued)
TK Elevator US Newco, Inc.
5.25% due 07/15/27^2,4	1,550,000	$ 1,511,250
Builders FirstSource, Inc.
4.25% due 02/01/32⁴	1,675,000	1,493,631
JELD-WEN, Inc.
6.25% due 05/15/25^2,4	1,350,000	1,356,750
Brundage-Bone Concrete Pumping Holdings, Inc.
6.00% due 02/01/26^2,4	1,525,000	1,305,636
Deuce FinCo plc
5.50% due 06/15/27	GBP 1,200,000	1,292,563
Cellnex Finance Company S.A.
3.88% due 07/07/41⁴	1,750,000	1,286,093
Amsted Industries, Inc.
4.63% due 05/15/30^2,4	950,000	855,000
Ball Corp.
3.13% due 09/15/31²	875,000	764,356
Intertape Polymer Group, Inc.
4.38% due 06/15/29⁴	600,000	618,000
Hillenbrand, Inc.
5.75% due 06/15/25	325,000	333,534
3.75% due 03/01/31	250,000	220,000
GATX Corp.
4.00% due 06/30/30²	560,000	540,748
PGT Innovations, Inc.
4.38% due 10/01/29⁴	400,000	357,781
TopBuild Corp.
4.13% due 02/15/32⁴	400,000	352,910
Arcosa, Inc.
4.38% due 04/15/29⁴	350,000	318,633
EnerSys
4.38% due 12/15/27^2,4	325,000	295,110
EnPro Industries, Inc.
5.75% due 10/15/26	115,000	115,000
Total Industrial		69,151,506
Energy – 3.6%
Global Partners Limited Partnership / GLP Finance Corp.
7.00% due 08/01/27	4,800,000	4,663,680
6.88% due 01/15/29²	2,980,000	2,803,165
Occidental Petroleum Corp.
6.20% due 03/15/40²	2,100,000	2,215,500
7.00% due 11/15/27	2,000,000	2,116,410
4.30% due 08/15/39²	2,100,000	1,900,500
4.63% due 06/15/45	750,000	678,750

See notes to financial statements.

^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT} l ⁴³


SCHEDULE OF INVESTMENTS continued	May 31, 2022


	Face
	Amount~	Value
CORPORATE BONDS^†† – 44.6% (continued)
Energy – 3.6% (continued)
ITT Holdings LLC
6.50% due 08/01/29^2,4	7,950,000	$ 6,812,355
BP Capital Markets plc
4.88%^2,7,8	6,750,000	6,311,862
NuStar Logistics, LP
6.38% due 10/01/30²	5,625,000	5,503,500
5.63% due 04/28/27	200,000	200,600
6.00% due 06/01/26	125,000	126,046
CVR Energy, Inc.
5.25% due 02/15/25^2,4	2,275,000	2,235,415
5.75% due 02/15/28^2,4	2,100,000	1,994,895
Parkland Corp.
4.63% due 05/01/30^2,4	2,700,000	2,434,887
4.50% due 10/01/29^2,4	1,300,000	1,174,043
Hess Corp.
5.60% due 02/15/41²	1,550,000	1,578,895
6.00% due 01/15/40²	1,000,000	1,062,106
7.13% due 03/15/33	500,000	577,777
Rattler Midstream, LP
5.63% due 07/15/25^2,4	1,650,000	1,687,273
TransMontaigne Partners Limited Partnership / TLP Finance Corp.
6.13% due 02/15/26²	1,525,000	1,490,078
Southwestern Energy Co.
5.38% due 02/01/29	1,400,000	1,408,435
Exterran Energy Solutions Limited Partnership / EES Finance Corp.
8.13% due 05/01/25²	1,201,000	1,200,706
Energy Transfer, LP
4.25% due 04/01/24²	1,000,000	1,006,785
Buckeye Partners, LP
4.35% due 10/15/24	750,000	744,551
Venture Global Calcasieu Pass LLC
4.13% due 08/15/31⁴	775,000	726,563
DT Midstream, Inc.
4.13% due 06/15/29^2,4	425,000	397,959
FLNG Liquefaction 2 LLC
4.13% due 03/31/38⁴	248,353	238,024
Viper Energy Partners, LP
5.38% due 11/01/27^2,4	200,000	198,997
Basic Energy Services, Inc.
due 10/15/23^9,10	1,075,000	43,000
Schahin II Finance Co. SPV Ltd.
due 09/25/22^9,10	1,216,133	30,403
Total Energy		53,563,160

See notes to financial statements.

⁴⁴ l ^GOF l ^{GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND ANNUAL REPORT}


SCHEDULE OF INVESTMENTS continued	May 31, 2022


	Face
	Amount~	Value
CORPORATE BONDS^†† – 44.6% (continued)
Basic Materials – 2.4%
Carpenter Technology Corp.
6.38% due 07/15/28²	5,225,000	$ 5,118,488
7.63% due 03/15/30²	2,500,000	2,469,018
SCIL IV LLC / SCIL USA Holdings LLC
5.38% due 11/01/26^2,4	5,875,000	5,460,107
Alcoa Nederland Holding BV
5.50% due 12/15/27^2,4	3,625,000	3,644,648
6.13% due 05/15/28^2,4	1,475,000	1,496,988
EverArc Escrow SARL
5.00% due 10/30/29^2,4	5,250,000	4,567,500
Clearwater Paper Corp.
4.75% due 08/15/28^2,4	2,547,000	2,290,854
WR Grace Holdings LLC
4.88% due 06/15/27^2,4	2,050,000	1,916,279
Compass Minerals International, Inc.
6.75% due 12/01/27^2,4	1,725,000	1,630,209
Illuminate Buyer LLC / Illuminate Holdings IV, Inc.
9.00% due 07/01/28⁴	1,625,000	1,430,000
Kaiser Aluminum Corp.
4.63% due 03/01/28⁴	1,000,000	919,428
4.50% due 06/01/31⁴	500,000	436,596
Minerals Technologies, Inc.
5.00% due 07/01/28^2,4	1,350,000	1,255,500
Arconic Corp.
6.00% due 05/15/25^2,4	1,200,000	1,227,000
HB Fuller Co.
4.25% due 10/15/28²	1,150,000	1,036,906
Diamond BC BV
4.63% due 10/01/29⁴	825,000	701,250
Valvoline, Inc.
3.63% due 06/15/31⁴	760,000	675,163
Mirabela Nickel Ltd.
due 06/24/19^9,10	2,667,995	133,400
Total Basic Materials		36,409,334
Technology – 1.6%
Minerva Merger Sub, Inc.
6.50% due 02/15/30⁴	7,900,000	7,248,250
NCR Corp.
5.25% due 10/01/30^2,4	3,150,000	2,895,188
6.13% due 09/01/29⁴	1,550,000	1,473,002
5.13% due 04/15/29⁴	900,000	858,317
Boxer Parent Company, Inc.
7.13% due 10/02/25^2,4	2,350,000	2,301,684

See notes to financial statements.

^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES
FUND ANNUAL REPORT} l ⁴⁵


SCHEDULE OF INVESTMENTS continued	May 31, 2022


	Face
	Amount~	Value
CORPORATE BONDS^†† – 44.6% (continued)
Technology – 1.6% (continued)
Twilio, Inc.
3.88% due 03/15/31²	2,000,000	$ 1,814,660
Playtika Holding Corp.
4.25% due 03/15/29^2,4	2,025,000	1,773,394
TeamSystem S.p.A.
3.50% due 02/15/28	EUR 1,700,000	1,650,177
Dun & Bradstreet Corp.
5.00% due 12/15/29^2,4	1,800,000	1,636,866
Oracle Corp.
3.95% due 03/25/51	2,100,000	1,601,206
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc.
5.75% due 03/01/25⁴	370,000	367,732
Booz Allen Hamilton, Inc.
4.00% due 07/01/29^2,4	325,000	307,549
Total Technology		23,928,025
Utilities – 1.5%
Midcap Funding XLVI Trust
5.50% (1 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 11/22/23^{◊,†††}	9,250,000	9,277,903
Cheniere Corpus Christi Holdings LLC
3.52% due 12/31/39^†††	6,200,000	5,408,162
Terraform Global Operating LLC
6.13% due 03/01/26^2,4	5,255,000	5,149,900
Clearway Energy Operating LLC
3.75% due 02/15/31^2,4	2,100,000	1,853,250
3.75% due 01/15/32^2,4	525,000	450,607
Petershill II Senior Secured Notes
5.00% due 12/02/39^†††	839,000	779,296
5.00% due 07/15/39^†††	161,000	149,543
Total Utilities		23,068,661
Total Corporate Bonds
(Cost $733,785,429)		666,092,818
SENIOR FLOATING RATE INTERESTS^††,◊ – 30.7%
Consumer, Cyclical – 8.5%
Pacific Bells, LLC

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