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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, 2022 - November 30, 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:

 

 


 
 

 

 

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) November 30, 2022

 

We thank you for your investment in the Guggenheim Strategic Opportunities Fund (the “Fund”). This report covers the Fund’s performance for the six-month period ended November 30, 2022 (the “Reporting Period”).

In December 2022, Guggenheim Partners announced the untimely and unexpected death of Scott Minerd, one of Guggenheim's Managing Partners and its Global Chief Investment Officer. He joined Guggenheim as a Managing Partner shortly after the firm was formed. He was a frequent commentator on markets and investments, both on television and via social media. He also was one of the designers of the organization, systems and procedures that make Guggenheim Investments a strong, robust and scalable leader in the asset management business.

Guggenheim has implemented its succession plan, which is designed to deal with unexpected events. There will be no disruption of service to our clients, no change in the daily management of client portfolios and no change in the process of selecting investment assets, all of which are handled by longstanding committees and by long-tenured investment professionals who, every day, implement our investment process.

Guggenheim Investments continues to be led by its Co-Presidents, Dina DiLorenzo and David Rone, and by Anne B. Walsh, a Managing Partner and Chief Investment Officer of Guggenheim Partners Investment Management. She will continue her current role leading the team managing client investments and will assume many of Mr. Minerd’s responsibilities on an interim basis.

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.

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

All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the Reporting Period, the Fund provided a total return based on market price of -2.40% and a total return based on NAV of -1.93%. At the end of the Reporting Period, the Fund’s market price of $16.30 per share represented a premium of 26.16% to its NAV of $12.92 per share.

 

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DEAR SHAREHOLDER (Unaudited) continued November 30, 2022

 

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 13.41% based on the Fund’s closing market price of $16.30 per share at the end of the Reporting Period.

The Fund’s distribution rate is not constant and the amount of distributions, when declared by the Fund’s Board of Trustees, is subject to change. There is no guarantee of any future distribution or that the current returns and distribution rate will be maintained. Please see the Distributions to Shareholders & Annualized Distribution Rate table on page 24, and Note 2(f) on page 92 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 122 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

December 31, 2022

 

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ECONOMIC AND MARKET OVERVIEW (Unaudited) November 30, 2022

 

Month-over-month price increases in the October and November 2022 Consumer Price Index (“CPI”) reports finally cooled, offering some evidence that the Federal Reserve’s (the “Fed”) efforts to tighten policy and get inflation under control are starting to work. The headline CPI slowed from an 11% annualized three-month growth rate in June 2022 to 3.7% by November 2022. The three-month annualized change in core CPI softened from a recent peak of 7.9% to 4.2%, and trimmed measures of inflation (measures that remove the highest and lowest outliers) also declined. While these figures are still well above the Fed’s 2% core inflation target, it is encouraging to see them moving in the right direction.

The inflation categories that remain high are mostly in services. The November CPI report showed that core goods prices fell by 0.5% on the month, led by a 2.9% drop in used car prices. More declines in goods prices appear likely as supply chains rapidly improve and retailers step up their efforts to clear an inventory overhang through deeper discounting. However, housing and broader services inflation measures remain well above pre-COVID levels. Housing inflation will likely take time to come down in the official statistics due to the lagging nature of lease renewals, but more timely indicators show inflation for new rentals is falling fast. The Fed has now become more concerned with core services inflation excluding housing and how a tight labor market and high wage growth could impact this category.

The December Summary of Economic Projections, which provides the Fed’s median forecasts for a variety of data including the unemployment rate, inflation, and their policy rate, confirmed that the Fed is far from convinced that inflation is heading back to target and expects more tightening will be needed to achieve their inflation target. The median 2023 forecasts for U.S. real gross domestic product growth fell to 0.5%, the federal funds rate increased to 5.1%, and the unemployment rate increased to 4.6%. At the same time, the Fed’s projection for the year-over-year increase in the core personal consumption expenditures price index—its preferred inflation measure—increased to 3.5% by year-end. Taken together, these projections suggest that even with a higher terminal rate, weaker growth, and a higher unemployment rate, the Fed expects to be further away from its inflation goal in 2023 than it projected in recent months.

Our research indicates that the unemployment rate could increase to 6%, higher than the Fed’s median projection, as Fed efforts to slow the already weak economy may end up overshooting. This could trigger a more serious recession than the consensus expectation and likely bring about a decline in risk assets.

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

 

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MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) November 30, 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”).1

This team includes Anne B. Walsh, CFA, JD, Managing Partner, Chief Investment Officer 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.

Discuss the Fund’s return and return of comparative Indices

All Fund returns cited—whether based on 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 -2.40% and a total return based on NAV of -1.93%. At the end of the Reporting Period, the Fund’s market price of $16.30 per share represented a premium of 26.16% to its NAV of $12.92 per share. At the beginning of the Reporting Period, 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 value of the Fund’s shares fluctuates from time to time and maybe higher or lower than the Fund’s NAV.

Please refer to the graphs and tables included within the Fund Summary, beginning on page 21 for additional information about the Fund’s performance.

Index Total Return
Bloomberg U.S. Aggregate Bond Index -4.06%
Bloomberg U.S. Corporate Bond Index -3.94%
Bloomberg U.S. Corporate High Yield Index -2.86%
Credit Suisse Leveraged Loan Index 1.06%
ICE Bank of America Asset Backed Security Master BBB-AA Index -3.08%
NASDAQ - 100 Index -4.40%
Russell 2000 Index 1.98%
Standard & Poor’s 500 (“S&P 500”) Index -0.40%

 

1 Guggenheim Partners Advisors, LLC (“GPA”) also served as an investment sub-adviser to the Fund during the Reporting Period. GPA was terminated as an investment sub-adviser to the Fund effective December 22, 2022.

 

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MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued November 30, 2022

 

Discuss the Fund’s distributions

During the Reporting Period, the Fund paid a monthly distribution of $0.1821 per share. The most recent distribution represents an annualized distribution rate of 13.41% based on the Fund’s closing market price of $16.30 per share at the end of the Reporting Period.

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 24, and Note 2(f) on page 92 for more information on distributions for the period.

Payable Date Amount
June 30, 2022 $0.1821
July 29, 2022 $0.1821
August 31, 2022 $0.1821
September 30, 2022 $0.1821
October 31, 2022 $0.1821
November 30, 2022 $0.1821
Total $1.0926

 

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

The Reporting Period was marked by a material move higher in interest rates and spreads in reaction to accelerating inflation early in the period and simultaneously rising concerns of slower growth from restrictive monetary policy. While typically spreads and interest rates exhibit negative correlation, the Reporting Period was marked by an unusual positive correlation between risky and risk-free assets. Accordingly, duration and credit spread exposure both detracted from performance, while carry contributed positively. The Fund, which at Reporting Period end had a duration of 4.00 years, experienced negative performance as the 10 year Treasury yield rose by nearly 90 basis points. One basis point is equal to one-hundredth of one percent, or 0.01%. Duration positioning remained roughly constant throughout the Reporting Period. (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. Credit spreads accounted for roughly 400 basis points of negative performance, as the Fund maintained exposure to a diversified portfolio of credit sectors for income generation. Investment

 

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MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued November 30, 2022

 

Grade and High Yield credit spreads widened rapidly to nearly the 80th historical percentile, and partially retraced the moves to ultimately finish around the 60th percentile. Bank loans, which comprised approximately 32% of the Fund, were the best performing asset class due to their floating rate features. Though we expect to see continued volatility as markets grapple with the rapid tightening of financial conditions, at current valuations we see return distributions for fixed income skewed to the upside over the next year. Particularly on a yield-basis, high quality spread product valuations are compelling for long-term oriented investors.

Discuss the Fund’s Use of Leverage

At the end of the Reporting Period, the Fund’s leverage was approximately 24% of Managed Assets, which is equivalent to the amount of leverage at the beginning of the Reporting Period.

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

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

Investments in Investment Funds (as defined below in the Risks and Other Considerations section) frequently expose the Fund to an additional layer of financial leverage and the associated risks, such as the magnified effect of any losses.

How did the Fund use derivatives during the Reporting Period?

The Fund used a variety of derivatives during the Reporting Period both to gain market exposure and to hedge certain exposures. Derivatives used for hedging generated mixed performance. Foreign currency forwards, used to hedge non-USD exposures, contributed positively as the dollar strengthened versus both the Euro and the Pound. Call writing added to performance as equity indices broadly fell. The Fund also utilized S&P 500 Puts and Put Spreads to partially protect against drawdowns in risk assets. Put option hedges contributed roughly 30 basis points to overall performance during the period. Interest rate swaps detracted from performance during the period.

 

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MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued November 30, 2022

 

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

Risk assets valuations remain volatile as central banks continue to raise interest rates to combat near record inflation and the probability of a recession has risen. We expect volatility to continue for several months as rapidly changing economic data remains acutely impactful on valuations, although credit market valuations have meaningfully cheapened and offer attractive entry points. During the period, the Fund reduced exposure to lower quality credit segments which have greater fundamental exposure to a downturn and, until recently, were outperforming higher quality segments on a risk-adjusted basis. The Fund redeployed capital into higher quality credit segments at all-in yields not achievable in over a decade. While credit markets are attractive to long-run investors, equity valuations remain expensive and the risk versus reward trade-off is unfavorable in our assessment. Accordingly, the allocation to equity strategies remains at the low end of the Fund’s historical and long-term target range.

 

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MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued November 30, 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), 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 Merrill Lynch 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 November 30, 2022

 

Risks and Other Considerations

Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, geopolitical tensions, and labor and public 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.

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), most recent annual report on Form N-CSR and guggenheiminvestments.com/gof for a more detailed description of the risks of investing in the Fund. Shareholders may access the Fund’s Prospectus, SAI and most recent annual report on the EDGAR Database on the Securities and Exchange Commission’s website at www.sec.gov.

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.

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.

Corporate Bond Risk. Corporate bonds are debt obligations issued by corporations and other business entities. Corporate bonds may be either secured or unsecured. Collateral used for secured debt includes real property, machinery, equipment, accounts receivable, stocks, bonds or notes. If a bond is unsecured, it is known as a debenture. Bondholders, as creditors, have a prior legal claim over common and preferred stockholders as to both income and assets of the corporation for the principal and interest due them and may have a prior claim over other creditors if liens or mortgages are involved. Interest on corporate bonds may be fixed or floating, or the bonds may be zero coupons. Interest on corporate bonds is typically paid semi-annually and is fully taxable to the bondholder. Corporate bonds contain elements of both interest-rate risk and credit risk. The market value of a corporate bond generally may be expected to rise and fall inversely with interest rates and may also be affected by the credit rating of the corporation, the corporation’s performance and perceptions of the corporation in the marketplace. Corporate bonds usually yield more than government or agency bonds due to the presence

 

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MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued November 30, 2022

 

of credit risk. Depending on the nature of the seniority provisions, a senior corporate bond may be junior to other credit securities of the issuer. The market value of a corporate bond may be affected by factors directly related to the issuer, such as investors’ perceptions of the creditworthiness of the issuer, the issuer’s financial performance, perceptions of the issuer in the marketplace, performance of management of the issuer, the issuer’s capital structure and use of financial leverage and demand for the issuer’s goods and services. There is a risk that the issuers of corporate bonds may not be able to meet their obligations on interest or principal payments at the time called for by an instrument. Corporate bonds of below investment grade quality are often high risk and have speculative characteristics and may be particularly susceptible to adverse issuer-specific developments.

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, securities indices, exchange-traded funds and baskets of 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 debt 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 risk that such issuer, guarantor or counterparty is less willing or able to do so is heightened in market environments where interest rates are rising. Also, the issuer, guarantor or counterparty may suffer adverse changes in its financial condition or be adversely affected by economic, political or social conditions that could lower the credit quality (or the market’s perception of the credit quality) of the issuer or instrument, leading to greater volatility in the price of the instrument and in shares of the Fund. Although credit quality may not accurately reflect the true credit risk of an instrument, a change in the credit quality rating of an instrument or an issuer can have a rapid, adverse effect on the instrument’s liquidity and make it more difficult for the Fund to sell at an advantageous price or time. The risk of the occurrence of these types of events is especially heightened in market environments where interest rates are rising.

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 high inflation in recent periods, governmental authorities have implemented significant fiscal and monetary policy changes, including increasing interest rates and implementation of quantitative tightening. These actions present heightened risks, particularly to fixed-income and debt instruments, and such risks could be even further heightened if these actions are ineffective in achieving their desired outcomes. The U.S. Federal Reserve Board (“Federal Reserve”) has signaled its intention to continue raising

 

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MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued November 30, 2022

 

interest rates and maintain interest rates at increased levels until inflation decreases to the Federal Reserve’s target level. It is difficult to accurately predict the effect of these actions. Certain economic conditions and market environments will expose fixed-income and debt instruments to heightened volatility and reduced liquidity, which can impact the Fund’s investments and may negatively impact the Fund’s characteristics, which in turn would impact performance.

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). There may be imperfect correlation between the value of derivative instruments and the underlying assets. Derivatives transactions may be subject to risks associated with the possible default of the other party to the transaction. Derivative instruments may be illiquid. Certain derivatives transactions may have economic characteristics similar to leverage, in that relatively small market movements may result in large changes in the value of an investment. Certain derivatives transactions that involve leverage can result in losses that greatly exceed the amount originally invested. Changes in value of a derivative may also create sudden margin delivery or settlement payment obligations for the Fund, which can materially affect the performance of the Fund and its liquidity and other risk profiles. Furthermore, the Fund’s ability to successfully use derivatives transactions depends on the Sub-Adviser’s ability to predict pertinent securities prices, interest rates, currency exchange rates and other economic factors, which cannot be assured. Derivatives transactions utilizing instruments denominated in foreign currencies will expose the Fund to foreign currency risk. To the extent the Fund enters into derivatives transactions to hedge exposure to foreign currencies, such transactions may not be successful and may eliminate any chance for the Fund to benefit from favorable fluctuations in relevant foreign currencies. The use of derivatives transactions may result in losses greater than if they had not been used, may require the Fund to sell or purchase portfolio securities at inopportune times or for prices other than current market values, may limit the amount of appreciation the Fund can realize on an investment or may cause the Fund to hold a security that it might otherwise sell. Derivatives transactions involve risks of mispricing or improper valuation. The Fund also may be required to deposit amounts as premiums or to be held in margin accounts. Such amounts may not otherwise be available to the Fund for investment purposes. Derivatives transactions also are subject to operational risk, including from documentation issues, settlement issues, system failures, inadequate controls, and human error, and legal risk, including risk of insufficient documentation, insufficient capacity or authority of a counterparty, or legality or enforceability of a contract. Derivatives transactions may involve commissions and other costs, which may increase the Fund’s expenses and reduce its return. Various legislative and regulatory initiatives may impact the availability, liquidity and cost of derivative instruments, limit or restrict the ability of the Fund to use certain derivative instruments or transact with certain counterparties as a part of its investment strategy, increase the costs of using derivative instruments or make derivative instruments less effective.

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

 

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MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued November 30, 2022

 

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. 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 (or are expected to change). Changes in interest rates, including changes in reference rates used in fixed-income and other debt instruments (such as the London Interbank Offered Rate (“LIBOR”) or Secured Overnight Financing Rate (“SOFR”)), may adversely affect the Fund’s investments in these instruments, such as the value or liquidity of, and income generated by, the investments. In addition, changes in interest rates, including rates that fall below zero, can have unpredictable effects on markets and can adversely affect the Fund’s yield, income and performance. 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. The Federal Reserve, in recent periods, has increased interest rates at significant levels and signaled an intention to continue to raise interest rates and maintain interest rates at increased levels until inflation decreases to the Federal Reserve’s target level. 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. It is difficult to accurately predict how long the Federal Reserve’s current stance on interest rates will persist and the impact these actions will have on the economy and the Fund’s investments and the markets where they trade.

Investment in Loans Risk. The Fund may purchase loans on a direct assignment basis from a participant in the original syndicate of lenders or from subsequent assignees of such interests. 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 LIBOR, which functions as a reference rate or benchmark. It is anticipated that LIBOR will ultimately be discontinued, which may cause increased volatility and illiquidity in the markets for instruments with terms tied to LIBOR or other adverse consequences, such as decreased yields and reduction in value, 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

 

14 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


 
 

 

 

   
MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued November 30, 2022

 

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 in payment priority and secured on a senior priority basis in contrast to subordinated and unsecured securities. Senior Loans’ higher priority has historically resulted in generally higher recoveries in the event of a corporate reorganization. In addition, because their interest payments are adjusted for changes in short-term interest rates, investments in Senior Loans have less interest rate risk than certain 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 subject to the same 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 result

 

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MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued November 30, 2022

 

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. When the cost of leverage is no longer favorable, or when 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. Investments in Investment Funds (as defined below) and certain other pooled and structured finance vehicles, such as collateralized loan obligations, frequently expose the Fund to an additional layer of financial leverage and, thus, increase the Fund’s exposure to leverage risk.

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 (including geopolitical), social or financial market conditions, tariffs and trade disruptions, recession, changes in currency rates, natural/environmental disasters, cyber attacks, terrorism, governmental or quasigovernmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened war or other armed conflicts (such as the ongoing Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrade, and other similar events, each of which may be temporary or last for extended periods. Many economies and markets are experiencing, and have experienced in recent periods, high inflation rates. In response to such inflation, government authorities have implemented significant fiscal and monetary policies such as increasing interest rates and quantitative tightening (reduction of money available in the market) which may adversely affect financial markets and the broader economy, as well as the Fund’s performance. 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 repaid early and to reinvest income or proceeds at generally lower interest rates, thus reducing the Fund’s yield.

Short Sales Risk. The Fund may make short sales of securities. A short sale is a transaction in which the Fund sells a security it does not own. If the price of the security sold short increases between the time of

 

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MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued November 30, 2022

 

the short sale and the time the Fund replaces the borrowed security, the Fund will incur a loss. Although the Fund’s gain is limited to the price at which it sold the security short, its potential loss is theoretically unlimited.

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. Moreover, other types of events, domestic or international, may affect general economic conditions and financial markets, such as pandemics, armed conflicts, energy supply or price disruptions, natural disasters and man-made disasters, which may have a significant effect on the underlying assets. 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. Income from and values of MBS also may be greatly affected by demographic trends, such as population shifts or changing tastes and values, or increasing vacancies or declining rents resulting from legal, cultural technological, global or local economic developments, as well as reduced demand for properties. In addition, the general effects of inflation on the U.S. economy can be wide-ranging, as evidenced by rising interest rates, wages and costs of consumer goods and necessities. The long-term effects of inflation on the general economy and on any individual mortgagor are unclear, and in certain cases, rising inflation may affect a mortgagor’s ability to repay its related mortgage loan, thereby reducing the amount received by the holders of MBS with respect to such mortgage loan. Additionally, increased rates of inflation, as are currently being

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 17


 
 

 

 

   
MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued November 30, 2022

 

experienced, may negatively affect the value of certain MBS in the secondary market. MBS are particularly sensitive to changes in interest rates. Rising interest rates generally result in a decline in the value of mortgage-related securities, such as CMBS and RMBS.

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 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 adversely impact the value of such securities. For example, economic decline in the businesses operated by the tenants of office properties may increase the likelihood that the tenants may be unable to pay their rents or that properties may be unable to attract or retain tenants.

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. Asset-Backed Securities Risk. While traditional fixed-income securities typically pay a fixed rate of interest until maturity, when the entire principal amount is due, an ABS represents an interest in a pool of assets, such as automobile loans, credit card receivables, unsecured consumer loans or student loans, that has been securitized and provides for monthly payments of interest, at a fixed or floating rate, and principal from the cash flow of these assets. This pool of assets (and any related assets of the issuing entity) is the only source of payment for the ABS. The ability of an ABS issuer to make payments on the ABS, and the timing of such payments, is therefore dependent on collections on these underlying assets. The recoveries on the underlying collateral may not, in some cases, be sufficient to support payments on these securities, which may result in losses to investors in an ABS. ABS are particularly subject to interest rate risk and credit risk. Compared to other fixed income investments with similar maturity and credit, ABS generally increase in value to a lesser extent when interest rates decline and generally decline in value to a similar or greater extent when interest rates rise.

CLO, CDO and CBO Risk. In addition to the general risks associated with credit securities discussed herein, collateralized loan obligations (“CLOs”), collateralized debt obligations (“CDOs”), and collateralized bond obligations (“CBOs”) are subject to additional risks due to their complex structure and highly leveraged nature. CLOs, CDOs and CBOs are subject to risks associated with the possibility that distributions from collateral securities may not be adequate to make interest or other payments. The value of securities issued by CLOs, CDOs and CBOs also may change because of changes in market value; changes in the market’s perception of the creditworthiness of the servicer of the assets, the originator of an asset in the pool, or the financial institution or fund providing the credit support or enhancement; loan performance and prices; broader market sentiment, including expectations

 

18 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


 
 

 

 

   
MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued November 30, 2022

 

regarding future loan defaults; liquidity conditions; and supply and demand for structured products. Additionally, the indirect investment structure of CLOs, CDOs and CBOs presents certain risks to the Fund such as less liquidity compared with holding the underlying assets directly. CLOs, CDOs and CBOs normally charge management fees and administrative expenses, which would be borne by the Fund.

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. The Fund’s ability to sell an instrument under favorable conditions may also be negatively impacted by, among other things, other market participants selling the same or similar instruments at the same time or legal restrictions on the instrument’s resale. 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.

Investment Funds Risk. As an alternative to holding investments directly, the Fund may also obtain investment exposure to Income Securities and Common Equity Securities by investing up to 30% of its total assets in other investment companies, including registered investment companies, private investment funds and/or other pooled investment vehicles (collectively, “Investment Funds”). These investments include open-end funds, closed-end funds, exchange-traded funds and business development companies as well as other pooled investment vehicles. Investments in Investment Funds present certain special considerations and risks not present in making direct investments in Income Securities and Common Equity Securities. Investments in Investment Funds subject the Fund to the risks affecting such Investment Funds and involve operating expenses and fees that are in addition to the expenses and fees borne by the Fund. Such expenses and fees attributable to the Fund’s investment in another Investment Fund are borne indirectly by Common Shareholders. Accordingly, investment in such entities involves expense and fee layering. Fees charged by other Investment Funds in which the Fund invests may be similar to the fees charged by the Fund and can include asset-based management fees and administrative fees payable to such entities’ advisers and managers, thus resulting in duplicative fees. To the extent management fees of Investment Funds are based on total gross assets, it may create an incentive for such entities’ managers to employ Financial Leverage, thereby adding additional expense and increasing volatility and risk (including the Fund’s overall exposure to leverage risk). Fees payable to advisers and managers of Investment Funds may include performance-based incentive fees calculated as a percentage of profits. Such incentive fees directly reduce the return that otherwise would have been earned by investors over the applicable period. A performance-based fee

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 19


 
 

 

 

   
MANAGEMENT’S DISCUSSION OF  
FUND PERFORMANCE (Unaudited) continued November 30, 2022

 

arrangement may create incentives for an adviser or manager to take greater investment risks in the hope of earning a higher profit participation. Investments in Investment Funds frequently expose the Fund to an additional layer of Financial Leverage. The use of leverage by Investment Funds may cause the Investments Funds’ market price of common shares and/or NAV to be more volatile and can magnify the effect of any losses. Investments in Investment Funds expose the Fund to additional management risk. The success of the Fund’s investments in Investment Funds will depend in large part on the investment skills and implementation abilities of the advisers or managers of such entities. Decisions made by the advisers or managers of such entities may cause the Fund to incur losses or to miss profit opportunities. While the Sub-Adviser will seek to evaluate managers of Investment Funds and where possible independently evaluate the underlying assets, a substantial degree of reliance on such entities’ managers is nevertheless present with such investments. In October 2020, the SEC adopted certain regulatory changes and took other actions related to the ability of an investment company to invest in another investment company (which, in certain instances, may also limit a fund’s ability to invest in certain types of structured finance vehicles). These changes include, among other things, amendments to the existing regulatory framework, the adoption of new Rule 12d1-4 under the 1940 Act, and the rescission of certain exemptive relief issued by the SEC permitting such investments in excess of statutory limits and the withdrawal of certain related SEC staff no-action letters. These changes and actions may adversely impact the Fund’s investment strategies and operations, as well as those of the underlying investment vehicles in which the Fund invests or other funds that invest in the Fund.

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 SEMIANNUAL REPORT


 
 

 

 

           
FUND SUMMARY (Unaudited)       November 30, 2022
 
Fund Statistics          
Share Price         $16.30
Net Asset Value         $12.92
Premium to NAV         26.16%
Net Assets ($000)         $1,449,307

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE      
PERIOD ENDED NOVEMBER 30, 2022      
  Six month        
  (non- One Three Five Ten
  annualized) Year Year Year Year
Guggenheim Strategic Opportunities Fund        
NAV (1.93%) (8.69%) 4.62% 4.71% 8.00%
Market (2.40%) (0.79%) 7.09% 6.64% 9.61%
Bloomberg U.S. Aggregate        
Bond Index (4.06%) (12.84%) 2.59% 0.21% 1.09%

 

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 unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees or expenses.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 21


 
 

 

 

   
FUND SUMMARY (Unaudited) continued November 30, 2022
 
Portfolio Breakdown % of Net Assets
Investments  
Corporate Bonds 47.3%
Senior Floating Rate Interests 32.1%
Asset-Backed Securities 15.1%
Common Stocks 14.5%
Preferred Stocks 6.8%
Exchange-Traded Funds 6.0%
Collateralized Mortgage Obligations 5.0%
Closed-End Funds 2.4%
U.S. Government Securities 1.2%
Money Market Funds 0.8%
Other 0.4%
Total Investments 131.6%
Options Written (0.3)%
Other Assets & Liabilities, net (31.3%)
Net Assets 100.0%

 

Ten Largest Holdings % of Net Assets
SPDR S&P 500 ETF Trust 2.0%
Invesco QQQ Trust Series 2.0%
iShares Russell 2000 Index ETF 2.0%
Madison Park Funding LIII Ltd., 9.99% 1.1%
Sprite Ltd., 3.75% 0.9%
U.S. Treasury Bonds 0.8%
Delta Air Lines, Inc., 7.00% 0.7%
Morgan Stanley Finance LLC, 1.50% 0.7%
Midcap Funding XLVI Trust, 7.35% 0.6%
CIFC Funding Ltd., 11.08% 0.6%
Top Ten Total 11.4%

 

“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 SEMIANNUAL REPORT


 
 

 

 

   
FUND SUMMARY (Unaudited) continued November 30, 2022
 
Portfolio Composition by Quality Rating1  
 

 

  % of Total
Rating Investments
Fixed Income Investments  
AAA 2.7%
AA 0.0%*
A 3.9%
BBB 11.1%
BB 20.0%
B 26.5%
CCC 3.5%
CC 0.1%
C 0.1%
NR 2 9.0%
Other Investments 23.1%
Total Investments 100.0%

 

1 Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.
2 NR (not rated) securities do not necessarily indicate low credit quality.
* Less than 0.1%.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 23


 
 

 

 

   
FUND SUMMARY (Unaudited) continued November 30, 2022

 

All or a portion of the above distributions may be characterized as a return of capital. For the calendar year ended December 31, 2022, 48% of the distributions were characterized as ordinary income, 8% of the distributions were characterized as long-term capital gains and 44% 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.

 

24 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


 
 

 

 

   
SCHEDULE OF INVESTMENTS (Unaudited) November 30, 2022

 

     
  Shares Value
COMMON STOCKS – 14.5%    
Financial – 3.7%    
KKR Acquisition Holdings I Corp. — Class A*,1 783,534 $ 7,874,512
RXR Acquisition Corp. — Class A*,1 160,538 1,613,407
TPG Pace Beneficial II Corp.*,1 160,210 1,574,865
Colicity, Inc. — Class A*,1 120,524 1,211,266
MSD Acquisition Corp. — Class A*,1 116,869 1,173,365
AfterNext HealthTech Acquisition Corp. — Class A*,1 107,300 1,068,708
Conyers Park III Acquisition Corp. — Class A*,1 99,600 981,060
Acropolis Infrastructure Acquisition Corp. — Class A*,1 98,300 971,204
Waverley Capital Acquisition Corp. 1 — Class A*,1 93,900 935,244
Blue Whale Acquisition Corp. I — Class A*,1 57,300 558,675
Arch Capital Group Ltd.* 8,223 492,640
Everest Re Group Ltd.2 1,300 439,322
Globe Life, Inc.2 3,580 429,457
Aflac, Inc.2 5,945 427,624
Ameriprise Financial, Inc.2 1,284 426,224
JPMorgan Chase & Co.2 3,081 425,733
Travelers Companies, Inc.2 2,235 424,225
Willis Towers Watson plc2 1,721 423,641
Simon Property Group, Inc. REIT2 3,539 422,698
American International Group, Inc.2 6,681 421,638
Principal Financial Group, Inc.2 4,699 421,406
Hartford Financial Services Group, Inc.2 5,476 418,202
Goldman Sachs Group, Inc.2 1,082 417,814
MetLife, Inc.2 5,439 417,171
W R Berkley Corp.2 5,429 414,124
Synchrony Financial2 11,008 413,680
Chubb Ltd. 1,881 413,049
Berkshire Hathaway, Inc. — Class B*,2 1,283 408,764
Charles Schwab Corp.2 4,935 407,335
Citizens Financial Group, Inc.2 9,593 406,551
Prudential Financial, Inc.2 3,730 402,952
Huntington Bancshares, Inc.2 26,017 402,743
Cincinnati Financial Corp.2 3,623 402,008
State Street Corp.2 5,039 401,457
Invesco Ltd.2 20,896 399,322
Bank of America Corp.2 10,527 398,447
Nasdaq, Inc.2 5,815 398,095
Raymond James Financial, Inc.2 3,393 396,642
Federal Realty Investment Trust2 3,534 392,627
Regency Centers Corp. REIT2 5,901 392,003

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 25


 
 

 

 

SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Shares Value
COMMON STOCKS – 14.5% (continued)    
Financial – 3.7% (continued)    
Mastercard, Inc. — Class A2 1,093 $ 389,545
Wells Fargo & Co.2 8,116 389,162
Allstate Corp.2 2,906 389,113
Visa, Inc. — Class A2 1,792 388,864
Discover Financial Services2 3,588 388,796
Arthur J Gallagher & Co.2 1,952 388,663
Aon plc — Class A2 1,259 388,125
Equinix, Inc. REIT2 558 385,383
Intercontinental Exchange, Inc.2 3,557 385,259
Regions Financial Corp.2 16,564 384,450
Kimco Realty Corp. REIT2 16,714 383,085
Morgan Stanley2 4,112 382,704
Bank of New York Mellon Corp.2 8,326 382,163
Marsh & McLennan Companies, Inc.2 2,206 382,035
Host Hotels & Resorts, Inc. REIT2 20,118 381,035
BlackRock, Inc. — Class A2 529 378,764
Progressive Corp.2 2,859 377,817
PNC Financial Services Group, Inc.2 2,237 376,398
Cboe Global Markets, Inc.2 2,967 376,334
Loews Corp.2 6,444 374,719
Franklin Resources, Inc.2 13,946 373,892
Fifth Third Bancorp2 10,268 373,345
VICI Properties, Inc. REIT2 10,910 373,122
KeyCorp2 19,702 370,595
T. Rowe Price Group, Inc.2 2,957 369,359
American Express Co.2 2,320 365,609
Iron Mountain, Inc. REIT2 6,661 361,892
CBRE Group, Inc. — Class A*,2 4,532 360,747
Alexandria Real Estate Equities, Inc. REIT2 2,316 360,393
Truist Financial Corp.2 7,586 355,101
Healthpeak Properties, Inc. REIT2 13,446 353,092
Citigroup, Inc.2 7,260 351,457
Mid-America Apartment Communities, Inc. REIT2 2,127 350,700
U.S. Bancorp2 7,711 350,002
Capital One Financial Corp.2 3,383 349,261
Realty Income Corp. REIT2 5,502 347,011
Weyerhaeuser Co. REIT2 10,591 346,432
Northern Trust Corp.2 3,702 344,693
Ventas, Inc. REIT2 7,385 343,624
Welltower, Inc. REIT2 4,721 335,333
Brown & Brown, Inc.2 5,624 335,134

 

See notes to financial statements.

 

26 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Shares Value
COMMON STOCKS – 14.5% (continued)    
Financial – 3.7% (continued)    
Prologis, Inc. REIT2 2,838 $ 334,288
M&T Bank Corp.2 1,961 333,409
Vornado Realty Trust REIT2 13,176 333,221
SBA Communications Corp. REIT2 1,111 332,522
Digital Realty Trust, Inc. REIT2 2,945 331,195
Camden Property Trust REIT2 2,721 327,418
Zions Bancorp North America2 6,270 324,911
Public Storage REIT2 1,085 323,287
CME Group, Inc. — Class A2 1,824 321,936
UDR, Inc. REIT2 7,667 317,950
Comerica, Inc.2 4,350 312,069
American Tower Corp. — Class A REIT2 1,406 311,077
Equity Residential REIT2 4,764 308,993
Boston Properties, Inc. REIT2 4,257 306,844
First Republic Bank2 2,359 301,032
AvalonBay Communities, Inc. REIT2 1,715 299,953
Crown Castle, Inc. REIT2 2,106 297,852
Extra Space Storage, Inc. REIT2 1,823 292,938
Essex Property Trust, Inc. REIT2 1,320 290,902
Invitation Homes, Inc. REIT 8,898 290,342
Assurant, Inc.2 2,238 286,956
Lincoln National Corp.2 7,222 281,225
Signature Bank2 1,989 277,466
SVB Financial Group*,2 866 200,722
Pershing Square Tontine Holdings, Ltd. — Class A*,†††,1 1,042,740 104
Sparta Systems*,††† 1,922
Total Financial   52,901,720
 
Consumer, Non-cyclical – 2.9%    
Biogen, Inc.*,2 1,737 530,080
Gilead Sciences, Inc.2 5,635 494,922
ABIOMED, Inc.*,2 1,303 492,260
Universal Health Services, Inc. — Class B2 3,546 463,994
Merck & Company, Inc.2 4,206 463,165
Dexcom, Inc.*,2 3,960 460,469
Moderna, Inc.*,2 2,585 454,727
Intuitive Surgical, Inc.*,2 1,662 449,388
Eli Lilly & Co.2 1,158 429,711
Quest Diagnostics, Inc.2 2,824 428,768
AmerisourceBergen Corp. — Class A2 2,496 426,042
Amgen, Inc.2 1,485 425,304

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 27


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Shares Value
COMMON STOCKS – 14.5% (continued)    
Consumer, Non-cyclical – 2.9% (continued)    
Humana, Inc.2 769 $ 422,873
Cardinal Health, Inc.2 5,264 422,015
Gartner, Inc.*,2 1,202 421,145
Bristol-Myers Squibb Co.2 5,220 419,061
IDEXX Laboratories, Inc.*,2 983 418,630
AbbVie, Inc.2 2,595 418,262
United Rentals, Inc.*,2 1,182 417,282
General Mills, Inc.2 4,846 413,364
Cigna Corp.2 1,256 413,086
Rollins, Inc.2 10,185 411,881
Campbell Soup Co.2 7,669 411,595
Monster Beverage Corp.*,2 3,980 409,383
Viatris, Inc.2 36,992 408,022
Waters Corp.*,2 1,173 406,562
Conagra Brands, Inc.2 10,704 406,538
J M Smucker Co.2 2,638 406,278
Incyte Corp.*,2 5,092 405,680
Mondelez International, Inc. — Class A2 5,990 404,984
Hologic, Inc.*,2 5,302 403,800
HCA Healthcare, Inc.2 1,674 402,128
Lamb Weston Holdings, Inc.2 4,627 402,086
Henry Schein, Inc.*,2 4,925 398,531
Vertex Pharmaceuticals, Inc.*,2 1,259 398,348
Automatic Data Processing, Inc.2 1,506 397,795
Elevance Health, Inc.2 745 397,025
Kraft Heinz Co.2 10,063 395,979
Corteva, Inc.2 5,884 395,169
PepsiCo, Inc.2 2,124 394,023
Johnson & Johnson2 2,213 393,914
Cintas Corp.2 853 393,898
Kimberly-Clark Corp.2 2,894 392,513
Archer-Daniels-Midland Co.2 4,022 392,145
Procter & Gamble Co.2 2,622 391,098
McCormick & Company, Inc.2 4,579 390,039
Molson Coors Beverage Co. — Class B2 7,040 387,974
Boston Scientific Corp.*,2 8,567 387,828
Zimmer Biomet Holdings, Inc.2 3,209 385,401
UnitedHealth Group, Inc.2 702 384,528
Charles River Laboratories International, Inc.*,2 1,682 384,455
Pfizer, Inc.2 7,664 384,196

 

See notes to financial statements.

 

28 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Shares Value
COMMON STOCKS – 14.5% (continued)    
Consumer, Non-cyclical – 2.9% (continued)    
Constellation Brands, Inc. — Class A2 1,491 $ 383,709
McKesson Corp.2 1,005 383,588
Hershey Co.2 1,626 382,387
Regeneron Pharmaceuticals, Inc.*,2 508 381,864
Illumina, Inc.*,2 1,745 380,549
Sysco Corp.2 4,382 379,087
Philip Morris International, Inc.2 3,776 376,354
Quanta Services, Inc.2 2,507 375,749
Coca-Cola Co.2 5,897 375,108
Altria Group, Inc.2 8,037 374,363
Stryker Corp.2 1,599 373,990
Avery Dennison Corp.2 1,926 372,354
Kellogg Co.2 5,104 372,337
Laboratory Corporation of America Holdings2 1,544 371,641
MarketAxess Holdings, Inc.2 1,378 369,194
Clorox Co.2 2,483 369,098
Hormel Foods Corp.2 7,843 368,621
Equifax, Inc.2 1,866 368,292
Cooper Companies, Inc.2 1,164 368,231
Church & Dwight Company, Inc.2 4,492 367,760
CVS Health Corp.2 3,601 366,870
Moody’s Corp.2 1,228 366,276
Keurig Dr Pepper, Inc.2 9,468 366,128
Brown-Forman Corp. — Class B2 5,007 365,611
Colgate-Palmolive Co.2 4,711 365,008
Abbott Laboratories2 3,384 364,051
CoStar Group, Inc.* 4,487 363,627
PerkinElmer, Inc.2 2,592 362,180
Thermo Fisher Scientific, Inc.2 646 361,902
Bio-Techne Corp.2 4,240 360,358
IQVIA Holdings, Inc.*,2 1,648 359,297
ResMed, Inc.2 1,559 358,882
Robert Half International, Inc.2 4,551 358,528
Molina Healthcare, Inc.*,2 1,056 355,629
Teleflex, Inc.2 1,509 353,287
Verisk Analytics, Inc. — Class A2 1,916 351,988
S&P Global, Inc.2 997 351,621
Becton Dickinson and Co.2 1,399 348,827
Centene Corp.*,2 3,999 348,113
Kroger Co.2 7,075 348,019
Danaher Corp.2 1,267 346,411

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 29


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Shares Value
COMMON STOCKS – 14.5% (continued)    
Consumer, Non-cyclical – 2.9% (continued)    
Baxter International, Inc.2 6,122 $ 346,077
Zoetis, Inc.2 2,236 344,657
Estee Lauder Companies, Inc. — Class A2 1,453 342,603
FleetCor Technologies, Inc.*,2 1,661 325,888
Dentsply Sirona, Inc.2 10,755 325,446
STERIS plc 1,743 323,745
Medtronic plc2 4,086 322,958
Tyson Foods, Inc. — Class A2 4,839 320,729
Organon & Co.2 12,231 318,250
PayPal Holdings, Inc.*,2 3,823 299,761
Bio-Rad Laboratories, Inc. — Class A*,2 721 299,006
Edwards Lifesciences Corp.*,2 3,783 292,237
DaVita, Inc.*,2 3,962 292,118
Global Payments, Inc.2 2,774 287,886
West Pharmaceutical Services, Inc.2 1,173 275,256
Align Technology, Inc.*,2 1,394 274,144
Catalent, Inc.*,2 3,811 191,046
Cengage Learning Holdings II, Inc.*,†† 11,126 129,618
Save-A-Lot*,†† 40,316 13,425
Total Consumer, Non-cyclical   41,950,083
Consumer, Cyclical – 1.8%    
ATD New Holdings, Inc.*,†† 23,593 1,686,900
Wynn Resorts Ltd.*,2 5,849 489,327
Royal Caribbean Cruises Ltd.*,2 7,772 465,776
Ross Stores, Inc.2 3,934 462,914
Las Vegas Sands Corp.*,2 9,638 451,444
TJX Companies, Inc.2 5,522 442,036
O’Reilly Automotive, Inc.*,2 510 440,915
PACCAR, Inc.2 4,158 440,374
DR Horton, Inc.2 5,015 431,290
AutoZone, Inc.*,2 167 430,693
Ralph Lauren Corp. — Class A2 3,799 429,743
Starbucks Corp.2 4,148 423,926
Cummins, Inc.2 1,684 422,953
Copart, Inc.*,2 6,336 421,724
Walgreens Boots Alliance, Inc.2 10,076 418,154
Norwegian Cruise Line Holdings Ltd.* 25,392 417,445
Genuine Parts Co.2 2,260 414,326
Tractor Supply Co.2 1,829 413,921
Darden Restaurants, Inc.2 2,807 412,601

 

See notes to financial statements.

 

30 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Shares Value
COMMON STOCKS – 14.5% (continued)    
Consumer, Cyclical – 1.8% (continued)    
United Airlines Holdings, Inc.*,2 9,337 $ 412,415
Best Buy Company, Inc.2 4,822 411,317
Walmart, Inc.2 2,688 409,705
Yum! Brands, Inc.2 3,166 407,338
BorgWarner, Inc.2 9,534 405,291
Lennar Corp. — Class A2 4,609 404,808
Aptiv plc*,2 3,790 404,279
NVR, Inc.*,2 86 398,955
Home Depot, Inc.2 1,227 397,536
Delta Air Lines, Inc.*,2 11,213 396,604
Bath & Body Works, Inc.2 9,278 394,315
PulteGroup, Inc.2 8,788 393,527
Tapestry, Inc.2 10,357 391,184
Domino’s Pizza, Inc.2 999 388,341
WW Grainger, Inc.2 642 387,165
MGM Resorts International2 10,493 386,772
McDonald’s Corp.2 1,417 386,543
Ulta Beauty, Inc.*,2 831 386,282
Caesars Entertainment, Inc.*,2 7,602 386,258
Hilton Worldwide Holdings, Inc.2 2,707 386,072
Southwest Airlines Co.*,2 9,555 381,340
Dollar Tree, Inc.*,2 2,535 380,985
Dollar General Corp.2 1,488 380,452
Lowe’s Companies, Inc.2 1,789 380,252
Alaska Air Group, Inc.*,2 7,901 374,823
Marriott International, Inc. — Class A2 2,264 374,353
American Airlines Group, Inc.*,2 25,846 372,958
LKQ Corp.2 6,857 372,541
Costco Wholesale Corp.2 686 369,925
Fastenal Co.2 7,169 369,275
NIKE, Inc. — Class B2 3,305 362,525
General Motors Co.2 8,910 361,390
Target Corp.2 2,118 353,854
Carnival Corp.*,2 35,166 349,198
Chipotle Mexican Grill, Inc. — Class A*,2 213 346,542
Exide Technologies*,††† 342 341,710
Pool Corp.2 1,028 338,633
Whirlpool Corp.2 2,289 335,407
Ford Motor Co.2 23,858 331,626
Advance Auto Parts, Inc.2 2,032 306,812

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 31


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Shares Value
COMMON STOCKS – 14.5% (continued)    
Consumer, Cyclical – 1.8% (continued)    
Live Nation Entertainment, Inc.*,2 3,944 $ 286,965
Hasbro, Inc.2 4,502 282,816
CarMax, Inc.*,2 4,028 279,382
VF Corp.2 8,438 276,935
Newell Brands, Inc.2 20,174 261,657
Tesla, Inc.*,2 1,227 238,897
Total Consumer, Cyclical   26,262,422
Industrial – 1.8%    
Caterpillar, Inc.2 1,928 455,798
Deere & Co.2 988 435,708
Xylem, Inc.2 3,798 426,705
General Electric Co.2 4,963 426,669
Lockheed Martin Corp.2 871 422,600
Honeywell International, Inc.2 1,918 421,097
Johnson Controls International plc2 6,326 420,299
Boeing Co.*,2 2,335 417,685
Allegion plc2 3,675 417,664
AMETEK, Inc.2 2,925 416,579
Mettler-Toledo International, Inc.*,2 283 415,885
IDEX Corp.2 1,751 415,845
Emerson Electric Co.2 4,331 414,780
Old Dominion Freight Line, Inc.2 1,369 414,273
Agilent Technologies, Inc.2 2,673 414,261
Eaton Corporation plc2 2,525 412,711
Expeditors International of Washington, Inc.2 3,556 412,709
Raytheon Technologies Corp.2 4,158 410,478
Westinghouse Air Brake Technologies Corp.2 4,027 407,090
Illinois Tool Works, Inc.2 1,781 405,124
Dover Corp.2 2,836 402,570
General Dynamics Corp.2 1,588 400,795
Trane Technologies plc2 2,245 400,553
Northrop Grumman Corp.2 748 398,901
Textron, Inc.2 5,583 398,514
Teledyne Technologies, Inc.*,2 948 398,255
Snap-on, Inc.2 1,646 396,028
A O Smith Corp.2 6,513 395,600
Ingersoll Rand, Inc.2 7,324 395,276
Parker-Hannifin Corp.2 1,319 394,302
Vulcan Materials Co.2 2,141 392,510
Otis Worldwide Corp.2 5,004 390,763

 

See notes to financial statements.

 

32 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Shares Value
COMMON STOCKS – 14.5% (continued)    
Industrial – 1.8% (continued)    
Amphenol Corp. — Class A2 4,847 $ 389,844
J.B. Hunt Transport Services, Inc.2 2,114 388,744
Carrier Global Corp.2 8,724 386,648
Keysight Technologies, Inc.*,2 2,134 386,019
Howmet Aerospace, Inc.2 10,104 380,618
Rockwell Automation, Inc.2 1,440 380,477
Martin Marietta Materials, Inc.2 1,032 378,207
Norfolk Southern Corp.2 1,472 377,568
Fortive Corp.2 5,572 376,389
Garmin Ltd.2 4,027 374,471
3M Co.2 2,970 374,131
TransDigm Group, Inc.2 593 372,701
Nordson Corp.2 1,570 371,289
Jacobs Solutions, Inc.2 2,933 371,142
Fortune Brands Home & Security, Inc.2 5,670 370,478
CSX Corp.2 11,274 368,547
Amcor plc 29,840 368,524
Huntington Ingalls Industries, Inc.2 1,563 362,553
TE Connectivity Ltd.2 2,851 359,568
Packaging Corporation of America2 2,623 356,440
Pentair plc2 7,786 356,365
Masco Corp.2 7,013 356,120
Waste Management, Inc.2 2,122 355,902
L3Harris Technologies, Inc.2 1,554 352,882
Sealed Air Corp.2 6,618 352,276
United Parcel Service, Inc. — Class B2 1,851 351,190
Trimble, Inc.*,2 5,825 348,044
Republic Services, Inc. — Class A2 2,491 346,971
Union Pacific Corp.2 1,587 345,061
Ball Corp.2 6,151 344,948
Westrock Co.2 8,963 339,877
Stanley Black & Decker, Inc.2 4,067 332,355
Mohawk Industries, Inc.*,2 3,212 325,472
CH Robinson Worldwide, Inc.2 3,219 322,608
FedEx Corp.2 1,758 320,343
Generac Holdings, Inc.*,2 1,537 162,184
BP Holdco LLC*,†††,3 121,041 73,398
Vector Phoenix Holdings, LP*,††† 121,040 28,923
Total Industrial   26,057,304

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 33


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Shares Value
COMMON STOCKS – 14.5% (continued)    
Technology – 1.4%    
Hewlett Packard Enterprise Co.2 27,270 $ 457,591
Microchip Technology, Inc.2 5,494 435,070
NVIDIA Corp.2 2,534 428,829
International Business Machines Corp.2 2,837 422,429
Leidos Holdings, Inc.2 3,830 418,734
Applied Materials, Inc.2 3,795 415,932
Analog Devices, Inc.2 2,380 409,146
DXC Technology Co.*,2 13,621 404,135
KLA Corp.2 1,026 403,372
Oracle Corp.2 4,846 402,363
Ceridian HCM Holding, Inc.*,2 5,787 396,062
Roper Technologies, Inc.2 897 393,684
PTC, Inc.*,2 3,066 390,026
Texas Instruments, Inc.2 2,155 388,891
Qorvo, Inc.*,2 3,911 388,167
HP, Inc.2 12,889 387,186
Broadcom, Inc.2 702 386,823
ON Semiconductor Corp.*,2 5,130 385,776
Teradyne, Inc.2 4,119 384,920
Lam Research Corp.2 813 384,045
NXP Semiconductor N.V.2 2,179 383,155
Accenture plc — Class A2 1,265 380,676
MSCI, Inc. — Class A2 749 380,365
Akamai Technologies, Inc.*,2 3,994 378,871
Electronic Arts, Inc.2 2,844 371,938
Micron Technology, Inc.2 6,369 367,173
Synopsys, Inc.*,2 1,081 367,043
Fortinet, Inc.*,2 6,834 363,295
Cadence Design Systems, Inc.*,2 2,106 362,316
ANSYS, Inc.*,2 1,421 361,360
Fiserv, Inc.*,2 3,456 360,668
Salesforce, Inc.*,2 2,249 360,402
Paychex, Inc.2 2,901 359,811
Microsoft Corp.2 1,391 354,900
QUALCOMM, Inc.2 2,779 351,516
Autodesk, Inc.*,2 1,738 350,989
Intel Corp.2 11,573 348,000
Jack Henry & Associates, Inc.2 1,837 347,836
Cognizant Technology Solutions Corp. — Class A2 5,587 347,567
Activision Blizzard, Inc.2 4,684 346,382

 

See notes to financial statements.

 

34 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Shares Value
COMMON STOCKS – 14.5% (continued)    
Technology – 1.4% (continued)    
Apple, Inc.2 2,338 $ 346,094
NetApp, Inc.2 5,078 343,324
Skyworks Solutions, Inc.2 3,578 342,128
Paycom Software, Inc.*,2 994 337,066
Intuit, Inc.2 817 333,001
Advanced Micro Devices, Inc.*,2 4,279 332,179
Tyler Technologies, Inc.*,2 955 327,317
ServiceNow, Inc.*,2 781 325,130
Zebra Technologies Corp. — Class A*,2 1,192 322,174
Adobe, Inc.*,2 931 321,130
Broadridge Financial Solutions, Inc.2 2,134 318,201
Monolithic Power Systems, Inc.2 823 314,353
EPAM Systems, Inc.*,2 851 313,662
Western Digital Corp.*,2 8,319 305,723
Take-Two Interactive Software, Inc.*,2 2,872 303,542
Fidelity National Information Services, Inc.2 4,004 290,610
Seagate Technology Holdings plc2 5,303 280,900
Qlik Technologies, Inc. – Class A*,††† 112 168,441
Qlik Technologies, Inc. – Class B*,††† 27,624 3
Total Technology   20,952,422
Communications – 0.9%    
Netflix, Inc.*,2 1,575 481,210
Interpublic Group of Companies, Inc.2 12,852 441,594
Etsy, Inc.*,2 3,332 440,124
Juniper Networks, Inc.2 12,645 420,320
Omnicom Group, Inc.2 5,222 416,507
AT&T, Inc.2 21,407 412,727
Arista Networks, Inc.*,2 2,957 411,910
Motorola Solutions, Inc.2 1,470 400,134
Cisco Systems, Inc.2 8,034 399,450
CDW Corp.2 2,095 395,201
VeriSign, Inc.*,2 1,930 385,633
Booking Holdings, Inc.*,2 185 384,698
T-Mobile US, Inc.*,2 2,525 382,437
Comcast Corp. — Class A2 10,300 377,392
FactSet Research Systems, Inc.2 811 374,106
Corning, Inc.2 10,921 372,734
Gen Digital, Inc.2 16,140 370,574
eBay, Inc.2 8,147 370,200
Expedia Group, Inc.*,2 3,351 358,021

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 35


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Shares Value
COMMON STOCKS – 14.5% (continued)    
Communications – 0.9% (continued)    
F5, Inc.*,2 2,292 $ 354,366
Charter Communications, Inc. — Class A*,2 899 351,770
Verizon Communications, Inc.2 8,633 336,514
Warner Bros Discovery, Inc.*,2 27,993 319,120
Walt Disney Co.*,2 3,194 312,597
Paramount Global — Class B2 15,414 309,513
Vacasa, Inc. — Class A* 196,839 309,037
News Corp. — Class A2 16,017 306,725
DISH Network Corp. — Class A*,2 18,940 303,987
Match Group, Inc.*,2 5,851 295,827
Amazon.com, Inc.*,2 2,760 266,450
Meta Platforms, Inc. — Class A*,2 2,168 256,041
Fox Corp. — Class A2 7,477 242,629
Lumen Technologies, Inc.2 36,662 200,541
Alphabet, Inc. — Class A*,2 1,742 175,925
Alphabet, Inc. — Class C*,2 1,559 158,161
Fox Corp. — Class B2 3,433 104,775
News Corp. — Class B2 4,962 96,511
Figs, Inc. — Class A* 10,450 81,823
Total Communications   12,377,284
Utilities – 0.8%    
TexGen Power LLC*,†† 68,676 1,785,576
PG&E Corp.* 29,788 467,672
Constellation Energy Corp.2 4,204 404,088
AES Corp.2 13,412 387,875
Atmos Energy Corp.2 3,115 374,423
Pinnacle West Capital Corp.2 4,775 373,978
FirstEnergy Corp.2 8,855 365,180
PPL Corp.2 12,324 363,804
American Water Works Company, Inc.2 2,375 360,430
NRG Energy, Inc.2 8,478 359,891
Consolidated Edison, Inc.2 3,648 357,650
Entergy Corp.2 3,066 356,484
Edison International2 5,322 354,765
Sempra Energy2 2,117 351,824
CenterPoint Energy, Inc.2 11,199 348,401
NextEra Energy, Inc.2 4,092 346,592
Ameren Corp.2 3,848 343,703
WEC Energy Group, Inc.2 3,456 342,628
American Electric Power Company, Inc.2 3,513 340,058

 

See notes to financial statements.

 

36 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Shares Value
COMMON STOCKS – 14.5% (continued)    
Utilities – 0.8% (continued)    
NiSource, Inc.2 12,064 $ 337,068
Xcel Energy, Inc.2 4,779 335,581
Duke Energy Corp.2 3,345 334,266
Eversource Energy2 4,015 332,683
Exelon Corp.2 8,011 331,415
Alliant Energy Corp.2 5,833 328,398
Public Service Enterprise Group, Inc.2 5,410 327,576
CMS Energy Corp.2 5,265 321,534
DTE Energy Co.2 2,715 314,967
Southern Co.2 4,626 312,903
Evergy, Inc.2 5,244 310,497
Dominion Energy, Inc.2 4,424 270,351
Total Utilities   12,242,261
Energy – 0.7%    
Schlumberger Ltd.2 9,201 474,312
Halliburton Co.2 12,244 463,925
Phillips 662 4,142 449,158
APA Corp.2 9,554 447,605
Marathon Petroleum Corp.2 3,660 445,825
Targa Resources Corp. 5,794 431,016
Hess Corp.2 2,994 430,866
Valero Energy Corp.2 3,215 429,588
Marathon Oil Corp.2 13,863 424,624
Exxon Mobil Corp.2 3,800 423,092
EOG Resources, Inc.2 2,959 419,971
Chevron Corp.2 2,288 419,413
Baker Hughes Co.2 14,373 417,104
ConocoPhillips2 3,274 404,372
Diamondback Energy, Inc.2 2,706 400,542
ONEOK, Inc.2 5,869 392,754
Occidental Petroleum Corp.2 5,604 389,422
Williams Companies, Inc.2 11,179 387,911
Enphase Energy, Inc.*,2 1,203 385,670
Kinder Morgan, Inc.2 20,028 382,935
Devon Energy Corp.2 5,344 366,171
Pioneer Natural Resources Co.2 1,525 359,885
SolarEdge Technologies, Inc.*,2 1,175 351,160
Coterra Energy, Inc. — Class A2 12,269 342,428
Equities Corp. 7,293 309,296
Permian Production Partners LLC*,††† 184,043 150,916

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 37


 
 

 

 

       
SCHEDULE OF INVESTMENTS (Unaudited) continued     November 30, 2022
 
 
 
    Shares Value
COMMON STOCKS – 14.5% (continued)      
Energy – 0.7% (continued)      
Legacy Reserves, Inc.*,†††   2,359 $ 20,641
Bruin E&P Partnership Units*,†††   40,617 910
Total Energy     10,321,512
Basic Materials – 0.5%      
Freeport-McMoRan, Inc.2   11,317 450,417
Air Products and Chemicals, Inc.2   1,432 444,149
DuPont de Nemours, Inc.2   6,266 441,816
Linde plc   1,276 429,348
FMC Corp.2   3,258 425,625
Newmont Corp.2   8,379 397,751
PPG Industries, Inc.2   2,872 388,352
Nucor Corp.2   2,563 384,322
CF Industries Holdings, Inc.2   3,548 383,858
Sherwin-Williams Co.2   1,527 380,498
LyondellBasell Industries N.V. — Class A2   4,333 368,348
Dow, Inc.2   7,215 367,749
Albemarle Corp.2   1,225 340,538
Celanese Corp. — Class A2   3,158 338,853
Eastman Chemical Co.2   3,908 338,511
International Flavors & Fragrances, Inc.2   3,197 338,307
Mosaic Co.2   6,541 335,553
International Paper Co.2   8,777 325,802
Ecolab, Inc.2   2,131 319,288
Schur Flexibles GmbH EUR 660
Total Basic Materials     7,199,085
Industrials – 0.0%      
Targus Inc*,†††   45,049 17,102
Targus Inc*,†††   45,049 1,328
Targus Inc*,†††   45,049 1,328
Targus Inc*,†††   45,049 436
Targus Inc*,†††   45,049 5
Targus Inc*,†††   45,049 5
Total Industrials     20,204
Total Common Stocks      
(Cost $171,564,920)     210,284,297

 

See notes to financial statements.

 

38 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
 
  Shares Value
PREFERRED STOCKS†† – 6.8%    
Financial – 6.5%    
Bank of America Corp.    
4.38% 2,925,000 $ 7,358,750
6.50%2 2,000,000 1,972,858
6.30% 1,000,000 991,000
4.13% 26,000 459,940
Wells Fargo & Co.    
4.75% 183,750 3,452,662
3.90% 3,300,000 2,875,125
4.70% 148,000 2,754,280
4.38% 50,000 880,000
First Republic Bank    
4.50% 200,000 3,720,000
4.25% 158,000 2,823,460
4.13% 84,800 1,472,976
Reinsurance Group of America, Inc.    
7.13% due 10/15/52 294,000 7,708,680
Lincoln National Corp.    
9.25% 7,200,000 7,560,000
9.00%* 1,350 35,734
Citigroup, Inc.    
3.88%2 4,000,000 3,337,500
4.15% 2,000,000 1,615,000
4.00%2 1,750,000 1,516,299
Kuvare US Holdings, Inc.    
7.00% due 02/17/515 6,400,000 6,432,000
Charles Schwab Corp.    
5.38%2 3,000,000 2,948,700
4.00%*,2 3,150,000 2,464,875
Equitable Holdings, Inc.    
4.95%2 3,650,000 3,448,885
4.30% 82,000 1,491,580
Markel Corp.    
6.00% 4,770,000 4,625,258
Public Storage    
4.63% 144,400 2,911,104
4.13% 16,400 291,428
W R Berkley Corp.    
4.13% due 03/30/61 126,000 2,438,100
4.25% due 09/30/60 36,800 733,056
PartnerRe Ltd.    
4.88% 128,000 2,571,520
JPMorgan Chase & Co.    
4.55% 49,000 955,500
4.20% 40,000 732,000
4.63% 24,000 476,160

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 39


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Shares Value
PREFERRED STOCKS†† – 6.8% (continued)    
Financial – 6.5% (continued)    
Prudential Financial, Inc.    
4.13% due 09/01/60 103,875 $ 2,041,144
American Financial Group, Inc.    
4.50% due 09/15/60 100,000 1,919,000
MetLife, Inc.    
3.85%2 1,820,000 1,652,797
CNO Financial Group, Inc.    
5.13% due 11/25/60 80,000 1,448,800
Assurant, Inc.    
5.25% due 01/15/61 58,000 1,244,100
American Equity Investment Life Holding Co.    
5.95% 46,000 999,120
Arch Capital Group Ltd.    
4.55% 38,000 731,120
Selective Insurance Group, Inc.    
4.60% 36,000 619,560
RenaissanceRe Holdings Ltd.    
4.20% 13,000 228,150
Globe Life, Inc.    
4.25% due 06/15/61 11,000 203,170
B Riley Financial, Inc.    
6.75% due 05/31/24 1,415 35,205
Total Financial   94,176,596
Government – 0.2%    
Farmer Mac    
5.75% 112,000 2,455,040
AgriBank FCB    
6.88% 4,000 397,000
Total Government   2,852,040
Consumer, Cyclical – 0.1%    
Exide Technologies*,††† 761 888,847
Total Preferred Stocks    
(Cost $114,166,523)   97,917,483
WARRANTS – 0.0%    
KKR Acquisition Holdings I Corp. – Class A    
Expiring 12/31/271 195,882 12,928
Aequi Acquisition Corp.    
Expiring 11/30/271 246,299 12,315
Conyers Park III Acquisition Corp. – Class A    
Expiring 08/12/28 33,200 8,396

 

See notes to financial statements.

 

40 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Shares Value
WARRANTS – 0.0% (continued)    
Ginkgo Bioworks Holdings, Inc.    
Expiring 08/01/26 26,852 $ 8,056
Acropolis Infrastructure Acquisition Corp. – Class A    
Expiring 03/31/261 32,766 4,446
AfterNext HealthTech Acquisition Corp. – Class A    
Expiring 07/09/231 35,766 4,292
Blue Whale Acquisition Corp. – Class A    
Expiring 07/09/231 14,324 2,435
Waverley Capital Acquisition Corp. – Class A    
Expiring 04/30/271 31,300 2,191
MSD Acquisition Corp. – Class A    
Expiring 05/13/231 23,373 1,402
RXR Acquisition Corp. – Class A    
Expiring 03/08/261 32,105 161
Colicity, Inc. – Class A    
Expiring 12/31/271 24,102 24
Pershing Square Tontine Holdings, Ltd. – Class A    
Expiring 07/24/25†††,1 115,860 12
Total Warrants    
(Cost $1,643,400)   56,658
EXCHANGE-TRADED FUNDS – 6.0%    
SPDR S&P 500 ETF Trust2 72,996 29,759,009
Invesco QQQ Trust Series2 98,441 28,878,652
iShares Russell 2000 Index ETF2 153,098 28,685,972
Total Exchange-Traded Funds    
(Cost $63,758,700)   87,323,633
CLOSED-END FUNDS – 2.4%    
BlackRock Taxable Municipal Bond Trust2 292,122 5,480,209
Nuveen Taxable Municipal Income Fund 289,790 4,694,598
Nuveen AMT-Free Municipal Credit Income Fund 292,391 3,707,518
Invesco Municipal Opportunity Trust 229,099 2,258,916
Invesco Trust for Investment Grade Municipals 212,335 2,176,434
BlackRock Corporate High Yield Fund, Inc.2 237,682 2,162,906
Blackstone Strategic Credit Fund2 186,741 2,057,886
BlackRock Credit Allocation Income Trust2 184,289 1,968,206
Invesco Municipal Trust 188,704 1,870,057
Eaton Vance Limited Duration Income Fund 141,764 1,474,346
Invesco Advantage Municipal Income Trust II 163,240 1,457,733

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 41


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Shares Value
CLOSED-END FUNDS – 2.4% (continued)    
Guggenheim Active Allocation Fund3 90,002 $ 1,255,177
BlackRock Municipal Income Trust 108,502 1,130,591
Ares Dynamic Credit Allocation Fund, Inc. 68,740 843,440
BlackRock Debt Strategies Fund, Inc.2 83,425 815,062
Western Asset High Income Opportunity Fund, Inc.2 160,170 650,290
Nuveen AMT-Free Quality Municipal Income Fund 32,289 375,198
Nuveen Quality Municipal Income Fund 26,690 316,543
BlackRock MuniVest Fund, Inc. 24,898 174,784
Total Closed-End Funds    
(Cost $42,159,755)   34,869,894
MONEY MARKET FUNDS – 0.8%    
Dreyfus Treasury Securities Cash Management Fund —    
Institutional Shares, 3.62%6 8,895,905 8,895,905
Dreyfus Treasury Obligations Cash Management Fund —    
Institutional Shares, 3.69%6 2,804,515 2,804,515
Total Money Market Funds    
(Cost $11,700,420)   11,700,420
  Face  
  Amount~  
CORPORATE BONDS†† – 47.3%    
Financial – 12.8%    
Morgan Stanley Finance LLC    
1.50% due 10/23/297 13,500,000 9,895,500
NFP Corp.    
6.88% due 08/15/285 6,925,000 5,857,373
7.50% due 10/01/302,5 3,700,000 3,551,522
Dyal Capital Partners III    
4.40% due 06/15/40††† 10,000,000 8,097,900
Accident Fund Insurance Company of America    
8.50% due 08/01/325 7,000,000 7,046,486
Wilton RE Ltd.    
6.00% †††,4,5,8 7,800,000 6,708,234
United Wholesale Mortgage LLC    
5.50% due 11/15/252,5 4,060,000 3,762,158
5.50% due 04/15/292,5 1,925,000 1,592,937
5.75% due 06/15/275 1,250,000 1,106,250
Jefferies Finance LLC / JFIN Company-Issuer Corp.    
5.00% due 08/15/282,5 7,500,000 6,237,825
Hunt Companies, Inc.    
5.25% due 04/15/292,5 7,325,000 6,075,130
Iron Mountain, Inc.    
5.63% due 07/15/322,5 6,500,000 5,742,021

 

See notes to financial statements.

 

42 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Face  
  Amount~ Value
CORPORATE BONDS†† – 47.3% (continued)    
Financial – 12.8% (continued)    
Maple Grove Funding Trust I    
4.16% due 08/15/512,5 8,000,000 $ 5,546,610
OneMain Finance Corp.    
4.00% due 09/15/302 2,200,000 1,652,185
6.13% due 03/15/24 1,500,000 1,462,950
7.13% due 03/15/26 1,100,000 1,065,674
3.88% due 09/15/28 800,000 634,720
6.63% due 01/15/28 450,000 413,775
Cushman & Wakefield US Borrower LLC    
6.75% due 05/15/282,5 4,800,000 4,584,435
National Life Insurance Co.    
10.50% due 09/15/395 3,400,000 4,525,551
Kennedy-Wilson, Inc.    
5.00% due 03/01/312 3,750,000 2,957,305
4.75% due 02/01/302 1,450,000 1,149,125
4.75% due 03/01/292 425,000 344,994
Liberty Mutual Group, Inc.    
4.30% due 02/01/615 7,300,000 4,277,508
LPL Holdings, Inc.    
4.00% due 03/15/292,5 4,172,000 3,639,382
4.38% due 05/15/315 550,000 472,843
RXR Realty LLC    
5.25% due 07/17/25††† 4,200,000 4,038,048
Hampton Roads PPV LLC    
6.62% due 06/15/53†††,5 4,680,000 3,988,310
QBE Insurance Group Ltd.    
7.50% due 11/24/434,5 3,000,000 2,988,750
5.88% 4,5,8 950,000 871,569
Ceamer Finance LLC    
6.92% due 05/15/38††† 4,000,000 3,807,760
NatWest Group plc    
7.47% due 11/10/264 3,500,000 3,647,013
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.    
4.00% due 10/15/332,5 4,031,000 2,962,785
3.88% due 03/01/315 825,000 638,175
GLP Capital Limited Partnership / GLP Financing II, Inc.    
3.25% due 01/15/32 3,250,000 2,566,341
5.30% due 01/15/29 1,050,000 987,157
Global Atlantic Finance Co.    
4.70% due 10/15/514,5 2,700,000 1,995,202
3.13% due 06/15/315 1,750,000 1,288,917
Standard Chartered plc    
7.78% due 11/16/252,4,5 3,100,000 3,197,576

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 43


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Face  
  Amount~ Value
CORPORATE BONDS†† – 47.3% (continued)    
Financial – 12.8% (continued)    
Jane Street Group / JSG Finance, Inc.    
4.50% due 11/15/292,5 3,500,000 $ 3,072,755
Host Hotels & Resorts, LP    
3.50% due 09/15/302 3,610,000 3,013,185
Toronto-Dominion Bank    
8.13% due 10/31/824 2,850,000 2,921,250
Barclays plc    
7.75% 2,4,8 3,000,000 2,880,000
HUB International Ltd.    
5.63% due 12/01/292,5 2,500,000 2,189,074
7.00% due 05/01/265 550,000 544,533
Americo Life, Inc.    
3.45% due 04/15/312,5 3,511,000 2,704,187
Sherwood Financing plc    
6.00% due 11/15/265 GBP 2,000,000 1,819,273
4.50% due 11/15/265 EUR 1,000,000 815,754
BBC Military Housing-Navy Northeast LLC    
6.30% due 10/15/49††† 2,800,000 2,630,057
Home Point Capital, Inc.    
5.00% due 02/01/262,5 4,214,000 2,539,483
Ares Finance Company IV LLC    
3.65% due 02/01/522,5 4,100,000 2,539,466
Bank of Nova Scotia    
8.63% due 10/27/824 2,150,000 2,211,528
Corebridge Financial, Inc.    
6.88% due 12/15/524,5 2,400,000 2,202,857
Lincoln National Corp.    
4.38% due 06/15/502 2,560,000 1,915,823
Fort Knox Military Housing Privatization Project    
5.82% due 02/15/525 1,853,646 1,794,199
Kane Bidco Ltd.    
5.00% due 02/15/27 EUR 2,050,000 1,726,429
AmWINS Group, Inc.    
4.88% due 06/30/295 1,725,000 1,490,627
First American Financial Corp.    
4.00% due 05/15/302 1,740,000 1,469,005
Newmark Group, Inc.    
6.13% due 11/15/23 1,450,000 1,446,331
PHM Group Holding Oy    
4.75% due 06/18/265 EUR 1,400,000 1,232,394
OneAmerica Financial Partners, Inc.    
4.25% due 10/15/505 1,730,000 1,225,547
Allianz SE    
3.50% 2,4,5,8 1,400,000 1,188,250

 

See notes to financial statements.

 

44 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Face  
  Amount~ Value
CORPORATE BONDS†† – 47.3% (continued)    
Financial – 12.8% (continued)    
Weyerhaeuser Co.    
6.88% due 12/15/332 1,100,000 $ 1,187,918
Ryan Specialty Group LLC    
4.38% due 02/01/305 1,100,000 940,500
Reinsurance Group of America, Inc.    
3.15% due 06/15/302 1,000,000 856,198
Pershing Square Holdings Ltd.    
3.25% due 10/01/31 1,100,000 823,933
PartnerRe Finance B LLC    
4.50% due 10/01/504 950,000 788,500
Alliant Holdings Intermediate LLC / Alliant Holdings Company-Issuer    
4.25% due 10/15/272,5 725,000 652,500
Fort Benning Family Communities LLC    
6.09% due 01/15/51†††,5 700,068 643,272
Pacific Beacon LLC    
5.63% due 07/15/515 673,346 622,915
Prudential Financial, Inc.    
5.13% due 03/01/524 700,000 598,434
Greystar Real Estate Partners LLC    
5.75% due 12/01/252,5 600,000 582,816
Macquarie Bank Ltd.    
3.62% due 06/03/305 640,000 518,174
Assurant, Inc.    
7.00% due 03/27/484 400,000 382,000
Atlas Mara Ltd.    
due 12/31/21†††,9,10 709,271 238,315
Fort Gordon Housing LLC    
6.32% due 05/15/51†††,5 200,000 198,936
USI, Inc.    
6.88% due 05/01/255 150,000 147,017
Total Financial   186,131,431
Consumer, Non-cyclical – 8.1%    
US Foods, Inc.    
6.25% due 04/15/252,5 3,000,000 3,028,020
4.63% due 06/01/302,5 2,500,000 2,218,525
4.75% due 02/15/292,5 2,250,000 2,005,020
CPI CG, Inc.    
8.63% due 03/15/262,5 6,348,000 6,115,749
Medline Borrower, LP    
5.25% due 10/01/292,5 5,200,000 4,238,000
3.88% due 04/01/295 2,000,000 1,719,520
Cheplapharm Arzneimittel GmbH    
5.50% due 01/15/282,5 6,945,000 5,771,910

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 45


 
 

  

SCHEDULE OF INVESTMENTS (Unaudited) continued November 30, 2022
 
 
 
  Face  
  Amount~ Value
CORPORATE BONDS†† – 47.3% (continued)    
Consumer, Non-cyclical – 8.1% (continued)    
BCP V Modular Services Finance II plc    
6.13% due 10/30/285 GBP 4,250,000 $ 4,258,670
4.75% due 10/30/285 EUR 1,550,000 1,349,990
Sabre GLBL, Inc.    
7.38% due 09/01/252,5 3,725,000 3,548,063
9.25% due 04/15/252,5 2,050,000 2,044,875
Williams Scotsman International, Inc.    
4.63% due 08/15/282,5 3,675,000 3,341,310
6.13% due 06/15/252,5 1,683,000 1,666,170
Bausch Health Companies, Inc.    
4.88% due 06/01/282,5 8,025,000 4,916,115
Sotheby’s    
7.38% due 10/15/272,5 4,899,000 4,771,602
Altria Group, Inc.    
3.70% due 02/04/512 6,000,000 3,884,926
Reynolds American, Inc.    
5.70% due 08/15/352 4,150,000 3,831,222
KeHE Distributors LLC / KeHE Finance Corp.    
8.63% due 10/15/265 3,632,000 3,577,520
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.    
4.38% due 02/02/525 4,800,000 3,489,408
Post Holdings, Inc.    
4.50% due 09/15/312,5 3,925,000 3,344,963
FAGE International S.A. / FAGE USA Dairy Industry, Inc.    
5.63% due 08/15/262,5 3,301,000 3,021,172
Rent-A-Center, Inc.    
6.38% due 02/15/292,5 3,625,000 2,981,562
Acadia Healthcare Company, Inc.    
5.00% due 04/15/292,5 2,400,000 2,214,264
5.50% due 07/01/285 550,000 517,096
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.    
5.00% due 02/01/262,5 3,000,000 2,624,656
Nathan’s Famous, Inc.    
6.63% due 11/01/255 2,676,000 2,622,480
Garden Spinco Corp.    
8.63% due 07/20/302,5 2,450,000 2,601,025
Par Pharmaceutical, Inc.    
due 04/01/275,9 3,345,000 2,517,113
DaVita, Inc.    
4.63% due 06/01/302,5 1,900,000 1,538,012
3.75% due 02/15/315 1,200,000 882,000
Avantor Funding, Inc.    
4.63% due 07/15/282,5 1,700,000 1,564,000
3.88% due 11/01/295 925,000 793,187
Castor S.p.A.    
6.25% (3 Month EURIBOR + 5.25%, Rate Floor: 5.25%) due 02/15/29◊,5 EUR 2,300,000 2,308,756

 

See notes to financial statements.

 

46 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Face  
  Amount~ Value
CORPORATE BONDS†† – 47.3% (continued)    
Consumer, Non-cyclical – 8.1% (continued)    
Sotheby’s/Bidfair Holdings, Inc.    
5.88% due 06/01/292,5 2,700,000 $ 2,247,031
Option Care Health, Inc.    
4.38% due 10/31/292,5 2,275,000 1,936,713
ADT Security Corp.    
4.13% due 08/01/292,5 1,050,000 916,450
4.88% due 07/15/322,5 1,000,000 865,210
Gartner, Inc.    
4.50% due 07/01/285 1,700,000 1,600,414
Spectrum Brands, Inc.    
5.50% due 07/15/302,5 1,700,000 1,455,846
Endo Luxembourg Finance Company I SARL / Endo US, Inc.    
due 04/01/295,9 1,900,000 1,422,777
Royalty Pharma plc    
3.55% due 09/02/502 2,100,000 1,405,168
APi Group DE, Inc.    
4.75% due 10/15/295 1,225,000 1,051,354
4.13% due 07/15/295 400,000 332,448
HealthEquity, Inc.    
4.50% due 10/01/292,5 1,550,000 1,357,955
Grifols Escrow Issuer S.A.    
4.75% due 10/15/282,5 1,350,000 1,134,513
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.    
7.00% due 12/31/275 1,038,000 861,540
5.00% due 12/31/265 250,000 227,910
TreeHouse Foods, Inc.    
4.00% due 09/01/28 1,150,000 979,766
Central Garden & Pet Co.    
4.13% due 10/15/30 625,000 520,312
4.13% due 04/30/315 400,000 330,260
AMN Healthcare, Inc.    
4.63% due 10/01/275 725,000 670,234
WW International, Inc.    
4.50% due 04/15/295 950,000 548,036
Catalent Pharma Solutions, Inc.    
3.50% due 04/01/305 625,000 509,375
Carriage Services, Inc.    
4.25% due 05/15/295 675,000 506,587
Performance Food Group, Inc.    
6.88% due 05/01/255 450,000 450,000
Prestige Brands, Inc.    
3.75% due 04/01/315 300,000 253,476
Nidda Healthcare Holding GmbH    
3.50% due 09/30/24 EUR 175,000 169,016

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 47


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Face  
  Amount~ Value
CORPORATE BONDS†† – 47.3% (continued)    
Consumer, Non-cyclical – 8.1% (continued)    
Albertsons Companies Incorporated / Safeway Inc / New Albertsons    
Limited Partnership / Albertsons LLC    
5.88% due 02/15/285 100,000 $ 95,622
Endo Dac / Endo Finance LLC / Endo Finco, Inc.    
due 07/31/275,9 181,000 25,340
Total Consumer, Non-cyclical   117,180,254
Consumer, Cyclical – 6.5%    
Delta Air Lines, Inc.    
7.00% due 05/01/252,5 10,535,000 10,735,037
JB Poindexter & Company, Inc.    
7.13% due 04/15/262,5 5,275,000 5,097,285
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.    
5.88% due 03/01/272 3,210,000 3,037,293
5.00% due 06/01/312,5 1,800,000 1,539,259
Penn Entertainment, Inc.    
4.13% due 07/01/292,5 4,925,000 4,013,875
Air Canada Class A Pass Through Trust    
5.25% due 04/01/292,5 4,042,405 3,813,154
Delta Air Lines, Inc. / SkyMiles IP Ltd.    
4.75% due 10/20/282,5 3,950,000 3,744,210
Crocs, Inc.    
4.25% due 03/15/292,5 3,188,000 2,616,252
4.13% due 08/15/312,5 1,400,000 1,118,684
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc.    
4.63% due 01/15/292,5 4,100,000 3,619,890
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.    
5.75% due 01/20/262,5 3,725,000 3,530,332
Station Casinos LLC    
4.63% due 12/01/312,5 4,200,000 3,521,238
Wabash National Corp.    
4.50% due 10/15/282,5 4,100,000 3,466,873
Live Nation Entertainment, Inc.    
6.50% due 05/15/272,5 3,350,000 3,356,342
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.    
6.50% due 06/20/272,5 3,182,500 3,166,556
Walgreens Boots Alliance, Inc.    
4.10% due 04/15/502 3,800,000 2,855,052
Air Canada    
4.63% due 08/15/295 CAD 2,900,000 1,835,876
3.88% due 08/15/262,5 825,000 754,876
PetSmart, Inc. / PetSmart Finance Corp.    
4.75% due 02/15/282,5 2,725,000 2,489,642
Aramark Services, Inc.    
6.38% due 05/01/252,5 2,300,000 2,295,446
5.00% due 02/01/285 110,000 102,869

 

See notes to financial statements.

 

48 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Face  
  Amount~ Value
CORPORATE BONDS†† – 47.3% (continued)    
Consumer, Cyclical – 6.5% (continued)    
United Airlines, Inc.    
4.63% due 04/15/292,5 2,575,000 $ 2,292,309
Scotts Miracle-Gro Co.    
4.00% due 04/01/312 2,150,000 1,634,000
4.38% due 02/01/32 700,000 538,497
HP Communities LLC    
6.82% due 09/15/53†††,5 929,348 968,565
6.16% due 09/15/53†††,5 1,000,000 930,750
Yum! Brands, Inc.    
4.63% due 01/31/322 1,987,000 1,758,495
Superior Plus Limited Partnership / Superior General Partner, Inc.    
4.50% due 03/15/292,5 2,000,000 1,707,901
Hyatt Hotels Corp.    
5.75% due 04/23/302 1,690,000 1,677,184
Michaels Companies, Inc.    
5.25% due 05/01/282,5 2,200,000 1,611,357
CD&R Smokey Buyer, Inc.    
6.75% due 07/15/252,5 1,650,000 1,462,312
Wyndham Hotels & Resorts, Inc.    
4.38% due 08/15/282,5 1,625,000 1,453,175
1011778 BC ULC / New Red Finance, Inc.    
3.88% due 01/15/282,5 850,000 758,614
4.00% due 10/15/305 725,000 610,566
Boyne USA, Inc.    
4.75% due 05/15/295 1,250,000 1,112,400
Hilton Domestic Operating Company, Inc.    
3.63% due 02/15/325 1,350,000 1,111,468
Clarios Global, LP / Clarios US Finance Co.    
8.50% due 05/15/275 1,050,000 1,027,537
Wolverine World Wide, Inc.    
4.00% due 08/15/295 1,350,000 999,000
Vail Resorts, Inc.    
6.25% due 05/15/255 1,000,000 998,960
Clarios Global, LP    
6.75% due 05/15/255 990,000 989,369
Six Flags Theme Parks, Inc.    
7.00% due 07/01/255 969,000 971,399
Tempur Sealy International, Inc.    
3.88% due 10/15/315 700,000 543,417
4.00% due 04/15/295 500,000 414,537
Allison Transmission, Inc.    
3.75% due 01/30/315 1,100,000 921,151
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc.    
6.63% due 03/01/305 850,000 715,040

 

See notes to financial statements.

 

GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT l 49


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Face  
  Amount~ Value
CORPORATE BONDS†† – 47.3% (continued)    
Consumer, Cyclical – 6.5% (continued)    
United Airlines Class AA Pass Through Trust    
3.45% due 12/01/27 452,195 $ 408,995
Superior Plus, LP    
4.25% due 05/18/285 CAD 350,000 219,313
Hanesbrands, Inc.    
4.88% due 05/15/265 225,000 204,750
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.    
5.38% due 04/01/265 150,000 138,000
Exide Technologies    
due 10/31/24†††,9 2,353,687 2
Total Consumer, Cyclical   94,889,104
Communications – 5.7%    
Altice France S.A.    
5.50% due 10/15/292,5 8,175,000 6,555,859
5.13% due 07/15/292,5 3,025,000 2,384,033
8.13% due 02/01/275 1,300,000 1,238,250
McGraw-Hill Education, Inc.    
8.00% due 08/01/292,5 6,300,000 5,345,676
5.75% due 08/01/282,5 3,525,000 3,132,844
Cogent Communications Group, Inc.    
7.00% due 06/15/272,5 7,500,000 7,312,500
VZ Secured Financing BV    
5.00% due 01/15/322,5 6,850,000 5,668,375
British Telecommunications plc    
4.88% due 11/23/812,4,5 5,550,000 4,479,891
4.25% due 11/23/814,5 950,000 798,947
Paramount Global    
4.95% due 05/19/502 6,390,000 4,749,676
Cengage Learning, Inc.    
9.50% due 06/15/242,5 4,976,000 4,720,980
UPC Broadband Finco BV    
4.88% due 07/15/312,5 4,550,000 3,890,773
LCPR Senior Secured Financing DAC    
6.75% due 10/15/272,5 2,114,000 1,999,696
5.13% due 07/15/292,5 1,900,000 1,570,424
Corning, Inc.    
4.38% due 11/15/572 4,100,000 3,233,786
Vodafone Group plc    
5.13% due 06/04/812,4 4,100,000 2,924,694
AMC Networks, Inc.    
4.25% due 02/15/292 3,450,000 2,571,526

 

See notes to financial statements.

 

50 l GOF l GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT


 
 

 

 

     
SCHEDULE OF INVESTMENTS (Unaudited) continued   November 30, 2022
 
 
 
  Face  
  Amount~ Value
CORPORATE BONDS†† – 47.3% (continued)    
Communications – 5.7% (continued)    
CCO Holdings LLC / CCO Holdings Capital Corp.    
4.50% due 06/01/332,5 1,225,000 $ 972,172
4.25% due 02/01/315 850,000 690,030
4.25% due 01/15/345 750,000 584,250
4.50% due 05/01/32 325,000 268,211
Ciena Corp.    
4.00% due 01/31/302,5 2,150,000 1,803,312
Rogers Communications, Inc.    
4.55% due 03/15/525 2,200,000 1,790,676
TripAdvisor, Inc.    
7.00% due 07/15/255 1,575,000 1,555,497
Level 3 Financing, Inc.    
3.63% due 01/15/292,5 1,500,000 1,107,600
3.75% due 07/15/295 600,000 433,905
Vmed O2 UK Financing I plc    
4.25% due 01/31/315 1,225,000 983,369
4.75% due 07/15/315 650,000 540,052
Radiate Holdco LLC / Radiate Finance, Inc.    
4.50% due 09/15/262,5 1,800,000 1,471,860
Charter Communications Operating LLC / Charter Communications Operating Capital    
3.90% due 06/01/52 2,000,000 1,328,400
CSC Holdings LLC    
4.63% due 12/01/302,5 1,913,000 1,213,143
Virgin Media Secured Finance plc    
4.50% due 08/15/305 1,200,000 1,002,157
Zayo Group Holdings, Inc.    
4.00% due 03/01/275 1,050,000 752,083