UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC  20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number
811-21982
   
Guggenheim Strategic Opportunities Fund
(Exact name of registrant as specified in charter)
227 West Monroe Street, Chicago, IL 60606
(Address of principal executive offices) (Zip code)
Amy J. Lee
227 West Monroe Street, Chicago, IL 60606
(Name and address of agent for service)

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

Date of fiscal year end: May 31
Date of reporting period: December 1, 2017 – February 28, 2018

Item 1. Schedule of Investments.
Attached hereto.

Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
February 28, 2018

 
Shares 
  Value 
COMMON STOCKS† - 0.2% 
 
 
Energy - 0.1% 
 
 
SandRidge Energy, Inc.* 
41,086 
$ 577,669 
Approach Resources, Inc.* 
57,880 
168,431 
Titan Energy LLC* 
9,603 
7,202 
Total Energy 
 
753,302 
Technology - 0.1% 
 
 
Aspect Software Parent, 
 
 
Inc.*,†††,1,2 
40,745 
200,060 
Aspect Software Parent, 
 
 
Inc.*,†††,1,2 
15,032 
73,807 
Qlik Technologies, Inc.*,†††,1 
56 
63,588 
Qlik Technologies, Inc.*,†††,1 
13,812 
5,812 
Qlik Technologies, Inc.*,†† 
3,600 
– 
Total Technology 
 
343,267 
Communications - 0.0%**
 
 
Cengage Learning Acquisitions, 
 
 
Inc.*,†† 
11,126 
63,975 
Consumer, Non-cyclical - 0.0%**
 
 
Targus Group International 
 
 
Equity, Inc*,†††,1,2 
12,989 
31,357 
Industrial – 0.0%**
 
 
Carey International, Inc.*,†††,1 
6 
– 
Total Common Stocks 
 
 
(Cost $2,757,829) 
 
1,191,901 
PREFERRED STOCKS† - 1.2% 
 
 
Financial - 0.8% 
 
 
Morgan Stanley 5.85%3,4 
110,000 
2,924,900 
Public Storage 5.40%3 
41,000 
1,045,500 
Total Financial 
 
3,970,400 
Industrial - 0.3% 
 
 
Seaspan Corp. 6.38%3
52,750 
1,341,433 
Government - 0.1% 
 
 
AgriBank FCB 6.88%3,4,11
4,000 
432,000 
Total Preferred Stocks 
 
 
(Cost $5,411,779) 
 
5,743,833 
MONEY MARKET FUND† - 2.5% 
 
 
Dreyfus Treasury Prime 
 
 
Cash Management 
 
 
Institutional Shares 1.31%5 
12,415,133 
12,415,133 
Total Money Market Fund 
 
 
(Cost $12,415,133) 
 
12,415,133 
     
 
Face 
 
 
Amount~ 
 
SENIOR FLOATING RATE INTERESTS††,15 - 34.6% 
 
Industrial - 7.7% 
 
 
Tronair Parent, Inc. 
 
 
6.56% (1 Month USD LIBOR 
 
 
+ 4.75%) and (3 Month 
 
 
USD LIBOR + 4.75%) due 
 
 
09/08/23 
3,176,082 
3,152,261 
ILPEA Parent, Inc. 
 
 
7.15% (1 Month USD LIBOR 
 
 
+ 5.50%) due 03/02/23 
2,649,375 
2,649,375 
Alion Science & Technology 
 
 
Corp. 
 
 
6.15% (1 Month USD LIBOR 
 
 
+ 4.50%) due 08/19/21 
2,355,434 
2,355,434 
     
 
Face 
 
 
Amount~ 
Value 
SENIOR FLOATING RATE INTERESTS††,15 - 34.6% 
 
(continued) 
 
 
Industrial - 7.7% 
 
 
(continued) 
 
 
American Bath Group LLC 
 
 
6.94% (3 Month USD LIBOR 
 
 
+ 5.25%) due 09/30/23 
2,177,945 
$2,198,810 
SRS Distribution, Inc. 
 
 
10.40% (1 Month USD LIBOR 
 
 
+ 8.75%) due 02/24/23 
2,030,000 
2,083,287 
Transcendia Holdings, Inc. 
 
 
5.15% (1 Month USD LIBOR 
 
 
+ 3.50%) due 05/30/24 
1,995,000 
2,003,738 
Imagine Print Solutions LLC 
 
 
6.45% (3 Month USD LIBOR 
 
 
+ 4.75%) due 06/21/22 
1,985,000 
1,875,825 
Bioplan / Arcade 
 
 
6.40% (1 Month USD LIBOR 
 
 
+ 4.75%) due 09/23/21 
1,944,838 
1,859,752 
Advanced Integration 
 
 
Technology LP 
 
 
6.72% (1 Month USD LIBOR 
 
 
+ 4.75%) and (3 Month 
 
 
USD LIBOR + 4.75%) due 
 
 
04/03/23 
1,780,391 
1,789,293 
Capstone Logistics 
 
 
6.15% (1 Month USD LIBOR 
 
 
+ 4.50%) due 10/07/21 
1,484,176 
1,465,001 
National Technical 
 
 
7.82% (1 Month USD LIBOR 
 
 
+ 6.25%) due 
 
 
06/12/21†††,1 
1,395,061 
1,360,185 
Endries Acquisition Holdings, 
 
 
Inc. 
 
 
6.33% (1 Month USD LIBOR 
 
 
+ 4.75%) due 
 
 
06/01/23†††,1 
1,243,750 
1,232,857 
HBC Hardware Holdings 
 
 
8.19% (3 Month USD LIBOR 
 
 
+ 6.50%) due 03/30/20 
1,226,250 
1,189,462 
Amspec Services, Inc. 
 
 
6.17% (3 Month USD LIBOR 
 
 
+ 4.50%) due 07/01/22 
1,182,181 
1,176,270 
Zodiac Pool Solutions LLC 
 
 
5.69% (3 Month USD LIBOR 
 
 
+ 4.00%) due 12/20/23 
1,171,260 
1,171,260 
Duran, Inc. 
 
 
5.63% (3 Month USD LIBOR 
 
 
+ 4.00%) due 12/20/24 
550,000 
551,375 
5.71% (3 Month USD LIBOR 
 
 
+ 4.00%) due 03/29/24 
501,648 
502,902 
ProAmpac PG Borrower LLC 
 
 
10.09% (1 Month USD LIBOR 
 
 
+ 8.50%) due 11/18/24 
1,000,000 
1,018,130 
Diversitech Holdings, Inc. 
 
 
9.20% (3 Month USD LIBOR 
 
 
+ 7.50%) due 06/02/25 
1,000,000 
1,008,750 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
February 28, 2018
     
DAE Aviation 
 
 
5.40% (1 Month USD LIBOR 
 
 
+ 3.75%) due 07/07/22 
997,449 
1,005,558 
Arctic Long Carriers 
 
 
6.15% (1 Month USD LIBOR 
 
 
+ 4.50%) due 05/18/23 
995,000 
1,004,950 
 
 
Face 
 
 
Amount~ 
Value 
SENIOR FLOATING RATE INTERESTS††,15 - 34.6% 
 
(continued) 
 
 
Industrial - 7.7% 
 
 
(continued) 
 
 
Hayward Industries, Inc. 
 
 
9.90% (1 Month USD LIBOR 
 
 
+ 8.25%) due 08/04/25 
1,000,000 
$990,000 
CPM Holdings 
 
 
5.15% (1 Month USD LIBOR 
 
 
+ 3.50%) due 04/11/22 
976,431 
987,416 
Resource Label Group LLC 
 
 
6.19% (3 Month USD LIBOR 
 
 
+ 4.50%) due 05/26/23 
988,939 
969,161 
Fortis Solutions Group LLC 
 
 
6.09% (1 Month USD LIBOR 
 
 
+ 4.50%) due 
 
 
12/15/23†††,1 
591,822 
591,822 
Dimora Brands, Inc. 
 
 
5.65% (1 Month USD LIBOR 
 
 
+ 4.00%) due 08/24/24 
498,750 
503,114 
SI Organization 
 
 
6.44% (3 Month USD LIBOR 
 
 
+ 4.75%) due 11/23/19 
490,219 
492,057 
Ranpak 
 
 
8.84% (1 Month USD LIBOR 
 
 
+ 7.25%) due 10/03/22 
427,778 
429,917 
CPM Holdings, Inc. 
 
 
5.15% (1 Month USD LIBOR 
 
 
+ 3.50%) due 04/11/22 
180,000 
182,025 
NaNa Development Corp. 
 
 
8.37% (3 Month USD LIBOR 
 
 
+ 6.75%) due 
 
 
03/15/18†††,1 
16,947 
16,778 
Carey International, Inc. 
 
 
9.00% (3 Month USD LIBOR 
 
 
+ 9.00%) due 
 
 
05/23/20†††,1 
50,742 
6,010 
Total Industrial 
 
37,822,775 
Consumer, Non-cyclical - 6.5% 
 
 
Copernicus Group, Inc. 
 
 
6.69% (3 Month USD LIBOR 
 
 
+ 5.00%) due 08/15/22 
2,960,927 
2,964,629 
Reddy Ice Holdings, Inc. 
 
 
7.26% (3 Month USD LIBOR 
 
 
+ 5.50%) and 
 
 
(Commercial Prime 
 
 
Lending Rate + 4.50%) 
 
 
due 05/01/19 
2,242,471 
2,242,471 
Immucor, Inc. 
 
 
6.65% (2 Month USD LIBOR 
 
 
+ 5.00%) due 06/15/21 
1,990,000 
2,024,825 
CTI Foods Holding Co. LLC 
 
 
5.15% (1 Month USD LIBOR 
 
 
+ 3.50%) due 06/29/20 
1,225,000 
1,104,031 
8.90% (1 Month USD LIBOR 
 
 
+ 7.25%) due 06/28/21 
1,105,000 
817,700 
Pelican Products, Inc. 
 
 
5.94% (3 Month USD LIBOR 
 
 
+ 4.25%) due 04/10/20 
1,765,886 
1,772,508 
Endo Luxembourg Finance Co. 
 
 
5.94% (1 Month USD LIBOR 
 
 
+ 4.25%) due 04/29/24 
1,691,500 
1,686,848
 
 
Face 
 
 
Amount~ 
Value 
SENIOR FLOATING RATE INTERESTS††,15 - 34.6% 
 
(continued) 
 
 
Consumer, Non-cyclical - 
 
 
 6.5% (continued) 
 
 
Chef's Warehouse Parent LLC 
 
 
5.65% (1 Month USD LIBOR 
 
 
+ 4.00%) due 06/22/22 
1,610,957 
$1,623,039 
Touchtunes Interactive 
 
 
Network 
 
 
6.40% (1 Month USD LIBOR 
 
 
+ 4.75%) due 05/28/21 
1,582,080 
1,588,013 
MDVIP LLC 
 
 
5.84% (1 Month USD LIBOR 
 
 
+ 4.25%) due 11/14/24 
1,500,000 
1,500,000 
BCPE Eagle Buyer LLC 
 
 
5.98% (1 Month USD LIBOR 
 
 
+ 4.25%) and (3 Month 
 
 
USD LIBOR + 4.25%) due 
 
 
03/18/24 
1,490,246 
1,475,344 
Arctic Glacier Group Holdings, 
 
 
Inc. 
 
 
5.90% (1 Month USD LIBOR 
 
 
+ 4.25%) due 03/20/24 
1,241,872 
1,243,946 
Sho Holding I Corp. 
 
 
6.79% (2 Month USD LIBOR 
 
 
+ 5.00%) due 10/27/22 
1,218,078 
1,157,174 
IHC Holding Corp. 
 
 
8.44% (3 Month USD LIBOR 
 
 
+ 6.75%) due 
 
 
04/30/21†††,1 
949,144 
941,625 
8.35% (3 Month USD LIBOR 
 
 
+ 6.75%) due 
 
 
04/30/21†††,1 
182,187 
180,744 
RESIC Enterprises, LLC (Lyons 
 
 
Magnus, Inc.) 
 
 
5.90% (1 Month USD LIBOR 
 
 
+ 4.25%) due 11/11/24 
1,050,000 
1,063,125 
Avantor, Inc. 
 
 
5.65% (1 Month USD LIBOR 
 
 
+ 4.00%) due 11/21/24 
1,000,000 
1,009,580 
Alegeus Technologies LLC 
 
 
6.69% (3 Month USD LIBOR 
 
 
+ 5.00%) due 
 
 
04/28/23†††,1 
995,000 
986,447 
Tecbid US, Inc. 
 
 
5.94% (3 Month USD LIBOR 
 
 
+ 4.25%) due 07/25/24 
988,890 
986,418 
Springs Industries, Inc. 
 
 
8.15% (1 Month USD LIBOR 
 
 
+ 6.50%) due 
 
 
06/01/21†††,1 
985,000 
985,000 
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
February 28, 2018

Affordable Care Holding 
 
 
6.40% (2 Month USD LIBOR 
 
 
+ 4.75%) due 10/24/22 
980,000 
982,450 
Give and Go Prepared Foods 
 
 
Corp. 
 
 
6.19% (1 Month USD LIBOR 
 
 
+ 4.25%) and (3 Month 
 
 
USD LIBOR + 4.25%) due 
 
 
07/29/23 
837,900 
839,995 
Melissa & Doug LLC 
 
 
5.44% (3 Month USD LIBOR 
 
 
+ 3.75%) due 06/19/24 
796,000 
805,950 
Certara, Inc. 
 
 
5.69% (3 Month USD LIBOR 
 
 
+ 4.00%) due 08/15/24 
543,750 
549,187 
 
 
Face 
 
 
Amount~ 
Value 
SENIOR FLOATING RATE INTERESTS††,15 - 34.6% 
 
(continued) 
 
 
Consumer, Non-cyclical - 
 
 
 6.5% (continued) 
 
 
Packaging Coordinators Midco, 
 
 
Inc. 
 
 
5.78% (3 Month USD LIBOR 
 
 
+ 4.00%) due 06/30/23 
473,797 
$475,873 
NES Global Talent 
 
 
7.27% (3 Month USD LIBOR 
 
 
+ 5.50%) due 10/03/19 
300,530 
282,498 
Nellson Nutraceutical (US) 
 
 
5.94% (3 Month USD LIBOR 
 
 
+ 4.25%) due 12/23/21 
268,228 
268,228 
Examworks Group, Inc. 
 
 
4.86% (1 Month USD LIBOR 
 
 
+ 3.75%) due 
 
 
07/27/21†††,1 
166,667 
149,987 
Nellson Nutraceutical (CAD) 
 
 
5.94% (3 Month USD LIBOR 
 
 
+ 4.25%) due 12/23/21 
110,265 
110,265 
Targus Group International, Inc. 
 
 
15.00% (Prime Rate + 10.50%)
    
due 05/24/16†††,1,2,7
155,450 
– 
Total Consumer, Non-cyclical 
 
31,817,900 
Technology - 6.1% 
 
 
Planview, Inc. 
 
 
6.82% (3 Month USD LIBOR 
 
 
+ 5.25%) due 
 
 
01/27/23†††,1 
997,500 
987,966 
6.90% (1 Month USD LIBOR 
 
 
+ 5.25%) due 
 
 
01/27/23†††,1 
992,500 
983,014 
11.40% (1 Month USD LIBOR 
 
 
+ 9.75%) due 
 
 
07/27/23†††,1 
900,000 
888,802 
TIBCO Software, Inc. 
 
 
5.15% (1 Month USD LIBOR 
 
 
+ 3.50%) due 12/04/20 
2,378,145 
2,383,091 
Fourth Hospitality
 
 
7.25% (3 Month USD LIBOR 
 
 
+ 6.25%) due 
 
 
07/15/21†††,1 
GBP 1,650,000 
2,250,397 
LANDesk Group, Inc. 
 
 
5.90% (1 Month USD LIBOR 
 
 
+ 4.25%) due 01/20/24 
2,253,916 
2,213,255 
Cvent, Inc. 
 
 
5.40% (1 Month USD LIBOR 
 
 
+ 3.75%) due 11/29/24 
2,000,000 
2,014,160 
Severin Acquisition LLC 
 
 
6.53% (1 Month USD LIBOR 
 
 
+ 4.88%) due 07/30/21 
977,500 
977,500 
6.65% (1 Month USD LIBOR 
 
 
+ 5.00%) due 07/30/21 
576,240 
576,240 
7.03% (1 Month USD LIBOR 
 
 
+ 5.38%) due 07/30/21 
246,875 
248,109 
Ministry Brands LLC 
 
 
6.65% (1 Month USD LIBOR 
 
 
+ 5.00%) due 12/02/22 
1,490,561 
1,483,109 
6.67% (3 Month USD LIBOR 
 
 
+ 5.00%) due 12/02/22 
187,585 
186,647 
 
 
Face 
 
 
Amount~ 
Value 
SENIOR FLOATING RATE INTERESTS††,15 - 34.6% 
 
(continued) 
 
 
Technology - 6.1% 
 
 
(continued) 
 
 
Bullhorn, Inc. 
 
 
8.64% (3 Month USD LIBOR 
 
 
+ 6.75%) due 
 
 
11/21/22†††,1 
1,618,889 
$1,608,501 
Aspect Software, Inc. 
 
 
12.15% (1 Month USD LIBOR 
 
 
+ 10.50%) due 05/25/202
888,924 
886,702 
12.10% (1 Month USD LIBOR 
 
 
+ 10.50%) due 
 
 
05/25/18†††,1,2 
609,375 
609,375 
Viewpoint, Inc. 
 
 
5.94% (3 Month USD LIBOR 
 
 
+ 4.25%) due 07/19/24 
1,396,500 
1,398,246 
Advanced Computer Software 
 
 
11.37% (3 Month USD LIBOR 
 
 
+ 9.50%) due 01/31/23 
1,250,000 
1,231,250 
7.37% (3 Month USD LIBOR 
 
 
+ 5.50%) due 03/18/22 
98,664 
98,664 
CPI Acquisition, Inc. 
 
 
6.36% (3 Month USD LIBOR 
 
 
+ 4.50%) due 08/17/22 
1,691,782 
1,306,055 
MRI Software LLC 
 
 
7.95% (3 Month USD LIBOR 
 
 
+ 6.25%) due 06/30/23 
1,101,125 
1,090,114 
7.83% (3 Month USD LIBOR 
 
 
+ 6.25%) due 06/30/23 
55,417 
54,862 
7.00% (3 Month USD LIBOR 
 
 
+ 6.25%) due 
 
 
06/30/23†††,1 
55,556 
– 
EIG Investors Corp. 
 
 
5.95% (1 Month USD LIBOR 
 
 
+ 4.00%) and (3 Month 
 
 
USD LIBOR + 4.00%) due 
 
 
02/09/23 
1,058,972 
1,064,649 
Project Accelerate Parent, LLC 
 
 
5.94% (3 Month USD LIBOR 
 
 
+ 4.25%) due 01/02/25 
1,000,000 
1,010,000 
Palermo Finance Corp. 
 
 
6.22% (2 Month USD LIBOR 
 
 
+ 4.50%) and (3 Month 
 
 
USD LIBOR + 4.50%) due 
 
 
04/17/23†††,1 
995,000 
986,540 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
February 28, 2018

     
Lytx, Inc. 
 
 
8.44% (1 Month USD LIBOR 
 
 
+ 6.75%) due 
 
 
08/31/23†††,1 
945,000 
923,568 
Cologix Holdings, Inc. 
 
 
8.65% (1 Month USD LIBOR 
 
 
+ 7.00%) due 03/20/25 
750,000 
763,125 
Greenway Health LLC 
 
 
5.94% (3 Month USD LIBOR 
 
 
+ 4.25%) due 02/16/24 
597,000 
600,480 
GlobalLogic Holdings, Inc. 
 
 
5.44% (2 Month USD LIBOR 
 
 
+ 3.75%) due 06/20/22 
487,505 
489,943 
Total Technology 
 
29,314,364
Consumer, Cyclical - 5.6% 
 
 
BBB Industries, LLC 
 
 
6.15% (1 Month USD LIBOR 
 
 
+ 4.50%) due 11/03/21 
2,848,394 
2,867,393 
 
 
Face 
 
 
Amount~ 
Value 
SENIOR FLOATING RATE INTERESTS††,15 - 34.6% 
 
(continued) 
 
 
Consumer, Cyclical - 5.6% 
 
 
(continued) 
 
 
Mavis Tire 
 
 
6.83% (1 Month USD LIBOR 
 
 
+ 5.25%) due 
 
 
10/31/21†††,1 
2,288,271 
$2,266,227 
K & N Parent, Inc. 
 
 
6.40% (1 Month USD LIBOR 
 
 
+ 4.75%) due 10/20/23 
1,980,000 
1,980,000 
Big Jack Holdings LP 
 
 
5.65% (1 Month USD LIBOR 
 
 
+ 4.00%) due 04/05/24 
1,945,135 
1,969,449 
Blue Nile, Inc. 
 
 
8.19% (3 Month USD LIBOR 
 
 
+ 6.50%) due 02/17/23 
1,950,000 
1,959,750 
AT Home Holding III 
 
 
5.27% (3 Month USD LIBOR 
 
 
+ 3.50%) due 06/03/22 
1,945,000 
1,949,862 
Boot Barn Holdings, Inc. 
 
 
6.19% (3 Month USD LIBOR 
 
 
+ 4.50%) due 
 
 
06/29/21†††,1 
1,865,000 
1,846,350 
Truck Hero, Inc. 
 
 
5.64% (3 Month USD LIBOR 
 
 
+ 4.00%) due 04/22/24 
1,773,045 
1,781,361 
Apro LLC 
 
 
5.59% (1 Month USD LIBOR 
 
 
+ 4.00%) due 08/08/24 
1,175,000 
1,180,875 
Toys 'R' US, Inc. 
 
 
8.40% (1 Month USD LIBOR 
 
 
+ 6.75%) due 01/18/19 
1,175,000 
1,147,094 
LegalZoom.com, Inc. 
 
 
6.09% (1 Month USD LIBOR 
 
 
+ 4.50%) due 11/21/24 
1,050,000 
1,055,250 
Sears Roebuck Acceptance 
 
 
Corp. 
 
 
6.08% (1 Month USD LIBOR 
 
 
+ 4.50%) due 01/20/19 
1,053,938 
1,048,226 
SMG US Midco 2, Inc. 
 
 
4.89% (2 Month USD LIBOR 
 
 
+ 3.25%) due 01/23/25 
1,000,000 
1,007,500 
Galls LLC 
 
 
8.02% (3 Month USD LIBOR 
 
 
+ 6.25%) due 01/31/25 
910,263 
900,022 
Checkers Drive-In Restaurants, 
 
 
Inc. 
 
 
5.90% (1 Month USD LIBOR 
 
 
+ 4.25%) due 04/25/24 
895,500 
895,500 
Lands' End, Inc. 
 
 
4.82% (1 Month USD LIBOR 
 
 
+ 3.25%) due 04/02/21 
949,611 
868,894 
Belk, Inc. 
 
 
6.46% (3 Month USD LIBOR 
 
 
+ 4.75%) due 12/12/22 
919,513 
794,992 
ABRA Auto Body 
 
 
9.14% (3 Month USD LIBOR 
 
 
+ 7.25%) due 09/19/22 
500,000 
500,835 
 
 
 
Face 
 
 
Amount~ 
Value 
SENIOR FLOATING RATE INTERESTS††,15 - 34.6% 
 
(continued) 
 
 
Consumer, Cyclical - 5.6% 
 
 
(continued) 
 
 
Acosta, Inc. 
 
 
5.06% (1 Month USD LIBOR 
 
 
+ 3.25%) and 
 
 
(Commercial Prime 
 
 
Lending Rate + 2.25%) 
 
 
due 09/26/19 
415,556 
$365,689 
4.94% (3 Month USD LIBOR 
 
 
+ 3.25%) and 
 
 
(Commercial Prime 
 
 
Lending Rate + 2.25%) 
 
 
due 09/26/19 
122,222 
107,556 
Talbots, Inc. 
 
 
6.15% (1 Month USD LIBOR 
 
 
+ 4.50%) due 03/19/20 
457,871 
449,859 
EG Finco Ltd. 
 
 
4.00% (3 Month USD LIBOR 
 
 
+ 4.00%) due 02/01/25 
300,000 
299,850 
CH Holding Corp. 
 
 
8.90% (1 Month USD LIBOR 
 
 
+ 7.25%) due 02/03/25 
200,000 
202,500 
Total Consumer, Cyclical 
 
27,445,034 
Basic Materials - 2.7% 
 
 
A-Gas Ltd. 
 
 
6.44% (3 Month USD LIBOR 
 
 
+ 4.75%) due 
 
 
08/11/24†††,1 
2,421,997 
2,377,400 
PetroChoice Holdings 
 
 
6.79% (1 Month USD LIBOR 
 
 
+ 5.00%) and (2 Month 
 
 
USD LIBOR + 5.00%) due 
 
 
08/19/22 
2,061,180 
2,071,486 
ICP Industrial, Inc. 
 
 
5.58% (1 Month USD LIBOR 
 
 
+ 4.00%) due 11/03/23 
1,979,314 
1,969,417 
Niacet Corp. 
 
 
6.19% (3 Month USD LIBOR 
 
 
+ 4.50%) due 02/01/24 
1,687,250 
1,687,250 
EP Minerals LLC 
 
 
6.48% (3 Month USD LIBOR 
 
 
+ 4.50%) due 08/20/20 
1,546,878 
1,551,720 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
February 28, 2018

     
Hoffmaster Group, Inc. 
 
 
6.19% (3 Month USD LIBOR 
 
 
+ 4.50%) due 11/21/23 
1,092,741 
1,102,302 
GrafTech Finance, Inc. 
 
 
5.08% (3 Month USD LIBOR 
 
 
+ 3.50%) due 02/12/25 
1,000,000 
998,750 
Niacet B.V. 
 
 
5.50% (3 Month EURIBOR + 
 
 
4.50%) due 02/01/24 
EUR 794,000 
968,647 
Big River Steel LLC 
 
 
6.69% (3 Month USD LIBOR 
 
 
+ 5.00%) due 08/23/23 
498,750 
506,232 
Noranda Aluminum Acquisition 
 
 
Corp. 
 
 
7.75% (Commercial Prime 
 
 
Lending Rate + 3.50%) 
 
 
due 02/28/19 
551,369 
16,541 
Total Basic Materials 
 
13,249,745 
Communications - 2.6% 
 
 
Market Track LLC 
 
 
5.94% (3 Month USD LIBOR 
 
 
+ 4.25%) due 06/05/24 
2,139,250 
2,133,902 
Anaren, Inc. 
 
 
9.94% (3 Month USD LIBOR 
 
 
+ 8.25%) due 08/18/21 
1,000,000 
998,750 
6.19% (3 Month USD LIBOR 
 
 
+ 4.50%) due 02/18/21 
919,676 
917,376 
 
 
Face 
 
 
Amount~ 
Value 
SENIOR FLOATING RATE INTERESTS††,15 - 34.6% 
 
(continued) 
 
 
Communications - 2.6% 
 
 
(continued) 
 
 
Dominion Web Solutions LLC 
 
 
7.60% (1 Month USD LIBOR 
 
 
+ 6.00%) due 
 
 
06/15/24†††,1 
1,875,192 
$1,845,946 
Houghton Mifflin Co. 
 
 
4.65% (1 Month USD LIBOR 
 
 
+ 3.00%) due 05/28/21 
1,735,634 
1,630,767 
Cengage Learning Acquisitions, 
 
 
Inc. 
 
 
5.84% (1 Month USD LIBOR 
 
 
+ 4.25%) due 06/07/23 
1,685,939 
1,547,321 
Comet Bidco Ltd. 
 
 
6.00% (3 Month USD LIBOR 
 
 
+ 5.00%) due 10/31/24 
1,500,000 
1,475,625 
TVC Albany, Inc. 
 
 
5.69% (3 Month USD LIBOR 
 
 
+ 4.00%) due 09/18/24 
1,130,268 
1,135,919 
Proquest LLC 
 
 
5.40% (1 Month USD LIBOR 
 
 
+ 3.75%) due 10/24/21 
393,828 
398,629 
10.65% (1 Month USD LIBOR 
 
 
+ 9.00%) due 12/15/22 
332,000 
335,320 
Mcgraw-Hill Global Education 
 
 
Holdings LLC 
 
 
5.65% (1 Month USD LIBOR 
 
 
+ 4.00%) due 05/04/22 
496,222 
488,510 
Total Communications 
 
12,908,065 
Utilities - 1.5% 
 
 
Thor Bidco (Morrison Utility) 
 
 
5.52% (3 Month USD LIBOR 
 
 
+ 5.00%) due 09/20/23 
GBP 1,400,000 
1,927,499 
Invenergy Thermal 
 
 
7.19% (3 Month USD LIBOR 
 
 
+ 5.50%) due 10/19/22 
1,510,708 
1,431,395 
Panda Power 
 
 
8.19% (3 Month USD LIBOR 
 
 
+ 6.50%) due 08/21/20 
1,230,373 
1,148,344 
Bhi Investments LLC 
 
 
10.59% (3 Month USD LIBOR 
 
 
+ 8.75%) due 02/28/25 
1,000,000 
990,000 
Exgen Texas Power LLC 
 
 
due 09/18/217 
1,120,573 
681,678 
Panda Moxie Patriot 
 
 
7.44% (3 Month USD LIBOR 
 
 
+ 5.75%) due 12/19/20 
519,750 
514,553 
Lone Star Energy 
 
 
6.01% (3 Month USD LIBOR 
 
 
+ 4.25%) due 02/22/21 
286,649 
283,513 
Panda Temple II Power 
 
 
7.69% (3 Month USD LIBOR 
 
 
+ 6.00%) due 04/03/19 
284,856 
261,591 
Total Utilities 
 
7,238,573 
Financial - 0.9% 
 
 
Jane Street Group LLC 
 
 
5.37% (3 Month USD LIBOR 
 
 
+ 4.50%) due 08/25/22 
1,934,375 
1,942,229 
 
 
Face 
 
 
Amount~ 
Value 
SENIOR FLOATING RATE INTERESTS††,15 - 34.6% 
(continued) 
 
 
Financial - 0.9% (continued) 
 
 
American Stock Transfer & 
 
 
Trust 
 
 
6.20% (3 Month USD LIBOR 
 
 
+ 4.50%) due 06/26/20 
1,438,644 
$1,437,449 
Institutional Shareholder 
 
 
Services 
 
 
5.47% (3 Month USD LIBOR 
 
 
+ 3.75%) due 10/16/24 
458,333 
459,479 
PT Intermediate Holdings III 
 
 
LLC 
 
 
9.65% (2 Month USD LIBOR 
 
 
+ 8.00%) due 12/08/25 
400,000 
402,000 
Total Financial 
 
4,241,157 
Bank Loans - 0.7% 
 
 
Accuride Corp. 
 
 
6.94% (3 Month USD LIBOR 
 
 
+ 5.25%) due 11/17/23 
3,435,338 
3,495,457 
Energy - 0.3% 
 
 
PSS Companies 
 
 
6.34% (3 Month USD LIBOR 
 
 
+ 4.50%) due 01/28/20 
1,833,528 
1,769,354 
Total Senior Floating Rate Interests 
 
 
(Cost $169,488,463) 
 
169,302,424 
CORPORATE BONDS†† - 25.6% 
 
 
Financial - 9.6% 
 
 
Citigroup, Inc. 
 
 
5.95%3,4 
4,000,000 
4,158,000 
6.24%3,4 
1,400,000 
1,505,000 
Bank of America Corp. 
 
 
6.50%3,4 
2,000,000 
2,192,900 
6.09%3,4 
1,750,000 
1,855,000 
6.30%3,4 
1,000,000 
1,097,500 
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
February 28, 2018

     
QBE Insurance Group Ltd. 
 
 
7.49% due 11/24/434,9 
3,000,000 
3,405,000 
BBC Military Housing-Navy 
 
 
Northeast LLC 
 
 
6.29% due 10/15/49††† 
2,900,000 
2,865,660 
FBM Finance, Inc. 
 
 
8.25% due 08/15/219 
2,500,000 
2,637,500 
Customers Bank 
 
 
6.12% due 06/26/294,10 
2,500,000 
2,593,151 
Citizens Financial Group, Inc. 
 
 
5.50%3,4 
2,500,000 
2,566,250 
American Equity Investment 
 
 
Life Holding Co. 
 
 
5.00% due 06/15/27 
2,350,000 
2,390,739 
Jefferies Finance LLC / JFIN 
 
 
Company-Issuer Corp. 
 
 
7.37% due 04/01/209 
1,075,000 
1,087,911 
7.25% due 08/15/249 
1,000,000 
1,010,000 
6.87% due 04/15/229 
200,000 
200,000 
CNB Financial Corp. 
 
 
5.74% due 10/15/264,10 
2,000,000 
2,041,534 
Oxford Finance LLC / Oxford 
 
 
Finance Company-Issuer II, Inc. 
 
 
6.37% due 12/15/229 
2,000,000 
2,030,000 
Atlas Mara Ltd. 
 
 
8.00% due 12/31/20 
2,200,000 
1,980,000 
 
 
Face 
 
 
Amount~ 
Value 
CORPORATE BONDS†† - 25.6% (continued) 
 
Financial - 9.6% (continued) 
 
 
MetLife, Inc. 
 
 
10.75% due 08/01/39 
850,000 
$1,360,000 
9.25% due 04/08/389 
350,000 
489,125 
Hunt Companies, Inc. 
 
 
6.25% due 02/15/269 
1,250,000 
1,223,437 
Fidelity & Guaranty Life 
 
 
Holdings, Inc. 
 
 
6.37% due 04/01/219 
1,165,000 
1,181,019 
Wells Fargo & Co. 
 
 
5.87%3,4 
1,000,000 
1,063,130 
NFP Corp. 
 
 
6.87% due 07/15/259 
1,000,000 
1,002,500 
Lincoln Finance Ltd. 
 
 
7.37% due 04/15/219 
800,000 
832,000 
Senior Housing Properties Trust 
 
 
4.75% due 02/15/28 
850,000 
831,813 
Pacific Beacon LLC 
 
 
5.62% due 07/15/5110 
702,442 
652,357 
GEO Group, Inc. 
 
 
5.87% due 10/15/24 
600,000 
606,000 
Atlantic Marine Corporations 
 
 
Communities LLC 
 
 
5.38% due 02/15/48 
542,552 
530,004 
Jefferies LoanCore LLC / JLC 
 
 
Finance Corp. 
 
 
6.87% due 06/01/209 
500,000 
511,875 
Icahn Enterprises LP
 
 
/ Icahn Enterprises 
 
 
Finance Corp. 
 
 
6.00% due 08/01/20 
300,000 
305,850 
5.87% due 02/01/22 
  200,000   200,000 
Goldman Sachs Group, Inc. 
 
 
5.29%3,4 
250,000 
255,625 
Hospitality Properties Trust 
 
 
5.25% due 02/15/26 
158,000 
164,769 
Total Financial 
 
46,825,649 
Consumer, Cyclical - 2.9% 
 
 
Ferrellgas Limited Partnership 
 
 
/ Ferrellgas Finance Corp. 
 
 
6.75% due 06/15/2311 
2,135,000 
1,942,850 
6.50% due 05/01/21 
429,000 
405,405 
WMG Acquisition Corp. 
 
 
6.75% due 04/15/229 
2,130,000 
2,209,875 
Exide Technologies 
 
 
11.00% due 04/30/229 
2,337,590 
2,127,207 
HP Communities LLC 
 
 
6.16% due 09/15/53†††,10 
1,000,000 
1,057,524 
6.82% due 09/15/5310 
971,014 
1,027,225 
Carrols Restaurant Group, Inc. 
 
 
8.00% due 05/01/22 
1,925,000 
2,011,625 
TVL Finance PLC 
 
 
8.50% due 05/15/23 
GBP 1,040,000 
1,535,322 
Titan International, Inc. 
 
 
6.50% due 11/30/239 
1,000,000 
1,020,000 
 
 
Face 
 
 
Amount~ 
Value 
CORPORATE BONDS†† - 25.6% (continued) 
 
Consumer, Cyclical - 2.9% 
 
 
(continued) 
 
 
Williams Scotsman 
 
 
International, Inc. 
 
 
7.87% due 12/15/229 
700,000 
$733,250 
Total Consumer, Cyclical 
 
14,070,283 
Industrial - 2.8% 
 
 
Encore Capital Group, Inc. 
 
 
5.62% due 08/11/24††† 
4,000,000 
3,931,254 
Summit Materials LLC / 
 
 
Summit Materials Finance 
 
 
Corp. 
 
 
8.50% due 04/15/22 
2,150,000 
2,349,874 
Grinding Media Inc. / MC 
 
 
Grinding Media Canada Inc. 
 
 
7.37% due 12/15/239 
2,050,000 
2,167,875 
Dynagas LNG Partners Limited 
 
 
Partnership / Dynagas Finance, 
 
 
Inc. 
 
 
6.25% due 10/30/1911 
1,800,000 
1,804,500 
Princess Juliana International 
 
 
Airport Operating Company 
 
 
N.V. 
 
 
5.50% due 12/20/27†††,10 
1,693,185 
1,600,059 
Cleaver-Brooks, Inc. 
 
 
7.87% due 03/01/239 
1,200,000 
1,266,000 
StandardAero Aviation 
 
 
Holdings, Inc. 
 
 
10.00% due 07/15/239 
680,000 
737,800 
Total Industrial 
 
13,857,362 
Communications - 2.7% 
 
 
MDC Partners, Inc. 
 
 
6.50% due 05/01/249 
2,900,000 
2,892,750 
SFR Group S.A. 
 
 
7.37% due 05/01/269 
2,225,000 
2,147,793 
DISH DBS Corp. 
 
 
7.75% due 07/01/26 
2,150,000 
2,117,750 
 
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
February 28, 2018

     
McGraw-Hill Global Education 
 
 
Holdings LLC / McGraw-Hill 
 
 
Global Education Finance 
 
 
7.87% due 05/15/249 
2,150,000 
2,080,125 
Cengage Learning, Inc. 
 
 
9.50% due 06/15/249 
1,900,000 
1,615,000 
EIG Investors Corp. 
 
 
10.87% due 02/01/24 
900,000 
985,500 
TIBCO Software, Inc. 
 
 
11.37% due 12/01/219 
750,000 
817,635 
CSC Holdings LLC 
 
 
6.75% due 11/15/21 
500,000 
525,937 
Total Communications 
 
13,182,490 
Energy - 2.3% 
 
 
Hess Corp. 
 
 
5.60% due 02/15/41 
1,550,000 
1,596,282 
6.00% due 01/15/40 
1,000,000 
1,057,781 
7.12% due 03/15/33 
500,000 
604,446 
7.30% due 08/15/31 
250,000 
305,194 
Husky Energy, Inc. 
 
 
4.00% due 04/15/24 
900,000 
912,007 
3.95% due 04/15/22 
600,000 
613,214 
 
 
Face 
 
 
Amount~ 
Value 
CORPORATE BONDS†† - 25.6% (continued) 
 
Energy - 2.3% (continued) 
 
 
Sunoco Logistics Partners 
 
 
Operations, LP 
 
 
4.25% due 04/01/24 
1,000,000 
$1,003,504 
American Midstream Partners 
 
 
Limited Partnership / 
 
 
American Midstream Finance 
 
 
Corp. 
 
 
8.50% due 12/15/219 
895,000 
908,425 
CNX Resources Corp. 
 
 
8.00% due 04/01/23 
850,000 
899,938 
EQT Corp. 
 
 
8.12% due 06/01/19 
800,000 
849,512 
Buckeye Partners, LP 
 
 
4.35% due 10/15/24 
750,000 
755,008 
TransMontaigne Partners 
 
 
Limited Partnership / TLP 
 
 
Finance Corp. 
 
 
6.12% due 02/15/26 
500,000 
506,250 
Indigo Natural Resources LLC 
 
 
6.87% due 02/15/269 
500,000 
488,860 
Crestwood Midstream Partners 
 
 
Limited Partnership / 
 
 
Crestwood Midstream Finance 
 
 
Corp. 
 
 
6.25% due 04/01/23 
400,000 
412,000 
QEP Resources, Inc. 
 
 
6.87% due 03/01/21 
350,000 
372,750 
Schahin II Finance Co. SPV Ltd. 
 
 
5.88% due 09/25/227,10 
1,216,133 
158,705 
Total Energy 
 
11,443,876 
Basic Materials - 2.2% 
 
 
BHP Billiton Finance USA Ltd. 
 
 
6.75% due 10/19/754,9,11 
2,450,000 
2,780,750 
Yamana Gold, Inc. 
 
 
4.95% due 07/15/2411 
2,260,000 
2,340,159 
Eldorado Gold Corp. 
 
 
6.12% due 12/15/209 
2,400,000 
2,334,000 
GCP Applied Technologies, Inc. 
 
 
9.50% due 02/01/239 
1,675,000 
1,836,219 
New Day Aluminum 
 
 
10.00% due 10/28/20†††,1,8 
965,748 
965,748 
Mirabela Nickel Ltd. 
 
 
9.50% due 06/24/197 
1,388,176 
291,517 
Total Basic Materials 
 
10,548,393 
Consumer, Non-cyclical - 1.7% 
 
 
Albertsons Companies LLC / 
 
 
Safeway Inc.
 
 
6.62% due 06/15/24 
2,400,000 
2,211,000 
Great Lakes Dredge & Dock 
 
 
Corp. 
 
 
8.00% due 05/15/22 
1,725,000 
1,794,000 
Valeant Pharmaceuticals 
 
 
International, Inc. 
 
 
7.00% due 03/15/249 
1,000,000 
1,052,500 
 
 
Face 
 
 
Amount~ 
Value 
CORPORATE BONDS†† - 25.6% (continued) 
 
Consumer, Non-cyclical - 
 
 
  1.7% (continued) 
 
 
Endo Finance LLC / Endo Finco, 
 
 
Inc. 
 
 
7.25% due 01/15/229 
800,000 
$668,000 
5.37% due 01/15/239 
500,000 
373,750 
Flexi-Van Leasing, Inc. 
 
 
10.00% due 02/15/239 
933,000 
928,335 
KeHE Distributors LLC / KeHE 
 
 
Finance Corp. 
 
 
7.62% due 08/15/219 
550,000 
541,750 
Beverages & More, Inc. 
 
 
11.50% due 06/15/229 
550,000 
512,875 
FAGE International S.A./ FAGE 
 
 
USA Dairy Industry, Inc. 
 
 
5.62% due 08/15/269 
250,000 
234,844 
Midas Intermediate Holdco II 
 
 
LLC / Midas Intermediate 
 
 
Holdco II Finance, Inc. 
 
 
7.87% due 10/01/229 
150,000 
151,687 
Total Consumer, Non-cyclical 
 
8,468,741 
Utilities - 0.5% 
 
 
LBC Tank Terminals Holding 
 
 
Netherlands BV 
 
 
6.87% due 05/15/239,11
1,425,000 
1,469,531 
Terraform Global Operating 
 
 
LLC 
 
 
6.12% due 03/01/269 
1,000,000 
1,007,500 
Total Utilities 
 
2,477,031 
Military Housing - 0.4% 
 
 
Fort Knox Military Housing 
 
 
Privatization Project 
 
 
5.81% due 02/15/529 
1,951,156 
1,958,485 
Technology - 0.3% 
 
 
Ascend Learning LLC 
 
 
6.87% due 08/01/259 
600,000 
618,000 
First Data Corp. 
 
 
7.00% due 12/01/239 
500,000 
525,625 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
February 28, 2018

     
Epicor Software Corp. 
 
 
9.94% due 06/21/23†††,1,10 
428,000 
428,000 
Total Technology 
 
1,571,625 
Oil & Gas - 0.1% 
 
 
Glenn Pool Oil & Gas Trust 
 
 
6.00% due 08/02/21††† 
739,331 
722,709 
Consumer Discretionary - 0.1% 
 
 
Pinnacle Bidco plc 
 
 
6.37% due 02/15/25 
GBP 250,000 
347,609 
Total Corporate Bonds 
 
 
(Cost $124,202,629) 
 
125,474,253 
ASSET-BACKED SECURITIES†† - 20.2% 
 
Collateralized Loan 
 
 
Obligations - 13.8% 
 
 
Golub Capital Partners CLO 
 
 
36m Ltd. 
 
 
2018-36A, due 
 
 
02/05/316,9 
5,000,000 
5,004,070 
KVK CLO Ltd. 
 
 
2014-2A, 6.47% due 
 
 
07/15/269 
3,000,000 
2,867,272 
 
 
Face 
 
 
Amount~ 
Value 
ASSET-BACKED SECURITIES†† - 20.2% (continued) 
Collateralized Loan 
 
 
Obligations - 13.8% 
 
 
(continued) 
 
 
2013-1A, due 04/14/259,12 
2,300,000 
$1,162,009 
Fortress Credit Opportunities IX 
 
 
CLO Ltd. 
 
 
2017-9A, 4.06% due 
 
 
11/15/299 
4,000,000 
4,028,664 
Flagship CLO VIII Ltd. 
 
 
2014-8A, 6.92% due 
 
 
01/16/269 
3,250,000 
3,185,703 
FDF II Ltd. 
 
 
2016-2A, 7.70% due 
 
 
05/12/319 
3,000,000 
3,055,251 
FDF I Ltd. 
 
 
2015-1A, 6.87% due 
 
 
11/12/309 
2,000,000 
2,020,262 
2015-1A, 7.50% due 
 
 
11/12/309 
1,000,000 
1,004,801 
Dryden 50 Senior Loan Fund 
 
 
2017-50A, due 
 
 
07/15/309,12 
2,855,000 
2,736,465 
KKR CLO 14 Ltd. 
 
 
2016-14, 6.07% due 
 
 
07/15/289 
2,500,000 
2,506,019 
Golub Capital Partners CLO Ltd. 
 
 
2017-16A, 4.75% due 
 
 
07/25/299 
1,500,000 
1,520,201 
2015-25A, 5.44% due 
 
 
08/05/279 
1,000,000 
980,359 
Carlyle Global Market 
 
 
Strategies CLO Ltd. 
 
 
2012-3A, due 10/04/249,12 
2,600,000 
2,073,789 
Avery Point II CLO Ltd. 
 
 
2013-3X COM, due 
 
 
01/18/2512 
2,399,940 
2,024,792 
Fortress Credit Opportunities V 
 
 
CLO Ltd. 
 
 
2017-5A, 6.25% due 
 
 
10/15/269 
2,000,000 
2,010,272 
Newstar Commercial Loan 
 
 
Funding LLC 
 
 
2017-1A, 6.72% due 
 
 
03/20/279 
2,000,000 
1,985,347 
Fortress Credit Opportunities VI 
 
 
CLO Ltd. 
 
 
2015-6A, 6.53% due 
 
 
10/10/269 
2,000,000 
1,978,445 
TPG Real Estate Finance 2018- 
 
 
FL-1 Issuer Ltd. 
 
 
2018-FL1, 4.26% due 
 
 
04/15/359 
1,800,000 
1,800,000 
Voya CLO 2013-1 Ltd. 
 
 
2013-1A, due 10/15/306,9 
3,000,000 
1,791,175 
Cent CLO 19 Ltd. 
 
 
2013-19A, 5.06% due 
 
 
10/29/259 
1,750,000 
1,750,441
 
 
Face 
 
 
Amount~ 
Value 
ASSET-BACKED SECURITIES†† - 20.2% (continued) 
Collateralized Loan 
 
 
Obligations - 13.8% 
 
 
(continued) 
 
 
Monroe Capital CLO 2014-1 
 
 
Ltd. 
 
 
2014-1A, 5.34% due 
 
 
10/22/269 
1,750,000 
$1,749,166 
OHA Credit Partners IX Ltd. 
 
 
2013-9A, due 10/20/259,12 
2,000,000 
1,744,704 
Mountain Hawk II CLO Ltd. 
 
 
2013-2A, 4.89% due 
 
 
07/22/249 
1,750,000 
1,721,519 
Treman Park CLO Ltd. 
 
 
2015-1A, due 04/20/279,12 
2,000,000 
1,674,091 
Babson CLO Ltd. 
 
 
2014-IA, due 07/20/259,12 
3,000,000 
1,516,655 
2012-2A, due 05/15/239,12 
2,000,000 
27,231 
Marathon CLO V Ltd. 
 
 
2013-5A, due 02/21/259,12 
3,566,667 
1,491,847 
Atlas Senior Loan Fund II Ltd. 
 
 
2012-2A, due 01/30/249,12 
2,600,000 
1,428,914 
Fortress Credit Opportunities 
 
 
VII CLO Ltd. 
 
 
2016-7A, 4.53% due 
 
 
12/15/289 
1,250,000 
1,264,471 
NewStar Arlington Senior Loan 
 
 
Program LLC 
 
 
2014-1A, 5.99% due 
 
 
07/25/259 
750,000 
723,230 
2014-1A, 5.96% due 
 
 
07/25/259 
500,000 
500,661 
Great Lakes CLO 2014-1 Ltd. 
 
 
2014-1A, due 10/15/296,9
1,153,846 
1,023,159 
Hunt CRE Ltd. 
 
 
2017-FL1, 4.88% due 
 
 
08/15/349 
1,000,000 
1,004,782 
NewStar Clarendon Fund CLO 
 
 
LLC 
 
 
2015-1A, 6.09% due 
 
 
01/25/279 
1,000,000 
997,173 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
February 28, 2018

     
Ladder Capital Commercial 
 
 
Mortgage Corp. 
 
 
2017-FL1, 5.18% due 
 
 
09/15/349 
1,000,000 
991,297 
Garrison Funding Ltd. 
 
 
2016-2A, 5.88% due 
 
 
09/29/279 
1,000,000 
988,940 
Venture XIII CLO Ltd. 
 
 
2013-13A, due 
 
 
06/10/259,12 
1,500,000 
921,468 
Dryden 37 Senior Loan Fund 
 
 
2015-37A, due 
 
 
04/15/279,12 
1,050,000 
848,223 
 
 
Face 
 
 
Amount~ 
Value 
ASSET-BACKED SECURITIES†† - 20.2% (continued) 
Collateralized Loan 
 
 
Obligations - 13.8% 
 
 
(continued) 
 
 
Finn Square CLO Ltd. 
 
 
2012-1A, due 12/24/239,12 
2,500,000 
$568,852 
West CLO Ltd. 
 
 
2013-1A, due 11/07/259,12 
1,350,000 
532,493 
Ares XXVI CLO Ltd. 
 
 
2013-1A, due 04/15/259,12 
3,700,000 
165,823 
Keuka Park CLO Ltd. 
 
 
2013-1A, due 10/21/249,12 
1,500,000 
75,777 
Total Collateralized Loan 
 
 
Obligations 
 
67,445,813 
Transport-Aircraft - 2.3% 
 
 
KDAC Aviation Finance Ltd. 
 
 
2017-1A, 4.21% due 
 
 
12/15/429 
1,983,586 
1,975,697 
Falcon Aerospace Ltd.
 
 
2017-1, 6.30% due 
 
 
02/15/429 
1,866,600 
1,866,751 
ECAF I Ltd. 
 
 
2015-1A, 5.80% due 
 
 
07/15/4010 
1,679,193 
1,679,479 
Rise Ltd. 
 
 
6.50% due 02/12/39 
1,482,390 
1,487,694 
Stripes Aircraft Ltd. 
 
 
2013-1 A1, 5.09% due 
 
 
03/20/23††† 
1,443,143 
1,427,217 
Emerald Aviation Finance Ltd. 
 
 
2013-1, 6.35% due 
 
 
10/15/389 
1,162,546 
1,160,955 
Castlelake Aircraft 
 
 
Securitization Trust 
 
 
2014-1E, due 01/15/23†††,1,6 
3,054,105 
922,332 
Turbine Engines Securitization 
 
 
Ltd. 
 
 
2013-1A, 6.37% due 
 
 
12/15/4810 
645,245 
612,015 
Airplanes Pass Through Trust 
 
 
2001-1A, 2.13% due 
 
 
03/15/1910 
6,677,317 
302,482 
BBAM Acquisition Finance 
 
 
5.37% due 09/17/18 
71,022 
70,667 
Total Transport-Aircraft 
 
11,505,289 
Transportation - 1.7% 
 
 
Apollo Aviation Securitization 
 
 
Equity Trust 
 
 
2017-1A, 5.93% due 
 
 
05/16/429 
2,818,200 
2,821,339 
2016-2, 7.87% due 
 
 
11/15/41 
1,910,750 
1,917,073 
2016-1A, 9.20% due 
 
 
03/17/369 
1,572,385 
1,595,971
 
 
Face 
 
 
Amount~ 
Value 
ASSET-BACKED SECURITIES†† - 20.2% (continued) 
Transportation - 1.7% 
 
 
(continued) 
 
 
2016-1A, 6.50% due 
 
 
03/17/369 
980,199 
$1,003,689 
2016-2, 5.93% due 
 
 
11/15/41 
889,900 
906,918 
Total Transportation 
 
8,244,990 
Whole Business - 1.0% 
 
 
TSGE 2017-1 
 
 
6.25% due 09/25/31†††,1 
5,000,000 
4,888,096 
Collateralized Debt 
 
 
Obligations - 0.9% 
 
 
Anchorage Credit Funding 1 
 
 
Ltd. 
 
 
2015-1A, 6.30% due 
 
 
07/28/309 
3,000,000 
3,105,028 
Anchorage Credit Funding 4 
 
 
Ltd. 
 
 
2016-4A, 5.50% due 
 
 
02/15/359 
1,000,000 
1,006,145 
Highland Park CDO I Ltd. 
 
 
2006-1A, 2.34% due 
 
 
11/25/5110 
575,491 
558,709 
Total Collateralized Debt 
 
 
Obligations 
 
4,669,882 
Financial - 0.3% 
 
 
NCBJ 2015-1 A 
 
 
5.87% due 07/08/22†††,1 
1,368,907 
1,365,215 
Transport-Container - 0.2% 
 
 
Global SC Finance II SRL 
 
 
2013-1A, 2.98% due 
 
 
04/17/289 
1,033,333 
1,018,080 
Total Asset-Backed Securities 
 
 
(Cost $106,188,053) 
 
99,137,365 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
February 28, 2018

U.S. TREASURY BILLS†† - 6.3%     
U.S. Treasury Bills 
 
 
1.36% due 03/29/1811,13,14 
5,000,000 
4,994,254 
1.38% due 04/05/1811,13,14 
5,000,000 
4,992,878 
1.51% due 05/10/1811,13,14 
5,000,000 
4,984,858 
1.31% due 03/08/1811,13,14 
4,500,000 
4,498,968 
1.26% due 03/01/1811,13,14 
2,500,000 
2,500,000 
1.54% due 04/19/1811,13,14 
2,500,000 
2,494,752 
1.40% due 04/26/1811,13,14 
2,100,000 
2,095,014 
1.39% due 03/29/1811,13,14 
2,000,000 
1,997,702 
1.33% due 03/22/1811,13,14 
1,300,000 
1,298,977 
 
 
Face 
 
 
Amount~ 
Value 
U.S. TREASURY BILLS†† - 6.3% (continued) 
 
1.38% due 04/26/1811,13,14 
1,100,000
$ 1,097,388 
Total U.S. Treasury Bills
 
 
(Cost $30,956,758) 
 
30,954,791 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 6.6% 
Residential Mortgage 
 
 
Backed Securities - 4.8% 
 
 
ACE Securities Corporation 
 
 
Home Equity Loan Trust Series 
 
 
2007-HE1, 1.77% due 
 
 
01/25/37 
3,315,703 
2,280,511 
2007-ASP1, 1.82% due 
 
 
03/25/37 
1,795,365 
1,133,159 
Ameriquest Mortgage 
 
 
Securities Trust 
 
 
2006-M3, 1.79% due 
 
 
10/25/36 
5,042,197 
3,387,968 
WaMu Asset-Backed 
 
 
Certificates WaMu Trust 
 
 
2007-HE2, 1.98% due 
 
 
04/25/37 
2,293,969 
1,278,237 
2007-HE2, 1.81% due 
 
 
04/25/37 
1,865,697 
1,024,356 
LSTFV 
 
 
2017-1A, 4.07% due 
 
 
04/01/20††† 
2,233,120 
2,235,618 
Master Asset Backed 
 
 
Securities Trust 
 
 
2006-WMC3, 1.78% due 
 
 
08/25/36 
4,036,382 
2,108,213 
IXIS Real Estate Capital Trust 
 
 
2007-HE1, 1.68% due 
 
 
05/25/37 
2,702,748 
1,002,701 
2007-HE1, 1.73% due 
 
 
05/25/37 
2,686,977 
1,001,994 
Lehman XS Trust Series 
 
 
2006-16N, 1.83% due 
 
 
11/25/46 
2,027,784 
1,903,614 
GSAA Home Equity Trust 
 
 
2006-16, 1.79% due 
 
 
10/25/36 
2,090,089 
1,113,189 
GSAA Trust 
 
 
2007-3, 1.79% due 
 
 
03/25/47 
2,094,290 
1,098,703 
First NLC Trust 
 
 
2007-1, 1.90% due 
 
 
08/25/379 
1,681,370 
1,081,851 
Morgan Stanley IXIS Real 
 
 
Estate Capital Trust 
 
 
2006-2, 1.77% due 
 
 
11/25/36 
1,954,475 
1,009,089 
Morgan Stanley ABS Capital I 
 
 
Incorporated Trust 
 
 
2007-HE1, 1.85% due 
 
 
11/25/36 
1,443,311 
1,002,479 
TBW Mortgage Backed Pass- 
 
 
Through Certificates 
 
 
2006-6, 6.04% due 
 
 
01/25/37 
1,333,706 
645,471 
2006-6, 5.74% due 
 
 
01/25/37 
552,898 
280,659 
Total Residential Mortgage 
 
 
Backed Securities 
 
23,587,812 
Military Housing - 1.2% 
 
 
GMAC Commercial Mortgage 
 
 
Asset Corp. 
 
 
2004-POKA, 6.35% due 
 
 
09/10/449 
3,500,000 
3,695,844 
Capmark Military Housing Trust 
 
 
2007-AETC, 5.74% due 
 
 
02/10/5210 
1,899,869 
1,834,108 
2007-AET2, 6.06% due 
 
 
10/10/5210 
482,209 
482,943 
Total Military Housing 
 
6,012,895 
Commercial Mortgage 
 
 
Backed Securities - 0.6% 
 
 
GAHR Commercial Mortgage 
 
 
Trust 
 
 
2015-NRF, 3.38% due 
 
 
12/15/349 
3,000,000 
2,940,444 
Total Collateralized Mortgage Obligations 
 
(Cost $30,565,315) 
 
32,541,151
FOREIGN GOVERNMENT DEBT†† - 2.0% 
 
Denmark Treasury Bill 
 
 
due 06/01/18 
DKK 59,500,000 
9,766,736 
Total Foreign Government Debt 
 
 
(Cost $9,766,736) 
 
9,766,736 
SENIOR FIXED RATE INTERESTS†† - 0.2% 
 
Consumer, Non-cyclical - 0.2%
 
 
Hanger, Inc. 
 
 
11.50% due 08/01/19 
1,000,000 
1,010,000 
Total Senior Fixed Rate Interests 
 
(Cost $990,277) 
 
1,010,000 
MUNICIPAL BONDS†† - 0.2% 
 
 
Puerto Rico - 0.2% 
 
 
Puerto Rico Electric Power 
 
 
Authority Revenue Bonds 
 
 
1.65% (3 Month USD LIBOR 
 
 
+ 0.52%) due 07/01/2915 
1,000,000 
857,500 
Total Municipal Bonds 
 
 
(Cost $843,846) 
 
857,500 
COMMERCIAL PAPER†† - 3.7% 
 
Hewlett-Packard Co. 
 
 
2.00% due 03/12/1813 
6,200,000 
6,196,211 
Mondelez International, Inc. 
 
 
1.90% due 03/28/1813 
6,000,000 
5,991,450 
Ei Du Pont De Nemours & Co. 
 
1.82% due 03/20/1813 
5,800,000 
5,794,429 
Total Commercial Paper 
 
 
(Cost $17,982,090) 
 
17,982,090 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
February 28, 2018

     
 
Contracts 
Value 
LISTED OPTIONS PURCHASED† - 0.2% 
 
Call options on: 
 
 
iShares MSCI Emerging 
 
 
Markets ETF Expiring 
 
 
January 2019 with strike 
 
 
price of $55.00 (Notional 
 
 
Value $16,855,020) 
3,510 
 $ 426,465 
S&P 500 Index Expiring 
 
 
January 2019 with strike 
 
 
price of $3,000.00 
 
 
(Notional Value 
 
 
$22,253,406) 
82 
343,580 
Total Call options 
 
770,045 
Total Listed Options Purchased 
 
 
(Cost $1,032,349) 
 
770,045 
Total Investments - 103.5% 
 
 
(Cost $512,601,257) 
$ 507,147,222 
 
 
Contracts 
Value 
LISTED OPTIONS WRITTEN† - (0.1)% 
 
 
Call options on: 
 
 
S&P 500 Index Expiring 
 
 
March 2018 with strike 
 
 
price of $2,735.00 
 
 
(Notional Value 
 
 
$75,715,857) 
279 
$ (675,180) 
Total Listed Options Written 
 
 
(Premiums received 
 
 
$1,148,884) 
 
(675,180) 
Other Assets & Liabilities, net - (3.4)% 
 
(16,468,189) 
Total Net Assets - 100.0% 
   
$ 490,003,853 
 

Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
February 28, 2018

                
Futures Contracts 
 
 
 
 
     
 
 
 
 
     
Value and 
 
Number of 
 
  
Unrealized 
Description 
Contracts 
Expiration Date 
Notional Amount 
Gain 
Equity Futures Contracts Purchased†† 
 
 
 
 
     
S&P 500 Index Mini Futures Contracts 
 
 558 
March 2018 
$75,755,475 
$1,319,653 
 
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS PURCHASED††
Counterparty
  
Contracts to Buy
  
Currency
Settlement Date
  
Settlement Value
    
Value at
February 28, 2018
    
Net Unrealized Depreciation
  
JP Morgan
    
57,000
  
EUR
03/12/18
  
$
69,635
    
$
69,601
    
$
(34
)
 
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS SOLD††
             
 
      
 
 
            
Counterparty 
  
Contracts to Sell
 
Currency 
Settlement Date 
  
Settlement Value
   
Value at
February 28, 2018
   
Net Unrealized
Appreciation
 
Goldman Sachs 
    
(4,492,000
)
GBP 
03/12/18 
  
$
6,269,219
    
$
6,187,777
    
$
81,442
  
Bank of America 
    
(901,000
)
EUR 
03/12/18 
    
1,106,641
      
1,100,192
      
6,449
  
JP Morgan     (59,500,000 )  DKK  06/01/18      9,823,507       9,822,497       1,010  
 
        
 
 
                  
$
88,901
  
 
   
~ The face amount is denominated in U.S. dollars unless otherwise indicated. 
* Non-income producing security. 
** Less than 0.1%
† Value determined based on Level 1 inputs, unless otherwise noted — See Note 3. 
†† Value determined based on Level 2 inputs, unless otherwise noted — See Note 3. 
††† Value determined based on Level 3 inputs — See Note 3. 
1 Security was fair valued by the Valuation Committee at February 28, 2018. The total market value of fair valued securities 
amounts to $32,969,556, (cost $34,014,608) or 6.7% of total net assets. 
2 Affiliated issuer. 
3 Perpetual maturity. 
4 Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date. 
5 Rate indicated is the 7 day yield as of February 28, 2018. 
6 Zero coupon rate security. 
7 Security is in default of interest and/or principal obligations. 
8 Payment-in-kind security. 
9 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established 
by the Board of Trustees. The total market value of 144A or Section 4(a)(2) liquid securities is $142,509,628 (cost $143,413,943), 
or 29.1% of total net assets. 
10 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under 
guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted 
securities is $15,028,291 (cost $20,817,650), or 3.1% of total net assets — See Note 6. 
11 All or a portion of this security has been physically segregated or earmarked in connection with borrowing, reverse repurchase agreements 
and unfunded loan commitments. As of February 28, 2018, the total market value of segregated or earmarked securities 
was $31,409,864. 
12 Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. 
13 Rate indicated is the effective yield at the time of purchase. 
14 Zero coupon rate security. Rate indicated is the effective yield at the time of purchase. 
15 Variable rate security. Rate indicated is the rate effective at February 28, 2018. In some instances, the underlying reference 
rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The 
settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference 
rates and spread amounts are shown, the effective rate is based on a weighted average. 
 
plc 
Public Limited Company 
LIBOR 
London Interbank Offered Rate 
WAC 
Weighted Average Coupon 
EURIBOR 
European Interbank Offered Rate 
DKK 
Danish Krone 
EUR 
Euro 
GBP 
British Pound 
 
See Sector Classification in Other Information section.
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
February 28, 2018
The following table summarizes the inputs used to value the Fund's investments at February 28, 2018 (See Note 3 in the Notes to Schedule of Investments):
 
          
Level 2
     
Level 3
       
 
          
Significant
     
Significant
       
 
  
Level 1 Quoted
     
Observable
     
Unobservable
       
Investments in Securities (Assets) 
  
Prices
 
Level 1 - Other*
 
Inputs
 
Level 2 -Other*
 
Inputs
   
Total
 
Asset-Backed Securities 
  
$
—
  
$
—
    
90,534,505
  
$
—
  
$
8,602,860
    
$
99,137,365
  
Collateralized Mortgage Obligations 
    
—
    
—
    
30,305,533
    
—
    
2,235,618
      
32,541,151
  
Commercial Paper 
    
—
    
—
    
17,982,090
    
—
    
—
      
17,982,090
  
Common Stocks 
    
753,302
    
—
    
63,975
    
—
    
374,624
      
1,191,901
  
Corporate Bonds 
    
—
    
—
    
113,903,299
    
—
    
11,570,954
      
125,474,253
  
Forward Foreign Currency Exchange Contracts 
    
—
    
—
    
—
    
88,901
    
—
      
88,901
  
Equity Futures Contracts 
    
—
    
1,319,653
    
—
    
—
    
—
      
1,319,653
  
Foreign Government Debt 
    
—
    
—
    
9,766,736
    
—
    
—
      
9,766,736
  
Money Market Fund 
    
12,415,133
    
—
    
—
    
—
    
—
      
12,415,133
  
Municipal Bonds 
    
—
    
—
    
857,500
    
—
    
—
      
857,500
  
Options Purchased 
    
770,045
    
—
    
—
    
—
    
—
      
770,045
  
Preferred Stocks 
    
5,743,833
    
—
    
—
    
—
    
—
      
5,743,833
  
Senior Fixed Rate Interests 
    
—
    
—
    
1,010,000
    
—
    
—
      
1,010,000
  
Senior Floating Rate Interests 
    
—
    
—
    
145,221,883
    
—
    
24,025,541
      
169,247,424
  
U.S. Treasury Bills
    
—
    
—
    
30,954,791
    
—
    
—
      
30,954,791
  
Total Assets 
  
$
19,682,313
  
$
1,319,653
  
$
440,600,312
  
$
88,901
  
$
46,809,597
    
$
508,500,776
  
   
 
              
Level 2
       
Level 3
         
 
              
Significant
       
Significant
         
 
  
Level 1 Quoted
       
Observable
       
Unobservable
         
Investments in Securities (Liabilities) 
  
Prices
 
Level 1 - Other*
 
Inputs
 
Level 2 - Other*
 
Inputs
   
Total
 
Forward Foreign Currency Exchange Contracts  
$
—
  
$
—
  
$
—
  
$
34
  
$
—
    
$
34
  
Options Written 
  
675,180
  
 
—
  
 
—
  
 
—
  
 
—
    
 
675,180
  
Unfunded Loans 
    
—
    
—
    
—
    
—
    
788,668
      
788,668
  
Total Liabilities 
  
$
675,180
  
$
—
  
$
—
  
$
34
  
$
788,668
    
$
1,463,882
  
* Other financial instruments include forward foreign currency exchange contracts and/or futures contracts, which are reported as unrealized gain/loss at period end.
Please refer to the detailed Schedule of Investments for a breakdown of investment type by industry category.
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, reverse repurchase agreements of $1,611,925, are categorized as Level 2 within the disclosure hierarchy.
Category
  
Ending Balance at February 28, 2018
  
Valuation Technique
Unobservable Inputs
  
Input Range
    
Weighted Average
  
Assets:
                      
Asset-Backed Securities
  
$
7,175,643
  
Yield Analysis
Yield
    
6.1%-13.0
%
    
7.5
%
Asset-Backed Securities
    
1,427,217
  
Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR
Indicative Quote
    
–
      
–
  
Collateralized Mortgage Obligations
    
2,235,618
  
Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR
Indicative Quote
    
–
      
–
  
Common Stocks
    
374,624
  
Enterprise Value
Valuation Multiple
    
7.9x-8.9x
 
    
8.1x
 
Corporate Bonds
    
10,177,206
  
Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR
Indicative Quote
    
–
      
–
  
Corporate Bonds
    
965,748
  
Yield Analysis
Yield
    
10.0
%
    
–
 
Corporate Bonds
    
428,000
  
Model Price
Market Comparable Yields
    
9.7
%
    
–
 
Senior Floating Rate Interests
    
16,186,947
  
Yield Analysis
Yield
    
5.1%-11.1
%
    
7.2
%
Senior Floating Rate Interests
    
4,191,535
  
Model Price
Market Comparable Yields
    
5.3%-6.1
%
    
5.7
%
Senior Floating Rate Interests
    
2,266,227
  
Model Price
Liquidation Value
    
–
      
–
  
Senior Floating Rate Interests
    
765,447
  
Model Price
Purchase Price
    
–
      
–
  
Senior Floating Rate Interests
    
615,385
  
Enterprise Value
Valuation Multiple
    
6.9x-7.9x
 
    
7.9x
 
Total
  
$
46,809,597
                      
Liabilities:
                            
Unfunded Loan Commitments
  
$
788,668
  
Model Price
Purchase Price
    
–
      
–
  
Significant changes in an indicative quote, market comparable yield, liquidation value, yield or valuation multiple would generally result in significant changes in the fair value of the security.
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended February 28, 2018, the Fund had securities with a total value of $6,698,761 transfer from Level 3 to Level 2 due to availability of market price information at period end and had securities with a total value of $1,989,765 transfer from Level 2 to Level 3 due to lack of observable inputs.
Summary of Fair Value Level 3 Activity
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended February 28, 2018:
 
                                           
   
 
            Assets                      
Liabilities
  
   
Asset Backed Securities
    
Senior Floating Rate Interests
    
Corporate Bonds
    
Collateralized Mortgage Obligations
    
Common Stocks
    
Total
    
Unfunded Loans
  
Beginning Balance
  
$
5,047,131
    
$
20,110,736
    
$
9,934,194
    
$
-
    
$
911,926
    
$
36,003,987
    
$
(812,983
)
Purchases/Receipts
    
5,922,332
      
10,848,363
      
4,036,093
      
2,516,181
      
-
      
23,322,969
      
261,601
  
Sales, maturities and paydowns/Fundings
    
(714,801
)
    
(6,451,428
)
    
(342,969
)
    
(298,890
 )    
(1,017
)
    
(7,809,105
)
    
(479,381
)
Total realized gains or losses included in earnings
    
(2,613,000
)
    
(566,038
)
    
2,770
      
-
      
(1,911,183
)
    
(5,087,451
)
    
147,189
  
Total change in unrealized gains or losses included in earnings
    
2,519,559
      
1,193,010
      
(17,601
)
    
18,327
 
    
1,374,898
      
5,088,193
      
94,906
 
Transfers into Level 3
    
-
      
1,989,765
      
-
      
-
      
-
      
1,989,765
      
-
  
Transfers out of Level 3
    
(1,558,361
)
    
(3,098,867
)
    
(2,041,533
)
    
-
      
-
      
(6,698,761
)
    
-
  
 Ending Balance
  
$
8,602,860
    
$
24,025,541
    
$
11,570,954
    
$
2,235,618
    
$
374,624
    
$
46,809,597
    
$
(788,668
)
Net Change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at February 28, 2018
  
$
824,684
    
$
73,117
    
$
(18,444
)
  
$
13,045
    
$
(536,289
)
  
$
356,113
    
$
188,832
  
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under Guggenheim Investments ("GI"), result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
Transactions during the period ended February 28, 2018, in which the portfolio company is an "affiliated person", were as follows:
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)                  
February 28, 2018

                                                 
 
                    
Realized
                         
 
  
Value
               
Gain
   
Change in
   
Value
   
Shares
   
Investment
 
Security Name 
  
05/31/17
   
Additions
   
Reductions
   
(Loss)
   
Unrealized
   
02/28/18
   
02/28/18
   
Income
 
Common Stocks 
                                                
Aspect Software Parent, 
                                                
Inc.1,2,3 
  
$
225,037
    
$
–
    
$
–
    
$
–
    
$
(151,230
)
  
$
73,807
      
15,032
    
$
–
  
Aspect Software Parent, 
                                                                
Inc.1,2,3 
    
609,980
      
–
      
–
      
–
      
(409,920
)
    
200,060
      
40,745
      
–
  
Targus Group 
                                                                
International Equity, 
                                                                
Inc.1,2,3 
    
20,113
      
–
      
(1,017
)
    
396
      
11,865
      
31,357
      
12,989
      
–
  
Senior Floating Rate 
                                                                
Interests 
                                                                
Aspect Software, Inc. 
                                                                
12.15% (1 Month USD 
                                                                
LIBOR + 10.50%) due 
                                                                
05/25/20 
    
903,975
      
–
      
(17,317
)
    
–
      
44
      
886,702
      
888,924
      
78,001
  
Aspect Software, Inc. 
                                                                
12.10% (1 Month USD 
                                                                
LIBOR + 10.50%) due 
                                                                
05/25/182,3 
    
437,500
      
171,875
      
–
      
–
      
–
      
609,375
      
609,375
      
50,394
  
Targus Group 
                                                                
International, Inc. 
                                                                
15.00% (1 Month 
                                                                
LIBOR + 13.35%) due 
                                                                
12/31/19 
    
64,198
      
3,389
      
(67,587
)
    
–
      
–
      
–
      
–
      
–
  
Targus Group 
                                                                
International, Inc. 
                                                                
15.00% (Prime Rate + 
                                                                
10.50%) due 
                                                                
05/24/162,3,4
    
–
      
–
      
–
      
–
      
–
      
–
      
155,450
      
–
  
 
  
$
2,260,803
    
$
175,264
    
$
(85,921
)
  
$
396
    
$
(549,241
)
  
$
1,801,301
            
$
128,395
  
 
1     
Non-income producing security.
2     
Value determined based on Level 3 inputs — See Note 3.
3     
Security was fair valued by the Valuation Committee at February 28, 2018.
4     
Security is in default of interest and/or principal obligations.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2018
 
 
Note 1 – Organization and Significant Accounting Policies
Organization
 
Guggenheim Strategic Opportunities Fund (the "Fund") was organized as a Delaware statutory trust on November 13, 2006. The Fund is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act").

The Fund's investment objective is to maximize total return through a combination of current income and capital appreciation.

Guggenheim Funds Investment Advisors, LLC ("GFIA") provides advisory services. Guggenheim Funds Distributors, LLC ("GFD") acts as principal underwriter for the Fund. GFIA and GFD are affiliated entities.
 
Significant Accounting Policies
The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946 Financial Services – Investment Companies. 
 
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles ("U.S. GAAP") and are consistently followed by the Fund. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
 
Valuation of Investments 
The Board of Trustees of the Fund (the "Board") has adopted policies and procedures for the valuation of the Fund's investments (the "Valuation Procedures"). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim's investment management, fund administration, legal and compliance departments (the "Valuation Committee"), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund's securities and/or other assets.
 
Valuations of the Fund's securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund's officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
 
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
 
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the NYSE. The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and GFIA are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
 
Equity securities listed on an exchange (New York Stock Exchange ("NYSE") or American Stock Exchange) are valued at the last quoted sale price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on such day, the security is valued at the closing bid price on such day.

U.S. Government securities are valued by either independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2018
 
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value. Money market funds are valued at net asset value.
 
Typically, loans are valued using information provided by an independent third party pricing service which uses broker quotes in a non-active market.
 
Listed options are valued at the Official Settlement Price listed by the exchange, usually as of 4:00 p.m. Long options are valued using the bid price and short options are valued using the ask price. In the event that a settlement price is not available, fair valuation is enacted. Over-the-counter ("OTC") options are valued using the average bid price (for long options) or average ask price (for short options) obtained from one or more security dealers.
 
The value of futures contracts is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
 
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, under the direction of the Board using methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security's (or asset's) "fair value". Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.
 
In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
  
Note 2 – Financial Instruments
As part of its investment strategy, the Fund utilizes a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk.

Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Schedule of Investments.
 
Derivatives

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund's financial position and results of operations.
  
Options Purchased and Written 
 
A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2018
 
The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty's inability to perform.
 
Futures
 
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund's use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Securities held as collateral are noted on the Schedule of Investments.
 
Forward Foreign Currency Exchange Contracts
 
A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
 
The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.
 
In conjunction with the use short sales and of derivative instruments, the Fund is required to maintain collateral in various forms. The Fund uses, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or the repurchase agreements allocated to the Fund.
 
The Fund has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Fund monitors the counterparty credit risk.
 
Note 3 – Fair Value Measurement  
In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
 
Level 1 — quoted prices in active markets for identical assets or liabilities.
 
Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).
 
Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.
 
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
 
Independent pricing services are used to value a majority of the Fund's investments. When values are not available from a pricing service, they may be computed by the Fund's investment adviser or an affiliate.  In any event, values may be
 
 
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2018
 
determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information and analysis. A significant portion of the Fund's assets and liabilities are categorized as Level 2 or Level 3, as indicated in this report.

Indicative quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may be also used to value the Fund's assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although indicative quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in an indicative quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly indicative quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change. 
 
Note 4 – Federal Income Tax Information
The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.
 
Tax positions taken or expected to be taken in the course of preparing the Fund's tax returns are evaluated to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund's tax positions taken, or to be taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund's financial statements. The Fund's federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
 
At February 28, 2018, the cost of securities for federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost, and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value were as follows:
 
 
Tax Cost
Tax Unrealized
Gain
Tax Unrealized
Loss
Net Unrealized
Loss
 
  $  512,609,935
  $  21,415,795
$  (24,996,284)
$  (3,580,489)
  
Note 5 – Unfunded Loan Commitments
Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of February 28, 2018. The Fund is obligated to fund these loan commitments at the borrower's discretion.
 
Borrower
Maturity Date
    
Face Amount*
    
Value
  
Acosta, Inc.
09/26/19
      
562,222
    
$
67,467
  
Bullhorn, Inc.
11/21/22
      
631,111
      
9,420
  
Cypress Intermediate Holdings III, Inc.
04/27/22
      
1,250,000
      
129,010
  
Examworks Group, Inc.
07/27/21
      
833,333
      
83,400
  
Fortis Solutions Group LLC
12/15/23
      
163,320
      
19,322
  
Galls LLC
01/31/25
      
550,263
      
17,755
  
Hostess Brands LLC
08/03/20
      
500,000
      
34,348
  
ICP Industrial, Inc.
11/03/23
      
520,686
      
2,436
  
Institutional Shareholder Services
10/16/24
      
41,667
      
98
  
Lytx, Inc.
08/31/22
      
52,632
      
5,927
  
MRI Software LLC
06/30/23
      
166,667
      
741
  
Nimbus Acquisitions Bidco Ltd.
07/15/20
 GBP
500,000
      
40,882
  
Packaging Coordinators Midco, Inc.
07/01/21
      
1,500,000
      
125,103
  
Pelican Products, Inc.
04/11/19
      
300,000
      
9,992
  
PowerSchool, Inc.
07/29/21
      
525,000
      
37,367
  
Severin Acquisition LLC
07/30/21
      
350,003
      
33,293
  
Solera LLC
03/03/21
      
2,033,000
      
172,107
  
         
 
10,479,904
    
$
788,668
  
 
*  
The face amount is denominated in U.S. dollars unless otherwise indicated.
 
GBP - British Pound
 
 
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
February 28, 2018
 
Note 6 – Restricted Securities
 
The securities below are considered illiquid and restricted under guidelines established by the Board:
Restricted Securities
Acquisition Date
  
Cost
    
Value
  
Airplanes Pass Through Trust
              
2001-1A, 2.13% due 03/15/19
10/14/09
  
$
5,384,676
    
$
302,482
  
Capmark Military Housing Trust
                  
2007-AET2, 6.06% due 10/10/52
04/23/15
    
483,057
      
482,943
  
Capmark Military Housing Trust
                  
2007-AETC, 5.74% due 02/10/52
09/18/14
    
1,880,858
      
1,834,108
  
CNB Financial Corp.
                  
 5.74% due 10/15/261
09/14/16
    
2,000,000
      
2,041,534
  
Customers Bank
                  
 6.12% due 06/26/291
06/24/14
    
2,500,000
      
2,593,151
  
ECAF I Ltd.
                  
2015-1A, 5.80% due 07/15/40
06/15/15
    
1,679,193
      
1,679,479
  
Epicor Software Corp.
                  
 9.94% due 06/21/23
05/21/15
    
418,467
      
428,000
  
Highland Park CDO I Ltd.
                  
2006-1A, 2.34% due 11/25/51
04/14/15
    
426,396
      
558,709
  
HP Communities LLC
                  
 6.82% due 09/15/53
07/21/15
    
967,566
      
1,027,225
  
HP Communities LLC
                  
6.16% due 09/15/53
06/09/14
    
997,547
      
1,057,524
  
Pacific Beacon LLC
                  
 5.62% due 07/15/511
01/15/14
    
580,127
      
652,357
  
Princess Juliana International Airport Operating Company N.V.
                  
5.50% due 12/20/27
12/17/12
    
1,685,391
      
1,600,059
  
Schahin II Finance Co. SPV Ltd.
                  
 5.88% due 09/25/222
01/08/14
    
1,178,715
      
158,705
  
Turbine Engines Securitization Ltd.
                  
2013-1A, 6.37% due 12/15/48
11/27/13
    
635,657
      
612,015
  
      
$
20,817,650
    
$
15,028,291
  
 
1 Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
2 Security is in default of interest and/or principal obligations.

 
 
Other Information (Unaudited)
 
Sector Classification

Information in the "Schedule of Investments" is categorized by sectors using sector-level classifications used by Bloomberg Industry Classification System, a widely recognized industry classification system provider. In the Fund's registration statement, the Fund has investment policies relating to concentration in specific industries. For purposes of these investment policies, the Fund usually classifies industries based on industry-level classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Item 2.  Controls and Procedures.

(a)
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) as of a date within 90 days of the filing date of this report and have concluded, based on such evaluation, that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b)
There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the registrant’s last fiscal quarter that has materially affected or is reasonably likely to materially affect the registrant’s internal control over financial reporting.

Item 3.  Exhibits.

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), is attached hereto.
 
 
SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Guggenheim Strategic Opportunities Fund 

By:         /s/ Brian E. Binder              
Brian E. Binder
President and Chief Executive Officer

Date:       4/30/18


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:        /s/ Brian E. Binder               
              Brian E. Binder
    President and Chief Executive Officer

Date:     4/30/18
 

By:          /s/ John L. Sullivan
John L. Sullivan
Chief Financial Officer, Chief Accounting Officer & Treasurer

Date:       4/30/18