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: June 1, 2016 – August 31, 2016


Item 1.   Schedule of Investments.
 Attached hereto.

Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2016

 
Shares
    
Value
  
COMMON STOCKS - 0.4%
          
Technology - 0.3%
          
Aspect Software Parent, Inc.*,†††,1
37,128
  
$
871,464
  
Qlik Technologies, Inc. A*,†††,1
56
    
55,840
  
Qlik Technologies, Inc.*,†††,1
3,600
    
3,600
  
Qlik Technologies, Inc. B*,†††,1
13,812
    
564
  
Total Technology
      
931,468
  
Communications - 0.1%
          
Cengage Learning Acquisitions, Inc.*,††
11,126
    
271,663
  
Consumer, Non-cyclical - 0.0%**
          
Targus Group International Equity, Inc*,†††,1
13,409
    
19,577
  
Basic Materials - 0.0%**
          
Mirabela Nickel Ltd.*,†††,1
5,244,841
    
394
  
Consumer, Cyclical - 0.0%**
          
Deb Stores Holding LLC*,†††,1
9,389
    
1
  
Industrial - 0.0%**
          
Carey International, Inc.*,†††,1
5,666
    
1
  
Total Common Stocks
          
(Cost $3,281,071)
      
1,223,104
  
PREFERRED STOCKS† - 0.9%
          
Industrial - 0.7%
          
Seaspan Corp.
          
6.38%2
96,625
    
2,477,465
  
Financial - 0.2%
          
AgriBank FCB
          
6.88%2,3
4,000
    
430,250
  
Total Preferred Stocks
          
(Cost $2,817,919)
      
2,907,715
  
 
 
Face
        
 
Amount
 ~  
Value
  
SHORT TERM INVESTMENTS - 7.3%
          
U.S. GOVERNMENT SECURITIES†† - 6.9%
          
United States Treasury Bill
          
0.00% due 09/01/162,4,14
15,000,000
  
$
15,000,000
  
0.00% due 09/15/164
7,500,000
    
7,499,415
  
0.00% due 09/08/164
800,000
    
799,971
  
Total U.S. Government Securities
          
(Cost $23,299,174)
      
23,299,386
  
 
 
Shares
    
Value
  
MONEY MARKET FUND† - 0.4%
          
Dreyfus Treasury Prime Cash Management Institutional Shares
        
0.16%5
1,231,197
    $
1,231,197
  
    (Cost $1,231,197)
          
Total Short Term Investments
          
(Cost $24,530,371)
      
24,530,583
  
 
 
Face
      
 
Amount
 ~  
Value
  
ASSET BACKED SECURITIES†† - 47.0%
          
Collateralized Loan Obligation -  35.7%
          
OZLM VII Ltd.
          
2014-7A, 6.58% due 07/17/263,6
5,000,000
  
$
3,633,255
  
Garrison Funding 2015-1 Ltd.
          
2015-1A, 5.08% due 05/25/272,3,6
 3,500,000
    
 3,503,589
  
Ziggurat CLO Ltd.
          
2014-1A, 5.68% due 10/17/263,6
 4,000,000
    
 3,280,741
  
NewMark Capital Funding 2013-1 CLO Ltd.
          
2013-1A, 5.34% due 06/02/252,3,6
 4,300,000
    
 3,236,240
  
Flatiron CLO Ltd.
          
2013-1A, 4.28% due 01/17/262,3,6
 3,300,000
    
 3,078,243
  
Sound Point CLO III Ltd.
          
2013-2A, 6.03% due 07/15/252,3,6
 2,875,000
    
 2,064,836
  
2013-2A, 4.58% due 07/15/252,3,6
 1,000,000
    
 977,205
  
Great Lakes CLO Ltd.
          
2015-1A, 4.43% due 07/15/263,6
 1,500,000
    
 1,433,124
  
2012-1A due 01/15/232,6,9
 2,500,000
    
 1,048,797
  
2014-1A, 4.88% due 04/15/252,3,6
 500,000
    
 454,634
  
Fortress Credit Funding V, LP
          
2015-5A, 6.22% due 08/15/222,3,6
 3,000,000
    
 2,720,630
  
Venture XVI CLO Ltd.
          
2014-16A, 4.13% due 04/15/262,3,6
 3,000,000
    
 2,716,811
  
Catamaran CLO 2014-1 Ltd.
          
2014-1A, 5.20% due 04/20/263,6
 2,000,000
    
 1,615,295
  
2014-1A, 6.45% due 04/20/262,3,6
 1,600,000
    
 1,057,201
  
Newstar Trust
          
2012-2I, 7.38% due 01/20/233
 3,000,000
    
 2,666,497
  
Fortress Credit Opportunities
          
2005-1A, 0.93% due 07/15/192,3,7
 2,755,172
    
 2,637,121
  
Voya CLO 2014-1 Ltd.
          
2014-1A, 5.58% due 04/18/262,3,6
 3,000,000
    
 2,624,991
  
CIFC Funding Ltd.
          
2014-3X INC due 07/22/269
 2,000,000
    
 1,213,286
  
2012-1X, 8.65% due 08/14/24
 1,150,000
    
 958,866
  
2014-3A, 5.45% due 07/22/262,3,6
 500,000
    
 432,132
  
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2016
 
 
Face
        
 
Amount
 ~  
Value
  
ASSET BACKED SECURITIES†† - 47.0% (continued)
          
Collateralized Loan Obligation -  35.7% (continued)
          
Babson CLO Limited 2014-I
          
2014-IA, 5.60% due 07/20/252,3,6
3,100,000
  
$
2,529,793
  
Denali Capital CLO X Ltd.
          
2013-1A, 6.47% due 04/28/253,6
 3,000,000
    
 2,348,355
  
North End CLO Limited
          
2013-1A, 5.28% due 07/17/253,6
 3,000,000
    
 2,336,852
  
AMMC CLO XII Ltd.
          
2013-12A, 5.86% due 05/10/253,6
 3,000,000
    
 2,175,519
  
Washington Mill CLO Ltd.
          
2014-1A, 5.55% due 04/20/262,3,6
 2,750,000
    
 2,145,329
  
Jamestown CLO III Ltd.
          
2013-3A, 3.98% due 01/15/262,3,6
 2,250,000
    
 2,015,387
  
Brightwood Capital Fund
          
 6.68% due 04/29/23
 2,000,000
    
 1,979,801
  
Avery
          
2013-3X COM due 01/18/259
 2,399,940
    
 1,903,904
  
Voya CLO 2013-1 Ltd.
          
2013-1A, 4.18% due 04/15/242,3,6
 2,000,000
    
 1,899,150
  
Fortress Credit Opportunities VI CLO Ltd.
          
2015-6A, 5.66% due 10/10/263,6
 2,000,000
    
 1,865,430
  
Treman Park CLO Ltd.
          
2015-1A due 04/20/272,6,9
 2,000,000
    
 1,786,745
  
Carlyle Global Market Strategies CLO Ltd.
          
2012-3A due 10/04/246,9
 2,600,000
    
 1,782,767
  
OHA Credit Partners IX Ltd.
          
2013-9A due 10/20/252,6,9
 2,000,000
    
 1,738,360
  
Golub Capital Partners CLO 24M Ltd.
          
2015-24A, 5.03% due 02/05/272,3,6
 2,000,000
    
 1,725,395
  
Voya CLO 2013-2 Ltd.
          
2013-2A, 4.21% due 04/25/252,3,6
 1,750,000
    
 1,706,341
  
Cent CLO 20 Ltd.
          
2014-20A, 5.31% due 01/25/262,3,6
 2,000,000
    
 1,683,090
  
Steele Creek CLO 2015-1 Ltd.
          
2015-1A, 6.06% due 02/21/273,6
 2,000,000
    
 1,646,816
  
Ares XXVI CLO Ltd.
          
2013-1A due 04/15/256,9
 3,700,000
    
 1,634,156
  
 
 
Face
    
Value
  
 
Amount
 ~      
ASSET BACKED SECURITIES†† - 47.0% (continued)
          
Collateralized Loan Obligation -  35.7% (continued)
          
Monroe Capital CLO 2014-1 Ltd.
          
2014-1A, 5.43% due 10/22/262,3,6
1,750,000
  
$
1,625,778
  
Cent CLO 19 Ltd.
          
2013-19A, 4.05% due 10/29/252,3,6
 1,750,000
    
 1,611,336
  
Ares XXXIII CLO Ltd.
          
2015-1A, 7.18% due 12/05/253,6
 2,000,000
    
 1,590,000
  
Dryden 30 Senior Loan Fund
          
2013-30A, 6.32% due 11/15/252,3,6
 2,500,000
    
 1,578,779
  
Voya CLO 2014-4 Ltd.
          
2014-4A, 6.67% due 10/14/263,6
 1,950,000
    
 1,490,521
  
Race Point VII CLO Ltd.
          
2012-7A, 5.04% due 11/08/242,3,6
 1,500,000
    
 1,486,409
  
Fortress Credit Opportunities V CLO Ltd.
          
2014-5A, 5.56% due 10/15/262,3,6
 1,500,000
    
 1,421,746
  
Crown Point CLO II Ltd.
          
2013-2A, 4.22% due 12/31/232,3,6
 1,500,000
    
 1,370,892
  
Mountain Hawk II CLO Ltd.
          
2013-2A, 3.85% due 07/22/242,3,6
 1,750,000
    
 1,360,257
  
Atlas Senior Loan Fund II Ltd.
          
2012-2A due 01/30/242,6,9
 2,600,000
    
 1,222,386
  
Regatta IV Funding Ltd.
          
2014-1A, 5.66% due 07/25/263,6
 1,500,000
    
 1,205,625
  
Neuberger Berman CLO Ltd.
          
2012-12A due 07/25/236,9
 2,500,000
    
 1,198,717
  
NewStar Arlington Senior Loan Program LLC
          
2014-1A, 4.96% due 07/25/253,6
 750,000
    
 690,784
  
2014-1A, 5.97% due 07/25/252,6
 500,000
    
 502,127
  
Avery Point III CLO Ltd.
          
2013-3A, 5.68% due 01/18/252,3,6
 1,500,000
    
 1,173,715
  
Finn Square CLO Ltd.
          
2012-1A due 12/24/236,9
 2,500,000
    
 1,152,341
  
WhiteHorse VI Ltd.
          
2013-1A, 7.26% due 02/03/252,3,6
 2,000,000
    
 1,151,551
  
Babson CLO Limited 2013-I
          
2013-IA, 5.95% due 04/20/252,3,6
 1,500,000
    
 1,115,348
  
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2016
 
 
Face
        
 
Amount
 ~  
Value
  
ASSET BACKED SECURITIES†† - 47.0% (continued)
          
Collateralized Loan Obligation -  35.7% (continued)
          
MCF CLO I LLC
          
2013-1A, 6.45% due 04/20/233,6
1,250,000
   $
1,045,237
  
Sound Point CLO I Ltd.
          
2012-1A, 5.28% due 10/20/232,3,6
 1,000,000
    
 999,124
  
Avery Point IV CLO Ltd.
          
2014-1A, 5.71% due 04/25/262,3,6
 1,430,000
    
 999,030
  
Cent CLO 16, LP
          
2014-16A, 5.01% due 08/01/242,3,6
 1,000,000
    
 995,712
  
Voya CLO Ltd.
          
2015-3A, 4.63% due 10/15/222,3,6
 1,000,000
    
 989,045
  
Cerberus Onshore II CLO-2 LLC
          
2014-1A, 4.78% due 10/15/232,3,6
 1,000,000
    
 987,608
  
Kingsland VI Ltd.
          
2013-6A, 4.39% due 10/28/242,3,6
 1,000,000
    
 947,459
  
Fortress Credit Opportunities III CLO, LP
          
2014-3A, 3.91% due 04/28/262,3,6
 1,000,000
    
 937,874
  
TICP CLO III Ltd.
          
2014-3A, 6.85% due 01/20/273,6
 1,000,000
    
 935,939
  
Golub Capital Partners CLO 25M Ltd.
          
2015-25A, 4.43% due 08/05/272,3,6
 1,000,000
    
 923,702
  
Atlas Senior Loan Fund IV Ltd.
          
2014-2A, 4.27% due 02/17/262,3,6
 1,000,000
    
 908,056
  
Babson CLO Ltd.
          
2012-2A due 05/15/236,9
 2,000,000
    
 901,355
  
Dryden 37 Senior Loan Fund
          
2015-37A due 04/15/276,9
 1,050,000
    
 824,007
  
Venture XIII CLO Ltd.
          
2013-13A due 06/10/256,9
 1,500,000
    
 820,462
  
KVK CLO Ltd.
          
2013-1A due 04/14/252,6,9
 2,300,000
    
 815,750
  
Ares XXV CLO Ltd.
          
2013-3A due 01/17/246,9
 1,750,000
    
 800,186
  
Keuka Park CLO Ltd.
          
2013-1A due 10/21/242,6,9
 1,500,000
    
 721,053
  
CIFC Funding 2014-IV Ltd.
          
2014-4A, 6.28% due 10/17/263,6
 1,000,000
    
 701,000
  
 
 
Face
        
 
Amount
 ~  
Value
  
ASSET BACKED SECURITIES†† - 47.0% (continued)
          
Collateralized Loan Obligation -  35.7% (continued)
          
Resource Capital Corporation
          
2014-CRE2, 3.01% due 04/15/322,3,6
729,000
   $
683,071
  
Newstar Commercial Loan Funding LLC
          
2014-1A, 5.45% due 04/20/252,3,6
 500,000
    
 455,030
  
2013-1A, 5.95% due 09/20/232,3,6
 250,000
    
 227,109
  
Marathon CLO Ltd.
          
 due 02/21/259
 1,300,000
    
 651,256
  
Octagon Loan Funding Ltd.
          
2014-1A, 6.00% due 11/18/262,3,6
 700,000
    
 619,801
  
COA Summit CLO Limited
          
2014-1A, 4.55% due 04/20/232,3,6
 500,000
    
 477,424
  
NXT Capital CLO 2013-1 LLC
          
2013-1A, 4.86% due 04/25/242,3,6
 500,000
    
 460,580
  
NewStar Commercial Loan Trust
          
2007-1A, 3.13% due 09/30/222,3,6
 500,000
    
 458,568
  
MCF CLO IV LLC
          
2014-1A, 6.58% due 10/15/252,3,6
 500,000
    
 428,121
  
CIFC Funding 2014 Ltd.
          
 6.34% due 10/17/26
 500,000
    
 350,500
  
West CLO Ltd.
          
2013-1A due 11/07/256,9
 1,350,000
    
 301,713
  
Golub Capital Partners CLO Ltd.
          
2014-18A, 4.71% due 04/25/262,3,6
 300,000
    
 269,424
  
Marathon CLO II Ltd.
          
2005-2A due 12/20/19†††,1,3,6,9
 3,000,000
    
 3
  
Total Collateralized Loan Obligation
      
 120,840,195
  
Transportation -  5.0%
          
Apollo Aviation Securitization Equity Trust
          
2014-1, 7.50% due 12/15/293
 3,487,179
    
 3,459,282
  
2014-1, 5.13% due 12/15/293
 1,743,590
    
 1,695,641
  
Airplanes Pass Through Trust
          
2001-1A, 1.06% due 03/15/192,3,7
 12,068,641
    
 3,771,450
  
ECAF I Ltd.
          
2015-1A, 5.80% due 06/15/406
 2,562,827
    
 2,532,394
  
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2016
 
 
Face
        
 
Amount
 ~  
Value
  
ASSET BACKED SECURITIES†† - 47.0% (continued)
          
Transportation -  5.0% (continued)
          
Apollo Aviation Securitization Equity Trust 2016-1
          
2016-1A, 9.20% due 03/17/362,6,8
2,291,750
    $
2,314,668
  
Stripes
          
2013-1 A1, 4.01% due 03/20/23†††
 1,782,432
    
 1,730,807
  
Turbine Engines Securitization Ltd.
          
2013-1A, 6.38% due 12/13/487
 775,681
    
 708,900
  
Rise Ltd.
          
2014-1AB, 6.50% due 02/12/39†††
 421,875
    
 414,570
  
BBAM Acquisition Finance
          
 5.38% due 09/17/18
 317,151
    
 315,565
  
Bush Truck Leasing LLC
          
2011-AA, 5.00% due 09/25/182,7
 4,235
    
 4,221
  
Total Transportation
      
 16,947,498
  
Collateralized Debt Obligation -  4.7%
          
Gramercy Real Estate CDO Ltd.
          
2007-1A, 1.10% due 08/15/563,6
 3,930,221
    
 3,681,625
  
FDF II Ltd.
          
2016-2A, 7.70% due 05/12/316
 3,000,000
    
 3,033,177
  
FDF I Ltd.
          
2015-1A, 6.88% due 11/12/302,6
 2,000,000
    
 2,003,439
  
2015-1A, 7.50% due 11/12/306
 1,000,000
    
 1,008,073
  
Anchorage Credit Funding 1 Ltd.
          
2015-1A, 6.30% due 07/28/302,7
 3,000,000
    
 3,000,385
  
N-Star REL CDO VIII Ltd.
          
2006-8A, 0.85% due 02/01/413,6
 2,200,000
    
 2,120,798
  
Highland Park CDO I Ltd.
          
2006-1A, 1.23% due 11/25/512,3,6
 1,159,924
    
 1,058,966
  
SRERS Funding Ltd.
          
2011-RS, 0.73% due 05/09/463,6
 196,873
    
 191,579
  
Total Collateralized Debt Obligation
      
 16,098,042
  
Other -  0.7%
          
Emerald Aviation Finance Ltd.
          
2013-1, 6.35% due 10/15/382,6,8
 1,312,017
    
 1,313,985
  
Glenn Pool Oil & Gas Trust
          
 6.00% due 08/02/21†††
 1,095,960
    
 979,968
  
Total Other
      
 2,293,953
  
Financial -  0.4%
          
NCBJ 2015-1 A
          
 5.88% due 07/08/22†††,1
 1,500,000
    
 1,500,000
  
 
 
Face
        
 
Amount
 ~  
Value
  
ASSET BACKED SECURITIES†† - 47.0% (continued)
          
Aircraft -  0.4%
          
Castlelake Aircraft Securitization Trust
          
2014-1, 7.50% due 02/15/296
1,401,612
    $
1,388,998
  
Credit Cards -  0.1%
          
Credit Card Pass-Through Trust
          
2012-BIZ, 0.00% due 12/15/496
 317,105
    
 254,328
  
Total Asset Backed Securities
          
(Cost $166,534,366)
      
159,323,014
  
SENIOR FLOATING RATE INTERESTS††,3 - 37.9%
          
Consumer, Non-cyclical -  7.5%
          
American Seafoods Group LLC / American Seafoods Finance, Inc.
          
6.02% due 08/19/21
 2,119,765
    
 2,056,171
  
Copernicus Group, Inc.
          
6.00% due 08/15/22
 2,000,000
    
 1,989,999
  
AT Home Holding III
          
5.00% due 06/03/22
 1,975,000
    
 1,960,187
  
Pelican Products, Inc.
          
5.25% due 04/10/20
 1,784,233
    
 1,744,088
  
Chef's Warehouse Parent LLC
          
5.75% due 06/22/22
 1,714,014
    
 1,662,594
  
2.76% due 06/22/22
 78,676
    
 77,422
  
Give and Go Prepared Foods Corp.
          
6.50% due 07/29/23
 1,650,000
    
 1,637,625
  
American Academy Holdings
          
6.25% due 05/17/21†††,1
 1,600,000
    
 1,584,929
  
Bauer Performance Sports
          
4.50% due 04/15/21
 1,575,000
    
 1,263,938
  
IHC Holding Corp.
          
7.00% due 04/30/21†††,1
 990,000
    
 978,458
  
7.25% due 04/30/21†††,1
 190,000
    
 189,240
  
Affordable Care Holding
          
5.75% due 10/24/22
 995,000
    
 995,000
  
CPM Holdings
          
6.00% due 04/11/22
 990,000
    
 994,950
  
Sho Holding I Corp.
          
6.00% due 10/27/22
 995,000
    
 990,025
  
Hanger, Inc.
          
11.50% due 08/01/19
 1,000,000
    
 980,000
  
CTI Foods Holding Co. LLC
          
8.25% due 06/28/21
 1,105,000
    
 977,925
  
Arctic Glacier Holdings, Inc.
          
6.00% due 05/10/19
 981,141
    
 963,971
  
Lineage Logistics LLC
          
4.46% due 04/07/21
 945,166
    
 926,263
  
ABG Intermediate Holdings 2 LLC
          
5.50% due 05/27/21
 913,926
    
 906,313
  
ABB Concise Optical Group LLC
          
6.00% due 06/15/23
 850,000
    
 852,661
  
Parts Town
          
7.50% due 06/23/22
 650,000
    
 650,000
  
Reddy Ice Holdings, Inc.
          
6.75% due 05/01/19
 700,000
    
 638,169
  
 
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2016
 
 
Face
        
 
Amount
 ~  
Value
  
SENIOR FLOATING RATE INTERESTS††,3 - 37.9% (continued)
          
Consumer, Non-cyclical -  7.5% (continued)
          
NES Global Talent
          
6.50% due 10/03/19
327,443
    $
291,425
  
Rite Aid Corp.
          
5.75% due 08/21/20
 100,000
    
 100,219
  
Targus Group International, Inc.
          
15.00% due 12/31/19†††,1
57,434
    
80,311
  
13.75% due 09/07/16†††,1
 155,450
    
 –
  
Total Consumer, Non-cyclical
      
 25,491,883
  
Technology -  6.6%
          
TIBCO Software, Inc.
          
6.50% due 12/04/20
 2,414,484
    
 2,353,107
  
Insight Venture
          
7.25% due 07/15/21†††,1
 1,650,000 GBP
    
 2,137,397
  
PowerSchool, Inc.
          
5.88% due 07/30/21†††,1
 992,500
    
 992,500
  
6.00% due 07/30/21†††,1
 585,060
    
 585,060
  
6.38% due 07/30/21
 250,000
    
 247,500
  
3.71% due 07/31/22
 175,000
    
 175,000
  
Harbortouch Payments LLC
          
7.00% due 05/31/22
 1,844,000
    
 1,839,390
  
Greenway Medical Technologies
          
6.00% due 11/04/20
 1,695,902
    
 1,629,473
  
Project Alpha Intermediate Holding, Inc.
          
9.25% due 08/22/22†††,1
 1,650,000
    
 1,618,130
  
EIG Investors Corp.
          
6.00% due 02/09/23
 1,691,457
    
 1,532,173
  
Aspect Software, Inc.
          
10.50% due 05/25/20
 923,557
    
 898,160
  
7.68% due 05/25/18†††,1
 458,333
    
 446,429
  
CPI Acquisition, Inc.
          
5.50% due 08/17/22
 1,316,782
    
 1,280,017
  
Sparta Holding Corp.
          
6.50% due 07/28/20†††,1
 955,057
    
 948,839
  
Touchtunes Interactive
          
5.75% due 05/28/21
 891,000
    
 886,545
  
Micron Technology, Inc.
          
6.64% due 04/26/22
 825,000
    
 832,904
  
MRI Software LLC
          
5.25% due 06/23/21
 742,500
    
 737,859
  
Solera LLC
          
3.63% due 03/03/21
 745,433
    
 650,975
  
GlobalLogic Holdings, Inc.
          
6.25% due 06/02/19
 615,547
    
 614,008
  
Active Network, Inc.
          
5.50% due 11/13/20
 586,471
    
 582,073
  
Advanced Computer Software
          
10.50% due 01/31/23
 500,000
    
 460,000
  
Deltek, Inc.
          
2.19% due 06/25/20†††,1
 500,000
    
 452,469
  
Ceridian Corp.
          
4.50% due 09/15/20
 240,697
    
 232,273
  
Total Technology
      
 22,132,281
  
Consumer, Cyclical -  6.5%
          
Sears Holdings Corp.
          
5.50% due 06/30/18
 2,564,158
    
 2,484,027
  
 
 
Face
        
 
Amount
 ~  
Value
  
SENIOR FLOATING RATE INTERESTS††,3 - 37.9% (continued)
          
Consumer, Cyclical -  6.5% (continued)
          
Navistar, Inc.
          
6.50% due 08/07/20
2,382,995
    $
2,243,590
  
Belk, Inc.
          
5.75% due 12/12/22
 2,537,250
    
 2,216,923
  
Mavis Tire
          
6.25% due 11/02/20†††,1
 1,980,000
    
 1,956,788
  
Boot Barn Holdings, Inc.
          
5.50% due 06/29/21†††,1
 1,980,000
    
 1,948,320
  
BIG JACK Holdings
          
5.75% due 06/30/22
 1,773,261
    
 1,755,528
  
LA Fitness International LLC
          
5.50% due 07/01/20
 1,277,329
    
 1,272,859
  
National Vision, Inc.
          
6.75% due 03/11/22
 1,200,000
    
 1,113,756
  
Jacobs Entertainment, Inc.
          
5.25% due 10/29/18
 1,071,531
    
 1,070,192
  
California Pizza Kitchen, Inc.
          
7.00% due 08/23/22
 1,000,000
    
 991,880
  
My Eye Doctor
          
due 08/16/21†††,1,9
 992,895
    
 984,699
  
Sky Bet Cyan Blue HoldCo
          
6.25% due 02/25/22
 650,000 GBP
    
 856,085
  
Ascena Retail Group
          
5.25% due 08/21/22
 706,370
    
 685,179
  
Talbots, Inc.
          
5.50% due 03/19/20
 512,371
    
 498,921
  
Amaya Holding B.V.
          
5.00% due 08/01/21
 500,000
    
 494,530
  
ABRA Auto Body
          
8.25% due 09/19/22
 500,000
    
 460,000
  
Alexander Mann Solutions Ltd.
          
5.75% due 12/20/19
 324,090
    
 319,229
  
Ceridian Corp.
          
4.50% due 09/15/20
 300,000
    
 289,500
  
Capital Automotive LP
          
6.00% due 04/30/20
 210,000
    
 210,893
  
Deb Stores Holding LLC
          
1.50% due 10/11/16†††,1
 708,102
    
 1
  
Total Consumer, Cyclical
      
 21,852,900
  
Industrial -  6.2%
          
Alion Science & Technology Corp.
          
5.50% due 08/19/21
 2,475,000
    
 2,351,251
  
CareCore National LLC
          
5.50% due 03/05/21
 2,398,682
    
 2,338,715
  
National Technical
          
7.25% due 06/12/21†††,1
 1,670,871
    
 1,629,099
  
Bioplan / Arcade
          
5.75% due 09/23/21
 1,762,326
    
 1,594,905
  
SRS Distribution, Inc.
          
9.75% due 02/24/23
 1,500,000
    
 1,515,000
  
Advanced Integration Tech
          
6.50% due 07/22/21
 1,500,000
    
 1,500,000
  
SIRVA Worldwide, Inc.
          
7.50% due 03/27/19
 1,476,548
    
 1,452,554
  
HBC Hardware Holdings
          
6.75% due 03/30/20†††
 1,473,750
    
 1,444,275
  
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2016
 
 
Face
        
 
Amount
 ~  
Value
  
SENIOR FLOATING RATE INTERESTS††,3 - 37.9% (continued)
          
Industrial -  6.2% (continued)
          
SiteOne Landscaping Supply
          
6.25% due 04/29/22
997,500
    $
999,994
  
Springs Industries, Inc.
          
7.50% due 06/01/21†††,1
 1,000,000
    
 978,399
  
Amspec Services, Inc.
          
6.00% due 07/01/22†††,1
 894,737
    
 885,789
  
Flakt Woods
          
4.75% due 03/20/17
  
Ranpak
 656,929 EUR
    
 718,075
  
8.25% due 10/03/22
 700,000
    
 644,000
  
GYP Holdings III Corp.
          
4.75% due 04/01/21
 628,267
    
 626,696
  
Knowledge Universe Education LLC
          
6.00% due 08/12/22
 579,041
    
 577,594
  
Mast Global
          
7.75% due 09/12/19†††,1
 526,628
    
 523,940
  
SI Organization
          
5.75% due 11/23/19
 498,073
    
 498,227
  
NaNa Development Corp.
          
8.00% due 03/15/18
 392,206
    
 366,712
  
Hunter Defense Technologies
          
7.33% due 08/05/19†††
 389,333
    
 292,000
  
Doncasters Group Ltd.
          
9.50% due 10/09/20
 101,379
    
 95,170
  
Carey International, Inc.
          
9.00% due 11/30/16†††,1
 45,009
    
 10,757
  
Total Industrial
      
 21,043,152
  
Financial -  4.0%
          
Acrisure LLC
          
6.50% due 05/19/22
 2,277,997
    
 2,282,279
  
Trademonster
          
7.25% due 08/29/19†††
 2,260,108
    
 2,248,808
  
Hyperion Insurance
          
5.50% due 04/29/22
 1,786,700
    
 1,725,648
  
American Stock Transfer & Trust
          
5.75% due 06/26/20
 1,461,618
    
 1,422,637
  
Assured Partners, Inc.
          
5.75% due 10/21/22
 1,154,606
    
 1,158,451
  
Safe-Guard
          
6.25% due 08/19/21
 1,082,167
    
 1,038,880
  
Americold Realty Operating Partnership, LP
          
5.75% due 12/01/22
 995,000
    
 1,004,950
  
Integro Parent, Inc.
          
6.75% due 10/31/22
 995,285
    
 970,403
  
Ryan LLC
          
6.75% due 08/07/20
 937,500
    
 916,406
  
Magic Newco, LLC
          
12.00% due 06/12/19
 750,000
    
 780,750
  
Cunningham Lindsey U.S., Inc.
          
9.25% due 06/10/20
 116,932
    
 43,996
  
Total Financial
      
 13,593,208
  
Communications -  2.1%
          
Avaya, Inc.
          
6.25% due 05/29/20
 3,052,785
    
 2,278,141
  
 
 
Face
        
 
Amount
 ~  
Value
  
SENIOR FLOATING RATE INTERESTS††,3 - 37.9% (continued)
          
Communications -  2.1% (continued)
          
Anaren, Inc.
          
5.50% due 02/18/21
940,781
    $
905,501
  
9.25% due 08/18/21
 1,000,000
    
 890,000
  
Cengage Learning Acquisitions, Inc.
          
5.25% due 06/07/23
 1,526,458
    
 1,523,603
  
Proquest LLC
          
10.00% due 12/15/22
 1,000,000
    
 968,750
  
5.75% due 10/24/21
 400,000
    
 395,832
  
Total Communications
      
 6,961,827
  
Basic Materials -  2.0%
          
Zep, Inc.
          
5.50% due 06/27/22
 1,980,000
    
 1,981,248
  
PetroChoice Holdings
          
6.00% due 08/19/22
 1,488,750
    
 1,481,306
  
Atkore International, Inc.
          
7.75% due 10/09/21
 1,350,000
    
 1,348,880
  
Platform Specialty Products Corp.
          
5.50% due 06/07/20
 1,205,175
    
 1,204,572
  
Azelis Finance S.A.
          
6.50% due 12/16/22
 497,500
    
 501,644
  
Orica Chemicals
          
7.25% due 02/09/22
 249,369
    
 245,628
  
Noranda Aluminum Acquisition Corp.
          
5.75% due 02/28/19
 691,815
    
 69,181
  
Total Basic Materials
      
 6,832,459
  
Utilities -  1.4%
          
Panda Stonewall
          
6.50% due 11/13/21
 1,875,000
    
 1,767,188
  
Panda Power
          
7.50% due 08/21/20
 1,249,110
    
 1,219,443
  
Panda Moxie Patriot
          
6.75% due 12/19/20
 900,000
    
 855,000
  
Lone Star Energy
          
5.25% due 02/22/21
 746,178
    
 587,615
  
Panda Temple II Power
          
7.25% due 04/03/19
 498,997
    
 454,088
  
Total Utilities
      
 4,883,334
  
Energy -  1.3%
          
Invenergy Thermal
          
6.50% due 10/19/22
 1,637,998
    
 1,568,382
  
PSS Companies
          
5.50% due 01/28/20
 1,862,684
    
 1,397,013
  
Cactus Wellhead
          
7.00% due 07/31/20
 1,130,637
    
 853,631
  
Exgen Texas Power LLC
          
5.75% due 09/18/21
 823,731
    
 661,044
  
Total Energy
      
 4,480,070
  
Transportation -  0.3%
          
Travelport Holdings LLC
          
5.00% due 09/02/21
 843,542
    
 844,141
  
Ceva Group Plc (United Kingdom)
          
6.50% due 03/19/21
 269,698
    
 214,861
  
 
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2016
 
 
Face
        
 
Amount
 ~  
Value
  
SENIOR FLOATING RATE INTERESTS††,3 - 37.9% (continued)
          
Transportation -  0.3% (continued)
          
Ceva Logistics US Holdings
          
6.50% due 03/19/21
20,270
    $
16,148
  
Ceva Logistics Holdings BV (Dutch)
          
6.50% due 03/19/21
 14,436
    
 11,501
  
Ceva Logistics Canada, ULC
          
6.50% due 03/19/21
 2,523
    
 2,010
  
Total Transportation
      
 1,088,661
  
Total Senior Floating Rate Interests
          
(Cost $131,847,392)
      
128,359,775
  
CORPORATE BONDS†† - 37.6%
          
Financial -  11.3%
          
Citigroup, Inc.
          
5.95%2,10,11
 3,000,000
    
 3,099,374
  
5.88%2,10,11
 1,000,000
    
 1,015,000
  
Jefferies Finance LLC / JFIN Company-Issuer Corp.
          
7.50% due 04/15/212,6
 2,150,000
    
 2,034,438
  
7.38% due 04/01/202,6
 950,000
    
 907,250
  
Bank of America Corp.
          
6.10%2,10,11
 1,750,000
    
 1,839,688
  
6.50%2,10,11
1,000,000
    
1,090,100
  
GMH Military Housing-Navy Northeast LLC
          
6.30% due 10/15/49†††,2
 2,900,000
    
 2,901,811
  
Customers Bank
          
6.13% due 06/26/293,7
 2,500,000
    
 2,525,000
  
Fifth Third Bancorp
          
4.90%2,10,11
 1,500,000
    
 1,470,000
  
5.10%2,10,11
 815,000
    
 806,850
  
National Financial Partners Corp.
          
9.00% due 07/15/212,6
 1,950,000
    
 2,013,375
  
Citizens Financial Group, Inc.
          
5.50%2,10,11
 2,000,000
    
 1,980,000
  
NewStar Financial, Inc.
          
7.25% due 05/01/202
 1,950,000
    
 1,911,000
  
Garfunkelux Holding Co. 3 S.A.
          
8.50% due 11/01/22
 1,400,000 GBP
    
 1,891,822
  
Atlas Mara Ltd.
          
8.00% due 12/31/20
 2,200,000
    
 1,848,000
  
AmTrust Financial Services, Inc.
          
6.13% due 08/15/232
 1,704,000
    
 1,782,882
  
Greystar Real Estate Partners LLC
          
8.25% due 12/01/222,6
 1,450,000
    
 1,537,000
  
Cadence Bank North America
          
6.25% due 06/28/292,3,6
 1,600,000
    
 1,360,000
  
HUB International Ltd.
          
9.25% due 02/15/212,6
 1,000,000
    
 1,055,000
  
GEO Group, Inc.
          
6.00% due 04/15/26
 1,000,000
    
 896,250
  
5.88% due 01/15/22
 100,000
    
 94,500
  
Lincoln Finance Ltd.
          
7.38% due 04/15/212,6
 800,000
    
 862,000
  
Pacific Beacon LLC
          
5.63% due 07/15/512,7
 715,735
    
 736,856
  
 
 
Face
    
 
  
 
Amount
 ~  
Value
  
CORPORATE BONDS†† - 37.6% (continued)
          
Financial -  10.9% (continued)
          
Atlantic Marine Corporations Communities LLC
          
5.38% due 02/15/482
553,257
    $
560,383
  
FBM Finance, Inc.
          
8.25% due 08/15/216
 500,000
    
 523,750
  
Fidelity & Guaranty Life Holdings, Inc.
          
6.38% due 04/01/212,6
 520,000
    
 518,700
  
Jefferies LoanCore LLC / JLC Finance Corp.
          
6.88% due 06/01/202,6
 500,000
    
 455,000
  
Oxford Finance LLC / Oxford Finance Company-Issuer, Inc.
          
7.25% due 01/15/182,6
 434,000
    
 434,000
  
Total Financial
      
 38,150,029
  
Energy -  5.3%
          
Whiting Petroleum Corp.
          
5.75% due 03/15/212
 2,300,000
    
 2,061,374
  
Sunoco Logistics Partners Operations, LP
          
4.25% due 04/01/242
 1,000,000
    
 1,039,204
  
5.95% due 12/01/252
 850,000
    
 979,684
  
Keane Group Holdings LLC
          
12.00% due 08/08/19†††,1
 1,912,500
    
 1,754,719
  
Husky Energy, Inc.
          
4.00% due 04/15/242
 900,000
    
 919,095
  
3.95% due 04/15/222
 600,000
    
 634,742
  
Comstock Resources, Inc.
          
10.00% due 03/15/206
 1,300,000
    
 1,196,000
  
TerraForm Power Operating LLC
          
5.88% due 02/01/232,6
 1,096,000
    
 1,104,220
  
Hess Corp.
          
8.13% due 02/15/192
 950,000
    
 1,073,714
  
Halcon Resources Corp.
          
8.63% due 02/01/202,6,12
 1,100,000
    
 1,045,000
  
Approach Resources, Inc.
          
7.00% due 06/15/212
 1,294,000
    
 960,795
  
EQT Corp.
          
8.13% due 06/01/192
 800,000
    
 911,374
  
CONSOL Energy, Inc.
          
8.00% due 04/01/232
 850,000
    
 828,750
  
Buckeye Partners, LP
          
4.35% due 10/15/242
 750,000
    
 759,835
  
SandRidge Energy, Inc.
          
8.75% due 06/01/202,6,12
 1,900,000
    
 745,750
  
Gibson Energy, Inc.
          
6.75% due 07/15/212,6
 550,000
    
 558,250
  
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.
        
6.25% due 04/01/232
 400,000
    
 390,000
  
QEP Resources, Inc.
          
6.88% due 03/01/212
 350,000
    
 365,925
  
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2016
 
 
Face
      
 
Amount
 ~  
Value
  
CORPORATE BONDS†† - 37.6% (continued)
          
Energy -  5.3% (continued)
          
Atlas Resource Partners Holdings LLC / Atlas Resource Finance Corp.
        
7.75% due 01/15/212,12
1,425,000
    $
285,000
  
Crestwood Midstream Partners, LP / Crestwood Midstream Finance Corp.
          
6.13% due 03/01/222
 200,000
    
 194,500
  
Schahin II Finance Company SPV Ltd.
          
5.88% due 09/25/222,7,12
 1,216,133
    
 145,936
  
Total Energy
      
 17,953,867
  
Communications -  4.3%
          
DISH DBS Corp.
          
5.88% due 11/15/242
 2,050,000
    
 2,021,812
  
7.75% due 07/01/262,6
 1,075,000
    
 1,147,014
  
MDC Partners, Inc.
          
6.50% due 05/01/242,6
 2,100,000
    
 1,995,000
  
SFR Group S.A.
          
7.38% due 05/01/262,6
 1,800,000
    
 1,858,500
  
Sprint Communications, Inc.
          
6.00% due 11/15/222
 1,000,000
    
 905,000
  
7.00% due 03/01/202,6
 800,000
    
 858,000
  
Midcontinent Communications & Midcontinent Finance Corp.
          
6.88% due 08/15/232,6
 1,300,000
    
 1,371,500
  
Sprint Corp.
          
7.88% due 09/15/232
 1,150,000
    
 1,117,789
  
EIG Investors Corp.
          
10.88% due 02/01/24†††,2,7
 750,000
    
 676,579
  
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
        
7.88% due 05/15/242,6
 550,000
    
 588,500
  
CSC Holdings LLC
          
6.75% due 11/15/212
 500,000
    
 533,750
  
Zayo Group LLC / Zayo Capital, Inc.
          
6.38% due 05/15/252
 400,000
    
 422,084
  
Avaya, Inc.
          
7.00% due 04/01/192,6
 530,000
    
 394,850
  
Interoute Finco plc
          
7.38% due 10/15/20
 295,000 EUR
    
 357,830
  
Inmarsat Finance plc
          
4.88% due 05/15/222,6
 300,000
    
 292,560
  
Total Communications
      
 14,540,768
  
Consumer, Cyclical -  4.2%
          
WMG Acquisition Corp.
          
6.75% due 04/15/222,6
 2,130,000
    
 2,265,788
  
HP Communities LLC
          
6.82% due 09/15/532,7
 981,884
    
 1,169,601
  
6.16% due 09/15/53†††,2,7
 1,000,000
    
 1,086,258
  
NPC International Incorporated / NPC Operating Company A Inc / NPC Operating Co B Inc
        
10.50% due 01/15/202
 2,055,000
    
 2,160,319
  
Nathan's Famous, Inc.
          
10.00% due 03/15/202,6
 1,804,000
    
 1,966,359
  
 
 
Face
      
 
Amount
 ~  
Value
  
CORPORATE BONDS†† - 37.6% (continued)
          
Consumer, Cyclical -  4.2% (continued)
          
TVL Finance PLC
          
8.50% due 05/15/23
1,300,000 GBP
    $
1,824,037
  
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.
          
6.75% due 06/15/232
 1,150,000
    
 1,037,875
  
6.50% due 05/01/212
 429,000
    
 404,333
  
PF Chang's China Bistro, Inc.
          
10.25% due 06/30/202,6
 1,255,000
    
 1,195,388
  
Exide Technologies
          
11.00% due 04/30/202,13
 1,268,358
    
 1,014,686
  
Total Consumer, Cyclical
      
 14,124,644
  
Industrial -  4.0%
          
Summit Materials LLC / Summit Materials Finance Corp.
          
8.50% due 04/15/222,6
 2,150,000
    
 2,348,875
  
Novelis, Inc.
          
8.75% due 12/15/202
 1,200,000
    
 1,256,999
  
8.38% due 12/15/172
 877,000
    
 895,417
  
StandardAero Aviation Holdings, Inc.
          
10.00% due 07/15/232,6
 2,025,000
    
 2,126,250
  
Princess Juliana International Airport Operating Company N.V.
          
5.50% due 12/20/27†††,2,6
 1,876,467
    
 1,857,140
  
Dynagas LNG Partners Limited Partnership / Dynagas Finance, Inc.
          
6.25% due 10/30/192
 1,800,000
    
 1,678,500
  
LMI Aerospace, Inc.
          
7.38% due 07/15/192
 1,575,000
    
 1,602,563
  
Coveris Holdings S.A.
          
7.88% due 11/01/192,6
 1,055,000
    
 1,076,100
  
Mirabela Nickel Ltd.
          
9.50% due 06/24/19†††,1
 1,388,176
    
 388,689
  
1.00% due 09/10/44†††,1
 27,743
    
 –
  
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
          
7.25% due 05/15/242,6
 250,000
    
 265,938
  
CEVA Group plc
          
6.50% due 03/19/212,6
 100,000
    
 81,500
  
Total Industrial
      
 13,577,971
  
Consumer, Non-cyclical -  3.1%
          
Bumble Bee Holdings, Inc.
          
9.00% due 12/15/172,6
 2,082,000
    
 2,118,435
  
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc.
          
7.88% due 10/01/222,6
 1,625,000
    
 1,657,500
  
Halyard Health, Inc.
          
6.25% due 10/15/222
 1,600,000
    
 1,636,000
  
Kinetic Concepts Incorporated / KCI USA Inc
          
7.88% due 02/15/212,6
 1,500,000
    
 1,620,000
  
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2016
 
 
Face
      
 
Amount
 ~  
Value
  
CORPORATE BONDS†† - 37.6% (continued)
          
Consumer, Non-cyclical -  3.1% (continued)
          
Albertsons Companies LLC / Safeway Incorporated / New Albertson's Inc / Albertson's LLC
  
6.63% due 06/15/242,6
1,500,000
    $
1,610,400
  
Bumble Bee Holdco SCA
          
9.63% due 03/15/182,6,13
 900,000
    
 895,500
  
KeHE Distributors LLC / KeHE Finance Corp.
          
7.63% due 08/15/212,6
 550,000
    
 547,250
  
Opal Acquisition, Inc.
          
8.88% due 12/15/212,6
 575,000
    
 483,000
  
Total Consumer, Non-cyclical
      
 10,568,085
  
Basic Materials -  2.7%
          
BHP Billiton Finance USA Ltd.
          
6.75%2,3,6,10
 2,000,000
    
 2,282,500
  
Yamana Gold, Inc.
          
4.95% due 07/15/242
 2,160,000
    
 2,201,645
  
Eldorado Gold Corp.
          
6.13% due 12/15/202,6
 1,950,000
    
 1,987,284
  
GCP Applied Technologies, Inc.
          
9.50% due 02/01/232,6
 1,475,000
    
 1,688,875
  
Constellium N.V.
          
7.88% due 04/01/212,6
 950,000
    
 1,028,375
  
Total Basic Materials
      
 9,188,679
  
Technology -  1.7%
          
Micron Technology, Inc.
          
7.50% due 09/15/232,6
 1,550,000
    
 1,708,875
  
5.25% due 08/01/232,6
 200,000
    
 193,500
  
Infor US, Inc.
          
6.50% due 05/15/222
 1,532,000
    
 1,553,065
  
Cengage Learning, Inc.
          
9.50% due 06/15/242,6
 1,000,000
    
 1,022,500
  
First Data Corp.
          
7.00% due 12/01/232,6
 500,000
    
 523,750
  
Epicor Software
          
9.25% due 06/21/23†††,1,2
 500,000
    
 479,500
  
Aspect Software, Inc.
          
3.00% due 05/25/23†††,1,13
 368,515
    
 303,496
  
Total Technology
      
 5,784,686
  
Utilities -  1.0%
          
LBC Tank Terminals Holding Netherlands BV
          
6.88% due 05/15/232,6
 1,325,000
    
 1,311,750
  
Terraform Global Operating LLC
          
9.75% due 08/15/222,6
 1,150,000
    
 1,167,250
  
AmeriGas Partners Limited Partnership / AmeriGas Finance Corp.
          
5.88% due 08/20/262
 1,000,000
    
 1,072,500
  
Total Utilities
      
 3,551,500
  
Total Corporate Bonds
          
(Cost $123,296,259)
      
127,440,229
  
 
 
Face
      
 
Amount
 ~  
Value
  
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 3.3%
          
Commercial Mortgage Backed Securities -  2.5%
          
GS Mortgage Securities Corporation Trust
          
2016-ICE2, 9.01% due 02/15/332,3,6
3,000,000
    $
2,999,646
  
Capmark Military Housing Trust
          
2007-AETC, 5.75% due 02/10/52†††,2,7
 1,924,930
    
 2,029,637
  
2007-AET2, 6.06% due 10/10/522,7
 487,823
    
 494,707
  
GMAC Commercial Mortgage Asset Corp.
          
2003-PRES, 6.24% due 10/10/412,7
 1,411,570
    
 1,626,543
  
Motel 6 Trust
          
2015-MTL6, 5.28% due 02/05/306
 1,200,000
    
 1,195,815
  
Total Commercial Mortgage Backed Securities
      
 8,346,348
  
Residential Mortgage Backed Securities -  0.8%
          
Nomura Resecuritization Trust
          
2012-1R, 0.96% due 08/27/472,3,6
 1,843,730
    
 1,768,322
  
TBW Mortgage Backed Pass-Through Certificates
          
2006-6, 6.04% due 01/25/372,8
 1,510,811
    
 785,331
  
2006-6, 5.75% due 01/25/372,8
 634,155
    
 340,362
  
Total Residential Mortgage Backed Securities
      
 2,894,015
  
Total Collateralized Mortgage Obligations
          
(Cost $10,908,324)
      
11,240,363
  
FOREIGN GOVERNMENT BONDS†† - 2.2%
          
Kenya Government International Bond
          
6.88% due 06/24/242,6
4,250,000
    
4,149,275
  
Total Kenya Government International Bond
      
4,149,275
  
Dominican Republic International Bond
          
6.85% due 01/27/452,6
3,050,000
    
3,461,750
  
Total Foreign Government Bonds
          
(Cost $7,533,224)
      
7,611,025
  
MUNICIPAL BONDS†† - 0.7%
          
Illinois -  0.7%
          
City of Chicago Illinois General Obligation Unlimited
          
6.26% due 01/01/402
 2,350,000
    
 2,254,073
  
Total Municipal Bonds
          
(Cost $2,033,063)
      
2,254,073
  
Total Investments - 137.3%
          
(Cost $472,781,989)
    
$
464,889,881
  
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2016
 
 
Contracts
    
Value
  
OPTIONS WRITTEN†,* - (0.1)%
          
Call options on:
          
S&P 500 Index Expiring September 2016 with strike price of $2,185.00
284
  
$
(292,520
)
Total Options Written
          
(Premiums received $533,341)
    
$
(292,520
)
Other Assets & Liabilities, net - (37.2)%
      
(125,971,578
)
Total Net Assets - 100.0%
    
$
338,625,783
  

     
Unrealized
  
 
Contracts
    
Gain
  
EQUITY FUTURES CONTRACTS PURCHASED†
  
September 2016 S&P 500 Index Mini Futures Contracts
    
(Aggregate Value of
          
Contracts $61,599,600)
568
  
$
2,788,110
  

~
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 — See Note 2.
††
Value determined based on Level 2 inputs, unless otherwise noted — See Note 2.
†††
Value determined based on Level 3 inputs — See Note 2.
1
Security was fair valued by the Valuation Committee at August 31, 2016.  The total market value of fair valued securities amounts to $24,309,402, (cost $32,402,888) or 7.2% of total net assets.
2
All or a portion of these securities have been physically segregated in connection with borrowings, reverse repurchase agreements and unfunded loan commitments. As of August 31, 2016, the total value of securities segregated was $243,733,765.
3
Variable rate security. Rate indicated is rate effective at August 31, 2016.
4
Zero coupon rate security.
5
Rate indicated is the 7-day yield as of August 31, 2016.
6
Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $202,841,538 (cost $208,471,115), or 59.9% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
7
Security is a 144A or Section 4(a)(2) security. These securities are considered illiquid and restricted under guidelines established by the Board of Trustees.  The total market value of 144A or Section 4(a)(2) securities is $20,613,194 (cost $26,778,971), or 6.1% of total net assets - see Note 4.
8
Security is a step up/step down bond.  The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is rate effective as of August 31, 2016.
9
Security has no stated coupon. However, it is expected to receive residual cashflow payments on defined deal dates.
10
Perpetual maturity.
11
Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
12
Security is in default.
13
Security is a pay in-kind bond.
14
All or a portion of these securities are pledged as futures collateral.


plc
Public Limited Company
   
 
See Sector Classification in Supplemental Information section.
 
 
The following table summarizes the inputs used to value the Fund’s investments at August 31, 2016 (See Note 2 in the Notes to Schedule of Investments):
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2016


                   
        Level 2     Level 3        
        Significant     Significant        
    Level 1 Quoted   Observable     Unobservable        
    Prices   Inputs     Inputs     Total  
Assets:                       
Corporate Bonds    $ -   $ 117,992,037     $ 9,448,192     $ 127,440,229  
Asset Backed Securities      -     154,697,666       4,625,348       159,323,014  
Collateralized Mortgage Obligations      -     9,210,726       2,029,637       11,240,363  
Senior Floating Rate Interests      -     105,443,138       22,916,637       128,359,775  
Municipal Bonds      -     2,254,073       -       2,254,073  
Foreign Government Bonds      -     7,611,025       -       7,611,025  
Common Stocks      -     271,663       951,441       1,223,104  
Preferred Stocks      2,907,715     -       -       2,907,715  
U.S. Government Securities      -     23,299,386       -       23,299,386  
Money Market Fund      1,231,197     -       -       1,231,197  
Equity Futures Contracts*      2,788,110     -       -       2,788,110  
Total Assets    $ 6,927,022   $ 420,779,714     $ 39,971,255     $ 467,677,991  
Liabilities:                               
Options Written      292,520     -       -       292,520  
Unfunded Commitments      -     766,363       -       766,363  
Forward Foreign Currency Exchange Contracts*      -     51,915       -       51,915  
Total Liabilities    $ 292,520   $ 818,278     $ -     $ 1,110,798  
*These amounts are reported as unrealized gain/(loss) as of August 31, 2016.
If not referenced in the table, please refer to the detailed Schedule of Investments for a breakdown of investment type by industry category.
 
The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value heirarchy:
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2016

 
  Ending Balance    Valuation  Unobservable  Input
Category  at 8/31/2016    Technique  Inputs  Range 
Corporate Bonds  $ 6,521,788    Option adjusted spread off the month  Indicative Quote  - 
      end broker quote over the 3 month    
      LIBOR     
Corporate Bonds  $ 2,234,219    Model Price  Market Comparable Yields  8.9% - 15.5% 
Corporate Bonds  $ 303,496    Enterprise Value  Valuation Multiple  8.0x 
Corporate Bonds  $ 388,689    Model Price  Liquidation Value  - 
           
Asset Backed Securities  $ 3,125,345    Option adjusted spread off the month  Indicative Quote  - 
      end broker quote over the 3 month    
      LIBOR     
Asset Backed Securities  $ 1,500,000    Option adjusted spread  Indicative Quote for Comparable  - 
        Security   
Collateralized Mortgage Obligations  $ 2,029,637    Option adjusted spread off the month  Indicative Quote  - 
      end broker quote over the 3 month    
      LIBOR     
Senior Floating Rate Interests  $ 3,985,083    Option adjusted spread off the month  Indicative Quote  - 
      end broker quote over the 3 month    
      LIBOR     
Senior Floating Rate Interests  $ 537,497    Enterprise Value  Valuation Multiple  5.5x - 8.0x 
Senior Floating Rate Interests  $ 6,322,678    Model Price  Market Comparable Yields  4.9% - 5.9% 
Senior Floating Rate Interests  $ 12,071,379    Model Price  Purchase Price  - 
Common Stocks  $ 394    Model Price  Liquidation Value  - 
Common Stocks  $ 60,004    Model Price  Purchase Price  - 
Common Stocks  $ 891,043    Enterprise Value  Valuation Multiple  5.5x - 8.0x 
Significant changes in an indicative quote, liquidation value, market comparable yield or valuation multiple would generally result in significant changes in the fair value of the security.

Any remaining Level 3 securities held by the Fund and excluded from the tables above, were not considered material to the Fund.

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.

As of August 31, 2016, the Fund had securities with a total value of $2,553,508 transferred from Level 2 to Level 3 due to lack of multiple vendor prices. The Fund had securities with a total value of $4,066,817 transferred from Level 3 to Level 2 due to availability of market price information at the period end.

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 August 31, 2016:
 
 
 
Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2016
 
                    Collateralized              
    Asset Backed     Senior Floating     Corporate     Mortgage              
    Securities     Rate Interests     Bonds     Obligations     Common Stocks     Total  
Assets:                                     
Beginning Balance    $ 8,036,285     $ 19,029,841     $ 8,485,549     $ 3,380,625     $ 1,079,055     $ 40,011,355  
Paydowns Received      (161,497 )     (652,961 )     (41,613 )     (9,278 )     -       (865,349 )
Payment-in-kind Distributions Received      -       22,185       17,507       -       -       39,692  
Change in Unrealized Gain/Loss      99,302       (227,082 )     375,189       94,812       (921 )     341,300  
Purchases      -       2,940,289       -       -       60,004       3,000,293  
Corporate actions      -       645,511       (65,019 )     (1,436,522 )     (186,697 )     (1,042,727 )
Transfers into Level 3      -       1,876,929       676,579       -       -       2,553,508  
Transfers out of Level 3      (3,348,742 )     (718,075 )     -       -       -       (4,066,817 )
Ending Balance    $ 4,625,348     $ 22,916,637     $ 9,448,192     $ 2,029,637     $ 951,441     $ 39,971,255  
   
Net change in unrealized appreciation (depreciation)                                                 
for investments in securities still held at August 31, 2016    $ 23,367     $ (243,557 )   $ 375,189     $ 94,812     $ (921 )   $ 248,890  

 

As of August 31, 2016, the Fund had the following unfunded loan commitments which could be extended at the option of the borrower:
 
Borrower  Maturity Date    Face Amount     Value  
Acosta, Inc.  09/26/2019    $ 1,100,000     $ 89,856  
American Seafoods Group LLC  08/19/2021      500,000       61,553  
Amspec Services, Inc.  07/01/2022      105,263       1,017  
Aspect Software, Inc.  05/25/2018      166,667       -  
Chef's Warehouse Parent LLC  06/22/2022      202,817       3,232  
Deltek, Inc.  06/25/2020      1,000,000       94,965  
ExamWorks Group  07/27/2021      1,000,000       -  
Eyemart Express  12/18/2019      500,000       39,990  
Globallogic Holdings, Inc.  11/30/2018      300,000       25,810  
Hostess Brands  08/03/2020      500,000       -  
Insight Fourth Hospitality  07/15/2020      500,000       63,509  
IntraWest Holdings  12/10/2018      200,000       3,631  
National Technical  06/12/2021      305,882       2,597  
Packaging Coordinators  07/01/2021      1,500,000       181,229  
PowerSchool, Inc.  07/29/2021      350,000       35,819  
Solera LLC  03/03/2021      1,287,567       163,155  
       $ 9,518,196     $ 766,363  
 
As of August 31, 2016, the following forward foreign currency exchange contracts were outstanding:

Guggenheim Strategic Opportunities Fund
  
SCHEDULE OF INVESTMENTS (Unaudited)
August 31, 2016
 

                         
    Contracts to Sell   Counterparty  Settlement Date    Settlement Value     Value as of 8/31/16     Net Unrealized Depreciation  
EUR    978,000                        
for USD    1,085,635   Bank of America Merrill Lynch  9/13/2016    $ 1,085,635     $ 1,091,507     $ (5,872 )
   
GBP    5,123,000                              
for USD    6,684,852   Bank of America Merrill Lynch  9/13/2016      6,684,852       6,729,333       (44,481 )
   
GBP    63,000                              
for USD    81,192   Bank of America Merrill Lynch  9/13/2016      81,192       82,754       (1,562 )
        Net unrealized depreciation on forward foreign currency exchange contracts     $ (51,915 )

 

 
 
 
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)
                                                      
For information on the Guggenheim Strategic Opportunities Fund’s (the “Fund”) policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semiannual or annual shareholder report.

1.
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 (“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 and disclosure of 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.

The following is a summary of significant accounting policies consistently followed by the Fund.

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 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 and will 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 by, and valuations provided by, the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.

Equity securities listed 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.

Open-end investment companies (“Mutual Funds”) are valued at their NAV as of the close of business on the valuation date. Exchange Traded Funds (“ETFs”) and closed-end investment companies are valued at the last quoted sale price.

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 and repurchase agreements are valued at amortized cost, provided such amounts approximates market 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 in 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 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 settlement prices.  Financial futures contracts are valued at 4:00 p.m. 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.

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 currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as World Equity Benchmark Securities. In addition, under the Valuation Procedures, the Valuation Committee and Guggenheim Funds Investment Advisors, LLC (“GFIA” or the “Adviser”) are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Investments for which market quotations are not readily available are fair valued as determined in good faith by the Adviser, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “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: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security). 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.

2.
Fair Value Measurement
In accordance with 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. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — quoted prices in active markets for identical assets or liabilities.

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

Level 3— significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will be determined under the valuation policies that have been reviewed and approved by the Board. In any event, values are 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 Funds’ 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.

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 Fund’s fair valuation guidelines categorize these securities as Level 3.

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.

3.
Federal Income Taxes
As of August 31, 2016, the cost of investments and accumulated unrealized appreciation/(depreciation) of investments for federal income tax purposes were as follows:
Cost of
Investments for
Tax Purposes
Gross Tax
Unrealized
Appreciation
Gross Tax
Unrealized
Depreciation
Net Tax Unrealized
Depreciation on
Investments
$481,165,917
$26,905,616
$(43,181,652)
 $(16,276,036)


4.
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, 1.06% due 03/15/19  10/14/2009  $9,732,311  $3,771,450 
Anchorage Credit Funding 1 Ltd.       
2015-1A, 6.30% due 07/28/30  05/07/2015  3,000,000  3,000,385 
Bush Truck Leasing LLC       
2011-AA, 5.00% due 09/25/18  03/04/2011  4,171  4,221 
Capmark Military Housing Trust       
2007-AETC, 5.75% due 02/10/52  09/18/2014  1,905,407  2,029,637 
Capmark Military Housing Trust       
2007-AET2, 6.06% due 10/10/52  04/23/2015  488,691  494,707 
Customers Bank       
6.13% due 06/26/29  06/24/2014  2,500,000  2,525,000 
EIG Investors Corp.       
10.88% due 02/01/24  05/16/2016  684,035  676,579 
Fortress Credit Opportunities       
2005-1A, 0.93% due 07/15/19  02/16/2012  2,610,907  2,637,121 
GMAC Commercial Mortgage Asset Corp.       
2003-PRES, 6.24% due 10/10/41  04/03/2014  1,346,894  1,626,543 
HP Communities LLC       
6.16% due 09/15/53  07/21/2015  997,519  1,086,258 
HP Communities LLC       
6.82% due 09/15/53  06/09/2014  978,364  1,169,601 
Pacific Beacon LLC       
5.63% due 07/15/51  01/15/2014  589,738  736,856 
Schahin II Finance Co SPVLtd       
5.88% due 09/25/22  01/08/2014  1,178,715  145,936 
Turbine Engines Securitization Ltd.       
2013-1A, 6.38% due 12/13/48  11/27/2013  762,219  708,900 
 
    $26,778,971  $20,613,194 


SUPPLEMENTAL INFORMATION (Unaudited)   
                                                    
Sector Classification
Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/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/ Donald C. Cacciapaglia            
Donald C. Cacciapaglia
President and Chief Executive Officer

Date:      October 31, 2016


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/ Donald C. Cacciapaglia            
Donald C. Cacciapaglia
President and Chief Executive Officer

Date:       October 31, 2016
 


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

Date:       October 31, 2016