•
|
Daily, weekly and monthly data on share prices, net asset values, distributions and more
|
•
|
Portfolio overviews and performance analyses
|
•
|
Announcements, press releases and special notices
|
•
|
Fund and adviser contact information
|
November 30, 2012
|
December 31, 2012
|
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 3
|
QUESTIONS & ANSWERS
|
November 30, 2012
|
•
|
The Fund may invest up to 60% of its total assets in fixed income securities rated below investment grade (commonly referred to as “junk bonds”);
|
•
|
The Fund may invest up to 20% of its total assets in non-U.S. dollar denominated fixed income securities of corporate and governmental issuers located outside the U.S., including up to 10% of total assets in fixed income securities of issuers located in emerging markets;
|
•
|
The Fund may invest up to 50% of its total assets in common equity securities; and
|
•
|
The Fund may invest up to 30% of its total assets in investment funds that primarily hold (directly or indirectly) investments in which the Fund may invest directly of which amount, up to 20% of the Fund’s total assets in investment funds that are registered as investment companies under the Investment Company Act of 1940, as amended (the “1940 Act”) to the extent permitted by applicable law and related interpretations of the staff of the U.S. Securities and Exchange Commission.
|
4 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
QUESTIONS & ANSWERS continued
|
November 30, 2012
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 5
|
QUESTIONS & ANSWERS continued
|
November 30, 2012
|
6 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
QUESTIONS & ANSWERS continued
|
November 30, 2012
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 7
|
QUESTIONS & ANSWERS continued
|
November 30, 2012
|
8 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
QUESTIONS & ANSWERS continued
|
November 30, 2012
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 9
|
FUND SUMMARY (Unaudited)
|
November 30, 2012
|
Fund Statistics
|
|||
Share Price
|
$ | 20.65 | |
Common Share Net Asset Value
|
$ | 20.06 | |
Premium/Discount to NAV
|
2.94% | ||
Net Assets Applicable to Common Shares ($000)
|
$ | 242,349 |
Total Returns
|
||
(Inception 7/27/07)
|
Market
|
NAV
|
Six Month
|
2.50%
|
10.62%
|
One Year
|
11.95%
|
19.28%
|
Three Year - average annual1
|
20.21%
|
19.31%
|
Five Year - average annual1
|
16.66%
|
12.57%
|
Since Inception - average annual1
|
12.32%
|
12.32%
|
% of Long-Term
|
|
Top Ten Holdings
|
Investments
|
SPDR S&P 500 ETF Trust
|
5.2%
|
iShares Russell 2000 Index Fund
|
3.6%
|
Aerco Ltd., Series 2A, Class A3 (Jersey)
|
2.5%
|
Rockwall CDO Ltd., Series 2007-1A, Class A1LA
|
|
(Cayman Islands)
|
2.2%
|
Airplanes Pass-Through Trust, Series 2001-1A, Class A9
|
2.0%
|
Fortress Credit Opportunities I LP, Series 2005-1A, Class A1
|
1.9%
|
Nomura Resecuritization Trust, Series 2012-1R, Class A
|
1.5%
|
Eastland CLO Ltd., Series 2007-1A, Class A2B
|
|
(Cayman Islands)
|
1.2%
|
Telos CLO Ltd., Series 2006-1A, Class A2 (Cayman Islands)
|
1.0%
|
Attentus CDO Ltd., Series 2007-3A, Class A1B
|
|
(Cayman Islands)
|
1.0%
|
*Less than 0.1%
Portfolio composition and holdings are subject to change daily. For more information, please visit www.guggenheiminvestments.com/gof. The above summaries are provided for informational purposes only and should not be viewed as recommendations. Past performance does not guarantee future results.
|
**Ratings shown are assigned by one or more Nationally Recognized Statistical Credit Rating Organizations (“NRSRO”), such as Standard & Poor’s, Moody’s and Fitch. The ratings are an indication of an issuer’s creditworthiness and typically range from AAA or Aaa (highest) to D (lowest). When two or more ratings are available, the lower rating is used; and when only one is available, that rating is used. The Non-Rated category consists of securities that have not been rated by an NRSRO. U.S. Treasury securities and U.S. Government Agency securities are not rated but deemed to be equivalent to securities rated AA+/Aaa.
|
10 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited) | November 30, 2012 |
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
Long-Term Investments – 147.3%
|
|||||||||||
Corporate Bonds – 54.5%
|
|||||||||||
Advertising – 0.9%
|
|||||||||||
$
|
400,000
|
MDC Partners, Inc. (Canada)(a)
|
B
|
11.000%
|
11/01/2016
|
11/01/13 @ 106
|
$
|
439,000
|
|||
1,825,000
|
Sitel, LLC / Sitel Finance Corp.(a) (b)
|
B
|
11.000%
|
08/01/2017
|
08/01/14 @ 106
|
1,834,125
|
|||||
2,273,125
|
|||||||||||
Aerospace & Defense – 0.3%
|
|||||||||||
700,000
|
Sequa Corp.(b)
|
CCC+
|
11.750%
|
12/01/2015
|
12/01/13 @ 100
|
724,500
|
|||||
Airlines – 4.5%
|
|||||||||||
2,000,000
|
Aircraft Certificate Owner Trust, Series 2003-1A, Class E(b) (d)
|
BB
|
7.001%
|
09/20/2022
|
N/A
|
2,004,040
|
|||||
1,064,282
|
America West Airlines 2001-1 Pass-Through Trust, Series 011G(a)
|
BB+
|
7.100%
|
04/02/2021
|
N/A
|
1,117,496
|
|||||
1,880,263
|
American Airlines Pass-Through Trust, Series 2011-2, Class A(a)
|
BBB-
|
8.625%
|
10/15/2021
|
N/A
|
1,917,868
|
|||||
890,143
|
Atlas Air 1998-1 Pass-Through Trust, Series 1998-1, Class A
|
NR
|
7.380%
|
01/02/2018
|
N/A
|
890,143
|
|||||
686,381
|
Atlas Air 1999-1 Pass-Through Trust, Series 1999-1, Class A-1
|
NR
|
7.200%
|
01/02/2019
|
N/A
|
686,381
|
|||||
425,463
|
Atlas Air 2000-1 Pass-Through Trust, Series 2000-1, Class A
|
NR
|
8.707%
|
01/02/2019
|
N/A
|
425,463
|
|||||
1,750,000
|
Delta Air Lines Pass-Through Trust, Series 2011-1, Class B
|
BB
|
7.125%
|
10/15/2014
|
N/A
|
1,791,563
|
|||||
830,000
|
Global Aviation Holdings, Inc.(a) (c) (d)
|
NR
|
14.000%
|
08/15/2013
|
N/A
|
242,775
|
|||||
1,594,664
|
United Airlines 2009-2A Pass-Through Trust, Series 2009-2(a)
|
BBB+
|
9.750%
|
01/15/2017
|
N/A
|
1,837,850
|
|||||
10,913,579
|
|||||||||||
Auto Parts & Equipment – 0.3%
|
|||||||||||
720,000
|
Stanadyne Corp., Series 1
|
CCC
|
10.000%
|
08/15/2014
|
N/A
|
655,200
|
|||||
Banks – 2.9%
|
|||||||||||
1,200,000
|
Barclays Bank PLC (United Kingdom)(a) (b) (e) (f)
|
BBB
|
6.860%
|
–
|
06/15/32 @ 100
|
1,206,000
|
|||||
500,000
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands)(a) (b) (e) (f)
|
A-
|
11.000%
|
–
|
06/30/19 @ 100
|
677,750
|
|||||
750,000
|
Itau Unibanco Holding SA (Brazil)(a) (b)
|
Baa2
|
5.125%
|
05/13/2023
|
N/A
|
761,250
|
|||||
1,000,000
|
KeyCorp Capital III(a)
|
BBB-
|
7.750%
|
07/15/2029
|
N/A
|
1,122,469
|
|||||
1,250,000
|
Northgroup Preferred Capital Corp.(a) (b) (e) (f)
|
A-
|
6.378%
|
–
|
10/15/17 @ 100
|
1,294,000
|
|||||
700,000
|
PNC Preferred Funding Trust III(a) (b) (e) (f)
|
BBB
|
8.700%
|
–
|
03/15/13 @ 100
|
706,664
|
|||||
1,400,000
|
RBS Capital Trust II(a) (e) (f)
|
BB
|
6.425%
|
–
|
01/03/34 @ 100
|
1,176,000
|
|||||
6,944,133
|
|||||||||||
Building Materials – 0.8%
|
|||||||||||
1,750,000
|
Cemex SAB de CV (Mexico)(a) (b)
|
B-
|
9.000%
|
01/11/2018
|
01/11/15 @ 105
|
1,850,625
|
|||||
Coal – 1.0%
|
|||||||||||
100,000
|
Penn Virginia Resource Partners LP / Penn Virginia Resource Finance Corp.
|
B
|
8.250%
|
04/15/2018
|
04/15/14 @ 104
|
104,500
|
|||||
2,325,000
|
Penn Virginia Resource Partners LP / Penn Virginia Resource Finance Corp. II(a) (b)
|
B
|
8.375%
|
06/01/2020
|
06/01/16 @ 104
|
2,441,250
|
|||||
2,545,750
|
|||||||||||
Commercial Services – 3.1%
|
|||||||||||
2,000,000
|
Ceridian Corp.(a) (b)
|
B-
|
8.875%
|
07/15/2019
|
07/15/15 @ 107
|
2,140,000
|
|||||
1,800,000
|
DynCorp International, Inc.(a)
|
B-
|
10.375%
|
07/01/2017
|
07/01/14 @ 105
|
1,588,500
|
|||||
250,000
|
Jaguar Holdings Co. II / Jaguar Merger Sub, Inc.(b)
|
B-
|
9.500%
|
12/01/2019
|
12/01/14 @ 107
|
281,250
|
|||||
2,550,000
|
Laureate Education, Inc.(a) (b)
|
CCC+
|
9.250%
|
09/01/2019
|
09/01/15 @ 107
|
2,601,000
|
|||||
800,000
|
Logo Merger Sub Corp.(b)
|
CCC+
|
8.375%
|
10/15/2020
|
10/15/15 @ 106
|
812,000
|
|||||
7,422,750
|
See notes to financial statements.
|
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 11
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
Computers – 0.4%
|
|||||||||||
$
|
288,000
|
Stratus Technologies, Inc. (Bermuda)
|
B-
|
12.000%
|
03/29/2015
|
04/15/13 @ 112
|
$
|
274,320
|
|||
590,000
|
Stream Global Services, Inc.
|
B+
|
11.250%
|
10/01/2014
|
10/01/13 @ 100
|
619,500
|
|||||
893,820
|
|||||||||||
Consumer Products – 0.9%
|
|||||||||||
1,100,000
|
Spectrum Brands Escrow Corp.(b)
|
B3
|
6.375%
|
11/15/2020
|
11/15/16 @ 103
|
1,141,250
|
|||||
1,050,000
|
Spectrum Brands Escrow Corp.(b)
|
B3
|
6.625%
|
11/15/2022
|
11/15/17 @ 103
|
1,099,875
|
|||||
2,241,125
|
|||||||||||
Distribution & Wholesale – 0.7%
|
|||||||||||
350,000
|
Baker & Taylor Acquisitions Corp.(b)
|
CCC
|
15.000%
|
04/01/2017
|
10/01/14 @ 108
|
262,500
|
|||||
1,330,000
|
INTCOMEX, Inc.(a)
|
B-
|
13.250%
|
12/15/2014
|
12/15/13 @ 100
|
1,353,275
|
|||||
1,615,775
|
|||||||||||
Diversified Financial Services – 5.9%
|
|||||||||||
3,500,000
|
Caribbean Development Bank(a) (b)
|
AA+
|
4.375%
|
11/09/2027
|
N/A
|
3,564,984
|
|||||
1,000,000
|
General Electric Capital Corp., Class A(a) (e) (f)
|
AA-
|
7.125%
|
–
|
06/15/22 @ 100
|
1,126,350
|
|||||
500,000
|
Jefferies Group, Inc.
|
BBB
|
6.875%
|
04/15/2021
|
N/A
|
553,750
|
|||||
77,000
|
LCP Dakota Fund, Class P
|
NR
|
10.000%
|
08/17/2015
|
N/A
|
77,663
|
|||||
55,000
|
LCP Dakota Fund, Class Q
|
NR
|
12.500%
|
08/17/2015
|
N/A
|
55,567
|
|||||
215,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.(b)
|
B+
|
9.625%
|
05/01/2019
|
05/01/15 @ 107
|
238,112
|
|||||
1,100,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.(b)
|
B2
|
7.875%
|
10/01/2020
|
10/01/16 @ 104
|
1,139,875
|
|||||
2,475,000
|
Nuveen Investments, Inc.(a) (b)
|
CCC
|
9.125%
|
10/15/2017
|
10/15/14 @ 107
|
2,456,438
|
|||||
2,650,000
|
QBE Capital Funding III Ltd. (Jersey)(a) (b) (f)
|
BBB+
|
7.250%
|
05/24/2041
|
05/24/21 @ 100
|
2,731,233
|
|||||
500,000
|
Scottrade Financial Services, Inc.(b)
|
Baa3
|
6.125%
|
07/11/2021
|
N/A
|
514,734
|
|||||
1,945,000
|
Svensk Exportkredit AB (Sweden)(a) (b) (e)
|
BBB-
|
6.375%
|
–
|
03/27/13 @ 100
|
1,943,959
|
|||||
14,402,665
|
|||||||||||
Electrical Components & Equipment – 0.6%
|
|||||||||||
1,400,000
|
Coleman Cable, Inc.(a)
|
B
|
9.000%
|
02/15/2018
|
02/15/14 @ 105
|
1,492,750
|
|||||
Engineering & Construction – 1.0%
|
|||||||||||
1,390,909
|
Alion Science and Technology Corp.(g)
|
B-
|
12.000%
|
11/01/2014
|
04/01/13 @ 105
|
1,293,545
|
|||||
2,000,000
|
Alion Science and Technology Corp.
|
CCC-
|
10.250%
|
02/01/2015
|
02/01/13 @ 100
|
1,020,000
|
|||||
2,313,545
|
|||||||||||
Entertainment – 2.3%
|
|||||||||||
528,000
|
Agua Caliente Band of Cahuilla Indians(b)
|
BB
|
6.350%
|
10/01/2015
|
N/A
|
511,278
|
|||||
375,000
|
Diamond Resorts Corp.
|
B-
|
12.000%
|
08/15/2018
|
08/15/14 @ 106
|
405,000
|
|||||
1,955,000
|
Lions Gate Entertainment, Inc.(a) (b)
|
B
|
10.250%
|
11/01/2016
|
11/01/13 @ 105
|
2,174,938
|
|||||
330,000
|
Live Nation Entertainment, Inc.(b)
|
B
|
7.000%
|
09/01/2020
|
09/01/16 @ 104
|
343,200
|
|||||
1,935,000
|
WMG Acquisition Corp.(a)
|
B-
|
11.500%
|
10/01/2018
|
10/01/14 @ 109
|
2,186,550
|
|||||
5,620,966
|
|||||||||||
Food – 1.3%
|
|||||||||||
500,000
|
BI-LO, LLC / BI-LO Finance Corp.(b)
|
B-
|
9.250%
|
02/15/2019
|
02/15/15 @ 105
|
521,250
|
|||||
2,447,000
|
Bumble Bee Acquisition Corp.(a) (b)
|
B
|
9.000%
|
12/15/2017
|
12/15/14 @ 105
|
2,581,585
|
|||||
3,102,835
|
|||||||||||
Gaming – 0.1%
|
|||||||||||
125,000
|
Yonkers Racing Corp.(b)
|
B+
|
11.375%
|
07/15/2016
|
07/15/13 @ 106
|
134,688
|
|||||
Hand & Machine Tools – 0.1%
|
|||||||||||
150,000
|
Thermadyne Holdings Corp.
|
B-
|
9.000%
|
12/15/2017
|
12/15/13 @ 107
|
159,000
|
See notes to financial statements.
|
12 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
Health Care Products – 0.0%***
|
|||||||||||
$
|
100,000
|
Physio-Control International, Inc.(b)
|
B+
|
9.875%
|
01/15/2019
|
01/15/15 @ 107
|
$
|
109,250
|
|||
Health Care Services – 2.6%
|
|||||||||||
1,800,000
|
Apria Healthcare Group, Inc.(a)
|
BB
|
11.250%
|
11/01/2014
|
11/01/13 @ 100
|
1,860,750
|
|||||
2,275,000
|
Apria Healthcare Group, Inc.(a)
|
B
|
12.375%
|
11/01/2014
|
11/01/13 @ 100
|
2,229,500
|
|||||
275,000
|
OnCure Holdings, Inc.
|
Caa3
|
11.750%
|
05/15/2017
|
05/15/14 @ 106
|
141,625
|
|||||
785,000
|
Physiotherapy Associates Holdings, Inc.(a) (b)
|
B
|
11.875%
|
05/01/2019
|
05/01/15 @ 109
|
777,150
|
|||||
410,000
|
Rural/Metro Corp.(b)
|
CCC+
|
10.125%
|
07/15/2019
|
07/15/15 @ 105
|
387,450
|
|||||
600,000
|
Rural/Metro Corp.(b)
|
CCC+
|
10.125%
|
07/15/2019
|
07/15/15 @ 105
|
564,000
|
|||||
312,333
|
Symbion, Inc.(h)
|
CCC+
|
11.000%
|
08/23/2015
|
08/23/13 @ 100
|
321,703
|
|||||
6,282,178
|
|||||||||||
Household Products & Housewares – 0.7%
|
|||||||||||
1,445,000
|
American Achievement Corp.(a) (b)
|
B-
|
10.875%
|
04/15/2016
|
10/15/13 @ 105
|
1,199,350
|
|||||
625,000
|
Armored Autogroup, Inc.
|
CCC
|
9.250%
|
11/01/2018
|
11/01/14 @ 105
|
494,531
|
|||||
1,693,881
|
|||||||||||
Housewares – 0.0%***
|
|||||||||||
75,000
|
American Standards Americas(b)
|
B-
|
10.750%
|
01/15/2016
|
01/15/14 @ 103
|
72,469
|
|||||
Insurance – 4.1%
|
|||||||||||
1,000,000
|
Allstate Corp.(a) (f)
|
BBB
|
6.500%
|
05/15/2057
|
05/15/37 @ 100
|
1,056,250
|
|||||
1,000,000
|
AXA SA (France)(a) (b) (e) (f)
|
BBB
|
6.379%
|
–
|
12/14/36 @ 100
|
942,500
|
|||||
1,000,000
|
Hub International Ltd. (b)
|
CCC+
|
8.125%
|
10/15/2018
|
10/15/14 @ 104
|
1,037,500
|
|||||
800,000
|
Ironshore Holdings US, Inc.(a) (b)
|
BBB-
|
8.500%
|
05/15/2020
|
N/A
|
887,208
|
|||||
1,000,000
|
MetLife Capital Trust IV(a) (b)
|
BBB
|
7.875%
|
12/15/2037
|
12/15/32 @ 100
|
1,220,000
|
|||||
700,000
|
National Life Insurance Co.(a) (b)
|
BBB+
|
10.500%
|
09/15/2039
|
N/A
|
989,930
|
|||||
250,000
|
Nationwide Mutual Insurance Co.(b)
|
A-
|
9.375%
|
08/15/2039
|
N/A
|
359,804
|
|||||
3,500,000
|
Prudential Financial, Inc.(a) (i)
|
BBB+
|
5.625%
|
06/15/2043
|
06/15/23 @ 100
|
3,508,750
|
|||||
10,001,942
|
|||||||||||
Internet – 2.0%
|
|||||||||||
1,000,000
|
First Data Corp.(a) (b) (j)
|
B-
|
8.750%
|
01/15/2022
|
01/15/16 @ 104
|
1,015,000
|
|||||
1,510,000
|
GXS Worldwide, Inc.(a)
|
B
|
9.750%
|
06/15/2015
|
06/15/13 @ 102
|
1,576,063
|
|||||
425,000
|
Zayo Group LLC / Zayo Capital, Inc.
|
B
|
8.125%
|
01/01/2020
|
07/01/15 @ 104
|
464,312
|
|||||
1,590,000
|
Zayo Group LLC / Zayo Capital, Inc.
|
CCC+
|
10.125%
|
07/01/2020
|
07/01/16 @ 105
|
1,780,800
|
|||||
4,836,175
|
|||||||||||
Iron & Steel – 0.9%
|
|||||||||||
1,075,000
|
APERAM (Luxembourg)(a) (b)
|
B+
|
7.750%
|
04/01/2018
|
04/01/15 @ 104
|
919,125
|
|||||
600,000
|
Horsehead Holding Corp.(b)
|
B-
|
10.500%
|
06/01/2017
|
06/01/15 @ 105
|
624,000
|
|||||
285,000
|
IAMGOLD Corp. (Canada)(b)
|
BB-
|
6.750%
|
10/01/2020
|
N/A
|
279,300
|
|||||
240,000
|
Standard Steel, LLC / Standard Steel Finance Corp.(b)
|
BB-
|
12.000%
|
05/01/2015
|
05/01/13 @ 106
|
273,600
|
|||||
2,096,025
|
|||||||||||
Leisure Time – 0.8%
|
|||||||||||
1,875,000
|
Sabre, Inc.(a) (b)
|
B
|
8.500%
|
05/15/2019
|
05/15/15 @ 106
|
1,982,813
|
|||||
Lodging – 1.3%
|
|||||||||||
1,600,000
|
Caesars Entertainment Operating Co., Inc.(b)
|
B
|
8.500%
|
02/15/2020
|
02/15/16 @ 104
|
1,568,000
|
|||||
1,500,000
|
Caesars Entertainment Operating Co., Inc.(b)
|
B
|
9.000%
|
02/15/2020
|
02/15/16 @ 105
|
1,496,250
|
|||||
3,064,250
|
See notes to financial statements.
|
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 13
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
Media – 0.5%
|
|||||||||||
$
|
500,000
|
DCP, LLC / DCP Corp.(b)
|
B+
|
10.750%
|
08/15/2015
|
08/15/13 @ 105
|
$
|
520,000
|
|||
800,000
|
Griffey Intermediate, Inc. / Griffey Finance Sub LLC(b)
|
CCC+
|
7.000%
|
10/15/2020
|
10/15/15 @ 105
|
812,000
|
|||||
1,332,000
|
|||||||||||
Mining – 0.8%
|
|||||||||||
250,000
|
Kaiser Aluminum Corp.
|
BB-
|
8.250%
|
06/01/2020
|
06/01/16 @ 104
|
273,750
|
|||||
1,025,000
|
Midwest Vanadium Pty Ltd. (Australia)(b)
|
CCC+
|
11.500%
|
02/15/2018
|
02/15/15 @ 106
|
640,625
|
|||||
1,125,000
|
Mirabela Nickel Ltd. (Australia)(b)
|
CCC+
|
8.750%
|
04/15/2018
|
04/15/15 @ 104
|
945,000
|
|||||
1,859,375
|
|||||||||||
Oil & Gas – 4.4%
|
|||||||||||
1,600,000
|
BreitBurn Energy Partners, LP / BreitBurn Finance Corp.(a) (b)
|
B
|
7.875%
|
04/15/2022
|
01/15/17 @ 104
|
1,644,000
|
|||||
335,000
|
Drill Rigs Holdings, Inc. (Marshall Islands)(b)
|
B
|
6.500%
|
10/01/2017
|
10/01/15 @ 103
|
332,488
|
|||||
500,000
|
EPL Oil & Gas, Inc.(b)
|
B-
|
8.250%
|
02/15/2018
|
02/15/15 @ 104
|
496,250
|
|||||
1,000,000
|
Legacy Reserves LP / Finance Corp.(b)
|
B-
|
8.000%
|
12/01/2020
|
12/01/16 @ 104
|
1,002,500
|
|||||
2,250,000
|
Magnum Hunter Resources Corp.(a) (b)
|
CCC+
|
9.750%
|
05/15/2020
|
05/15/16 @ 105
|
2,306,250
|
|||||
1,100,000
|
Midstates Petroleum Co., Inc. / Midstates Petroleum Co. LLC(b)
|
B-
|
10.750%
|
10/01/2020
|
10/01/16 @ 105
|
1,160,500
|
|||||
3,000,000
|
SandRidge Energy, Inc.
|
B
|
7.500%
|
02/15/2023
|
08/15/17 @ 104
|
3,120,000
|
|||||
700,000
|
Shelf Drilling Holding Ltd. (Cayman Islands)(b)
|
B
|
8.625%
|
11/01/2018
|
05/01/15 @ 104
|
703,500
|
|||||
10,765,488
|
|||||||||||
Oil & Gas Services – 0.1%
|
|||||||||||
200,000
|
Exterran Holdings, Inc.
|
BB
|
7.250%
|
12/01/2018
|
12/01/13 @ 105
|
210,000
|
|||||
Packaging & Containers – 0.1%
|
|||||||||||
300,000
|
Pretium Packaging, LLC / Pretium Finance, Inc.
|
B-
|
11.500%
|
04/01/2016
|
04/01/14 @ 106
|
309,750
|
|||||
Pipelines – 1.5%
|
|||||||||||
330,000
|
Crestwood Midstream Partners / Crestwood Midstream Finance Corp.
|
B-
|
7.750%
|
04/01/2019
|
04/01/15 @ 104
|
336,600
|
|||||
3,000,000
|
Eagle Rock Energy Partners, LP / Eagle Rock Energy Finance Corp.(b)
|
B
|
8.375%
|
06/01/2019
|
06/01/15 @ 104
|
3,045,000
|
|||||
150,000
|
EP Energy, LLC / Everest Acquisition Finance, Inc.(a)
|
B+
|
6.875%
|
05/01/2019
|
05/01/15 @ 103
|
162,375
|
|||||
3,543,975
|
|||||||||||
Real Estate – 0.6%
|
|||||||||||
1,350,000
|
Jones Lang Lasalle, Inc.(a)
|
BBB-
|
4.400%
|
11/15/2022
|
08/15/22 @ 100
|
1,376,068
|
|||||
Real Estate Investment Trust – 0.3%
|
|||||||||||
700,000
|
EPR Properties(a)
|
BB+
|
5.750%
|
08/15/2022
|
05/15/22 @ 100
|
738,788
|
|||||
Retail – 2.6%
|
|||||||||||
350,000
|
Checkers Drive-In Restaurants, Inc.(b)
|
B-
|
11.000%
|
12/01/2017
|
06/01/15 @ 108
|
354,375
|
|||||
1,479,000
|
CKE Restaurants, Inc.(a)
|
B-
|
11.375%
|
07/15/2018
|
07/15/14 @ 106
|
1,710,094
|
|||||
1,995,000
|
GRD Holdings III Corp.(a) (b)
|
B
|
10.750%
|
06/01/2019
|
06/01/15 @ 108
|
2,039,887
|
|||||
60,000
|
Logan’s Roadhouse, Inc.
|
B-
|
10.750%
|
10/15/2017
|
10/15/13 @ 108
|
56,250
|
|||||
240,000
|
Mastro’s Restaurants, LLC / RRG Finance Corp.(b)
|
B-
|
12.000%
|
06/01/2017
|
12/01/14 @ 109
|
247,500
|
|||||
1,890,000
|
Wok Acquisition Corp.(b)
|
CCC+
|
10.250%
|
06/30/2020
|
06/30/16 @ 105
|
1,989,225
|
|||||
6,397,331
|
|||||||||||
Software – 1.1%
|
|||||||||||
860,000
|
Infor US, Inc.
|
B-
|
11.500%
|
07/15/2018
|
07/15/15 @ 106
|
997,600
|
|||||
2,120,000
|
Open Solutions, Inc.(a) (b)
|
CCC+
|
9.750%
|
02/01/2015
|
02/01/13 @ 100
|
1,706,600
|
|||||
2,704,200
|
|||||||||||
Telecommunications – 0.1%
|
|||||||||||
300,000
|
CommScope, Inc.(b)
|
B
|
8.250%
|
01/15/2019
|
01/15/15 @ 104
|
326,250
|
See notes to financial statements.
|
14 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
Textiles – 0.0%***
|
|||||||||||
$
|
100,000
|
Empire Today, LLC / Empire Today Finance Corp.(b)
|
B-
|
11.375%
|
02/01/2017
|
02/01/14 @ 106
|
$
|
106,750
|
|||
Transportation – 2.9%
|
|||||||||||
2,830,000
|
CEVA Group PLC (United Kingdom)(a) (b)
|
B-
|
8.375%
|
12/01/2017
|
12/01/13 @ 106
|
2,745,100
|
|||||
575,000
|
Commercial Barge Line Co.
|
BB-
|
12.500%
|
07/15/2017
|
07/15/13 @ 106
|
633,955
|
|||||
1,600,000
|
Marquette Transportation Company / Marquette Transportation Finance Corp.(a)
|
B-
|
10.875%
|
01/15/2017
|
01/15/14 @ 105
|
1,676,000
|
|||||
1,850,000
|
Quality Distribution, LLC / QD Capital Corp.(a)
|
B-
|
9.875%
|
11/01/2018
|
11/01/14 @ 105
|
1,998,000
|
|||||
7,053,055
|
|||||||||||
Total Corporate Bonds – 54.5%
|
|||||||||||
(Cost $128,478,815)
|
132,168,844
|
||||||||||
Asset Backed Securities – 46.4%
|
|||||||||||
Automobile – 0.0%***
|
|||||||||||
44,023
|
Bush Truck Leasing, LLC, Series 2011-AA, Class C(b)
|
NR
|
5.000%
|
09/25/2018
|
N/A
|
43,901
|
|||||
Collateralized Debt Obligations – 6.5%
|
|||||||||||
545,619
|
Aspen Funding I Ltd., Series 2002-1A, Class A1L (Cayman Islands)(b) (i)
|
BB+
|
0.950%
|
07/10/2037
|
N/A
|
525,835
|
|||||
570,172
|
Coronado CDO Ltd., Series 1A, Class A1 (Cayman Islands)(b) (i)
|
B
|
0.831%
|
09/04/2038
|
N/A
|
464,337
|
|||||
2,413,654
|
Diversified Asset Securitization Holdings II LP, Series 1A, Class A1L (Cayman Islands)(b) (i)
|
BBB+
|
0.879%
|
09/15/2035
|
N/A
|
2,321,525
|
|||||
143,311
|
Diversified Asset Securitization Holdings II LP, Series 1X, Class A1L (Cayman Islands)(i)
|
BBB+
|
0.879%
|
09/15/2035
|
N/A
|
138,057
|
|||||
398,153
|
Diversified Asset Securitization Holdings III LP, Series 1A, Class A2 (Cayman Islands)(b) (k)
|
BB+
|
7.420%
|
07/05/2036
|
N/A
|
389,895
|
|||||
263,235
|
Independence I CDO Ltd., Series 1A, Class A (Cayman Islands)(b) (i)
|
BB+
|
0.709%
|
12/30/2030
|
N/A
|
253,509
|
|||||
209,785
|
MWAM CBO Ltd., Series 2001-1A, Class A (Cayman Islands)(b) (i)
|
AA
|
1.274%
|
01/30/2031
|
N/A
|
208,887
|
|||||
183,230
|
Putnam Structured Product CDO, Series 2001-1A, Class A1SS (Cayman Islands)(b) (i)
|
AA
|
0.812%
|
02/25/2032
|
N/A
|
178,827
|
|||||
732,887
|
Putnam Structured Product CDO, Series 2003-1A, Class A1LT (Cayman Islands)(b) (i)
|
CCC
|
0.658%
|
10/15/2038
|
N/A
|
661,255
|
|||||
8,521,798
|
Rockwall CDO Ltd., Series 2007-1A, Class A1LA (Cayman Islands)(a) (b) (i)
|
BBB+
|
0.563%
|
08/01/2024
|
N/A
|
7,754,836
|
|||||
212,221
|
Saybrook Point CBO Ltd., Series 2001-1A, Class A (Cayman Islands)(b) (i)
|
BB
|
0.792%
|
02/25/2031
|
N/A
|
201,199
|
|||||
2,000,000
|
Stone Tower CDO Ltd., Series 2004-1A, Class A2L (Cayman Islands)(b) (i)
|
BBB-
|
1.563%
|
01/29/2040
|
N/A
|
1,804,180
|
|||||
1,000,000
|
Zais Investment Grade Ltd., Series 6A, Class A2A (Cayman Islands)(b) (i)
|
A+
|
1.726%
|
07/27/2018
|
N/A
|
935,000
|
|||||
15,837,342
|
|||||||||||
Collateralized Loan Obligations – 23.1%
|
|||||||||||
400,000
|
Airlie CLO, Series 2006-2A, Class B (Cayman Islands)(b) (i)
|
A
|
1.069%
|
12/20/2020
|
N/A
|
334,164
|
|||||
500,000
|
ALM Loan Funding, Series 2010-3A, Class C (Cayman Islands)(b) (i)
|
BBB
|
4.312%
|
11/20/2020
|
N/A
|
477,658
|
|||||
2,600,000
|
Atlas Senior Loan Fund II Ltd., Series 2012-2A (Cayman Islands)(b) (l)
|
NR
|
0.000%
|
01/30/2024
|
N/A
|
2,479,776
|
|||||
2,000,000
|
Black Diamond CLO Ltd., Series 2006-1A, Class B (Cayman Islands)(a) (b) (i)
|
AA
|
0.703%
|
04/29/2019
|
N/A
|
1,811,817
|
|||||
2,800,000
|
Blackrock Senior Income Series Corp., Series 2004-1X (Cayman Islands)(l)
|
NR
|
0.000%
|
09/15/2016
|
N/A
|
1,498,000
|
|||||
666,901
|
CapitalSource Commercial Loan Trust, Series 2006-2A, Class D(a) (b) (i)
|
B+
|
1.728%
|
09/20/2022
|
N/A
|
651,370
|
|||||
2,600,000
|
Carlyle Global Market Strategies, Series 2012-3A (Cayman Islands)(b) (l)
|
NR
|
0.000%
|
10/04/2024
|
N/A
|
2,556,970
|
|||||
1,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class C (Cayman Islands)(b) (i)
|
A+
|
1.600%
|
07/10/2019
|
N/A
|
833,339
|
|||||
3,500,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D1 (Cayman Islands)(b) (i)
|
BBB+
|
2.950%
|
07/10/2019
|
N/A
|
3,073,700
|
|||||
1,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D2 (Cayman Islands)(b)
|
BBB+
|
8.370%
|
07/10/2019
|
N/A
|
985,603
|
|||||
291,200
|
Colts Trust, Series 2005-2A, Class C (Cayman Islands)(a) (b) (i)
|
AAA
|
1.229%
|
12/20/2018
|
N/A
|
291,861
|
|||||
250,000
|
Colts Trust, Series 2007-1A, Class C (Cayman Islands)(a) (b) (i)
|
AA+
|
1.179%
|
03/20/2021
|
N/A
|
205,300
|
|||||
250,000
|
Cratos CLO Ltd., Series 2007-1A, Class C (Cayman Islands)(b) (i)
|
AA-
|
1.411%
|
05/19/2021
|
N/A
|
209,022
|
See notes to financial statements.
|
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 15
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
Collateralized Loan Obligations continued
|
|||||||||||
$
|
5,050,000
|
Eastland CLO Ltd., Series 2007-1A, Class A2B (Cayman Islands)(a) (b) (i)
|
AA+
|
0.643%
|
05/01/2022
|
N/A
|
$
|
4,160,529
|
|||
500,000
|
Emporia Preferred Funding, Series 2005-1A, Class B1 (Cayman Islands)(b) (i)
|
AAA
|
0.893%
|
10/12/2018
|
N/A
|
455,840
|
|||||
1,250,000
|
Emporia Preferred Funding, Series 2005-1A, Class C (Cayman Islands)(b) (i)
|
AA
|
1.293%
|
10/12/2018
|
N/A
|
1,116,702
|
|||||
250,000
|
Emporia Preferred Funding, Series 2006-2A, Class B (Cayman Islands)(b) (i)
|
A+
|
0.825%
|
10/18/2018
|
N/A
|
229,171
|
|||||
212,798
|
FM Leveraged Capital Fund, Series 2005-1A, Class B (Cayman Islands)(b) (i)
|
AAA
|
0.939%
|
08/01/2017
|
N/A
|
212,484
|
|||||
250,000
|
FM Leveraged Capital Fund, Series 2005-1A, Class C (Cayman Islands)(b) (i)
|
AA+
|
1.339%
|
08/01/2017
|
N/A
|
237,820
|
|||||
7,700,000
|
Fortress Credit Opportunities I LP, Series 2005-1A, Class A1(a)
|
Aa2
|
0.634%
|
07/15/2019
|
N/A
|
6,705,083
|
|||||
381,449
|
Friedbergmilstein Private Capital Fund, Series 2004-1A, Class B2 (Cayman Islands)(a) (b)
|
AA+
|
5.409%
|
01/15/2019
|
N/A
|
384,779
|
|||||
250,000
|
Gale Force CLO Ltd., Series 2007-3A, Class C (Cayman Islands)(b) (i)
|
A
|
1.021%
|
04/19/2021
|
N/A
|
209,225
|
|||||
1,100,000
|
Genesis CLO Ltd., Series 2007-2A, Class D (Cayman Islands)(b) (i)
|
BBB
|
4.350%
|
01/10/2016
|
N/A
|
1,092,492
|
|||||
900,000
|
Global Leveraged Capital Credit Opportunity Fund, Series 2006-1A, Class C (Cayman Islands)(b) (i)
|
BB+
|
1.319%
|
12/20/2018
|
N/A
|
781,383
|
|||||
1,250,000
|
GSC Partners CDO Fund Ltd., Series 2006-7A, Class C (Cayman Islands)(b) (i)
|
AA-
|
1.312%
|
05/25/2020
|
N/A
|
1,129,737
|
|||||
250,000
|
Halcyon Structured Asset Management Long/Short CLO Ltd., Series 2007-1A, Class C (Cayman Islands)(b) (i)
|
A+
|
1.152%
|
08/07/2021
|
N/A
|
223,849
|
|||||
250,000
|
Hewett’s Island CDO Ltd., Series 2006-5A, Class C (Cayman Islands)(b) (i)
|
A
|
1.011%
|
12/05/2018
|
N/A
|
220,154
|
|||||
800,000
|
Katonah IX CLO Ltd., Series 2006-9A, Class A3L (Cayman Islands)(b) (i)
|
BBB+
|
1.035%
|
01/25/2019
|
N/A
|
659,282
|
|||||
1,200,000
|
Kennecott Funding Ltd., Series 2005-1A, Class C (Cayman Islands)(a) (b) (i)
|
BBB+
|
1.140%
|
01/13/2018
|
N/A
|
1,092,000
|
|||||
1,500,000
|
Knightsbridge CLO Ltd., Series 2007-1A, Class D (Cayman Islands)(b) (i)
|
BBB
|
5.347%
|
01/11/2022
|
N/A
|
1,425,300
|
|||||
500,000
|
Liberty CLO II Ltd., Series 2005-1A, Class A3 (Cayman Islands)(a) (b) (i)
|
A+
|
0.813%
|
11/01/2017
|
N/A
|
442,944
|
|||||
3,000,000
|
Marathon CLO II Ltd., Series 2005-2A, Class A (Cayman Islands)(b) (k) (l)
|
NR
|
0.000%
|
12/20/2019
|
N/A
|
2,535,000
|
|||||
500,000
|
Marathon CLO Ltd., Series 2005-2A, Class B (Cayman Islands)(b) (i)
|
BBB+
|
1.179%
|
12/20/2019
|
N/A
|
457,370
|
|||||
500,000
|
Marlborough Street CLO, Ltd., Series 2007-1A, Class C (Cayman Islands)(b) (i)
|
A
|
1.075%
|
04/18/2019
|
N/A
|
435,374
|
|||||
1,500,000
|
MC Funding Ltd. / MC Funding 2006-1, LLC, Series 2006-1A, Class C
(Cayman Islands)(b) (i)
|
A-
|
1.329%
|
12/20/2020
|
N/A
|
1,298,220
|
|||||
800,000
|
Mountain View Funding CLO, Series 2007-3A, Class A2 (Cayman Islands)(b) (i)
|
AA+
|
0.674%
|
04/16/2021
|
N/A
|
739,227
|
|||||
500,000
|
Navigator CDO Ltd., Series 2004-1A, Class B2 (Cayman Islands)(b)
|
AAA
|
5.585%
|
01/14/2017
|
N/A
|
508,340
|
|||||
250,000
|
OFSI Fund Ltd., Series 2006-1A, Class C (Cayman Islands)(b) (i)
|
A
|
1.229%
|
09/20/2019
|
N/A
|
202,843
|
|||||
300,000
|
Pacifica CDO Ltd., Series 2005-5X, Class B2 (Cayman Islands)
|
BBB-
|
5.811%
|
01/26/2020
|
N/A
|
301,125
|
|||||
1,500,000
|
Rosedale CLO Ltd., Series I-A, Class AIJ (Cayman Islands)(a) (b) (i)
|
AA
|
0.726%
|
07/24/2021
|
N/A
|
1,392,630
|
|||||
312,982
|
Sargas CLO II Ltd., Series 2006-1A, Class E (Cayman Islands)(b) (i)
|
B+
|
4.319%
|
10/20/2018
|
N/A
|
310,832
|
|||||
500,000
|
Shinnecock CLO, Series 2006-1A, Class C (Cayman Islands)(b) (i)
|
BBB+
|
1.240%
|
07/15/2018
|
N/A
|
439,686
|
|||||
1,200,000
|
Summit Lake CLO Ltd., Series 2005-1A, Class C1A(l)
|
NR
|
0.000%
|
02/24/2018
|
N/A
|
730,956
|
|||||
700,000
|
T2 Income Fund CLO Ltd., Series 2007-1A, Class D (Cayman Islands)(b) (i)
|
A+
|
3.090%
|
07/15/2019
|
N/A
|
607,167
|
|||||
650,000
|
TCW Global Project Fund, Series 2004-1A, Class A2A (Cayman Islands)(b) (i)
|
A
|
1.690%
|
06/15/2016
|
N/A
|
579,072
|
|||||
2,000,000
|
TCW Global Project Fund, Series 2004-1A, Class B1 (Cayman Islands)(b) (i)
|
BB-
|
2.290%
|
06/15/2016
|
N/A
|
1,312,280
|
|||||
500,000
|
TCW Global Project Fund, Series 2005-1A, Class A1 (Cayman Islands)(b) (i)
|
AA+
|
0.961%
|
09/01/2017
|
N/A
|
460,240
|
|||||
1,000,000
|
TCW Global Project Fund, Series 2005-1A, Class B2 (Cayman Islands)(b)
|
BB+
|
5.793%
|
09/01/2017
|
N/A
|
927,180
|
|||||
4,000,000
|
Telos CLO Ltd., Series 2006-1A, Class A2 (Cayman Islands)(b) (i)
|
AA+
|
0.747%
|
10/11/2021
|
N/A
|
3,702,480
|
|||||
2,500,000
|
Telos CLO Ltd., Series 2006-1A, Class B (Cayman Islands)(b) (i)
|
A+
|
0.837%
|
10/11/2021
|
N/A
|
2,207,925
|
|||||
1,000,000
|
Zohar CDO, Series 2007-3A, Class A2 (Cayman Islands)(b) (i)
|
BB+
|
0.935%
|
04/15/2019
|
N/A
|
682,660
|
|||||
56,017,961
|
See notes to financial statements.
|
16 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
Commercial Receivables – 0.4%
|
|||||||||||
$
|
500,000
|
FCC Financing Subsidiary, LLC, Series 2010-1A, Class B(b) (i) (k)
|
NR
|
12.250%
|
03/31/2017
|
N/A
|
$
|
510,350
|
|||
400,000
|
Leaf II Receivables Funding, LLC, Series 2010-4, Class D(a) (b)
|
NR
|
5.000%
|
01/20/2019
|
01/20/13 @ 100
|
371,080
|
|||||
881,430
|
|||||||||||
Credit Cards – 1.1%
|
|||||||||||
2,255,205
|
Citi Holdings Liquidating Unrated Performing Assets, Series 2012-BIZ,
|
||||||||||
Class A(b) (e) (l)
|
NR
|
0.000%
|
–
|
N/A
|
1,630,491
|
||||||
500,000
|
LCP Rights Trust, Series 2010-1, Class G
|
NR
|
11.710%
|
09/18/2018
|
N/A
|
495,293
|
|||||
200,000
|
LCP Rights Trust, Series 2010-1, Class H
|
NR
|
14.560%
|
09/18/2018
|
N/A
|
198,574
|
|||||
400,000
|
LCP Rights Trust, Series 2010-1, Class I
|
NR
|
18.290%
|
09/18/2018
|
N/A
|
399,204
|
|||||
2,723,562
|
|||||||||||
Financial – 0.0%***
|
|||||||||||
32,577
|
Blue Falcon, Series A-2(b)
|
NR
|
3.211%
|
12/25/2016
|
N/A
|
32,352
|
|||||
Insurance – 2.3%
|
|||||||||||
500,000
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class B(b)
|
AA
|
8.370%
|
01/15/2046
|
02/15/28 @ 100
|
617,255
|
|||||
500,000
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class C(b)
|
A
|
9.360%
|
01/15/2048
|
07/15/29 @ 100
|
643,185
|
|||||
500,000
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class D(b)
|
BBB
|
10.810%
|
01/15/2050
|
05/15/31 @ 100
|
651,595
|
|||||
378,400
|
Insurance Note Capital Term, Series 2005-1R1A(b) (i)
|
A-
|
0.529%
|
06/09/2033
|
N/A
|
349,487
|
|||||
1,141,535
|
Northwind Holdings, LLC, Series 2007-1A, Class A1(b) (i)
|
A
|
1.091%
|
12/01/2037
|
N/A
|
907,143
|
|||||
2,571,119
|
Structured Asset Receivables Trust, Series 2005-1A, Class CTFS(a) (b) (i)
|
CCC
|
0.819%
|
01/21/2015
|
N/A
|
2,391,141
|
|||||
5,559,806
|
|||||||||||
Media – 0.7%
|
|||||||||||
500,000
|
Adams Outdoor Advertising LP, Series 2010-1, Class B(a) (b)
|
Ba2
|
8.836%
|
12/20/2040
|
N/A
|
539,167
|
|||||
1,100,000
|
Adams Outdoor Advertising LP, Series 2010-1, Class C(a) (b)
|
B3
|
10.756%
|
12/20/2040
|
N/A
|
1,190,627
|
|||||
1,729,794
|
|||||||||||
Other – 0.6%
|
|||||||||||
1,354,157
|
Glenn Pool Oil & Gas Trust(d)
|
NR
|
6.000%
|
08/02/2021
|
N/A
|
1,413,184
|
|||||
Student Loans – 0.1%
|
|||||||||||
297,512
|
MRU Student Loan Trust, Series 2008-A, Class A1A(b) (k)
|
NR
|
7.400%
|
01/25/2041
|
N/A
|
220,340
|
|||||
Timeshare – 0.6%
|
|||||||||||
933,188
|
Diamond Resorts Owner Trust, Series 2009-1, Class A(a) (b)
|
A
|
9.310%
|
03/20/2026
|
11/20/13 @ 100
|
980,366
|
|||||
229,426
|
Silverleaf Finance, LLC, Series 2010-A, Class B(b)
|
BBB
|
8.000%
|
07/15/2022
|
09/15/15 @ 100
|
235,145
|
|||||
158,006
|
Silverleaf Finance, LLC, Series 2011-A, Class A(b)
|
NR
|
9.000%
|
06/15/2023
|
N/A
|
156,969
|
|||||
1,372,480
|
|||||||||||
Transportation – 9.5%
|
|||||||||||
12,379,294
|
Aerco Ltd., Series 2A, Class A3 (Jersey)(a) (b) (i)
|
BB-
|
0.668%
|
07/15/2025
|
N/A
|
8,913,092
|
|||||
14,899,081
|
Airplanes Pass-Through Trust, Series 2001-1A, Class A9(a) (i)
|
CCC
|
0.758%
|
03/15/2019
|
N/A
|
7,151,559
|
|||||
3,609,070
|
Aviation Capital Group Trust, Series 2003-2A, Class B1(a) (b) (i)
|
BB
|
3.208%
|
09/20/2033
|
N/A
|
2,706,802
|
|||||
1,748,463
|
Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda)(b) (i)
|
BBB-
|
0.542%
|
11/14/2033
|
N/A
|
1,468,709
|
|||||
1,359,915
|
Babcock & Brown Air Funding I Ltd., Series 2007-1X, Class G1 (Bermuda)(b) (i)
|
BBB+
|
0.542%
|
11/14/2033
|
N/A
|
1,142,329
|
|||||
605,607
|
Blade Engine Securitization Ltd., Series 2006-1A, Class B (Cayman Islands)(b) (i)
|
BB+
|
3.208%
|
09/15/2041
|
N/A
|
454,489
|
|||||
24,811
|
Castle Trust, Series 2003-1AW, Class A1(b) (i)
|
AA
|
0.958%
|
05/15/2027
|
N/A
|
22,951
|
|||||
490,220
|
Raspro Trust, Series 2005-1A, Class G(b) (i)
|
A
|
0.779%
|
03/23/2024
|
N/A
|
414,236
|
|||||
768,773
|
Vega Containervessel PLC, Series 2006-1A, Class A (Ireland)(a) (b)
|
Ba3
|
5.562%
|
02/10/2021
|
N/A
|
738,022
|
|||||
23,012,189
|
See notes to financial statements.
|
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 17
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
Trust Preferred Stocks – 1.5%
|
|||||||||||
$
|
6,000,000
|
Attentus CDO Ltd., Series 2007-3A, Class A1B (Cayman Islands)(b) (i)
|
AA-
|
0.607%
|
10/11/2042
|
N/A
|
$
|
3,604,980
|
|||
Total Asset Backed Securities – 46.4%
|
|||||||||||
(Cost $108,206,182)
|
112,449,321
|
||||||||||
Collateralized Mortgage Obligations – 5.4%
|
|||||||||||
Commercial Mortgage Backed Securities – Non-Traditional – 0.8%
|
|||||||||||
2,098,608
|
Ciena Capital, LLC, Series 2006-AA, Class A(b) (i)
|
CCC+
|
0.448%
|
10/20/2038
|
N/A
|
1,367,233
|
|||||
636,702
|
Ciena Capital, LLC, Series 2007-AA, Class A(b) (i)
|
CCC+
|
0.608%
|
10/20/2040
|
N/A
|
400,027
|
|||||
1,767,260
|
|||||||||||
Commercial Mortgage Backed Securities – Traditional – 1.3%
|
|||||||||||
400,000
|
Bank of America Merrill Lynch-DB Trust, Series 2012-OSI, Class D(b)
|
Baa3
|
6.786%
|
04/13/2029
|
N/A
|
421,231
|
|||||
2,600,000
|
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class AM(a) (e) (i)
|
B+
|
6.003%
|
–
|
N/A
|
2,585,047
|
|||||
3,006,278
|
|||||||||||
Residential Mortgage Backed Securities – 3.3%
|
|||||||||||
108,959
|
Accredited Mortgage Loan Trust, Series 2006-2, Class A3(i)
|
BB
|
0.358%
|
09/25/2036
|
N/A
|
99,294
|
|||||
80,572
|
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AB4, Class A1A(i)
|
D
|
6.005%
|
10/25/2036
|
12/25/20 @ 100
|
55,912
|
|||||
436,715
|
GSAA Trust, Series 2007-5, Class 1F2A(i)
|
CCC
|
5.788%
|
03/25/2047
|
12/25/28 @ 100
|
326,269
|
|||||
614,442
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR9, Class 3A1(i)
|
CCC
|
4.897%
|
06/25/2036
|
07/25/20 @ 100
|
576,806
|
|||||
197,985
|
New Century Home Equity Loan Trust, Series 2004-A, Class AII9(i)
|
B
|
4.966%
|
08/25/2034
|
05/25/20 @ 100
|
197,003
|
|||||
6,117,692
|
Nomura Resecuritization Trust, Series 2012-1R, Class A(a) (b) (i)
|
NR
|
0.651%
|
08/27/2047
|
N/A
|
5,352,980
|
|||||
853,197
|
TBW Mortgage Backed Pass-Through Certificates, Series 2006-6, Class A3(m)
|
D
|
5.750%
|
01/25/2037
|
02/25/21 @ 100
|
518,250
|
|||||
1,988,230
|
TBW Mortgage Backed Pass-Through Certificates, Series 2006-6, Class A5B(m)
|
D
|
6.040%
|
01/25/2037
|
02/25/21 @ 100
|
1,139,892
|
|||||
8,266,406
|
|||||||||||
Total Collateralized Mortgage Obligations – 5.4%
|
|||||||||||
(Cost $12,201,319)
|
13,039,944
|
||||||||||
Term Loans – 17.5%(n)
|
|||||||||||
Aerospace & Defense – 0.0%
|
|||||||||||
98,521
|
API Technologies Corp.(d) (i)
|
B
|
8.750%
|
06/27/2016
|
N/A
|
97,043
|
|||||
Automotive – 0.4%
|
|||||||||||
250,000
|
Fleetpride(i)
|
CCC+
|
9.250%
|
05/15/2020
|
N/A
|
245,833
|
|||||
119,700
|
Keystone Automotive Operations, Inc.(i)
|
Caa2
|
9.750%
|
03/30/2016
|
N/A
|
120,897
|
|||||
520,000
|
Navistar, Inc.(i)
|
B+
|
7.000%
|
08/16/2017
|
N/A
|
522,444
|
|||||
889,174
|
|||||||||||
Brokerage – 0.0%
|
|||||||||||
80,000
|
AmWins Group, Inc.(i)
|
CCC+
|
9.250%
|
12/07/2019
|
N/A
|
81,000
|
|||||
Consumer Products – 0.5%
|
|||||||||||
148,125
|
Targus Group International, Inc.(i)
|
B
|
11.000%
|
05/04/2016
|
N/A
|
149,977
|
|||||
950,000
|
Transtar Industries(i)
|
CCC+
|
9.750%
|
10/02/2019
|
N/A
|
953,562
|
|||||
1,103,539
|
|||||||||||
Consumer Service – 2.6%
|
|||||||||||
850,000
|
Endurance International(i)
|
B
|
6.250%
|
11/06/2019
|
N/A
|
849,647
|
|||||
1,100,000
|
Endurance International(i)
|
CCC+
|
10.250%
|
11/06/2019
|
N/A
|
1,100,000
|
|||||
1,550,375
|
Fly Funding II(i)
|
BBB-
|
6.750%
|
08/07/2018
|
N/A
|
1,561,360
|
|||||
250,000
|
GCA Services Group, Inc.(i)
|
B
|
5.250%
|
10/11/2019
|
N/A
|
249,895
|
See notes to financial statements.
|
18 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Principal
|
Optional Call
|
||||||||||
Amount
|
Description
|
Rating *
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||||
Consumer Service continued
|
|||||||||||
$
|
400,000
|
GCA Services Group, Inc.(i)
|
CCC+
|
9.250%
|
10/11/2020
|
N/A
|
$
|
398,000
|
|||
98,750
|
Nab Holdings, LLC(i)
|
BB+
|
7.000%
|
04/24/2018
|
N/A
|
99,738
|
|||||
145,833
|
Redprairie Corp.(i)
|
B+
|
6.000%
|
07/31/2018
|
N/A
|
146,380
|
|||||
2,070,000
|
Travelport Holdings Ltd.(i)
|
B+
|
4.860%
|
08/21/2015
|
N/A
|
1,970,195
|
|||||
6,375,215
|
|||||||||||
Diversified Manufacturing – 0.9%
|
|||||||||||
1,040,000
|
CPM Holdings(i)
|
B+
|
6.250%
|
08/16/2017
|
N/A
|
1,050,400
|
|||||
530,000
|
CPM Holdings(i)
|
B
|
10.250%
|
08/16/2018
|
N/A
|
535,962
|
|||||
510,125
|
Panolam Industries(d)
|
B+
|
7.250%
|
08/22/2017
|
N/A
|
508,850
|
|||||
2,095,212
|
|||||||||||
Electric – 0.3%
|
|||||||||||
700,000
|
Astoria Generating Co. Acquisitions(i)
|
B
|
8.500%
|
10/26/2017
|
N/A
|
702,845
|
|||||
Entertainment – 0.6%
|
|||||||||||
1,338,157
|
Bushnell, Inc.(i)
|
B
|
5.750%
|
08/24/2015
|
N/A
|
1,338,993
|
|||||
114,750
|
CKX Entertainment, Inc.(i)
|
B+
|
9.000%
|
06/21/2017
|
N/A
|
99,546
|
|||||
1,438,539
|
|||||||||||
Food & Beverage – 1.5%
|
|||||||||||
2,500,000
|
Advance Pierre Foods(i)
|
CCC+
|
9.500%
|
10/02/2017
|
N/A
|
2,562,500
|
|||||
950,000
|
Arctic Glacier(i)
|
B
|
8.500%
|
07/27/2018
|
N/A
|
961,875
|
|||||
3,524,375
|
|||||||||||
Gaming – 0.6%
|
|||||||||||
1,150,000
|
Jacobs Entertainment(i)
|
BB-
|
6.250%
|
10/26/2018
|
N/A
|
1,137,063
|
|||||
378,667
|
Rock Ohio Caesars, LLC(i)
|
BB-
|
8.500%
|
08/11/2017
|
N/A
|
389,553
|
|||||
1,526,616
|
|||||||||||
Gas Distributor – 0.7%
|
|||||||||||
1,650,000
|
MRC Global, Inc.(i)
|
B+
|
6.250%
|
10/24/2019
|
N/A
|
1,658,250
|
|||||
Health Care – 1.4%
|
|||||||||||
850,000
|
Ardent Health Services, Inc.(i)
|
B+
|
6.750%
|
05/19/2018
|
N/A
|
857,085
|
|||||
2,500,000
|
One Call Medical, Inc.(i)
|
B+
|
7.000%
|
08/22/2019
|
N/A
|
2,512,500
|
|||||
98,750
|
Plato, Inc.(i)
|
BB-
|
7.500%
|
05/07/2018
|
N/A
|
98,256
|
|||||
3,467,841
|
|||||||||||
Insurance – 0.2%
|
|||||||||||
400,000
|
Confie Seguros(i)
|
B-
|
6.500%
|
11/08/2018
|
N/A
|
397,750
|
|||||
150,000
|
Cunningham(i)
|
B3
|
9.250%
|
04/18/2020
|
N/A
|
152,437
|
|||||
550,187
|
|||||||||||
Oil Field Services – 0.4%
|
|||||||||||
550,000
|
P2 Energy(i)
|
CCC+
|
10.000%
|
05/20/2019
|
N/A
|
544,500
|
|||||
500,000
|
Shelf Drilling Holding Ltd.(d) (i)
|
B+
|
7.250%
|
12/31/2018
|
N/A
|
500,000
|
|||||
1,044,500
|
|||||||||||
Other Financials – 0.2%
|
|||||||||||
150,000
|
Flexera Software, Inc.(i)
|
B
|
11.000%
|
09/30/2018
|
N/A
|
152,156
|
|||||
400,000
|
Homeward Residential Holdings, Inc.(i)
|
B+
|
8.250%
|
08/07/2017
|
N/A
|
401,000
|
|||||
553,156
|
|||||||||||
Other Industrials – 0.1%
|
|||||||||||
286,257
|
Sirva Worldwide, Inc.(d) (i)
|
B
|
10.750%
|
03/31/2016
|
N/A
|
291,266
|
See notes to financial statements.
|
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 19
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Expiration
|
Exercise
|
||||||||||
Contracts
|
Options Purchased
|
Month
|
Price
|
Value
|
|||||||
Pharmaceuticals – 0.6%
|
|||||||||||
$
|
176,087
|
Harvard Drug(i)
|
B+
|
4.750%
|
10/04/2019
|
N/A
|
$
|
177,187
|
|||
1,173,913
|
Harvard Drug(i)
|
B+
|
6.000%
|
10/04/2019
|
N/A
|
1,181,250
|
|||||
1,358,437
|
|||||||||||
Railroad – 0.1%
|
|||||||||||
198,990
|
Helm Financial Corp.(i)
|
NR
|
6.250%
|
06/01/2017
|
N/A
|
199,114
|
|||||
Retail – 1.7%
|
|||||||||||
150,000
|
Asurion Corp.(i)
|
BB-
|
11.000%
|
09/02/2019
|
N/A
|
159,675
|
|||||
2,244,375
|
Blue Coat Systems(i)
|
BB-
|
5.750%
|
02/15/2018
|
N/A
|
2,257,011
|
|||||
546,949
|
Deb Store Holdings, LLC(d) (i) (k) (o)
|
CCC+
|
12.500%
|
10/11/2016
|
N/A
|
546,949
|
|||||
250,000
|
Guitar Center, Inc.(i)
|
B-
|
5.620%
|
04/09/2017
|
N/A
|
240,157
|
|||||
149,625
|
HD Supply(i)
|
B+
|
7.250%
|
10/05/2017
|
N/A
|
154,044
|
|||||
750,000
|
Ollies Holdings, Inc.(i)
|
B
|
6.250%
|
09/27/2019
|
N/A
|
750,000
|
|||||
4,107,836
|
|||||||||||
Technology – 3.1%
|
|||||||||||
107,041
|
Aspect Software(i)
|
B
|
7.000%
|
05/07/2016
|
N/A
|
105,569
|
|||||
130,000
|
Ceridian Corp.(i)
|
B-
|
5.960%
|
05/09/2017
|
N/A
|
130,109
|
|||||
650,000
|
Deltek Systems(i)
|
CCC+
|
10.000%
|
10/04/2018
|
N/A
|
662,188
|
|||||
1,300,000
|
Deltek, Inc.(i)
|
B+
|
6.000%
|
10/04/2018
|
N/A
|
1,312,350
|
|||||
619,286
|
Entrust, Inc.(i)
|
B3
|
6.250%
|
11/02/2019
|
N/A
|
616,189
|
|||||
280,714
|
Entrust Ltd.(Canada)(i)
|
B3
|
6.250%
|
11/02/2019
|
N/A
|
279,311
|
|||||
500,000
|
IPC Information Systems, Inc.(i)
|
B-
|
7.750%
|
07/31/2017
|
N/A
|
493,750
|
|||||
500,000
|
Magic Newco LLC(i)
|
CCC+
|
12.000%
|
06/06/2019
|
N/A
|
513,750
|
|||||
1,640,000
|
Mmodal, Inc.(i)
|
BB-
|
6.750%
|
08/15/2019
|
N/A
|
1,627,700
|
|||||
1,350,000
|
Wall Street Systems Delaware, Inc.(i)
|
B2
|
5.750%
|
10/24/2019
|
N/A
|
1,349,156
|
|||||
450,000
|
Wall Street Systems Delaware, Inc.(i)
|
Caa2
|
9.250%
|
04/24/2020
|
N/A
|
452,250
|
|||||
7,542,322
|
|||||||||||
Transportation – 0.9%
|
|||||||||||
36,528
|
Carey International, Inc.(d) (i) (k)
|
Caa3
|
9.000%
|
01/25/2014
|
N/A
|
18,264
|
|||||
600,000
|
Evergreen Tank Solutions, Inc.(i)
|
B-
|
9.500%
|
09/26/2018
|
N/A
|
600,000
|
|||||
265,654
|
Global Aviation Holdings, Inc.(d) (i)
|
NR
|
9.490%
|
12/31/2012
|
N/A
|
264,989
|
|||||
1,000,000
|
Sabre Corp.(i)
|
B
|
7.250%
|
12/29/2017
|
N/A
|
1,013,125
|
|||||
259,314
|
Sabre, Inc.(i)
|
B
|
5.960%
|
09/30/2017
|
N/A
|
260,612
|
|||||
2,156,990
|
|||||||||||
Wireless – 0.5%
|
|||||||||||
1,296,750
|
Zayo Group LLC(i)
|
B
|
5.250%
|
07/02/2019
|
N/A
|
1,308,278
|
|||||
Wire Lines – 0.2%
|
|||||||||||
498,679
|
Avaya, Inc.(i)
|
B1
|
4.810%
|
10/26/2017
|
N/A
|
438,214
|
|||||
Total Term Loans – 17.5%
|
|||||||||||
(Cost $41,699,117)
|
42,509,949
|
See notes to financial statements.
|
20 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Number
|
|||||
of Shares
|
Description
|
Value
|
|||
Common Stock – 0.1%
|
|||||
Retail – 0.1%
|
|||||
9,389
|
Deb Store Holdings, LLC(d) (k) (p)
|
$
|
125,070
|
||
(Cost $125,069)
|
|||||
Preferred Stocks – 3.0%
|
|||||
Diversified Financial Services – 1.8%
|
|||||
800
|
Ares VIII CLO Ltd. (Cayman Islands)(a) (b) (i) (l) (p)
|
455,925
|
|||
500
|
Falcons Funding Trust I, 8.875% (b) (i)
|
520,344
|
|||
5,200
|
GSC Partners CDO Fund Ltd. V / GSC Partners CDO Fund Corp. (Cayman Islands)(a) (b) (l) (p)
|
2,221,466
|
|||
2,100,000
|
Whitehorse II Ltd., Series 2005-2A(b) (l) (p)
|
1,050,000
|
|||
4,247,735
|
|||||
Insurance – 0.2%
|
|||||
20,000
|
Aegon NV, 6.380% (Netherlands)(a)
|
508,000
|
|||
3,800
|
ING Groep NV, 7.050% (Netherlands)(a)
|
94,924
|
|||
602,924
|
|||||
Telecommunications – 0.5%
|
|||||
1,000
|
Centaur Funding Corp., 9.080% (Cayman Islands)(b)
|
1,253,125
|
|||
Transportation – 0.5%
|
|||||
40,000
|
Seaspan Corp., Series C, 9.500% (Marshall Islands)
|
1,102,000
|
|||
Total Preferred Stocks – 3.0%
|
|||||
(Cost $6,493,563)
|
7,205,784
|
||||
Exchange Traded Funds – 20.4%
|
|||||
50,900
|
Consumer Discretionary Select Sector SPDR Fund(q)
|
2,419,277
|
|||
59,200
|
Health Care Select Sector SPDR Fund(q)
|
2,382,208
|
|||
37,400
|
iShares Dow Jones US Real Estate Index Fund(q)
|
2,379,762
|
|||
45,460
|
iShares MSCI Spain Index Fund
|
1,314,703
|
|||
154,500
|
iShares Russell 2000 Index Fund(q)
|
12,685,995
|
|||
131,600
|
SPDR S&P 500 ETF Trust(q)
|
18,695,096
|
|||
13,300
|
SPDR S&P MidCap 400 ETF Trust(q)
|
2,425,255
|
|||
19,000
|
SPDR S&P Retail ETF(q)
|
1,202,130
|
|||
82,700
|
Technology Select Sector SPDR Fund(q)
|
2,409,051
|
|||
100,700
|
Utilities Select Sector SPDR Fund(q)
|
3,556,724
|
|||
(Cost $48,743,676)
|
49,470,201
|
||||
Warrants – 0.0%
|
|||||
Engineering & Construction – 0.0%
|
|||||
1,050
|
Alion Science and Technology Corp., expiring 03/15/2017 (d) (k) (p)
|
–
|
|||
(Cost $10)
|
|||||
Total Long-Term Investments – 147.3%
|
|||||
(Cost $345,947,751)
|
356,969,113
|
See notes to financial statements.
|
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 21
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
Expiration
|
Exercise | |||||||
Contracts
|
Options Purchased
|
Month
|
Price |
Value
|
||||
Call Options Purchased – 0.4%
|
||||||||
10,479
|
Financial Select Sector SPDR Fund (p)
|
January 2013
|
$ |
16.00
|
$
|
246,256
|
||
2,099
|
iShares MSCI Spain Index Fund (p) (q)
|
January 2013
|
$ |
26.00
|
624,453
|
|||
1,212
|
Proshares UltraShort 20+ Year Treasury (p) (q)
|
March 2013
|
$ |
64.00
|
67,872
|
|||
440
|
Proshares UltraShort 20+ Year Treasury (p) (q)
|
March 2013
|
$ |
64.00
|
97,900
|
|||
1,092
|
Proshares UltraShort 20+ Year Treasury (p) (q)
|
March 2013
|
$ |
72.00
|
80,262
|
|||
664
|
Proshares UltraShort 20+ Year Treasury (p) (q)
|
March 2013
|
$ |
84.00
|
11,952
|
|||
(Cost $1,364,573)
|
1,128,695
|
|||||||
Number
|
||||||||
of Shares
|
Description
|
Value
|
||||||
Money Market Fund – 0.4%
|
||||||||
886,723
|
Dreyfus Treasury Prime Cash Management Institutional Shares
|
886,723
|
||||||
(Cost $886,723)
|
||||||||
Total Investments – 148.1%
|
||||||||
(Cost $348,199,047)
|
358,984,531
|
|||||||
Liabilities in excess of Other Assets – (1.3%)
|
(3,148,625
|
)
|
||||||
Total Value of Options Written – (1.5%) (Premiums received – $2,520,034)
|
(3,591,000
|
)
|
||||||
Borrowings – (19.4% of Net Assets or 13.1% of Total Investments)
|
(47,098,955
|
)
|
||||||
Reverse Repurchase Agreements – (25.9%)
|
(62,796,569
|
)
|
||||||
Net Assets – 100.0%
|
$
|
242,349,382
|
AB – Stock Company
|
AMBAC – Insured by Ambac Assurance Corporation
|
CBO – Collateralized Bond Obligation
|
CDO – Collateralized Debt Obligation
|
CLO – Collateralized Loan Obligation
|
LLC – Limited Liability Company
|
LP – Limited Partnership
|
N/A- Not Applicable
|
NV – Publicly Traded Company
|
PLC – Public Limited Company
|
Pty – Proprietary
|
SA – Corporation
|
S&P – Standard & Poor’s
|
SAB de CV – Publicly Traded Company
|
*
|
Ratings shown are per Standard & Poor’s Rating Group, Moody’s Investor Services, Inc. or Fitch Ratings. Securities classified as NR are not rated. (For securities not rated by Standard & Poor’s Rating Group, the rating by Moody’s Investor Services, Inc. is provided. Likewise, for securities not rated by Standard & Poor’s Rating Group and Moody’s Investor Services, Inc., the rating by Fitch Ratings is provided.) All ratings are unaudited. The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
|
**
|
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates. All optional call provisions are unaudited.
|
(a)
|
All or a portion of these securities have been physically segregated in connection with borrowings, unfunded commitments and reverse repurchase agreements. As of November 30, 2012, the total amount segregated was $138,085,309.
|
(b)
|
Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2012, these securities amounted to $186,983,469, which represents 77.2% of net assets.
|
(c)
|
Non-income producing as security is in default.
|
(d)
|
Illiquid security.
|
(e)
|
Security is perpetual and, thus does not have a predetermined maturity date.
|
(f)
|
Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
|
(g)
|
The issuer of this security will accrue interest on the secured note at a rate of 12% per annum and will make interest payments as follows: (1) 10% in cash and (2) 2% payment-in-kind shares on the secured note.
|
See notes to financial statements.
|
22 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
PORTFOLIO OF INVESTMENTS (Unaudited) continued
|
November 30, 2012
|
(h)
|
The issuer of this security may elect to pay interest entirely in cash, entirely by payment-in-kind shares by increasing the principal amount or issuing new notes equal to such payment-in-kind interest, or pay 50% of the interest in cash and 50% payment-in-kind.
|
(i)
|
Floating or variable rate coupon. The rate shown is as of November 30, 2012.
|
(j)
|
Paid-in-kind toggle note. The issuer in each interest period has the option to pay interest in cash or to issue payment-in-kind shares of the note.
|
(k)
|
Security is valued in accordance with Fair Valuation procedures established in good faith by management and approved by the Board of Trustees and is based, in part on significant unobservable inputs. The total market value of such securities is $4,345,868 which represents 1.8% of net assets.
|
(l)
|
Security has no stated coupon. However, it is expected to receive residual cashflow payments on deal defined payment dates.
|
(m)
|
Security is a “Step up” bond where the coupon increases or steps up at a predetermined date. The rate shown reflects the rate in effect at the end of the reporting period.
|
(n)
|
Term loans held by the Fund have a variable interest rate feature which is periodically adjusted based on an underlying interest rate benchmark. In addition, term loans may include mandatory and/or optional prepayment terms. As a result, the actual maturity dates of the loan may be different than the amounts disclosed in the portfolios of investments. Term loans may be considered restricted in that the Fund may be contractually obligated to secure approval from the Agent Bank and/or Borrower prior to the sale or disposition of loan.
|
(o)
|
The issuer of this security will accrue interest at a rate of 12.5% per annum and will make interest payments as follows: (1) 6.0% in payment-in-kind interest and (2) 6.5% in cash.
|
(p)
|
Non-income producing security.
|
(q)
|
All or a portion of this security is segregated as collateral (or as potential collateral for future transactions) for written options.
|
Contracts
|
||||||||
(100 shares
|
Expiration
|
Exercise
|
||||||
per contract)
|
Options Written – (1.5%) (a)
|
Month
|
Price
|
Value
|
||||
Call Options Written – (0.9%)
|
||||||||
509
|
Consumer Discretionary Select Sector SPDR Fund
|
December 2012
|
$
|
45.00
|
$
|
(130,813)
|
||
592
|
Health Care Select Sector SPDR Fund
|
December 2012
|
39.00
|
(80,512)
|
||||
374
|
iShares Dow Jones US Real Estate Index Fund
|
December 2012
|
62.00
|
(67,881)
|
||||
354
|
iShares MSCI Spain Index Fund
|
January 2013
|
29.00
|
(23,895)
|
||||
1,545
|
iShares Russell 2000 Index Fund
|
December 2012
|
77.00
|
(818,077)
|
||||
1,316
|
SPDR S&P 500 ETF Trust
|
December 2012
|
138.00
|
(634,970)
|
||||
133
|
SPDR S&P Midcap 400 ETF Trust
|
December 2012
|
176.00
|
(91,105)
|
||||
190
|
SPDR S&P Retail ETF
|
December 2012
|
61.00
|
(49,685)
|
||||
827
|
Technology Select Sector SPDR Fund
|
December 2012
|
28.00
|
(101,721)
|
||||
1,007
|
Utilities Select Sector SPDR Fund
|
December 2012
|
36.00
|
(11,581)
|
||||
Total Value of Call Options Written
|
||||||||
Premiums received ($739,633)
|
$
|
(2,010,240)
|
||||||
Put Options Written (0.6%)
|
||||||||
4,368
|
Proshares UltraShort 20+ Year Treasury
|
January 2013
|
$ |
60.00
|
$
|
(222,768)
|
||
1,212
|
Proshares UltraShort 20+ Year Treasury
|
March 2013
|
60.00
|
(104,232)
|
||||
440
|
Proshares UltraShort 20+ Year Treasury
|
March 2013
|
62.00
|
(198,000)
|
||||
664
|
Proshares UltraShort 20+ Year Treasury
|
March 2013
|
76.00
|
(1,055,760)
|
||||
Total Value of Put Options Written
|
||||||||
Premiums received ($1,780,401)
|
$
|
(1,580,760)
|
||||||
Total Value of Options Written – (1.5%)
|
||||||||
Premiums Received ($2,520,034)
|
$
|
(3,591,000)
|
See notes to financial statements.
|
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 23
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
|
November 30, 2012
|
Assets
|
||||
Investments in securities, at value (cost $348,199,047)
|
$
|
358,984,531
|
||
Receivable for securities sold
|
4,218,429
|
|||
Interest receivable
|
3,457,074
|
|||
Cash
|
2,618,401
|
|||
Unrealized appreciation on swaps
|
653,998
|
|||
Fund shares sold receivable
|
570,600
|
|||
Restricted cash
|
280,000
|
|||
Dividends receivable
|
9,392
|
|||
Other assets
|
7,420
|
|||
Total assets
|
370,799,845
|
|||
Liabilities
|
||||
Reverse repurchase agreements
|
62,796,569
|
|||
Borrowings
|
47,098,955
|
|||
Payable for securities purchased
|
14,138,749
|
|||
Options written, at value (premiums received of $2,520,034)
|
3,591,000
|
|||
Advisory fee payable
|
285,948
|
|||
Interest due on borrowings
|
157,203
|
|||
Offering costs payable
|
147,424
|
|||
Unrealized depreciation on unfunded commitments
|
53,778
|
|||
Administration fee payable
|
6,937
|
|||
Accrued expenses and other liabilities
|
173,900
|
|||
Total liabilities
|
128,450,463
|
|||
Net Assets
|
$
|
242,349,382
|
||
Composition of Net Assets
|
||||
Common stock, $.01 par value per share; unlimited number of shares authorized, 12,083,047 shares issued and outstanding
|
$
|
120,830
|
||
Additional paid-in capital
|
224,763,376
|
|||
Accumulated net realized gain on investments, options, and swaps
|
8,168,784
|
|||
Accumulated net unrealized appreciation on investments, options, swaps and unfunded commitments
|
10,314,738
|
|||
Distributions in excess of net investment income
|
(1,018,346
|
)
|
||
Net Assets
|
$
|
242,349,382
|
||
Net Asset Value (based on 12,083,047 common shares outstanding)
|
$
|
20.06
|
See notes to financial statements.
|
24 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
STATEMENT OF OPERATIONS For the six months ended November 30, 2012 (Unaudited)
|
November 30, 2012
|
Investment Income
|
|||||||
Interest
|
$
|
11,474,318
|
|||||
Dividends
|
404,737
|
||||||
Total income
|
$
|
11,879,055
|
|||||
Expenses
|
|||||||
Investment advisory fee
|
1,600,660
|
||||||
Interest expense
|
792,826
|
||||||
Fund accounting fee
|
69,137
|
||||||
Professional fees
|
66,571
|
||||||
Custodian fee
|
45,735
|
||||||
Administration fee
|
39,534
|
||||||
Printing expense
|
37,580
|
||||||
Trustees’ fees and expenses
|
36,289
|
||||||
NYSE listing fee
|
12,078
|
||||||
Insurance
|
11,209
|
||||||
Transfer agent fee
|
9,969
|
||||||
Miscellaneous
|
10,571
|
||||||
Total expenses
|
2,732,159
|
||||||
Net investment income
|
9,146,896
|
||||||
Realized and unrealized gain (loss) on investments, options, swaps and unfunded commitments
|
|||||||
Net realized gain (loss) on:
|
|||||||
Investments
|
3,952,187
|
||||||
Options
|
(739,388
|
)
|
|||||
Swaps
|
411,823
|
||||||
Net change in unrealized appreciation (depreciation) on:
|
|||||||
Investments
|
8,517,675
|
||||||
Options
|
(458,324
|
)
|
|||||
Swaps
|
289,083
|
||||||
Unfunded commitments
|
(18,888
|
)
|
|||||
Net realized and unrealized gain on investments, options, swaps and unfunded commitments
|
11,954,168
|
||||||
Net Increase in Net Assets Resulting from Operations
|
$
|
21,101,064
|
See notes to financial statements.
|
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 25
|
STATEMENT OF CHANGES IN NET ASSETS
|
November 30, 2012
|
For the
|
|||||||
Six Months Ended
|
For the
|
||||||
November 30, 2012
|
Year Ended
|
||||||
(unaudited
|
)
|
May 31, 2012
|
|||||
Increase in Net Assets Resulting from Operations
|
|||||||
Net investment income
|
$
|
9,146,896
|
$
|
17,747,405
|
|||
Net realized gain on investments, options and swaps
|
3,624,622
|
3,754,294
|
|||||
Net change in unrealized appreciation (depreciation) on investments, options, swaps and unfunded commitments
|
8,329,546
|
(14,267,555
|
)
|
||||
Net increase in net assets resulting from operations
|
21,101,064
|
7,234,144
|
|||||
Distributions to Common Shareholders
|
|||||||
From and in excess of net investment income
|
(10,564,685
|
)
|
(18,230,024
|
)
|
|||
Capital Share Transactions
|
|||||||
Net proceeds from common shares issued through at-the-market and underwritten offerings
|
24,203,192
|
30,038,405
|
|||||
Reinvestment of dividends
|
410,964
|
1,158,565
|
|||||
Common share offering costs charged to paid-in capital
|
(147,424
|
)
|
(187,622
|
)
|
|||
Net increase from capital share transactions
|
24,466,732
|
31,009,348
|
|||||
Total increase in net assets
|
35,003,111
|
20,013,468
|
|||||
Net Assets
|
|||||||
Beginning of period
|
207,346,271
|
187,332,803
|
|||||
End of period (including accumulated undistributed net investment income of $(1,018,346) and $399,443, respectively)
|
$
|
242,349,382
|
$
|
207,346,271
|
See notes to financial statements.
|
26 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
STATEMENT OF CASH FLOWS For the six months ended November 30, 2012 (Unaudited)
|
November 30, 2012
|
Cash Flows from Operating Activities:
|
||||
Net increase in net assets resulting from operations
|
$
|
21,101,064
|
||
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to
|
||||
Net Cash Used by Operating and Investing Activities:
|
||||
Net unrealized depreciation on investments
|
(8,517,675
|
)
|
||
Net unrealized depreciation on options
|
458,324
|
|||
Net unrealized depreciation on swaps
|
(289,083
|
)
|
||
Net unrealized appreciation on unfunded commitments
|
18,888
|
|||
Net realized gain on investments
|
(3,952,187
|
)
|
||
Net realized gain on options
|
739,388
|
|||
Net accretion of bond discount and amortization of bond premium
|
(2,376,669
|
)
|
||
Paydowns received
|
(1,415,172
|
)
|
||
Purchase of long-term investments
|
(312,029,893
|
)
|
||
Net increase in premiums on written options
|
1,033,557
|
|||
Proceeds from sale of long-term investments
|
244,291,682
|
|||
Net sales of short-term investments
|
16,879,379
|
|||
Decrease in dividends receivable
|
3,277
|
|||
Increase in interest receivable
|
(1,210,496
|
)
|
||
Increase in securities sold receivable
|
(3,568,201
|
)
|
||
Increase in fund shares sold receivable
|
(570,600
|
)
|
||
Decrease in other assets
|
78,232
|
|||
Increase in payable for securities purchased
|
10,291,874
|
|||
Increase in interest due on borrowings
|
50,713
|
|||
Increase in advisory fee payable
|
37,383
|
|||
Increase in administration fee payable
|
710
|
|||
Increase in offering costs payable
|
147,424
|
|||
Decrease in accrued expenses and other liabilities
|
(7,384
|
)
|
||
Net Cash Used by Operating and Investing Activities
|
(38,805,465
|
)
|
||
Cash Flows From Financing Activities:
|
||||
Net proceeds from the issuance of common shares
|
24,203,192
|
|||
Distributions to common shareholders
|
(10,153,721
|
)
|
||
Increase in reverse repurchase agreements
|
9,553,528
|
|||
Proceeds from borrowings
|
21,500,000
|
|||
Payments made on borrowings
|
(5,000,000
|
)
|
||
Net Cash Provided in Financing Activities
|
40,102,999
|
|||
Net increase in cash
|
1,297,534
|
|||
Cash at Beginning of Period (including restricted cash)
|
1,600,867
|
|||
Cash at End of Period (including restricted cash)
|
$
|
2,898,401
|
||
Supplemental Disclosure of Cash Flow Information: Cash paid during the period for interest
|
$
|
529,133
|
||
Supplemental Disclosure of Non Cash Financing Activity: Dividend reinvestment
|
$
|
410,964
|
||
Supplemental Disclosure of Non Cash Operating Activity: Options assigned during the period
|
$
|
1,597,527
|
||
Supplemental Disclosure of Non Cash Operating Activity: Additional principal received on payment-in-kind bonds
|
$
|
30,783
|
See notes to financial statements.
|
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 27
|
FINANCIAL HIGHLIGHTS
|
November 30, 2012
|
Per share operating performance
for a common share outstanding throughout the period
|
For the
Six Months Ended
November 30, 2012
(unaudited)
|
For the
Year Ended
May 31, 2012
|
For the
Year Ended
May 31, 2011
|
For the
Year Ended
May 31, 2010
|
For the
Year Ended
May 31, 2009
|
For the period
July 27, 2007*
through
May 31, 2008
|
|||||||||||||
Net asset value, beginning of period
|
$
|
19.00
|
$
|
20.11
|
$
|
17.56
|
$
|
12.42
|
$
|
17.52
|
$
|
19.10
|
(b)
|
||||||
Income from investment operations
|
|||||||||||||||||||
Net investment income (a)
|
0.80
|
1.80
|
1.94
|
1.76
|
1.06
|
0.79
|
|||||||||||||
Net realized and unrealized gain (loss) on investments, options, futures, swaps and unfunded commitments
|
1.18
|
(1.06
|
)
|
2.49
|
5.23
|
(4.31
|
)
|
(0.99
|
)
|
||||||||||
Total from investment operations
|
1.98
|
0.74
|
4.43
|
6.99
|
(3.25
|
)
|
(0.20
|
)
|
|||||||||||
Common share offering expenses charged to paid-in-capital
|
—
|
—
|
—
|
—
|
—
|
(0.04
|
)
|
||||||||||||
Distributions to Common Shareholders
|
|||||||||||||||||||
From and in excess of net investment income
|
(0.92
|
)
|
(1.85
|
)
|
(1.88
|
)
|
(1.85
|
)
|
(1.36
|
)
|
(0.98
|
)
|
|||||||
Return of capital
|
—
|
—
|
—
|
—
|
(0.49
|
)
|
(0.36
|
)
|
|||||||||||
Total distributions
|
(0.92
|
)
|
(1.85
|
)
|
(1.88
|
)
|
(1.85
|
)
|
(1.85
|
)
|
(1.34
|
)
|
|||||||
Net asset value, end of period
|
$
|
20.06
|
$
|
19.00
|
$
|
20.11
|
$
|
17.56
|
$
|
12.42
|
$
|
17.52
|
|||||||
Market value, end of period
|
$
|
20.65
|
$
|
21.08
|
$
|
22.32
|
$
|
17.46
|
$
|
11.53
|
$
|
16.78
|
|||||||
Total investment return (c)
|
|||||||||||||||||||
Net asset value
|
10.62
|
%
|
4.09
|
%
|
26.14
|
%
|
59.06
|
%
|
-18.37
|
%
|
-1.40
|
%
|
|||||||
Market value
|
2.50
|
%
|
3.81
|
%
|
40.85
|
%
|
70.37
|
%
|
-19.51
|
%
|
-9.41
|
%
|
|||||||
Ratios and supplemental data
|
|||||||||||||||||||
Net assets, applicable to common shareholders, end of period (in thousands)
|
$
|
242,349
|
$
|
207,346
|
$
|
187,333
|
$
|
161,783
|
$
|
113,076
|
$
|
159,509
|
|||||||
Ratios to Average Net Assets applicable to Common Shares:
|
|||||||||||||||||||
Total expenses, excluding interest expense (d)
|
1.72
|
%(e)
|
1.78
|
%
|
1.85
|
%
|
1.98
|
%
|
2.06
|
%
|
1.72
|
%(e)
|
|||||||
Total expenses, including interest expense (d)
|
2.42
|
%(e)
|
2.55
|
%
|
2.69
|
%
|
2.97
|
%
|
3.25
|
%
|
3.36
|
%(e)
|
|||||||
Net investment income, including interest expense
|
8.12
|
%(e)
|
9.45
|
%
|
10.20
|
%
|
11.30
|
%
|
7.84
|
%
|
5.08
|
%(e)
|
|||||||
Portfolio turnover (f)
|
77
|
%
|
112
|
%
|
64
|
%
|
67
|
%
|
58
|
%
|
210
|
%
|
|||||||
Senior Indebtedness
|
|||||||||||||||||||
Total Borrowings outstanding (in thousands)
|
$
|
109,896
|
$
|
83,842
|
$
|
80,670
|
$
|
69,117
|
$
|
31,085
|
$
|
76,016
|
|||||||
Asset coverage per $1,000 of indebtedness (g)
|
$
|
3,205
|
$
|
3,473
|
$
|
3,322
|
$
|
3,341
|
$
|
4,638
|
$
|
3,098
|
*
|
Commencement of operations.
|
(a)
|
Based on average shares outstanding during the period.
|
(b) | Before deduction of offering expenses charged to capital. |
(c)
|
Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported either at net asset value (“NAV”) or market price per share. Dividends and distributions are assumed to be reinvested at NAV for NAV returns or the prices obtained under the Fund’s Dividend Reinvestment Plan for market value returns. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized.
|
(d)
|
The ratios of total expenses to average net assets applicable to common shares do not reflect fees and expenses incurred indirectly by the Fund as a result of its investment in shares of other investment companies. If these fees were included in the expense ratios, the expense ratios would increase by 0.05% for the six months ended November 30, 2012, 0.04% for the year ended May 31, 2012, 0.03% for the year ended May 31, 2011, 0.05% for the year ended May 31, 2010, 0.08% for the year ended May 31, 2009, and 0.04% for the period ended May 31, 2008.
|
(e)
|
Annualized.
|
(f)
|
Portfolio turnover is not annualized for periods of less than one year.
|
(g)
|
Calculated by subtracting the Fund’s total liabilities (not including the borrowings) from the Fund’s total assets and dividing by the total borrowings.
|
See notes to financial statements.
|
28 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)
|
November 30, 2012
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 29
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2012
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||
(value in $000s)
|
|||||||||||||
Assets:
|
|||||||||||||
Corporate Bonds
|
$
|
—
|
$
|
132,169
|
$
|
—
|
$
|
132,169
|
|||||
Asset Backed Securities
|
—
|
—
|
—
|
—
|
|||||||||
Automobile
|
—
|
44
|
—
|
44
|
|||||||||
Collateralized Debt
|
|||||||||||||
Obligations
|
—
|
15,447
|
390
|
15,837
|
|||||||||
Collateralized Loan
|
|||||||||||||
Obligations
|
—
|
53,483
|
2,535
|
56,018
|
|||||||||
Commercial
|
|||||||||||||
Receivables
|
—
|
371
|
510
|
881
|
|||||||||
Credit Cards
|
—
|
2,724
|
—
|
2,724
|
|||||||||
Financial
|
—
|
32
|
—
|
32
|
|||||||||
Insurance
|
—
|
5,560
|
—
|
5,560
|
|||||||||
Media
|
—
|
1,730
|
—
|
1,730
|
|||||||||
Other
|
—
|
1,413
|
—
|
1,413
|
|||||||||
Student Loans
|
—
|
—
|
220
|
220
|
|||||||||
Timeshare
|
—
|
1,373
|
—
|
1,373
|
|||||||||
Transportation
|
—
|
23,012
|
—
|
23,012
|
|||||||||
Trust Preferred Stocks
|
—
|
3,605
|
—
|
3,605
|
|||||||||
Collateralized Mortgage
|
|||||||||||||
Obligations
|
—
|
13,040
|
—
|
13,040
|
|||||||||
Term Loans:
|
|||||||||||||
Aerospace & Defense
|
—
|
97
|
—
|
97
|
|||||||||
Automotive
|
—
|
889
|
—
|
889
|
|||||||||
Brokerage
|
—
|
81
|
—
|
81
|
|||||||||
Consumer Products
|
—
|
1,104
|
—
|
1,104
|
|||||||||
Consumer Services
|
—
|
6,375
|
—
|
6,375
|
|||||||||
Diversified
|
|||||||||||||
Manufacturing
|
—
|
2,095
|
—
|
2,095
|
|||||||||
Electric
|
—
|
703
|
—
|
703
|
|||||||||
Entertainment
|
—
|
1,439
|
—
|
1,439
|
|||||||||
Food & Beverages
|
—
|
3,524
|
—
|
3,524
|
|||||||||
Gaming
|
—
|
1,527
|
—
|
1,527
|
|||||||||
Gas Distributor
|
—
|
1,658
|
—
|
1,658
|
|||||||||
Health Care
|
—
|
3,468
|
—
|
3,468
|
|||||||||
Insurance
|
—
|
550
|
—
|
550
|
|||||||||
Oil Field Services
|
—
|
1,045
|
—
|
1,045
|
|||||||||
Other Financials
|
—
|
553
|
—
|
553
|
|||||||||
Other Industrials
|
—
|
291
|
—
|
291
|
|||||||||
Pharmaceuticals
|
—
|
1,359
|
—
|
1,359
|
|||||||||
Railroad
|
—
|
199
|
—
|
199
|
|||||||||
Retail
|
—
|
3,561
|
547
|
4,108
|
|||||||||
Technology
|
—
|
7,542
|
—
|
7,542
|
|||||||||
Transportation
|
—
|
2,139
|
18
|
2,157
|
|||||||||
Wireless
|
—
|
1,308
|
—
|
1,308
|
|||||||||
Wire Lines
|
—
|
438
|
—
|
438
|
|||||||||
Common Stock
|
—
|
—
|
125
|
125
|
|||||||||
Preferred Stock:
|
|||||||||||||
Diversified Financial
|
|||||||||||||
Services
|
—
|
4,248
|
—
|
4,248
|
|||||||||
Insurance
|
603
|
—
|
—
|
603
|
|||||||||
Telecommunications
|
—
|
1,253
|
—
|
1,253
|
|||||||||
Transportation
|
1,102
|
—
|
—
|
1,102
|
|||||||||
Exchange Traded Funds
|
49,470
|
—
|
—
|
49,470
|
|||||||||
Warrants
|
—
|
—
|
–*
|
–
|
*
|
||||||||
Options Purchased
|
1,128
|
—
|
—
|
1,128
|
|||||||||
Money Market Fund
|
887
|
—
|
—
|
887
|
|||||||||
Interest Rate Swaps
|
—
|
821
|
—
|
821
|
|||||||||
Total
|
$
|
53,190
|
$
|
302,270
|
$
|
4,345
|
$
|
359,805
|
|||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||
(value in $000s)
|
|||||||||||||
Liabilities:
|
|||||||||||||
Credit Default Swaps
|
$
|
—
|
$
|
167
|
$
|
—
|
$
|
167
|
|||||
Options Written
|
3,591
|
—
|
—
|
3,591
|
|||||||||
Unfunded Commitments
|
—
|
54
|
—
|
54
|
|||||||||
Total
|
$
|
3,591
|
$
|
221
|
$
|
—
|
$
|
3,812
|
30 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2012
|
Beginning Balance at 5/31/12
|
||||
Asset Backed Securities
|
$
|
1,339
|
||
Term Loans
|
545
|
|||
Common Stock
|
125
|
|||
Warrant
|
–
|
*
|
||
Paydowns Received
|
||||
Asset Backed Securities
|
(24
|
)
|
||
Term Loans
|
—
|
|||
Common Stock
|
—
|
|||
Warrant
|
—
|
|||
Payment-in-kind Distributions Received
|
||||
Asset Backed Securities
|
—
|
|||
Term Loans
|
17
|
|||
Common Stock
|
—
|
|||
Warrant
|
—
|
|||
Total Realized Gain/Loss
|
||||
Asset Backed Securities
|
5
|
|||
Term Loans
|
—
|
|||
Common Stock
|
—
|
|||
Warrant
|
—
|
|||
Change in Unrealized Gain/Loss
|
||||
Asset Backed Securities
|
1
|
|||
Term Loans
|
3
|
|||
Common Stock
|
—
|
|||
Warrant
|
—
|
|||
Net Purchases:
|
||||
Asset Backed Securities
|
||||
Term Loans
|
—
|
|||
Common Stock
|
—
|
|||
Warrant
|
—
|
|||
Sales
|
—
|
|||
Transfer In:
|
||||
Asset Backed Securities
|
3,145
|
|||
Term Loans
|
—
|
|||
Common Stock
|
—
|
|||
Warrant
|
—
|
|||
Transfer Out
|
—
|
|||
Asset Backed Securities
|
(811
|
)
|
||
Term Loans
|
—
|
|||
Common Stock
|
—
|
|||
Warrant
|
—
|
|||
Ending Balance at 11/30/12
|
||||
Asset Backed Securities
|
3,655
|
|||
Term Loans
|
565
|
|||
Common Stock
|
125
|
|||
Warrant
|
–
|
*
|
||
Total Level 3 holdings
|
$
|
4,345
|
*Market value is less than minimum amount disclosed.
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 31 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2012
|
32 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2012
|
Managed Assets
|
Rate
|
First $200,000,000
|
0.0275%
|
Next $300,000,000
|
0.0200%
|
Next $500,000,000
|
0.0150%
|
Over $1,000,000,000
|
0.0100%
|
Cost of
|
Net Tax
|
Net Tax
|
||
Investments
|
Gross Tax
|
Gross Tax
|
Unrealized
|
Unrealized
|
for Tax
|
Unrealized
|
Unrealized
|
Appreciation
|
Depreciation
|
Purposes
|
Appreciation
|
Depreciation
|
on Investments
|
on Derivatives
|
$348,445,666
|
$18,823,343
|
($8,284,478)
|
$10,538,865
|
($470,746)
|
Undistributed Ordinary Income/
|
Undistributed Long-Term Gains/
|
(Accumulated Ordinary Loss)
|
(Accumulated Capital Loss)
|
$3,706,813
|
$817,213
|
Distributions paid from
|
2012
|
Ordinary Income
|
$18,230,024
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 33
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2012
|
|
Number of Contracts
|
Premiums Received
|
|||||
Options outstanding, beginning of the period
|
9,293
|
$
|
1,486,477
|
||||
Options written during the period
|
51,506
|
6,236,372
|
|||||
Options expired during the period
|
(12,847
|
)
|
(838,432
|
)
|
|||
Options closed during the period
|
(19,248
|
)
|
(2,766,856
|
)
|
|||
Options assigned during the period
|
(15,173
|
)
|
(1,597,527
|
)
|
|||
Options outstanding, end of period
|
13,531
|
$
|
2,520,034
|
Upfront
|
|||||||||||
Implied Credit
|
Premium
|
Unrealized
|
|||||||||
Reference
|
Buy/Sell
|
Termination
|
Spread at
|
Notional
|
Receive
|
Received
|
Appreciation/
|
||||
Counterparty
|
Entity
|
Protection
|
Date
|
November 30, 2012 (2)
|
Amount (000s)
|
Fixed Rate
|
(Paid)
|
(Depreciation)
|
|||
Basket of distinct
|
|||||||||||
Goldman Sachs(1)
|
corporate entities
|
Sell
|
09/20/14
|
4.06
|
% |
$ 3,000
|
1.180
|
% |
$ –
|
$
|
(166,575)
|
Unrealized
|
||||||
Termination
|
Notional
|
Receive
|
Appreciation/
|
|||
Counterparty
|
Floating Rate
|
Date
|
Amount (000s)
|
Fixed Rate
|
(Depreciation)
|
|
Goldman Sachs (3)
|
3 Month LIBOR
|
01/04/38
|
$10,000
|
5.675
|
% |
$552,432
|
Goldman Sachs (3)
|
3 Month LIBOR
|
07/07/38
|
5,000
|
5.753
|
268,141
|
|
$820,573
|
||||||
Total Unrealized Appreciation for Swap Agreements |
$653,998
|
(1)
|
The Fund receives a fixed rate based upon the notional amount of $3 million and if a defined credit event occurs, pays cumulative losses in excess of a stated percentage on an underlying basket of distinct corporate entities. The maximum loss exposure is $3 million.
|
(2)
|
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
(3)
|
The Fund pays the floating rate and receives the fixed rate.
|
34 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2012
|
Asset Derivatives
|
Liability Derivatives
|
||||
Statement
|
Statement
|
||||
of Assets
|
of Assets
|
||||
and Liabilities
|
and Liabilities
|
||||
Primary Risk Exposure
|
Location
|
Fair Value |
Location
|
Fair Value | |
Equity risk
|
Investments
|
$1,129
|
Options Written
|
$3,591
|
|
in securities
|
|||||
Interest rate risk
|
Unrealized
|
821
|
Unrealized
|
–
|
|
appreciation on
|
depreciation
|
||||
swaps
|
on swaps
|
||||
Credit risk
|
Unrealized
|
–
|
Unrealized
|
167
|
|
appreciation on
|
depreciation
|
||||
swaps
|
on swaps
|
||||
Total
|
$1,950
|
$3,758
|
Effect of Derivative Instruments on the Statement of Operations:
|
||||||||||
Amount of Realized Gain (Loss) on Derivatives (value in $000s)
|
||||||||||
Primary Risk Exposure
|
Options
|
Swaps
|
Total
|
|||||||
Equity risk
|
$
|
(739
|
)
|
$
|
—
|
$
|
(739
|
)
|
||
Interest rate risk
|
—
|
394
|
394
|
|||||||
Credit risk
|
—
|
18
|
18
|
|||||||
Total
|
$
|
(739
|
)
|
$
|
412
|
$
|
(327
|
)
|
Primary Risk Exposure
|
Options
|
Swaps
|
Total
|
|||||||
Equity risk
|
$
|
(1,307
|
)
|
$
|
—
|
$
|
(1,307
|
)
|
||
Interest rate risk
|
—
|
493
|
493
|
|||||||
Credit risk
|
—
|
(204
|
)
|
(204
|
)
|
|||||
Total
|
$
|
(1,307
|
)
|
$
|
289
|
$
|
(1,018
|
)
|
Counterparty
|
Range of Interest Rates
|
Range of Maturity Dates
|
Face Value
|
Banc of America
|
|||
Securities LLC
|
1.46% - 1.96%
|
12/17/12 – 12/21/12
|
$11,336,000
|
Barclays Capital, Inc.
|
0.92% - 2.13%
|
12/13/12 – 03/01/13
|
25,134,332
|
Citigroup, Inc.
|
2.01%
|
01/09/13
|
220,000
|
Credit Suisse
|
|||
Securities LLC
|
1.85%
|
01/29/13
|
615,137
|
Morgan Stanley
|
|||
& Co., Inc.
|
1.40% - 1.55%
|
12/10/12 – 12/31/12
|
2,983,193
|
Nomura
|
2.44% - 2.97%
|
12/14/12 – 03/27/13
|
6,956,000
|
Royal Bank of
|
|||
Canada
|
2.10%
|
12/26/12
|
814,217
|
Royal Bank of
|
|||
Scotland
|
0.85% - 2.21%
|
12/05/12 – 02/22/13
|
13,664,690
|
Wells Fargo Bank, Ltd.
|
1.46% - 1.96%
|
12/13/12
|
1,073,000
|
$62,796,569
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 35
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) continued
|
November 30, 2012
|
Unrealized
|
||||||
Principal
|
Appreciation/
|
|||||
Borrower
|
Amount
|
(Depreciation) | ||||
Cequel Communication
|
$
|
800,000
|
$
|
—
|
||
Clean Harbors
|
1,750,000
|
—
|
||||
Constellation Brands
|
1,000,000
|
—
|
||||
Global Aviation
|
73,998
|
(185) | ||||
Rock Ohio Caesars
|
101,333
|
2,407
|
||||
ServiceMaster Revolver
|
800,000
|
(56,000) | ||||
Spectrum Brands
|
650,000
|
—
|
||||
$
|
5,175,331
|
$
|
(53,778) |
Six months ended
|
Year ended
|
|||||
November 30, 2012
|
May 31, 2012
|
|||||
Beginning Shares
|
10,913,698
|
9,317,708
|
||||
Shares issued through dividend reinvestment
|
20,226
|
59,490
|
||||
Common shares issued through at-the-market offering
|
1,149,123
|
36,500
|
||||
Common shares issued through underwritten offering
|
—
|
1,500,000
|
||||
Ending Shares
|
12,083,047
|
10,913,698
|
36 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
SUPPLEMENTAL INFORMATION (Unaudited)
|
November 30, 2012
|
Name, Address*, Year
of Birth and
Position(s) Held
with Registrant
|
Term of Office**
and Length
of Time Served
|
Principal Occupations during the Past Five Years and
Other Affiliations
|
Number of
Portfolios in the
Fund Complex***
Overseen by Trustee
|
Other Directorships
Held by Trustee
|
||||
Independent Trustees:
|
||||||||
Randall C. Barnes
Year of Birth: 1951
Trustee
|
Since 2007
|
Private Investor (2001-present). Formerly, Senior Vice President & Treasurer, PepsiCo., Inc. (1993-1997), President, Pizza Hut International (1991-1993) and Senior Vice President, Strategic Planning and New Business Development of PepsiCo, Inc. (1987-1990).
|
55
|
None.
|
||||
Roman Friedrich III
Year of birth: 1946
Trustee
|
Since 2010
|
Founder and President of Roman Friedrich & Company, Ltd. a US and Canadian-based business, which provides investment banking to the mining industry (1998-present). Formerly, Senior Managing Director of MLV & Co., LLC, an investment bank and institutional broker-dealer specializing in capital intensive industries such as energy, metals and mining (2010-2011).
|
50
|
Director of First Americas Gold Corp. (2012-present), Zincore Metals, Inc. (2009-present). Previously, Director of Blue Sky Uranium Corp.(formerly Windstorm Resources, Inc.) (April 2011-July 2012), Director of Axiom Gold and Silver Corp.(2011-2012), Stratagold Corp. (2003-2009); Gateway Gold Corp. (2004-2008) and GFM Resources Ltd.(2005-2010).
|
||||
Robert B. Karn III
Year of birth: 1942
Trustee
|
Since 2010
|
Consultant (1998-present). Previously, Managing Partner, Financial and Economic Consulting, St. Louis office of Arthur Andersen, LLP (1965-1998)
|
50
|
Director of Peabody Energy
Company (2003 – present), GP Natural Resource Partners LLC (2002 – present).
|
||||
Ronald A. Nyberg
Year of birth: 1953
Trustee
|
Since 2007
|
Partner of Nyberg & Cassioppi, LLC, a law firm specializing in corporate law, estate planning and business transactions (2000-present). Formerly, Executive Vice President, General Counsel and Corporate Secretary of Van Kampen Investments (1982-1999).
|
57
|
None.
|
||||
Ronald E. Toupin, Jr.
Year of birth: 1958
Trustee
|
Since 2007
|
Portfolio Consultant (2010-present). Formerly, Vice President, Manager and Portfolio Manager of Nuveen Asset Management (1998-1999), Vice President of Nuveen Investment Advisory Corp. (1992-1999), Vice President and Manager of Nuveen Unit Investment Trusts (1991-1999), and Assistant Vice President and Portfolio Manager of Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).
|
54
|
Trustee, Bennett Group of Funds (2011-present).
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 37
|
SUPPLEMENTAL INFORMATION (Unaudited) continued
|
November 30, 2012
|
Name, Address*, Year
of Birth and
Position(s) Held
with Registrant
|
Term of Office**
and Length
of Time Served
|
Principal Occupations during the Past Five Years and
Other Affiliations
|
Number of
Portfolios in the
Fund Complex***
Overseen by Trustee
|
Other Directorships
Held by Trustee
|
||||
Interested Trustee:
|
||||||||
Donald C.
Cacciapaglia†
Year of Birth: 1951
Trustee, Chief
Executive Officer
|
Since 2012
|
Senior Managing Director of Guggenheim Investments; President and Chief Executive Officer of Guggenheim Funds Distributors, LLC and President and Chief Executive Officer of Guggenheim Funds Investment Advisors, LLC (2010 – present); Chief Executive officer of funds in the Fund Complex and President and Chief Executive Officer of funds in the Rydex fund complex (2012-present). Formerly, Chief Operating Officer of Guggenheim Partners Asset Management, LLC (2010 – 2011); Chairman and CEO of Channel Capital Group Inc. and Channel Capital Group LLC (2002-2010); Managing Director of PaineWebber (1996-2002).
|
228
|
Trustee, Rydex Dynamic Funds, Rydex ETF Trust, Rydex Series Funds and Rydex Variable Trust (2012-present); Independent Board Member, Equitrust Life Insurance Company, Guggenheim Life and Annuity Company, and Paragon Life Insurance Company of Indiana (2011-present).
|
*
|
Address for all Trustees: 2455 Corporate West Drive, Lisle, IL 60532
|
|
**
|
After a Trustee’s initial term, each Trustee is expected to serve a two-year term concurrent with the class of Trustees for which he serves:
|
|
-
|
Messrs. Barnes and Friedrich, as class I Trustees, are expected to stand for re-election at the Fund’s annual meeting of shareholders for the fiscal year ended May 31, 2014.
|
|
-
|
Messrs. Karn, Nyberg and Toupin, as class II Trustees, are expected to stand for re-election at the Fund’s annual meeting of shareholders for the fiscal year ended May 31, 2013.
|
|
***
|
As of period end. The Guggenheim Investments Fund Complex consists of U.S. registered investment companies advised or serviced by Guggenheim Funds Investment Advisors, LLC, or Guggenheim Funds Distributors, Inc. and/or its affiliates. The Guggenheim Investments Fund Complex is overseen by multiple Boards of Trustees.
|
|
†
|
Mr. Donald C. Cacciapaglia is an “interested person” (as defined in section 2(a)(19) of the 1940 Act) (“Interested Trustee”) of the Trust because of his position as the President and CEO of the Investment Adviser and Distributor.
|
Name, Address*, Year of Birth and
Position(s) Held with Registrant
|
Term of Office** and
Length of Time Served
|
Principal Occupations During the Past Five Years and
Other Affiliations
|
||
Kevin M. Robinson
Year of Birth: 1959
Chief Legal Officer
|
Since 2008
|
Senior Managing Director and General Counsel of Guggenheim Funds Investment Advisors, LLC, Guggenheim Funds Distributors, LLC and Guggenheim Funds Services LLC (2007-present). Chief Legal Officer and/or Chief Executive Officer of certain other funds in the Fund Complex. Formerly, Associate General Counsel and Assistant Corporate Secretary of NYSE Euronext, Inc. (2000-2007).
|
||
John Sullivan
Year of Birth: 1955
Chief Accounting Officer,
Chief Financial Officer
and Treasurer
|
Since 2011
|
Senior Managing Director of Guggenheim Funds Investment Advisors, LLC and Guggenheim Funds Distributors, LLC (2010-present). Chief Accounting Officer, Chief Financial Officer and Treasurer of certain other funds in the Fund Complex. Formerly, Chief Compliance Officer, Van Kampen Funds (2004–2010).
|
||
Joanna M. Catalucci
Year of Birth: 1966
Interim Chief
Compliance Officer
|
Since 2012***
|
Interim Chief Compliance Officer of certain funds in the Fund Complex; and Managing Director of Compliance and Fund Board Relations, Guggenheim Investments (2012-present). Formerly, Chief Compliance Officer & Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; Vice President, Rydex Holdings, LLC; Vice President, Security Benefit Asset Management Holdings, LLC; and Senior Vice President & Chief Compliance Officer, Security Investors, LLC (2010-2012); Security Global Investors, LLC, Senior Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Chief Compliance Officer and Senior Vice President (2010-2011); Rydex Capital Partners I, LLC & Rydex Capital Partners II, LLC, Chief Compliance Officer (2006-2007); and Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Vice President (2001-2006).
|
||
Mark E. Mathiasen
Year of birth: 1978
Secretary
|
Since 2008
|
Director; Associate General Counsel of Guggenheim Funds Services, LLC (2012-present). Formerly, Vice President; Assistant General Counsel of Guggenheim Funds Services, LLC (2007-2012). Secretary of certain funds in the Fund Complex.
|
*
|
Address for all Officers: 2455 Corporate West Drive, Lisle, IL 60532
|
**
|
Officers serve at the pleasure of the Board of Trustees and until his or her successor is appointed and qualified or until his or her earlier resignation or removal.
|
***
|
Effective September 26, 2012.
|
38 | GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT
|
DIVIDEND REINVESTMENT PLAN
|
November 30, 2012
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 39
|
FUND INFORMATION
|
November 30, 2012
|
Board of Trustees
|
Executive Officers
|
Investment Adviser
|
Legal Counsel
|
|
Randall C. Barnes
|
Donald C. Cacciapaglia
|
and Administrator
|
Skadden, Arps, Slate,
|
|
Chief Executive Officer
|
Guggenheim Funds
|
Meagher & Flom LLP
|
||
Donald C. Cacciapaglia*
|
Investment Advisors, LLC
|
New York, New York
|
||
Kevin M. Robinson
|
Lisle, Illinois
|
|||
Roman Friedrich III
|
Chief Legal Officer
|
Independent Registered
|
||
Investment Sub-Adviser
|
Public Accounting Firm
|
|||
Robert B. Karn III
|
John Sullivan
|
Guggenheim Partners
|
Ernst & Young LLP
|
|
Chief Financial Officer,
|
Investment Management, LLC
|
Chicago, Illinois
|
||
Ronald A. Nyberg
|
Chief Accounting Officer,
|
Santa Monica, California
|
||
and Treasurer
|
||||
Ronald E. Toupin, Jr.,
|
Accounting Agent
|
|||
Chairman
|
Joanna M. Catalucci
|
and Custodian
|
||
Interim Chief
|
The Bank of New York Mellon
|
|||
*
|
Trustee is an “interested per-
|
Compliance Officer
|
New York, New York
|
|
son” (as defined in section
|
||||
2(a)(19) of the 1940 Act)
|
Mark E. Mathiasen
|
|||
(“Interested Trustee”) of the
|
Secretary
|
|||
Trust because of his position
|
||||
as the President and CEO of
|
||||
the Investment Adviser
|
||||
and Distributor.
|
•
|
If your shares are held in a Brokerage Account, contact your Broker.
|
•
|
If you have physical possession of your shares in certificate form, contact the Fund’s Transfer Agent:
|
Computershare Shareowner Services LLC, 480 Washington Blvd., Jersey City, NJ 07310; (866) 488-3559.
|
GOF | GUGGENHEIM STRATEGIC OPPORTUNITIES FUND SEMIANNUAL REPORT | 43
|
ABOUT THE FUND MANAGERS
|
(a)
|
Not applicable for a semi-annual reporting period.
|
Name
|
Since
|
Professional Experience During the Last Five Years
|
James Michal
|
2013
|
Guggenheim Partners Investment Management, LLC.: Director – 2008–Present. Formerly, Wachovia Capital Markets, LLC – Structured Finance Division: Associate – 2004–2008.
|
Type of Account
|
Number of Accounts
|
Total Assets in the Accounts
|
Number of Accounts In Which the Advisory Fee is Based on Performance
|
Total Assets in the Accounts In
Which the Advisory Fee is Based on Performance |
|||||
Registered investment companies
|
8
|
$790,389,165
|
1
|
$75,492,730
|
|||||
Other pooled investment vehicles
|
1
|
$ 1,943,790,647
|
1
|
$1,943,790,647
|
|||||
Other accounts
|
11
|
$ 2,172,412,513
|
1
|
$469,691,922
|
Name of Portfolio Manager
|
Dollar Amount of Equity Securities in Fund
|
|
James Michal
|
-0-
|