CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2015

Transcription

1 CONSOLIDATED SCHEDULE OF INVESTMENTS December 31, 2015 SHARES VALUE EXCHANGE-TRADED FUNDS,1-2.4% Guggenheim Enhanced Short Duration ETF 108,400 $ 5,405,908 Total Exchange-Traded Funds (Cost $5,429,550) 5,405,908 MUTUAL FUNDS,1-77.1% Guggenheim Strategy Fund I 2,860,708 71,145,807 Guggenheim Strategy Fund II 2,702,649 67,025,688 Guggenheim Strategy Fund III 1,369,458 33,962,550 Total Mutual Funds (Cost $172,788,302) 172,134,045 FACE AMOUNT U.S. GOVERNMENT SECURITIES - 4.5% U.S. Treasury Notes 0.62% due 08/15/16 4 $ 10,000,000 9,997,660 Total U.S. Treasury Notes 9,997,660 Total U.S. Government Securities (Cost $10,016,228) 9,997,660 ASSET-BACKED SECURITIES - 0.3% MORTGAGE SECURITIES - 0.3% Morgan Stanley Reremic Trust 2012-IO, 1.00% due 03/27/ , ,338 Total Asset-Backed Securities (Cost $623,884) 622,338 REPURCHASE AGREEMENTS,3-8.1% Royal Bank of Canada issued 12/31/15 at 0.24% due 01/04/16 8,405,112 8,405,112 Mizuho Financial Group, Inc. issued 12/31/15 at 0.18% due 01/04/16 5,038,206 5,038,206 HSBC Group issued 12/31/15 at 0.18% due 01/04/16 4,535,773 4,535,773 Total Repurchase Agreements (Cost $17,979,091) 17,979,091 Total Investments % (Cost $206,837,055) $ 206,139,042 Other Assets & Liabilities, net - 7.6% 17,076,000 Total Net Assets % $ 223,215,042 GAIN INTEREST RATE FUTURES PURCHASED March 2016 Japanese Government 10 Year Bond Contracts $451,335,774) 364 $ 771,833 March 2016 Euro - Bobl Contracts $131,493,659) ,211 March 2016 Canadian Government 10 Year Bond Contracts $73,005,953) ,495 March 2016 Euro - Schatz Contracts $561,648,987) 4, ,000 March 2016 U.S. Treasury 10 Year Note Contracts $7,175,766) 57 10,543

2 March 2016 U.S. Treasury Long Bond Contracts $7,518,438) 49 $ 3,802 March 2016 Euro - Bund Contracts $859,658) 5 1,574 (Total Aggregate Value of Contracts $1,233,038,235) $ 1,793,458 COMMODITY FUTURES PURCHASED February 2016 LME Lead Contracts $4,314,000) 96 $ 128,392 February 2016 Gasoline RBOB Contracts $2,882,401) 54 99,171 March 2016 Sugar #11 Contracts $4,650,610) ,943 March 2016 Silver Contracts $5,456,925) 79 (60,388) (Total Aggregate Value of Contracts $17,303,936) $ 261,118 CURRENCY FUTURES PURCHASED March 2016 Australian Dollar Contracts $11,036,720) 152 $ 21,151 March 2016 Euro FX Contracts $12,109,563) 89 (33,397) (Total Aggregate Value of Contracts $23,146,283) $ (12,246) EQUITY FUTURES PURCHASED March 2016 Topix Index Contracts $6,104,666) 48 $ 6,246 January 2016 CAC Euro Index Contracts $501,830) 10 4,387 March 2016 Dow Jones Industrial Average Index Mini Contracts $9,271,550) 107 1,908 March 2016 SPI 200 Index Contracts $961,195) 10 (3,224) January 2016 IBEX 35 Index Contracts $1,948,670) 19 (7,734) March 2016 Nikkei 225 (OSE) Index Contracts $1,719,121) 11 (14,916) January 2016 Amsterdam Index Contracts $6,280,919) 66 (22,498)

3 March 2016 NASDAQ-100 Index Mini Contracts $19,629,150) 214 $ (45,285) March 2016 FTSE 100 Index Contracts $8,543,503) 94 (47,991) March 2016 Russell 2000 Index Mini Contracts $11,409,970) 101 (63,435) (Total Aggregate Value of Contracts $66,370,574) $ (192,542) COMMODITY FUTURES SOLD SHORT February 2016 Low Sulphur Gas Oil Contracts $14,432,400) 422 $ 949,000 February 2016 New York Harbor Ultra-Low Sulfur Diesel Contracts $10,662,435) ,985 March 2016 Hard Red Winter Wheat Contracts $15,594,249) ,145 February 2016 Gold 100 oz. Contracts $12,823,580) ,968 March 2016 Brent Crude Contracts $10,523,230) ,387 March 2016 Copper Contracts $5,709,788) ,861 February 2016 WTI Crude Contracts $4,436,400) ,269 March 2016 Corn Contracts $8,359,300) ,883 March 2016 Soybean Contracts $4,966,563) ,973 March 2016 Wheat Contracts $2,699,625) 115 4,305 February 2016 Live Cattle Contracts $272,500) 5 (147) March 2016 Cotton #2 Contracts $1,393,040) 44 (948) February 2016 Lean Hogs Contracts $6,586,250) 275 (17,725) February 2016 LME Nickel Contracts $3,221,349) 61 (26,008) February 2016 LME Primary Aluminum Contracts $9,467,406) 251 (49,676)

4 March 2016 Coffee C Contracts $3,260,250) 69 $ (153,580) February 2016 LME Zinc Contracts $8,943,694) 223 (331,461) February 2016 Natural Gas Contracts $5,967,360) 256 (478,888) (Total Aggregate Value of Contracts $129,319,419) $ 1,647,343 CURRENCY FUTURES SOLD SHORT March 2016 British Pound Contracts $21,836,588) 237 $ 229,241 March 2016 Canadian Dollar Contracts $31,220,640) ,315 March 2016 Swiss Franc Contracts $6,759,450) ,173 March 2016 Japanese Yen Contracts $17,184,750) 165 (10,411) (Total Aggregate Value of Contracts $77,001,428) $ 482,318 EQUITY FUTURES SOLD SHORT January 2016 H-Shares Index Contracts $5,814,157) 93 $ 149,844 January 2016 MSCI Taiwan Stock Index Contracts $8,385,067) ,646 January 2016 Hang Seng Index Contracts $1,552,542) 11 20,943 March 2016 DAX Index Contracts $2,014,726) 7 18,219 March 2016 S&P MidCap 400 Index Mini Contracts $556,920) 4 11,593 March 2016 S&P 500 Index Mini Contracts $406,900) 4 3,800 (Total Aggregate Value of Contracts $18,730,312) $ 325,045 INTEREST RATE FUTURES SOLD SHORT March 2016 Long Gilt Contracts $16,003,376) 93 $ 165,338 March 2016 U.S. Treasury Ultra Long Bond Contracts $5,536,563) ,195 March 2016 U.S. Treasury 5 Year Note Contracts $34,677,008) ,045

5 CONSOLIDATED SCHEDULE OF INVESTMENTS (concluded) December 31, 2015 March 2016 Australian Government 10 Year Bond Contracts $13,021,097) 140 $ (21,150) March 2016 Australian Government 3 Year Bond Contracts $49,685,910) 611 (173,376) (Total Aggregate Value of Contracts $118,923,954) $ 102,052 Value determined based on Level 1 inputs, unless otherwise noted. Value determined based on Level 2 inputs. 1 Affiliated issuer. 2 Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) security is $622,338 (cost $623,884), or 0.3% of total net assets. This security has been determined to be liquid under guidelines established by the Board of Trustees. 3 Repurchase Agreements. 4 All or a portion of this security is pledged as futures collateral at December 31, 2015.