Form NPORT-P Guggenheim Variable Fund For: Mar 31

May 26, 2022 4:06 PM EDT

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    NPORT-P
    false
    
      
      
        
          0000217087
          XXXXXXXX
        
      
      
      
      
        S000010060
        C000027859
      
      
    
  
  
    
      Guggenheim Variable Funds Trust
      811-02753
      0000217087
      549300QDJHZ1HF5UC735
      702 King Farm Blvd., Suite 200
      Rockville
      
      20850
      301-296-5100
      Series X (StylePlus-Small Growth Series)
      S000010060
      549300RSTGB92L5RU061
      2022-12-31
      2022-03-31
      N
    
    
      31856310.80
      54817.90
      31801492.90
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      3474570.52000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        Triumph Bancorp Inc
        5493003RNRMEVYDZ1Q52
        Triumph Bancorp, Inc.
        89679E300
        
          
        
        327.00000000
        NS
        USD
        30744.54000000
        0.096676404773
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Coherus Biosciences Inc
        5493007IL8W5MV932D26
        Coherus Biosciences, Inc.
        19249H103
        
          
        
        3679.00000000
        NS
        USD
        47495.89000000
        0.149351133135
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Onto Innovation Inc
        254900RXZVN73CHOO062
        Onto Innovation, Inc.
        683344105
        
          
        
        842.00000000
        NS
        USD
        73161.38000000
        0.230056432350
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Kulicke & Soffa Industries Inc
        529900H6BEIRBF429744
        Kulicke & Soffa Industries, Inc.
        501242101
        
          
        
        1157.00000000
        NS
        USD
        64815.14000000
        0.203811626717
        Long
        EC
        CORP
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Encore Wire Corp
        N/A
        Encore Wire Corp.
        292562105
        
          
        
        504.00000000
        NS
        USD
        57491.28000000
        0.180781701603
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Methode Electronics Inc
        529900VM413LGLUS3F07
        Methode Electronics, Inc.
        591520200
        
          
        
        1265.00000000
        NS
        USD
        54711.25000000
        0.172039879297
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        TTEC Holdings Inc
        GTJS1N8S8I28A7L4WG97
        TTEC Holdings, Inc.
        89854H102
        
          
        
        576.00000000
        NS
        USD
        47531.52000000
        0.149463171900
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Guggenheim Partners Investment Management LLC
        N/A
        Guggenheim Variable Insurance Strategy Fund III
        N/A
        
          
        
        390326.26200000
        NS
        USD
        9598122.78000000
        30.18135912732
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Knowles Corp
        5493003EO323TDZQU148
        Knowles Corp.
        49926D109
        
          
        
        3608.00000000
        NS
        USD
        77680.24000000
        0.244266016832
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Guggenheim Partners Investment Management LLC
        N/A
        Guggenheim Strategy Fund III
        N/A
        
          
        
        369679.50700000
        NS
        USD
        9108903.05000000
        28.64300452385
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        EVERTEC Inc
        N/A
        EVERTEC, Inc.
        30040P103
        
          
        
        1534.00000000
        NS
        USD
        62786.62000000
        0.197432932464
        Long
        EC
        CORP
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Independence Realty Trust Inc
        549300Z3L8NU44NQEB29
        Independence Realty Trust, Inc.
        45378A106
        
          
        
        1406.00000000
        NS
        USD
        37174.64000000
        0.116895895789
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Range Resources Corp
        H3Y3WLYCX0BTO1TRW162
        Range Resources Corp.
        75281A109
        
          
        
        1647.00000000
        NS
        USD
        50035.86000000
        0.157338085219
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cavco Industries Inc
        N/A
        Cavco Industries, Inc.
        149568107
        
          
        
        151.00000000
        NS
        USD
        36368.35000000
        0.114360511672
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Rambus Inc
        2549000211GDCQSLV833
        Rambus, Inc.
        750917106
        
          
        
        2901.00000000
        NS
        USD
        92512.89000000
        0.290907380640
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Gentherm Inc
        HKM6YX1U5JS60TCUB219
        Gentherm, Inc.
        37253A103
        
          
        
        583.00000000
        NS
        USD
        42582.32000000
        0.133900380506
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CEVA Inc
        529900G9T7CVU2J2VU73
        CEVA, Inc.
        157210105
        
          
        
        962.00000000
        NS
        USD
        39105.30000000
        0.122966868640
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        N/A
        S&P MidCap 400 Index Mini Futures Contracts
        N/A
        
          
        
        1.00000000
        NC
        USD
        14921.25000000
        0.046919967081
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                S&P Midcap 400 Index
                N/A
              
            
            2022-06-17
            253848.75000000
            USD
            14921.25000000
          
        
        
          N
          N
          N
        
      
      
        Dime Community Bancshares Inc
        N/A
        Dime Community Bancshares, Inc.
        25432X102
        
          
        
        1704.00000000
        NS
        USD
        58907.28000000
        0.185234322757
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Asbury Automotive Group Inc
        549300JH4DTA7U42GL91
        Asbury Automotive Group, Inc.
        043436104
        
          
        
        143.00000000
        NS
        USD
        22908.60000000
        0.072036240789
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CSG Systems International Inc
        549300D7FJZUOHHXUA81
        CSG Systems International, Inc.
        126349109
        
          
        
        1329.00000000
        NS
        USD
        84484.53000000
        0.265662150722
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Movado Group Inc
        549300WCGCGPWGHVXM59
        Movado Group, Inc.
        624580106
        
          
        
        806.00000000
        NS
        USD
        31474.30000000
        0.098971139810
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Pacira BioSciences Inc
        N/A
        Pacira BioSciences, Inc.
        695127100
        
          
        
        720.00000000
        NS
        USD
        54950.40000000
        0.172791888018
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        United Community Banks Inc/GA
        549300GVW0FV66X3U703
        United Community Banks, Inc.
        90984P303
        
          
        
        2661.00000000
        NS
        USD
        92602.80000000
        0.291190103216
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Progress Software Corp
        549300R65B3JG6972S24
        Progress Software Corp.
        743312100
        
          
        
        1636.00000000
        NS
        USD
        77039.24000000
        0.242250388188
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Mueller Industries Inc
        5493005IZFE4VJLLYG84
        Mueller Industries, Inc.
        624756102
        
          
        
        1662.00000000
        NS
        USD
        90030.54000000
        0.283101615018
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Omnicell Inc
        5493008RH0GTKHHPZI77
        Omnicell, Inc.
        68213N109
        
          
        
        535.00000000
        NS
        USD
        69277.15000000
        0.217842446006
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Hanmi Financial Corp
        549300MSZ7RCG7EA6587
        Hanmi Financial Corp.
        410495204
        
          
        
        1913.00000000
        NS
        USD
        47078.93000000
        0.148039999719
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Surmodics Inc
        549300H76KXCAAGUS878
        Surmodics, Inc.
        868873100
        
          
        
        879.00000000
        NS
        USD
        39845.07000000
        0.125293080187
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Tivity Health Inc
        U5UKZMHGMOP0CPFG4B24
        Tivity Health, Inc.
        88870R102
        
          
        
        1533.00000000
        NS
        USD
        49316.61000000
        0.155076398944
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        InterDigital Inc
        N/A
        InterDigital, Inc.
        45867G101
        
          
        
        798.00000000
        NS
        USD
        50912.40000000
        0.160094370915
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Banner Corp
        N/A
        Banner Corp.
        06652V208
        
          
        
        1289.00000000
        NS
        USD
        75445.17000000
        0.237237824768
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Axcelis Technologies Inc
        529900HF9B6NL1QG9F05
        Axcelis Technologies, Inc.
        054540208
        
          
        
        737.00000000
        NS
        USD
        55665.61000000
        0.175040870486
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Digi International Inc
        529900KG656HGROI4N27
        Digi International, Inc.
        253798102
        
          
        
        2667.00000000
        NS
        USD
        57393.84000000
        0.180475300893
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Antero Midstream Corp
        N/A
        Antero Midstream Corp.
        03676B102
        
          
        
        1918.00000000
        NS
        USD
        20848.66000000
        0.065558746143
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        uniQure NV
        N/A
        uniQure N.V.
        N/A
        
          
        
        1604.00000000
        NS
        USD
        28984.28000000
        0.091141255824
        Long
        EC
        CORP
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Maximus Inc
        549300DQCDS8HJ7QF202
        Maximus, Inc.
        577933104
        
          
        
        602.00000000
        NS
        USD
        45119.90000000
        0.141879817220
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Ligand Pharmaceuticals Inc
        5493008K7TB0IKP37H79
        Ligand Pharmaceuticals, Inc.
        53220K504
        
          
        
        396.00000000
        NS
        USD
        44546.04000000
        0.140075310741
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Innoviva Inc
        549300ACOX4QTBES6535
        Innoviva, Inc.
        45781M101
        
          
        
        2952.00000000
        NS
        USD
        57121.20000000
        0.179617982651
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Shutterstock Inc
        529900G2TDIS56V0LO22
        Shutterstock, Inc.
        825690100
        
          
        
        462.00000000
        NS
        USD
        43002.96000000
        0.135223085706
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ExlService Holdings Inc
        81E3DTNF6OSH489ZOV15
        ExlService Holdings, Inc.
        302081104
        
          
        
        572.00000000
        NS
        USD
        81950.44000000
        0.257693688336
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        AMN Healthcare Services Inc
        529900W3ARRTCNFH2I39
        AMN Healthcare Services, Inc.
        001744101
        
          
        
        695.00000000
        NS
        USD
        72509.35000000
        0.228006119800
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Trinity Industries Inc
        R1JB4KXN77XFCXOQKV49
        Trinity Industries, Inc.
        896522109
        
          
        
        1222.00000000
        NS
        USD
        41987.92000000
        0.132031285864
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Walker & Dunlop Inc
        N/A
        Walker & Dunlop, Inc.
        93148P102
        
          
        
        435.00000000
        NS
        USD
        56297.70000000
        0.177028481577
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        OSI Systems Inc
        DDX3MPX1Y8YD30050X33
        OSI Systems, Inc.
        671044105
        
          
        
        917.00000000
        NS
        USD
        78055.04000000
        0.245444577855
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Kontoor Brands Inc
        549300M0CPXV65RFF271
        Kontoor Brands, Inc.
        50050N103
        
          
        
        740.00000000
        NS
        USD
        30599.00000000
        0.096218753302
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Veritex Holdings Inc
        549300F3SMOML02SC814
        Veritex Holdings, Inc.
        923451108
        
          
        
        1247.00000000
        NS
        USD
        47597.99000000
        0.149672187245
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fabrinet
        5493004TETZ6IYF7CV44
        Fabrinet
        N/A
        
          
        
        609.00000000
        NS
        USD
        64024.17000000
        0.201324416439
        Long
        EC
        CORP
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Apollo Medical Holdings Inc
        5493008O4R82Q4STJ936
        Apollo Medical Holdings, Inc.
        03763A207
        
          
        
        647.00000000
        NS
        USD
        31360.09000000
        0.098612005727
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Southwestern Energy Co
        EFWMP121W54QV9MGOP87
        Southwestern Energy Co.
        845467109
        
          
        
        7738.00000000
        NS
        USD
        55481.46000000
        0.174461809621
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chart Industries Inc
        EM7QGKC1GYOF3LSZSL80
        Chart Industries, Inc.
        16115Q308
        
          
        
        501.00000000
        NS
        USD
        86056.77000000
        0.270606069565
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Extreme Networks Inc
        549300WRECW11X94UB57
        Extreme Networks, Inc.
        30226D106
        
          
        
        3909.00000000
        NS
        USD
        47728.89000000
        0.150083803141
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Sleep Number Corp
        529900W0TZQLBT2DSS66
        Sleep Number Corp.
        83125X103
        
          
        
        665.00000000
        NS
        USD
        33722.15000000
        0.106039518666
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ServisFirst Bancshares Inc
        N/A
        ServisFirst Bancshares, Inc.
        81768T108
        
          
        
        592.00000000
        NS
        USD
        56411.68000000
        0.177386892424
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CONMED Corp
        Z6C0YCECH9DCU5ZIQW84
        CONMED Corp.
        207410101
        
          
        
        428.00000000
        NS
        USD
        63579.40000000
        0.199925834299
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Installed Building Products In
        549300I95Y9P9YM5FI86
        Installed Building Products, Inc.
        45780R101
        
          
        
        457.00000000
        NS
        USD
        38611.93000000
        0.121415463485
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Corcept Therapeutics Inc
        529900EO9LUTFMZ7FF90
        Corcept Therapeutics, Inc.
        218352102
        
          
        
        1779.00000000
        NS
        USD
        40063.08000000
        0.125978614041
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Vista Outdoor Inc
        549300QI2D33ESTJLN81
        Vista Outdoor, Inc.
        928377100
        
          
        
        1348.00000000
        NS
        USD
        48110.12000000
        0.151282583340
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Meta Financial Group Inc
        5493004X52BH1NBLW813
        Meta Financial Group, Inc.
        59100U108
        
          
        
        1109.00000000
        NS
        USD
        60906.28000000
        0.191520191179
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Stewart Information Services C
        529900TV1XI0PLKENU10
        Stewart Information Services Corp.
        860372101
        
          
        
        615.00000000
        NS
        USD
        37275.15000000
        0.117211950134
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Jack in the Box Inc
        5493002OJW26P0SUUP68
        Jack in the Box, Inc.
        466367109
        
          
        
        406.00000000
        NS
        USD
        37924.46000000
        0.119253709626
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Dorian LPG Ltd
        549300WP1W2WGMC7F395
        Dorian LPG Ltd.
        N/A
        
          
        
        2268.00000000
        NS
        USD
        32863.32000000
        0.103338922179
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Diodes Inc
        549300XP2X1ARVH3BX23
        Diodes, Inc.
        254543101
        
          
        
        986.00000000
        NS
        USD
        85772.14000000
        0.269711048691
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cohu Inc
        529900FJPORJ3JJ2XS33
        Cohu, Inc.
        192576106
        
          
        
        1165.00000000
        NS
        USD
        34484.00000000
        0.108435160916
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        iTeos Therapeutics Inc
        N/A
        iTeos Therapeutics, Inc.
        46565G104
        
          
        
        788.00000000
        NS
        USD
        25357.84000000
        0.079737891801
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Customers Bancorp Inc
        549300WLBCHYKZ53FN68
        Customers Bancorp, Inc.
        23204G100
        
          
        
        474.00000000
        NS
        USD
        24714.36000000
        0.077714464782
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Varex Imaging Corp
        549300CWYWPVCT8E9W67
        Varex Imaging Corp.
        92214X106
        
          
        
        1718.00000000
        NS
        USD
        36576.22000000
        0.115014160231
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Wells Fargo Bank, N.A.
        KB1H1DSPRFMYMCUFXT09
        Russell 2000 Growth Index
        N/A
        
          
        
        18977.00000000
        NC
        USD
        -3702298.84000000
        -11.6419026353
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              WELLS FARGO BANK, N.A.
              KB1H1DSPRFMYMCUFXT09
            
            
              
                Russell 2000 Growth Index
                N/A
              
            
            Y
            Russell 2000 Growth Index-Tenor Semi-Annually
            
              
                
              
            
            2022-04-07
            0.00000000
            USD
            0.00000000
            USD
            24682510.96000000
            USD
            -3702298.84000000
          
        
        
          N
          N
          N
        
      
      
        Virtus Investment Partners Inc
        549300HWF93HB8BDM648
        Virtus Investment Partners, Inc.
        92828Q109
        
          
        
        239.00000000
        NS
        USD
        57357.61000000
        0.180361375424
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Dreyfus Treasury Securities Ca
        549300U78VESCW509025
        Dreyfus Treasury Securities Cash Management Fund - Institutional Shares
        N/A
        
          
        
        875989.34000000
        NS
        USD
        875989.34000000
        2.754554142330
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Civitas Resources Inc
        IIVIHPH28S64K95M2381
        Civitas Resources, Inc.
        17888H103
        
          
        
        957.00000000
        NS
        USD
        57142.47000000
        0.179684866303
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Boise Cascade Co
        549300Z8B8LSRHC7XA55
        Boise Cascade Co.
        09739D100
        
          
        
        369.00000000
        NS
        USD
        25634.43000000
        0.080607630844
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Livent Corp
        254900OOLQ2VNMZTJL47
        Livent Corp.
        53814L108
        
          
        
        2438.00000000
        NS
        USD
        63558.66000000
        0.199860617235
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MaxLinear Inc
        549300EMOI0SM2IY4F64
        MaxLinear, Inc.
        57776J100
        
          
        
        1194.00000000
        NS
        USD
        69669.90000000
        0.219077450920
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Southside Bancshares Inc
        549300TC83207VQA2K65
        Southside Bancshares, Inc.
        84470P109
        
          
        
        781.00000000
        NS
        USD
        31888.23000000
        0.100272745371
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Shoe Carnival Inc
        N/A
        Shoe Carnival, Inc.
        824889109
        
          
        
        1414.00000000
        NS
        USD
        41232.24000000
        0.129655045219
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LGI Homes Inc
        549300W02B4WNV8CV109
        LGI Homes, Inc.
        50187T106
        
          
        
        421.00000000
        NS
        USD
        41123.28000000
        0.129312419795
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HealthStream Inc
        529900OJ88H8635JNH64
        HealthStream, Inc.
        42222N103
        
          
        
        1053.00000000
        NS
        USD
        20975.76000000
        0.065958412914
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Oxford Industries Inc
        IDZ20O0XD3GS4UOI2L88
        Oxford Industries, Inc.
        691497309
        
          
        
        381.00000000
        NS
        USD
        34480.50000000
        0.108424155143
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        PDC Energy Inc
        5493008W8H2T511J5Y59
        PDC Energy, Inc.
        69327R101
        
          
        
        541.00000000
        NS
        USD
        39319.88000000
        0.123641616837
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Enova International Inc
        549300O8XOCQSB49UO63
        Enova International, Inc.
        29357K103
        
          
        
        1078.00000000
        NS
        USD
        40931.66000000
        0.128709869466
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Callon Petroleum Co
        549300EFOWPEB0WLZW21
        Callon Petroleum Co.
        13123X508
        
          
        
        650.00000000
        NS
        USD
        38402.00000000
        0.120755337243
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Matson Inc
        549300OI5H3Y0I9I4I12
        Matson, Inc.
        57686G105
        
          
        
        456.00000000
        NS
        USD
        55002.72000000
        0.172956408596
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Eagle Materials Inc
        529900KRXRGXL61SG039
        Eagle Materials, Inc.
        26969P108
        
          
        
        224.00000000
        NS
        USD
        28752.64000000
        0.090412862347
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Materion Corp
        549300CJ5RI351SUYT02
        Materion Corp.
        576690101
        
          
        
        474.00000000
        NS
        USD
        40640.76000000
        0.127795132536
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Xperi Holding Corp
        N/A
        Xperi Holding Corp.
        98390M103
        
          
        
        4397.00000000
        NS
        USD
        76156.04000000
        0.239473160079
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Badger Meter Inc
        5493002JENE20OGTUG20
        Badger Meter, Inc.
        056525108
        
          
        
        427.00000000
        NS
        USD
        42576.17000000
        0.133881041792
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Buckle Inc/The
        5299007IU0461T3GDL34
        Buckle, Inc.
        118440106
        
          
        
        1004.00000000
        NS
        USD
        33172.16000000
        0.104310071556
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Exponent Inc
        529900NY3F5Q2NWPUZ42
        Exponent, Inc.
        30214U102
        
          
        
        207.00000000
        NS
        USD
        22366.35000000
        0.070331132158
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Perficient Inc
        549300HTBXKL2755T650
        Perficient, Inc.
        71375U101
        
          
        
        533.00000000
        NS
        USD
        58677.97000000
        0.184513255979
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Halozyme Therapeutics Inc
        529900242I3SV9AGM753
        Halozyme Therapeutics, Inc.
        40637H109
        
          
        
        972.00000000
        NS
        USD
        38763.36000000
        0.121891636099
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        First BanCorp/Puerto Rico
        N/A
        First BanCorp
        318672706
        
          
        
        6957.00000000
        NS
        USD
        91275.84000000
        0.287017468918
        Long
        EC
        CORP
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        CorVel Corp
        N/A
        CorVel Corp.
        221006109
        
          
        
        136.00000000
        NS
        USD
        22907.84000000
        0.072033850964
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Balchem Corp
        549300VR70OPMHUI3557
        Balchem Corp.
        057665200
        
          
        
        115.00000000
        NS
        USD
        15720.50000000
        0.049433213872
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Piper Sandler Cos
        QUQDBTUSOAKFEVMRMF78
        Piper Sandler Cos.
        724078100
        
          
        
        458.00000000
        NS
        USD
        60112.50000000
        0.189024144838
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Prestige Consumer Healthcare I
        N/A
        Prestige Consumer Healthcare, Inc.
        74112D101
        
          
        
        1219.00000000
        NS
        USD
        64533.86000000
        0.202927139939
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Hibbett Inc
        529900RD6P643J1CZM55
        Hibbett, Inc.
        428567101
        
          
        
        458.00000000
        NS
        USD
        20307.72000000
        0.063857756816
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        National Bank Holdings Corp
        N/A
        National Bank Holdings Corp.
        633707104
        
          
        
        1678.00000000
        NS
        USD
        67589.84000000
        0.212536688804
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Eagle Pharmaceuticals Inc/DE
        549300TN20OLYTJVP152
        Eagle Pharmaceuticals, Inc.
        269796108
        
          
        
        809.00000000
        NS
        USD
        40037.41000000
        0.125897894560
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MarineMax Inc
        254900TIXTN8WY3FNN63
        MarineMax, Inc.
        567908108
        
          
        
        908.00000000
        NS
        USD
        36556.08000000
        0.114950829871
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Dine Brands Global Inc
        529900HKM8OWSHLKJY75
        Dine Brands Global, Inc.
        254423106
        
          
        
        540.00000000
        NS
        USD
        42093.00000000
        0.132361710603
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Amphastar Pharmaceuticals Inc
        54930055TH0ZLSAQMJ38
        Amphastar Pharmaceuticals, Inc.
        03209R103
        
          
        
        1469.00000000
        NS
        USD
        52737.10000000
        0.165832151861
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Sturm Ruger & Co Inc
        529900DV1BWFJSHFO847
        Sturm Ruger & Company, Inc.
        864159108
        
          
        
        808.00000000
        NS
        USD
        56252.96000000
        0.176887796358
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        UFP Industries Inc
        5493007KB485C9OV5572
        UFP Industries, Inc.
        90278Q108
        
          
        
        1204.00000000
        NS
        USD
        92900.64000000
        0.292126663022
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Winnebago Industries Inc
        549300B7OYKYJLTE3G11
        Winnebago Industries, Inc.
        974637100
        
          
        
        581.00000000
        NS
        USD
        31391.43000000
        0.098710554560
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Comfort Systems USA Inc
        5299009DT1ZA5HTU6R38
        Comfort Systems USA, Inc.
        199908104
        
          
        
        794.00000000
        NS
        USD
        70673.94000000
        0.222234661191
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Albany International Corp
        L73WCPNCZIRSQGZTW097
        Albany International Corp.
        012348108
        
          
        
        577.00000000
        NS
        USD
        48652.64000000
        0.152988540987
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Alarm.com Holdings Inc
        549300HIH92U1EKIHZ32
        Alarm.com Holdings, Inc.
        011642105
        
          
        
        1225.00000000
        NS
        USD
        81413.50000000
        0.256005277035
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Vanda Pharmaceuticals Inc
        529900AY8VOOQBKJ0O70
        Vanda Pharmaceuticals, Inc.
        921659108
        
          
        
        2617.00000000
        NS
        USD
        29598.27000000
        0.093071951348
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Patrick Industries Inc
        549300FZ5ZTCCJ3Z5W14
        Patrick Industries, Inc.
        703343103
        
          
        
        606.00000000
        NS
        USD
        36541.80000000
        0.114905926318
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LeMaitre Vascular Inc
        549300FZUBUB7MHY8R17
        LeMaitre Vascular, Inc.
        525558201
        
          
        
        954.00000000
        NS
        USD
        44332.38000000
        0.139403455489
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Hillenbrand Inc
        U246OE781574J2BUD366
        Hillenbrand, Inc.
        431571108
        
          
        
        1473.00000000
        NS
        USD
        65062.41000000
        0.204589168831
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Advanced Energy Industries Inc
        549300756XI3QLFT2U27
        Advanced Energy Industries, Inc.
        007973100
        
          
        
        820.00000000
        NS
        USD
        70585.60000000
        0.221956875489
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Boot Barn Holdings Inc
        529900QE1BFMYA3N4E71
        Boot Barn Holdings, Inc.
        099406100
        
          
        
        619.00000000
        NS
        USD
        58675.01000000
        0.184503948240
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Guggenheim Partners Investment Management LLC
        N/A
        Guggenheim Ultra Short Duration Fund - Institutional Class
        40169J523
        
          
        
        29295.20900000
        NS
        USD
        286800.10000000
        0.901844768425
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fulgent Genetics Inc
        549300CL6P01M68QJ404
        Fulgent Genetics, Inc.
        359664109
        
          
        
        475.00000000
        NS
        USD
        29644.75000000
        0.093218108009
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Interactive Brokers Group Inc
        5493004DT6DCDUZNDM53
        Interactive Brokers Group, Inc.
        45841N107
        
          
        
        327.00000000
        NS
        USD
        21552.57000000
        0.067772195688
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Hilltop Holdings Inc
        54930010TA543US0PM65
        Hilltop Holdings, Inc.
        432748101
        
          
        
        2118.00000000
        NS
        USD
        62269.20000000
        0.195805901929
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Central Pacific Financial Corp
        549300W3YEAOZ4KGG849
        Central Pacific Financial Corp.
        154760409
        
          
        
        2537.00000000
        NS
        USD
        70782.30000000
        0.222575399911
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Supernus Pharmaceuticals Inc
        549300GRM36VBKISYJ58
        Supernus Pharmaceuticals, Inc.
        868459108
        
          
        
        1482.00000000
        NS
        USD
        47898.24000000
        0.150616325310
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Guggenheim Partners Investment Management LLC
        N/A
        Guggenheim Strategy Fund II
        N/A
        
          
        
        224299.23500000
        NS
        USD
        5506546.22000000
        17.31537018502
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Tennant Co
        JYAIRLT8DVP6DP8UT336
        Tennant Co.
        880345103
        
          
        
        956.00000000
        NS
        USD
        75332.80000000
        0.236884476577
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Valvoline Inc
        549300CMHPBEY6VPOT75
        Valvoline, Inc.
        92047W101
        
          
        
        629.00000000
        NS
        USD
        19851.24000000
        0.062422352505
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Viavi Solutions Inc
        5493006K3E3N1QOBF092
        Viavi Solutions, Inc.
        925550105
        
          
        
        3896.00000000
        NS
        USD
        62647.68000000
        0.196996034736
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Insteel Industries Inc
        52990026LKY4MOX3L174
        Insteel Industries, Inc.
        45774W108
        
          
        
        1134.00000000
        NS
        USD
        41946.66000000
        0.131901543527
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Preferred Bank/Los Angeles CA
        5493007K6HGI9G0ECX16
        Preferred Bank/Los Angeles CA
        740367404
        
          
        
        1046.00000000
        NS
        USD
        77498.14000000
        0.243693402205
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Ingevity Corp
        5493009UTFC4B5IMGF87
        Ingevity Corp.
        45688C107
        
          
        
        810.00000000
        NS
        USD
        51896.70000000
        0.163189508628
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Ultra Clean Holdings Inc
        5493007L6LS7QX18PE75
        Ultra Clean Holdings, Inc.
        90385V107
        
          
        
        1081.00000000
        NS
        USD
        45823.59000000
        0.144092574974
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HomeStreet Inc
        N/A
        HomeStreet, Inc.
        43785V102
        
          
        
        1414.00000000
        NS
        USD
        66995.32000000
        0.210667216821
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SPS Commerce Inc
        2549006XVF9GCCETDQ72
        SPS Commerce, Inc.
        78463M107
        
          
        
        569.00000000
        NS
        USD
        74652.80000000
        0.234746212181
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        3D Systems Corp
        5493003HHDOCCW4OP744
        3D Systems Corp.
        88554D205
        
          
        
        2501.00000000
        NS
        USD
        41716.68000000
        0.131178369931
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Matador Resources Co
        549300CI3Q2UUK5R4G79
        Matador Resources Co.
        576485205
        
          
        
        1382.00000000
        NS
        USD
        73218.36000000
        0.230235606329
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SM Energy Co
        84BUTVXV5ODI6BXNMH43
        SM Energy Co.
        78454L100
        
          
        
        1677.00000000
        NS
        USD
        65319.15000000
        0.205396489420
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cytokinetics Inc
        549300BE5DY1HW7IHA64
        Cytokinetics, Inc.
        23282W605
        
          
        
        1288.00000000
        NS
        USD
        47411.28000000
        0.149085076443
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        AdvanSix Inc
        5493009TPRODMCAZLF67
        AdvanSix, Inc.
        00773T101
        
          
        
        851.00000000
        NS
        USD
        43477.59000000
        0.136715562809
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        N/A
        Russell 2000 Index Mini Futures Contracts
        N/A
        
          
        
        3.00000000
        NC
        USD
        19151.25000000
        0.060221229425
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                Russell 2000 Index
                N/A
              
            
            2022-06-17
            290598.75000000
            USD
            19151.25000000
          
        
        
          N
          N
          N
        
      
      
        Innovative Industrial Properti
        5493008BQ0545EZXRR30
        Innovative Industrial Properties, Inc.
        45781V101
        
          
        
        85.00000000
        NS
        USD
        17459.00000000
        0.054899938361
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Veeco Instruments Inc
        5493004201F72ADDZW04
        Veeco Instruments, Inc.
        922417100
        
          
        
        1753.00000000
        NS
        USD
        47664.07000000
        0.149879976232
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Harmonic Inc
        549300LRGRD8XC9BTL66
        Harmonic, Inc.
        413160102
        
          
        
        3250.00000000
        NS
        USD
        30192.50000000
        0.094940511424
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Independent Bank Corp
        549300C5K3W8THR3GE10
        Independent Bank Corp.
        453836108
        
          
        
        268.00000000
        NS
        USD
        21892.92000000
        0.068842428463
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
    
    
      2022-05-02
      Guggenheim Variable Funds Trust
      John Sullivan
      John Sullivan
      CFO
    
  
  XXXX



Series A (StylePlus—Large Core Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Shares   Value 
COMMON STOCKS - 17.8%
Technology - 4.9%
Apple, Inc.   19,946   $3,482,771 
Microsoft Corp.   9,886    3,047,953 
Broadcom, Inc.   1,077    678,166 
Intel Corp.   11,909    590,210 
International Business Machines Corp.   4,450    578,589 
QUALCOMM, Inc.   3,460    528,757 
Akamai Technologies, Inc.*   4,069    485,798 
HP, Inc.   11,876    431,099 
Hewlett Packard Enterprise Co.   24,613    411,283 
NVIDIA Corp.   1,476    402,741 
Texas Instruments, Inc.   2,185    400,904 
NetApp, Inc.   4,528    375,824 
Skyworks Solutions, Inc.   2,712    361,455 
Seagate Technology Holdings plc   3,531    317,437 
Advanced Micro Devices, Inc.*   1,583    173,085 
Total Technology        12,266,072 
Consumer, Non-cyclical - 4.0%          
AbbVie, Inc.   4,351    705,340 
Merck & Company, Inc.   8,554    701,856 
Bristol-Myers Squibb Co.   8,855    646,681 
Amgen, Inc.   2,501    604,792 
Vertex Pharmaceuticals, Inc.*   2,125    554,561 
Gilead Sciences, Inc.   8,444    501,996 
Hologic, Inc.*   6,387    490,649 
Avery Dennison Corp.   2,613    454,584 
Quest Diagnostics, Inc.   3,319    454,239 
Laboratory Corporation of America Holdings*   1,708    450,331 
Pfizer, Inc.   8,643    447,448 
DaVita, Inc.*   3,918    443,165 
Waters Corp.*   1,412    438,271 
Regeneron Pharmaceuticals, Inc.*   618    431,623 
PerkinElmer, Inc.   2,453    427,950 
Johnson & Johnson   2,391    423,757 
Incyte Corp.*   4,421    351,116 
HCA Healthcare, Inc.   1,337    335,079 
Philip Morris International, Inc.   3,562    334,614 
Procter & Gamble Co.   1,397    213,462 
FleetCor Technologies, Inc.*   750    186,795 
UnitedHealth Group, Inc.   266    135,652 
Coca-Cola Co.   1,381    85,622 
Total Consumer, Non-cyclical        9,819,583 
Communications - 2.7%          
Alphabet, Inc. — Class C*   606    1,692,552 
Amazon.com, Inc.*   425    1,385,479 
Meta Platforms, Inc. — Class A*   3,549    789,156 
Cisco Systems, Inc.   12,563    700,513 
Juniper Networks, Inc.   12,941    480,888 
Motorola Solutions, Inc.   1,948    471,806 
VeriSign, Inc.*   2,086    464,051 
Corning, Inc.   8,754    323,110 
AT&T, Inc.   8,142    192,395 
F5, Inc.*   848    177,189 
Verizon Communications, Inc.   1,579    80,434 
Total Communications        6,757,573 
Financial - 2.2%          
Prudential Financial, Inc.   4,371    516,521 
PNC Financial Services Group, Inc.   2,741    505,577 
MetLife, Inc.   7,102    499,129 
Morgan Stanley   5,630    492,062 
Raymond James Financial, Inc.   4,369    480,197 
Everest Re Group Ltd.   1,538    463,522 
Berkshire Hathaway, Inc. — Class B*   1,175    414,669 
Visa, Inc. — Class A   1,826    404,952 
Fifth Third Bancorp   7,631    328,438 
Citigroup, Inc.   6,135    327,609 
Travelers Companies, Inc.   1,690    308,814 
Capital One Financial Corp.   1,413    185,513 
Aflac, Inc.   2,610    168,058 
JPMorgan Chase & Co.   936    127,596 
Bank of America Corp.   3,047    125,597 
Mastercard, Inc. — Class A   253    90,417 
Total Financial        5,438,671 
Consumer, Cyclical - 1.6%          
Tesla, Inc.*   510    549,576 
McDonald's Corp.   2,172    537,092 
AutoZone, Inc.*   252    515,234 
Yum! Brands, Inc.   3,953    468,549 
NVR, Inc.*   91    406,521 
O'Reilly Automotive, Inc.*   575    393,852 
Whirlpool Corp.   2,129    367,849 
Domino's Pizza, Inc.   482    196,179 
Home Depot, Inc.   613    183,489 
Lowe's Companies, Inc.   762    154,069 
Bath & Body Works, Inc.   3,172    151,622 
Total Consumer, Cyclical        3,924,032 
Industrial - 1.5%          
3M Co.   3,576    532,395 
Keysight Technologies, Inc.*   2,992    472,646 
Dover Corp.   2,912    456,893 
Sealed Air Corp.   6,564    439,526 
Snap-on, Inc.   2,109    433,357 
Masco Corp.   8,025    409,275 
Lockheed Martin Corp.   790    348,706 
Otis Worldwide Corp.   4,192    322,574 
Northrop Grumman Corp.   287    128,352 
Huntington Ingalls Industries, Inc.   613    122,257 
Total Industrial        3,665,981 
Energy - 0.7%          
Exxon Mobil Corp.   6,460    533,532 
Williams Companies, Inc.   13,231    442,048 
Kinder Morgan, Inc.   23,329    441,151 
Chevron Corp.   1,381    224,868 
Occidental Petroleum Corp.   2,711    153,822 
Total Energy        1,795,421 
Basic Materials - 0.2%          
LyondellBasell Industries N.V. — Class A   4,614    474,411 
Total Common Stocks          
(Cost $39,230,484)        44,141,744 

 

MUTUAL FUNDS - 80.0%
Guggenheim Strategy Fund III1   2,970,327    73,188,846 

 

 

 

Series A (StylePlus—Large Core Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Shares   Value 
MUTUAL FUNDS - 80.0% (continued)
Guggenheim Variable Insurance Strategy Fund III1   2,714,986   $66,761,503 
Guggenheim Ultra Short Duration Fund — Institutional Class1   3,123,107    30,575,214 
Guggenheim Strategy Fund II1   1,165,508    28,613,229 
Total Mutual Funds          
(Cost $202,046,604)        199,138,792 

 

MONEY MARKET FUND - 3.6%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%2   8,976,084    8,976,084 
Total Money Market Fund          
(Cost $8,976,084)        8,976,084 
Total Investments - 101.4%          
(Cost $250,253,172)       $252,256,620 
Other Assets & Liabilities, net - (1.4)%        (3,420,644)
Total Net Assets - 100.0%       $248,835,976 

 

Futures Contracts           
Description  Number of Contracts   Expiration Date  Notional Amount   Value and Unrealized
Appreciation**
 
Equity Futures Contracts Purchased    
S&P 500 Index Mini Futures Contracts   11   Jun 2022  $2,490,263   $199,994 

 

Total Return Swap Agreements                  
Counterparty  Index  Type   Financing Rate  Payment Frequency  Maturity Date  Units   Notional Amount   Value and Unrealized Appreciation 
OTC Equity Index Swap Agreements††                  
Wells Fargo Bank, N.A.  S&P 500 Total Return Index  Pay   0.83% (Federal Funds Rate + 0.50%)  At Maturity  04/07/22   21,398   $203,844,837   $9,632,631 

 

* Non-income producing security.
** Includes cumulative appreciation (depreciation).
Value determined based on Level 1 inputs — See Note 3.
†† Value determined based on Level 2 inputs — See Note 3.
1 Affiliated issuer.
2 Rate indicated is the 7-day yield as of March 31, 2022.

 

plc — Public Limited Company
 
See Sector Classification in Other Information section.

 

 

 

Series A (StylePlus—Large Core Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2 Significant Observable Inputs   Level 3 Significant Unobservable Inputs   Total 
Common Stocks  $44,141,744   $   $   $44,141,744 
Mutual Funds   199,138,792            199,138,792 
Money Market Fund   8,976,084            8,976,084 
Equity Futures Contracts**   199,994            199,994 
Equity Index Swap Agreements**       9,632,631        9,632,631 
Total Assets  $252,456,614   $9,632,631   $   $262,089,245 

 

** This derivative is reported as unrealized appreciation/depreciation at period end.

 

Affiliated Transactions

 

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

 

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles' annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

 

Transactions during the period ended March 31, 2022, in which the company is an affiliated issuer, were as follows:

 

Security Name  Value 12/31/21   Additions   Reductions   Realized Gain (Loss)   Change in Unrealized Appreciation (Depreciation)   Value 03/31/22   Shares 03/31/22   Investment Income 
Mutual Funds                                
  Guggenheim Strategy Fund II  $16,780,495   $12,058,261   $   $   $(225,527)  $28,613,229    1,165,508   $59,384 
  Guggenheim Strategy Fund III   81,097,553    277,681    (6,981,000)   (13,914)   (1,191,474)   73,188,846    2,970,327    283,330 
  Guggenheim Ultra Short Duration Fund — Institutional Class   54,253,430    85,674    (23,334,987)   152,490    (581,393)   30,575,214    3,123,107    88,365 
  Guggenheim Variable Insurance Strategy Fund III   67,541,303    222,788            (1,002,588)   66,761,503    2,714,986    227,270 
   $219,672,781   $12,644,404   $(30,315,987)  $138,576   $(3,000,982)  $199,138,792        $658,349 

 

 

 

Series B (Large Cap Value Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Shares   Value 
COMMON STOCKS - 95.8%
Consumer, Non-cyclical - 21.0%
Tyson Foods, Inc. — Class A   65,226   $5,846,206 
Johnson & Johnson   32,219    5,710,173 
McKesson Corp.   14,704    4,501,336 
Humana, Inc.   9,178    3,993,990 
Medtronic plc   33,173    3,680,544 
Quest Diagnostics, Inc.   24,994    3,420,679 
Bunge Ltd.   25,800    2,858,898 
Ingredion, Inc.   31,921    2,781,915 
Henry Schein, Inc.*   29,932    2,609,771 
Archer-Daniels-Midland Co.   27,519    2,483,865 
J M Smucker Co.   17,762    2,405,153 
Merck & Company, Inc.   29,200    2,395,860 
Encompass Health Corp.   25,501    1,813,376 
HCA Healthcare, Inc.   6,743    1,689,931 
Amgen, Inc.   6,861    1,659,127 
Pfizer, Inc.   29,771    1,541,245 
Bristol-Myers Squibb Co.   16,678    1,217,994 
Total Consumer, Non-cyclical        50,610,063 
Financial - 15.8%          
Berkshire Hathaway, Inc. — Class B*   18,228    6,432,843 
JPMorgan Chase & Co.   38,094    5,192,974 
Bank of America Corp.   105,080    4,331,397 
Wells Fargo & Co.   62,015    3,005,247 
Allstate Corp.   21,352    2,957,465 
STAG Industrial, Inc. REIT   57,864    2,392,677 
Charles Schwab Corp.   27,103    2,285,054 
Medical Properties Trust, Inc. REIT   87,952    1,859,305 
Voya Financial, Inc.   27,419    1,819,251 
KeyCorp   64,668    1,447,270 
Zions Bancorp North America   20,791    1,363,058 
Park Hotels & Resorts, Inc. REIT   64,125    1,252,361 
American Tower Corp. — Class A REIT   4,618    1,160,134 
Mastercard, Inc. — Class A   3,197    1,142,544 
BOK Financial Corp.   9,366    879,936 
Gaming and Leisure Properties, Inc. REIT   12,532    588,127 
Total Financial        38,109,643 
Technology - 10.6%          
Micron Technology, Inc.   51,683    4,025,589 
Activision Blizzard, Inc.   35,893    2,875,388 
Apple, Inc.   16,014    2,796,204 
Leidos Holdings, Inc.   23,089    2,494,074 
DXC Technology Co.*   75,160    2,452,471 
KLA Corp.   6,419    2,349,739 
Qorvo, Inc.*   12,467    1,547,155 
Amdocs Ltd.   15,609    1,283,216 
Cerner Corp.   12,890    1,205,989 
Teradyne, Inc.   10,123    1,196,842 
QUALCOMM, Inc.   7,814    1,194,135 
Skyworks Solutions, Inc.   8,084    1,077,436 
Intel Corp.   21,442    1,062,665 
Total Technology        25,560,903 
Energy - 10.3%          
Chevron Corp.   36,592    5,958,275 
ConocoPhillips   43,888    4,388,800 
Marathon Oil Corp.   106,726    2,679,890 
Coterra Energy, Inc. — Class A   91,049    2,455,592 
Kinder Morgan, Inc.   95,042    1,797,244 
Equities Corp.   52,053    1,791,144 
Pioneer Natural Resources Co.   7,109    1,777,463 
Chesapeake Energy Corp.   15,779    1,372,773 
Diamondback Energy, Inc.   9,973    1,367,099 
Patterson-UTI Energy, Inc.   73,057    1,130,922 
Total Energy        24,719,202 
Utilities - 9.9%          
Edison International   55,980    3,924,198 
Exelon Corp.   76,577    3,647,363 
Duke Energy Corp.   28,440    3,175,610 
Pinnacle West Capital Corp.   34,050    2,659,305 
OGE Energy Corp.   61,949    2,526,280 
NiSource, Inc.   65,351    2,078,162 
Black Hills Corp.   26,749    2,060,208 
Constellation Energy Corp.   25,525    1,435,781 
Sempra Energy   8,419    1,415,402 
PPL Corp.   33,862    967,099 
Total Utilities        23,889,408 
Consumer, Cyclical - 8.5%          
Walmart, Inc.   25,244    3,759,336 
Delta Air Lines, Inc.*   57,154    2,261,584 
Southwest Airlines Co.*   47,188    2,161,210 
Whirlpool Corp.   11,825    2,043,124 
LKQ Corp.   40,623    1,844,690 
PACCAR, Inc.   20,253    1,783,682 
Lear Corp.   12,115    1,727,478 
DR Horton, Inc.   20,604    1,535,204 
Ralph Lauren Corp. — Class A   11,569    1,312,388 
PVH Corp.   14,248    1,091,539 
Home Depot, Inc.   2,909    870,751 
Total Consumer, Cyclical        20,390,986 
Communications - 7.5%          
Verizon Communications, Inc.   94,596    4,818,720 
Alphabet, Inc. — Class A*   1,325    3,685,289 
Cisco Systems, Inc.   46,985    2,619,884 
Comcast Corp. — Class A   47,311    2,215,101 
T-Mobile US, Inc.*   15,182    1,948,610 
Juniper Networks, Inc.   43,590    1,619,804 
Walt Disney Co.*   8,284    1,136,233 
Total Communications        18,043,641 
Industrial - 6.6%          
Johnson Controls International plc   46,562    3,053,070 
L3Harris Technologies, Inc.   10,969    2,725,468 
FedEx Corp.   11,555    2,673,711 
Knight-Swift Transportation Holdings, Inc.   46,371    2,339,881 
Curtiss-Wright Corp.   14,040    2,108,246 
Valmont Industries, Inc.   7,628    1,820,041 
Advanced Energy Industries, Inc.   12,693    1,092,614 
Total Industrial        15,813,031 
Basic Materials - 5.6%          
Huntsman Corp.   105,501    3,957,343 
Westlake Corp.   30,967    3,821,328 
Reliance Steel & Aluminum Co.   10,519    1,928,658 
Nucor Corp.   11,318    1,682,421 

 

 

 

Series B (Large Cap Value Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Shares   Value 
COMMON STOCKS - 95.8% (continued)
Basic Materials - 5.6% (continued)
International Flavors & Fragrances, Inc.   6,793   $892,125 
Dow, Inc.   9,877    629,362 
DuPont de Nemours, Inc.   8,550    629,109 
Total Basic Materials        13,540,346 
Total Common Stocks          
(Cost $160,417,493)        230,677,223 

 

EXCHANGE-TRADED FUNDS - 1.0%
iShares Russell 1000 Value ETF   14,571    2,418,494 
Total Exchange-Traded Funds          
(Cost $2,304,195)        2,418,494 

 

MONEY MARKET FUND - 2.3%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%1   5,522,842    5,522,842 
Total Money Market Fund          
(Cost $5,522,842)        5,522,842 
Total Investments - 99.1%          
(Cost $168,244,530)       $238,618,559 
Other Assets & Liabilities, net - 0.9%        2,245,287 
Total Net Assets - 100.0%       $240,863,846 

 

* Non-income producing security.
Value determined based on Level 1 inputs — See Note 3.
1 Rate indicated is the 7-day yield as of March 31, 2022.

 

plc — Public Limited Company
REIT — Real Estate Investment Trust
 
See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2 Significant Observable Inputs   Level 3 Significant Unobservable Inputs   Total 
Common Stocks  $230,677,223   $   $   $230,677,223 
Exchange-Traded Funds   2,418,494            2,418,494 
Money Market Fund   5,522,842            5,522,842 
Total Assets  $238,618,559   $   $   $238,618,559 

 

 

 

Series D (World Equity Income Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Shares   Value 
COMMON STOCKS - 98.4%
Financial - 17.1%
Allstate Corp.   8,500   $1,177,335 
Prudential Financial, Inc.   9,900    1,169,883 
AXA S.A.††   37,800    1,106,882 
Australia & New Zealand Banking Group Ltd.††   50,200    1,028,851 
BNP Paribas S.A.††   16,600    948,869 
Assicurazioni Generali SpA††   40,500    926,584 
Swiss Re AG††   9,400    894,978 
JPMorgan Chase & Co.   6,000    817,920 
Banco Santander S.A.††   224,900    764,860 
American Tower Corp. — Class A REIT   2,900    728,538 
National Australia Bank Ltd.††   30,200    727,204 
Travelers Companies, Inc.   3,900    712,647 
Goldman Sachs Group, Inc.   2,100    693,210 
Swedbank AB — Class A††   45,800    684,039 
Vornado Realty Trust REIT   14,800    670,736 
Canadian Apartment Properties REIT   15,100    648,190 
CNP Assurances††   25,900    623,704 
Dexus REIT††   75,800    618,852 
EXOR N.V.††   8,100    615,933 
Phoenix Group Holdings plc††   76,200    610,305 
Amundi S.A.††,1   8,800    601,921 
GPT Group REIT††   152,200    587,198 
Sumitomo Mitsui Financial Group, Inc.††   17,600    556,033 
Truist Financial Corp.   8,800    498,960 
Credit Agricole S.A.††   40,000    478,077 
Essex Property Trust, Inc. REIT   1,100    380,028 
Western Union Co.   20,000    374,800 
Zurich Insurance Group AG††   700    345,790 
Societe Generale S.A.††   12,500    335,187 
Mediobanca Banca di Credito Finanziario SpA††   32,500    328,521 
Public Storage REIT   800    312,224 
Gjensidige Forsikring ASA††   12,300    305,085 
KBC Group N.V.††   4,200    301,432 
AvalonBay Communities, Inc. REIT   1,200    298,044 
Mizuho Financial Group, Inc.††   20,300    258,970 
NN Group N.V.††   5,000    253,465 
Wendel S.A.††   2,200    224,098 
Total Financial        22,609,353 
Consumer, Non-cyclical - 16.6%          
Johnson & Johnson   11,100    1,967,253 
AbbVie, Inc.   10,108    1,638,608 
Bristol-Myers Squibb Co.   20,394    1,489,374 
Philip Morris International, Inc.   14,700    1,380,918 
Merck & Company, Inc.   16,000    1,312,800 
Amgen, Inc.   5,100    1,233,282 
Cigna Corp.   5,000    1,198,050 
McKesson Corp.   3,700    1,132,681 
AmerisourceBergen Corp. — Class A   7,100    1,098,441 
Unilever plc††   23,800    1,080,427 
Gilead Sciences, Inc.   16,900    1,004,705 
CVS Health Corp.   9,100    921,011 
Cardinal Health, Inc.   16,200    918,540 
Kellogg Co.   13,890    895,766 
Imperial Brands plc††   42,500    894,971 
Japan Tobacco, Inc.††   51,100    872,786 
Altria Group, Inc.   14,000    731,500 
Automatic Data Processing, Inc.   2,500    568,850 
Archer-Daniels-Midland Co.   5,825    525,765 
Medipal Holdings Corp.††   30,700    505,213 
Viatris, Inc.   24,600    267,648 
Tyson Foods, Inc. — Class A   2,700    242,001 
Total Consumer, Non-cyclical        21,880,590 
Technology - 15.0%          
Apple, Inc.   22,277    3,889,787 
Microsoft Corp.   12,565    3,873,915 
Intel Corp.   28,067    1,391,001 
Accenture plc — Class A   3,994    1,346,897 
Texas Instruments, Inc.   7,100    1,302,708 
International Business Machines Corp.   8,524    1,108,290 
Oracle Corp.   13,200    1,092,036 
HP, Inc.   28,200    1,023,660 
Broadridge Financial Solutions, Inc.   6,500    1,012,115 
NetApp, Inc.   10,600    879,800 
Hewlett Packard Enterprise Co.   51,800    865,578 
NVIDIA Corp.   2,600    709,436 
KLA Corp.   1,600    585,696 
Broadcom, Inc.   700    440,776 
Intuit, Inc.   500    240,420 
Total Technology        19,762,115 
Communications - 12.6%          
Alphabet, Inc. — Class C*   1,106    3,089,047 
Amazon.com, Inc.*   779    2,539,501 
Verizon Communications, Inc.   27,331    1,392,241 
Comcast Corp. — Class A   22,300    1,044,086 
Motorola Solutions, Inc.   4,300    1,041,460 
Nippon Telegraph & Telephone Corp.††   34,800    1,011,217 
Thomson Reuters Corp.   8,300    901,384 
Cisco Systems, Inc.   15,400    858,704 
Liberty Global plc — Class C*   28,700    743,617 
Omnicom Group, Inc.   7,700    653,576 
Corning, Inc.   17,300    638,543 
Sirius XM Holdings, Inc.   89,900    595,138 
HKT Trust & HKT Ltd.††   378,600    519,148 
Liberty Media Corporation-Liberty SiriusXM — Class C*   10,000    457,300 
KDDI Corp.††   9,900    324,633 
CDW Corp.   1,700    304,113 
Telenor ASA††   17,200    246,876 
Meta Platforms, Inc. — Class A*   844    187,672 
Total Communications        16,548,256 
Consumer, Cyclical - 10.5%          
Home Depot, Inc.   5,000    1,496,650 
McDonald's Corp.   5,100    1,261,128 
Mitsubishi Corp.††   29,800    1,118,453 
Tesla, Inc.*   1,034    1,114,238 
PACCAR, Inc.   11,400    1,003,998 
Genuine Parts Co.   7,400    932,548 
Cummins, Inc.   3,800    779,418 
Dollar General Corp.   3,400    756,942 
Best Buy Company, Inc.   8,100    736,290 
Hasbro, Inc.   8,700    712,704 

 

 

 

Series D (World Equity Income Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Shares   Value 
COMMON STOCKS - 98.4% (continued)
Consumer, Cyclical - 10.5% (continued)
Whirlpool Corp.   3,586   $619,589 
Newell Brands, Inc.   27,200    582,352 
Lear Corp.   4,000    570,360 
Lowe's Companies, Inc.   2,600    525,694 
BorgWarner, Inc.   12,100    470,690 
Walgreens Boots Alliance, Inc.   10,200    456,654 
ITOCHU Corp.††   12,200    412,735 
Lawson, Inc.††   7,800    298,625 
Total Consumer, Cyclical        13,849,068 
Industrial - 8.4%          
Waste Connections, Inc.   8,300    1,159,510 
Lockheed Martin Corp.   2,522    1,113,211 
Northrop Grumman Corp.   2,319    1,037,103 
Packaging Corporation of America   6,500    1,014,715 
3M Co.   6,690    996,007 
TE Connectivity Ltd.   6,600    864,468 
CK Infrastructure Holdings Ltd.††   113,600    759,438 
Aurizon Holdings Ltd.††   274,900    755,751 
Amcor plc   66,700    755,711 
Arrow Electronics, Inc.*   5,400    640,602 
Illinois Tool Works, Inc.   2,900    607,260 
Poste Italiane SpA††,1   53,200    603,491 
Kyocera Corp.††   9,200    514,899 
BAE Systems plc††   32,500    305,136 
Total Industrial        11,127,302 
Utilities - 6.5%          
Southern Co.   17,500    1,268,925 
National Grid plc††   64,100    984,932 
SSE plc††   40,000    913,698 
Exelon Corp.   16,500    785,895 
Hong Kong & China Gas Company Ltd.††   621,100    750,280 
EDP - Energias de Portugal S.A.††   134,600    662,673 
Endesa S.A.††   27,600    601,950 
UGI Corp.   15,900    575,898 
CLP Holdings Ltd.††   55,100    536,146 
Power Assets Holdings Ltd.   71,500    465,994 
Snam SpA††   79,900    460,877 
Consolidated Edison, Inc.   2,900    274,572 
Chubu Electric Power Company, Inc.††   22,100    228,763 
Total Utilities        8,510,603 
Basic Materials - 6.3%          
Rio Tinto plc††   16,600    1,326,891 
Fortescue Metals Group Ltd.††   81,700    1,256,126 
LyondellBasell Industries N.V. — Class A   11,400    1,172,148 
Steel Dynamics, Inc.   13,800    1,151,334 
International Paper Co.   20,400    941,460 
Celanese Corp. — Class A   6,000    857,220 
Nutrien Ltd.   7,100    734,081 
Eastman Chemical Co.   5,700    638,742 
Solvay S.A.*,††   2,700    266,176 
Total Basic Materials        8,344,178 
Energy - 5.4%          
Suncor Energy, Inc.   39,400    1,283,059 
BP plc††   223,700    1,096,514 
TC Energy Corp.   19,000    1,071,915 
Tourmaline Oil Corp.   20,214    931,603 
Eni SpA††   60,200    878,158 
ENEOS Holdings, Inc.††   198,700    742,988 
Valero Energy Corp.   4,400    446,776 
Phillips 66   4,100    354,199 
Repsol S.A.††   24,600    322,331 
Total Energy        7,127,543 
Total Common Stocks          
(Cost $121,113,722)        129,759,008 

 

EXCHANGE-TRADED FUNDS - 0.5%
SPDR S&P 500 ETF Trust   795    359,054 
iShares MSCI EAFE ETF   4,746    349,305 
Total Exchange-Traded Funds          
(Cost $687,201)        708,359 

 

MONEY MARKET FUND - 0.4%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.16%2   527,109    527,109 
Total Money Market Fund          
(Cost $527,109)        527,109 
Total Investments - 99.3%          
(Cost $122,328,032)       $130,994,476 
Other Assets & Liabilities, net - 0.7%        859,545 
Total Net Assets - 100.0%       $131,854,021 

 

 

 

Series D (World Equity Income Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

Futures Contracts           
Description  Number of Contracts   Expiration Date  Notional Amount   Value and Unrealized
Appreciation**
 
Currency Futures Contracts Sold Short    
Japanese Yen Futures Contracts   70   Jun 2022  $7,201,250   $178,804 
British Pound Futures Contracts   88   Jun 2022   7,223,150    20,604 
           $14,424,400   $199,408 

 

* Non-income producing security.
** Includes cumulative appreciation (depreciation).
Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
†† Value determined based on Level 2 inputs — See Note 3.
1 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $1,205,412 (cost $1,401,294), or 0.9% of total net assets.
2 Rate indicated is the 7-day yield as of March 31, 2022.

 

plc — Public Limited Company
REIT — Real Estate Investment Trust
 
See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2 Significant Observable Inputs   Level 3 Significant Unobservable Inputs   Total 
Common Stocks  $94,379,868   $35,379,140   $   $129,759,008 
Exchange-Traded Funds   708,359            708,359 
Money Market Fund   527,109            527,109 
Currency Futures Contracts**   199,408            199,408 
Total Assets  $95,814,744   $35,379,140   $   $131,193,884 

 

** This derivative is reported as unrealized appreciation/depreciation at period end.

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Shares   Value 
COMMON STOCKS - 1.4%
Financial - 1.4%
Pershing Square Tontine Holdings Ltd. — Class A*,1   76,590   $1,523,375 
KKR Acquisition Holdings I Corp. — Class A*,1   33,829    332,539 
RXR Acquisition Corp. — Class A*,1   7,752    75,582 
TPG Pace Beneficial II Corp.*,1   6,675    65,548 
MSD Acquisition Corp. — Class A*,1   4,876    47,883 
AfterNext HealthTech Acquisition Corp. — Class A*,1   4,100    39,688 
Conyers Park III Acquisition Corp. — Class A*,1   3,800    37,050 
Waverley Capital Acquisition Corp. 1 — Class A*,1   3,000    28,860 
Colicity, Inc. — Class A*,1   2,716    26,508 
Acropolis Infrastructure Acquisition Corp. — Class A*,1   2,700    26,217 
Blue Whale Acquisition Corp. I — Class A*,1   2,200    21,340 
Total Financial        2,224,590 
Communications - 0.0%          
Figs, Inc. — Class A*   1,346    28,966 
Vacasa, Inc. — Class A*   3,356    27,754 
Total Communications        56,720 
Total Common Stocks          
(Cost $2,246,547)        2,281,310 

 

PREFERRED STOCKS†† - 4.8%
Financial - 4.8%
Wells Fargo & Co.
3.90% due 12/31/70*   450,000    431,348 
4.70%   16,000    352,800 
Equitable Holdings, Inc.          
4.95% due 12/31/70*   550,000    540,375 
4.30%   12,000    238,560 
Citigroup, Inc.          
3.88% due 12/31/70*   600,000    565,500 
4.00% due 12/31/70*   200,000    192,000 
Bank of America Corp.          
4.13%*   16,000    340,960 
4.38%*   12,000    259,800 
4.38%*   100,000    93,980 
Markel Corp.          
6.00% due 12/31/70*   660,000    683,100 
First Republic Bank          
4.25%   24,000    498,240 
4.13%   6,000    123,720 
4.50%   2,000    44,160 
Bank of New York Mellon Corp.          
3.75% due 12/31/70*   400,000    369,760 
4.70% due 12/31/70*   140,000    143,360 
Charles Schwab Corp.          
4.00% due 12/31/70*   500,000    449,060 
JPMorgan Chase & Co.          
3.65%   250,000    233,750 
4.63%   8,000    176,080 
MetLife, Inc.          
3.85% due 12/31/70*   400,000    394,480 
Public Storage          
4.63%   12,755    296,936 
4.13%   2,323    50,549 
W R Berkley Corp.          
4.13% due 03/30/61   11,288    250,593 
4.25% due 09/30/60   1,845    39,225 
Arch Capital Group Ltd.          
4.55%   10,000    211,100 
American Financial Group, Inc.          
4.50% due 09/15/60   8,968    204,112 
RenaissanceRe Holdings Ltd.          
4.20%   8,000    168,880 
Goldman Sachs Group, Inc.          
3.80%   150,000    139,031 
CNO Financial Group, Inc.          
5.13% due 11/25/60   6,000    133,200 
Kuvare US Holdings, Inc.          
7.00% due 02/17/51*,3   100,000    104,000 
Assurant, Inc.          
5.25% due 01/15/61   4,000    92,880 
Selective Insurance Group, Inc.          
4.60%   4,000    83,800 
Total Financial        7,905,339 
Total Preferred Stocks          
(Cost $8,626,177)        7,905,339 

 

WARRANTS - 0.0%
Pershing Square Tontine Holdings, Ltd.        
Expiring 07/24/25*,1   8,510    7,999 
KKR Acquisition Holdings I Corp.          
Expiring 12/31/27*,1   8,457    5,582 
MSD Acquisition Corp.          
Expiring 05/13/23*,1   974    760 
RXR Acquisition Corp.          
Expiring 03/08/26*,1   1,547    696 
Conyers Park III Acquisition Corp.          
Expiring 08/12/28*   1,266    647 
Ginkgo Bioworks Holdings, Inc.          
Expiring 12/31/27*   684    602 
AfterNext HealthTech Acquisition Corp.          
Expiring 07/09/23*   1,366    574 
Acropolis Infrastructure Acquisition Corp.          
Expiring 03/31/26*,1   900    428 
Waverley Capital Acquisition Corp.          
Expiring 04/30/27*,1   1,000    380 
Blue Whale Acquisition Corp.          
Expiring 07/30/26*,1   550    276 
Colicity, Inc.          
Expiring 12/31/27*,1   542    211 
Total Warrants          
(Cost $65,470)        18,155 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Shares   Value 
MUTUAL FUNDS - 4.0%
Guggenheim Total Return Bond Fund — R6-Class4   245,584   $6,515,346 
Total Mutual Funds          
(Cost $6,540,145)        6,515,346 

 

MONEY MARKET FUND - 1.4%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%5   1,713,989    1,713,989 
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 0.15%5   595,083    595,083 
Total Money Market Fund          
(Cost $2,309,072)        2,309,072 

 

   Face
Amount~
     
CORPORATE BONDS†† - 39.4%
Financial -  16.2%        
Pershing Square Holdings Ltd.        
3.25% due 11/15/303   1,000,000    917,580 
3.25% due 10/01/31   1,000,000    902,000 
Wells Fargo & Co.          
3.07% due 04/30/412   1,100,000    988,873 
Nationwide Mutual Insurance Co.          
4.35% due 04/30/503   950,000    945,167 
Bank of America Corp.          
2.59% due 04/29/312   890,000    821,084 
Liberty Mutual Group, Inc.          
4.30% due 02/01/613   700,000    556,360 
3.95% due 05/15/603   280,000    254,758 
Reliance Standard Life Global Funding II          
2.75% due 05/07/253   800,000    784,449 
Reinsurance Group of America, Inc.          
3.15% due 06/15/30   750,000    722,402 
Wilton RE Ltd.          
6.00% †††,2,3,6   700,000    673,960 
Macquarie Bank Ltd.          
3.05% due 03/03/362,3   450,000    396,318 
3.62% due 06/03/303   290,000    273,322 
Arch Capital Group Ltd.          
3.64% due 06/30/50   700,000    641,229 
American International Group, Inc.          
4.38% due 06/30/50   550,000    602,811 
GLP Capital Limited Partnership / GLP Financing II, Inc.          
5.30% due 01/15/29   300,000    315,171 
4.00% due 01/15/31   290,000    281,265 
Citigroup, Inc.          
2.57% due 06/03/312   590,000    540,503 
Intercontinental Exchange, Inc.          
2.65% due 09/15/40   600,000    511,962 
Nippon Life Insurance Co.          
2.75% due 01/21/512,3   350,000    314,125 
2.90% due 09/16/512,3   200,000    181,053 
Fidelity National Financial, Inc.          
3.40% due 06/15/30   300,000    288,900 
2.45% due 03/15/31   230,000    203,706 
Deloitte LLP          
3.56% due 05/07/30†††   500,000    478,360 
Host Hotels & Resorts, LP          
3.50% due 09/15/30   435,000    414,755 
2.90% due 12/15/31   50,000    44,693 
Iron Mountain, Inc.          
4.50% due 02/15/313   233,000    215,178 
5.63% due 07/15/323   125,000    123,160 
5.25% due 07/15/303   117,000    114,660 
Maple Grove Funding Trust I          
4.16% due 08/15/513   500,000    450,801 
JPMorgan Chase & Co.          
2.96% due 05/13/312   230,000    215,210 
4.49% due 03/24/312   200,000    211,988 
Fairfax Financial Holdings Ltd.          
3.38% due 03/03/31   450,000    419,695 
Global Atlantic Finance Co.          
4.70% due 10/15/512,3   250,000    235,625 
3.13% due 06/15/313   200,000    178,954 
FS KKR Capital Corp.          
2.63% due 01/15/27   250,000    228,945 
3.25% due 07/15/27   200,000    184,615 
Crown Castle International Corp.          
2.90% due 04/01/41   250,000    206,940 
3.30% due 07/01/30   201,000    192,222 
Macquarie Group Ltd.          
2.87% due 01/14/332,3   250,000    221,892 
2.69% due 06/23/322,3   200,000    176,031 
Safehold Operating Partnership, LP          
2.85% due 01/15/32   271,000    238,763 
2.80% due 06/15/31   180,000    158,064 
OneAmerica Financial Partners, Inc.          
4.25% due 10/15/503   410,000    394,686 
Ares Finance Company II LLC          
3.25% due 06/15/303   410,000    393,156 
Massachusetts Mutual Life Insurance Co.          
3.20% due 12/01/613   450,000    367,391 
United Wholesale Mortgage LLC          
5.50% due 04/15/293   300,000    267,306 
5.50% due 11/15/253   100,000    97,000 
National Australia Bank Ltd.          
2.99% due 05/21/313   400,000    362,967 
Standard Chartered plc          
4.64% due 04/01/312,3   350,000    360,887 
First American Financial Corp.          
4.00% due 05/15/30   360,000    360,554 
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.          
3.88% due 03/01/313   350,000    316,750 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 39.4% (continued)
Financial -  16.2% (continued)        
Brookfield Finance, Inc.        
3.50% due 03/30/51   280,000   $248,984 
4.70% due 09/20/47   50,000    52,995 
LPL Holdings, Inc.          
4.00% due 03/15/293   300,000    284,694 
Belrose Funding Trust          
2.33% due 08/15/303   320,000    280,274 
SBA Communications Corp.          
3.13% due 02/01/29   250,000    227,405 
3.88% due 02/15/27   50,000    48,771 
ABN AMRO Bank N.V.          
2.47% due 12/13/292,3   300,000    274,199 
Jefferies Group LLC          
2.75% due 10/15/32   300,000    268,463 
UBS Group AG          
2.10% due 02/11/322,3   300,000    262,301 
KKR Group Finance Company VIII LLC          
3.50% due 08/25/503   290,000    252,963 
Everest Reinsurance Holdings, Inc.          
3.50% due 10/15/50   280,000    249,660 
Kennedy-Wilson, Inc.          
4.75% due 03/01/29   150,000    144,620 
4.75% due 02/01/30   100,000    95,091 
Jefferies Finance LLC / JFIN Company-Issuer Corp.          
5.00% due 08/15/283   250,000    239,370 
Assured Guaranty US Holdings, Inc.          
3.15% due 06/15/31   150,000    141,485 
3.60% due 09/15/51   100,000    86,274 
Stewart Information Services Corp.          
3.60% due 11/15/31   250,000    227,529 
Societe Generale S.A.          
2.89% due 06/09/322,3   250,000    224,015 
Assurant, Inc.          
2.65% due 01/15/32   250,000    218,238 
Westpac Banking Corp.          
3.02% due 11/18/362   150,000    133,282 
2.96% due 11/16/40   100,000    84,033 
Trustage Financial Group, Inc.          
4.63% due 04/15/323   200,000    200,678 
NFP Corp.          
6.88% due 08/15/283   200,000    191,000 
Hunt Companies, Inc.          
5.25% due 04/15/293   200,000    190,530 
AmFam Holdings, Inc.          
2.81% due 03/11/313   200,000    184,650 
Primerica, Inc.          
2.80% due 11/19/31   200,000    184,506 
Americo Life, Inc.          
3.45% due 04/15/313   200,000    180,303 
Lincoln National Corp.          
4.38% due 06/15/50   150,000    154,411 
Corebridge Financial, Inc.          
4.35% due 04/05/423   150,000    149,960 
Kemper Corp.          
2.40% due 09/30/30   170,000    148,170 
Raymond James Financial, Inc.          
3.75% due 04/01/51   150,000    146,589 
Prudential Financial, Inc.          
3.70% due 10/01/502   130,000    119,132 
PartnerRe Finance B LLC          
4.50% due 10/01/502   110,000    106,150 
Nasdaq, Inc.          
3.25% due 04/28/50   110,000    94,949 
Western & Southern Life Insurance Co.          
3.75% due 04/28/613   100,000    90,309 
Jefferies Group LLC / Jefferies Group Capital Finance, Inc.          
2.63% due 10/15/31   100,000    90,154 
Penn Mutual Life Insurance Co.          
3.80% due 04/29/613   100,000    88,829 
Apollo Management Holdings, LP          
2.65% due 06/05/303   90,000    83,987 
Home Point Capital, Inc.          
5.00% due 02/01/263   100,000    81,931 
Brown & Brown, Inc.          
2.38% due 03/15/31   90,000    79,067 
American Equity Investment Life Holding Co.          
5.00% due 06/15/27   69,000    71,989 
CNO Financial Group, Inc.          
5.25% due 05/30/29   50,000    52,600 
Brookfield Finance LLC          
3.45% due 04/15/50   50,000    43,904 
Cushman & Wakefield US Borrower LLC          
6.75% due 05/15/283   35,000    36,575 
Weyerhaeuser Co.          
4.00% due 04/15/30   34,000    35,012 
Total Financial        26,598,277 
Consumer, Non-cyclical -  5.4%          
CoStar Group, Inc.          
2.80% due 07/15/303   740,000    676,338 
Altria Group, Inc.          
3.70% due 02/04/51   550,000    444,252 
3.40% due 05/06/30   170,000    163,495 
4.45% due 05/06/50   50,000    45,373 
Mozart Debt Merger Sub, Inc.          
3.88% due 04/01/293   550,000    508,750 
BAT Capital Corp.          
3.98% due 09/25/50   300,000    243,117 
4.70% due 04/02/27   190,000    194,873 
Quanta Services, Inc.          
2.90% due 10/01/30   467,000    432,076 
Johns Hopkins University          
2.81% due 01/01/60   500,000    416,740 
Children's Hospital Corp.          
2.59% due 02/01/50   500,000    399,991 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 39.4% (continued)
Consumer, Non-cyclical -  5.4% (continued)        
Royalty Pharma plc        
3.55% due 09/02/50   310,000   $257,511 
2.20% due 09/02/30   160,000    139,887 
DaVita, Inc.          
3.75% due 02/15/313   303,000    265,125 
4.63% due 06/01/303   113,000    105,519 
Kraft Heinz Foods Co.          
4.38% due 06/01/46   180,000    177,775 
4.88% due 10/01/49   75,000    79,022 
5.50% due 06/01/50   50,000    56,776 
5.00% due 06/04/42   50,000    53,405 
Global Payments, Inc.          
2.90% due 05/15/30   210,000    193,818 
2.90% due 11/15/31   140,000    127,549 
Smithfield Foods, Inc.          
2.63% due 09/13/313   250,000    219,514 
3.00% due 10/15/303   110,000    99,832 
US Foods, Inc.          
6.25% due 04/15/253   200,000    205,000 
4.75% due 02/15/293   89,000    84,884 
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.          
3.00% due 05/15/323   200,000    180,002 
4.38% due 02/02/523   100,000    86,988 
Becle, SAB de CV          
2.50% due 10/14/313   250,000    221,775 
Post Holdings, Inc.          
4.50% due 09/15/313   250,000    221,498 
California Institute of Technology          
3.65% due 09/01/19   225,000    192,970 
TriNet Group, Inc.          
3.50% due 03/01/293   200,000    183,750 
Triton Container International Ltd.          
3.15% due 06/15/313   200,000    182,857 
Kimberly-Clark de Mexico SAB de CV          
2.43% due 07/01/313   200,000    181,108 
Central Garden & Pet Co.          
4.13% due 04/30/313   100,000    90,000 
4.13% due 10/15/30   75,000    67,687 
Spectrum Brands, Inc.          
5.75% due 07/15/25   150,000    152,813 
Hologic, Inc.          
3.25% due 02/15/293   150,000    140,065 
Endo Luxembourg Finance Company I SARL / Endo US, Inc.          
6.13% due 04/01/293   150,000    136,875 
Universal Health Services, Inc.          
2.65% due 10/15/303   150,000    136,172 
Transurban Finance Company Pty Ltd.          
2.45% due 03/16/313   150,000    133,003 
Avantor Funding, Inc.          
4.63% due 07/15/283   125,000    123,625 
Nielsen Finance LLC / Nielsen Finance Co.          
4.50% due 07/15/293   100,000    99,750 
Block, Inc.          
2.75% due 06/01/263   100,000    94,522 
Gartner, Inc.          
3.75% due 10/01/303   100,000    93,875 
Syneos Health, Inc.          
3.63% due 01/15/293   100,000    92,375 
Triton Container International Limited / TAL International Container Corp.          
3.25% due 03/15/32   100,000    92,113 
Prime Security Services Borrower LLC / Prime Finance, Inc.          
3.38% due 08/31/273   100,000    91,489 
Service Corporation International          
3.38% due 08/15/30   100,000    90,088 
GXO Logistics, Inc.          
2.65% due 07/15/313   100,000    86,710 
Tenet Healthcare Corp.          
4.63% due 06/15/283   75,000    73,594 
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.          
5.00% due 12/31/263   50,000    46,125 
Total Consumer, Non-cyclical        8,882,451 
Industrial -  4.3%          
Boeing Co.          
5.15% due 05/01/30   970,000    1,034,464 
5.81% due 05/01/50   490,000    565,821 
5.71% due 05/01/40   490,000    547,551 
2.20% due 02/04/26   200,000    189,083 
Amsted Industries, Inc.          
4.63% due 05/15/303   470,000    445,433 
Stadco LA, LLC          
3.75% due 05/15/56†††   500,000    445,307 
Crown Americas LLC / Crown Americas Capital Corporation VI          
4.75% due 02/01/26   400,000    404,272 
Cellnex Finance Company S.A.          
3.88% due 07/07/413   450,000    365,544 
TD SYNNEX Corp.          
2.65% due 08/09/313   250,000    214,686 
2.38% due 08/09/283   150,000    135,010 
Flowserve Corp.          
3.50% due 10/01/30   270,000    255,705 
2.80% due 01/15/32   100,000    88,446 
Owens Corning          
3.88% due 06/01/30   320,000    323,140 
Textron, Inc.          
2.45% due 03/15/31   350,000    316,876 
Vontier Corp.          
2.95% due 04/01/31   350,000    310,818 
Acuity Brands Lighting, Inc.          
2.15% due 12/15/30   350,000    307,303 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 39.4% (continued)
Industrial -  4.3% (continued)        
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.        
4.13% due 08/15/263   250,000   $240,856 
Standard Industries, Inc.          
4.38% due 07/15/303   125,000    114,495 
3.38% due 01/15/313   125,000    109,375 
GATX Corp.          
4.00% due 06/30/30   140,000    141,923 
3.50% due 03/15/28   50,000    49,715 
Weir Group plc          
2.20% due 05/13/263   200,000    186,785 
Howmet Aerospace, Inc.          
6.75% due 01/15/28   145,000    157,325 
Berry Global, Inc.          
1.57% due 01/15/26   50,000    46,579 
Norfolk Southern Corp.          
4.10% due 05/15/21   50,000    46,532 
Graphic Packaging International LLC          
3.50% due 03/01/293   11,000    10,120 
Total Industrial        7,053,164 
Consumer, Cyclical -  3.7%          
Marriott International, Inc.          
4.63% due 06/15/30   340,000    352,135 
3.50% due 10/15/32   330,000    314,117 
5.75% due 05/01/25   250,000    265,434 
2.85% due 04/15/31   170,000    155,158 
2.75% due 10/15/33   100,000    88,252 
Delta Air Lines, Inc.          
7.00% due 05/01/253   1,070,000    1,146,093 
Magallanes, Inc.          
4.28% due 03/15/323   400,000    401,779 
5.14% due 03/15/523   200,000    204,619 
Hyatt Hotels Corp.          
5.38% due 04/23/25   220,000    230,935 
5.75% due 04/23/30   190,000    209,938 
Hilton Domestic Operating Company, Inc.          
3.75% due 05/01/293   400,000    375,466 
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.          
6.50% due 06/20/273   350,000    364,875 
Choice Hotels International, Inc.          
3.70% due 01/15/31   360,000    350,049 
1011778 BC ULC / New Red Finance, Inc.          
4.00% due 10/15/303   300,000    270,611 
3.88% due 01/15/283   55,000    52,114 
Delta Air Lines Inc. / SkyMiles IP Ltd.          
4.50% due 10/20/253   300,000    301,743 
PetSmart, Inc. / PetSmart Finance Corp.          
4.75% due 02/15/283   250,000    241,601 
Walgreens Boots Alliance, Inc.          
4.10% due 04/15/50   198,000    192,869 
United Airlines, Inc.          
4.38% due 04/15/263   150,000    147,551 
Scotts Miracle-Gro Co.          
4.00% due 04/01/31   150,000    130,798 
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc.          
4.63% due 01/15/293   100,000    94,750 
British Airways Class A Pass Through Trust          
2.90% due 03/15/353   99,933    91,819 
Allison Transmission, Inc.          
3.75% due 01/30/313   100,000    90,715 
WMG Acquisition Corp.          
3.00% due 02/15/313   75,000    67,125 
Aramark Services, Inc.          
5.00% due 02/01/283   10,000    9,700 
Total Consumer, Cyclical        6,150,246 
Communications -  3.6%          
Paramount Global          
4.95% due 01/15/31   617,000    655,859 
4.95% due 05/19/50   320,000    334,448 
Charter Communications Operating LLC / Charter Communications Operating Capital          
2.80% due 04/01/31   625,000    563,309 
2.25% due 01/15/29   100,000    89,987 
3.90% due 06/01/52   50,000    42,165 
Level 3 Financing, Inc.          
3.63% due 01/15/293   330,000    288,750 
4.25% due 07/01/283   288,000    264,386 
3.75% due 07/15/293   100,000    88,623 
British Telecommunications plc          
4.88% due 11/23/812,3   350,000    332,500 
9.63% due 12/15/30   100,000    136,436 
AT&T, Inc.          
2.75% due 06/01/31   410,000    384,449 
CSC Holdings LLC          
4.13% due 12/01/303   200,000    175,373 
3.38% due 02/15/313   200,000    168,500 
McGraw-Hill Education, Inc.          
5.75% due 08/01/283   300,000    286,131 
Virgin Media Secured Finance plc          
4.50% due 08/15/303   300,000    279,750 
Cable One, Inc.          
4.00% due 11/15/303   300,000    276,666 
UPC Broadband Finco BV          
4.88% due 07/15/313   250,000    234,717 
Vodafone Group plc          
4.13% due 06/04/812   250,000    226,985 
Virgin Media Vendor Financing Notes IV DAC          
5.00% due 07/15/283   200,000    192,000 
Altice France S.A.          
5.13% due 07/15/293   200,000    179,250 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 39.4% (continued)
Communications -  3.6% (continued)        
Sirius XM Radio, Inc.        
4.13% due 07/01/303   180,000   $168,511 
Radiate Holdco LLC / Radiate Finance, Inc.          
4.50% due 09/15/263   150,000    144,750 
Go Daddy Operating Company LLC / GD Finance Co., Inc.          
3.50% due 03/01/293   150,000    137,920 
Lamar Media Corp.          
3.63% due 01/15/31   100,000    91,813 
Switch Ltd.          
3.75% due 09/15/283   50,000    48,487 
CCO Holdings LLC / CCO Holdings Capital Corp.          
4.25% due 02/01/313   50,000    45,375 
T-Mobile USA, Inc.          
2.88% due 02/15/31   50,000    45,047 
Total Communications        5,882,187 
Energy -  2.4%          
Galaxy Pipeline Assets Bidco Ltd.          
3.25% due 09/30/403   700,000    631,922 
2.94% due 09/30/403   350,000    315,585 
BP Capital Markets plc          
4.88% 2,6   880,000    882,200 
Qatar Energy          
3.30% due 07/12/513   250,000    229,456 
3.13% due 07/12/413   250,000    227,463 
Sabine Pass Liquefaction LLC          
4.50% due 05/15/30   400,000    418,307 
Occidental Petroleum Corp.          
4.63% due 06/15/45   200,000    194,000 
3.00% due 02/15/27   70,000    68,425 
ITT Holdings LLC          
6.50% due 08/01/293   250,000    230,930 
Magellan Midstream Partners, LP          
3.25% due 06/01/30   190,000    184,940 
Valero Energy Corp.          
2.15% due 09/15/27   140,000    130,924 
Midwest Connector Capital Company LLC          
4.63% due 04/01/293   110,000    111,161 
NuStar Logistics, LP          
5.63% due 04/28/27   100,000    97,837 
Parkland Corp.          
4.63% due 05/01/303   100,000    93,000 
DCP Midstream Operating, LP          
3.25% due 02/15/32   100,000    90,000 
Total Energy        3,906,150 
Technology -  1.8%          
Broadcom, Inc.          
4.15% due 11/15/30   484,000    490,529 
2.45% due 02/15/313   300,000    267,623 
3.19% due 11/15/363   26,000    22,570 
Workday, Inc.          
3.80% due 04/01/32   400,000    399,239 
NetApp, Inc.          
2.70% due 06/22/30   412,000    380,150 
Qorvo, Inc.          
4.38% due 10/15/29   170,000    170,057 
3.38% due 04/01/313   100,000    90,935 
Citrix Systems, Inc.          
1.25% due 03/01/26   250,000    243,054 
CDW LLC / CDW Finance Corp.          
3.57% due 12/01/31   250,000    231,613 
Oracle Corp.          
3.95% due 03/25/51   250,000    218,554 
Leidos, Inc.          
2.30% due 02/15/31   250,000    216,713 
Boxer Parent Company, Inc.          
7.13% due 10/02/253   100,000    103,654 
MSCI, Inc.          
3.63% due 09/01/303   75,000    70,304 
3.88% due 02/15/313   15,000    14,222 
Twilio, Inc.          
3.63% due 03/15/29   38,000    35,815 
Total Technology        2,955,032 
Basic Materials -  1.1%          
Newcrest Finance Pty Ltd.          
3.25% due 05/13/303   460,000    439,903 
4.20% due 05/13/503   220,000    213,961 
Anglo American Capital plc          
5.63% due 04/01/303   200,000    220,438 
2.63% due 09/10/303   200,000    181,342 
Alcoa Nederland Holding BV          
5.50% due 12/15/273   200,000    207,016 
Minerals Technologies, Inc.          
5.00% due 07/01/283   190,000    180,975 
INEOS Quattro Finance 2 plc          
3.38% due 01/15/263   150,000    139,658 
Yamana Gold, Inc.          
2.63% due 08/15/31   150,000    134,361 
Reliance Steel & Aluminum Co.          
2.15% due 08/15/30   100,000    89,640 
Valvoline, Inc.          
4.25% due 02/15/303   50,000    45,629 
Total Basic Materials        1,852,923 
Utilities -  0.9%          
Cheniere Corpus Christi Holdings LLC          
3.52% due 12/31/39†††   800,000    733,514 
AES Corp.          
3.95% due 07/15/303   220,000    217,944 
NRG Energy, Inc.          
2.45% due 12/02/273   200,000    184,461 
Enel Finance International N.V.          
2.88% due 07/12/413   200,000    164,816 
Clearway Energy Operating LLC          
3.75% due 02/15/313   100,000    93,510 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 39.4% (continued)
Utilities -  0.9% (continued)        
Xcel Energy, Inc.        
2.35% due 11/15/31   60,000   $54,549 
Total Utilities        1,448,794 
Total Corporate Bonds          
(Cost $69,070,358)        64,729,224 

 

ASSET-BACKED SECURITIES†† - 20.5%
Collateralized Loan Obligations -  13.0%        
Octagon Investment Partners 49 Ltd.        
2021-5A, 1.79% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/33◊,3   1,750,000    1,730,806 
BXMT Ltd.          
2020-FL2, 1.32% (30 Day Average SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38   1,000,000    984,385 
2020-FL3, 2.72% (30 Day Average SOFR + 2.66%, Rate Floor: 2.55%) due 11/15/37◊,3   250,000    246,697 
LoanCore Issuer Ltd.          
2019-CRE2, 1.90% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,3   550,000    548,773 
2021-CRE6, 2.49% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 11/15/38◊,3   500,000    489,309 
Cerberus Loan Funding XXX, LP          
2020-3A, 2.09% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,3   1,000,000    1,004,481 
Woodmont Trust          
2020-7A, 2.14% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,3   1,000,000    1,004,162 
ABPCI Direct Lending Fund CLO II LLC          
2021-1A, 1.85% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,3   1,000,000    1,000,100 
Palmer Square Loan Funding Ltd.          
2022-1A, 1.74% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,3   1,000,000    1,000,000 
MidOcean Credit CLO VII          
2020-7A, 1.69% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 07/15/29◊,3   1,000,000    991,624 
LCCM Trust          
2021-FL3, 1.85% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,3   600,000    593,604 
2021-FL3, 2.20% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/15/38◊,3   400,000    393,999 
Golub Capital Partners CLO 36M Ltd.          
2018-36A, 1.62% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/31◊,3   850,000    837,505 
Dryden 37 Senior Loan Fund          
2015-37A,  due 01/15/313,7   1,000,000    820,944 
Golub Capital Partners CLO 33M Ltd.          
2021-33A, 2.36% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,3   750,000    749,638 
STWD Ltd.          
2019-FL1, 2.02% (1 Month Term SOFR + 1.71%, Rate Floor: 1.60%) due 07/15/38   750,000    743,060 
Fortress Credit Opportunities XI CLO Ltd.          
2018-11A, 1.54% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,3   750,000    738,255 
ABPCI Direct Lending Fund CLO I LLC          
2021-1A, 1.95% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,3   500,000    502,063 
THL Credit Lake Shore MM CLO I Ltd.          
2021-1A, 1.94% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,3   500,000    501,155 
Golub Capital Partners CLO 16 Ltd.          
2021-16A, 1.87% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,3   500,000    497,728 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 20.5% (continued)
Collateralized Loan Obligations -  13.0% (continued)        
Cerberus Loan Funding XXVI, LP        
2021-1A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,3   500,000   $497,461 
GPMT Ltd.          
2019-FL2, 2.35% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 02/22/36   500,000    497,459 
ABPCI Direct Lending Fund CLO V Ltd.          
2021-5A, 1.75% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,3   500,000    496,909 
Golub Capital Partners CLO 54M L.P          
2021-54A, 2.97% (3 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 08/05/33◊,3   500,000    492,279 
Cerberus Loan Funding XXXIII, LP          
2021-3A, 2.09% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/33◊,3   500,000    491,613 
HERA Commercial Mortgage Ltd.          
2021-FL1, 2.07% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/18/38◊,3   500,000    491,465 
CHCP Ltd.          
2021-FL1, 2.27% (30 Day Average SOFR + 2.21%, Rate Floor: 2.10%) due 02/15/38   500,000    488,873 
KREF          
2021-FL2, 2.44% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/15/39◊,3   500,000    483,540 
Wellfleet CLO Ltd.          
2020-2A, 1.31% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/29◊,3   477,703    475,842 
Cerberus Loan Funding XXXVI, LP          
2021-6A, 1.64% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,3   393,567    391,481 
Treman Park CLO Ltd.          
2015-1A,  due 10/20/283,7   500,000    391,097 
ABPCI Direct Lending Fund CLO IV LLC          
2.12% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/06/29◊,†††   250,000    250,281 
Golub Capital Partners CLO 17 Ltd.          
2017-17A, 1.91% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,3   250,000    250,034 
Diamond CLO Ltd.          
2021-1A, 1.71% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/25/29◊,3   250,000    249,885 
Halcyon Loan Advisors Funding Ltd.          
2017-3A, 1.14% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/27◊,3   44,948    44,932 
Copper River CLO Ltd.          
2007-1A,  due 01/20/217,8   600,000    120 
Total Collateralized Loan Obligations        21,371,559 
Transport-Aircraft -  1.9%          
Lunar Structured Aircraft Portfolio Notes          
2021-1, 2.64% due 10/15/463   460,536    421,775 
AASET Trust          
2021-1A, 2.95% due 11/16/413   478,812    395,944 
WAVE LLC          
2019-1, 3.60% due 09/15/443   429,293    378,482 
JOL Air Ltd.          
2019-1, 3.97% due 04/15/443   407,700    371,064 
Sapphire Aviation Finance II Ltd.          
2020-1A, 3.23% due 03/15/403   400,402    361,100 
Castlelake Aircraft Structured Trust          
2021-1A, 3.47% due 01/15/463   371,590    343,852 
Navigator Aircraft ABS Ltd.          
2021-1, 2.77% due 11/15/463   244,792    225,426 
Sprite Ltd.          
2021-1, 3.75% due 11/15/463   242,425    223,336 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 20.5% (continued)
Transport-Aircraft -  1.9% (continued)        
Raspro Trust        
2005-1A, 1.18% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,3   219,914   $218,875 
Falcon Aerospace Ltd.          
2017-1, 4.58% due 02/15/423   146,628    141,937 
Total Transport-Aircraft        3,081,791 
Whole Business -  1.6%          
Arbys Funding LLC          
2020-1A, 3.24% due 07/30/503   985,000    939,554 
Applebee's Funding LLC / IHOP Funding LLC          
2019-1A, 4.72% due 06/05/493   495,000    493,620 
Wingstop Funding LLC          
2022-1A, 3.73% due 03/05/523   500,000    478,738 
SERVPRO Master Issuer LLC          
2021-1A, 2.39% due 04/25/513   496,250    446,234 
ServiceMaster Funding LLC          
2020-1, 3.34% due 01/30/513   247,500    223,800 
Taco Bell Funding LLC          
2016-1A, 4.97% due 05/25/463   95,250    96,853 
Total Whole Business        2,678,799 
Net Lease -  1.5%          
STORE Master Funding I-VII          
2016-1A, 3.96% due 10/20/463   1,119,525    1,101,156 
Capital Automotive REIT          
2021-1A, 2.76% due 08/15/513   500,000    456,790 
CMFT Net Lease Master Issuer LLC          
2021-1, 3.44% due 07/20/513   400,000    365,237 
CARS-DB4, LP          
2020-1A, 3.81% due 02/15/503   249,010    246,612 
CF Hippolyta LLC          
2020-1, 2.28% due 07/15/603   230,126    217,031 
Total Net Lease        2,386,826 
Collateralized Debt Obligations -  1.3%          
Anchorage Credit Funding Ltd.          
2021-13A, 2.88% due 07/27/393   1,000,000    980,841 
Anchorage Credit Funding 4 Ltd.          
2021-4A, 2.72% due 04/27/393   750,000    730,952 
Anchorage Credit Funding 3 Ltd.          
2021-3A, 2.87% due 01/28/393   500,000    474,610 
Total Collateralized Debt Obligations        2,186,403 
Financial -  0.9%          
Oxford Finance Funding          
2020-1A, 3.10% due 02/15/283   478,293    478,735 
Madison Avenue Secured Funding Trust Series          
2021-1, 1.96% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,3   450,000    450,000 
KKR Core Holding Company LLC          
4.00% due 08/12/31†††   211,867    200,544 
Nassau LLC          
2019-1, 3.98% due 08/15/343   177,187    174,076 
Lightning A          
5.50% due 03/01/37†††   88,000    88,000 
Thunderbird A          
5.50% due 03/01/37†††   80,000    80,000 
Total Financial        1,471,355 
Infrastructure -  0.2%          
VB-S1 Issuer LLC - VBTEL          
2022-1A, 4.29% due 02/15/523   250,000    243,502 
Transport-Container -  0.1%          
Textainer Marine Containers VII Ltd.          
2020-1A, 2.73% due 08/21/453   209,276    202,729 
Total Asset-Backed Securities          
(Cost $34,391,669)        33,622,964 

 

U.S. GOVERNMENT SECURITIES†† - 12.5%
U.S. Treasury Notes
1.88% due 02/15/329   14,500,000    13,924,531 
U.S. Treasury Bonds          
2.00% due 08/15/5114   4,500,000    4,059,844 
1.88% due 11/15/51   2,250,000    1,973,672 
1.88% due 02/15/51   600,000    524,273 
Total U.S. Government Securities          
(Cost $21,623,793)        20,482,320 

 

COLLATERALIZED MORTGAGE OBLIGATIONS†† - 11.3%
Residential Mortgage-Backed Securities -  7.2%        
PRPM LLC        
2022-1, 3.72% due 02/25/273,10   500,000    491,146 
2021-5, 1.79% due 06/25/263,10   456,023    432,199 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 11.3% (continued)
Residential Mortgage-Backed Securities -  7.2% (continued)        
Starwood Mortgage Residential Trust        
2020-1, 2.41% (WAC) due 02/25/50◊,3   924,890   $904,491 
Legacy Mortgage Asset Trust          
2021-GS5, 2.25% due 07/25/673,10   468,624    446,333 
2021-GS3, 1.75% due 07/25/613,10   447,896    426,339 
Ameriquest Mortgage Securities Trust          
2006-M3, 0.62% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 10/25/36   2,148,405    826,689 
JP Morgan Mortgage Acquisition Trust          
2006-WMC4, 0.58% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/36   1,302,909    787,065 
FKRT          
 2.21% due 11/30/58†††,8   750,000    722,250 
Home Equity Loan Trust          
2007-FRE1, 0.65% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37   627,097    599,648 
CSMC Trust          
2020-RPL5, 3.02% (WAC) due 08/25/60◊,3   561,116    549,756 
Towd Point Revolving Trust          
4.83% due 09/25/648   500,000    500,414 
First Franklin Mortgage Loan Trust 2006-FF16          
2006-FF16, 0.88% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 12/25/36   931,185    495,599 
ZH Trust          
2021-1, 2.25% due 02/18/273   500,000    490,919 
BRAVO Residential Funding Trust          
2022-R1, 3.13% due 01/29/703,10   496,856    469,846 
LSTAR Securities Investment Ltd.          
2021-1, 2.03% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,8   255,221    253,124 
2021-2, 1.93% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,8   216,229    214,679 
NovaStar Mortgage Funding Trust Series          
2007-2, 0.66% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37   478,133    466,428 
OSAT Trust          
2021-RPL1, 2.12% due 05/25/653,10   486,559    465,550 
Credit Suisse Mortgage Capital Certificates          
2021-RPL9, 2.44% (WAC) due 02/25/61◊,3   483,751    459,907 
Master Asset-Backed Securities Trust          
2006-WMC4, 0.61% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 10/25/36   1,156,982    454,894 
HarborView Mortgage Loan Trust          
2006-14, 0.60% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 01/25/47   372,108    344,696 
Wachovia Asset Securitization Issuance II LLC Trust          
2007-HE2A, 0.59% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 07/25/37◊,3   337,121    323,882 
American Home Mortgage Investment Trust          
2007-1, 2.08% due 05/25/4711   1,897,185    297,654 
Imperial Fund Mortgage Trust          
2022-NQM2, 4.20% (WAC) due 03/25/67◊,3   200,000    197,382 
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust          
2006-AR9, 0.98% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46   217,081    188,020 
UCFC Manufactured Housing Contract          
1997-2, 7.38% due 10/15/28   49,983    49,414 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 11.3% (continued)
Residential Mortgage-Backed Securities -  7.2% (continued)        
Morgan Stanley Re-REMIC Trust        
2010-R5, 2.24% due 06/26/363   44,451   $40,930 
Total Residential Mortgage-Backed Securities        11,899,254 
Commercial Mortgage Backed Securities -  1.5%          
BX Commercial Mortgage Trust          
2022-LP2, 2.01% (1 Month Term SOFR + 1.96%, Rate Floor: 1.96%) due 02/15/39◊,3   500,000    488,723 
2021-VOLT, 2.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/36◊,3   350,000    336,711 
GS Mortgage Securities Trust          
2020-GC45, 0.67% (WAC) due 02/13/53◊,11   9,968,346    406,116 
Extended Stay America Trust          
2021-ESH, 2.65% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/15/38◊,3   248,471    244,727 
Life Mortgage Trust          
2021-BMR, 2.75% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 03/15/38◊,3   245,743    235,285 
Wells Fargo Commercial Mortgage Trust          
2016-NXS5, 1.43% (WAC) due 01/15/59◊,11   3,737,631    158,446 
2015-NXS1, 2.63% due 05/15/48   19,865    19,851 
CFCRE Commercial Mortgage Trust          
2016-C3, 0.99% (WAC) due 01/10/48◊,11   5,504,127    174,272 
Citigroup Commercial Mortgage Trust          
2016-GC37, 1.69% (WAC) due 04/10/49◊,11   3,103,452    164,304 
COMM Mortgage Trust          
2015-CR26, 0.92% (WAC) due 10/10/48◊,11   6,075,069    157,537 
Total Commercial Mortgage Backed Securities        2,385,972 
Government Agency -  1.4%          
Fannie Mae          
3.83% due 05/01/49   1,000,000    1,055,002 
2.41% due 12/01/41   1,000,000    870,696 
Fannie Mae-Aces          
1.46% (WAC) due 03/25/35◊,11   3,408,880    400,407 
Total Government Agency        2,326,105 
Military Housing -  1.2%          
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates          
2015-R1, 4.66% (WAC) due 11/25/55◊,†††,3   928,075    1,023,275 
GMAC Commercial Mortgage Asset Corp.          
2007-HCKM, 6.11% due 08/10/52†††,3   931,438    1,014,252 
Total Military Housing        2,037,527 
Total Collateralized Mortgage Obligations          
(Cost $19,478,608)        18,648,858 

 

SENIOR FLOATING RATE INTERESTS††,◊ - 5.4%
Consumer, Cyclical -  1.1%        
MB2 Dental Solutions LLC        
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††        382,927    376,762 
7.16% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††        117,498    115,606 
BGIS (BIFM CA Buyer, Inc.)               
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26†††        294,078    288,932 
Zephyr Bidco Ltd.               
5.47% (1 Month GBP SONIA + 4.75%, Rate Floor: 5.23%) due 07/23/25   GBP     200,000    256,051 
Mavis Tire Express Services TopCo Corp.               
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 05/04/28        199,000    197,480 
CNT Holdings I Corp.               
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 11/08/27        198,000    196,721 
Pacific Bells, LLC               
5.00% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 11/10/28†††        148,082    146,416 
SP PF Buyer LLC               
4.96% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25        148,092    140,502 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 5.4% (continued)
Consumer, Cyclical -  1.1% (continued)        
New Trojan Parent, Inc.        
3.75% ((1 Month USD LIBOR + 3.25%) and (3 Month USD LIBOR + 3.25%), Rate Floor: 3.75%) due 01/06/28   99,250   $95,900 
Total Consumer, Cyclical        1,814,370 
Industrial -  1.0%          
Charter Next Generation, Inc.          
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27   396,000    393,525 
Mileage Plus Holdings LLC          
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27   250,000    259,063 
American Bath Group LLC          
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27   257,434    249,752 
TK Elevator Midco GmbH          
4.02% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27   197,512    195,415 
Air Canada          
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28   150,000    148,437 
Berry Global, Inc.          
2.07% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26   134,041    131,967 
TransDigm, Inc.          
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25   127,714    125,479 
Anchor Packaging LLC          
4.46% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/20/26   98,481    96,511 
Service Logic Acquisition, Inc.          
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27   91,751    90,680 
Total Industrial        1,690,829 
Financial -  1.0%          
Citadel Securities, LP          
2.93% (1 Month USD Term SOFR + 2.50%, Rate Floor: 2.50%) due 02/02/28   446,625    443,673 
Jane Street Group LLC          
3.21% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28   296,250    291,622 
Higginbotham Insurance Agency, Inc.          
6.25% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.25%) due 11/25/26†††   210,113    207,676 
Trans Union LLC          
2.75% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/01/28   173,694    172,174 
HighTower Holding LLC          
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28   149,250    147,757 
USI, Inc.          
4.26% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 12/02/26   147,739    146,384 
Duff & Phelps          
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/09/27   98,496    97,881 
AmWINS Group, Inc.          
3.00% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/21/28   98,750    97,022 
Total Financial        1,604,189 
Consumer, Non-cyclical -  0.9%          
Del Monte Foods, Inc.          
due 02/16/29   250,000    245,938 
Energizer Holdings, Inc.          
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27   247,500    243,169 
Quirch Foods Holdings LLC          
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 10/27/27   198,992    197,500 
Mission Veterinary Partners          
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28   149,250    147,384 
Southern Veterinary Partners LLC          
5.00% (6 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27   148,215    146,918 
HAH Group Holding Co. LLC          
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27   148,550    146,322 
Avantor Funding, Inc.          
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 11/08/27   98,754    97,854 
Sunshine Investments B.V.          
3.22% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/28/25   97,980    97,000 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

       Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 5.4% (continued)
Consumer, Non-cyclical -  0.9% (continued)        
Elanco Animal Health, Inc.        
1.98% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27        94,452   $92,829 
National Mentor Holdings, Inc.               
4.64% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28        94,856    91,602 
Total Consumer, Non-cyclical             1,506,516 
Technology -  0.8%               
Datix Bidco Ltd.               
4.96% (6 Month GBP LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25†††   GBP    300,000    392,368 
Planview Parent, Inc.               
5.01% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27        246,875    243,480 
Peraton Corp.               
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28        243,028    240,977 
Nielsen Finance LLC               
2.31% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/04/23        210,946    210,617 
Apttus Corp.               
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28        99,500    99,085 
Dun & Bradstreet               
3.70% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26        98,502    97,464 
Total Technology             1,283,991 
Utilities -  0.2%               
Hamilton Projects Acquiror LLC               
5.51% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 06/17/27        385,113    377,091 
Basic Materials -  0.2%               
Illuminate Buyer LLC               
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27        234,976    226,901 
GrafTech Finance, Inc.               
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25        71,752    70,765 
Total Basic Materials             297,666 
Communications -  0.1%               
Syndigo LLC               
5.25% (6 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27†††        198,000    195,030 
Authentic Brands               
due 12/10/28        53,731    52,791 
Total Communications             247,821 
Energy -  0.1%               
ITT Holdings LLC               
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28        97,510    96,047 
Total Senior Floating Rate Interests               
(Cost $8,985,672)             8,918,520 

 

FEDERAL AGENCY BONDS†† - 1.6%
Tennessee Valley Authority          
4.25% due 09/15/65   1,000,000    1,215,606 
5.38% due 04/01/56   750,000    1,072,408 
Tennessee Valley Authority Principal Strips          
 due 01/15/4812,13   500,000    207,441 
Freddie Mac          
 due 11/15/3812   100,000    59,474 
Total Federal Agency Bonds          
(Cost $2,625,799)        2,554,929 

 

MUNICIPAL BONDS†† - 0.8%
New York -  0.3%        
Westchester County Local Development Corp. Revenue Bonds          
3.85% due 11/01/50   300,000    278,162 
Port Authority of New York & New Jersey Revenue Bonds          
3.14% due 02/15/51   275,000    247,146 
Total New York        525,308 
Illinois -  0.3%          
State of Illinois General Obligation Unlimited          
5.65% due 12/01/38   377,778    426,771 
Texas -  0.2%          
City of San Antonio Texas Electric & Gas Systems Revenue Bonds          
2.91% due 02/01/48   500,000    425,126 
Total Municipal Bonds          
(Cost $1,459,335)        1,377,205 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

       Contracts/Notional Value   Value 
OTC OPTIONS PURCHASED†† - 0.0%
Call Options on:        
Interest Rate Options               
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40   USD    $40,900,000   $5,317 
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40   USD     16,900,000    2,197 
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61   USD     14,200,000    710 
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61   USD     4,500,000    225 
Total OTC Options Purchased               
(Cost $162,795)             8,449 
Total Investments - 103.1%               
(Cost $177,585,440)            $169,371,691 

 

LISTED OPTIONS WRITTEN - 0.0%
Call Options on:        
Equity Options        
 Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $2,152)   1    (50)
 Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $4,304)   2    (135)
Total Listed Options Written          
(Premiums received $3,216)        (185)
Other Assets & Liabilities, net - (3.1)%        (5,025,625)
Total Net Assets - 100.0%       $164,345,881 

 

Centrally Cleared Interest Rate Swap Agreements††        
Counterparty  Exchange   Floating Rate Type  Floating Rate Index  Fixed Rate   Payment Frequency  Maturity Date  Notional Amount   Value   Upfront Premiums Paid   Unrealized Depreciation** 
BofA Securities, Inc.  CME &n