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Guggenheim Strategy Fund II

 

Annual Shareholder Report | 9.30.25

This annual shareholder report contains important information about the Guggenheim Strategy Fund II for the period of October 1, 2024 to September 30, 2025. You can find additional information about the fund at https://www.guggenheiminvestments.com/mutual-funds/literature. You can also request this information by contacting 800 820 0888 or [email protected].

This report describes changes to the fund that occurred during the reporting period.
What were the fund costs for the last year?1
(Based on a hypothetical $10,000 investment)
Costs of a $10,000 Investment Costs Paid as a % of a $10,000 Investment
$18 0.17%
1 Excludes expenses of the underlying funds in which the fund invests, if any.
How did the fund perform over the last year?*

For the period of October 1, 2024 to September 30, 2025, the fund returned 5.95%, outperforming the fund's broad-based securities market index, the Bloomberg U.S. Aggregate Bond Index, which returned 2.88% for the same period and outperforming the fund's secondary index, the Bloomberg 1-3 Month U.S. Treasury Bill Index, which returned 4.47% for the same period.

What factors materially affected the fund's performance over the last year?

Positive performance was driven by carry (or earned income), while duration detracted from performance as intermediate-to-long end rates rose. Spreads were mixed, with widening in the fund's asset-backed securities and non-agency commercial mortgage-backed securities allocations driving spread detraction, which was partially offset by spread tightening in corporate credit allocations leading to a modest net detraction from spreads over the reporting period.

How did the fund perform over the last 10 years?

Cumulative performance* for the fund's most recently completed 10 years (as of 9.30.25), assuming a $10,000 initial investment.

Ad2 Performance Graph
Average Annual Total Returns* as of 9.30.25
One YearFive YearsTen Years
Guggenheim Strategy Fund II 5.95% 3.99% 3.29%
Bloomberg U.S. Aggregate Bond Index 2.88% -0.45% 1.84%
Bloomberg 1-3 Month U.S. Treasury Bill Index 4.47% 3.04% 2.08%

The fund's past performance is not a good predictor of the fund's future performance.

Fund Statistics as of 9.30.25
Net Assets $127,159,449
Total Number of Portfolio Holdings 135
Portfolio Turnover Rate 2%
Total Advisory Fees Paid $0

The fund does not pay an advisory fee.

 

* The investment return and principal value of an investment in the fund will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The Bloomberg U.S. Aggregate Bond Index and the Bloomberg 1-3 Month U.S. Treasury Bill Index are unmanaged indices and, unlike the fund, have no management fees or operating expenses to reduce their reported returns.

 

Guggenheim Investments 1
Guggenheim Strategy Fund II Annual Shareholder Report   |   September 30, 2025

 

What did the fund invest in?
Holdings Diversification1 (Market Exposure as a % of Net Assets) as of 9.30.25
Af Image
10 Largest Holdings2 (as a % of Net Assets) as of 9.30.25
BX Commercial Mortgage Trust, 5.92% 2.8%
JP Morgan Chase Commercial Mortgage Securities Trust, 6.06% 2.8%
Oak Street Investment Grade Net Lease Fund Series, 1.85% 2.3%
WMRK Commercial Mortgage Trust, 7.59% 2.3%
Brighthouse Financial Global Funding, 5.55% 2.1%
AEGON Funding Company LLC, 5.50% 2.1%
Citigroup Mortgage Loan Trust, Inc., 9.17% 2.0%
BXMT Ltd., 5.66% 1.9%
Athene Global Funding, 5.68% 1.8%
OBX Trust, 5.99% 1.8%
Top 10 Total 21.9%

1

"Holdings Diversification (Market Exposure as a % of Net Assets)" excludes any temporary cash investments.

2

"10 Largest Holdings (as a % of Net Assets)" excludes any temporary cash or derivative investments.

 

 
What changes in or disagreements with accountants occurred?

There were no changes in or disagreements with fund accountants for the period.

How has the fund changed over the reporting period?

This is a summary of certain changes to the fund since September 30, 2024. For more complete information, you may review the fund's next prospectus, which we expect to be available by January 31, 2026 at GuggenheimInvestments.com/mutual-funds/literature or, by calling 800 820 0888.

The fund's net expense ratio was 0.17% for the year ended September 30, 2025, an increase of 0.07% compared to the prior year. The primary driver of the increase was the impact of reduced average net assets.

  QR Code Availability of Additional Information.

For additional information, including the fund's financial information, holdings and proxy voting information, go to https://www.guggenheiminvestments.com/mutual-funds/literature or, call 800 820 0888.

 

AR-C000141590-093025

 

Guggenheim Investments 2
 

 

 

true

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Guggenheim Strategy Fund III

 

Annual Shareholder Report | 9.30.25

This annual shareholder report contains important information about the Guggenheim Strategy Fund III for the period of October 1, 2024 to September 30, 2025. You can find additional information about the fund at https://www.guggenheiminvestments.com/mutual-funds/literature. You can also request this information by contacting 800 820 0888 or [email protected].

This report describes changes to the fund that occurred during the reporting period.
What were the fund costs for the last year?1
(Based on a hypothetical $10,000 investment)
Costs of a $10,000 Investment Costs Paid as a % of a $10,000 Investment
$14 0.14%
1 Excludes expenses of the underlying funds in which the fund invests, if any.
How did the fund perform over the last year?*

For the period of October 1, 2024 to September 30, 2025, the fund returned 5.91%, outperforming the fund's broad-based securities market index, the Bloomberg U.S. Aggregate Bond Index, which returned 2.88% for the same period and outperforming the fund's secondary index, the Bloomberg 1-3 Month U.S. Treasury Bill Index, which returned 4.47% for the same period.

What factors materially affected the fund's performance over the last year?

Positive performance was driven by carry (or earned income), while duration detracted from performance as intermediate-to-long end rates rose. Spreads were mixed, with widening in the fund's asset-backed securities and non-agency commercial mortgage-backed securities allocations driving spread detraction, which was mostly offset by spread tightening in corporate credit allocations leading to a modest neutral impact from spreads over the reporting period.

How did the fund perform over the last 10 years?

Cumulative performance* for the fund's most recently completed 10 years (as of 9.30.25), assuming a $10,000 initial investment.

Ad2 Performance Graph
Average Annual Total Returns* as of 9.30.25
One YearFive YearsTen Years
Guggenheim Strategy Fund III 5.91% 3.96% 3.40%
Bloomberg U.S. Aggregate Bond Index 2.88% -0.45% 1.84%
Bloomberg 1-3 Month U.S. Treasury Bill Index 4.47% 3.04% 2.08%

The fund's past performance is not a good predictor of the fund's future performance.

Fund Statistics as of 9.30.25
Net Assets $128,124,969
Total Number of Portfolio Holdings 151
Portfolio Turnover Rate 3%
Total Advisory Fees Paid $0

The fund does not pay an advisory fee.

 

* The investment return and principal value of an investment in the fund will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The Bloomberg U.S. Aggregate Bond Index and the Bloomberg 1-3 Month U.S. Treasury Bill Index are unmanaged indices and, unlike the fund, have no management fees or operating expenses to reduce their reported returns.

 

Guggenheim Investments 1
Guggenheim Strategy Fund III Annual Shareholder Report   |   September 30, 2025

 

What did the fund invest in?
Holdings Diversification1 (Market Exposure as a % of Net Assets) as of 9.30.25
Af Image
10 Largest Holdings2 (as a % of Net Assets) as of 9.30.25
FirstKey Homes Trust, 2.67% 2.8%
BX Commercial Mortgage Trust, 5.92% 2.6%
WMRK Commercial Mortgage Trust, 7.59% 2.3%
Brighthouse Financial Global Funding, 5.55% 2.2%
BRSP Ltd., 6.15% 2.1%
AEGON Funding Company LLC, 5.50% 2.1%
Citigroup Mortgage Loan Trust, Inc., 9.17% 2.1%
OSAT Trust, 6.12% 2.0%
Oak Street Investment Grade Net Lease Fund Series, 1.85% 1.8%
OBX Trust, 5.99% 1.7%
Top 10 Total 21.7%

1

"Holdings Diversification (Market Exposure as a % of Net Assets)" excludes any temporary cash investments.

2

"10 Largest Holdings (as a % of Net Assets)" excludes any temporary cash or derivative investments.

 

 
What changes in or disagreements with accountants occurred?

There were no changes in or disagreements with fund accountants for the period.

How has the fund changed over the reporting period?

There were no material changes for the period.

  QR Code Availability of Additional Information.

For additional information, including the fund's financial information, holdings and proxy voting information, go to https://www.guggenheiminvestments.com/mutual-funds/literature or, call 800 820 0888.

 

AR-C000141591-093025

 

Guggenheim Investments 2
 

 

 

true

MUFG Logo

 

 

Guggenheim Variable Insurance Strategy Fund III

 

Variable Annuity

 

Annual Shareholder Report | 9.30.25

This annual shareholder report contains important information about the Guggenheim Variable Insurance Strategy Fund III for the period of October 1, 2024 to September 30, 2025. You can find additional information about the fund at https://www.guggenheiminvestments.com/variable-insurance-funds. You can also request this information by contacting 800 820 0888 or [email protected].

This report describes changes to the fund that occurred during the reporting period.
What were the fund costs for the last year?1
(Based on a hypothetical $10,000 investment)
Class Costs of a $10,000 Investment Costs Paid as a % of a $10,000 Investment
Variable Annuity $41 0.40%
1 Excludes expenses of the underlying funds in which the fund invests, if any.
How did the fund perform over the last year?*

For the period of October 1, 2024 to September 30, 2025, the fund returned 5.76%, outperforming the fund's broad-based securities market index, the Bloomberg U.S. Aggregate Bond Index, which returned 2.88% for the same period and outperforming the fund's secondary index, the Bloomberg 1-3 Month U.S. Treasury Bill Index, which returned 4.47% for the same period.

What factors materially affected the fund's performance over the last year?

Positive performance was driven by carry (or earned income). Duration was a modest detractor as intermediate-to-long end rates rose. Credit positioning detracted modestly from performance due to spread widening within the fund's asset-backed and non-agency commercial mortgage-backed securities allocations.

How did the fund perform over the last 10 years?

Cumulative performance* for the fund's most recently completed 10 years (as of 9.30.25), assuming a $10,000 initial investment.

Ad2 Performance Graph
Average Annual Total Returns* as of 9.30.25
One YearFive YearsTen Years
Guggenheim Variable Insurance Strategy Fund III 5.76% 3.89% 3.34%
Bloomberg U.S. Aggregate Bond Index 2.88% -0.45% 1.84%
Bloomberg 1-3 Month U.S. Treasury Bill Index 4.47% 3.04% 2.08%

The fund's past performance is not a good predictor of the fund's future performance.

Fund Statistics as of 9.30.25
Net Assets $30,985,169
Total Number of Portfolio Holdings 82
Portfolio Turnover Rate 0%
Total Advisory Fees Paid $0

The fund does not pay an advisory fee.

 

* The investment return and principal value of an investment in the fund will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The Bloomberg U.S. Aggregate Bond Index and the Bloomberg 1-3 Month U.S. Treasury Bill Index are unmanaged indices and, unlike the fund, have no management fees or operating expenses to reduce their reported returns.

 

Guggenheim Investments 1
Guggenheim Variable Insurance Strategy Fund III   |   Variable Annuity Annual Shareholder Report   |   September 30, 2025

 

What did the fund invest in?
Holdings Diversification1 (Market Exposure as a % of Net Assets) as of 9.30.25
Af Image
10 Largest Holdings2 (as a % of Net Assets) as of 9.30.25
FirstKey Homes Trust, 2.67% 4.2%
BX Commercial Mortgage Trust, 5.92% 3.9%
Anchorage Credit Funding 4 Ltd., 2.72% 3.8%
WMRK Commercial Mortgage Trust, 7.59% 3.7%
Oak Street Investment Grade Net Lease Fund Series, 1.85% 3.3%
BXMT Ltd., 5.66% 3.2%
Cerberus Loan Funding XXXII, LP, 6.20% 3.2%
Citigroup Mortgage Loan Trust, Inc., 9.17% 3.1%
OSAT Trust, 6.12% 3.1%
OBX Trust, 5.99% 2.6%
Top 10 Total 34.1%

1

"Holdings Diversification (Market Exposure as a % of Net Assets)" excludes any temporary cash investments.

2

"10 Largest Holdings (as a % of Net Assets)" excludes any temporary cash or derivative investments.

 

 
What changes in or disagreements with accountants occurred?

There were no changes in or disagreements with fund accountants for the period.

How has the fund changed over the reporting period?

This is a summary of certain changes to the fund since September 30, 2024. For more complete information, you may review the fund's next prospectus, which we expect to be available by January 31, 2026 at GuggenheimInvestments.com/mutual-funds/literature or, by calling 800 820 0888.

The fund's net expense ratio was 0.40% for the year ended September 30, 2025, an increase of 0.24% compared to the prior year. The primary driver of the increase was the impact of reduced average net assets.

  QR Code Availability of Additional Information.

For additional information, including the fund's financial information, holdings and proxy voting information, go to https://www.guggenheiminvestments.com/variable-insurance-funds or, call 800 820 0888.

 

AR-C000141592-093025

 

Guggenheim Investments 2
 

(b)Not applicable

 

Item 2.Code of Ethics.

 

The registrant’s Board of Trustees has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. No substantive amendments were approved or waivers were granted to the code of ethics during the period covered by this report. The code of ethics is filed as an exhibit to this Form N-CSR.

 

Item 3.Audit Committee Financial Expert.

 

The registrant's Board of Trustees has determined that it has at least one audit committee financial expert serving on its audit committee (the “Audit Committee”), Sandra G. Sponem. Ms. Sponem is “independent,” meaning that she is not an “interested person” of the registrant (as that term is defined in Section 2(a)(19) of the Investment Company Act) and she does not accept any consulting, advisory, or other compensatory fee from the registrant (except in her capacity as a Board or committee member).

 

(Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the Audit Committee and Board of Trustees in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations or liability of any other member of the Audit Committee or Board of Trustees.)

 

Item 4.Principal Accountant Fees and Services.

 

(a) Audit Fees: the aggregate Audit Fees billed by the registrant’s principal accountant for professional services rendered for the audit of the annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $131,461 and $118,517 for the fiscal years ended September 30, 2025 and September 30, 2024, respectively.

 

(b) Audit-Related Fees: the aggregate Audit-Related Fees billed by the registrant’s principal accountant for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item 4, were $0 and $0 for the fiscal years ended September 30, 2025 and September 30, 2024, respectively.

 

 

 

(c) Tax Fees: the aggregate Tax Fees billed by the registrant’s principal accountant for professional services rendered for tax compliance, tax advice and tax planning, including preparation of tax returns and distribution assistance were $29,660 and $25,938 for the fiscal years ended September 30, 2025 and September 30, 2024, respectively. These services consisted of [(i) preparation of U.S. federal, state and excise tax returns; (ii) U.S. federal and state tax planning, advice and assistance regarding statutory, regulatory or administrative developments, (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired and (iv) review of U.S. federal excise distribution calculations].

 

(d) All Other Fees: the aggregate All Other Fees billed by the registrant’s principal accountant for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item 4, were $0 and $0 for the fiscal years ended September 30, 2025 and September 30, 2024, respectively.

 

(e) Audit Committee Pre-Approval Policies and Procedures.

 

(1) The registrant’s pre-approval policy requires the Audit Committee to pre-approve any engagement of the registrant’s independent auditors to provide any services, other than “prohibited non-audit services,” to the registrant, including the fees and other compensation to be paid to the independent auditors (unless an exception is available under Rule 2-01 of Regulation S-X). The independent auditors or the Chief Accounting Officer of the registrant (or an officer of the registrant who reports to the Chief Accounting Officer) report to the Audit Committee at each of its regular scheduled meetings all audit, audit-related and permissible non-audit services initiated since the last such report (unless the services were contained in the initial audit plan, as previously presented to, and approved by, the Audit Committee). The report includes a general description of the services and projected fees, and the means by which such services were approved by the Audit Committee. The Audit Committee is also required to pre-approve any engagement of the registrant’s independent auditors, including the fees and other compensation to be paid to the independent auditors, to provide any non-audit services to the registrant’s investment adviser (or any “control affiliate” of the investment adviser providing ongoing services to the registrant), if the engagement relates directly to the operations or financial reporting of the registrant (unless an exception is available under Rule 2-01 of Regulation S-X). (2) None of the services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

 

(f) Not applicable.

 

(g) Non-Audit Fees. The aggregate non-audit fees billed by the registrant's accountant for the most recent fiscal year and the preceding fiscal year for services rendered to the registrant, the investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant were $29,660 and $25,938 respectively. These aggregate fees were less than the aggregate fees billed for the same periods by the registrant’s principal accountant for audit services rendered to the registrant, the investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.

 

(h) Auditor Independence. The registrant’s Audit Committee was provided with information relating to the provision of non-audit services by Ernst & Young, LLP to the registrant’s investment adviser (not including any sub adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved by the Audit Committee so that a determination could be made whether the provision of such services is compatible with maintaining Ernst & Young, LLP’s independence.

 

 

 

(i) Not applicable.

 

(j) Not applicable.

 

Item 5.Audit Committee of Listed Registrants.

 

(a)Not applicable to this registrant.

 

(b)Not applicable to this registrant

 

Item 6.Investments.

 

(a)The Schedule of Investments is included under Item 7 of this Form.

 

(b)Not applicable

 

 

 

Item 7.Financial Statements and Financial Highlights for Open-End Management Investment Companies

 

 

9.30.2025

 

Guggenheim Strategy Funds Trust Annual Financial Report

 

Guggenheim Strategy Funds

Guggenheim Strategy Fund II

    

Guggenheim Strategy Fund III

    

Guggenheim Variable Insurance Strategy Fund III

    

 

GuggenheimInvestments.com

  

 

 

This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.

 

Distributed by Guggenheim Funds Distributors, LLC.

 

 

TABLE OF CONTENTS

 

   

ITEM 7: FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES (ANNUAL FINANCIAL REPORT)

  

GUGGENHEIM STRATEGY FUND II

2

GUGGENHEIM STRATEGY FUND III

12

GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III

22

NOTES TO FINANCIAL STATEMENTS

31

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

43

OTHER INFORMATION

44

ITEM 8: CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES

45

ITEM 9: PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES

46

ITEM 10: REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES

47

ITEM 11: STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT

48

 

 

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 1

 

 

SCHEDULE OF INVESTMENTS

September 30, 2025

GUGGENHEIM STRATEGY FUND II

  

 

 

  

Shares

    

Value

  

MONEY MARKET FUND***,† - 2.5%

Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 4.00%1

     3,196,394     $ 3,196,394  

Total Money Market Fund

        

(Cost $3,196,394)

             3,196,394  
                 
   

Face
Amount

          

CORPORATE BONDS†† - 39.2%

Financial - 21.3%

                

Brighthouse Financial Global Funding

                

5.55% due 04/09/272

   $ 2,700,000       2,745,302  

AEGON Funding Company LLC

                

5.50% due 04/16/272

     2,600,000       2,645,474  

Athene Global Funding

                

5.68% due 02/23/262

     2,300,000       2,310,418  

F&G Global Funding

                

5.88% due 06/10/272

     2,100,000       2,154,079  

Mutual of Omaha Companies Global Funding

                

5.35% due 04/09/272

     1,750,000       1,779,625  

Barclays plc

                

5.67% due 03/12/283

     1,700,000       1,733,062  

HSBC Holdings plc

                

5.60% due 05/17/283

     1,600,000       1,633,601  

Standard Chartered plc

                

5.69% due 05/14/282,3

     1,600,000       1,633,229  

Jackson National Life Global Funding

                

5.60% due 04/10/262

     1,600,000       1,611,575  

LPL Holdings, Inc.

                

5.70% due 05/20/27

     1,550,000       1,579,223  

CNO Global Funding

                

5.88% due 06/04/272

     1,060,000       1,087,481  

Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.

                

2.88% due 10/15/262

     900,000       881,576  

Cooperatieve Rabobank UA

                

4.66% due 08/22/282,3

     850,000       857,131  

Mizuho Financial Group, Inc.

                

5.41% due 09/13/283

     800,000       819,314  

Societe Generale S.A.

                

5.52% due 01/19/282,3

     800,000       810,704  

GA Global Funding Trust

                

1.63% due 01/15/262

     600,000       595,158  

SLM Corp.

                

3.13% due 11/02/26

     600,000       587,787  

Nationwide Building Society

                

4.65% due 07/14/292,3

     550,000       554,494  

United Wholesale Mortgage LLC

                

5.50% due 11/15/252

     490,000       489,824  

American National Group, Inc.

                

5.00% due 06/15/27

     240,000       241,971  

Brown & Brown, Inc.

                

4.60% due 12/23/26

     175,000       175,916  

OneMain Finance Corp.

                

7.13% due 03/15/26

   168,000     169,519  

Total Financial

             27,096,463  
                 

Consumer, Non-cyclical - 7.6%

                

Universal Health Services, Inc.

                

1.65% due 09/01/26

     1,950,000       1,903,886  

Element Fleet Management Corp.

                

6.27% due 06/26/262

     1,700,000       1,721,997  

Icon Investments Six DAC

                

5.81% due 05/08/27

     1,600,000       1,632,426  

Global Payments, Inc.

                

4.95% due 08/15/27

     1,600,000       1,619,128  

IQVIA, Inc.

                

5.00% due 05/15/272

     1,000,000       997,216  

Triton Container International Ltd.

                

2.05% due 04/15/262

     900,000       888,676  

AMN Healthcare, Inc.

                

4.63% due 10/01/272

     350,000       349,860  

Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons Ltd. Partnership / Albertsons LLC

                

3.25% due 03/15/262

     330,000       327,420  

Block, Inc.

                

2.75% due 06/01/26

     150,000       148,030  

Graham Holdings Co.

                

5.75% due 06/01/262

     125,000       124,949  

Total Consumer, Non-cyclical

             9,713,588  
                 

Industrial - 3.8%

                

Penske Truck Leasing Company Lp / PTL Finance Corp.

                

5.35% due 01/12/272

     1,650,000       1,669,979  

Silgan Holdings, Inc.

                

1.40% due 04/01/262

     950,000       935,070  

Weir Group plc

                

2.20% due 05/13/262

     950,000       934,848  

Vontier Corp.

                

1.80% due 04/01/26

     850,000       838,258  

Jabil, Inc.

                

4.25% due 05/15/27

     250,000       250,020  

1.70% due 04/15/26

     250,000       246,647  

Total Industrial

             4,874,822  
                 

Consumer, Cyclical - 2.4%

                

Live Nation Entertainment, Inc.

                

6.50% due 05/15/272

     900,000       908,326  

United Airlines, Inc.

                

4.38% due 04/15/262

     900,000       898,618  

LG Electronics, Inc.

                

5.63% due 04/24/272

     850,000       865,642  

Air Canada

                

3.88% due 08/15/262

     330,000       327,005  

Newell Brands, Inc.

                

6.38% due 09/15/27

     84,000       85,145  

Total Consumer, Cyclical

             3,084,736  
                 

 

2 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2025

GUGGENHEIM STRATEGY FUND II

  

 

 

  

Face
Amount

    

Value

  

Utilities - 1.6%

                

Algonquin Power & Utilities Corp.

                

5.37% due 06/15/26

   $ 1,750,000     $ 1,762,586  

Terraform Global Operating, LP

                

6.13% due 03/01/262

     212,000       209,321  

Total Utilities

             1,971,907  
                 

Communications - 1.2%

                

FactSet Research Systems, Inc.

                

2.90% due 03/01/27

     1,500,000       1,472,554  
                 

Technology - 1.1%

                

CDW LLC / CDW Finance Corp.

                

2.67% due 12/01/26

     1,450,000       1,422,488  
                 

Energy - 0.2%

                

Buckeye Partners, LP

                

3.95% due 12/01/26

     250,000       247,774  

Total Corporate Bonds

        

(Cost $49,430,571)

     49,884,332  
 

COLLATERALIZED MORTGAGE OBLIGATIONS†† - 34.4%

Residential Mortgage-Backed Securities - 23.2%

        

OBX Trust

                

2024-NQM5, 5.99% due 01/25/642,4

     2,219,180       2,241,168  

2024-NQM8, 6.23% due 05/25/642,4

     1,095,665       1,110,900  

2024-NQM6, 6.45% due 02/25/642,4

     1,089,441       1,106,390  

2024-NQM7, 6.24% due 03/25/642,4

     1,060,188       1,074,161  

2023-NQM2, 6.32% due 01/25/622,4

     1,025,725       1,027,236  

2023-NQM1, 6.25% due 11/25/632,4

     457,608       461,535  

GCAT Trust

                

2024-NQM2, 6.09% due 06/25/592,4

     969,528       980,898  

2022-NQM4, 5.73% due 08/25/672,4

     948,958       948,819  

2023-NQM3, 6.89% due 08/25/682,4

     324,163       328,500  

2025-NQM4, 5.53% due 06/25/702

     294,670       297,220  

Citigroup Mortgage Loan Trust, Inc.

                

2022-A, 9.17% due 09/25/622,4

     2,475,192       2,481,941  

Legacy Mortgage Asset Trust

                

2021-GS3, 5.75% due 07/25/612

     1,093,837       1,093,745  

2021-GS4, 5.65% due 11/25/602

     852,754       853,241  

2021-GS2, 5.75% due 04/25/612

     412,623       412,301  

CSMC Trust

                

2021-RPL7, 4.20% (WAC) due 07/27/61◊,2

     562,295       559,699  

2021-RPL4, 4.14% (WAC) due 12/27/60◊,2

     438,065       436,289  

2020-NQM1, 2.21% due 05/25/652

     383,031       366,197  

OSAT Trust

                

2021-RPL1, 6.12% due 05/25/652

     1,300,648       1,301,155  

Home Equity Loan Trust

                

2007-FRE1, 4.46% (1 Month Term SOFR + 0.30%, Rate Floor: 0.19%) due 04/25/37◊

     1,326,771       1,287,702  

New Residential Mortgage Loan Trust

                

2019-1A, 3.50% (WAC) due 10/25/59◊,2

     677,989       638,997  

2018-2A, 3.50% (WAC) due 02/25/58◊,2

     620,445       592,484  

Imperial Fund Mortgage Trust

                

2022-NQM2, 4.02% (WAC) due 03/25/67◊,2

     1,286,464       1,214,705  

Angel Oak Mortgage Trust

                

2024-4, 6.20% due 01/25/692,4

   587,203     594,256  

2022-1, 3.29% (WAC) due 12/25/66◊,2

     469,463       420,651  

JP Morgan Mortgage Trust

                

2021-12, 2.50% (WAC) due 02/25/52◊,2

     1,077,326       1,007,340  

NovaStar Mortgage Funding Trust Series

                

2007-2, 4.47% (1 Month Term SOFR + 0.31%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37◊

     773,652       762,784  

Structured Asset Securities Corporation Mortgage Loan Trust

                

2008-BC4, 4.90% (1 Month Term SOFR + 0.74%, Rate Floor: 0.63%) due 11/25/37◊

     774,579       753,402  

Soundview Home Loan Trust

                

2006-OPT5, 4.55% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 07/25/36◊

     761,176       742,388  

Verus Securitization Trust

                

2021-6, 1.89% (WAC) due 10/25/66◊,2

     521,410       459,233  

2021-3, 1.44% (WAC) due 06/25/66◊,2

     182,405       160,351  

Alternative Loan Trust

                

2007-OA7, 4.55% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 05/25/47◊

     560,535       516,721  

HarborView Mortgage Loan Trust

                

2006-14, 4.55% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 01/25/47◊

     509,490       477,099  

CFMT LLC

                

2022-HB9, 3.25% (WAC) due 09/25/37◊,2

     465,950       458,995  

HOMES Trust

                

2024-AFC2, 5.58% (WAC) due 10/25/59◊,2

     425,735       428,917  

FIGRE Trust

                

2024-HE5, 5.44% (WAC) due 10/25/54◊,2

     400,863       405,251  

COLT Mortgage Loan Trust

                

2023-3, 7.18% due 09/25/682,4

     346,053       351,135  

PMT Loan Trust

                

2025-INV8, 6.00% (WAC) due 07/25/56◊,2

     343,315       345,916  

Bear Stearns Asset-Backed Securities I Trust

                

2006-HE9, 4.55% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 11/25/36◊

     308,821       306,810  

Towd Point Mortgage Trust

                

2018-2, 3.25% (WAC) due 03/25/58◊,2

     197,177       195,022  

BRAVO Residential Funding Trust

                

2025-NQM7, 5.46% due 07/25/652

     146,305       147,446  

Banc of America Funding Trust

                

2015-R2, 4.53% (1 Month Term SOFR + 0.37%, Rate Floor: 0.26%) due 04/29/37◊,2

     115,347       115,056  

Residential Mortgage Loan Trust

                

2020-1, 2.38% (WAC) due 01/26/60◊,2

     41,415       41,078  

Starwood Mortgage Residential Trust

                

2020-1, 2.28% (WAC) due 02/25/50◊,2

     32,043       30,390  

Total Residential Mortgage-Backed Securities

             29,535,524  

 

SEE NOTES TO FINANCIAL STATEMENTS.

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 3

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2025

GUGGENHEIM STRATEGY FUND II

  

 

 

  

Face
Amount

    

Value

  

Commercial Mortgage-Backed Securities - 10.3%

        

BX Commercial Mortgage Trust

                

2021-VOLT, 5.92% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 09/15/36◊,2

   $ 3,633,105     $ 3,621,752  

2022-LP2, 5.71% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39◊,2

     770,000       769,037  

JP Morgan Chase Commercial Mortgage Securities Trust

                

2021-NYAH, 6.06% (1 Month Term SOFR + 1.90%, Rate Floor: 1.54%) due 06/15/38◊,2

     3,900,000       3,513,848  

WMRK Commercial Mortgage Trust

                

2022-WMRK, 7.59% (1 Month Term SOFR + 3.44%, Rate Floor: 3.44%) due 11/15/27◊,2

     2,850,000       2,857,135  

Citigroup Commercial Mortgage Trust

                

2018-C6, 0.93% (WAC) due 11/10/51◊,5

     44,966,063       929,035  

BXHPP Trust

                

2021-FILM, 5.37% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 08/15/36◊,2

     500,000       456,776  

BENCHMARK Mortgage Trust

                

2019-B14, 0.89% (WAC) due 12/15/62◊,5

     21,540,755       449,745  

JPMDB Commercial Mortgage Securities Trust

                

2018-C8, 0.75% (WAC) due 06/15/51◊,5

     33,061,448       403,935  

Life Mortgage Trust

                

2021-BMR, 5.37% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 03/15/38◊,2

     101,460       101,016  

Total Commercial Mortgage-Backed Securities

             13,102,279  
                 

Government Agency - 0.9%

                

Fannie Mae

                

6.50% due 04/25/49

     736,068       750,655  

5.00% due 05/25/52

     338,894       339,272  

Total Government Agency

             1,089,927  
                 

Total Collateralized Mortgage Obligations

        

(Cost $44,734,159)

     43,727,730  
 

ASSET-BACKED SECURITIES†† - 20.8%

Collateralized Loan Obligations - 9.9%

        

BXMT Ltd.

                

2020-FL2 AS, 5.66% (1 Month Term SOFR + 1.51%, Rate Floor: 1.51%) due 02/15/38◊,2

     2,500,000       2,470,071  

2020-FL3 AS, 6.51% (1 Month Term SOFR + 2.36%, Rate Floor: 2.36%) due 11/15/37◊,2

     1,750,000       1,743,547  

Owl Rock CLO IV Ltd.

                

2021-4A A1R, 6.07% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 08/20/33◊,2

     2,150,000       2,159,880  

FS Rialto

                

2021-FL3 B, 6.06% (1 Month Term SOFR + 1.91%, Rate Floor: 1.91%) due 11/16/36◊,2

   2,000,000     1,996,097  

BRSP Ltd.

                

2021-FL1 B, 6.15% (1 Month Term SOFR + 2.01%, Rate Floor: 1.90%) due 08/19/38◊,2

     1,500,000       1,496,419  

Cerberus Loan Funding XXXII, LP

                

2021-2A A, 6.20% (3 Month Term SOFR + 1.88%, Rate Floor: 1.88%) due 04/22/33◊,2

     976,310       978,998  

Sound Point CLO XIX Ltd.

                

2018-1A A, 5.58% (3 Month Term SOFR + 1.26%, Rate Floor: 0.00%) due 04/15/31◊,2

     870,594       871,323  

THL Credit Lake Shore MM CLO I Ltd.

                

2021-1A A1R, 6.28% (3 Month Term SOFR + 1.96%, Rate Floor: 1.70%) due 04/15/33◊,2

     852,941       855,496  

HGI CRE CLO Ltd.

                

2021-FL2 A, 5.26% (1 Month Term SOFR + 1.11%, Rate Floor: 1.11%) due 09/17/36◊,2

     67,972       67,905  

Total Collateralized Loan Obligations

             12,639,736  
                 

Single Family Residence - 3.6%

                

FirstKey Homes Trust

                

2020-SFR2, 1.67% due 10/19/372

     2,000,000       1,990,206  

2020-SFR2, 2.67% due 10/19/372

     1,150,000       1,144,841  

2022-SFR1, 4.49% due 05/19/392

     750,000       746,391  

STAR Trust

                

2025-SFR6, 5.55% (1 Month Term SOFR + 1.40%, Rate Floor: 1.40%) due 08/17/42◊,2

     750,000       751,564  

Total Single Family Residence

             4,633,002  
                 

Net Lease - 2.9%

                

Oak Street Investment Grade Net Lease Fund Series

                

2020-1A, 1.85% due 11/20/502

     3,034,444       2,897,016  

CF Hippolyta Issuer LLC

                

2021-1A, 1.98% due 03/15/612

     942,448       728,059  

Total Net Lease

             3,625,075  
                 

Transport-Container - 2.6%

                

Triton Container Finance VIII LLC

                

2021-1A, 1.86% due 03/20/462

     1,852,500       1,710,518  

Textainer Marine Containers VII Ltd.

                

2021-1A, 1.68% due 02/20/462

     633,333       590,063  

2020-1A, 2.73% due 08/21/452

     262,175       252,216  

CLI Funding VIII LLC

                

2021-1A, 1.64% due 02/18/462

     829,518       766,462  

Total Transport-Container

             3,319,259  
                 

 

4 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2025

GUGGENHEIM STRATEGY FUND II

  

 

 

  

Face
Amount

    

Value

  

Infrastructure - 1.0%

                

Aligned Data Centers Issuer LLC

                

2021-1A, 1.94% due 08/15/462

   $ 1,233,000     $ 1,203,503  
                 

Transport-Aircraft - 0.6%

                

Sapphire Aviation Finance II Ltd.

                

2020-1A, 3.23% due 03/15/402

     492,182       470,162  

Castlelake Aircraft Securitization Trust

                

2018-1, 4.13% due 06/15/432

     309,537       305,512  

Total Transport-Aircraft

             775,674  
                 

Financial - 0.2%

                

Project Onyx II

                

7.09% (3 Month Term SOFR + 2.80%, Rate Floor: 2.80%) due 01/26/27◊,†††

     210,499       209,826  

Total Asset-Backed Securities

        

(Cost $27,020,150)

     26,406,075  
 

U.S. TREASURY BILLS†† - 0.7%

U.S. Treasury Bills

3.95% due 10/23/256

     900,000       897,785  

Total U.S. Treasury Bills

        

(Cost $897,768)

             897,785  
                 

SENIOR FLOATING RATE INTERESTS††,◊ - 0.7%

Financial - 0.5%

                

Citadel Securities, LP

                

6.16% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 10/31/31

     325,069       325,598  

Jane Street Group LLC

                

6.20% (3 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 12/15/31

     294,588       292,134  

Total Financial

             617,732  

Technology - 0.2%

                

World Wide Technology Holding Company LLC

                

6.16% (1 Month Term SOFR + 2.00%, Rate Floor: 2.50%) due 03/01/30

   219,791     220,065  

Total Senior Floating Rate Interests

        

(Cost $837,921)

     837,797  
 

REPURCHASE AGREEMENTS††,7 - 1.2%

BofA Securities, Inc.

issued 09/30/25 at 4.19% due 10/01/25

     576,189       576,189  

BNP Paribas

issued 09/30/25 at 4.20% due 10/01/25

     504,165       504,165  

J.P. Morgan Securities LLC

issued 09/30/25 at 4.20% due 10/01/25

     360,118       360,118  

Bank of Montreal

issued 09/30/25 at 4.18% due 10/01/25

     72,024       72,024  

Total Repurchase Agreements

        

(Cost $1,512,496)

             1,512,496  
                 

Total Investments - 99.5%

        

(Cost $127,629,459)

   $ 126,462,609  

Other Assets & Liabilities, net - 0.5%

     696,840  

Total Net Assets - 100.0%

   $ 127,159,449  

 

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
(Received)		   Unrealized
Depreciation**		 
BofA Securities, Inc.  

CME

   Receive  U.S. Secured Overnight Financing Rate   4.28%  Annually  06/14/27  $55,500,000   $(736,682)  $249   $(736,931)

 

SEE NOTES TO FINANCIAL STATEMENTS.

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 5

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2025

GUGGENHEIM STRATEGY FUND II

  

 

**

Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.

***

A copy of each underlying unaffiliated fund’s financial statements is available at the SEC’s website at www.sec.gov.

†

Value determined based on Level 1 inputs — See Note 4.

††

Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.

†††

Value determined based on Level 3 inputs — See Note 4.

◊

Variable rate security. Rate indicated is the rate effective at September 30, 2025. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

1

Rate indicated is the 7-day yield as of September 30, 2025.

2

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 $93,519,428 (cost $94,375,976), or 73.5% of total net assets.

3

Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.

4

Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at September 30, 2025. See table below for additional step information for each security.

5

Security is an interest-only strip.

6

Rate indicated is the effective yield at the time of purchase.

7

Repurchase Agreements - The interest rate on repurchase agreements is market driven and based on the underlying collateral obtained. See additional disclosure in the repurchase agreements table below for more information on repurchase agreements.
 

BofA — Bank of America
 

CME — Chicago Mercantile Exchange
 

plc — Public Limited Company
 

SOFR — Secured Overnight Financing Rate
 

WAC — Weighted Average Coupon
   
 

See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2025 (See Note 4 in the Notes to Financial Statements):

 

Investments in Securities (Assets)

  

Level 1
Quoted
Prices

    

Level 2
Significant
Observable
Inputs

    

Level 3
Significant
Unobservable
Inputs

    

Total

  

Money Market Fund

   $ 3,196,394     $ —     $ —     $ 3,196,394  

Corporate Bonds

     —       49,884,332       —       49,884,332  

Collateralized Mortgage Obligations

     —       43,727,730       —       43,727,730  

Asset-Backed Securities

     —       26,196,249       209,826       26,406,075  

U.S. Treasury Bills

     —       897,785       —       897,785  

Senior Floating Rate Interests

     —       837,797       —       837,797  

Repurchase Agreements

     —       1,512,496       —       1,512,496  

Total Assets

   $ 3,196,394     $ 123,056,389     $ 209,826     $ 126,462,609  

 

Investments in Securities (Liabilities)

  

Level 1
Quoted
Prices

    

Level 2
Significant
Observable
Inputs

    

Level 3
Significant
Unobservable
Inputs

    

Total

  

Interest Rate Swap Agreements**

   $ —     $ 736,931     $ —     $ 736,931  

 

**

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

 

6 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2025

GUGGENHEIM STRATEGY FUND II

  

 

Step Coupon Bonds

 

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

 

Name

  

Coupon Rate at
Next Reset Date

    

Next Rate Reset Date

    

Future Reset Rate(s)

    

Future Reset Date(s)

  

Angel Oak Mortgage Trust 2024-4, 6.20% due 01/25/69

     7.20 %     03/01/28       —       —  

Citigroup Mortgage Loan Trust, Inc. 2022-A, 9.17% due 09/25/62

     10.17 %     08/25/26       —       —  

COLT Mortgage Loan Trust 2023-3, 7.18% due 09/25/68

     8.18 %     09/01/27       —       —  

GCAT Trust 2023-NQM3, 6.89% due 08/25/68

     7.89 %     09/01/27       —       —  

GCAT Trust 2022-NQM4, 5.73% due 08/25/67

     6.73 %     08/01/26       —       —  

GCAT Trust 2024-NQM2, 6.09% due 06/25/59

     7.36 %     05/01/28       —       —  

OBX Trust 2023-NQM2, 6.32% due 01/25/62

     7.32 %     02/01/27       —       —  

OBX Trust 2024-NQM6, 6.45% due 02/25/64

     7.45 %     04/01/28       —       —  

OBX Trust 2024-NQM8, 6.23% due 05/25/64

     7.23 %     05/01/28       —       —  

OBX Trust 2024-NQM7, 6.24% due 03/25/64

     7.24 %     04/01/28       —       —  

OBX Trust 2023-NQM1, 6.25% due 11/25/63

     7.25 %     12/01/27       —       —  

OBX Trust 2024-NQM5, 5.99% due 01/25/64

     6.99 %     03/01/28       —       —  

 

Repurchase Agreements

 

The Fund may engage in repurchase agreements. Repurchase agreements are fixed income securities in the form of agreements backed by collateral. These agreements typically involve the acquisition by the Fund of securities from the selling institution coupled with the agreement that the selling institution will repurchase the underlying securities at a specified price and at a fixed time in the future. The Fund may accept a wide variety of underlying securities as collateral for the repurchase agreements entered into by the Fund. Any such securities serving as collateral are marked-to-market daily in order to maintain full collateralization. Securities purchased under repurchase agreements are reflected as an asset on the Statement of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statement of Operations.

 

In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian take possession of the underlying collateral. The collateral is in the possession of the Fund’s custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements.

 

The use of repurchase agreements involves certain risks. For example, if the selling institution defaults on its obligation to repurchase the underlying securities at a time when the value of securities has declined, the Fund may incur a loss upon disposition of them. In the event of an insolvency or bankruptcy by the selling institution, the Fund’s right to control the collateral could be affected and result in certain costs and delays. In addition, the Fund could incur a loss if the value of the underlying collateral falls below the agreed upon repurchase price.

 

SEE NOTES TO FINANCIAL STATEMENTS.

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 7

 

 

SCHEDULE OF INVESTMENTS (concluded)

September 30, 2025

GUGGENHEIM STRATEGY FUND II

  

 

At September 30, 2025, the repurchase agreements in the account were as follows:

 

Counterparty and
Terms of Agreement

  

Face Value

    

Repurchase Price

  

 

Collateral

  

Par Value

    

Fair Value

  

BofA Securities, Inc.

                  

U.S. Treasury Strips

                

4.19%

                  

0.00%

                

Due 10/01/25

   $ 576,189     $ 576,256    

Due 05/15/38

   $ 1,042,543     $ 587,713  
                                     

BNP Paribas

                  

U.S. Treasury Bill

                

4.20%

                  

0.00%

                

Due 10/01/25

     504,165       504,224    

Due 02/19/26

     328,400       323,612  
                                     
                   

U.S. Treasury Note

                
                   

3.63%

                
                   

Due 05/31/28

     107,000       108,329  
                                     
                   

U.S. Treasury Strips

                
                   

0.00%

                
                   

Due 05/15/44 - 11/15/54

     250,990       82,248  
                                     
                   

U.S. Treasury Inflation Indexed Bond

                
                   

0.50%

                
                   

Due 01/15/28

     131       130  
                          686,521       514,319  
                                     

J.P. Morgan Securities LLC

                  

U.S. Treasury Notes

                

4.20%

                  

4.38% - 4.63%

                

Due 10/01/25

     360,118       360,160    

Due 12/15/26 - 04/30/31

     346,300       367,341  
                                     
                   

U.S. Treasury Strip

                
                   

0.00%

                
                   

Due 05/15/29

     100       88  
                          346,400       367,429  
                                     

Bank of Montreal

                  

U.S. Treasury Bond

                

4.18%

                  

2.38%

                

Due 10/01/25

     72,024       72,032    

Due 11/15/49

     110,600       73,513  

 

 

8 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

GUGGENHEIM STRATEGY FUND II

  

 

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2025

 

Assets:

Investments, at value (cost $126,116,963)

   $ 124,950,113  

Repurchase agreements, at value (cost $1,512,496)

     1,512,496  

Segregated cash with broker

     12,056  

Unamortized upfront premiums paid on interest rate swap agreements

     249  

Prepaid expenses

     11,309  

Receivables:

Interest

     1,021,859  

Foreign tax reclaims

     569  

Total assets

     127,508,651  
         

Liabilities:

Overdraft due to custodian bank

     16,831  

Payable for:

Distributions to shareholders

     248,240  

Professional fees

     53,529  

Variation margin on interest rate swap agreements

     12,007  

Fund accounting/administration fees

     2,238  

Transfer agent/maintenance fees

     1,873  

Trustees’ fees*

     261  

Miscellaneous

     14,223  

Total liabilities

     349,202  

Net assets

   $ 127,159,449  
         

Net assets consist of:

Paid in capital

   $ 131,140,975  

Total distributable earnings (loss)

     (3,981,526 )

Net assets

   $ 127,159,449  

Capital shares outstanding

     5,111,628  

Net asset value per share

   $ 24.88  

 

STATEMENT OF OPERATIONS

Year Ended September 30, 2025

 

Investment Income:

Interest

   $ 9,422,895  

Total investment income

     9,422,895  
         

Expenses:

Professional fees

     110,200  

Fund accounting/administration fees

     82,585  

Custodian fees

     31,504  

Trustees’ fees*

     28,695  

Transfer agent/maintenance fees

     12,000  

Line of credit fees

     2,111  

Miscellaneous

     26,472  

Total expenses

     293,567  

Less:

Earnings credits applied

     (15,836 )

Net expenses

     277,731  

Net investment income

     9,145,164  
         

Net Realized and Unrealized Gain (Loss):

Net realized gain (loss) on:

Investments

     368,187  

Swap agreements

     216,395  

Net realized gain

     584,582  

Net change in unrealized appreciation (depreciation) on:

Investments

     (465,495 )

Swap agreements

     523,441  

Foreign currency translations

     48  

Net change in unrealized appreciation (depreciation)

     57,994  

Net realized and unrealized gain

     642,576  

Net increase in net assets resulting from operations

   $ 9,787,740  

 

*

Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the Investment Company Act of 1940.

 

SEE NOTES TO FINANCIAL STATEMENTS.

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 9

 

 

GUGGENHEIM STRATEGY FUND II

  

 

STATEMENTS OF CHANGES IN NET ASSETS

 

 

  

Year Ended
September 30,
2025

    

Year Ended
September 30,
2024

  

Increase (Decrease) in Net Assets from Operations:

                

Net investment income

   $ 9,145,164     $ 17,314,342  

Net realized gain on investments

     584,582       876,261  

Net change in unrealized appreciation (depreciation) on investments

     57,994       6,916,120  

Net increase in net assets resulting from operations

     9,787,740       25,106,723  
                 

Distributions to shareholders

     (9,358,512 )     (18,178,692 )
                 

Capital share transactions:

                

Proceeds from sale of shares

     40,306,400       99,883,658  

Distributions reinvested

     6,025,476       14,205,784  

Cost of shares redeemed

     (225,571,475 )     (96,391,806 )

Net increase (decrease) from capital share transactions

     (179,239,599 )     17,697,636  

Net increase (decrease) in net assets

     (178,810,371 )     24,625,667  
                 

Net assets:

                

Beginning of year

     305,969,820       281,344,153  

End of year

   $ 127,159,449     $ 305,969,820  
                 

Capital share activity:

                

Shares sold

     1,625,838       4,077,267  

Shares issued from reinvestment of distributions

     242,524       577,947  

Shares redeemed

     (9,092,152 )     (3,912,845 )

Net increase (decrease) in shares

     (7,223,790 )     742,369  

 

10 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

GUGGENHEIM STRATEGY FUND II

  

 

FINANCIAL HIGHLIGHTS

 

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

 

 

  

Year Ended
September 30,
2025

    

Year Ended
September 30,
2024

    

Year Ended
September 30,
2023

    

Year Ended
September 30,
2022

    

Year Ended
September 30,
2021

  

Per Share Data

Net asset value, beginning of period

   $ 24.80     $ 24.27     $ 23.96     $ 24.99     $ 24.97  

Income (loss) from investment operations:

Net investment income (loss)a

     1.33       1.33       1.15       .49       .35  

Net gain (loss) on investments (realized and unrealized)

     .11       .59       .41       (1.02 )     .07  

Total from investment operations

     1.44       1.92       1.56       (.53 )     .42  

Less distributions from:

Net investment income

     (1.36 )     (1.39 )     (1.25 )     (.50 )     (.40 )

Total distributions

     (1.36 )     (1.39 )     (1.25 )     (.50 )     (.40 )

Net asset value, end of period

   $ 24.88     $ 24.80     $ 24.27     $ 23.96     $ 24.99  

 

Total Returnb

     5.95 %     8.11 %     6.62 %     (2.08 %)     1.68 %

Ratios/Supplemental Data

Net assets, end of period (in thousands)

   $ 127,159     $ 305,970     $ 281,344     $ 287,366     $ 367,122  

Ratios to average net assets:

Net investment income (loss)

     5.37 %     5.40 %     4.75 %     2.01 %     1.40 %

Total expensesc

     0.17 %     0.10 %     0.13 %     0.10 %     0.10 %

Net expenses

     0.17 %     0.10 %     0.13 %     0.10 %     0.10 %

Portfolio turnover rate

     2 %     36 %     12 %     33 %     97 %

 

 

a

Net investment income (loss) per share was computed using average shares outstanding throughout the period.

b

Total return does not reflect the impact of any applicable sales charges.

c

Does not include expenses of the underlying funds in which the Fund invests, if any.

 

SEE NOTES TO FINANCIAL STATEMENTS.

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 11

 

 

SCHEDULE OF INVESTMENTS

September 30, 2025

GUGGENHEIM STRATEGY FUND III

  

 

 

  

Shares

    

Value

  

MONEY MARKET FUNDS***,† - 2.3%

Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 3.98%1

     1,623,584     $ 1,623,584  

Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 4.00%1

     1,320,532       1,320,532  

Total Money Market Funds

        

(Cost $2,944,116)

             2,944,116  
                 
   

Face
Amount

          

COLLATERALIZED MORTGAGE OBLIGATIONS†† - 36.5%

Residential Mortgage-Backed Securities - 27.7%

        

OBX Trust

                

2024-NQM5, 5.99% due 01/25/642,3

   $ 2,219,180       2,241,168  

2024-NQM8, 6.23% due 05/25/642,3

     1,198,384       1,215,047  

2024-NQM6, 6.45% due 02/25/642,3

     1,188,481       1,206,971  

2024-NQM7, 6.24% due 03/25/642,3

     1,159,581       1,174,863  

2023-NQM2, 6.32% due 01/25/622,3

     1,025,725       1,027,236  

2023-NQM1, 6.25% due 11/25/632,3

     457,608       461,535  

2022-NQM9, 6.45% due 09/25/622,3

     234,117       233,566  

GCAT Trust

                

2022-NQM3, 4.35% (WAC) due 04/25/67◊,2

     1,432,109       1,366,584  

2023-NQM2, 5.84% due 11/25/672,3

     1,166,711       1,165,110  

2024-NQM2, 6.09% due 06/25/592,3

     1,060,421       1,072,857  

2023-NQM3, 6.89% due 08/25/682,3

     324,163       328,500  

2025-NQM4, 5.53% due 06/25/702

     294,670       297,220  

Citigroup Mortgage Loan Trust, Inc.

                

2022-A, 9.17% due 09/25/622,3

     2,659,907       2,667,161  

OSAT Trust

                

2021-RPL1, 6.12% due 05/25/652

     2,572,392       2,573,396  

Angel Oak Mortgage Trust

                

2021-6, 1.71% (WAC) due 09/25/66◊,2

     992,054       845,519  

2024-4, 6.20% due 01/25/692,3

     621,744       629,212  

2023-1, 4.75% due 09/26/672,3

     610,742       607,417  

2022-1, 3.29% (WAC) due 12/25/66◊,2

     469,463       420,651  

Legacy Mortgage Asset Trust

                

2021-GS3, 5.75% due 07/25/612

     881,147       881,072  

2021-GS4, 5.65% due 11/25/602

     852,754       853,241  

2021-GS2, 5.75% due 04/25/612

     330,098       329,841  

CSMC Trust

                

2021-RPL7, 4.20% (WAC) due 07/27/61◊,2

     562,295       559,699  

2021-RPL4, 4.14% (WAC) due 12/27/60◊,2

     438,065       436,289  

2020-NQM1, 2.21% due 05/25/652

     314,428       300,610  

Verus Securitization Trust

                

2021-6, 1.89% (WAC) due 10/25/66◊,2

     521,410       459,233  

2021-5, 1.37% (WAC) due 09/25/66◊,2

     520,987       454,193  

2021-4, 1.35% (WAC) due 07/25/66◊,2

     259,921       222,291  

2021-3, 1.44% (WAC) due 06/25/66◊,2

     141,871       124,717  

Imperial Fund Mortgage Trust

                

2022-NQM2, 4.02% (WAC) due 03/25/67◊,2

     1,286,464       1,214,705  

New Residential Mortgage Loan Trust

                

2019-1A, 3.50% (WAC) due 10/25/59◊,2

   570,127     537,338  

2018-2A, 3.50% (WAC) due 02/25/58◊,2

     522,480       498,934  

2017-5A, 5.77% (1 Month Term SOFR + 1.61%, Rate Floor: 1.50%) due 06/25/57◊,2

     170,517       169,692  

Home Equity Loan Trust

                

2007-FRE1, 4.46% (1 Month Term SOFR + 0.30%, Rate Floor: 0.19%) due 04/25/37◊

     1,119,811       1,086,836  

JP Morgan Mortgage Trust

                

2021-12, 2.50% (WAC) due 02/25/52◊,2

     1,152,488       1,077,619  

Structured Asset Securities Corporation Mortgage Loan Trust

                

2008-BC4, 4.90% (1 Month Term SOFR + 0.74%, Rate Floor: 0.63%) due 11/25/37◊

     822,990       800,489  

Bear Stearns Asset-Backed Securities I Trust

                

2006-HE9, 4.55% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 11/25/36◊

     805,539       800,109  

HarborView Mortgage Loan Trust

                

2006-14, 4.55% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 01/25/47◊

     840,659       787,214  

NovaStar Mortgage Funding Trust Series

                

2007-2, 4.47% (1 Month Term SOFR + 0.31%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37◊

     630,383       621,528  

Soundview Home Loan Trust

                

2006-OPT5, 4.55% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 07/25/36◊

     507,812       495,277  

CFMT LLC

                

2022-HB9, 3.25% (WAC) due 09/25/37◊,2

     465,950       458,995  

Alternative Loan Trust

                

2007-OA7, 4.55% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 05/25/47◊

     467,113       430,601  

HOMES Trust

                

2024-AFC2, 5.58% (WAC) due 10/25/59◊,2

     425,735       428,917  

COLT Mortgage Loan Trust

                

2023-3, 7.18% due 09/25/682,3

     408,972       414,978  

FIGRE Trust

                

2024-HE5, 5.44% (WAC) due 10/25/54◊,2

     400,863       405,251  

PMT Loan Trust

                

2025-INV8, 6.00% (WAC) due 07/25/56◊,2

     343,315       345,916  

Towd Point Mortgage Trust

                

2017-6, 2.75% (WAC) due 10/25/57◊,2

     182,238       179,396  

2018-2, 3.25% (WAC) due 03/25/58◊,2

     163,988       162,196  

BRAVO Residential Funding Trust

                

2025-NQM7, 5.46% due 07/25/652

     146,305       147,446  

 

12 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2025

GUGGENHEIM STRATEGY FUND III

  

 

 

  

Face
Amount

    

Value

  

Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series

                

2005-W2, 5.01% (1 Month Term SOFR + 0.85%, Rate Floor: 0.74%) due 10/25/35◊

   $ 144,042     $ 142,579  

Banc of America Funding Trust

                

2015-R2, 4.53% (1 Month Term SOFR + 0.37%, Rate Floor: 0.26%) due 04/29/37◊,2

     97,324       97,079  

Residential Mortgage Loan Trust

                

2020-1, 2.38% (WAC) due 01/26/60◊,2

     36,813       36,514  

Starwood Mortgage Residential Trust

                

2020-1, 2.28% (WAC) due 02/25/50◊,2

     26,702       25,325  

Total Residential Mortgage-Backed Securities

             35,520,133  
                 

Commercial Mortgage-Backed Securities - 7.9%

BX Commercial Mortgage Trust

                

2021-VOLT, 5.92% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 09/15/36◊,2

     3,390,898       3,380,302  

2022-LP2, 5.71% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39◊,2

     735,000       734,081  

WMRK Commercial Mortgage Trust

                

2022-WMRK, 7.59% (1 Month Term SOFR + 3.44%, Rate Floor: 3.44%) due 11/15/27◊,2

     2,900,000       2,907,260  

Citigroup Commercial Mortgage Trust

                

2018-C6, 0.93% (WAC) due 11/10/51◊,4

     39,772,414       821,730  

JP Morgan Chase Commercial Mortgage Securities Trust

                

2021-NYAH, 6.06% (1 Month Term SOFR + 1.90%, Rate Floor: 1.54%) due 06/15/38◊,2

     850,000       765,839  

Morgan Stanley Capital I Trust

                

2018-H3, 0.94% (WAC) due 07/15/51◊,4

     39,477,395       691,052  

BXHPP Trust

                

2021-FILM, 5.37% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 08/15/36◊,2

     500,000       456,776  

JPMDB Commercial Mortgage Securities Trust

                

2018-C8, 0.75% (WAC) due 06/15/51◊,4

     22,095,685       269,958  

Life Mortgage Trust

                

2021-BMR, 5.37% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 03/15/38◊,2

     80,100       79,749  

Total Commercial Mortgage-Backed Securities

             10,106,747  
                 

Government Agency - 0.9%

                

Fannie Mae

                

6.50% due 04/25/49

     736,068       750,655  

5.00% due 05/25/52

     387,307       387,739  

Total Government Agency

             1,138,394  
                 

Total Collateralized Mortgage Obligations

        

(Cost $47,617,642)

     46,765,274  

CORPORATE BONDS†† - 35.0%

Financial - 19.7%

                

Brighthouse Financial Global Funding

                

5.55% due 04/09/272

   2,750,000     2,796,141  

AEGON Funding Company LLC

                

5.50% due 04/16/272

     2,650,000       2,696,348  

Athene Global Funding

                

5.68% due 02/23/262

     2,050,000       2,059,286  

F&G Global Funding

                

5.88% due 06/10/272

     1,900,000       1,948,928  

HSBC Holdings plc

                

5.60% due 05/17/285

     1,750,000       1,786,751  

Mutual of Omaha Companies Global Funding

                

5.35% due 04/09/272

     1,750,000       1,779,625  

Standard Chartered plc

                

5.69% due 05/14/282,5

     1,700,000       1,735,306  

LPL Holdings, Inc.

                

5.70% due 05/20/27

     1,700,000       1,732,051  

Barclays plc

                

5.67% due 03/12/285

     1,650,000       1,682,090  

CNO Global Funding

                

5.88% due 06/04/272

     1,140,000       1,169,555  

Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.

                

2.88% due 10/15/262

     850,000       832,600  

Societe Generale S.A.

                

5.52% due 01/19/282,5

     800,000       810,704  

Cooperatieve Rabobank UA

                

4.66% due 08/22/282,5

     800,000       806,712  

Jackson National Life Global Funding

                

5.60% due 04/10/262

     750,000       755,426  

SLM Corp.

                

3.13% due 11/02/26

     600,000       587,787  

Nationwide Building Society

                

4.65% due 07/14/292,5

     550,000       554,494  

United Wholesale Mortgage LLC

                

5.50% due 11/15/252

     490,000       489,824  

GA Global Funding Trust

                

1.63% due 01/15/262

     450,000       446,369  

American National Group, Inc.

                

5.00% due 06/15/27

     240,000       241,971  

Brown & Brown, Inc.

                

4.60% due 12/23/26

     175,000       175,916  

OneMain Finance Corp.

                

7.13% due 03/15/26

     168,000       169,518  

Total Financial

             25,257,402  
                 

Consumer, Non-cyclical - 5.8%

                

Universal Health Services, Inc.

                

1.65% due 09/01/26

     1,950,000       1,903,885  

Icon Investments Six DAC

                

5.81% due 05/08/27

     1,800,000       1,836,480  

Element Fleet Management Corp.

                

6.27% due 06/26/262

     1,650,000       1,671,350  

IQVIA, Inc.

                

5.00% due 05/15/272

     1,000,000       997,216  

 

SEE NOTES TO FINANCIAL STATEMENTS.

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 13

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2025

GUGGENHEIM STRATEGY FUND III

  

 

 

  

Face
Amount

    

Value

  

Triton Container International Ltd.

                

2.05% due 04/15/262

   $ 700,000     $ 691,193  

Albertsons Companies Incorporated / Safeway Inc / New Albertsons Limited Partnership / Albertsons LLC

                

3.25% due 03/15/262

     275,000       272,850  

Block, Inc.

                

2.75% due 06/01/26

     100,000       98,686  

Total Consumer, Non-cyclical

             7,471,660  
                 

Industrial - 3.4%

                

Penske Truck Leasing Company Lp / PTL Finance Corp.

                

5.35% due 01/12/272

     1,650,000       1,669,980  

Weir Group plc

                

2.20% due 05/13/262

     1,091,000       1,073,599  

Silgan Holdings, Inc.

                

1.40% due 04/01/262

     750,000       738,213  

Vontier Corp.

                

1.80% due 04/01/26

     650,000       641,021  

Jabil, Inc.

                

1.70% due 04/15/26

     200,000       197,317  

Total Industrial

             4,320,130  
                 

Consumer, Cyclical - 2.4%

                

LG Electronics, Inc.

                

5.63% due 04/24/272

     900,000       916,562  

United Airlines, Inc.

                

4.38% due 04/15/262

     900,000       898,618  

Live Nation Entertainment, Inc.

                

6.50% due 05/15/272

     875,000       883,094  

Air Canada

                

3.88% due 08/15/262

     330,000       327,005  

Total Consumer, Cyclical

             3,025,279  
                 

Utilities - 1.6%

                

Algonquin Power & Utilities Corp.

                

5.37% due 06/15/26

     1,750,000       1,762,586  

Terraform Global Operating, LP

                

6.13% due 03/01/262

     210,000       207,346  

Total Utilities

             1,969,932  
                 

Communications - 1.1%

                

FactSet Research Systems, Inc.

                

2.90% due 03/01/27

     1,450,000       1,423,469  
                 

Technology - 1.0%

                

CDW LLC / CDW Finance Corp.

                

2.67% due 12/01/26

     1,350,000       1,324,385  

Total Corporate Bonds

        

(Cost $44,376,205)

     44,792,257  

ASSET-BACKED SECURITIES†† - 22.7%

Collateralized Loan Obligations - 8.8%

        

BXMT Ltd.

                

2020-FL2 AS, 5.66% (1 Month Term SOFR + 1.51%, Rate Floor: 1.51%) due 02/15/38◊,2

   2,250,000     2,223,064  

2020-FL3 AS, 6.51% (1 Month Term SOFR + 2.36%, Rate Floor: 2.36%) due 11/15/37◊,2

     1,250,000       1,245,391  

BRSP Ltd.

                

2021-FL1 B, 6.15% (1 Month Term SOFR + 2.01%, Rate Floor: 1.90%) due 08/19/38◊,2

     2,750,000       2,743,434  

Owl Rock CLO IV Ltd.

                

2021-4A A1R, 6.07% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 08/20/33◊,2

     1,500,000       1,506,893  

Greystone Commercial Real Estate Notes

                

2021-FL3 B, 5.92% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 07/15/39◊,2

     1,000,000       997,216  

Cerberus Loan Funding XXXII, LP

                

2021-2A A, 6.20% (3 Month Term SOFR + 1.88%, Rate Floor: 1.88%) due 04/22/33◊,2

     976,310       978,998  

Sound Point CLO XIX Ltd.

                

2018-1A A, 5.58% (3 Month Term SOFR + 1.26%, Rate Floor: 0.00%) due 04/15/31◊,2

     789,535       790,196  

THL Credit Lake Shore MM CLO I Ltd.

                

2021-1A A1R, 6.28% (3 Month Term SOFR + 1.96%, Rate Floor: 1.70%) due 04/15/33◊,2

     639,706       641,622  

HGI CRE CLO Ltd.

                

2021-FL2 A, 5.26% (1 Month Term SOFR + 1.11%, Rate Floor: 1.11%) due 09/17/36◊,2

     66,456       66,391  

NewStar Fairfield Fund CLO Ltd.

                

2018-2A A1N, 5.86% (3 Month Term SOFR + 1.53%, Rate Floor: 1.27%) due 04/20/30◊,2

     25,302       25,353  

Total Collateralized Loan Obligations

             11,218,558  
                 

Single Family Residence - 3.9%

                

FirstKey Homes Trust

                

2020-SFR2, 2.67% due 10/19/372

     3,550,000       3,534,074  

2022-SFR1, 4.49% due 05/19/392

     750,000       746,391  

STAR Trust

                

2025-SFR6, 5.55% (1 Month Term SOFR + 1.40%, Rate Floor: 1.40%) due 08/17/42◊,2

     750,000       751,564  

Total Single Family Residence

             5,032,029  
                 

Net Lease - 3.0%

                

Oak Street Investment Grade Net Lease Fund Series

                

2020-1A, 1.85% due 11/20/502

     2,384,206       2,276,226  

 

14 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2025

GUGGENHEIM STRATEGY FUND III

  

 

 

  

Face
Amount

    

Value

  

New Economy Assets Phase 1 Sponsor LLC

                

2021-1, 1.91% due 10/20/612

   $ 1,000,000     $ 834,147  

CF Hippolyta Issuer LLC

                

2021-1A, 1.98% due 03/15/612

     706,836       546,044  

Store Master Funding I-VII

                

2018-1A, 4.29% due 10/20/482

     227,378       225,911  

Total Net Lease

             3,882,328  
                 

Transport-Container - 2.3%

                

Triton Container Finance VIII LLC

                

2021-1A, 1.86% due 03/20/462

     1,482,000       1,368,415  

CLI Funding VIII LLC

                

2021-1A, 1.64% due 02/18/462

     955,202       882,593  

Textainer Marine Containers VII Ltd.

                

2021-1A, 1.68% due 02/20/462

     443,333       413,044  

2020-1A, 2.73% due 08/21/452

     240,327       231,197  

Textainer Marine Containers Ltd.

                

2021-3A, 1.94% due 08/20/462

     67,333       60,503  

Total Transport-Container

             2,955,752  
                 

Collateralized Debt Obligations - 1.7%

        

Anchorage Credit Funding 4 Ltd.

                

2021-4A AR, 2.72% due 04/27/392

     2,250,000       2,128,468  
                 

Whole Business - 1.2%

                

Domino’s Pizza Master Issuer LLC

                

2018-1A, 4.33% due 07/25/482

     1,184,375       1,181,263  

Wingstop Funding LLC

                

2020-1A, 2.84% due 12/05/502

     443,250       427,914  

Total Whole Business

             1,609,177  
                 

Infrastructure - 1.0%

                

Aligned Data Centers Issuer LLC

                

2021-1A, 1.94% due 08/15/462

     1,300,000       1,268,900  
                 

Transport-Aircraft - 0.6%

                

Sapphire Aviation Finance II Ltd.

                

2020-1A, 3.23% due 03/15/402

     492,182       470,162  

Castlelake Aircraft Securitization Trust

                

2018-1, 4.13% due 06/15/432

     257,947       254,594  

Total Transport-Aircraft

             724,756  
                 

Financial - 0.2%

                

Project Onyx II

                

7.09% (3 Month Term SOFR + 2.80%, Rate Floor: 2.80%) due 01/26/27◊,†††

     240,570       239,802  

Total Asset-Backed Securities

        

(Cost $29,854,795)

     29,059,770  

SENIOR FLOATING RATE INTERESTS††,◊ - 1.5%

Technology - 0.7%

                

CoreLogic, Inc.

                

7.78% (1 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 06/02/28

   673,684     673,051  

World Wide Technology Holding Company LLC

                

6.16% (1 Month Term SOFR + 2.00%, Rate Floor: 2.50%) due 03/01/30

     263,749       264,079  

Total Technology

             937,130  
                 

Financial - 0.5%

                

Citadel Securities, LP

                

6.16% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 10/31/31

     325,069       325,598  

Jane Street Group LLC

                

6.20% (3 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 12/15/31

     294,588       292,134  

Total Financial

             617,732  
                 

Consumer, Non-cyclical - 0.3%

                

Elanco Animal Health, Inc.

                

6.13% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 08/01/27

     368,827       368,336  

Total Senior Floating Rate Interests

        

(Cost $1,922,716)

     1,923,198  
 

U.S. TREASURY BILLS†† - 0.8%

U.S. Treasury Bills

3.95% due 10/23/256

     1,000,000       997,539  

Total U.S. Treasury Bills

        

(Cost $997,520)

             997,539  
                 

REPURCHASE AGREEMENTS††,7 - 0.6%

BofA Securities, Inc.

issued 09/30/25 at 4.19% due 10/01/25

     310,298       310,298  

BNP Paribas

issued 09/30/25 at 4.20% due 10/01/25

     271,511       271,511  

J.P. Morgan Securities LLC

issued 09/30/25 at 4.20% due 10/01/25

     193,936       193,936  

Bank of Montreal

issued 09/30/25 at 4.18% due 10/01/25

     38,787       38,787  

Total Repurchase Agreements

        

(Cost $814,532)

             814,532  
                 

Total Investments - 99.4%

        

(Cost $128,527,526)

   $ 127,296,686  

Other Assets & Liabilities, net - 0.6%

     828,283  

Total Net Assets - 100.0%

   $ 128,124,969  

 

SEE NOTES TO FINANCIAL STATEMENTS.

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 15

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2025

GUGGENHEIM STRATEGY FUND III

  

 

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
(Received)

    

Unrealized
Appreciation
(Depreciation)**

  

BofA Securities, Inc.

CME

Receive

U.S. Secured Overnight Financing Rate + 0.26%

1.66%

Quarterly

03/16/31

   $ 3,000,000     $ 302,962     $ (500 )   $ 303,462  

BofA Securities, Inc.

CME

Receive

U.S. Secured Overnight Financing Rate

1.73%

Annually

02/25/27

     980,000       24,181       85       24,096  

BofA Securities, Inc.

CME

Receive

U.S. Secured Overnight Financing Rate

1.47%

Annually

02/02/27

     850,000       23,107       81       23,026  

BofA Securities, Inc.

CME

Receive

U.S. Secured Overnight Financing Rate

2.72%

Annually

06/07/27

     1,800,000       22,187       104       22,083  

BofA Securities, Inc.

CME

Receive

U.S. Secured Overnight Financing Rate

4.28%

Annually

06/14/27

     55,250,000       (733,363 )     248       (733,611 )
                                          $ (360,926 )   $ 18     $ (360,944 )

 

**

Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.

***

A copy of each underlying unaffiliated fund’s financial statements is available at the SEC’s website at www.sec.gov.

†

Value determined based on Level 1 inputs — See Note 4.

††

Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.

†††

Value determined based on Level 3 inputs — See Note 4.

◊

Variable rate security. Rate indicated is the rate effective at September 30, 2025. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

1

Rate indicated is the 7-day yield as of September 30, 2025.

2

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 $96,727,819 (cost $97,635,899), or 75.5% of total net assets.

3

Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at September 30, 2025. See table below for additional step information for each security.

4

Security is an interest-only strip.

5

Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.

6

Rate indicated is the effective yield at the time of purchase.

7

Repurchase Agreements - The interest rate on repurchase agreements is market driven and based on the underlying collateral obtained. See additional disclosure in the repurchase agreements table below for more information on repurchase agreements.
 

BofA — Bank of America
 

CME — Chicago Mercantile Exchange
 

plc — Public Limited Company
 

SOFR — Secured Overnight Financing Rate
 

WAC — Weighted Average Coupon
   
 

See Sector Classification in Other Information section.

 

16 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2025

GUGGENHEIM STRATEGY FUND III

  

 

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2025 (See Note 4 in the Notes to Financial Statements):

 

Investments in Securities (Assets)

  

Level 1
Quoted
Prices

    

Level 2
Significant
Observable
Inputs

    

Level 3
Significant
Unobservable
Inputs

    

Total

  

Money Market Funds

   $ 2,944,116     $ —     $ —     $ 2,944,116  

Collateralized Mortgage Obligations

     —       46,765,274       —       46,765,274  

Corporate Bonds

     —       44,792,257       —       44,792,257  

Asset-Backed Securities

     —       28,819,968       239,802       29,059,770  

Senior Floating Rate Interests

     —       1,923,198       —       1,923,198  

U.S. Treasury Bills

     —       997,539       —       997,539  

Repurchase Agreements

     —       814,532       —       814,532  

Interest Rate Swap Agreements**

     —       372,667       —       372,667  

Total Assets

   $ 2,944,116     $ 124,485,435     $ 239,802     $ 127,669,353  

 

Investments in Securities (Liabilities)

  

Level 1
Quoted
Prices

    

Level 2
Significant
Observable
Inputs

    

Level 3
Significant
Unobservable
Inputs

    

Total

  

Interest Rate Swap Agreements**

   $ —     $ 733,611     $ —     $ 733,611  

 

**

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

 

Step Coupon Bonds

 

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

 

Name

  

Coupon Rate at
Next Reset Date

    

Next Rate Reset Date

    

Future Reset Rate(s)

    

Future Reset Date(s)

  

Angel Oak Mortgage Trust 2023-1, 4.75% due 09/26/67

     5.75 %     01/01/27       —       —  

Angel Oak Mortgage Trust 2024-4, 6.20% due 01/25/69

     7.20 %     03/01/28       —       —  

Citigroup Mortgage Loan Trust, Inc. 2022-A, 9.17% due 09/25/62

     10.17 %     08/25/26       —       —  

COLT Mortgage Loan Trust 2023-3, 7.18% due 09/25/68

     8.18 %     09/01/27       —       —  

GCAT Trust 2023-NQM2, 5.84% due 11/25/67

     6.84 %     01/01/27       —       —  

GCAT Trust 2023-NQM3, 6.89% due 08/25/68

     7.89 %     09/01/27       —       —  

GCAT Trust 2024-NQM2, 6.09% due 06/25/59

     7.36 %     05/01/28       —       —  

OBX Trust 2023-NQM2, 6.32% due 01/25/62

     7.32 %     02/01/27       —       —  

OBX Trust 2022-NQM9, 6.45% due 09/25/62

     7.45 %     11/01/26       —       —  

OBX Trust 2024-NQM6, 6.45% due 02/25/64

     7.45 %     04/01/28       —       —  

OBX Trust 2024-NQM8, 6.23% due 05/25/64

     7.23 %     05/01/28       —       —  

OBX Trust 2024-NQM7, 6.24% due 03/25/64

     7.24 %     04/01/28       —       —  

OBX Trust 2023-NQM1, 6.25% due 11/25/63

     7.25 %     12/01/27       —       —  

OBX Trust 2024-NQM5, 5.99% due 01/25/64

     6.99 %     03/01/28       —       —  

 

SEE NOTES TO FINANCIAL STATEMENTS.

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 17

 

 

SCHEDULE OF INVESTMENTS (concluded)

September 30, 2025

GUGGENHEIM STRATEGY FUND III

  

 

Repurchase Agreements

 

The Fund may engage in repurchase agreements. Repurchase agreements are fixed income securities in the form of agreements backed by collateral. These agreements typically involve the acquisition by the Fund of securities from the selling institution coupled with the agreement that the selling institution will repurchase the underlying securities at a specified price and at a fixed time in the future. The Fund may accept a wide variety of underlying securities as collateral for the repurchase agreements entered into by the Fund. Any such securities serving as collateral are marked-to-market daily in order to maintain full collateralization. Securities purchased under repurchase agreements are reflected as an asset on the Statement of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statement of Operations.

 

In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian take possession of the underlying collateral. The collateral is in the possession of the Fund’s custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements.

 

The use of repurchase agreements involves certain risks. For example, if the selling institution defaults on its obligation to repurchase the underlying securities at a time when the value of securities has declined, the Fund may incur a loss upon disposition of them. In the event of an insolvency or bankruptcy by the selling institution, the Fund’s right to control the collateral could be affected and result in certain costs and delays. In addition, the Fund could incur a loss if the value of the underlying collateral falls below the agreed upon repurchase price.

 

At September 30, 2025, the repurchase agreements in the account were as follows:

 

Counterparty and
Terms of Agreement

  

Face Value

    

Repurchase Price

  

 

Collateral

  

Par Value

    

Fair Value

  

BofA Securities, Inc.

                  

U.S. Treasury Strips

                

4.19%

                  

0.00%

                

Due 10/01/25

   $ 310,298     $ 310,334    

Due 02/15/49

   $ 980,284     $ 316,504  
                                     

BNP Paribas

                  

U.S. Treasury Strips

                

4.20%

                  

0.00%

                

Due 10/01/25

     271,511       271,543    

Due 05/15/44 - 02/15/49

     725,147       276,974  
                                     

J.P. Morgan Securities LLC

                  

U.S. Treasury Note

                

4.20%

                  

1.88%

                

Due 10/01/25

     193,936       193,959    

Due 02/28/27

     201,600       196,948  
                                     
                   

U.S. Treasury Inflation Indexed Bond

                
                   

2.00%

                
                   

Due 01/15/26

     977       982  
                          202,577       197,930  
                                     

Bank of Montreal

                  

U.S. Treasury Bond

                

4.18%

                  

2.38%

                

Due 10/01/25

     38,787       38,792    

Due 11/15/49

     59,600       39,614  

 

 

18 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

GUGGENHEIM STRATEGY FUND III

  

 

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2025

 

Assets:

Investments, at value (cost $127,712,994)

   $ 126,482,154  

Repurchase agreements, at value (cost $814,532)

     814,532  

Segregated cash with broker

     44,719  

Unamortized upfront premiums paid on interest rate swap agreements

     518  

Prepaid expenses

     22,782  

Receivables:

Interest

     1,004,626  

Total assets

     128,369,331  
         

Liabilities:

Overdraft due to custodian bank

     14,795  

Unamortized upfront premiums received on interest rate swap agreements

     500  

Payable for:

Distributions to shareholders

     118,824  

Professional fees

     49,556  

Securities purchased

     27,776  

Variation margin on interest rate swap agreements

     17,614  

Fund accounting/administration fees

     1,887  

Trustees’ fees*

     1,612  

Transfer agent/maintenance fees

     1,175  

Miscellaneous

     10,623  

Total liabilities

     244,362  

Net assets

   $ 128,124,969  
         

Net assets consist of:

Paid in capital

   $ 133,577,395  

Total distributable earnings (loss)

     (5,452,426 )

Net assets

   $ 128,124,969  

Capital shares outstanding

     5,135,648  

Net asset value per share

   $ 24.95  

 

STATEMENT OF OPERATIONS

Year Ended September 30, 2025

 

Investment Income:

Interest

   $ 9,516,132  

Total investment income

     9,516,132  
         

Expenses:

Fund accounting/administration fees

     83,490  

Professional fees

     78,164  

Trustees’ fees*

     19,345  

Custodian fees

     15,246  

Printing

     15,223  

Transfer agent/maintenance fees

     12,000  

Line of credit fees

     2,293  

Miscellaneous

     21,401  

Total expenses

     247,162  

Less:

Earnings credits applied

     (15,981 )

Net expenses

     231,181  

Net investment income

     9,284,951  
         

Net Realized and Unrealized Gain (Loss):

Net realized gain (loss) on:

Investments

     265,275  

Swap agreements

     388,449  

Net realized gain

     653,724  

Net change in unrealized appreciation (depreciation) on:

Investments

     (394,356 )

Swap agreements

     438,476  

Net change in unrealized appreciation (depreciation)

     44,120  

Net realized and unrealized gain

     697,844  

Net increase in net assets resulting from operations

   $ 9,982,795  

 

*

Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the Investment Company Act of 1940.

 

SEE NOTES TO FINANCIAL STATEMENTS.

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 19

 

 

GUGGENHEIM STRATEGY FUND III

  

 

STATEMENTS OF CHANGES IN NET ASSETS

 

 

  

Year Ended
September 30,
2025

    

Year Ended
September 30,
2024

  

Increase (Decrease) in Net Assets from Operations:

                

Net investment income

   $ 9,284,951     $ 17,723,815  

Net realized gain on investments

     653,724       568,664  

Net change in unrealized appreciation (depreciation) on investments

     44,120       8,125,654  

Net increase in net assets resulting from operations

     9,982,795       26,418,133  
                 

Distributions to shareholders

     (9,608,713 )     (18,302,723 )
                 

Capital share transactions:

                

Proceeds from sale of shares

     81,110,000       26,624,120  

Distributions reinvested

     8,133,959       16,694,587  

Cost of shares redeemed

     (313,156,803 )     (28,403,548 )

Net increase (decrease) from capital share transactions

     (223,912,844 )     14,915,159  

Net increase (decrease) in net assets

     (223,538,762 )     23,030,569  
                 

Net assets:

                

Beginning of year

     351,663,731       328,633,162  

End of year

   $ 128,124,969     $ 351,663,731  
                 

Capital share activity:

                

Shares sold

     3,258,789       1,082,455  

Shares issued from reinvestment of distributions

     326,240       677,334  

Shares redeemed

     (12,575,979 )     (1,162,212 )

Net increase (decrease) in shares

     (8,990,950 )     597,577  

 

20 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

GUGGENHEIM STRATEGY FUND III

  

 

FINANCIAL HIGHLIGHTS

 

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

 

 

  

Year Ended
September 30,
2025

    

Year Ended
September 30,
2024

    

Year Ended
September 30,
2023

    

Year Ended
September 30,
2022

    

Year Ended
September 30,
2021

  

Per Share Data

Net asset value, beginning of period

   $ 24.89     $ 24.29     $ 24.02     $ 25.14     $ 25.07  

Income (loss) from investment operations:

Net investment income (loss)a

     1.33       1.29       1.13       .50       .39  

Net gain (loss) on investments (realized and unrealized)

     .10       .65       .41       (1.10 )     .09  

Total from investment operations

     1.43       1.94       1.54       (.60 )     .48  

Less distributions from:

Net investment income

     (1.37 )     (1.34 )     (1.27 )     (.52 )     (.41 )

Total distributions

     (1.37 )     (1.34 )     (1.27 )     (.52 )     (.41 )

Net asset value, end of period

   $ 24.95     $ 24.89     $ 24.29     $ 24.02     $ 25.14  

 

Total Returnb

     5.91 %     8.15 %     6.56 %     (2.40 %)     1.93 %

Ratios/Supplemental Data

Net assets, end of period (in thousands)

   $ 128,125     $ 351,664     $ 328,633     $ 299,138     $ 343,945  

Ratios to average net assets:

Net investment income (loss)

     5.33 %     5.25 %     4.66 %     2.03 %     1.55 %

Total expensesc

     0.14 %     0.10 %     0.13 %     0.10 %     0.11 %

Net expenses

     0.14 %     0.10 %     0.13 %     0.10 %     0.11 %

Portfolio turnover rate

     3 %     37 %     17 %     34 %     101 %

 

 

a

Net investment income (loss) per share was computed using average shares outstanding throughout the period.

b

Total return does not reflect the impact of any applicable sales charges.

c

Does not include expenses of the underlying funds in which the Fund invests, if any.

 

SEE NOTES TO FINANCIAL STATEMENTS.

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 21

 

 

SCHEDULE OF INVESTMENTS

September 30, 2025

GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III

  

 

 

  

Shares

    

Value

  

MONEY MARKET FUND***,† - 3.9%

Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 4.00%1

     1,203,857     $ 1,203,857  

Total Money Market Fund

        

(Cost $1,203,857)

             1,203,857  
                 
   

Face
Amount

          

COLLATERALIZED MORTGAGE OBLIGATIONS†† - 54.4%

Residential Mortgage-Backed Securities - 39.3%

        

OBX Trust

                

2024-NQM5, 5.99% due 01/25/642,3

   $ 792,564       800,417  

2022-NQM9, 6.45% due 09/25/622,3

     635,462       633,965  

2024-NQM8, 6.23% due 05/25/642,3

     445,114       451,303  

2024-NQM7, 6.24% due 03/25/642,3

     430,702       436,378  

2024-NQM6, 6.45% due 02/25/642,3

     429,174       435,851  

2023-NQM2, 6.32% due 01/25/622,3

     341,908       342,412  

GCAT Trust

                

2023-NQM2, 5.84% due 11/25/672,3

     453,721       453,098  

2024-NQM2, 6.09% due 06/25/592,3

     393,871       398,490  

2023-NQM3, 6.89% due 08/25/682,3

     162,081       164,250  

Citigroup Mortgage Loan Trust, Inc.

                

2022-A, 9.17% due 09/25/622,3

     960,522       963,141  

OSAT Trust

                

2021-RPL1, 6.12% due 05/25/652

     953,808       954,181  

Legacy Mortgage Asset Trust

                

2021-GS3, 5.75% due 07/25/612

     394,997       394,963  

2021-GS4, 5.65% due 11/25/602

     284,251       284,414  

2021-GS2, 5.75% due 04/25/612

     137,541       137,434  

CSMC Trust

                

2021-RPL4, 4.14% (WAC) due 12/27/60◊,2

     292,044       290,859  

2021-RPL7, 4.20% (WAC) due 07/27/61◊,2

     196,803       195,895  

2020-NQM1, 2.21% due 05/25/652

     148,639       142,106  

Angel Oak Mortgage Trust

                

2024-4, 6.20% due 01/25/692,3

     241,790       244,694  

2023-1, 4.75% due 09/26/672,3

     229,028       227,781  

2022-1, 3.29% (WAC) due 12/25/66◊,2

     167,665       150,232  

Imperial Fund Mortgage Trust

                

2022-NQM2, 4.02% (WAC) due 03/25/67◊,2

     551,342       520,588  

Bear Stearns Asset-Backed Securities I Trust

                

2006-HE9, 4.55% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 11/25/36◊

     455,728       452,608  

Home Equity Loan Trust

                

2007-FRE1, 4.46% (1 Month Term SOFR + 0.30%, Rate Floor: 0.19%) due 04/25/37◊

     461,136       447,557  

JP Morgan Mortgage Trust

                

2021-12, 2.50% (WAC) due 02/25/52◊,2

     450,974       421,677  

New Residential Mortgage Loan Trust

                

2019-1A, 3.50% (WAC) due 10/25/59◊,2

     231,133       217,840  

2018-2A, 3.50% (WAC) due 02/25/58◊,2

     212,258       202,692  

HarborView Mortgage Loan Trust

                

2006-14, 4.55% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 01/25/47◊

   420,329     393,607  

Structured Asset Securities Corporation Mortgage Loan Trust

                

2008-BC4, 4.90% (1 Month Term SOFR + 0.74%, Rate Floor: 0.63%) due 11/25/37◊

     300,149       291,943  

NovaStar Mortgage Funding Trust Series

                

2007-2, 4.47% (1 Month Term SOFR + 0.31%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37◊

     246,423       242,961  

CFMT LLC

                

2022-HB9, 3.25% (WAC) due 09/25/37◊,2

     232,975       229,497  

Soundview Home Loan Trust

                

2006-OPT5, 4.55% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 07/25/36◊

     231,709       225,990  

COLT Mortgage Loan Trust

                

2023-3, 7.18% due 09/25/682,3

     157,297       159,607  

Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series

                

2005-W2, 5.01% (1 Month Term SOFR + 0.85%, Rate Floor: 0.74%) due 10/25/35◊

     72,021       71,290  

Towd Point Mortgage Trust

                

2018-2, 3.25% (WAC) due 03/25/58◊,2

     68,329       67,582  

Verus Securitization Trust

                

2021-3, 1.44% (WAC) due 06/25/66◊,2

     60,802       53,450  

GS Mortgage-Backed Securities Trust

                

2020-NQM1, 1.38% (WAC) due 09/27/60◊,2

     47,286       44,833  

Starwood Mortgage Residential Trust

                

2020-1, 2.28% (WAC) due 02/25/50◊,2

     21,362       20,260  

Residential Mortgage Loan Trust

                

2020-1, 2.38% (WAC) due 01/26/60◊,2

     18,406       18,257  

Total Residential Mortgage-Backed Securities

             12,184,103  
                 

Commercial Mortgage-Backed Securities - 14.3%

        

BX Commercial Mortgage Trust

                

2021-VOLT, 5.92% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 09/15/36◊,2

     1,211,035       1,207,251  

2022-LP2, 5.71% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39◊,2

     350,000       349,562  

WMRK Commercial Mortgage Trust

                

2022-WMRK, 7.59% (1 Month Term SOFR + 3.44%, Rate Floor: 3.44%) due 11/15/27◊,2

     1,150,000       1,152,879  

MTN Commercial Mortgage Trust

                

2022-LPFL, 7.10% (1 Month Term SOFR + 2.94%, Rate Floor: 2.94%) due 03/15/39◊,2

     800,000       798,202  

 

22 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2025

GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III

  

 

 

  

Face
Amount

    

Value

  

JP Morgan Chase Commercial Mortgage Securities Trust

                

2021-NYAH, 6.06% (1 Month Term SOFR + 1.90%, Rate Floor: 1.54%) due 06/15/38◊,2

   $ 350,000     $ 315,345  

BXHPP Trust

                

2021-FILM, 5.37% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 08/15/36◊,2

     250,000       228,388  

BENCHMARK Mortgage Trust

                

2019-B14, 0.89% (WAC) due 12/15/62◊,4

     8,616,302       179,898  

Bank of America Merrill Lynch Commercial Mortgage Trust

                

2017-BNK3, 1.14% (WAC) due 02/15/50◊,4

     19,974,327       166,544  

Life Mortgage Trust

                

2021-BMR, 5.37% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 03/15/38◊,2

     37,380       37,216  

Total Commercial Mortgage-Backed Securities

             4,435,285  
                 

Government Agency - 0.8%

                

Fannie Mae

                

6.50% due 04/25/49

     245,356       250,218  

Total Collateralized Mortgage Obligations

        

(Cost $17,121,780)

     16,869,606  
 

ASSET-BACKED SECURITIES†† - 35.3%

Collateralized Loan Obligations - 15.3%

        

BXMT Ltd.

                

2020-FL2 AS, 5.66% (1 Month Term SOFR + 1.51%, Rate Floor: 1.51%) due 02/15/38◊,2

     1,000,000       988,028  

2020-FL3 AS, 6.51% (1 Month Term SOFR + 2.36%, Rate Floor: 2.36%) due 11/15/37◊,2

     750,000       747,235  

Cerberus Loan Funding XXXII, LP

                

2021-2A A, 6.20% (3 Month Term SOFR + 1.88%, Rate Floor: 1.88%) due 04/22/33◊,2

     976,310       978,998  

Owl Rock CLO IV Ltd.

                

2021-4A A1R, 6.07% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 08/20/33◊,2

     750,000       753,447  

BRSP Ltd.

                

2021-FL1 B, 6.15% (1 Month Term SOFR + 2.01%, Rate Floor: 1.90%) due 08/19/38◊,2

     500,000       498,806  

THL Credit Lake Shore MM CLO I Ltd.

                

2021-1A A1R, 6.28% (3 Month Term SOFR + 1.96%, Rate Floor: 1.70%) due 04/15/33◊,2

     426,471       427,748  

Sound Point CLO XIX Ltd.

                

2018-1A A, 5.58% (3 Month Term SOFR + 1.26%, Rate Floor: 0.00%) due 04/15/31◊,2

     315,814       316,078  

HGI CRE CLO Ltd.

                

2021-FL2 A, 5.26% (1 Month Term SOFR + 1.11%, Rate Floor: 1.11%) due 09/17/36◊,2

   23,883     23,859  

Total Collateralized Loan Obligations

             4,734,199  
                 

Net Lease - 4.3%

                

Oak Street Investment Grade Net Lease Fund Series

                

2020-1A, 1.85% due 11/20/502

     1,083,730       1,034,648  

CF Hippolyta Issuer LLC

                

2021-1A, 1.98% due 03/15/612

     282,734       218,418  

Store Master Funding I-VII

                

2018-1A, 4.29% due 10/20/482

     90,951       90,364  

Total Net Lease

             1,343,430  
                 

Single Family Residence - 4.2%

                

FirstKey Homes Trust

                

2020-SFR2, 2.67% due 10/19/372

     1,300,000       1,294,168  
                 

Transport-Container - 4.0%

                

Triton Container Finance VIII LLC

                

2021-1A, 1.86% due 03/20/462

     617,500       570,173  

CLI Funding VIII LLC

                

2021-1A, 1.64% due 02/18/462

     351,917       325,166  

Textainer Marine Containers VII Ltd.

                

2021-1A, 1.68% due 02/20/462

     190,000       177,019  

2020-1A, 2.73% due 08/21/452

     109,240       105,090  

Textainer Marine Containers Ltd.

                

2021-3A, 1.94% due 08/20/462

     67,333       60,503  

Total Transport-Container

             1,237,951  
                 

Collateralized Debt Obligations - 3.8%

        

Anchorage Credit Funding 4 Ltd.

                

2021-4A AR, 2.72% due 04/27/392

     1,250,000       1,182,482  
                 

Transport-Aircraft - 1.8%

                

Sapphire Aviation Finance II Ltd.

                

2020-1A, 3.23% due 03/15/402

     492,182       470,162  

Castlelake Aircraft Securitization Trust

                

2018-1, 4.13% due 06/15/432

     103,179       101,837  

Total Transport-Aircraft

             571,999  
                 

Infrastructure - 1.6%

                

Aligned Data Centers Issuer LLC

                

2021-1A, 1.94% due 08/15/462

     500,000       488,039  
                 

Financial - 0.3%

                

Project Onyx II

                

7.09% (3 Month Term SOFR + 2.80%, Rate Floor: 2.80%) due 01/26/27◊,†††

     90,214       89,926  

Total Asset-Backed Securities

        

(Cost $11,224,573)

     10,942,194  

 

SEE NOTES TO FINANCIAL STATEMENTS.

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 23

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2025

GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III

  

 

 

  

Face
Amount

    

Value

  

SENIOR FLOATING RATE INTERESTS††,◊ - 0.7%

Financial - 0.7%

                

Citadel Securities, LP

                

6.16% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 10/31/31

   $ 118,207     $ 118,399  

Jane Street Group LLC

                

6.20% (3 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 12/15/31

     98,196       97,378  

Total Financial

             215,777  
                 

Total Senior Floating Rate Interests

        

(Cost $216,348)

     215,777  
 

CORPORATE BONDS†† - 0.4%

Utilities - 0.2%

                

Terraform Global Operating, LP

                

6.13% due 03/01/262

     78,000       77,014  
                 

Financial - 0.2%

                

Brown & Brown, Inc.

                

4.60% due 12/23/26

     50,000       50,262  

Total Corporate Bonds

        

(Cost $127,833)

     127,276  

REPURCHASE AGREEMENTS††,5 - 4.4%

BofA Securities, Inc.

issued 09/30/25 at 4.19% due 10/01/25

   518,359     518,359  

BNP Paribas

issued 09/30/25 at 4.20% due 10/01/25

     453,564       453,564  

J.P. Morgan Securities LLC

issued 09/30/25 at 4.20% due 10/01/25

     323,974       323,974  

Bank of Montreal

issued 09/30/25 at 4.18% due 10/01/25

     64,795       64,795  

Total Repurchase Agreements

        

(Cost $1,360,692)

             1,360,692  
                 

Total Investments - 99.1%

        

(Cost $31,255,083)

   $ 30,719,402  

Other Assets & Liabilities, net - 0.9%

     265,767  

Total Net Assets - 100.0%

   $ 30,985,169  

 

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
(Received)

    

Unrealized
Appreciation
(Depreciation)**

  

BofA Securities, Inc.

CME

Receive

U.S. Secured Overnight Financing Rate + 0.26%

1.66%

Quarterly

03/16/31

   $ 1,300,000     $ 131,283     $ (208 )   $ 131,491  

BofA Securities, Inc.

CME

Receive

U.S. Secured Overnight Financing Rate

4.28%

Annually

06/14/27

     11,000,000       (146,009 )     117       (146,126 )
                                          $ (14,726 )   $ (91 )   $ (14,635 )

 

24 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2025

GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III

  

 

**

Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.

***

A copy of each underlying unaffiliated fund’s financial statements is available at the SEC’s website at www.sec.gov.

†

Value determined based on Level 1 inputs — See Note 4.

††

Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.

†††

Value determined based on Level 3 inputs — See Note 4.

◊

Variable rate security. Rate indicated is the rate effective at September 30, 2025. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

1

Rate indicated is the 7-day yield as of September 30, 2025.

2

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 $25,076,272 (cost $25,415,587), or 80.9% of total net assets.

3

Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at September 30, 2025. See table below for additional step information for each security.

4

Security is an interest-only strip.

5

Repurchase Agreements - The interest rate on repurchase agreements is market driven and based on the underlying collateral obtained. See additional disclosure in the repurchase agreements table below for more information on repurchase agreements.
 

BofA — Bank of America
 

CME — Chicago Mercantile Exchange
 

LIBOR — London Interbank Offered Rate
 

SOFR — Secured Overnight Financing Rate
 

WAC — Weighted Average Coupon
   
 

See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2025 (See Note 4 in the Notes to Financial Statements):

 

Investments in Securities (Assets)

  

Level 1
Quoted
Prices

    

Level 2
Significant
Observable
Inputs

    

Level 3
Significant
Unobservable
Inputs

    

Total

  

Money Market Fund

   $ 1,203,857     $ —     $ —     $ 1,203,857  

Collateralized Mortgage Obligations

     —       16,869,606       —       16,869,606  

Asset-Backed Securities

     —       10,852,268       89,926       10,942,194  

Senior Floating Rate Interests

     —       215,777       —       215,777  

Corporate Bonds

     —       127,276       —       127,276  

Repurchase Agreements

     —       1,360,692       —       1,360,692  

Interest Rate Swap Agreements**

     —       131,491       —       131,491  

Total Assets

   $ 1,203,857     $ 29,557,110     $ 89,926     $ 30,850,893  

 

Investments in Securities (Liabilities)

  

Level 1
Quoted
Prices

    

Level 2
Significant
Observable
Inputs

    

Level 3
Significant
Unobservable
Inputs

    

Total

  

Interest Rate Swap Agreements**

   $ —     $ 146,126     $ —     $ 146,126  

 

**

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 25

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2025

GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III

  

 

Step Coupon Bonds

 

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

 

Name

  

Coupon Rate at
Next Reset Date

    

Next Rate Reset Date

    

Future Reset Rate(s)

    

Future Reset Date(s)

  

Angel Oak Mortgage Trust 2023-1, 4.75% due 09/26/67

     5.75 %     01/01/27       —       —  

Angel Oak Mortgage Trust 2024-4, 6.20% due 01/25/69

     7.20 %     03/01/28       —       —  

Citigroup Mortgage Loan Trust, Inc. 2022-A, 9.17% due 09/25/62

     10.17 %     08/25/26       —       —  

COLT Mortgage Loan Trust 2023-3, 7.18% due 09/25/68

     8.18 %     09/01/27       —       —  

GCAT Trust 2023-NQM2, 5.84% due 11/25/67

     6.84 %     01/01/27       —       —  

GCAT Trust 2023-NQM3, 6.89% due 08/25/68

     7.89 %     09/01/27       —       —  

GCAT Trust 2024-NQM2, 6.09% due 06/25/59

     7.36 %     05/01/28       —       —  

OBX Trust 2023-NQM2, 6.32% due 01/25/62

     7.32 %     02/01/27       —       —  

OBX Trust 2022-NQM9, 6.45% due 09/25/62

     7.45 %     11/01/26       —       —  

OBX Trust 2024-NQM6, 6.45% due 02/25/64

     7.45 %     04/01/28       —       —  

OBX Trust 2024-NQM8, 6.23% due 05/25/64

     7.23 %     05/01/28       —       —  

OBX Trust 2024-NQM7, 6.24% due 03/25/64

     7.24 %     04/01/28       —       —  

OBX Trust 2024-NQM5, 5.99% due 01/25/64

     6.99 %     03/01/28       —       —  

 

Repurchase Agreements

 

The Fund may engage in repurchase agreements. Repurchase agreements are fixed income securities in the form of agreements backed by collateral. These agreements typically involve the acquisition by the Fund of securities from the selling institution coupled with the agreement that the selling institution will repurchase the underlying securities at a specified price and at a fixed time in the future. The Fund may accept a wide variety of underlying securities as collateral for the repurchase agreements entered into by the Fund. Any such securities serving as collateral are marked-to-market daily in order to maintain full collateralization. Securities purchased under repurchase agreements are reflected as an asset on the Statement of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statement of Operations.

 

In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian take possession of the underlying collateral. The collateral is in the possession of the Fund’s custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements.

 

The use of repurchase agreements involves certain risks. For example, if the selling institution defaults on its obligation to repurchase the underlying securities at a time when the value of securities has declined, the Fund may incur a loss upon disposition of them. In the event of an insolvency or bankruptcy by the selling institution, the Fund’s right to control the collateral could be affected and result in certain costs and delays. In addition, the Fund could incur a loss if the value of the underlying collateral falls below the agreed upon repurchase price.

 

26 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

SCHEDULE OF INVESTMENTS (concluded)

September 30, 2025

GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III

  

 

At September 30, 2025, the repurchase agreements in the account were as follows:

 

Counterparty and
Terms of Agreement

  

Face Value

    

Repurchase Price

  

 

Collateral

  

Par Value

    

Fair Value

  

BofA Securities, Inc.

                  

U.S. Treasury Note

                

4.19%

                  

3.75%

                

Due 10/01/25

   $ 518,359     $ 518,419    

Due 04/15/28

   $ 518,400     $ 528,723  
                                     
                   

U.S. Treasury Bond

                
                   

3.88%

                
                   

Due 05/15/43

     100       92  
                          518,500       528,815  
                                     

BNP Paribas

                  

U.S. Treasury Strips

                

4.20%

                  

0.00%

                

Due 10/01/25

     453,564       453,617    

Due 02/15/36 - 08/15/38

    825,139       462,689  
                                     

J.P. Morgan Securities LLC

                  

U.S. Treasury Notes

                

4.20%

                  

1.50% - 1.88%

                

Due 10/01/25

     323,974       324,012    

Due 02/28/27 - 11/30/28

     338,400       330,562  
                                     

Bank of Montreal

                  

U.S. Treasury Bond

                

4.18%

                  

2.38%

                

Due 10/01/25

     64,795       64,803    

Due 11/15/49

     99,500       66,135  

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 27

 

 

GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III

  

 

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2025

 

Assets:

Investments, at value (cost $29,894,391)

   $ 29,358,710  

Repurchase agreements, at value (cost $1,360,692)

     1,360,692  

Segregated cash with broker

     214,189  

Unamortized upfront premiums paid on interest rate swap agreements

     117  

Prepaid expenses

     15,113  

Receivables:

Interest

     121,780  

Total assets

     31,070,601  
         

Liabilities:

Overdraft due to custodian bank

     1,406  

Unamortized upfront premiums received on interest rate swap agreements

     208  

Payable for:

Professional fees

     38,196  

Distributions to shareholders

     20,375  

Pricing fees

     7,418  

Custodian fees

     6,172  

Variation margin on interest rate swap agreements

     4,269  

Fund accounting/administration fees

     3,395  

Trustees’ fees*

     1,996  

Transfer agent/maintenance fees

     766  

Miscellaneous

     1,231  

Total liabilities

     85,432  

Net assets

   $ 30,985,169  
         

Net assets consist of:

Paid in capital

   $ 32,478,318  

Total distributable earnings (loss)

     (1,493,149 )

Net assets

   $ 30,985,169  

Capital shares outstanding

     1,244,874  

Net asset value per share

   $ 24.89  

 

STATEMENT OF OPERATIONS

Year Ended September 30, 2025

 

Investment Income:

Interest

   $ 2,788,947  

Total investment income

     2,788,947  
         

Expenses:

Professional fees

     54,280  

Fund accounting/administration fees

     50,768  

Custodian fees

     26,529  

Trustees’ fees*

     23,956  

Transfer agent/maintenance fees

     12,000  

Line of credit fees

     795  

Miscellaneous

     25,543  

Total expenses

     193,871  

Less:

Earnings credits applied

     (12,881 )

Net expenses

     180,990  

Net investment income

     2,607,957  
         

Net Realized and Unrealized Gain (Loss):

Net realized gain (loss) on:

Investments

     221,204  

Swap agreements

     (8,419 )

Net realized gain

     212,785  

Net change in unrealized appreciation (depreciation) on:

Investments

     (336,138 )

Swap agreements

     254,443  

Net change in unrealized appreciation (depreciation)

     (81,695 )

Net realized and unrealized gain

     131,090  

Net increase in net assets resulting from operations

   $ 2,739,047  

 

*

Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the Investment Company Act of 1940.

 

28 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III

  

 

STATEMENTS OF CHANGES IN NET ASSETS

 

 

  

Year Ended
September 30,
2025

    

Year Ended
September 30,
2024

  

Increase (Decrease) in Net Assets from Operations:

                

Net investment income

   $ 2,607,957     $ 6,553,565  

Net realized gain on investments

     212,785       201,473  

Net change in unrealized appreciation (depreciation) on investments

     (81,695 )     2,879,103  

Net increase in net assets resulting from operations

     2,739,047       9,634,141  
                 

Distributions to shareholders

     (2,685,705 )     (6,750,268 )
                 

Capital share transactions:

                

Proceeds from sale of shares

     49,615,250       11,448,300  

Distributions reinvested

     2,428,365       6,388,673  

Cost of shares redeemed

     (153,839,424 )     (7,345,968 )

Net increase (decrease) from capital share transactions

     (101,795,809 )     10,491,005  

Net increase (decrease) in net assets

     (101,742,467 )     13,374,878  
                 

Net assets:

                

Beginning of year

     132,727,636       119,352,758  

End of year

   $ 30,985,169     $ 132,727,636  
                 

Capital share activity:

                

Shares sold

     1,995,813       464,434  

Shares issued from reinvestment of distributions

     97,481       259,355  

Shares redeemed

     (6,186,000 )     (300,876 )

Net increase (decrease) in shares

     (4,092,706 )     422,913  

 

SEE NOTES TO FINANCIAL STATEMENTS.

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 29

 

 

GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III

  

 

FINANCIAL HIGHLIGHTS

 

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

 

 

  

Year Ended
September 30,
2025

    

Year Ended
September 30,
2024

    

Year Ended
September 30,
2023

    

Year Ended
September 30,
2022

    

Year Ended
September 30,
2021

  

Per Share Data

Net asset value, beginning of period

   $ 24.87     $ 24.29     $ 24.01     $ 25.06     $ 25.00  

Income (loss) from investment operations:

Net investment income (loss)a

     1.34       1.30       1.11       .47       .40  

Net gain (loss) on investments (realized and unrealized)

     .06       .62       .39       (1.04 )     .06  

Total from investment operations

     1.40       1.92       1.50       (.57 )     .46  

Less distributions from:

Net investment income

     (1.38 )     (1.34 )     (1.22 )     (.48 )     (.40 )

Total distributions

     (1.38 )     (1.34 )     (1.22 )     (.48 )     (.40 )

Net asset value, end of period

   $ 24.89     $ 24.87     $ 24.29     $ 24.01     $ 25.06  

 

Total Returnb

     5.76 %     8.12 %     6.35 %     (2.27 %)     1.83 %

Ratios/Supplemental Data

Net assets, end of period (in thousands)

   $ 30,985     $ 132,728     $ 119,353     $ 116,684     $ 131,060  

Ratios to average net assets:

Net investment income (loss)

     5.38 %     5.28 %     4.60 %     1.89 %     1.61 %

Total expensesc

     0.40 %     0.16 %     0.22 %     0.18 %     0.18 %

Net expenses

     0.40 %     0.16 %     0.22 %     0.18 %     0.18 %

Portfolio turnover rate

     — d      35 %     18 %     35 %     107 %

 

 

a

Net investment income (loss) per share was computed using average shares outstanding throughout the period.

b

Total return does not reflect the impact of any applicable sales charges.

c

Does not include expenses of the underlying funds in which the Fund invests, if any.

d

Less than 1.0%

 

30 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

NOTES TO FINANCIAL STATEMENTS

 

Note 1 – Organization and Significant Accounting Policies

 

Organization

 

Guggenheim Strategy Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940 (the “1940 Act”), as a diversified, open-ended investment company and may issue an unlimited number of authorized shares. Only investment companies, common or commingled trust funds or other organizations, entities or investors that are “accredited investors” within the meaning of Regulation D under the Securities Act of 1933 Act may make investments in the Funds. At September 30, 2025, the Trust consisted of three Funds.

 

This report covers the following Funds (collectively, the “Funds”):

 

Fund Name

Diversification
Status

Guggenheim Strategy Fund II

Diversified

Guggenheim Strategy Fund III

Diversified

Guggenheim Variable Insurance Strategy Fund III

Diversified

 

Guggenheim Partners Investment Management, LLC (“GPIM”, or the “Adviser”), which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) serves as distributor of the Funds’ shares. GI and GFD are affiliated entities.

 

Significant Accounting Policies

 

The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

 

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.

 

The net asset value per share (“NAV”) of each fund is calculated by dividing the current value of the Fund’s securities and other assets, less all liabilities, by the number of outstanding shares of that Fund on the specified date.

 

(a) Valuation of Investments

 

The Board of Trustees of the Trust (the “Board”) adopted policies and procedures for the valuation of the Funds’ investments (the “Fund Valuation Procedures”).

 

Pursuant to Rule 2a-5 under the 1940 Act, the Board designated the Adviser as the valuation designee to perform fair valuation determinations for each Fund with respect to all Fund investments and/or other assets. As the Funds’ valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (“Valuation Designee Procedures” and collectively with the Fund Valuation Procedures, the “Valuation Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4 under the 1940 Act. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Funds’ securities and/or other assets. The Valuation Procedures may be amended and potentially adversely affected as the Funds seek to comply with regulations that apply to the valuation practices of registered investment companies.

 

Valuations of the Funds’ securities and other assets are supplied primarily by independent third-party pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the independent third-party pricing services.

 

If the independent third-party pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.

 

Equity securities listed or traded on a recognized U.S. securities exchange or the Nasdaq Stock Market (“NASDAQ”) will generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded, provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.

 

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m.

 

 

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 31

 

 

NOTES TO FINANCIAL STATEMENTS (continued)

 

Investments in foreign securities may involve risks not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include the following factors, among others: the value of the securities traded on other foreign markets, American Depositary Receipts (“ADR”) trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Adviser is authorized to use prices and other information supplied by an independent third-party pricing service in valuing foreign securities.

 

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are generally valued at the last quoted sale price.

 

Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent third-party pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent third-party pricing service.

 

Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.

 

Typically, loans are valued using information provided by independent third-party pricing services that use broker quotes, among other inputs. If the independent third-party pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Adviser. Funds that invest in loans or asset-backed securities as part of their investment strategies may have a significant amount of these instruments that are fair valued by the Adviser.

 

Futures contracts are valued on the basis of the last sale price as of 4:00 p.m. on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation of the underlying securities would provide a more accurate valuation of the futures contract.

 

Interest rate swap agreements entered into by a Fund are valued on the basis of the last sale price on the primary exchange on which the swap is traded. Other swap agreements entered into by a Fund are generally valued using an evaluated price provided by an independent third-party pricing service.

 

Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.

 

Investments for which market quotations are not readily available are fair valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or on inputs such as prices of securities with comparable maturities and characteristics, or on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.

 

(b) U.S. Government and Agency Obligations

 

Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Funds’ Schedules of Investments reflect the effective rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity.

 

Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these securities is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond however, interest will be paid based on a principal value which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recognized as a component of Interest on the Funds’ Statements of Operations, even though principal is not received until maturity.

 

(c) Senior Floating Rate Interests and Loan Investments

 

Senior floating rate interests in which the Trust invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, (ii) the prime rate offered by one

 

32 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

  

 

 

NOTES TO FINANCIAL STATEMENTS (continued)

 

or more major United States banks, (iii) the bank’s certificate of deposit rate, or (iv) the Secured Overnight Financing Rate (“SOFR”). Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities disclosed in the Funds’ Schedules of Investments.

 

The Funds invest in loans and other similar debt obligations (“obligations”). A portion of the Funds’ investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack financial maintenance covenants or possess fewer or contingent financial maintenance covenants and other financial protections for lenders and investors. The Funds may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. Many new, restructured or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Funds may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Funds are subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” under the federal laws and, as a result, the Funds may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

 

(d) Interest on When-Issued Securities

 

The Funds may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Funds on such interests or securities in connection with such transactions prior to the date the Funds actually take delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Funds will generally purchase these securities with the intention of acquiring such securities, they may sell such securities before the settlement date.

 

(e) Short Sales

 

When a Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale.

 

Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.

 

(f) Futures Contracts

 

Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

 

(g) Swap Agreements

 

Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.

 

Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

 

 

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 33

 

 

NOTES TO FINANCIAL STATEMENTS (continued)

 

(h) Currency Translations

 

The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation, or other political, social, geopolitical or economic developments, all of which could affect the market and/or credit risk of the investments.

 

The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.

 

Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.

 

(i) Forward Foreign Currency Exchange Contracts

 

The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

 

(j) Foreign Taxes

 

The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2025, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.

 

(k) Security Transactions

 

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received.

 

The Funds may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Funds and included in interest income on the Funds’ Statements of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Funds’ Statements of Operations at the end of the commitment period.

 

(l) Distributions

 

Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Dividends are reinvested in additional shares, unless shareholders request payment in cash. Distributions are recorded on the ex-dividend date and are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.

 

(m) Expenses

 

Expenses directly attributable to a Fund are charged directly to the Fund. Other expenses common to various funds within the fund complex are generally allocated amongst such funds on the basis of average net assets.

 

(n) Earnings Credits

 

Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Funds’ Statements of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2025, are disclosed in the Funds’ Statements of Operations.

 

34 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

  

 

 

NOTES TO FINANCIAL STATEMENTS (continued)

 

(o) Cash

 

The Funds may leave cash overnight in their cash account with their custodian. Periodically, a Fund may have cash due to their custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 4.09% at September 30, 2025.

 

(p) Indemnifications

 

Under the Trust’s organizational documents, the Trustees and Officers of the Trust are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Trust, on behalf of the Funds, enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

 

Note 2 – Financial Instruments and Derivatives

 

As part of their investment strategies, the Funds may utilize a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Funds’ Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

 

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used for investment purposes (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to seek to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.

 

The Funds utilized derivatives for the following purpose:

 

Duration: the use of an instrument to manage the interest rate risk of a portfolio.

 

Swap Agreements

 

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing over-the-counter (“OTC”) swaps, a Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a Fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

 

Interest rate swaps involve the exchange by the Funds with another party for their respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, but central clearing does not make interest rate swap transactions risk free.

 

 

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 35

 

 

NOTES TO FINANCIAL STATEMENTS (continued)

 

The following table represents the Funds’ use and volume of interest rate swaps on a monthly basis:

 

     

Average Notional Amount

  

Fund

Use

  

Pay Floating Rate

    

Receive Floating Rate

  

Guggenheim Strategy Fund II

Duration

   $ —     $ 55,500,000  

Guggenheim Strategy Fund III

Duration

     —       62,630,000  

Guggenheim Variable Insurance Strategy Fund III

Duration

     —       12,591,667  

 

Derivative Investment Holdings Categorized by Risk Exposure

 

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2025:

 

Derivative Investment Type

Asset Derivatives

Liability Derivatives

Interest rate swap agreements

Unamortized upfront premiums paid on interest rate swap agreements

Unamortized upfront premiums received on interest rate swap agreements

 

 

Variation margin on interest rate swap agreements

 

The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2025:

 

Asset Derivative Investments Value

Fund

  

Swaps
Interest
Rate Risk*

    

Total Value at
September 30,
2025

  

Guggenheim Strategy Fund III

   $ 372,667     $ 372,667  

Guggenheim Variable Insurance Strategy Fund III

     131,491       131,491  

 

Liability Derivative Investments Value

Fund

  

Swaps
Interest
Rate Risk*

    

Total Value at
September 30,
2025

  

Guggenheim Strategy Fund II

   $ 736,931     $ 736,931  

Guggenheim Strategy Fund III

     733,611       733,611  

Guggenheim Variable Insurance Strategy Fund III

     146,126       146,126  

 

*

Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Funds’ Schedules of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Funds’ Statements of Assets and Liabilities.

 

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended September 30, 2025:

 

Derivative Investment Type

Location of Gain (Loss) on Derivatives

Interest rate swap agreements

Net realized gain (loss) on swap agreements Net change in unrealized appreciation (depreciation) on swap agreements

 

36 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

  

 

 

NOTES TO FINANCIAL STATEMENTS (continued)

 

The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Funds’ Statements of Operations categorized by primary risk exposure for the year ended September 30, 2025:

 

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations

Fund

  

Swaps
Interest
Rate
Risk

    

Total

  

Guggenheim Strategy Fund II

   $ 216,395     $ 216,395  

Guggenheim Strategy Fund III

     388,449       388,449  

Guggenheim Variable Insurance Strategy Fund III

     (8,419 )     (8,419 )

 

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations

Fund

  

Swaps
Interest
Rate
Risk

    

Total

  

Guggenheim Strategy Fund II

   $ 523,441     $ 523,441  

Guggenheim Strategy Fund III

     438,476       438,476  

Guggenheim Variable Insurance Strategy Fund III

     254,443       254,443  

 

In conjunction with the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.

 

The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions rated/identified as investment grade or better. The Trust monitors the counterparty credit risk associated with each such financial institution.

 

Note 3 – Offsetting

 

In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

 

In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

 

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Funds’ Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent

 

 

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 37

 

 

NOTES TO FINANCIAL STATEMENTS (continued)

 

amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.

 

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Funds’ Statements of Assets and Liabilities.

 

The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2025.

 

Fund

Counterparty

Asset Type

  

Cash Pledged

    

Cash Received

  

Guggenheim Strategy Fund II

BofA Securities, Inc.

Interest rate swap agreements

   $ 12,056     $ —  

Guggenheim Strategy Fund III

BofA Securities, Inc.

Interest rate swap agreements

     44,719       —  

Guggenheim Variable Insurance Strategy Fund III

BofA Securities, Inc.

Interest rate swap agreements

     214,189       —  

 

Note 4 – Fair Value Measurement

 

In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

 

Level 1 —

unadjusted quoted prices in active markets for identical assets or liabilities.

 

Level 2 —

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

 

Level 3 —

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

 

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the Fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

 

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

 

Independent third-party pricing services are used to value a majority of the Funds’ investments. When values are not available from an independent third-party pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Funds’ assets and liabilities are categorized as Level 2, as indicated in this report.

 

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

 

38 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

  

 

 

NOTES TO FINANCIAL STATEMENTS (continued)

 

Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

 

Certain loans and other securities are valued using a single daily broker quote or a price from an independent third-party pricing service based on a single daily or monthly broker quote.

 

The inputs or methodologies selected and applied for valuing securities or other assets are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.

 

Note 5 – Investment Advisory Agreement and Other Agreements

 

Under the terms of an investment advisory contract between the Trust, on behalf of the Funds, and the Adviser, the Funds do not pay GI advisory fees.

 

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

 

If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, GI will voluntarily waive fees at the investing fund level. In addition, the Fund may voluntarily waive fees and reimburse other expenses. For the year ended September 30, 2025, the Funds did not waive or reimburse other expenses.

 

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

 

MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Funds’ securities and cash. The Bank of New York Mellon (“BNY”) acts as the Funds’ custodian. As custodian, BNY is responsible for the custody of the Funds’ assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Funds’ average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.

 

Note 6 – Federal Income Tax Information

 

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.

 

Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.

 

If a Fund makes a distribution to its shareholders in excess of its current and accumulated “earnings and profits” in any taxable year, the excess distribution will be treated as a return of capital to the extent of each shareholder’s basis (for tax purposes) in its shares, and any distribution in excess of basis will be treated as capital gain. A return of capital is not taxable, but it reduces the shareholder’s basis in its shares, which reduces the loss (or increases the gain) on a subsequent taxable disposition by such shareholder of the shares.

 

 

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 39

 

 

NOTES TO FINANCIAL STATEMENTS (continued)

 

The tax character of distributions paid during the year ended September 30, 2025 was as follows:

 

Fund

 

Ordinary
Income

    

Long-Term
Capital Gain

    

Total
Distributions

  

Guggenheim Strategy Fund II

   $ 9,358,512     $ —     $ 9,358,512  

Guggenheim Strategy Fund III

     9,608,713       —       9,608,713  

Guggenheim Variable Insurance Strategy Fund III

     2,685,705       —       2,685,705  

 

The tax character of distributions paid during the year ended September 30, 2024 was as follows:

 

Fund

 

Ordinary
Income

    

Long-Term
Capital Gain

    

Total
Distributions

  

Guggenheim Strategy Fund II

   $ 18,178,692     $ —     $ 18,178,692  

Guggenheim Strategy Fund III

     18,302,723       —       18,302,723  

Guggenheim Variable Insurance Strategy Fund III

     6,750,268       —       6,750,268  

 

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

 

The tax components of distributable earnings/(loss) as of September 30, 2025 were as follows:

 

Fund

 

Undistributed
Ordinary
Income

    

Undistributed
Long-Term
Capital Gain

    

Net Unrealized
Appreciation
(Depreciation)

    

Accumulated
Capital and
Other Losses

    

Other
Temporary
Differences

    

Total

  

Guggenheim Strategy Fund II

   $ 136,496     $ —     $ (1,911,001 )   $ (1,670,707 )   $ (536,314 )   $ (3,981,526 )

Guggenheim Strategy Fund III

     143,678       —       (1,605,730 )     (3,408,098 )     (582,276 )     (5,452,426 )

Guggenheim Variable Insurance Strategy Fund III

     342,263       —       (557,468 )     (1,142,700 )     (135,244 )     (1,493,149 )

 

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2025, capital loss carryforwards for the Funds were as follows:

 

 

Unlimited

        

Fund

Short-Term

  

Long-Term

    

Total
Capital Loss
Carryforward

  

Guggenheim Strategy Fund II

$ —

   $ (1,670,707 )   $ (1,670,707 )

Guggenheim Strategy Fund III

(83,552)

     (3,324,546 )     (3,408,098 )

Guggenheim Variable Insurance Strategy Fund III

(150,506)

     (992,194 )     (1,142,700 )

 

For the year ended September 30, 2025, the following capital loss carryforward amounts were utilized:

 

Fund

 

Utilized

  

Guggenheim Strategy Fund II

   $ 358,499  

Guggenheim Strategy Fund III

     288,834  

Guggenheim Variable Insurance Strategy Fund III

     123,081  

 

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in certain bonds and swap agreements. Additional differences may result from the tax treatment of dividends payable and paydown reclasses. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

 

40 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

  

 

 

NOTES TO FINANCIAL STATEMENTS (continued)

 

No adjustments were made on the Statements of Assets and Liabilities as of September 30, 2025 for permanent book/tax differences.

 

At September 30, 2025, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

 

Fund

 

Tax
Cost

    

Tax
Unrealized
Appreciation

    

Tax
Unrealized
Depreciation

    

Net Tax
Unrealized
Appreciation/
(Depreciation)

  

Guggenheim Strategy Fund II

   $ 127,636,726     $ 863,247     $ (2,774,295 )   $ (1,911,048 )

Guggenheim Strategy Fund III

     128,541,472       1,278,685       (2,884,415 )     (1,605,730 )

Guggenheim Variable Insurance Strategy Fund III

     31,262,235       261,772       (819,240 )     (557,468 )

 

Note 7 – Securities Transactions

 

For the year ended September 30, 2025, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

 

Fund

  

Purchases

    

Sales

  

Guggenheim Strategy Fund II

   $ 4,041,608     $ 137,080,381  

Guggenheim Strategy Fund III

     4,354,822       152,937,416  

Guggenheim Variable Insurance Strategy Fund III

     149,303       72,827,382  

 

The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price. For the year ended September 30, 2025, the Funds did not engage in purchases and sales of securities pursuant to Rule 17a-7 of the 1940 Act.

 

Note 8 – Line of Credit

 

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,115,000,000 line of credit from a syndicated bank group led by Citibank, N.A., which was in place through September 26, 2025, at which time the line of credit was renewed as a 364-day committed, $1,190,000,000 line of credit. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, SOFR plus 1%, or the federal funds rate plus 1/2 of 1%.

 

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Funds’ Statements of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2025.

 

Note 9 – Segment Reporting

 

In this reporting period, the Funds adopted FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures (“ASU 2023-07”). Adoption of the new standard impacted financial statement disclosures only and did not affect the Funds’ financial position or the results of their operations. An operating segment is defined in Topic 280 as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed

 

 

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 41

 

 

NOTES TO FINANCIAL STATEMENTS (concluded)

 

by the public entity’s chief operating decision maker (“CODM”) to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The Officers of the Trust, subject to the oversight and supervision of the Board, serve as the CODM for the Funds.

 

Each of the Funds represents a single operating segment, as the CODM monitors the operating results of each Fund as a whole and each Fund’s long-term strategic asset allocation is pre-determined in accordance with the Fund’s investment objective which is executed by each Fund’s portfolio managers as a team. Each of the Funds uses a variety of investments to execute its investment strategy. Please refer to Note 1 – Organization and Significant Accounting Policies of these Notes to Financial Statements for additional details on the significant accounting policies and investment types used by the Funds. Please refer to each Fund’s Schedule of Investments for a breakdown of the types of investments from which each of the Funds generates its returns. Financial information in the form of total returns, expense ratios and changes in net assets (i.e., changes in net assets resulting from operations, subscriptions and redemptions), which are used by the CODM to assess the segment’s performance versus each Fund’s comparative benchmarks, among other metrics, and to make resource allocation decisions for each Fund’s single segment, is consistent with that presented within the Fund’s financial statements. Segment assets are reflected on each Fund’s Statement of Assets and Liabilities as “total assets” and significant segment income, expenses, and gain(loss) are listed on each Fund’s Statement of Operations.

 

Note 10 – Recent Accounting Pronouncements

 

In December 2023, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2023-09, Income Taxes (Topic 740): Improvements to Income Tax Disclosures (the “2023 ASU”) which establishes new income tax disclosure requirements and modifies or eliminates certain existing disclosure provisions. Included within the new disclosure requirements, among other amendments, is an expanded rate reconciliation and disaggregation of income taxes paid. The 2023 ASU is effective for fiscal years beginning after December 15, 2024. At this time, management is evaluating the implications of these changes on the financial statements, though adoption of the new standard is expected to impact financial statement disclosures only and not affect any Fund’s financial position or the results of its operations.

 

Note 11 – Market Risks

 

The value of, or income generated by, the investments held by the Funds are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting (or perceived to affect) individual companies, or issuers or particular industries, or from broader influences, including real or perceived changes in prevailing interest rates (which may change at any time based on changes in monetary policies and various market and other economic conditions), changes in inflation rates or expectations about inflation rates, deflation, adverse investor confidence or sentiment, general outlook for corporate earnings, changing economic, political (including geopolitical), social or financial market conditions, bank failures, increased instability or general uncertainty, extreme weather, environmental or man-made disasters, or geological events, governmental actions, actual or threatened imposition of tariffs (which may be imposed by U.S. and foreign governments) and trade disruptions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, terrorism, actual or threatened wars or other armed conflicts (such as the conflict in the Middle East and the ongoing Russia-Ukraine conflict and its collateral economic and other effects, including, but not limited to, sanctions and other international trade barriers) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Different sectors, industries and security types may react differently to such developments. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country, geographic region or industry could adversely affect the value, yield and return of the investments held by the Funds in a different country, geographic region, economy, industry or market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Funds’ investments and performance of the Funds.

 

Note 12 – Subsequent Events

 

The Funds evaluated subsequent events through the date the financial statements are issued and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.

 

42 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

  

 

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Shareholders and the Board of Trustees of Guggenheim Strategy Funds Trust

 

Opinion on the Financial Statements

 

We have audited the accompanying statements of assets and liabilities of Guggenheim Strategy Funds Trust (the “Trust”) (comprising Guggenheim Strategy Fund II, Guggenheim Strategy Fund III and Guggenheim Variable Insurance Strategy Fund III (collectively referred to as the “Funds”)), including the schedules of investments, as of September 30, 2025, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds comprising Guggenheim Strategy Funds Trust at September 30, 2025, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

 

Basis for Opinion

 

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and in accordance with the relevant ethical requirements relating to our audit.

 

We conducted our audits in accordance with the auditing standards of the PCAOB and in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2025, by correspondence with the custodian, brokers, and paying agents. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

 

We have served as the auditor of one or more Guggenheim investment companies since 1979.

 

Tysons, Virginia
November 26, 2025

 

 

 

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 43

 

 

 

 

OTHER INFORMATION

 

 

Federal Income Tax Information

 

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

 

In January 2026, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2025.

 

The Funds’ investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

 

Of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2025, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

 

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2025, the following funds had the corresponding percentages qualify as interest related dividends as permitted by IRC Section 871(k)(1). See the qualified interest income column in the table below.

 

Fund

 

Qualified
Dividend
Income

   

Dividend
Received
Deduction

    

Qualified
Interest
Income

  

Guggenheim Strategy Fund II

     0.00 %     0.00 %     68.62 %

Guggenheim Strategy Fund III

     0.00 %     0.00 %     69.48 %

Guggenheim Variable Insurance Strategy Fund III

     0.00 %     0.00 %     70.09 %

 

Sector Classification

 

Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

 

Quarterly Portfolio Schedules Information

 

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Form N-PORT is available on the SEC’s website at https://www.sec.gov. The Funds’ complete schedules of securities holdings as of the end of each fiscal quarter will be made available to the public on the SEC’s website at www.sec.gov and on our website at www.guggenheiminvestments.com, and will be made available, upon request and without charge, by calling 800.820.0888.

 

44 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

  

 

 

ITEM 8: CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES

 

Note: This is not applicable for any fund included in this document.

 

 

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 45

 

 

ITEM 9: PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES

 

Note: This is not applicable for any fund included in this document.

 

46 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

  

 

 

ITEM 10: REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES

 

 

The remuneration paid to directors, officers, and others, if applicable, are included as part of the financial statements included under Item 7 of this Form.

 

 

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 47

 

 

ITEM 11: STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT

 

 

Report of the Guggenheim Strategy Funds Trust Board of Trustees

 

The Board of Trustees (the “Board”) of Guggenheim Strategy Funds Trust (the “Trust”), including the Independent Trustees, unanimously approved the renewal of the investment management agreement (the “Advisory Agreement”) with Guggenheim Partners Investment Management, LLC (“GPIM” or the “Adviser”) on behalf of the series of the Trust listed below (each a “Fund” and collectively, the “Funds”):

 

●

Guggenheim Strategy Fund II
(“Strategy Fund II”)

●

Guggenheim Strategy Fund III
(“Strategy Fund III”)

●

Guggenheim Variable Insurance Strategy Fund III
(“Variable Strategy Fund”)

    

 

GPIM is an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”). Guggenheim Partners, GPIM and their affiliates may be referred to herein collectively as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes GPIM, Security Investors, LLC, Guggenheim Funds Investment Advisors, LLC and other affiliated investment management businesses of Guggenheim Partners.

 

At meetings held in person on April 15, 2025 (the “April Meeting”) and on May 22, 2025 (the “May Meeting”), the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreement. As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreement and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Advisory Agreement.

 

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the FUSE reports is to present the subject fund’s relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. FUSE also made a presentation at the April Meeting. In evaluating the data presented in the FUSE reports, the Committee took into account the challenges that exist in developing appropriate peer groups for the Funds, the shares of which are not, and are not expected to be, registered under the Securities Act of 1933, as amended (the “1933 Act”), because such shares are issued solely in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. In this connection, only investment companies, common or commingled trust funds, or other organizations, entities or investors that are “accredited investors” within the meaning of Regulation D under the 1933 Act may make investments in the Funds. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim and FUSE, in light of the foregoing challenges. The Committee noted that although FUSE’s process typically results in the identification for each Fund of a universe of similar funds for performance comparisons and a narrower group of similar funds from the universe based on asset levels for comparative fee and expense data evaluation (i.e., the peer group), the peer group constituent funds identified by FUSE for Variable Strategy Fund were the same as the performance universe constituent funds due to the Fund’s investment strategy and pricing.

 

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Committee. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other funds in the Guggenheim fund complex and weighed the factors and standards discussed with Independent Legal Counsel.

 

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the Advisory Agreement for an additional annual term. Following its review of the Committee’s recommendation, the Board unanimously approved the renewal of the Advisory Agreement for each Fund for a one-year period ending August 1, 2026 at a meeting held on May 21-22, 2025 (the “May Board Meeting”

 

48 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

  

 

 

ITEM 11: STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT
(continued)

 

 

and together with the May Meeting, the “May Meetings”) and determined to adopt the Committee’s considerations and conclusions, which follow.

 

Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds. The Committee also considered the acceptability of the terms of the Advisory Agreement, including the scope of services required to be performed by the Adviser.

 

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the Investment Company Act of 1940, as amended. In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), which oversees the fund administration, accounting and transfer agency services provided to the Funds and other funds in the Guggenheim fund complex, including the OCFO’s resources, personnel and services provided.

 

The Committee also noted the distinctive nature of the Funds, which are operated as underlying investment options for other funds and accounts managed by Guggenheim Investments as part of a specific investment strategy for the investing funds and accounts, and that the Funds are not publicly offered as separate investment products.

 

With respect to Guggenheim’s resources and the ability of the Adviser to carry out its responsibilities under the Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, GIH Borrower, LLC (“GIHB”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GIHB and its indirect subsidiary Guggenheim Investments Holdings, LLC. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

 

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, including the Committee’s knowledge of how the Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under the Advisory Agreement with respect to the Funds.

 

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2024. The Committee compared each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE (except as noted above with respect to Variable Strategy Fund), in each case for the same periods, as applicable. The Committee also received certain performance information as of March 31, 2025. In assessing each Fund’s performance, the Committee considered that the Board receives regular reporting from Guggenheim regarding performance and evaluates performance throughout the year.

 

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. The Committee observed that each Fund’s returns ranked in the first quartile of such Fund’s performance universe for each of the five-year and three-year periods ended December 31, 2024. The Committee noted that each Fund’s investment results were consistent with its investment objective to seek a high level of income consistent with preservation of capital.

 

 

GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT | 49

 

 

ITEM 11: STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT
(concluded)

 

 

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that each Fund’s performance was acceptable.

 

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Adviser from Its Relationship with the Funds: The Committee considered that pursuant to the Advisory Agreement, the Funds do not pay the Adviser an advisory fee. The Committee also compared each Fund’s net effective management fee1 and total net expense ratio to the applicable peer group. The Committee also reviewed the median expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses and fee waivers/reimbursements), of the peer group. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations. The Committee observed that each Fund’s net effective management fee and total net expense ratio each rank in the first quartile of such Fund’s peer group.

 

The Committee did not consider profitability as no advisory fee was paid by the Funds. The Committee also considered other benefits available to the Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Adviser derives any such “fall-out” benefits.

 

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by the Adviser from its relationship with the Funds were appropriate.

 

Economies of Scale: The Committee did not consider economies of scale to be relevant given that no advisory fee was paid by the Funds.

 

Overall Conclusions

 

The Committee concluded that the renewal of the Advisory Agreement is in the best interest of each Fund, in light of the extent and quality of the services provided and other benefits received by the Adviser and the advisory fee structure. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of their informed business judgment, may afford different weights to different factors.

 

Following its review of the Committee’s analysis and determinations, the Board adopted the considerations and conclusions of the Committee and determined to approve the renewal of the Advisory Agreement.

 

1

The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

 

50 | GUGGENHEIM STRATEGY FUNDS TRUST ANNUAL FINANCIAL REPORT

  

 

 

 

 

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