# EDGAR Filing Document

**Accession Number:** 0001601445
**File Stem:** 0001398344-26-010052
**Filing Date:** 2026-5
**Character Count:** 275252
**Document Hash:** b57a17beaa31be8cf49caaeb52a07ce0
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001398344-26-010052.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001398344-26-010052

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 24

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**EFFECTIVENESS DATE**: 20260529

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Guggenheim Strategy Funds Trust
- **CENTRAL INDEX KEY:** 0001601445

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** N-CSRS
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22946
- **FILM NUMBER:** 261046296

**BUSINESS ADDRESS:**
- **STREET 1:** 702 KING FARM BOULEVARD
- **STREET 2:** SUITE 200
- **CITY:** ROCKVILLE
- **STATE:** MD
- **ZIP:** 20850
- **BUSINESS PHONE:** 301-296-5100

**MAIL ADDRESS:**
- **STREET 1:** 702 KING FARM BOULEVARD
- **STREET 2:** SUITE 200
- **CITY:** ROCKVILLE
- **STATE:** MD
- **ZIP:** 20850

## Series and Classes Contracts Data

### Guggenheim Strategy Fund II (Series ID: S000045496)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000141590 | Guggenheim Strategy Fund II |  |

### Guggenheim Strategy Fund III (Series ID: S000045497)

| Class ID   | Class Name                   | Ticker Symbol   |
|:---|:---|:---|
| C000141591 | Guggenheim Strategy Fund III |  |

### Guggenheim Variable Insurance Strategy Fund III (Series ID: S000045498)

| Class ID   | Class Name                                      | Ticker Symbol   |
|:---|:---|:---|
| C000141592 | Guggenheim Variable Insurance Strategy Fund III |  |

?xml version='1.0' encoding='ASCII'? Consolidated ssr-output-EDGAR XBRL File

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

**FORM N-CSR**

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT**

**INVESTMENT COMPANIES**

Investment Company Act file number <u>811-22946</u>

<u>Guggenheim Strategy Funds Trust</u>

(Exact name of registrant as specified in charter)

702 King Farm Boulevard, Suite 200

<u>Rockville, Maryland 20850</u>

(Address of principal executive offices) (Zip code)

Amy J. Lee

Guggenheim Strategy Funds Trust

702 King Farm Boulevard, Suite 200

<u>Rockville, Maryland 20850</u>

(Name and address of agent for service)

Registrant's telephone number, including area code: <u>(301) 296-5100</u>

Date of fiscal year end: <u>March 31</u>

Date of reporting period: <u>October 1, 2025 – March 31, 2026</u>

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F. Street, NE, Washington, DC 20549-1090. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

**Item 1. Reports to Stockholders.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrant's semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment
 Company Act of 1940, as amended (the "Investment Company Act"), is as follows:

![Image](ie2ac11919f95041152802543.jpg)

# Guggenheim Strategy Fund II
Semi-Annual Shareholder Report \| March 31, 2026

This semi-annual shareholder report contains important information about the Guggenheim Strategy Fund II for the period from October 1, 2025 to March 31, 2026. You can find additional information about the fund at GuggenheimInvestments.com/mutual-funds/literature. You can also request this information by contacting 800 820 0888 or services@guggenheiminvestments.com.

#### What were the Fund's costs for the last six months? <sup>\*</sup>
Based on a hypothetical $10,000 investment

---

| | |
|:---|:---|
| **Costs of a $10,000 Investment** | **Costs Paid as a % of a $10,000 Investment\*\*** |
| $11 | 0.22% |

---

\* Excludes expenses of the underlying funds in which the fund invests, if any.

\*\* Annualized

Fund Performance

#### How did the Fund perform over the last 10 years?
Cumulative performance<sup>◊</sup> for the fund's most recently completed 10 years (as of March 31, 2026), assuming a $10,000 initial investment.

![Growth of 10K Chart](i8432d697a6587d3739d95e54.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Guggenheim Strategy Fund II** | **Bloomberg U.S. Aggregate Bond Index** | **Bloomberg 1-3 Month U.S. Treasury Bill Index** |
| **3/31/16** | $10000 | $10000 | $10000 |
| **3/31/17** | $10355 | $10044 | $10030 |
| **3/31/18** | $10621 | $10165 | $10135 |
| **3/31/19** | $10868 | $10620 | $10347 |
| **3/31/20** | $10829 | $11569 | $10562 |
| **3/31/21** | $11441 | $11651 | $10572 |
| **3/31/22** | $11405 | $11168 | $10578 |
| **3/31/23** | $11673 | $10633 | $10853 |
| **3/31/24** | $12539 | $10814 | $11436 |
| **3/31/25** | $13405 | $11342 | $12011 |
| **3/31/26** | $14043 | $11835 | $12506 |

---

#### Average Annual Total Returns <sup>⋄</sup> as of March 31, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| Average Annual Total Returns | 6 Month ~ | One Year | Five Years | Ten Years |
| Guggenheim Strategy Fund II | 1.92% | 4.76% | 4.19% | 3.45% |
| Bloomberg U.S. Aggregate Bond Index | 1.05% | 4.35% | 0.31% | 1.70% |
| Bloomberg 1-3 Month U.S. Treasury Bill Index | 1.90% | 4.13% | 3.42% | 2.26% |

---

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

#### What factors materially affected the Fund's performance over the last six months?
Positive performance was driven by carry (or earned income). Duration was a modest detractor as rates rose over the period. Credit positioning detracted from performance primarily due to spread widening within the fund's asset-backed and non-Agency commercial mortgage-backed securities allocations.

---

| | |
|:---|:---|
| ⋄ | The performance data above represents past performance that is not predictive of future results. 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 redemption of fund shares. The Bloomberg U.S. Aggregate Bond Index and 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. |
| ~ | 6 month returns are not annualized. |

---

**Guggenheim Investments**

Guggenheim Strategy Fund II \| GFSBX

Semi Annual Shareholder Report \| March 31, 2026

#### Fund Statistics as of March 31, 2026
* Net Assets$127,727,847

* Total Number of Portfolio Holdings218

* Portfolio Turnover Rate24%

#### What did the Fund invest in?

#### Holdings Diversification<sup>Footnote Reference 1</sup> (% of Net Assets) as of March 31, 2026
![Group By Asset Type Chart](i209a4c758fef33e023a4ee0f.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Other | 0.7% |
| Interest Rate Futures Contracts Sold Short | -4.9% |
| Interest Rate Futures Contracts Purchased | 4.9% |
| Collateralized Mortgage Obligations - Other | 9.0% |
| Asset-Backed Securities - Other | 10.3% |
| Asset-Backed Securities - Collateralized Loan Obligations | 12.3% |
| Corporate Bonds - Other | 16.8% |
| Corporate Bonds - Financial | 19.3% |
| Collateralized Mortgage Obligations - Residential Mortgage-Backed Securities | 23.7% |
| Centrally Cleared Interest Rate Swap Agreements | 25.4% |

---

#### 10 Largest Holdings<sup>Footnote Reference 2</sup> (% of Net Assets) as of March 31, 2026

---

| | |
|:---|:---|
| JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH, 5.58% (1 Month Term SOFR + 1.90%, Rate Floor: 1.54%) due 06/15/38 | 2.7% |
| Brighthouse Financial Global Funding 5.55% due 04/09/27 | 2.1% |
| AEGON Funding Co. LLC 5.50% due 04/16/27 | 2.1% |
| WMRK Commercial Mortgage Trust 2022-WMRK, 7.11% (1 Month Term SOFR + 3.44%, Rate Floor: 3.44%) due 11/15/27 | 2.0% |
| BXMT Ltd. 2020-FL2 AS, 5.19% (1 Month Term SOFR + 1.51%, Rate Floor: 1.51%) due 02/15/38 | 2.0% |
| Oak Street Investment Grade Net Lease Fund 2020-1A, 1.85% due 11/20/50 | 1.9% |
| F&G Global Funding 5.88% due 06/10/27 | 1.7% |
| FS Rialto 2021-FL3 B, 5.59% (1 Month Term SOFR + 1.91%, Rate Floor: 1.91%) due 11/16/36 | 1.6% |
| Universal Health Services, Inc. 1.65% due 09/01/26 | 1.5% |
| Mutual of Omaha Companies, Global Funding 5.35% due 04/09/27 | 1.4% |
| Total | 19.0% |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp; Holdings Diversification (Market Exposure as a % of Net Assets) excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. |
| &nbsp;&nbsp;Footnote<sup>2</sup> | &nbsp;&nbsp;10 Largest Holdings (as a % of Net Assets) excludes any temporary cash or derivative instruments. |

---

![Image](i834356d3e7dc801d4e708896.jpg)

#### Availability of Additional Information
For additional information, including the fund's prospectus, financial information, holdings and proxy voting information, go to GuggenheimInvestments.com/mutual-funds/literature or call 800 820 0888.

SA-GFSBX-033126

**Guggenheim Investments**

![Image](ie2ac11919f95041152802543.jpg)

# Guggenheim Strategy Fund III
Semi-Annual Shareholder Report \| March 31, 2026

This semi-annual shareholder report contains important information about the Guggenheim Strategy Fund III for the period from October 1, 2025 to March 31, 2026. You can find additional information about the fund at GuggenheimInvestments.com/mutual-funds/literature. You can also request this information by contacting 800 820 0888 or services@guggenheiminvestments.com.

#### What were the Fund's costs for the last six months? <sup>\*</sup>
Based on a hypothetical $10,000 investment

---

| | |
|:---|:---|
| **Costs of a $10,000 Investment** | **Costs Paid as a % of a $10,000 Investment\*\*** |
| $8 | 0.15% |

---

\* Excludes expenses of the underlying funds in which the fund invests, if any.

\*\* Annualized

Fund Performance

#### How did the Fund perform over the last 10 years?
Cumulative performance<sup>◊</sup> for the fund's most recently completed 10 years (as of March 31, 2026), assuming a $10,000 initial investment.

![Growth of 10K Chart](i1f0543a2736afed3899b0b08.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Guggenheim Strategy Fund III** | **Bloomberg U.S. Aggregate Bond Index** | **Bloomberg 1-3 Month U.S. Treasury Bill Index** |
| **3/31/16** | $10000 | $10000 | $10000 |
| **3/31/17** | $10424 | $10044 | $10030 |
| **3/31/18** | $10706 | $10165 | $10135 |
| **3/31/19** | $10938 | $10620 | $10347 |
| **3/31/20** | $10916 | $11569 | $10562 |
| **3/31/21** | $11602 | $11651 | $10572 |
| **3/31/22** | $11549 | $11168 | $10578 |
| **3/31/23** | $11807 | $10633 | $10853 |
| **3/31/24** | $12682 | $10814 | $11436 |
| **3/31/25** | $13538 | $11342 | $12011 |
| **3/31/26** | $14208 | $11835 | $12506 |

---

#### Average Annual Total Returns <sup>⋄</sup> as of March 31, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| Average Annual Total Returns | 6 Month ~ | One Year | Five Years | Ten Years |
| Guggenheim Strategy Fund III | 2.03% | 4.95% | 4.14% | 3.58% |
| Bloomberg U.S. Aggregate Bond Index | 1.05% | 4.35% | 0.31% | 1.70% |
| Bloomberg 1-3 Month U.S. Treasury Bill Index | 1.90% | 4.13% | 3.42% | 2.26% |

---

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

#### What factors materially affected the Fund's performance over the last six months?
Positive performance was driven by carry (or earned income). Duration was a modest detractor as rates rose over the period. Credit positioning detracted from performance primarily due to spread widening within the fund's asset-backed and non-Agency commercial mortgage-backed securities allocations.

---

| | |
|:---|:---|
| ⋄ | The performance data above represents past performance that is not predictive of future results. 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 redemption of fund shares. The Bloomberg U.S. Aggregate Bond Index and 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. |
| ~ | 6 month returns are not annualized. |

---

**Guggenheim Investments**

Guggenheim Strategy Fund III \| GFSCX

Semi Annual Shareholder Report \| March 31, 2026

#### Fund Statistics as of March 31, 2026
* Net Assets$130,075,302

* Total Number of Portfolio Holdings246

* Portfolio Turnover Rate26%

#### What did the Fund invest in?

#### Holdings Diversification<sup>Footnote Reference 1</sup> (% of Net Assets) as of March 31, 2026
![Group By Asset Type Chart](i5e5c37c085a45667ad2ba01e.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Other | 1.7% |
| Interest Rate Futures Contracts Sold Short | -5.0% |
| Interest Rate Futures Contracts Purchased | 5.0% |
| Collateralized Mortgage Obligations - Other | 6.7% |
| Asset-Backed Securities - Collateralized Loan Obligations | 10.3% |
| Asset-Backed Securities - Other | 13.4% |
| Corporate Bonds - Other | 15.0% |
| Corporate Bonds - Financial | 18.4% |
| Centrally Cleared Interest Rate Swap Agreements | 25.6% |
| Collateralized Mortgage Obligations - Residential Mortgage-Backed Securities | 27.9% |

---

#### 10 Largest Holdings<sup>Footnote Reference 2</sup> (% of Net Assets) as of March 31, 2026

---

| | |
|:---|:---|
| Brighthouse Financial Global Funding 5.55% due 04/09/27 | 2.1% |
| AEGON Funding Co. LLC 5.50% due 04/16/27 | 2.1% |
| WMRK Commercial Mortgage Trust 2022-WMRK, 7.11% (1 Month Term SOFR + 3.44%, Rate Floor: 3.44%) due 11/15/27 | 2.0% |
| OSAT Trust 2021-RPL1, 6.12% due 05/25/65 | 1.9% |
| BXMT Ltd. 2020-FL2 AS, 5.19% (1 Month Term SOFR + 1.51%, Rate Floor: 1.51%) due 02/15/38 | 1.7% |
| Anchorage Credit Funding 4 Ltd. 2016-4A AR, 2.72% due 04/27/39 | 1.7% |
| Oak Street Investment Grade Net Lease Fund 2020-1A, 1.85% due 11/20/50 | 1.5% |
| Universal Health Services, Inc. 1.65% due 09/01/26 | 1.5% |
| F&G Global Funding 5.88% due 06/10/27 | 1.5% |
| Icon Investments Six DAC 5.81% due 05/08/27 | 1.4% |
| Total | 17.4% |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp; Holdings Diversification (Market Exposure as a % of Net Assets) excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. |
| &nbsp;&nbsp;Footnote<sup>2</sup> | &nbsp;&nbsp;10 Largest Holdings (as a % of Net Assets) excludes any temporary cash or derivative instruments. |

---

![Image](i834356d3e7dc801d4e708896.jpg)

#### Availability of Additional Information
For additional information, including the fund's prospectus, financial information, holdings and proxy voting information, go to GuggenheimInvestments.com/mutual-funds/literature or call 800 820 0888.

SA-GFSCX-033126

**Guggenheim Investments**

![Image](ie2ac11919f95041152802543.jpg)

# Guggenheim Variable Insurance Strategy Fund III

# Variable Annuity
Semi-Annual Shareholder Report \| March 31, 2026

This semi-annual shareholder report contains important information about the Guggenheim Variable Insurance Strategy Fund III for the period from October 1, 2025 to March 31, 2026. You can find additional information about the fund at GuggenheimInvestments.com/variable-insurance-funds. You can also request this information by contacting 800 820 0888 or services@guggenheiminvestments.com.

#### What were the Fund's costs for the last six months? <sup>\*</sup>
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 | $33 | 0.66% |

---

\* Excludes expenses of the underlying funds in which the fund invests, if any.

\*\* Annualized

Fund Performance

#### How did the Fund perform over the last 10 years?
Cumulative performance<sup>◊</sup> for the fund's most recently completed 10 years (as of March 31, 2026), assuming a $10,000 initial investment.

![Growth of 10K Chart](id2d4b817141953a5f3a5a3f7.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Guggenheim Variable Insurance Strategy Fund III** | **Bloomberg U.S. Aggregate Bond Index** | **Bloomberg 1-3 Month U.S. Treasury Bill Index** |
| **3/31/16** | $10000 | $10000 | $10000 |
| **3/31/17** | $10434 | $10044 | $10030 |
| **3/31/18** | $10721 | $10165 | $10135 |
| **3/31/19** | $10955 | $10620 | $10347 |
| **3/31/20** | $10890 | $11569 | $10562 |
| **3/31/21** | $11555 | $11651 | $10572 |
| **3/31/22** | $11506 | $11168 | $10578 |
| **3/31/23** | $11761 | $10633 | $10853 |
| **3/31/24** | $12627 | $10814 | $11436 |
| **3/31/25** | $13485 | $11342 | $12011 |
| **3/31/26** | $14112 | $11835 | $12506 |

---

#### Average Annual Total Returns <sup>⋄</sup> as of March 31, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| Average Annual Total Returns | 6 Month ~ | One Year | Five Years | Ten Years |
| Guggenheim Variable Insurance Strategy Fund III | 1.96% | 4.66% | 4.08% | 3.50% |
| Bloomberg U.S. Aggregate Bond Index | 1.05% | 4.35% | 0.31% | 1.70% |
| Bloomberg 1-3 Month U.S. Treasury Bill Index | 1.90% | 4.13% | 3.42% | 2.26% |

---

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

#### What factors materially affected the Fund's performance over the last six months?
Positive performance was driven by carry (or earned income). Duration was a modest detractor as rates rose over the period. Credit positioning detracted from performance primarily due to spread widening within the fund's asset-backed and non-Agency commercial mortgage-backed securities allocations.

---

| | |
|:---|:---|
| ⋄ | The performance data above represents past performance that is not predictive of future results. 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 redemption of fund shares. The Bloomberg U.S. Aggregate Bond Index and 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. |
| ~ | 6 month returns are not annualized. |

---

**Guggenheim Investments**

Guggenheim Variable Insurance Strategy Fund III \| Variable Annuity

Semi Annual Shareholder Report \| March 31, 2026

#### Fund Statistics as of March 31, 2026
* Net Assets$36,479,375

* Total Number of Portfolio Holdings148

* Portfolio Turnover Rate32%

#### What did the Fund invest in?

#### Holdings Diversification<sup>Footnote Reference 1</sup> (% of Net Assets) as of March 31, 2026
![Group By Asset Type Chart](i6debec87a747c91487c81f5b.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Other | 0.6% |
| Collateralized Mortgage Obligations - Other | 9.4% |
| Asset-Backed Securities - Collateralized Loan Obligations | 17.1% |
| Centrally Cleared Interest Rate Swap Agreements | 21.2% |
| Asset-Backed Securities - Other | 27.9% |
| Collateralized Mortgage Obligations - Residential Mortgage-Backed Securities | 38.0% |

---

#### 10 Largest Holdings<sup>Footnote Reference 2</sup> (% of Net Assets) as of March 31, 2026

---

| | |
|:---|:---|
| Anchorage Credit Funding 4 Ltd. 2016-4A AR, 2.72% due 04/27/39 | 3.3% |
| WMRK Commercial Mortgage Trust 2022-WMRK, 7.11% (1 Month Term SOFR + 3.44%, Rate Floor: 3.44%) due 11/15/27 | 2.8% |
| BXMT Ltd. 2020-FL2 AS, 5.19% (1 Month Term SOFR + 1.51%, Rate Floor: 1.51%) due 02/15/38 | 2.7% |
| OSAT Trust 2021-RPL1, 6.12% due 05/25/65 | 2.5% |
| Oak Street Investment Grade Net Lease Fund 2020-1A, 1.85% due 11/20/50 | 2.4% |
| Cerberus Loan Funding XXXII, LP 2021-2A A, 5.55% (3 Month Term SOFR + 1.88%, Rate Floor: 1.88%) due 04/22/33 | 2.3% |
| MTN Commercial Mortgage Trust 2022-LPFL, 6.62% (1 Month Term SOFR + 2.94%, Rate Floor: 2.94%) due 03/15/39 | 2.2% |
| OBX Trust 2024-NQM5, 5.99% due 01/25/64 | 1.7% |
| Owl Rock CLO IV Ltd. 2020-4A A1R, 5.52% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 08/20/33 | 1.6% |
| Triton Container Finance VIII LLC 2021-1A, 1.86% due 03/20/46 | 1.5% |
| Total | 23.0% |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp; Holdings Diversification (Market Exposure as a % of Net Assets) excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. |
| &nbsp;&nbsp;Footnote<sup>2</sup> | &nbsp;&nbsp;10 Largest Holdings (as a % of Net Assets) excludes any temporary cash or derivative instruments. |

---

![Image](i834356d3e7dc801d4e708896.jpg)

#### Availability of Additional Information
For additional information, including the fund's prospectus, financial information, holdings and proxy voting information, go to GuggenheimInvestments.com/variable-insurance-funds or call 800 820 0888.

SA-C000141592-033126

**Guggenheim Investments**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

**Item 2. Code of Ethics.**

Not required at this time.

**Item 3. Audit Committee Financial Expert.**

Not required at this time.

**Item 4. Principal Accountant Fees and Services.**

Not required at this time.

**Item 5. Audit Committee of Listed Registrants.**

Not required at this time.

**Item 6. Investments.**

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

&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

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

The semi-annual Financial Statements and Financial Highlights are attached herewith.

![](fp0098483-1_01.jpg)

**3.31.2026** **Guggenheim Strategy Funds Trust Semi-Annual Financial Report**

---

| |
|:---|
| **Guggenheim Strategy Funds** |
| Guggenheim Strategy Fund II |
| Guggenheim Strategy Fund III |
| Guggenheim Variable Insurance Strategy Fund III |

---

---

| | |
|:---|:---|
| **GuggenheimInvestments.com** | GSFT-SEMI-0326x0926 |

---

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.

**TABLE OF CONTENTS**

---

| | |
|:---|:---|
| ITEM 7: FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES (SEMI-ANNUAL FINANCIAL REPORT) |  |
| &nbsp;&nbsp;&nbsp;GUGGENHEIM STRATEGY FUND II | 2 |
| &nbsp;&nbsp;&nbsp;GUGGENHEIM STRATEGY FUND III | 19 |
| &nbsp;&nbsp;&nbsp;GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III | 37 |
| &nbsp;&nbsp;&nbsp;NOTES TO FINANCIAL STATEMENTS | 50 |
| &nbsp;&nbsp;&nbsp;OTHER INFORMATION | 66 |
| ITEM 8: CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES | 67 |
| ITEM 9: PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES | 68 |
| ITEM 10: REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES | 69 |
| ITEM 11: STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT | 70 |

---

THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT \| 1

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND II** |  |

---

---

| | | |
|:---|:---|:---|
| | **SHARES** | **VALUE** |
| **PREFERRED STOCKS - 0.1%** |  |  |
| **FINANCIAL - 0.1%** |  |  |
| Charles Schwab Corp. |  |  |
| &nbsp;&nbsp;&nbsp;4.00% | 200000 | $198639 |
| **Total Preferred Stocks** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $199,000) |  | 198639 |

---

---

| | | |
|:---|:---|:---|
|  | **FACE**<br> **AMOUNT** | |
| **CORPORATE BONDS - 36.1%** | | |
| **FINANCIAL - 19.3%** | | |
| Brighthouse Financial Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.55% due 04/09/27<sup>a</sup> | $2700000 | 2717371 |
| AEGON Funding Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;5.50% due 04/16/27<sup>a</sup> | 2600000 | 2622866 |
| F&G Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.88% due 06/10/27<sup>a</sup> | 2100000 | 2124641 |
| Mutual of Omaha Companies, Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.35% due 04/09/27<sup>a</sup> | 1750000 | 1765386 |
| Standard Chartered plc |  |  |
| &nbsp;&nbsp;&nbsp;5.69% due 05/14/28<sup>a,b</sup> | 1600000 | 1618924 |
| HSBC Holdings plc |  |  |
| &nbsp;&nbsp;&nbsp;5.60% due 05/17/28<sup>b</sup> | 1600000 | 1617974 |
| Jackson National Life Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.60% due 04/10/26<sup>a</sup> | 1600000 | 1600365 |
| LPL Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.70% due 05/20/27 | 1550000 | 1564314 |
| CNO Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.88% due 06/04/27<sup>a</sup> | 1060000 | 1074494 |
| Barclays plc |  |  |
| &nbsp;&nbsp;&nbsp;4.22% due 05/24/30<sup>b</sup> | 1050000 | 1033718 |
| Rocket Mortgage LLC / Rocket Mortgage Co.-Issuer, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;2.88% due 10/15/26<sup>a</sup> | 900000 | 890264 |
| Cooperatieve Rabobank UA |  |  |
| &nbsp;&nbsp;&nbsp;4.66% due 08/22/28<sup>a,b</sup> | 850000 | 851693 |
| Mizuho Financial Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.41% due 09/13/28<sup>b</sup> | 800000 | 810788 |
| Societe Generale S.A. |  |  |
| &nbsp;&nbsp;&nbsp;5.52% due 01/19/28<sup>a,b</sup> | 800000 | 805326 |
| Lincoln Financial Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;4.20% due 01/12/29<sup>a</sup> | 700000 | 692169 |
| SLM Corp. |  |  |
| &nbsp;&nbsp;&nbsp;3.13% due 11/02/26 | 600000 | 594469 |
| Nationwide Building Society |  |  |
| &nbsp;&nbsp;&nbsp;4.65% due 07/14/29<sup>a,b</sup> | 550000 | 550496 |
| Host Hotels & Resorts, LP |  |  |
| &nbsp;&nbsp;&nbsp;4.25% due 12/15/28 | 325000 | 321148 |
| Cushman & Wakefield US Borrower LLC |  |  |
| &nbsp;&nbsp;&nbsp;6.75% due 05/15/28<sup>a</sup> | 300000 | 300433 |
| Protective Life Corp. |  |  |
| &nbsp;&nbsp;&nbsp;4.70% due 01/15/31<sup>a</sup> | 300000 | 297110 |
| Gabx Leasing LLC |  |  |
| &nbsp;&nbsp;&nbsp;4.63% due 04/15/31<sup>a</sup> | 300000 | 295744 |
| American National Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.00% due 06/15/27 | 240000 | 238680 |
| Brown & Brown, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;4.60% due 12/23/26 | 175000 | 175517 |
| Voya Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;4.60% due 11/24/30<sup>a</sup> | 150000 | 147734 |
| **Total Financial** |  | 24711624 |
| **CONSUMER, NON-CYCLICAL - 7.2%** |  |  |
| Universal Health Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;1.65% due 09/01/26 | 1950000 | 1926699 |
| Element Fleet Management Corp. |  |  |
| &nbsp;&nbsp;&nbsp;6.27% due 06/26/26<sup>a</sup> | 1700000 | 1704428 |
| Icon Investments Six DAC |  |  |
| &nbsp;&nbsp;&nbsp;5.81% due 05/08/27 | 1600000 | 1608101 |
| Global Payments, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;4.95% due 08/15/27 | 1600000 | 1602963 |
| IQVIA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.00% due 05/15/27<sup>a</sup> | 1000000 | 996220 |
| Triton Container International Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2.05% due 04/15/26<sup>a</sup> | 900000 | 899038 |
| Medline Borrower, LP |  |  |
| &nbsp;&nbsp;&nbsp;3.88% due 04/01/29<sup>a</sup> | 190000 | 183799 |
| U.S. Foods, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;7.25% due 01/15/32<sup>a</sup> | 150000 | 155215 |
| Block, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;2.75% due 06/01/26 | 150000 | 149316 |
| **Total Consumer, Non-cyclical** |  | 9225779 |
| **INDUSTRIAL - 3.1%** |  |  |
| Penske Truck Leasing Co., LP / PTL Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;5.35% due 01/12/27<sup>a</sup> | 1650000 | 1658825 |
| Weir Group plc |  |  |
| &nbsp;&nbsp;&nbsp;2.20% due 05/13/26<sup>a</sup> | 950000 | 946755 |
| Vontier Corp. |  |  |
| &nbsp;&nbsp;&nbsp;1.80% due 04/01/26 | 850000 | 850000 |
| Jabil, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;1.70% due 04/15/26 | 250000 | 249680 |
| &nbsp;&nbsp;&nbsp;4.25% due 05/15/27 | 250000 | 249358 |
| **Total Industrial** |  | 3954618 |
| **CONSUMER, CYCLICAL - 2.1%** |  |  |
| Live Nation Entertainment, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;6.50% due 05/15/27<sup>a</sup> | 900000 | 901145 |
| LG Electronics, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.63% due 04/24/27<sup>a</sup> | 850000 | 859941 |
| LG Energy Solution Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;5.00% due 04/02/29<sup>a</sup> | 400000 | 400544 |
| Air Canada |  |  |
| &nbsp;&nbsp;&nbsp;3.88% due 08/15/26<sup>a</sup> | 330000 | 328355 |
| 1011778 BC ULC / New Red Finance, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;3.88% due 01/15/28<sup>a</sup> | 150000 | 146622 |

---

2 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND II** |  |

---

---

| | | |
|:---|:---|:---|
| | **FACE** <br> **AMOUNT** | **VALUE** |
| **CORPORATE BONDS - 36.1% (continued)** |  |  |
| **CONSUMER, CYCLICAL - 2.1% (continued)** |  |  |
| Newell Brands, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;6.38% due 09/15/27 | $84000 | $84410 |
| **Total Consumer, Cyclical** |  | 2721017 |
| **UTILITIES - 1.4%** |  |  |
| Algonquin Power & Utilities Corp. |  |  |
| &nbsp;&nbsp;&nbsp;5.37% due 06/15/26 | 1750000 | 1751442 |
| **TECHNOLOGY - 1.4%** |  |  |
| CDW LLC / CDW Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;2.67% due 12/01/26 | 1450000 | 1433089 |
| Salesforce, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;4.65% due 03/15/29 | 300000 | 300621 |
| **Total Technology** |  | 1733710 |
| **COMMUNICATIONS - 1.3%** |  |  |
| FactSet Research Systems, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;2.90% due 03/01/27 | 1500000 | 1474421 |
| Match Group Holdings II LLC |  |  |
| &nbsp;&nbsp;&nbsp;4.13% due 08/01/30<sup>a</sup> | 150000 | 139010 |
| **Total Communications** |  | 1613431 |
| **ENERGY - 0.3%** |  |  |
| Buckeye Partners, LP |  |  |
| &nbsp;&nbsp;&nbsp;3.95% due 12/01/26 | 250000 | 247483 |
| Venture Global Plaquemines LNG LLC |  |  |
| &nbsp;&nbsp;&nbsp;6.13% due 12/15/30<sup>a</sup> | 125000 | 128553 |
| **Total Energy** |  | 376036 |
| **Total Corporate Bonds** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $45,976,671) |  | 46087657 |
| **COLLATERALIZED MORTGAGE OBLIGATIONS - 32.7%** |  |  |
| **RESIDENTIAL MORTGAGE-BACKED SECURITIES - 23.7%** |  |  |
| OBX Trust |  |  |
| &nbsp;&nbsp;&nbsp;2024-NQM5, 5.99% due 01/25/64<sup>a,c</sup> | 1748820 | 1758010 |
| &nbsp;&nbsp;&nbsp;2024-NQM6, 6.45% due 02/25/64<sup>a,c</sup> | 886279 | 894523 |
| &nbsp;&nbsp;&nbsp;2024-NQM8, 6.23% due 05/25/64<sup>a,c</sup> | 885567 | 892967 |
| &nbsp;&nbsp;&nbsp;2024-NQM7, 6.24% due 03/25/64<sup>a,c</sup> | 854738 | 861411 |
| &nbsp;&nbsp;&nbsp;2024-NQM1, 6.25% due 11/25/63<sup>a,c</sup> | 386217 | 387555 |
| &nbsp;&nbsp;&nbsp;2026-NQM5, 5.43% (WAC) due 01/25/66<sup>◊</sup><sup>,a</sup> | 150000 | 149999 |
| &nbsp;&nbsp;&nbsp;2025-R1, 5.09% due 09/25/62<sup>a,c</sup> | 95977 | 95251 |
| Legacy Mortgage Asset Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-GS3, 5.75% due 07/25/61<sup>a</sup> | 1046031 | 1046364 |
| &nbsp;&nbsp;&nbsp;2021-GS4, 5.65% due 11/25/60<sup>a</sup> | 822509 | 823019 |
| &nbsp;&nbsp;&nbsp;2021-GS2, 5.75% due 04/25/61<sup>a</sup> | 395752 | 396443 |
| JP Morgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-12, 2.50% (WAC) due 02/25/52<sup>◊</sup><sup>,a</sup> | 994670 | 931073 |
| &nbsp;&nbsp;&nbsp;2026-VIS1, 4.79% (WAC) due 06/25/66<sup>◊</sup><sup>,a</sup> | 744740 | 738519 |
| &nbsp;&nbsp;&nbsp;2026-CES1, 4.91% due 06/25/56<sup>a,c</sup> | 339631 | 336913 |
| FIGRE Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-HE1, 4.98% (WAC) due 01/25/56<sup>◊</sup><sup>,a</sup> | 481042 | 477089 |
| &nbsp;&nbsp;&nbsp;2026-HE1, 5.18% (WAC) due 01/25/56<sup>◊</sup><sup>,a</sup> | 481042 | 476119 |
| &nbsp;&nbsp;&nbsp;2024-HE5, 5.44% (WAC) due 10/25/54<sup>◊</sup><sup>,a</sup> | 351531 | 352991 |
| &nbsp;&nbsp;&nbsp;2025-HE8, 5.21% (WAC) due 11/25/55<sup>◊</sup><sup>,a</sup> | 275210 | 273485 |
| &nbsp;&nbsp;&nbsp;2026-HE2, 5.05% (WAC) due 01/25/56<sup>◊</sup><sup>,a</sup> | 147420 | 146204 |
| New Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-1A, 3.50% (WAC) due 10/25/59<sup>◊</sup><sup>,a</sup> | 627317 | 587422 |
| &nbsp;&nbsp;&nbsp;2018-2A, 3.50% (WAC) due 02/25/58<sup>◊</sup><sup>,a</sup> | 569209 | 542664 |
| &nbsp;&nbsp;&nbsp;2025-NQM3, 5.53% (WAC) due 05/25/65<sup>◊</sup><sup>,a</sup> | 393957 | 395871 |
| GCAT Trust |  |  |
| &nbsp;&nbsp;&nbsp;2024-NQM2, 6.09% due 06/25/59<sup>a,c</sup> | 787410 | 792775 |
| &nbsp;&nbsp;&nbsp;2023-NQM3, 6.89% due 08/25/68<sup>a,c</sup> | 273350 | 275001 |
| &nbsp;&nbsp;&nbsp;2025-NQM4, 5.53% due 06/25/70<sup>a</sup> | 256477 | 257353 |
| OSAT Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-RPL1, 6.12% due 05/25/65<sup>a</sup> | 1245636 | 1246335 |
| Home Equity Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2007-FRE1, 3.98% (1 Month Term SOFR + 0.30%, Rate Floor: 0.19%) due 04/25/37<sup>◊</sup> | 1232020 | 1174989 |
| Imperial Fund Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-NQM2, 4.02% (WAC) due 03/25/67<sup>◊</sup><sup>,a</sup> | 1228056 | 1154632 |
| Angel Oak Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2024-4, 6.20% due 01/25/69<sup>a,c</sup> | 513644 | 517350 |
| &nbsp;&nbsp;&nbsp;2022-1, 3.29% (WAC) due 12/25/66<sup>◊</sup><sup>,a</sup> | 441623 | 400110 |
| &nbsp;&nbsp;&nbsp;2025-12, 5.14% due 12/25/70<sup>a,c</sup> | 192058 | 190622 |
| NLT Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-NQM1, 6.61% due 02/25/71<sup>a</sup> | 950000 | 993219 |
| Verus Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-6, 1.89% (WAC) due 10/25/66<sup>◊</sup><sup>,a</sup> | 483446 | 423681 |
| &nbsp;&nbsp;&nbsp;2025-12, 5.37% due 12/25/70<sup>a,c</sup> | 294884 | 293680 |
| &nbsp;&nbsp;&nbsp;2021-3, 1.44% (WAC) due 06/25/66<sup>◊</sup><sup>,a</sup> | 162292 | 145127 |
| HOMES Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-NQM1, 4.80% due 09/25/70<sup>a</sup> | 479337 | 475530 |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND II** |  |

---

---

| | | |
|:---|:---|:---|
| | **FACE**<br> **AMOUNT** | **VALUE** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS - 32.7% (continued)** |  |  |
| **RESIDENTIAL MORTGAGE-BACKED SECURITIES - 23.7% (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;2024-AFC2, 5.58% (WAC) due 10/25/59<sup>◊</sup><sup>,a</sup> | $354905 | $356031 |
| NYMT Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-CP1, 3.75% (WAC) due 11/25/69<sup>◊</sup><sup>,a</sup> | 700000 | 654107 |
| &nbsp;&nbsp;&nbsp;2026-INV2, 5.63% due 04/25/61<sup>a,c</sup> | 175000 | 175963 |
| Towd Point Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-CES1, 4.96% due 01/25/66<sup>a,c</sup> | 635074 | 631102 |
| &nbsp;&nbsp;&nbsp;2018-2, 3.25% (WAC) due 03/25/58<sup>◊</sup><sup>,a</sup> | 129940 | 128880 |
| CSMC Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-RPL4, 4.15% (WAC) due 12/27/60<sup>◊</sup><sup>,a</sup> | 414532 | 413075 |
| &nbsp;&nbsp;&nbsp;2020-NQM1, 2.21% due 05/25/65<sup>a</sup> | 303860 | 291806 |
| NovaStar Mortgage Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;2007-2, 3.99% (1 Month Term SOFR + 0.31%, Rate Floor: 0.20%) due 09/25/37<sup>◊</sup> | 658913 | 652804 |
| Structured Asset Securities Corp. Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2007-BC4, 4.42% (1 Month Term SOFR + 0.74%, Rate Floor: 0.63%) due 11/25/37<sup>◊</sup> | 662182 | 647854 |
| Soundview Home Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2006-OPT5, 4.07% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 07/25/36<sup>◊</sup> | 637121 | 624451 |
| PMT Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-CNF3, 5.50% (WAC) due 04/25/57<sup>◊</sup><sup>,a</sup> | 300000 | 299579 |
| &nbsp;&nbsp;&nbsp;2025-INV8, 6.00% (WAC) due 07/25/56<sup>◊</sup><sup>,a</sup> | 286097 | 289750 |
| Morgan Stanley Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-NQM9, 5.22% due 09/25/70<sup>a,c</sup> | 559488 | 556467 |
| Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2007-OA7, 4.07% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 05/25/47<sup>◊</sup> | 546376 | 506880 |
| HarborView Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2006-14, 4.09% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 01/25/47<sup>◊</sup> | 487049 | 464664 |
| Archwest Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-RTL1, 5.20% due 10/25/40<sup>a,c</sup> | 400000 | 399139 |
| CFMT LLC |  |  |
| &nbsp;&nbsp;&nbsp;2022-HB9, 3.25% (WAC) due 09/25/37<sup>◊</sup><sup>,a</sup> | 352815 | 348136 |
| Cross Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-NQM3, 5.13% (WAC) due 03/25/71<sup>◊</sup><sup>,a</sup> | 200000 | 200286 |
| &nbsp;&nbsp;&nbsp;2026-NQM1, 4.95% due 02/25/61<sup>a,c</sup> | 147617 | 145896 |
| PRPM LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-1, 5.19% due 02/25/31<sup>a</sup> | 196097 | 194027 |
| &nbsp;&nbsp;&nbsp;2026-2, 5.09% due 02/25/31<sup>a,c</sup> | 119288 | 118909 |
| COLT Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2023-3, 7.18% due 09/25/68<sup>a,c</sup> | 287859 | 289518 |
| Bear Stearns Asset-Backed Securities I Trust |  |  |
| &nbsp;&nbsp;&nbsp;2006-HE9, 4.07% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 11/25/36<sup>◊</sup> | 221739 | 219368 |
| SG Residential Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-1, 5.10% (WAC) due 12/25/65<sup>◊</sup><sup>,a</sup> | 197724 | 197021 |
| Barclays Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-CES1, 4.85% due 01/25/56<sup>a,c</sup> | 195470 | 193561 |
| Provident Funding Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-1, 5.00% (WAC) due 01/25/56<sup>◊</sup><sup>,a</sup> | 147537 | 145529 |
| BRAVO Residential Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-NQM7, 5.46% (WAC) due 07/25/65<sup>◊</sup><sup>,a</sup> | 129784 | 130198 |
| ACHM Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-HE3, 5.20% (WAC) due 11/25/55<sup>◊</sup><sup>,a</sup> | 95050 | 94274 |
| Starwood Mortgage Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-1, 2.28% (WAC) due 02/25/50<sup>◊</sup><sup>,a,d</sup> | 28711 | 27412 |
| Banc of America Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;2015-R2, 4.05% (1 Month Term SOFR + 0.37%, Rate Floor: 0.26%) due 04/29/37<sup>◊</sup><sup>,a,d</sup> | 14672 | 14658 |
| Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-1, 2.38% (WAC) due 01/26/60<sup>◊</sup><sup>,a,d</sup> | 9919 | 9881 |
| **Total Residential Mortgage-Backed Securities** |  | 30325522 |
| **COMMERCIAL MORTGAGE-BACKED SECURITIES - 7.1%** |  |  |
| JP Morgan Chase Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-NYAH, 5.58% (1 Month Term SOFR + 1.90%, Rate Floor: 1.54%) due 06/15/38<sup>◊</sup><sup>,a</sup> | 3900000 | 3406535 |
| WMRK Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-WMRK, 7.11% (1 Month Term SOFR + 3.44%, Rate Floor: 3.44%) due 11/15/27<sup>◊</sup><sup>,a</sup> | 2493022 | 2493022 |
| BX Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-LP2, 5.23% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39<sup>◊</sup><sup>,a</sup> | 770000 | 769519 |

---

4 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND II** |  |

---

---

| | | |
|:---|:---|:---|
| | **FACE** <br> **AMOUNT** | **VALUE** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS - 32.7% (continued)** |  |  |
| **COMMERCIAL MORTGAGE-BACKED SECURITIES - 7.1% (continued)** |  |  |
| Citigroup Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2018-C6, 0.76% (WAC) due 11/10/51<sup>◊</sup><sup>,e</sup> | $41993803 | $681908 |
| BX Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-VOLT, 5.37% (1 Month Term SOFR + 1.70%, Rate Floor: 1.70%) due 12/15/44<sup>◊</sup><sup>,a</sup> | 450000 | 448594 |
| BXHPP Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-FILM, 4.89% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 08/15/36<sup>◊</sup><sup>,a</sup> | 500000 | 433750 |
| Benchmark Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2019-B14, 0.74% (WAC) due 12/15/62<sup>◊</sup><sup>,e</sup> | 21262362 | 390796 |
| JPMDB Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;2018-C8, 0.59% (WAC) due 06/15/51<sup>◊</sup><sup>,e</sup> | 32723825 | 320320 |
| Life Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-BMR, 4.89% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 03/15/38<sup>◊</sup><sup>,a</sup> | 101460 | 100445 |
| **Total Commercial Mortgage-Backed Securities** |  | 9044889 |
| **GOVERNMENT AGENCY - 1.9%** |  |  |
| Freddie Mac |  |  |
| &nbsp;&nbsp;&nbsp;5.00% due 07/25/55<sup>d</sup> | 1000000 | 998832 |
| Fannie Mae |  |  |
| &nbsp;&nbsp;&nbsp;6.50% due 04/25/49 | 486468 | 490473 |
| &nbsp;&nbsp;&nbsp;5.00% due 05/25/52 | 245764 | 245154 |
| Ginnie Mae |  |  |
| &nbsp;&nbsp;&nbsp;4.50% due 02/20/56 | 644230 | 631407 |
| **Total Government Agency** |  | 2365866 |
| **Total Collateralized Mortgage Obligations** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $43,306,965) |  | 41736277 |
| **ASSET-BACKED SECURITIES - 22.6%** |  |  |
| **COLLATERALIZED LOAN OBLIGATIONS - 12.3%** |  |  |
| BXMT Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2020-FL2 AS, 5.19% (1 Month Term SOFR + 1.51%, Rate Floor: 1.51%) due 02/15/38<sup>◊</sup><sup>,a</sup> | 2500000 | 2492564 |
| &nbsp;&nbsp;&nbsp;2026-FL6 AS, 5.43% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 08/19/43<sup>◊</sup><sup>,a</sup> | 100000 | 99199 |
| FS Rialto |  |  |
| &nbsp;&nbsp;&nbsp;2021-FL3 B, 5.59% (1 Month Term SOFR + 1.91%, Rate Floor: 1.91%) due 11/16/36<sup>◊</sup><sup>,a</sup> | 2000000 | 1996846 |
| Owl Rock CLO IV Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2020-4A A1R, 5.52% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 08/20/33<sup>◊</sup><sup>,a</sup> | 1654712 | 1653311 |
| STWD LLC |  |  |
| &nbsp;&nbsp;&nbsp;2025-FL4 AS, 5.38% (1 Month Term SOFR + 1.70%, Rate Floor: 1.70%) due 11/19/42<sup>◊</sup><sup>,a</sup> | 1250000 | 1243775 |
| Cerberus Loan Funding XXXII, LP |  |  |
| &nbsp;&nbsp;&nbsp;2021-2A A, 5.55% (3 Month Term SOFR + 1.88%, Rate Floor: 1.88%) due 04/22/33<sup>◊</sup><sup>,a</sup> | 840999 | 841671 |
| Madison Park Funding XLVIII Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-48A BR, 5.22% (3 Month Term SOFR + 1.55%, Rate Floor: 1.55%) due 01/19/39<sup>◊</sup><sup>,a</sup> | 650000 | 649321 |
| PFP Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2026-13 AS, 5.33% (1 Month Term SOFR + 1.65%, Rate Floor: 1.65%) due 08/18/43<sup>◊</sup><sup>,a</sup> | 650000 | 648882 |
| ACRES Commercial Realty Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-FL4 AS, 5.38% (1 Month Term SOFR + 1.70%, Rate Floor: 1.70%) due 08/18/44<sup>◊</sup><sup>,a</sup> | 650000 | 648314 |
| Cerberus Loan Funding 53 LLC |  |  |
| &nbsp;&nbsp;&nbsp;2025-4A B, 5.43% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 01/15/38<sup>◊</sup><sup>,a</sup> | 650000 | 647947 |
| Acrec LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-FL4 AS, 5.28% (1 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 01/18/43<sup>◊</sup><sup>,a</sup> | 650000 | 647918 |
| KKR CLO 16 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;16 A2R3, 5.27% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 10/20/34<sup>◊</sup><sup>,a</sup> | 650000 | 647712 |
| Owl Rock CLO XXIV LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-24A A, 5.06% (3 Month Term SOFR + 1.39%, Rate Floor: 1.39%) due 01/22/38<sup>◊</sup><sup>,a</sup> | 600000 | 597154 |
| Hlend CLO LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-5A A2, 5.21% (3 Month Term SOFR + 1.55%, Rate Floor: 1.55%) due 04/15/39<sup>◊</sup><sup>,a</sup> | 300000 | 299999 |
| &nbsp;&nbsp;&nbsp;2025-3A A, 5.07% (3 Month Term SOFR + 1.40%, Rate Floor: 1.40%) due 01/20/37<sup>◊</sup><sup>,a</sup> | 250000 | 248952 |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND II** |  |

---

---

| | | |
|:---|:---|:---|
| | **FACE**<br> **AMOUNT** | **VALUE** |
| **ASSET-BACKED SECURITIES - 22.6% (continued)** |  |  |
| **COLLATERALIZED LOAN OBLIGATIONS - 12.3% (continued)** |  |  |
| THL Credit Lake Shore MM CLO I Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2019-1A A1R, 5.63% (3 Month Term SOFR + 1.96%, Rate Floor: 1.70%) due 04/15/33<sup>◊</sup><sup>,a</sup> | $540291 | $541632 |
| CIFC Funding Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2015-4A A2R3, 5.09% (3 Month Term SOFR + 1.45%, Rate Floor: 1.45%) due 01/17/39<sup>◊</sup><sup>,a</sup> | 500000 | 497504 |
| Golub Capital Partners CLO 49M Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2020-49A A2R2, 5.35% (3 Month Term SOFR + 1.68%, Rate Floor: 1.68%) due 07/20/38<sup>◊</sup><sup>,a</sup> | 300000 | 300017 |
| AREIT Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2025-CRE11 AS, 5.43% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 07/25/43<sup>◊</sup><sup>,a</sup> | 300000 | 299019 |
| LRECS LLC |  |  |
| &nbsp;&nbsp;&nbsp;2025-CRE1 AS, 5.43% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 08/19/43<sup>◊</sup><sup>,a</sup> | 200000 | 199587 |
| GS REFT Issuer Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2026-FL1 A, 5.17% (1 Month Term SOFR + 1.50%, Rate Floor: 1.50%) due 04/19/43<sup>◊</sup><sup>,a</sup> | 150000 | 150000 |
| Eldridge CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2025-2A A2, 5.09% (3 Month Term SOFR + 1.45%, Rate Floor: 1.45%) due 01/20/39<sup>◊</sup><sup>,a</sup> | 150000 | 149252 |
| FS Rialto Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-FL11 AS, 5.33% (1 Month Term SOFR + 1.65%, Rate Floor: 1.65%) due 01/19/44<sup>◊</sup><sup>,a</sup> | 100000 | 99658 |
| Sound Point CLO XIX Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2018-1A A, 4.93% (3 Month Term SOFR + 1.26%) due 04/15/31<sup>◊</sup><sup>,a</sup> | 62104 | 62057 |
| **Total Collateralized Loan Obligations** |  | 15662291 |
| **NET LEASE - 2.8%** |  |  |
| Oak Street Investment Grade Net Lease Fund |  |  |
| &nbsp;&nbsp;&nbsp;2020-1A, 1.85% due 11/20/50<sup>a</sup> | 2694066 | 2452376 |
| CF Hippolyta Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.98% due 03/15/61<sup>a</sup> | 942448 | 574122 |
| Capital Automotive REIT |  |  |
| &nbsp;&nbsp;&nbsp;2024-2A, 4.90% due 05/15/54<sup>a</sup> | 563000 | 562703 |
| **Total Net Lease** |  | 3589201 |
| **TRANSPORT-CONTAINER - 2.4%** |  |  |
| Triton Container Finance VIII LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.86% due 03/20/46<sup>a</sup> | 1725000 | 1593911 |
| Textainer Marine Containers VII Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.68% due 02/20/46<sup>a</sup> | 593333 | 557589 |
| &nbsp;&nbsp;&nbsp;2020-1A, 2.73% due 08/21/45<sup>a</sup> | 215804 | 208034 |
| CLI Funding VIII LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.64% due 02/18/46<sup>a</sup> | 739239 | 685315 |
| **Total Transport-Container** |  | 3044849 |
| **SINGLE FAMILY RESIDENCE - 2.0%** |  |  |
| STAR Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-SFR6, 5.07% (1 Month Term SOFR + 1.40%, Rate Floor: 1.40%) due 08/17/42<sup>◊</sup><sup>,a</sup> | 750000 | 750000 |
| &nbsp;&nbsp;&nbsp;2026-SFR7, 5.38% (1 Month Term SOFR + 1.70%, Rate Floor: 1.70%) due 05/17/43<sup>◊</sup><sup>,a</sup> | 300000 | 300000 |
| FirstKey Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-SFR1, 4.49% due 05/19/39<sup>a</sup> | 750000 | 745566 |
| Progress Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-SFR6, 4.00% due 12/17/42<sup>a</sup> | 650000 | 613617 |
| Tricon Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-SFR2, 5.42% due 08/17/44<sup>a</sup> | 174826 | 173539 |
| **Total Single Family Residence** |  | 2582722 |
| **TRANSPORT-AIRCRAFT - 1.4%** |  |  |
| Lunar Structured Aircraft Portfolio Notes |  |  |
| &nbsp;&nbsp;&nbsp;2021-1, 2.64% due 10/15/46<sup>a</sup> | 673365 | 639494 |
| Slam Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 2.43% due 06/15/46<sup>a</sup> | 515900 | 489066 |
| Castlelake Aircraft Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;2018-1, 4.13% due 06/15/43<sup>a</sup> | 275029 | 273659 |
| MAPS Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-1A, 5.20% due 01/15/51<sup>a</sup> | 246970 | 241241 |
| FTAI Aircraft Leasing Offshore SPV, LP |  |  |
| &nbsp;&nbsp;&nbsp;due 03/27/31<sup>f</sup> | 147373 | 147373 |
| **Total Transport-Aircraft** |  | 1790833 |
| **INFRASTRUCTURE - 1.4%** |  |  |
| Aligned Data Centers Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.94% due 08/15/46<sup>a</sup> | 1233000 | 1220408 |

---

6 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND II** |  |

---

---

| | | |
|:---|:---|:---|
| | **FACE** <br> **AMOUNT** | **VALUE** |
| **ASSET-BACKED SECURITIES - 22.6% (continued)** |  |  |
| **INFRASTRUCTURE - 1.4% (continued)** |  |  |
| VB-S1 Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-1A, 4.69% due 03/15/56<sup>a</sup> | $500000 | $491272 |
| **Total Infrastructure** |  | 1711680 |
| **FINANCIAL - 0.2%** |  |  |
| Ceamer Finance LLC |  |  |
| &nbsp;&nbsp;&nbsp;6.17% (WAC) due 12/15/40<sup>d</sup> | 300000 | 298378 |
| **UNSECURED CONSUMER LOANS - 0.1%** |  |  |
| GreenSky Home Improvement Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-3A, 4.86% due 12/27/60<sup>a</sup> | 150000 | 149508 |
| **Total Asset-Backed Securities** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $29,667,681) |  | 28829462 |
| **REPURCHASE AGREEMENTS<sup>g</sup> - 4.1%** |  |  |
| **Bank of America Securities, Inc. issued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;03/31/26 at 3.65% due 04/01/26 | 1732320 | 1732320 |
| J.P. Morgan Securities LLC issued |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;03/31/26 at 3.66% due 04/01/26 | 1443600 | 1443600 |
| BNP Paribas issued |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;03/31/26 at 3.65% due 04/01/26 | 1299240 | 1299240 |
| Bank of Montreal issued |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;03/31/26 at 3.63% due 04/01/26 | 750672 | 750672 |
| **Total Repurchase Agreements** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $5,225,832) |  | 5225832 |
| **SENIOR FLOATING RATE INTERESTS - 0.6%** |  |  |
| **FINANCIAL - 0.5%** |  |  |
| Citadel Securities Global Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;5.70% (3 Month Term SOFR + 2.00%) due 10/31/31<sup>◊</sup> | 323431 | 323612 |
| Jane Street Group LLC |  |  |
| &nbsp;&nbsp;&nbsp;5.67% (3 Month Term SOFR + 2.00%) due 12/15/31<sup>◊</sup> | 293041 | 287348 |
| **Total Financial** |  | 610960 |
| **TECHNOLOGY - 0.1%** |  |  |
| World Wide Technology Holding Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;5.67% (1 Month Term SOFR + 2.00%, Rate Floor: 0.50%) due 03/01/30<sup>◊</sup> | 218142 | 216916 |
| **Total Senior Floating Rate Interests** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $833,259) |  | 827876 |
| **U.S. TREASURY BILLS - 0.6%** |  |  |
| U.S. Treasury Bills |  |  |
| &nbsp;&nbsp;&nbsp;3.65% due 04/14/26<sup>h,i</sup> | 750000 | 749013 |
| **Total U.S. Treasury Bills** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $749,013) |  | 749013 |

---

---

| | | |
|:---|:---|:---|
| | **CONTRACTS/<br> NOTIONAL <br> VALUE** | |
| **OTC INTEREST RATE SWAPTIONS PURCHASED<sup>j</sup> - 0.0%** |  |  |
| **Call Swaptions on:** |  |  |
| **Interest Rate Swaptions** |  |  |
| &nbsp;&nbsp;&nbsp;Morgan Stanley Capital Services LLC 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.38% | 489000 | 2678 |
| &nbsp;&nbsp;&nbsp;Citibank, N.A. 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.43% | 437000 | 2011 |
| &nbsp;&nbsp;&nbsp;JPMorgan Chase Bank, N.A. 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.43% | 326000 | 1490 |
| &nbsp;&nbsp;&nbsp;Barclays Bank plc 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.38% | 271000 | 1484 |
| &nbsp;&nbsp;&nbsp;Bank of America, N.A. 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.25% | 272000 | 1245 |
| &nbsp;&nbsp;&nbsp;Barclays Bank plc 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.25% | 272000 | 1245 |
| &nbsp;&nbsp;&nbsp;BNP Paribas 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.30% | 327000 | 1214 |
| &nbsp;&nbsp;&nbsp;The Toronto-Dominion Bank 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.43% | 214000 | 985 |
| &nbsp;&nbsp;&nbsp;Bank of America, N.A. 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.38% | 163000 | 891 |
| &nbsp;&nbsp;&nbsp;Barclays Bank plc 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.38% | 163000 | 891 |
| &nbsp;&nbsp;&nbsp;The Toronto-Dominion Bank 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.43% | 163000 | 745 |
| &nbsp;&nbsp;&nbsp;The Toronto-Dominion Bank 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.30% | 163000 | 605 |
| **Total OTC Interest Rate Swaptions Purchased** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $15,348) |  | 15484 |
| **Total Investments - 96.8%** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $125,973,769) |  | $123670240 |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND II** |  |

---

---

| | | |
|:---|:---|:---|
| | **CONTRACTS/<br> NOTIONAL <br> VALUE** | **VALUE** |
| **OTC INTEREST RATE SWAPTIONS WRITTENj - (0.0)%** |  |  |
| **Put Swaptions on:** |  |  |
| **Interest Rate Swaptions** |  |  |
| &nbsp;&nbsp;&nbsp;The Toronto-Dominion Bank 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.95% | 163000 | $(474) |
| &nbsp;&nbsp;&nbsp;The Toronto-Dominion Bank 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.95% | 163000 | (475) |
| &nbsp;&nbsp;&nbsp;Bank of America, N.A. 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.95% | 163000 | (619) |
| &nbsp;&nbsp;&nbsp;Barclays Bank plc 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.95% | 163000 | (619) |
| &nbsp;&nbsp;&nbsp;The Toronto-Dominion Bank 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.95% | 214000 | (627) |
| &nbsp;&nbsp;&nbsp;JPMorgan Chase Bank, N.A. 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.95% | 326000 | (947) |
| &nbsp;&nbsp;&nbsp;BNP Paribas 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.95% | 327000 | (953) |
| &nbsp;&nbsp;&nbsp;Bank of America, N.A. 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.95% | 272000 | (1035) |
| &nbsp;&nbsp;&nbsp;Citibank, N.A. 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.95% | 437000 | (1269) |
| &nbsp;&nbsp;&nbsp;Morgan Stanley Capital Services LLC 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.95% | 489000 | (1861) |
| &nbsp;&nbsp;&nbsp;Barclays Bank plc 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.95% | 543000 | (2067) |
| **Total Interest Rate Swaptions** |  | (10946) |
| **Total OTC Interest Rate Swaptions Written** |  |  |
| &nbsp;&nbsp;&nbsp;(Premium received $14,559) |  | (10946) |
| **Other Assets & Liabilities, net - 3.2%** |  | 4068553 |
| **Total Net Assets - 100.0%** |  | $127727847 |

---

---

| | |
|:---|:---|
| *<sup>◊</sup>* | *Variable rate security. Rate indicated is the rate effective at March 31, 2026. 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.* |
| *<sup>a</sup>* | *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) liquid securities is $89,873,554 (cost $91,397,858), or 70.4% of total net assets.* |
| *<sup>b</sup>* | *Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.* |
| *<sup>c</sup>* | *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 March 31, 2026. See table below for additional step information for each security.* |
| *<sup>d</sup>* | *Value determined based on Level 3 inputs — See Note 4.* |
| *<sup>e</sup>* | *Security is an interest-only strip.* |
| *<sup>f</sup>* | *Security has no stated coupon.* |
| *<sup>g</sup>* | *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.* |
| *<sup>h</sup>* | *Rate indicated is the effective yield at the time of purchase.* |
| *<sup>i</sup>* | *All or a portion of this security is pledged as interest rate swap collateral at March 31, 2026.* |
| *<sup>j</sup>* | *Swaptions — See additional disclosure in the swaptions table below for more information on swaptions.* |

---

---

| |
|:---|
| LLC — Limited Liability Company |
| plc — Public Limited Company |
| REIT — Real Estate Investment Trust |
| SOFR — Secured Overnight Financing Rate |
| WAC — Weighted Average Coupon |

---

See Sector Classification in Other Information section.

8 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND II** |  |

---

**Futures Contracts**

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Description** |<br>**Number of**<br>**Contracts** | <br>**Expiration**<br>**Date** |<br>**Notional**<br>**Amount** | **Value and**<br>**Unrealized**<br>**Appreciation**<br>**(Depreciation)<sup>a</sup>** |
| **Interest Rate Futures Contracts Purchased** |  |  |  |  |
| 3-Month SOFR Futures Contracts | 26 | Dec 2027 | $6278675 | $(25804) |
| **Interest Rate Futures Contracts Sold Short** |  |  |  |  |
| 3-Month SOFR Futures Contracts | 26 | Dec 2026 | 6263725 | $34351 |

---

**Centrally Cleared Interest Rate Swap Agreements**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Floating**<br> **Rate Type** | **Floating<br> Rate Index** | **Fixed**<br> **Rate** | **Payment**<br> **Frequency** | **Maturity**<br> **Date** | **Notional**<br> **Amount** | **Value** | **Upfront**<br> **Premiums**<br> **Paid** | **Unrealized**<br> **Appreciation**<br> **(Depreciation)<sup>a</sup>** |
| Bank of America Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 3.61% | Annually | 04/02/36 | $4000000 | $2922 | $— | $2922 |
| Bank of America Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 3.72% | Annually | 04/02/33 | 1500000 | 1066 |  | 1066 |
| Bank of America Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 3.86% | Annually | 04/02/36 | 500000 | 438 |  | 438 |
| Bank of America Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 4.28% | Annually | 06/14/27 | 26500000 | (218821) | 116 | (218937) |
|  |  |  |  |  |  |  | $(214395) | $116 | $(214511) |

---

**OTC Interest Rate Swaptions Purchased**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty/ Description** | **Floating**<br> **Rate Type** | **Floating**<br> **Rate Index** | **Payment**<br> **Frequency** | **Fixed**<br> **Rate** | **Expiration**<br> **Date** | **Exercise**<br> **Rate** | **Swaption**<br> **Notional**<br> **Amount** | **Swaption**<br> **Value** |
| **Call** |  |  |  |  |  |  |  |  |
| Morgan Stanley Capital Services LLC 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.38% | 12/28/26 | 3.38% | $489000 | $2678 |
| Citibank, N.A. 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.43% | 09/28/26 | 3.43% | 437000 | 2011 |
| JPMorgan Chase Bank, N.A. 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.43% | 09/24/26 | 3.43% | 326000 | 1490 |
| Barclays Bank plc 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.38% | 12/28/26 | 3.38% | 271000 | 1484 |
| Barclays Bank plc 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.25% | 12/28/26 | 3.25% | 272000 | 1245 |
| Bank of America, N.A. 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.25% | 12/28/26 | 3.25% | 272000 | 1245 |
| BNP Paribas 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.30% | 09/25/26 | 3.30% | 327000 | 1214 |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND II** |  |

---

**OTC Interest Rate Swaptions Purchased (continued)** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty/ Description** | **Floating**<br> **Rate Type** | **Floating**<br> **Rate Index** | **Payment**<br> **Frequency** | **Fixed**<br> **Rate** | **Expiration**<br> **Date** | **Exercise Rate** | **Swaption**<br> **Notional**<br> **Amount** | **Swaption**<br> **Value** |
| The Toronto-Dominion Bank 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.43% | 09/28/26 | 3.43% | $214000 | $985 |
| Barclays Bank plc 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.38% | 12/24/26 | 3.38% | 163000 | 891 |
| Bank of America, N.A. 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.38% | 12/24/26 | 3.38% | 163000 | 891 |
| The Toronto-Dominion Bank 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.43% | 09/24/26 | 3.43% | 163000 | 745 |
| The Toronto-Dominion Bank 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.30% | 09/25/26 | 3.30% | 163000 | 605 |
|  |  |  |  |  |  |  |  | $15484 |

---

**OTC Interest Rate Swaptions Written**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty/ Description** | **Floating**<br> **Rate Type** | **Floating**<br> **Rate Index** | **Payment Frequency** | **Fixed**<br> **Rate** | **Expiration**<br> **Date** | **Exercise Rate** | **Swaption<br> Notional<br> Amount** | **Swaption**<br> **Value** |
| **Put** |  |  |  | |  | | | |
| The Toronto-Dominion Bank 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 09/24/26 | 3.95% | $163000 | $(474) |
| The Toronto-Dominion Bank 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 09/25/26 | 3.95% | 163000 | (475) |
| Barclays Bank plc 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 12/24/26 | 3.95% | 163000 | (619) |
| Bank of America, N.A. 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 12/24/26 | 3.95% | 163000 | (619) |
| The Toronto-Dominion Bank 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 09/28/26 | 3.95% | 214000 | (627) |
| JPMorgan Chase Bank, N.A. 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 09/24/26 | 3.95% | 326000 | (947) |
| BNP Paribas 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 09/25/26 | 3.95% | 327000 | (953) |
| Bank of America, N.A. 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 12/28/26 | 3.95% | 272000 | (1035) |
| Citibank, N.A. 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 09/24/26 | 3.95% | 437000 | (1269) |

---

10 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND II** |  |

---

**OTC Interest Rate Swaptions Written (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty/ Description** | **Floating**<br> **Rate Type** | **Floating**<br> **Rate Index** | **Payment**<br> **Frequency** | **Fixed**<br> **Rate** | **Expiration**<br> **Date** | **Exercise**<br> **Rate** | **Swaption**<br> **Notional**<br> **Amount** | **Swaption**<br> **Value** |
| Morgan Stanley Capital Services LLC 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 12/28/26 | 3.95% | $489000 | $(1861) |
| Barclays Bank plc 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 12/28/26 | 3.95% | 543000 | (2067) |
|  |  |  |  |  |  |  |  | $(10946) |

---

---

| | |
|:---|:---|
| *<sup>a</sup>* | *Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.* |
|  | CME — Chicago Mercantile Exchange |
|  | SOFR — Secured Overnight Financing Rate |

---

The following table summarizes the inputs used to value the Fund's investments at March 31, 2026 (See Note 4 in the Notes to Financial Statements):

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Investments in Securities (Assets)** |<br>**Level 1**<br>**Quoted**<br>**Prices** | **Level 2**<br>**Significant**<br>**Observable**<br>**Inputs** | **Level 3**<br>**Significant**<br>**Unobservable**<br>**Inputs** |<br><br>**Total** |
| Preferred Stocks | $— | $198639 | $— | $198639 |
| Corporate Bonds |  | 46087657 |  | 46087657 |
| Collateralized Mortgage Obligations |  | 40685494 | 1050783 | 41736277 |
| Asset-Backed Securities |  | 28531084 | 298378 | 28829462 |
| Repurchase Agreements |  | 5225832 |  | 5225832 |
| Senior Floating Rate Interests |  | 827876 |  | 827876 |
| U.S. Treasury Bills |  | 749013 |  | 749013 |
| Interest Rate Swaptions Purchased |  | 15484 |  | 15484 |
| Interest Rate Futures Contracts<sup>a</sup> | 34351 |  |  | 34351 |
| Interest Rate Swap Agreements<sup>a</sup> |  | 4426 |  | 4426 |
| Total Assets | $34351 | $122325505 | $1349161 | $123709017 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Investments in Securities (Liabilities)** |<br>**Level 1**<br>**Quoted**<br>**Prices** | **Level 2**<br>**Significant**<br>**Observable**<br>**Inputs** | **Level 3**<br>**Significant**<br>**Unobservable**<br>**Inputs** |<br><br>**Total** |
| Interest Rate Swaptions Written | $— | $10946 | $— | $10946 |
| Interest Rate Futures Contracts<sup>a</sup> | 25804 |  |  | 25804 |
| Interest Rate Swap Agreements<sup>a</sup> |  | 218937 |  | 218937 |
| Total Liabilities | $25804 | $229883 | $— | $255687 |

---

 

*<sup>a</sup>* *Reported as unrealized appreciation/depreciation at period end.*

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Category** | **Ending Balance at**<br> **March 31, 2026** | **Valuation Technique** | **Unobservable Inputs** | **Input Range** | **Weighted**<br> **Average** |
| **Assets:** |  |  |  |  |  |
| <br> Asset-Backed Securities | $298378 | Option adjusted spread off prior month end broker quote | Broker Quote |  |  |
| Collateralized Mortgage Obligations | 998832 | Third Party Pricing | Trade Price |  |  |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND II** |  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Category** | **Ending Balance at**<br> **March 31, 2026** | **Valuation Technique** | **Unobservable Inputs** | **Input Range** | **Weighted**<br> **Average** |
| Collateralized Mortgage Obligations | $51951 | Third Party Pricing | Vendor Price |  |  |
| Total Assets | $1349161 |  |  |  |  |

---

Significant changes in a quote would generally result in significant changes in the fair value of the security.

The Fund's fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment's valuation changes. For the period ended March 31, 2026, the Fund had securities with a total value of $51,951 transfer into Level 3 from Level 2 due to a lack of observable inputs and did not have any securities transfer out of Level 3 into Level 2.

**Summary of Fair Value Level 3 Activity**

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended March 31, 2026:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Beginning**<br> **Balance** | **Purchases/**<br> **(Receipts)** | **(Sales,**<br> **maturities and**<br> **paydowns)/**<br> **Fundings** | **Total realized**<br> **gains (losses)**<br> **included in**<br> **earnings** |
| **Assets** |  |  |  |  |
| Asset-Backed Securities | $209826 | $300000 | $(210499) | $— |
| Collateralized Mortgage Obligations |  | 1003698 | (4167) |  |
| **Total Assets** | $209826 | $1303698 | $(214666) | $— |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Total change**<br> **in unrealized**<br> **appreciation**<br> **(depreciation)**<br> **included in**<br> **earnings** | **Transfers into**<br> **Level 3** | **Ending Balance** | **Net change in**<br> **unrealized**<br> **appreciation**<br> **(depreciation) for**<br> **investments in**<br> **Level 3 securities**<br> **still held at**<br> **March 31, 2026** |
| **Assets** |  |  |  |  |
| Asset-Backed Securities | $(949) | $— | $298378 | $(1622) |
| Collateralized Mortgage Obligations | (699) | 51951 | 1050783 | (699) |
| **Total Assets** | $(1648) | $51951 | $1349161 | $(2321) |

---

**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** <br> **Next Reset Date** | **Next Rate Reset**<br> **Date** |
| Angel Oak Mortgage Trust 2025-12, 5.14% due 12/25/70 | 6.14% | 11/01/29 |
| Angel Oak Mortgage Trust 2024-4, 6.20% due 01/25/69 | 7.20% | 03/01/28 |
| Archwest Mortgage Trust 2025-RTL1, 5.20% due 10/25/40 | 6.16% | 04/25/28 |

---

12 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND II** |  |

---

---

| | | |
|:---|:---|:---|
| **Name** | **Coupon Rate at** <br> **Next Reset Date** | **Next Rate Reset**<br> **Date** |
| Barclays Mortgage Loan Trust 2026-CES1, 4.85% due 01/25/56 | 5.85% | 02/01/30 |
| COLT Mortgage Loan Trust 2023-3, 7.18% due 09/25/68 | 8.18% | 09/01/27 |
| Cross Mortgage Trust 2026-NQM1, 4.95% due 02/25/61 | 5.95% | 01/01/30 |
| 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 |
| JP Morgan Mortgage Trust 2026-CES1, 4.91% due 06/25/56 | 5.91% | 01/01/30 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM9, 5.22% due 09/25/70 | 6.22% | 11/01/29 |
| NYMT Loan Trust 2026-INV2, 5.63% due 04/25/61 | 6.63% | 03/01/30 |
| OBX Trust 2025-R1, 5.09% due 09/25/62 | 6.09% | 11/01/29 |
| OBX Trust 2024-NQM8, 6.23% due 05/25/64 | 7.23% | 05/01/28 |
| OBX Trust 2024-NQM1, 6.25% due 11/25/63 | 7.25% | 12/01/27 |
| 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 |
| OBX Trust 2024-NQM6, 6.45% due 02/25/64 | 7.45% | 04/01/28 |
| PRPM LLC 2026-2, 5.09% due 02/25/31 | 8.09% | 02/01/29 |
| Towd Point Mortgage Trust 2026-CES1, 4.96% due 01/25/66 | 6.13% | 01/01/30 |
| Verus Securitization Trust 2025-12, 5.37% due 12/25/70 | 6.37% | 12/01/29 |

---

**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 March 31, 2026, the repurchase agreements in the account were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Counterparty and Terms of Agreement** | **Face Value** | **Repurchase** <br> **Price** | **Collateral** | **Par Value** | **Fair Value** |
| Bank of America Securities, Inc. <br>3.65% Due 04/01/2026 | $1732320 | $1732496 | U.S. Treasury Bond 1.38%<br> Due 11/15/40 | $800 | $518 |
|  |  |  | U.S. Treasury Note 2.75%<br> Due 07/31/27 | 100 | 99 |
|  |  |  | U.S. Treasury Strips 0.00%<br> Due 08/15/28 - 11/15/33 | 1936670 | 1766350 |
|  |  |  |  | 1937570 | 1766967 |
| J.P. Morgan Securities LLC 3.66% <br> Due 04/01/2026 | 1443600 | 1443747 | U.S. Treasury Note 3.88%<br> Due 03/31/28 | 1470600 | 1472712 |
| BNP Paribas 3.65%<br> Due 04/01/2026 | 1299240 | 1299372 | U.S. Treasury Inflation-Protected Security 1.88%<br> Due 07/15/34 | 937600 | 980120 |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (concluded) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND II** |  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Counterparty and <br> Terms of Agreement** | **Face Value** | **Repurchase**<br> **Price** | **Collateral** | **Par Value** | **Fair Value** |
|  |  |  | U.S. Treasury Note 3.63%<br> - 4.25% Due 01/31/29<br> - 07/31/31 | $27800 | $27522 |
|  |  |  | U.S. Treasury Strips 0.00%<br> Due 08/15/26 - 05/15/49 | 870821 | 317815 |
|  |  |  |  | 1836221 | 1325457 |
| Bank of Montreal 3.63%<br> Due 04/01/2026 | $750672 | $750748 | U.S. Treasury Bond 4.63%<br> Due 11/15/45 | 780500 | 765778 |

---

14 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| |
|:---|
| **STATEMENT OF ASSETS AND LIABILITIES** (Unaudited) |
| **GUGGENHEIM STRATEGY FUND II** |

---

March 31, 2026

---

| | |
|:---|:---|
| **ASSETS:** | |
| Investments, at value (cost $120,747,937) | $118444408 |
| Repurchase agreements, at value (cost $5,225,832) | 5225832 |
| Foreign currency, at value (cost $581) | 556 |
| Cash | 5031713 |
| Segregated cash due from broker | 10000 |
| Prepaid expenses | 3035 |
| Receivables: |  |
| &nbsp;&nbsp;&nbsp;Interest | 1012042 |
| &nbsp;&nbsp;&nbsp;Investments sold | 949357 |
| &nbsp;&nbsp;&nbsp;Foreign tax reclaims | 8650 |
| **Total assets** | 130685593 |
| **LIABILITIES:** |  |
| Options written, at value (premiums received $14,559) | 10946 |
| Payable for: |  |
| &nbsp;&nbsp;&nbsp;Investments purchased | 2614559 |
| &nbsp;&nbsp;&nbsp;Distributions to shareholders | 231340 |
| &nbsp;&nbsp;&nbsp;Variation margin on interest rate swap agreements | 17445 |
| &nbsp;&nbsp;&nbsp;Transfer agent fees | 3452 |
| &nbsp;&nbsp;&nbsp;Variation margin on futures contracts | 975 |
| &nbsp;&nbsp;&nbsp;Fund accounting | 58 |
| &nbsp;&nbsp;&nbsp;Other liabilities | 78971 |
| **Total liabilities** | 2957746 |
| **NET ASSETS** | $127727847 |
| **NET ASSETS CONSIST OF:** |  |
| Paid-in capital | $132416839 |
| Total distributable earnings (loss) | (4688992) |
| Net assets | $127727847 |
| Capital shares outstanding | 5163031 |
| Net asset value per share | $24.74 |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| |
|:---|
| **STATEMENT OF OPERATIONS** (Unaudited) |
| **GUGGENHEIM STRATEGY FUND II** |

---

Six Months Ended March 31, 2026

---

| | |
|:---|:---|
| **INVESTMENT INCOME:** | |
| Interest (net of foreign withholding tax of $300) | $3366515 |
| &nbsp;&nbsp;&nbsp;Total investment income | 3366515 |
| **EXPENSES:** |  |
| Professional fees | 68941 |
| Fund accounting fees | 16169 |
| Trustees' fees and expenses\* | 14546 |
| Custodian fees | 11328 |
| Insurance | 7271 |
| Transfer agent fees | 5984 |
| Miscellaneous | 12862 |
| &nbsp;&nbsp;&nbsp;Total expenses | 137101 |
| Net expenses | 137101 |
| Net investment income | 3229414 |
| **Net Realized and Unrealized Gain (Loss):** |  |
| Net realized gain (loss) on: |  |
| &nbsp;&nbsp;&nbsp;Investments | 47358 |
| &nbsp;&nbsp;&nbsp;Swap agreements | (237724) |
| &nbsp;&nbsp;&nbsp;Foreign currency transactions | 58 |
| Net realized loss | (190308) |
| Net change in unrealized appreciation (depreciation) on: |  |
| &nbsp;&nbsp;&nbsp;Investments | (1136815) |
| &nbsp;&nbsp;&nbsp;Swap agreements | 522420 |
| &nbsp;&nbsp;&nbsp;Futures contracts | 8547 |
| &nbsp;&nbsp;&nbsp;Options purchased | 136 |
| &nbsp;&nbsp;&nbsp;Options written | 3613 |
| &nbsp;&nbsp;&nbsp;Foreign currency translations | (71) |
| Net change in unrealized appreciation (depreciation) | (602170) |
| Net realized and unrealized loss | (792478) |
| **Net increase in net assets resulting from operations** | $2436936 |

---

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

16 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| |
|:---|
| **STATEMENTS OF CHANGES IN NET ASSETS** |
| **GUGGENHEIM STRATEGY FUND II** |

---

---

| | | |
|:---|:---|:---|
| | **Six Months Ended<br> March 31, 2026 <br> (Unaudited)** | **Year Ended<br> September 30, 2025** |
| **INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:** |  |  |
| Net investment income | $3229414 | $9145164 |
| Net realized gain (loss) on investments | (190308) | 584582 |
| Net change in unrealized appreciation (depreciation) on investments | (602170) | 57994 |
| Net increase in net assets resulting from operations | 2436936 | 9787740 |
| Distributions to shareholders | (3144402) | (9358512) |
| **CAPITAL SHARE TRANSACTIONS:** |  |  |
| Proceeds from sale of shares |  | 40306400 |
| Distributions reinvested | 1705864 | 6025476 |
| Cost of shares redeemed | (430000) | (225571475) |
| Net increase (decrease) from capital share transactions | 1275864 | (179239599) |
| Net increase (decrease) in net assets | 568398 | (178810371) |
| **NET ASSETS:** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of period | 127159449 | 305969820 |
| &nbsp;&nbsp;&nbsp;End of period | $127727847 | $127159449 |
| **CAPITAL SHARE ACTIVITY:** |  |  |
| Shares sold |  | 1625838 |
| Shares issued from reinvestment of distributions | 68718 | 242524 |
| Shares redeemed | (17315) | (9092152) |
| Net increase (decrease) in shares | 51403 | (7223790) |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| |
|:---|
| **FINANCIAL HIGHLIGHTS** |
| **GUGGENHEIM STRATEGY FUND II** |

---

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Six Months**<br> **Ended**<br> **03/31/2026<sup>a</sup>** | **Year Ended**<br> **09/30/2025** | **Year Ended**<br> **09/30/2024** | **Year Ended**<br> **09/30/2023** | **Year Ended**<br> **09/30/2022** | **Year Ended**<br> **09/30/2021** |
| **Per Share Data** |  |  |  |  |  |  |
| Net asset value, beginning of period | $24.88 | $24.80 | $24.27 | $23.96 | $24.99 | $24.97 |
| Income (loss) from investment operations: |  |  |  |  |  |  |
| Net investment income (loss)<sup>b</sup> | 0.63 | 1.33 | 1.33 | 1.15 | 0.49 | 0.35 |
| Net gain (loss) on investments (realized and unrealized) | (0.04) | 0.11 | 0.59 | 0.41 | (1.02) | 0.07 |
| Total from investment operations | 0.59 | 1.44 | 1.92 | 1.56 | (0.53) | 0.42 |
| Less distributions from: |  |  |  |  |  |  |
| Net investment income | (0.73) | (1.36) | (1.39) | (1.25) | (0.50) | (0.40) |
| Total distributions | (0.73) | (1.36) | (1.39) | (1.25) | (0.50) | (0.40) |
| Net asset value, end of period | $24.74 | $24.88 | $24.80 | $24.27 | $23.96 | $24.99 |
| **Total Return<sup>c</sup>** | **1.92%** | **5.95%** | **8.11%** | **6.62%** | **(2.08)%** | **1.68%** |
| **Ratios/Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (in thousands) | $127728 | $127159 | $305970 | $281344 | $287366 | $367122 |
| Ratios to average net assets: |  |  |  |  |  |  |
| Net investment income (loss) | 5.08% | 5.37% | 5.40% | 4.75% | 2.01% | 1.40% |
| Total expenses<sup>d</sup> | 0.22% | 0.17% | 0.10% | 0.13% | 0.10% | 0.10% |
| Net expenses | 0.22% | 0.17% | 0.10% | 0.13% | 0.10% | 0.10% |
| Portfolio turnover rate | 24% | 2% | 36% | 12% | 33% | 97% |

---

*<sup>a</sup>* *Unaudited figures for the period ended March 31, 2026. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.*

*<sup>b</sup>* *Net investment income (loss) per share was computed using average shares outstanding throughout the period.*

*<sup>c</sup>* *Total return does not reflect the impact of any applicable sales charges.*

*<sup>d</sup>* *Does not include expenses of the underlying funds in which the Fund invests, if any.*

18 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND III** |  |

---

---

| | | |
|:---|:---|:---|
| | **SHARES** | **VALUE** |
| **PREFERRED STOCKS - 0.1%** |  |  |
| **FINANCIAL - 0.1%** |  |  |
| Charles Schwab Corp. |  |  |
| &nbsp;&nbsp;&nbsp;4.00% | 200000 | $198640 |
| **Total Preferred Stocks** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $199,000) |  | 198640 |

---

---

| | | |
|:---|:---|:---|
|  | **FACE** <br> **AMOUNT** | |
| **COLLATERALIZED MORTGAGE OBLIGATIONS - 34.6%** | **COLLATERALIZED MORTGAGE OBLIGATIONS - 34.6%** | **COLLATERALIZED MORTGAGE OBLIGATIONS - 34.6%** |
| **RESIDENTIAL MORTGAGE-BACKED SECURITIES - 27.9%** | **RESIDENTIAL MORTGAGE-BACKED SECURITIES - 27.9%** | **RESIDENTIAL MORTGAGE-BACKED SECURITIES - 27.9%** |
| OBX Trust |  |  |
| &nbsp;&nbsp;&nbsp;2024-NQM5, 5.99% due 01/25/64<sup>a,b</sup> | $1748820 | 1758010 |
| &nbsp;&nbsp;&nbsp;2024-NQM8, 6.23% due 05/25/64<sup>a,b</sup> | 968588 | 976683 |
| &nbsp;&nbsp;&nbsp;2024-NQM6, 6.45% due 02/25/64<sup>a,b</sup> | 966849 | 975843 |
| &nbsp;&nbsp;&nbsp;2024-NQM7, 6.24% due 03/25/64<sup>a,b</sup> | 934870 | 942168 |
| &nbsp;&nbsp;&nbsp;2024-NQM1, 6.25% due 11/25/63<sup>a,b</sup> | 386217 | 387555 |
| &nbsp;&nbsp;&nbsp;2026-NQM5, 5.43% (WAC) due 01/25/66<sup>◊,a</sup> | 150000 | 149999 |
| &nbsp;&nbsp;&nbsp;2025-R1, 5.09% due 09/25/62<sup>a,b</sup> | 95977 | 95251 |
| GCAT Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-NQM3, 4.35% (WAC) due 04/25/67<sup>◊,a</sup> | 1388026 | 1319286 |
| &nbsp;&nbsp;&nbsp;2023-NQM2, 5.84% due 11/25/67<sup>a,b</sup> | 1038743 | 1035121 |
| &nbsp;&nbsp;&nbsp;2024-NQM2, 6.09% due 06/25/59<sup>a,b</sup> | 861229 | 867098 |
| &nbsp;&nbsp;&nbsp;2023-NQM3, 6.89% due 08/25/68<sup>a,b</sup> | 273350 | 275001 |
| &nbsp;&nbsp;&nbsp;2025-NQM4, 5.53% due 06/25/70<sup>a</sup> | 256477 | 257353 |
| Angel Oak Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-6, 1.71% (WAC) due 09/25/66<sup>◊,a</sup> | 933186 | 792604 |
| &nbsp;&nbsp;&nbsp;2023-1, 4.75% due 09/26/67<sup>a,b</sup> | 576740 | 574548 |
| &nbsp;&nbsp;&nbsp;2024-4, 6.20% due 01/25/69<sup>a,b</sup> | 543859 | 547782 |
| &nbsp;&nbsp;&nbsp;2022-1, 3.29% (WAC) due 12/25/66<sup>◊,a</sup> | 441623 | 400110 |
| &nbsp;&nbsp;&nbsp;2025-12, 5.14% due 12/25/70<sup>a,b</sup> | 192058 | 190622 |
| OSAT Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-RPL1, 6.12% due 05/25/65<sup>a</sup> | 2463592 | 2464973 |
| JP Morgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-12, 2.50% (WAC) due 02/25/52<sup>◊,a</sup> | 1064065 | 996032 |
| &nbsp;&nbsp;&nbsp;2026-VIS1, 4.79% (WAC) due 06/25/66<sup>◊,a</sup> | 744740 | 738519 |
| &nbsp;&nbsp;&nbsp;2026-CES1, 4.91% due 06/25/56<sup>a,b</sup> | 339631 | 336913 |
| Legacy Mortgage Asset Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-GS3, 5.75% due 07/25/61<sup>a</sup> | 842636 | 842904 |
| &nbsp;&nbsp;&nbsp;2021-GS4, 5.65% due 11/25/60<sup>a</sup> | 822509 | 823019 |
| &nbsp;&nbsp;&nbsp;2021-GS2, 5.75% due 04/25/61<sup>a</sup> | 316601 | 317155 |
| FIGRE Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-HE1, 4.98% (WAC) due 01/25/56<sup>◊,a</sup> | 481042 | 477089 |
| &nbsp;&nbsp;&nbsp;2026-HE1, 5.18% (WAC) due 01/25/56<sup>◊,a</sup> | 481042 | 476119 |
| &nbsp;&nbsp;&nbsp;2024-HE5, 5.44% (WAC) due 10/25/54<sup>◊,a</sup> | 351531 | 352991 |
| &nbsp;&nbsp;&nbsp;2025-HE8, 5.21% (WAC) due 11/25/55<sup>◊,a</sup> | 275210 | 273485 |
| &nbsp;&nbsp;&nbsp;2026-HE2, 5.05% (WAC) due 01/25/56<sup>◊,a</sup> | 147420 | 146204 |
| New Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-1A, 3.50% (WAC) due 10/25/59<sup>◊,a</sup> | 527517 | 493968 |
| &nbsp;&nbsp;&nbsp;2018-2A, 3.50% (WAC) due 02/25/58<sup>◊,a</sup> | 479334 | 456980 |
| &nbsp;&nbsp;&nbsp;2025-NQM3, 5.53% (WAC) due 05/25/65<sup>◊,a</sup> | 393957 | 395871 |
| &nbsp;&nbsp;&nbsp;2017-5A, 5.29% (1 Month Term SOFR + 1.61%, Rate Floor: 1.50%) due 06/25/57<sup>◊,a,c</sup> | 152071 | 151526 |
| Verus Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-5, 1.37% (WAC) due 09/25/66<sup>◊,a</sup> | 489718 | 424364 |
| &nbsp;&nbsp;&nbsp;2021-6, 1.89% (WAC) due 10/25/66<sup>◊,a</sup> | 483446 | 423681 |
| &nbsp;&nbsp;&nbsp;2025-12, 5.37% due 12/25/70<sup>a,b</sup> | 294884 | 293680 |
| &nbsp;&nbsp;&nbsp;2021-4, 1.35% (WAC) due 07/25/66<sup>◊,a</sup> | 236387 | 202807 |
| &nbsp;&nbsp;&nbsp;2021-3, 1.44% (WAC) due 06/25/66<sup>◊,a</sup> | 126227 | 112876 |
| Imperial Fund Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-NQM2, 4.02% (WAC) due 03/25/67<sup>◊,a</sup> | 1228056 | 1154632 |
| NLT Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-NQM1, 6.61% due 02/25/71<sup>a</sup> | 950000 | 993219 |
| Home Equity Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2007-FRE1, 3.98% (1 Month Term SOFR + 0.30%, Rate Floor: 0.19%) due 04/25/37<sup>◊</sup> | 1039840 | 991705 |
| Towd Point Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-CES1, 4.96% due 01/25/66<sup>a,b</sup> | 635074 | 631102 |
| &nbsp;&nbsp;&nbsp;2017-6, 2.75% (WAC) due 10/25/57<sup>◊,a</sup> | 132412 | 130775 |
| &nbsp;&nbsp;&nbsp;2018-2, 3.25% (WAC) due 03/25/58<sup>◊,a</sup> | 108069 | 107187 |
| HOMES Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-NQM1, 4.80% due 09/25/70<sup>a</sup> | 479337 | 475530 |
| &nbsp;&nbsp;&nbsp;2024-AFC2, 5.58% (WAC) due 10/25/59<sup>◊,a</sup> | 354905 | 356031 |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND III** |  |

---

---

| | | |
|:---|:---|:---|
| | **FACE** <br> **AMOUNT** | **VALUE** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS - 34.6% (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS - 34.6% (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS - 34.6% (continued)** |
| **RESIDENTIAL MORTGAGE-BACKED SECURITIES - 27.9% (continued)** | **RESIDENTIAL MORTGAGE-BACKED SECURITIES - 27.9% (continued)** | **RESIDENTIAL MORTGAGE-BACKED SECURITIES - 27.9% (continued)** |
| NYMT Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-CP1, 3.75% (WAC) due 11/25/69<sup>◊,a</sup> | $700000 | $654106 |
| &nbsp;&nbsp;&nbsp;2026-INV2, 5.63% due 04/25/61<sup>a,b</sup> | 175000 | 175963 |
| HarborView Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2006-14, 4.09% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 01/25/47<sup>◊</sup> | 803631 | 766695 |
| Structured Asset Securities Corp. Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2007-BC4, 4.42% (1 Month Term SOFR + 0.74%, Rate Floor: 0.63%) due 11/25/37<sup>◊</sup> | 703569 | 688345 |
| CSMC Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-RPL4, 4.15% (WAC) due 12/27/60<sup>◊,a</sup> | 414532 | 413075 |
| &nbsp;&nbsp;&nbsp;2020-NQM1, 2.21% due 05/25/65<sup>a</sup> | 249437 | 239542 |
| PMT Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-CNF3, 5.50% (WAC) due 04/25/57<sup>◊,a</sup> | 350000 | 349508 |
| &nbsp;&nbsp;&nbsp;2025-INV8, 6.00% (WAC) due 07/25/56<sup>◊,a</sup> | 286097 | 289750 |
| Bear Stearns Asset-Backed Securities I Trust |  |  |
| &nbsp;&nbsp;&nbsp;2006-HE9, 4.07% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 11/25/36<sup>◊</sup> | 595302 | 588852 |
| Morgan Stanley Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-NQM9, 5.22% due 09/25/70<sup>a,b</sup> | 559488 | 556467 |
| NovaStar Mortgage Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;2007-2, 3.99% (1 Month Term SOFR + 0.31%, Rate Floor: 0.20%) due 09/25/37<sup>◊</sup> | 536892 | 531915 |
| Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2007-OA7, 4.07% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 05/25/47<sup>◊</sup> | 455313 | 422400 |
| Soundview Home Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2006-OPT5, 4.07% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 07/25/36<sup>◊</sup> | 425049 | 416597 |
| Archwest Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-RTL1, 5.20% due 10/25/40<sup>a,b</sup> | 400000 | 399139 |
| CFMT LLC |  |  |
| &nbsp;&nbsp;&nbsp;2022-HB9, 3.25% (WAC) due 09/25/37<sup>◊,a</sup> | 352815 | 348136 |
| Cross Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-NQM3, 5.13% (WAC) due 03/25/71<sup>◊,a</sup> | 200000 | 200286 |
| &nbsp;&nbsp;&nbsp;2026-NQM1, 4.95% due 02/25/61<sup>a,b</sup> | 147617 | 145896 |
| COLT Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2023-3, 7.18% due 09/25/68<sup>a,b</sup> | 340197 | 342158 |
| PRPM LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-1, 5.19% due 02/25/31<sup>a</sup> | 196097 | 194027 |
| &nbsp;&nbsp;&nbsp;2026-2, 5.09% due 02/25/31<sup>a,b</sup> | 119288 | 118909 |
| SG Residential Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-1, 5.10% (WAC) due 12/25/65<sup>◊,a</sup> | 197724 | 197021 |
| Barclays Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-CES1, 4.85% due 01/25/56<sup>a,b</sup> | 195470 | 193561 |
| Provident Funding Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-1, 5.00% (WAC) due 01/25/56<sup>◊,a</sup> | 147537 | 145529 |
| BRAVO Residential Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-NQM7, 5.46% (WAC) due 07/25/65<sup>◊,a</sup> | 129784 | 130198 |
| ACHM Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-HE3, 5.20% (WAC) due 11/25/55<sup>◊,a</sup> | 95050 | 94274 |
| Argent Securities, Inc. Asset- Backed Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;2005-W2, 4.53% (1 Month Term SOFR + 0.85%, Rate Floor: 0.74%) due 10/25/35<sup>◊,c</sup> | 23986 | 23919 |
| Starwood Mortgage Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-1, 2.28% (WAC) due 02/25/50<sup>◊,a,c</sup> | 23926 | 22843 |
| Banc of America Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;2015-R2, 4.05% (1 Month Term SOFR + 0.37%, Rate Floor: 0.26%) due 04/29/37<sup>◊,a,c</sup> | 12380 | 12367 |
| Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-1, 2.38% (WAC) due 01/26/60<sup>◊,a,c</sup> | 8817 | 8784 |
| **Total Residential Mortgage-Backed Securities** |  | 36256633 |
| **COMMERCIAL MORTGAGE-BACKED SECURITIES - 4.9%** | **COMMERCIAL MORTGAGE-BACKED SECURITIES - 4.9%** | **COMMERCIAL MORTGAGE-BACKED SECURITIES - 4.9%** |
| WMRK Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-WMRK, 7.11% (1 Month Term SOFR + 3.44%, Rate Floor: 3.44%) due 11/15/27<sup>◊,a</sup> | 2536759 | 2536759 |
| JP Morgan Chase Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-NYAH, 5.58% (1 Month Term SOFR + 1.90%, Rate Floor: 1.54%) due 06/15/38<sup>◊,a</sup> | 850000 | 742450 |

---

20 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND III** |  |

---

---

| | | |
|:---|:---|:---|
| | **FACE**<br> **AMOUNT** | **VALUE** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS - 34.6% (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS - 34.6% (continued)** | **COLLATERALIZED MORTGAGE OBLIGATIONS - 34.6% (continued)** |
| **COMMERCIAL MORTGAGE-BACKED SECURITIES - 4.9% (continued)** | **COMMERCIAL MORTGAGE-BACKED SECURITIES - 4.9% (continued)** | **COMMERCIAL MORTGAGE-BACKED SECURITIES - 4.9% (continued)** |
| BX Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-LP2, 5.23% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39<sup>◊,a</sup> | $735000 | $734540 |
| Citigroup Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2018-C6, 0.76% (WAC) due 11/10/51<sup>◊,d</sup> | 37143455 | 603146 |
| Morgan Stanley Capital I Trust |  |  |
| &nbsp;&nbsp;&nbsp;2018-H3, 0.78% (WAC) due 07/15/51<sup>◊,d</sup> | 36541529 | 524448 |
| BX Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-VOLT, 5.37% (1 Month Term SOFR + 1.70%, Rate Floor: 1.70%) due 12/15/44<sup>◊,a</sup> | 450000 | 448594 |
| BXHPP Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-FILM, 4.89% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 08/15/36<sup>◊,a</sup> | 500000 | 433750 |
| JPMDB Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;2018-C8, 0.59% (WAC) due 06/15/51<sup>◊,d</sup> | 21870044 | 214077 |
| Life Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-BMR, 4.89% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 03/15/38<sup>◊,a</sup> | 80100 | 79299 |
| **Total Commercial Mortgage-Backed Securities** |  | 6317063 |
| **GOVERNMENT AGENCY - 1.8%** |  |  |
| Freddie Mac |  |  |
| &nbsp;&nbsp;&nbsp;5.00% due 07/25/55<sup>c</sup> | 1000000 | 998832 |
| Fannie Mae |  |  |
| &nbsp;&nbsp;&nbsp;6.50% due 04/25/49 | 486468 | 490473 |
| &nbsp;&nbsp;&nbsp;5.00% due 05/25/52 | 280874 | 280176 |
| Ginnie Mae |  |  |
| &nbsp;&nbsp;&nbsp;4.50% due 02/20/56 | 644230 | 631408 |
| **Total Government Agency** |  | 2400889 |
| **Total Collateralized Mortgage Obligations** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $46,356,545) |  | 44974585 |
| **CORPORATE BONDS - 33.4%** |  |  |
| **FINANCIAL - 18.4%** |  |  |
| Brighthouse Financial Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.55% due 04/09/27<sup>a</sup> | 2750000 | 2767693 |
| AEGON Funding Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;5.50% due 04/16/27<sup>a</sup> | 2650000 | 2673305 |
| F&G Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.88% due 06/10/27<sup>a</sup> | 1900000 | 1922294 |
| HSBC Holdings plc |  |  |
| &nbsp;&nbsp;&nbsp;5.60% due 05/17/28<sup>e</sup> | 1750000 | 1769659 |
| Mutual of Omaha Companies, Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.35% due 04/09/27<sup>a</sup> | 1750000 | 1765386 |
| Standard Chartered plc |  |  |
| &nbsp;&nbsp;&nbsp;5.69% due 05/14/28<sup>a,e</sup> | 1700000 | 1720107 |
| LPL Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.70% due 05/20/27 | 1700000 | 1715699 |
| CNO Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.88% due 06/04/27<sup>a</sup> | 1140000 | 1155588 |
| Barclays plc |  |  |
| &nbsp;&nbsp;&nbsp;4.52% due 02/24/32<sup>e</sup> | 1050000 | 1026998 |
| Rocket Mortgage LLC / Rocket Mortgage Co.-Issuer, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;2.88% due 10/15/26<sup>a</sup> | 850000 | 840805 |
| Societe Generale S.A. |  |  |
| &nbsp;&nbsp;&nbsp;5.52% due 01/19/28<sup>a,e</sup> | 800000 | 805326 |
| Cooperatieve Rabobank UA |  |  |
| &nbsp;&nbsp;&nbsp;4.66% due 08/22/28<sup>a,e</sup> | 800000 | 801594 |
| Jackson National Life Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;5.60% due 04/10/26<sup>a</sup> | 750000 | 750171 |
| Lincoln Financial Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;4.20% due 01/12/29<sup>a</sup> | 700000 | 692169 |
| SLM Corp. |  |  |
| &nbsp;&nbsp;&nbsp;3.13% due 11/02/26 | 600000 | 594469 |
| Nationwide Building Society |  |  |
| &nbsp;&nbsp;&nbsp;4.65% due 07/14/29<sup>a,e</sup> | 550000 | 550496 |
| Host Hotels & Resorts, LP |  |  |
| &nbsp;&nbsp;&nbsp;4.25% due 12/15/28 | 325000 | 321148 |
| BPCE S.A. |  |  |
| &nbsp;&nbsp;&nbsp;4.76% due 01/13/32<sup>a,e</sup> | 325000 | 320496 |
| Cushman & Wakefield US Borrower LLC |  |  |
| &nbsp;&nbsp;&nbsp;6.75% due 05/15/28<sup>a</sup> | 300000 | 300433 |
| Protective Life Corp. |  |  |
| &nbsp;&nbsp;&nbsp;4.70% due 01/15/31<sup>a</sup> | 300000 | 297110 |
| Gabx Leasing LLC |  |  |
| &nbsp;&nbsp;&nbsp;4.63% due 04/15/31<sup>a</sup> | 300000 | 295744 |
| Morgan Stanley |  |  |
| &nbsp;&nbsp;&nbsp;4.71% due 03/12/32<sup>e</sup> | 250000 | 248317 |
| American National Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.00% due 06/15/27 | 240000 | 238680 |
| Brown & Brown, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;4.60% due 12/23/26 | 175000 | 175517 |
| Voya Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;4.60% due 11/24/30<sup>a</sup> | 150000 | 147735 |
| **Total Financial** |  | 23896939 |
| **CONSUMER, NON-CYCLICAL - 5.9%** |  |  |
| Universal Health Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;1.65% due 09/01/26 | 1950000 | 1926699 |
| Icon Investments Six DAC |  |  |
| &nbsp;&nbsp;&nbsp;5.81% due 05/08/27 | 1800000 | 1809114 |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND III** |  |

---

---

| | | |
|:---|:---|:---|
| | **FACE <br> AMOUNT** | **VALUE** |
| **CORPORATE BONDS - 33.4% (continued)** | **CORPORATE BONDS - 33.4% (continued)** | |
| **CONSUMER, NON-CYCLICAL - 5.9% (continued)** | **CONSUMER, NON-CYCLICAL - 5.9% (continued)** | |
| Element Fleet Management Corp. |  |  |
| &nbsp;&nbsp;&nbsp;6.27% due 06/26/26<sup>a</sup> | $1650000 | $1654298 |
| IQVIA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.00% due 05/15/27<sup>a</sup> | 1000000 | 996220 |
| Triton Container International Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2.05% due 04/15/26<sup>a</sup> | 700000 | 699251 |
| Medline Borrower, LP |  |  |
| &nbsp;&nbsp;&nbsp;3.88% due 04/01/29<sup>a</sup> | 200000 | 193472 |
| U.S. Foods, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;7.25% due 01/15/32<sup>a</sup> | 150000 | 155215 |
| Block, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;2.75% due 06/01/26 | 100000 | 99544 |
| Sysco Corp. |  |  |
| &nbsp;&nbsp;&nbsp;4.40% due 07/25/31 | 100000 | 96986 |
| **Total Consumer, Non-cyclical** |  | 7630799 |
| **INDUSTRIAL - 2.8%** |  |  |
| Penske Truck Leasing Co., LP / PTL Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;5.35% due 01/12/27<sup>a</sup> | 1650000 | 1658825 |
| Weir Group plc |  |  |
| &nbsp;&nbsp;&nbsp;2.20% due 05/13/26<sup>a</sup> | 1091000 | 1087274 |
| Vontier Corp. |  |  |
| &nbsp;&nbsp;&nbsp;1.80% due 04/01/26 | 650000 | 650000 |
| Jabil, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;1.70% due 04/15/26 | 200000 | 199744 |
| Esab Corp. |  |  |
| &nbsp;&nbsp;&nbsp;5.63% due 04/01/31<sup>a</sup> | 25000 | 25175 |
| **Total Industrial** |  | 3621018 |
| **CONSUMER, CYCLICAL - 2.2%** |  |  |
| LG Electronics, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.63% due 04/24/27<sup>a</sup> | 900000 | 910525 |
| Live Nation Entertainment, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;6.50% due 05/15/27<sup>a</sup> | 875000 | 876113 |
| LG Energy Solution Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;5.00% due 04/02/29<sup>a</sup> | 400000 | 400544 |
| Air Canada |  |  |
| &nbsp;&nbsp;&nbsp;3.88% due 08/15/26<sup>a</sup> | 330000 | 328355 |
| AS Mileage Plan IP Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;5.31% due 10/20/31<sup>a</sup> | 200000 | 195641 |
| 1011778 BC ULC / New Red Finance, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;3.88% due 01/15/28<sup>a</sup> | 150000 | 146622 |
| **Total Consumer, Cyclical** |  | 2857800 |
| **UTILITIES - 1.3%** |  |  |
| Algonquin Power & Utilities Corp. |  |  |
| &nbsp;&nbsp;&nbsp;5.37% due 06/15/26 | 1750000 | 1751442 |
| **TECHNOLOGY - 1.3%** |  |  |
| CDW LLC / CDW Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;2.67% due 12/01/26 | 1350000 | 1334255 |
| Salesforce, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;4.65% due 03/15/29 | 300000 | 300621 |
| **Total Technology** |  | 1634876 |
| **COMMUNICATIONS - 1.2%** |  |  |
| FactSet Research Systems, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;2.90% due 03/01/27 | 1450000 | 1425274 |
| Match Group Holdings II LLC |  |  |
| &nbsp;&nbsp;&nbsp;4.13% due 08/01/30<sup>a</sup> | 150000 | 139010 |
| **Total Communications** |  | 1564284 |
| **ENERGY - 0.3%** |  |  |
| Energy Transfer, LP |  |  |
| &nbsp;&nbsp;&nbsp;6.30% due 01/15/56 | 320000 | 317095 |
| Venture Global Plaquemines LNG LLC |  |  |
| &nbsp;&nbsp;&nbsp;6.13% due 12/15/30<sup>a</sup> | 125000 | 128553 |
| **Total Energy** |  | 445648 |
| **Total Corporate Bonds** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $43,303,078) |  | 43402806 |
| **ASSET-BACKED SECURITIES - 23.7%** |  |  |
| **COLLATERALIZED LOAN OBLIGATIONS - 10.3%** |  |  |
| BXMT Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2020-FL2 AS, 5.19% (1 Month Term SOFR + 1.51%, Rate Floor: 1.51%) due 02/15/38<sup>◊,a</sup> | 2250000 | 2243307 |
| &nbsp;&nbsp;&nbsp;2026-FL6 AS, 5.43% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 08/19/43<sup>◊,a</sup> | 100000 | 99199 |
| STWD LLC |  |  |
| &nbsp;&nbsp;&nbsp;2025-FL4 AS, 5.38% (1 Month Term SOFR + 1.70%, Rate Floor: 1.70%) due 11/19/42<sup>◊,a</sup> | 1300000 | 1293526 |
| Owl Rock CLO IV Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2020-4A A1R, 5.52% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 08/20/33<sup>◊,a</sup> | 1154450 | 1153473 |
| Cerberus Loan Funding XXXII, LP |  |  |
| &nbsp;&nbsp;&nbsp;2021-2A A, 5.55% (3 Month Term SOFR + 1.88%, Rate Floor: 1.88%) due 04/22/33<sup>◊,a</sup> | 840999 | 841671 |
| KKR CLO 16 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;16 A2R3, 5.27% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 10/20/34<sup>◊,a</sup> | 700000 | 697536 |
| Madison Park Funding XLVIII Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-48A BR, 5.22% (3 Month Term SOFR + 1.55%, Rate Floor: 1.55%) due 01/19/39<sup>◊,a</sup> | 650000 | 649321 |

---

22 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND III** |  |

---

---

| | | |
|:---|:---|:---|
| | **FACE** <br> **AMOUNT** | **VALUE** |
| **ASSET-BACKED SECURITIES - 23.7% (continued)** | **ASSET-BACKED SECURITIES - 23.7% (continued)** | **ASSET-BACKED SECURITIES - 23.7% (continued)** |
| **COLLATERALIZED LOAN OBLIGATIONS - 10.3% (continued)** | **COLLATERALIZED LOAN OBLIGATIONS - 10.3% (continued)** | **COLLATERALIZED LOAN OBLIGATIONS - 10.3% (continued)** |
| PFP Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2026-13 AS, 5.33% (1 Month Term SOFR + 1.65%, Rate Floor: 1.65%) due 08/18/43<sup>◊,a</sup> | $650000 | $648882 |
| ACRES Commercial Realty Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-FL4 AS, 5.38% (1 Month Term SOFR + 1.70%, Rate Floor: 1.70%) due 08/18/44<sup>◊,a</sup> | 650000 | 648314 |
| Cerberus Loan Funding 53 LLC |  |  |
| &nbsp;&nbsp;&nbsp;2025-4A B, 5.43% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 01/15/38<sup>◊,a</sup> | 650000 | 647948 |
| Acrec LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-FL4 AS, 5.28% (1 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 01/18/43<sup>◊,a</sup> | 650000 | 647918 |
| Owl Rock CLO XXIV LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-24A A, 5.06% (3 Month Term SOFR + 1.39%, Rate Floor: 1.39%) due 01/22/38<sup>◊,a</sup> | 600000 | 597154 |
| Hlend CLO LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-5A A2, 5.21% (3 Month Term SOFR + 1.55%, Rate Floor: 1.55%) due 04/15/39<sup>◊,a</sup> | 300000 | 299999 |
| &nbsp;&nbsp;&nbsp;2025-3A A, 5.07% (3 Month Term SOFR + 1.40%, Rate Floor: 1.40%) due 01/20/37<sup>◊,a</sup> | 250000 | 248952 |
| CIFC Funding Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2015-4A A2R3, 5.09% (3 Month Term SOFR + 1.45%, Rate Floor: 1.45%) due 01/17/39<sup>◊,a</sup> | 500000 | 497504 |
| THL Credit Lake Shore MM CLO I Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2019-1A A1R, 5.63% (3 Month Term SOFR + 1.96%, Rate Floor: 1.70%) due 04/15/33<sup>◊,a</sup> | 405219 | 406224 |
| Golub Capital Partners CLO 49M Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2020-49A A2R2, 5.35% (3 Month Term SOFR + 1.68%, Rate Floor: 1.68%) due 07/20/38<sup>◊,a</sup> | 300000 | 300017 |
| BSPDF Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-FL3 AS, 5.35% (1 Month Term SOFR + 1.70%, Rate Floor: 1.70%) due 09/18/43<sup>◊,a</sup> | 300000 | 299078 |
| AREIT Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2025-CRE11 AS, 5.43% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 07/25/43<sup>◊,a</sup> | 300000 | 299019 |
| LRECS LLC |  |  |
| &nbsp;&nbsp;&nbsp;2025-CRE1 AS, 5.43% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 08/19/43<sup>◊,a</sup> | 200000 | 199587 |
| GS REFT Issuer Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2026-FL1 A, 5.17% (1 Month Term SOFR + 1.50%, Rate Floor: 1.50%) due 04/19/43<sup>◊,a</sup> | 150000 | 150000 |
| Eldridge CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2025-2A A2, 5.09% (3 Month Term SOFR + 1.45%, Rate Floor: 1.45%) due 01/20/39<sup>◊,a</sup> | 150000 | 149252 |
| &nbsp;&nbsp;&nbsp;Acore Issuer LLC 2026-FL1 AS, 5.38% (1 Month Term SOFR + 1.70%, Rate Floor: 1.70%) due 08/20/43<sup>◊,a</sup> | 100000 | 99839 |
| Ares Direct Lending CLO 8 LLC |  |  |
| &nbsp;&nbsp;&nbsp;2025-4A B, 5.42% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 01/20/39<sup>◊,a</sup> | 100000 | 99669 |
| FS Rialto Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-FL11 AS, 5.33% (1 Month Term SOFR + 1.65%, Rate Floor: 1.65%) due 01/19/44<sup>◊,a</sup> | 100000 | 99658 |
| Sound Point CLO XIX Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2018-1A A, 4.93% (3 Month Term SOFR + 1.26%) due 04/15/31<sup>◊,a</sup> | 56322 | 56279 |
| **Total Collateralized Loan Obligations** |  | 13373326 |
| **NET LEASE - 3.1%** |  |  |
| Oak Street Investment Grade Net Lease Fund |  |  |
| &nbsp;&nbsp;&nbsp;2020-1A, 1.85% due 11/20/50<sup>a</sup> | 2116766 | 1926867 |
| &nbsp;&nbsp;&nbsp;New Economy Assets Phase 1 Sponsor LLC 2021-1, 1.91% due 10/20/61<sup>a</sup> | 1000000 | 839380 |
| &nbsp;&nbsp;&nbsp;Capital Automotive REIT 2024-2A, 4.90% due 05/15/54<sup>a</sup> | 563000 | 562703 |
| CF Hippolyta Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.98% due 03/15/61<sup>a</sup> | 706836 | 430592 |
| &nbsp;&nbsp;&nbsp;Store Master Funding I-VII 2018-1A, 4.29% due 10/20/48<sup>a</sup> | 226128 | 223765 |
| **Total Net Lease** |  | 3983307 |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND III** |  |

---

---

| | | |
|:---|:---|:---|
| | **FACE** <br> **AMOUNT** | **VALUE** |
| **ASSET-BACKED SECURITIES - 23.7% (continued)** | **ASSET-BACKED SECURITIES - 23.7% (continued)** | **ASSET-BACKED SECURITIES - 23.7% (continued)** |
| **TRANSPORT-CONTAINER - 2.1%** | **TRANSPORT-CONTAINER - 2.1%** | |
| Triton Container Finance VIII LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.86% due 03/20/46<sup>a</sup> | $1380000 | $1275129 |
| CLI Funding VIII LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.64% due 02/18/46<sup>a</sup> | 851245 | 789151 |
| Textainer Marine Containers VII Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.68% due 02/20/46<sup>a</sup> | 415333 | 390311 |
| &nbsp;&nbsp;&nbsp;2020-1A, 2.73% due 08/21/45<sup>a</sup> | 197820 | 190698 |
| &nbsp;&nbsp;&nbsp;2021-3A, 1.94% due 08/20/46<sup>a</sup> | 63333 | 56250 |
| **Total Transport-Container** |  | 2701539 |
| **SINGLE FAMILY RESIDENCE - 2.0%** |  |  |
| STAR Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-SFR6, 5.07% (1 Month Term SOFR + 1.40%, Rate Floor: 1.40%) due 08/17/42<sup>◊,a</sup> | 750000 | 750000 |
| &nbsp;&nbsp;&nbsp;2026-SFR7, 5.38% (1 Month Term SOFR + 1.70%, Rate Floor: 1.70%) due 05/17/43<sup>◊,a</sup> | 300000 | 300000 |
| FirstKey Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-SFR1, 4.49% due 05/19/39<sup>a</sup> | 750000 | 745566 |
| Progress Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2025-SFR6, 4.00% due 12/17/42<sup>a</sup> | 650000 | 613617 |
| Tricon Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-SFR2, 5.42% due 08/17/44<sup>a</sup> | 174826 | 173539 |
| **Total Single Family Residence** |  | 2582722 |
| **COLLATERALIZED DEBT OBLIGATIONS - 1.7%** |  |  |
| Anchorage Credit Funding 4 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2016-4A AR, 2.72% due 04/27/39<sup>a</sup> | 2250000 | 2173282 |
| **INFRASTRUCTURE - 1.4%** |  |  |
| Aligned Data Centers Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.94% due 08/15/46<sup>a</sup> | 1300000 | 1286724 |
| VB-S1 Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-1A, 4.69% due 03/15/56<sup>a</sup> | 300000 | 294763 |
| &nbsp;&nbsp;&nbsp;2026-1A, 5.19% due 03/15/56<sup>a</sup> | 200000 | 196639 |
| Kinetic ABS Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-1A, 5.22% due 02/25/56<sup>a</sup> | 100000 | 99715 |
| **Total Infrastructure** |  | 1877841 |
| **TRANSPORT-AIRCRAFT - 1.3%** |  |  |
| Lunar Structured Aircraft Portfolio Notes |  |  |
| &nbsp;&nbsp;&nbsp;2021-1, 2.64% due 10/15/46<sup>a</sup> | 676556 | 642525 |
| Slam Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 2.43% due 06/15/46<sup>a</sup> | 515200 | 488402 |
| MAPS Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-1A, 5.20% due 01/15/51<sup>a</sup> | 246970 | 241241 |
| Castlelake Aircraft Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;2018-1, 4.13% due 06/15/43<sup>a</sup> | 229191 | 228049 |
| FTAI Aircraft Leasing Offshore SPV, LP |  |  |
| &nbsp;&nbsp;&nbsp;due 03/27/31<sup>f</sup> | 147373 | 147373 |
| **Total Transport-Aircraft** |  | 1747590 |
| **WHOLE BUSINESS - 1.2%** |  |  |
| Domino's Pizza Master Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2018-1A, 4.33% due 07/25/48<sup>a</sup> | 1184375 | 1175826 |
| Wingstop Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;2020-1A, 2.84% due 12/05/50<sup>a</sup> | 443250 | 429038 |
| **Total Whole Business** |  | 1604864 |
| **FINANCIAL - 0.5%** |  |  |
| Ceamer Finance LLC |  |  |
| &nbsp;&nbsp;&nbsp;6.17% (WAC) due 12/15/40<sup>◊,c</sup> | 350000 | 348108 |
| Blackstone Strategic Cap Holding II |  |  |
| &nbsp;&nbsp;&nbsp;5.92% (1 Month Term SOFR + 2.25%) due 12/31/33<sup>◊,c</sup> | 250000 | 250000 |
| **Total Financial** |  | 598108 |
| **UNSECURED CONSUMER LOANS - 0.1%** |  |  |
| GreenSky Home Improvement Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-3A, 4.86% due 12/27/60<sup>a</sup> | 150000 | 149508 |
| **Total Asset-Backed Securities** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $31,722,208) |  | 30792087 |
| **REPURCHASE AGREEMENTS<sup>g</sup> - 3.1%** |  |  |
| **Bank of America Securities, Inc. issued** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;03/31/26 at 3.65% due 04/01/26 | 1327609 | 1327609 |
| J.P. Morgan Securities LLC issued |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;03/31/26 at 3.66% due 04/01/26 | 1106341 | 1106341 |
| BNP Paribas issued |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;03/31/26 at 3.65% due 04/01/26 | 995707 | 995707 |
| Bank of Montreal issued |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;03/31/26 at 3.63% due 04/01/26 | 575297 | 575297 |
| **Total Repurchase Agreements** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;(Cost $4,004,954) |  | 4004954 |

---

24 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND III** |  |

---

---

| | | |
|:---|:---|:---|
| | **FACE** <br> **AMOUNT** | **VALUE** |
| **SENIOR FLOATING RATE INTERESTS - 1.6%** | **SENIOR FLOATING RATE INTERESTS - 1.6%** | |
| **FINANCIAL - 1.1%** |  |  |
| Corelogic, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;7.28% (1 Month Term SOFR + 3.50%, Rate Floor: 1.50%) due 06/02/28<sup>◊</sup> | $670175 | $639602 |
| Citadel Securities Global Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;5.70% (3 Month Term SOFR + 2.00%) due 10/31/31<sup>◊</sup> | 323431 | 323612 |
| Jane Street Group LLC |  |  |
| &nbsp;&nbsp;&nbsp;5.67% (3 Month Term SOFR + 2.00%) due 12/15/31<sup>◊</sup> | 293041 | 287347 |
| Iron Mountain Information Management Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;5.67% (1 Month Term SOFR + 2.00%) due 01/31/31<sup>◊</sup> | 198982 | 197490 |
| **Total Financial** |  | 1448051 |
| **TECHNOLOGY - 0.2%** |  |  |
| World Wide Technology Holding Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;5.67% (1 Month Term SOFR + 2.00%, Rate Floor: 0.50%) due 03/01/30<sup>◊</sup> | 261771 | 260300 |
| **INDUSTRIAL - 0.1%** |  |  |
| Brown Group Holding LLC |  |  |
| &nbsp;&nbsp;&nbsp;6.17% (3 Month Term SOFR + 2.50%, Rate Floor: 0.50%) due 07/01/31<sup>◊</sup> | 200000 | 200176 |
| **ENERGY - 0.1%** |  |  |
| Transmontaigne Operating Co., LP |  |  |
| &nbsp;&nbsp;&nbsp;5.92% (1 Month Term SOFR + 2.25%, Rate Floor: 1.50%) due 03/16/30<sup>◊</sup> | 125000 | 124719 |
| **CONSUMER, NON-CYCLICAL - 0.1%** |  |  |
| Prime Security Services Borrower LLC |  |  |
| &nbsp;&nbsp;&nbsp;5.41% (1 Month Term SOFR + 1.75%) due 03/07/32<sup>◊</sup> | 99497 | 97958 |
| **Total Senior Floating Rate Interests** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $2,169,373) |  | 2131204 |
| **U.S. TREASURY BILLS - 0.7%** |  |  |
| U.S. Treasury Bills |  |  |
| &nbsp;&nbsp;&nbsp;3.65% due 04/14/26<sup>h,i</sup> | 850000 | 848882 |
| **Total U.S. Treasury Bills** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $848,882) |  | 848882 |

---

---

| | | |
|:---|:---|:---|
| | **CONTRACTS/** <br> **NOTIONAL** <br> **VALUE** | |
| **OTC INTEREST RATE SWAPTIONS PURCHASEDj - 0.0%** | **OTC INTEREST RATE SWAPTIONS PURCHASEDj - 0.0%** | **OTC INTEREST RATE SWAPTIONS PURCHASEDj - 0.0%** |
| **Call Swaptions on:** |  |  |
| **Interest Rate Swaptions** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Capital Services LLC 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.38% | 1989000 | 10892 |
| &nbsp;&nbsp;&nbsp;&nbsp;Citibank, N.A. 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.43% | 1778000 | 8181 |
| &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan Chase Bank, N.A. 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.43% | 1328000 | 6070 |
| &nbsp;&nbsp;&nbsp;&nbsp;Barclays Bank plc 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.38% | 1105000 | 6051 |
| &nbsp;&nbsp;&nbsp;&nbsp;Bank of America, N.A. 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.25% | 1105000 | 5058 |
| &nbsp;&nbsp;&nbsp;&nbsp;Barclays Bank plc 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.25% | 1105000 | 5058 |
| &nbsp;&nbsp;&nbsp;&nbsp;BNP Paribas 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.30% | 1330000 | 4937 |
| &nbsp;&nbsp;&nbsp;&nbsp;The Toronto-Dominion Bank 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.43% | 869000 | 3998 |
| &nbsp;&nbsp;&nbsp;&nbsp;Bank of America, N.A. 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.38% | 663000 | 3625 |
| &nbsp;&nbsp;&nbsp;&nbsp;Barclays Bank plc 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.38% | 663000 | 3625 |
| &nbsp;&nbsp;&nbsp;&nbsp;The Toronto-Dominion Bank 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.43% | 663000 | 3030 |
| &nbsp;&nbsp;&nbsp;&nbsp;The Toronto-Dominion Bank 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.30% | 662000 | 2457 |
| **Total OTC Interest Rate Swaptions Purchased** | **Total OTC Interest Rate Swaptions Purchased** | **Total OTC Interest Rate Swaptions Purchased** |
| &nbsp;&nbsp;&nbsp;(Cost $62,431) |  | 62982 |
| **Total Investments - 97.2%** | **Total Investments - 97.2%** | **Total Investments - 97.2%** |
| &nbsp;&nbsp;&nbsp;(Cost $128,666,471) |  | $126416140 |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND III** |  |

---

---

| | | |
|:---|:---|:---|
| | **CONTRACTS/**<br> **NOTIONAL**<br> **VALUE** | **VALUE** |
| **OTC INTEREST RATE SWAPTIONS WRITTENj - (0.0)%** | **OTC INTEREST RATE SWAPTIONS WRITTENj - (0.0)%** | **OTC INTEREST RATE SWAPTIONS WRITTENj - (0.0)%** |
| **Put Swaptions on:** |  |  |
| **Interest Rate Swaptions** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;The Toronto-Dominion Bank 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.95% | 663000 | $(1925) |
| &nbsp;&nbsp;&nbsp;&nbsp;The Toronto-Dominion Bank 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.95% | 662000 | (1930) |
| &nbsp;&nbsp;&nbsp;&nbsp;Bank of America, N.A. 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.95% | 663000 | (2518) |
| &nbsp;&nbsp;&nbsp;&nbsp;Barclays Bank plc 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.95% | 663000 | (2518) |
| &nbsp;&nbsp;&nbsp;&nbsp;The Toronto-Dominion Bank 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.95% | 869000 | (2545) |
| &nbsp;&nbsp;&nbsp;&nbsp;JPMorgan Chase Bank, N.A. 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.95% | 1328000 | (3857) |
| &nbsp;&nbsp;&nbsp;&nbsp;BNP Paribas 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.95% | 1330000 | (3877) |
| &nbsp;&nbsp;&nbsp;&nbsp;Bank of America, N.A. 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.95% | 1105000 | (4206) |
| &nbsp;&nbsp;&nbsp;&nbsp;Citibank, N.A. 2-Year Interest Rate Swap Expiring September 2026 with exercise rate of 3.95% | 1778000 | (5163) |
| &nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Capital Services LLC 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.95% | 1989000 | (7571) |
| &nbsp;&nbsp;&nbsp;&nbsp;Barclays Bank plc 2-Year Interest Rate Swap Expiring December 2026 with exercise rate of 3.95% | 2210000 | (8412) |
| **Total Interest Rate Swaptions** |  | (44522) |
| **Total OTC Interest Rate Swaptions Written** |  |  |
| &nbsp;&nbsp;&nbsp;(Premium received $59,219) |  | (44522) |
| **Other Assets & Liabilities, net - 2.8%** |  | 3703684 |
| **Total Net Assets - 100.0%** |  | $130075302 |

---

---

| | |
|:---|:---|
| ***<sup>◊</sup>*** | ***Variable rate security. Rate indicated is the rate effective at March 31, 2026. 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.*** |
| ***<sup>a</sup>*** | ***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) liquid securities is $94,249,748 (cost $95,633,072), or 72.5% of total net assets.*** |
| ***<sup>b</sup>*** | ***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 March 31, 2026. See table below for additional step information for each security.*** |
| ***<sup>c</sup>*** | ***Value determined based on Level 3 inputs — See Note 4.*** |
| ***<sup>d</sup>*** | ***Security is an interest-only strip.*** |
| ***<sup>e</sup>*** | ***Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.*** |
| ***<sup>f</sup>*** | ***Security has no stated coupon.*** |
| ***<sup>g</sup>*** | ***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.*** |
| ***<sup>h</sup>*** | ***Rate indicated is the effective yield at the time of purchase.*** |
| ***<sup>i</sup>*** | ***All or a portion of this security is pledged as interest rate swap collateral at March 31, 2026.*** |
| ***<sup>j</sup>*** | ***Swaptions — See additional disclosure in the swaptions table below for more information on swaptions.*** |

---

---

| |
|:---|
| LLC — Limited Liability Company |
| plc — Public Limited Company |
| REIT — Real Estate Investment Trust |
| SOFR — Secured Overnight Financing Rate |
| WAC — Weighted Average Coupon |

---

See Sector Classification in Other Information section.

26 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND III** |  |

---

**Futures Contracts**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Number of** <br> **Contracts** | **Expiration**<br> **Date** | **Notional** <br> **Amount** | **Value and**<br> **Unrealized**<br> **Appreciation** <br> **(Depreciation)<sup>a</sup>** |
| **Interest Rate Futures Contracts Purchased** |  |  |  |  |
| 3-Month SOFR Futures Contracts | 27 | Dec 2027 | $6520163 | $(26874) |
| **Interest Rate Futures Contracts Sold Short** |  |  |  |  |
| 3-Month SOFR Futures Contracts | 27 | Dec 2026 | 6504638 | $35755 |

---

**Centrally Cleared Interest Rate Swap Agreements**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Floating**<br> **Rate Type** | **Floating**<br> **Rate Index** | **Fixed**<br> **Rate** | **Payment** <br> **Frequency** | **Maturity** <br> **Date** | **Notional**<br> **Amount** | **Value** | **Upfront** <br> **Premiums** <br> **Paid** <br> **(Received)** | **Unrealized**<br> **Appreciation** <br> **(Depreciation)<sup>a</sup>** |
| Bank of America Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 1.66% | Semi-Annually | 03/16/31 | $3000000 | $306420 | $(497) | $306917 |
| Bank of America Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 3.61% | Annually | 04/02/36 | 4000000 | 2923 |  | 2923 |
| Bank of America Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 3.72% | Annually | 04/02/33 | 2000000 | 1421 |  | 1421 |
| Bank of America Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 3.86% | Annually | 04/02/36 | 1000000 | 875 |  | 875 |
| Bank of America Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 4.28% | Annually | 06/14/27 | 23250000 | (191985) | 102 | (192087) |
|  |  |  |  |  |  |  | $119654 | $(395) | $120049 |

---

**OTC Interest Rate Swaptions Purchased**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty/ Description** | **Floating**<br> **Rate Type** | **Floating**<br> **Rate Index** | **Payment** <br> **Frequency** | **Fixed**<br> **Rate** | **Expiration**<br> **Date** | **Exercise** <br> **Rate** | **Swaption** <br> **Notional** <br> **Amount** | **Swaption**<br> **Value** |
| **Call** |  |  |  |  |  |  |  |  |
| Morgan Stanley Capital Services LLC 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.38% | 12/28/26 | 3.38% | $1989000 | $10892 |
| Citibank, N.A. 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.43% | 09/28/26 | 3.43% | 1778000 | 8181 |
| JPMorgan Chase Bank, N.A. 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.43% | 09/24/26 | 3.43% | 1328000 | 6070 |
| Barclays Bank plc 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.38% | 12/28/26 | 3.38% | 1105000 | 6051 |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND III** |  |

---

**OTC Interest Rate Swaptions Purchased (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty/ Description** | **Floating**<br> **Rate Type** | **Floating**<br> **Rate Index** | **Payment**<br> **Frequency** | **Fixed**<br> **Rate** | **Expiration**<br> **Date** | **Exercise**<br> **Rate** | **Swaption**<br> **Notional**<br> **Amount** | **Swaption**<br> **Value** |
| Barclays Bank plc 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.25% | 12/28/26 | 3.25% | $1105000 | $5058 |
| Bank of America, N.A. 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.25% | 12/28/26 | 3.25% | 1105000 | 5058 |
| BNP Paribas 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.30% | 09/25/26 | 3.30% | 1330000 | 4937 |
| The Toronto-Dominion Bank 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.43% | 09/28/26 | 3.43% | 869000 | 3998 |
| Barclays Bank plc 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.38% | 12/24/26 | 3.38% | 663000 | 3625 |
| Bank of America, N.A. 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.38% | 12/24/26 | 3.38% | 663000 | 3625 |
| The Toronto-Dominion Bank 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.43% | 09/24/26 | 3.43% | 663000 | 3030 |
| The Toronto-Dominion Bank 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.30% | 09/25/26 | 3.30% | 662000 | 2457 |
|  |  |  |  |  |  |  |  | $62982 |

---

**OTC Interest Rate Swaptions Written**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty/ Description** | **Floating**<br> **Rate Type** | **Floating**<br> **Rate Index** | **Payment**<br> **Frequency** | **Fixed**<br> **Rate** | **Expiration**<br> **Date** | **Exercise**<br> **Rate** | **Swaption**<br> **Notional**<br> **Amount** | **Swaption**<br> **Value** |
| **Put** |  |  |  |  |  |  |  |  |
| The Toronto-Dominion Bank 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 09/24/26 | 3.95% | $663000 | $(1925) |
| The Toronto-Dominion Bank 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 09/25/26 | 3.95% | 662000 | (1930) |
| Barclays Bank plc 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 12/24/26 | 3.95% | 663000 | (2518) |
| Bank of America, N.A. 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 12/24/26 | 3.95% | 663000 | (2518) |
| The Toronto-Dominion Bank 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 09/28/26 | 3.95% | 869000 | (2545) |
| JPMorgan Chase Bank, N.A. 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 09/24/26 | 3.95% | 1328000 | (3857) |
| BNP Paribas 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 09/25/26 | 3.95% | 1330000 | (3877) |

---

28 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND III** | **GUGGENHEIM STRATEGY FUND III** |

---

**OTC Interest Rate Swaptions Written (continued)**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty/<br> Description** | **Floating<br> Rate Type** | **Floating**<br> **Rate Index** | **Payment<br> Frequency** | **Fixed<br> Rate** | **Expiration**<br> **Date** | **Exercise<br> Rate** | **Swaption<br> Notional<br> Amount** | **Swaption**<br> **Value** |
| Bank of America, N.A. 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 12/28/26 | 3.95% | $1105000 | $(4206) |
| Citibank, N.A. 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 09/24/26 | 3.95% | 1778000 | (5163) |
| Morgan Stanley Capital Services LLC 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 12/28/26 | 3.95% | 1989000 | (7571) |
| Barclays Bank plc 2-Year Interest Rate Swap | Pay | 12 Month Term SOFR | Annual | 3.95% | 12/28/26 | 3.95% | 2210000 | (8412) |
|  |  |  |  |  |  |  |  | $(44522) |

---

---

| | |
|:---|:---|
| *<sup>a</sup>* | *Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.* |
|  | CME — Chicago Mercantile Exchange |
|  | SOFR — Secured Overnight Financing Rate |

---

The following table summarizes the inputs used to value the Fund's investments at March 31, 2026 (See Note 4 in the Notes to Financial Statements):

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Investments in Securities (Assets)** |<br>**Level 1**<br>**Quoted**<br>**Prices** | **Level 2**<br>**Significant**<br>**Observable**<br>**Inputs** | **Level 3**<br>**Significant**<br>**Unobservable**<br>**Inputs** |<br><br>**Total** |
| Preferred Stocks | $— | $198640 | $— | $198640 |
| Collateralized Mortgage Obligations |  | 43756314 | 1218271 | 44974585 |
| Corporate Bonds |  | 43402806 |  | 43402806 |
| Asset-Backed Securities |  | 30193979 | 598108 | 30792087 |
| Repurchase Agreements |  | 4004954 |  | 4004954 |
| Senior Floating Rate Interests |  | 2131204 |  | 2131204 |
| U.S. Treasury Bills |  | 848882 |  | 848882 |
| Interest Rate Swaptions Purchased |  | 62982 |  | 62982 |
| Interest Rate Futures Contracts<sup>a</sup> | 35755 |  |  | 35755 |
| Interest Rate Swap Agreements<sup>a</sup> |  | 312136 |  | 312136 |
| Total Assets | $35755 | $124911897 | $1816379 | $126764031 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Investments in Securities (Liabilities)** |<br>**Level 1**<br>**Quoted**<br>**Prices** | **Level 2**<br>**Significant**<br>**Observable**<br>**Inputs** | **Level 3**<br>**Significant**<br>**Unobservable**<br>**Inputs** |<br><br>**Total** |
| Interest Rate Swaptions Written | $— | $44522 | $— | $44522 |
| Interest Rate Futures Contracts<sup>a</sup> | 26874 |  |  | 26874 |
| Interest Rate Swap Agreements<sup>a</sup> |  | 192087 |  | 192087 |
| Total Liabilities | $26874 | $236609 | $— | $263483 |

---

 

*<sup>a</sup>* *Reported as unrealized appreciation/depreciation at period end.*

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND III** | **GUGGENHEIM STRATEGY FUND III** |

---

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Category** | **Ending Balance at**<br>**March 31, 2026** | <br>**Valuation Technique** | <br>**Unobservable Inputs** |<br>**Input Range** | **Weighted**<br>**Average** |
| **Assets:** |  |  |  |  |  |
| Asset-Backed Securities | $348108 | Option adjusted spread off prior month end broker quote | Broker Quote |  |  |
| Asset-Backed Securities | 250000 | Third Party Pricing | Trade Price |  |  |
| Collateralized Mortgage Obligations | 998832 | Third Party Pricing | Trade Price |  |  |
| Collateralized Mortgage Obligations | 219439 | Third Party Pricing | Vendor Price |  |  |
| Total Assets | $1816379 |  |  |  |  |

---

Significant changes in a quote would generally result in significant changes in the fair value of the security.

The Fund's fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment's valuation changes. For the period ended March 31, 2026, the Fund had securities with a total value of $219,439 transfer into Level 3 from Level 2 due to a lack of observable inputs and did not have any securities transfer out of Level 3 into Level 2.

**Summary of Fair Value Level 3 Activity**

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended March 31, 2026:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Beginning<br> Balance** | **Purchases/<br> (Receipts)** | **(Sales,<br> maturities and<br> paydowns)/<br> Fundings** | **Total realized<br> gains (losses)<br> included in<br> earnings** |
| **Assets** |  |  |  |  |
| Asset-Backed Securities | $239802 | $600000 | $(240570) | $— |
| Collateralized Mortgage Obligations |  | 1003698 | (4167) |  |
| **Total Assets** | $239802 | $1603698 | $(244737) | $— |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Total change<br> in unrealized<br> appreciation<br> (depreciation)<br> included in<br> earnings** | **Transfers into<br> Level 3** | **Ending Balance** | **Net change<br> in unrealized<br> appreciation<br> (depreciation) for <br> investments in<br> Level 3 securities<br> still held at March<br> 31, 2026** |
| **Assets** |  |  |  |  |
| Asset-Backed Securities | $(1124) | $— | $598108 | $(1892) |
| Collateralized Mortgage Obligations | (699) | 219439 | 1218271 | (699) |
| **Total Assets** | $(1823) | $219439 | $1816379 | $(2591) |

---

30 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND III** | **GUGGENHEIM 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<br> Next Reset Date** | **Next Rate Reset**<br> **Date** |
| Angel Oak Mortgage Trust 2024-4, 6.20% due 01/25/69 | 7.20% | 03/01/28 |
| Angel Oak Mortgage Trust 2023-1, 4.75% due 09/26/67 | 5.75% | 01/01/27 |
| Angel Oak Mortgage Trust 2025-12, 5.14% due 12/25/70 | 6.14% | 11/01/29 |
| Archwest Mortgage Trust 2025-RTL1, 5.20% due 10/25/40 | 6.16% | 04/25/28 |
| Barclays Mortgage Loan Trust 2026-CES1, 4.85% due 01/25/56 | 5.85% | 02/01/30 |
| COLT Mortgage Loan Trust 2023-3, 7.18% due 09/25/68 | 8.18% | 09/01/27 |
| Cross Mortgage Trust 2026-NQM1, 4.95% due 02/25/61 | 5.95% | 01/01/30 |
| GCAT Trust 2023-NQM3, 6.89% due 08/25/68 | 7.89% | 09/01/27 |
| GCAT Trust 2023-NQM2, 5.84% due 11/25/67 | 6.84% | 01/01/27 |
| GCAT Trust 2024-NQM2, 6.09% due 06/25/59 | 7.36% | 05/01/28 |
| JP Morgan Mortgage Trust 2026-CES1, 4.91% due 06/25/56 | 5.91% | 01/01/30 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM9, 5.22% due 09/25/70 | 6.22% | 11/01/29 |
| NYMT Loan Trust 2026-INV2, 5.63% due 04/25/61 | 6.63% | 03/01/30 |
| OBX Trust 2024-NQM1, 6.25% due 11/25/63 | 7.25% | 12/01/27 |
| OBX Trust 2024-NQM6, 6.45% due 02/25/64 | 7.45% | 04/01/28 |
| OBX Trust 2024-NQM5, 5.99% due 01/25/64 | 6.99% | 03/01/28 |
| OBX Trust 2024-NQM8, 6.23% due 05/25/64 | 7.23% | 05/01/28 |
| OBX Trust 2025-R1, 5.09% due 09/25/62 | 6.09% | 11/01/29 |
| OBX Trust 2024-NQM7, 6.24% due 03/25/64 | 7.24% | 04/01/28 |
| PRPM LLC 2026-2, 5.09% due 02/25/31 | 8.09% | 02/01/29 |
| Towd Point Mortgage Trust 2026-CES1, 4.96% due 01/25/66 | 6.13% | 01/01/30 |
| Verus Securitization Trust 2025-12, 5.37% due 12/25/70 | 6.37% | 12/01/29 |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (concluded) | March 31, 2026 |
| **GUGGENHEIM STRATEGY FUND III** | **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 March 31, 2026, the repurchase agreements in the account were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Counterparty and <br> Terms of Agreement** | **Face Value** | **Repurchase**<br> **Price** | **Collateral** | **Par Value** | **Fair Value** |
| Bank of America Securities, Inc.<br> 3.65% Due 04/01/2026 | $1327609 | $1327744 | U.S. Treasury Strips 0.00%<br> Due 05/15/40 | $2697421 | $1354162 |
| J.P. Morgan Securities LLC 3.66%<br> Due 04/01/2026 | 1106341 | 1106453 | U.S. Treasury Inflation-Protected Security 1.13%<br> Due 10/15/30 | <br> 940000 | <br> 941961 |
|  |  |  | U.S. Treasury Strips 0.00%<br> Due 11/15/27 | <br> 44 | <br> 41 |
|  |  |  | U.S. Treasury Strips 0.00%<br> Due 02/15/27 | <br> 192800 | <br> 186580 |
|  |  |  |  | 1132844 | 1128582 |
| BNP Paribas 3.65% Due<br> 04/01/2026 | 995707 | 995808 | U.S. Treasury Note 4.50%<br> Due 12/31/31 | <br> 1800 | <br> 1863 |
|  |  |  | U.S. Treasury Strips 0.00%<br> Due 08/15/32 | <br> 911166 | <br> 701318 |
|  |  |  | U.S. Treasury Strips 0.00%<br> Due 02/15/51 | <br> 1101300 | <br> 312545 |
|  |  |  |  | 2014266 | 1015726 |
| Bank of Montreal 3.63% Due<br> 04/01/2026 | 575297 | 575355 | U.S. Treasury Bond 4.63%<br> Due 11/15/45 | <br> 598200 | <br> 586917 |

---

32 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| |
|:---|
| **STATEMENT OF ASSETS AND LIABILITIES** (Unaudited) |
| **GUGGENHEIM STRATEGY FUND III** |

---

March 31, 2026

---

| | |
|:---|:---|
| **ASSETS:** | |
| Investments, at value (cost $124,661,517) | $122411186 |
| Repurchase agreements, at value (cost $4,004,954) | 4004954 |
| Cash | 4501357 |
| Segregated cash due from broker | 10000 |
| Prepaid expenses | 3038 |
| Receivables: |  |
| &nbsp;&nbsp;&nbsp;Investments sold | 1169664 |
| &nbsp;&nbsp;&nbsp;Interest | 1019115 |
| &nbsp;&nbsp;&nbsp;Foreign tax reclaims | 8422 |
| **Total assets** | 133127736 |
| **LIABILITIES:** |  |
| Options written, at value (premiums received $59,219) | 44522 |
| Payable for: |  |
| &nbsp;&nbsp;&nbsp;Investments purchased | 2781809 |
| &nbsp;&nbsp;&nbsp;Distributions to shareholders | 104363 |
| &nbsp;&nbsp;&nbsp;Variation margin on interest rate swap agreements | 21805 |
| &nbsp;&nbsp;&nbsp;Trustees' fees and expenses\* | 11305 |
| &nbsp;&nbsp;&nbsp;Transfer agent fees | 3453 |
| &nbsp;&nbsp;&nbsp;Variation margin on futures contracts | 1012 |
| &nbsp;&nbsp;&nbsp;Other liabilities | 84165 |
| **Total liabilities** | 3052434 |
| **NET ASSETS** | $130075302 |
| **NET ASSETS CONSIST OF:** |  |
| Paid-in capital | $136109985 |
| Total distributable earnings (loss) | (6034683) |
| Net assets | $130075302 |
| Capital shares outstanding | 5237289 |
| Net asset value per share | $24.84 |

---

*<sup>\*</sup>* *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. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| |
|:---|
| **STATEMENT OF OPERATIONS** (Unaudited) |
| **GUGGENHEIM STRATEGY FUND III** |

---

Six Months Ended March 31, 2026

---

| | |
|:---|:---|
| **INVESTMENT INCOME:** | |
| Dividends | $67977 |
| Interest (net of foreign withholding tax of $166) | 3315040 |
| &nbsp;&nbsp;&nbsp;Total investment income | 3383017 |
| **EXPENSES:** |  |
| Professional fees | 68770 |
| Trustees' fees and expenses\* | 41020 |
| Custodian fees | 18647 |
| Fund accounting fees | 16342 |
| Transfer agent fees | 5984 |
| Miscellaneous | 21210 |
| &nbsp;&nbsp;&nbsp;Total expenses | 171973 |
| Net expenses | 171973 |
| Net investment income | 3211044 |
| **Net Realized and Unrealized Gain (Loss):** |  |
| Net realized gain (loss) on: |  |
| &nbsp;&nbsp;&nbsp;Investments | 32481 |
| &nbsp;&nbsp;&nbsp;Swap agreements | (139348) |
| &nbsp;&nbsp;&nbsp;Futures contracts | 1 |
| Net realized loss | (106866) |
| Net change in unrealized appreciation (depreciation) on: |  |
| &nbsp;&nbsp;&nbsp;Investments | (1020042) |
| &nbsp;&nbsp;&nbsp;Swap agreements | 480993 |
| &nbsp;&nbsp;&nbsp;Futures contracts | 8881 |
| &nbsp;&nbsp;&nbsp;Options purchased | 551 |
| &nbsp;&nbsp;&nbsp;Options written | 14697 |
| Net change in unrealized appreciation (depreciation) | (514920) |
| Net realized and unrealized loss | (621786) |
| **Net increase in net assets resulting from operations** | $2589258 |

---

*<sup>\*</sup>* *Relates to Trustees not deemed "interested persons" within the meaning of Section 2(a)(19) of the Investment Company Act of 1940.*

34 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| |
|:---|
| **STATEMENTS OF CHANGES IN NET ASSETS** |
| **GUGGENHEIM STRATEGY FUND III** |

---

---

| | | |
|:---|:---|:---|
| | **Six Months Ended<br> March 31, 2026<br> (Unaudited)** | **Year Ended<br> September 30, 2025** |
| **INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:** |  |  |
| Net investment income | $3211044 | $9284951 |
| Net realized gain (loss) on investments | (106866) | 653724 |
| Net change in unrealized appreciation (depreciation) on investments | (514920) | 44120 |
| Net increase in net assets resulting from operations | 2589258 | 9982795 |
| Distributions to shareholders | (3171515) | (9608713) |
| **CAPITAL SHARE TRANSACTIONS:** |  |  |
| Proceeds from sale of shares |  | 81110000 |
| Distributions reinvested | 2532590 | 8133959 |
| Cost of shares redeemed |  | (313156803) |
| Net increase (decrease) from capital share transactions | 2532590 | (223912844) |
| Net increase (decrease) in net assets | 1950333 | (223538762) |
| **NET ASSETS:** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of period | 128124969 | 351663731 |
| &nbsp;&nbsp;&nbsp;End of period | $130075302 | $128124969 |
| **CAPITAL SHARE ACTIVITY:** |  |  |
| Shares sold |  | 3258789 |
| Shares issued from reinvestment of distributions | 101641 | 326240 |
| Shares redeemed |  | (12575979) |
| Net increase (decrease) in shares | 101641 | (8990950) |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| |
|:---|
| **FINANCIAL HIGHLIGHTS** |
| **GUGGENHEIM STRATEGY FUND III** |

---

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Six Months**<br> **Ended**<br> **03/31/2026<sup>a</sup>** | **Year Ended**<br> **09/30/2025** | **Year Ended**<br> **09/30/2024** | **Year Ended**<br> **09/30/2023** | **Year Ended**<br> **09/30/2022** | **Year Ended**<br> **09/30/2021** |
| **Per Share Data** |  |  |  |  |  |  |
| Net asset value, beginning of period | $24.95 | $24.89 | $24.29 | $24.02 | $25.14 | $25.07 |
| Income (loss) from investment operations: |  |  |  |  |  |  |
| Net investment income (loss)<sup>b</sup> | 0.62 | 1.33 | 1.29 | 1.13 | 0.50 | 0.39 |
| Net gain (loss) on investments (realized and unrealized) | 0.04 | 0.10 | 0.65 | 0.41 | (1.10) | 0.09 |
| Total from investment operations | 0.66 | 1.43 | 1.94 | 1.54 | (0.60) | 0.48 |
| Less distributions from: |  |  |  |  |  |  |
| Net investment income | (0.77) | (1.37) | (1.34) | (1.27) | (0.52) | (0.41) |
| Total distributions | (0.77) | (1.37) | (1.34) | (1.27) | (0.52) | (0.41) |
| Net asset value, end of period | $24.84 | $24.95 | $24.89 | $24.29 | $24.02 | $25.14 |
| **Total Return<sup>c</sup>** | **2.03%** | **5.91%** | **8.15%** | **6.56%** | **(2.40)%** | **1.93%** |
| **Ratios/Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (in thousands) | $130075 | $128125 | $351664 | $328633 | $299138 | $343945 |
| Ratios to average net assets: |  |  |  |  |  |  |
| Net investment income (loss) | 2.76% | 5.33% | 5.25% | 4.66% | 2.03% | 1.55% |
| Total expenses<sup>d</sup> | 0.15% | 0.14% | 0.10% | 0.13% | 0.10% | 0.11% |
| Net expenses | 0.15% | 0.14% | 0.10% | 0.13% | 0.10% | 0.11% |
| Portfolio turnover rate | 26% | 3% | 37% | 17% | 34% | 101% |

---

*<sup>a</sup>* *Unaudited figures for the period ended March 31, 2026. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.*

*<sup>b</sup>* *Net investment income (loss) per share was computed using average shares outstanding throughout the period.*

*<sup>c</sup>* *Total return does not reflect the impact of any applicable sales charges.*

*<sup>d</sup>* *Does not include expenses of the underlying funds in which the Fund invests, if any.*

36 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) | March 31, 2026 |
| **GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III** | **GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III** |

---

---

| | | |
|:---|:---|:---|
| | **FACE<br> AMOUNT** | **VALUE** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS - 47.4%** |  |  |
| **RESIDENTIAL MORTGAGE-BACKED SECURITIES - 38.0%** |  |  |
| OBX Trust |  |  |
| &nbsp;&nbsp;&nbsp;2024-NQM5, 5.99% due 01/25/64<sup>a,b</sup> | $624578 | $627861 |
| &nbsp;&nbsp;&nbsp;2024-NQM8, 6.23% due 05/25/64<sup>a,b</sup> | 359761 | 362768 |
| &nbsp;&nbsp;&nbsp;2024-NQM6, 6.45% due 02/25/64<sup>a,b</sup> | 349140 | 352388 |
| &nbsp;&nbsp;&nbsp;2024-NQM7, 6.24% due 03/25/64<sup>a,b</sup> | 347237 | 349948 |
| &nbsp;&nbsp;&nbsp;2026-NQM4, 5.53% due 02/25/66<sup>a,b</sup> | 250000 | 249459 |
| &nbsp;&nbsp;&nbsp;2026-NQM5, 5.74% due 01/25/66<sup>a,b</sup> | 200000 | 199999 |
| &nbsp;&nbsp;&nbsp;2025-R1, 5.19% due 09/25/62<sup>a,b</sup> | 95977 | 95251 |
| OSAT Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-RPL1, 6.12% due 05/25/65<sup>a</sup> | 913467 | 913979 |
| GCAT Trust |  |  |
| &nbsp;&nbsp;&nbsp;2023-NQM2, 5.84% due 11/25/67<sup>a,b</sup> | 403956 | 402547 |
| &nbsp;&nbsp;&nbsp;2024-NQM2, 6.09% due 06/25/59<sup>a,b</sup> | 319885 | 322065 |
| &nbsp;&nbsp;&nbsp;2023-NQM3, 6.89% due 08/25/68<sup>a,b</sup> | 136675 | 137500 |
| Legacy Mortgage Asset Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-GS3, 5.75% due 07/25/61<sup>a</sup> | 377734 | 377854 |
| &nbsp;&nbsp;&nbsp;2021-GS4, 5.65% due 11/25/60<sup>a</sup> | 274169 | 274339 |
| &nbsp;&nbsp;&nbsp;2021-GS2, 5.75% due 04/25/61<sup>a</sup> | 131917 | 132148 |
| FIGRE Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-HE1, 5.43% (WAC) due 01/25/56<sup>◊,a</sup> | 481042 | 476148 |
| &nbsp;&nbsp;&nbsp;2026-HE2, 5.55% (WAC) due 01/25/56<sup>◊,a</sup> | 150000 | 148858 |
| &nbsp;&nbsp;&nbsp;2025-HE8, 5.46% (WAC) due 11/25/55<sup>◊,a</sup> | 137605 | 136349 |
| Angel Oak Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2023-1, 4.75% due 09/26/67<sup>a,b</sup> | 216277 | 215455 |
| &nbsp;&nbsp;&nbsp;2024-4, 6.20% due 01/25/69<sup>a,b</sup> | 211501 | 213026 |
| &nbsp;&nbsp;&nbsp;2022-1, 3.29% (WAC) due 12/25/66<sup>◊,a</sup> | 157723 | 142897 |
| &nbsp;&nbsp;&nbsp;2025-12, 5.14% due 12/25/70<sup>a,b</sup> | 96029 | 95311 |
| Towd Point Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-CES1, 5.32% due 01/25/66<sup>a,b</sup> | 500000 | 496869 |
| &nbsp;&nbsp;&nbsp;2018-2, 3.25% (WAC) due 03/25/58<sup>◊,a</sup> | 45029 | 44661 |
| Verus Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-3, 5.33% due 03/25/71<sup>a,b</sup> | 250000 | 248043 |
| &nbsp;&nbsp;&nbsp;2025-12, 5.37% due 12/25/70<sup>a,b</sup> | 245737 | 244734 |
| &nbsp;&nbsp;&nbsp;2021-3, 1.44% (WAC) due 06/25/66<sup>◊,a</sup> | 54097 | 48376 |
| NYMT Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-CP1, 3.75% (WAC) due 11/25/69<sup>◊,a</sup> | 550000 | 513941 |
| Imperial Fund Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-NQM2, 4.02% (WAC) due 03/25/67<sup>◊,a</sup> | 526310 | 494842 |
| HOMES Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-NQM1, 5.16% due 09/25/70<sup>a,b</sup> | 479337 | 474133 |
| Home Equity Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2007-FRE1, 3.98% (1 Month Term SOFR + 0.30%, Rate Floor: 0.19%) due 04/25/37<sup>◊</sup> | 428204 | 408382 |
| JP Morgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-12, 2.50% (WAC) due 02/25/52<sup>◊,a</sup> | 416373 | 389752 |
| CSMC Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-RPL4, 4.15% (WAC) due 12/27/60<sup>◊,a</sup> | 276355 | 275383 |
| &nbsp;&nbsp;&nbsp;2020-NQM1, 2.21% due 05/25/65<sup>a</sup> | 117916 | 113238 |
| New Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-1A, 3.50% (WAC) due 10/25/59<sup>◊,a</sup> | 213858 | 200257 |
| &nbsp;&nbsp;&nbsp;2018-2A, 3.50% (WAC) due 02/25/58<sup>◊,a</sup> | 194730 | 185648 |
| HarborView Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2006-14, 4.09% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 01/25/47<sup>◊</sup> | 401816 | 383347 |
| NLT Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-NQM1, 6.61% due 02/25/71<sup>a</sup> | 350000 | 365923 |
| Bear Stearns Asset-Backed Securities I Trust |  |  |
| &nbsp;&nbsp;&nbsp;2006-HE9, 4.07% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 11/25/36<sup>◊</sup> | 341191 | 337473 |
| Cross Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-NQM3, 5.48% due 03/25/71<sup>a,b</sup> | 200000 | 199959 |
| &nbsp;&nbsp;&nbsp;2026-NQM1, 5.16% due 02/25/61<sup>a,b</sup> | 98411 | 97448 |
| Structured Asset Securities Corp. Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2007-BC4, 4.42% (1 Month Term SOFR + 0.74%, Rate Floor: 0.63%) due 11/25/37<sup>◊</sup> | 256596 | 251043 |
| LHOME Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-RTL1, 4.91% due 01/25/41<sup>a,b</sup> | 250000 | 249042 |
| SG Residential Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-1, 5.35% due 12/25/65<sup>a,b</sup> | 247155 | 245777 |
| PRPM LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-1, 5.19% due 02/25/31<sup>a</sup> | 122561 | 121267 |
| &nbsp;&nbsp;&nbsp;2026-2, 5.09% due 02/25/31<sup>a,b</sup> | 95430 | 95127 |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III** |  |

---

---

| | | |
|:---|:---|:---|
| | **FACE<br> AMOUNT** | **VALUE** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS - 47.4% (continued)** |  |  |
| **RESIDENTIAL MORTGAGE-BACKED SECURITIES - 38.0% (continued)** |  |  |
| NovaStar Mortgage Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;2007-2, 3.99% (1 Month Term SOFR + 0.31%, Rate Floor: 0.20%) due 09/25/37<sup>◊</sup> | $209876 | $207930 |
| Soundview Home Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2006-OPT5, 4.07% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 07/25/36<sup>◊</sup> | 193946 | 190089 |
| CFMT LLC |  |  |
| &nbsp;&nbsp;&nbsp;2022-HB9, 3.25% (WAC) due 09/25/37<sup>◊,a</sup> | 176407 | 174068 |
| COLT Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2023-3, 7.18% due 09/25/68<sup>a,b</sup> | 130845 | 131599 |
| Archwest Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-RTL1, 5.20% due 10/25/40<sup>a,b</sup> | 100000 | 99785 |
| Saluds Grade Alternative Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-RRTL1, 5.66% due 10/25/40<sup>a,b</sup> | 100000 | 99560 |
| ACHM Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-HE3, 5.45% (WAC) due 11/25/55<sup>◊,a</sup> | 95050 | 94123 |
| Morgan Stanley Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-NQM9, 5.22% due 09/25/70<sup>a,b</sup> | 93248 | 92745 |
| GS Mortgage-Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-NQM1, 1.38% (WAC) due 09/27/60<sup>◊,a</sup> | 37280 | 35573 |
| Starwood Mortgage Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-1, 2.28% (WAC) due 02/25/50<sup>◊,a,c</sup> | 19141 | 18274 |
| Argent Securities, Inc. Asset- Backed Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;2005-W2, 4.53% (1 Month Term SOFR + 0.85%, Rate Floor: 0.74%) due 10/25/35<sup>◊,c</sup> | 11993 | 11960 |
| Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;2020-1, 2.38% (WAC) due 01/26/60<sup>◊,a,c</sup> | 4408 | 4392 |
| **Total Residential Mortgage-Backed Securities** |  | 13870913 |
| **COMMERCIAL MORTGAGE-BACKED SECURITIES - 8.3%** |  |  |
| WMRK Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-WMRK, 7.11% (1 Month Term SOFR + 3.44%, Rate Floor: 3.44%) due 11/15/27<sup>◊,a</sup> | 1005956 | 1005956 |
| MTN Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-LPFL, 6.62% (1 Month Term SOFR + 2.94%, Rate Floor: 2.94%) due 03/15/39<sup>◊,a</sup> | 800000 | 798479 |
| BX Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2022-LP2, 5.23% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39<sup>◊,a</sup> | 350000 | 349781 |
| JP Morgan Chase Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-NYAH, 5.58% (1 Month Term SOFR + 1.90%, Rate Floor: 1.54%) due 06/15/38<sup>◊,a</sup> | 350000 | 305715 |
| BXHPP Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-FILM, 4.89% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 08/15/36<sup>◊,a</sup> | 250000 | 216875 |
| Benchmark Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2019-B14, 0.74% (WAC) due 12/15/62<sup>◊,d</sup> | 8504945 | 156318 |
| BX Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-VOLT, 5.37% (1 Month Term SOFR + 1.70%, Rate Floor: 1.70%) due 12/15/44<sup>◊,a</sup> | 100000 | 99688 |
| Bank of America Merrill Lynch Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2017-BNK3, 1.00% (WAC) due 02/15/50<sup>◊,d</sup> | 18652041 | 62727 |
| Life Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;2021-BMR, 4.89% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 03/15/38<sup>◊,a</sup> | 37380 | 37006 |
| **Total Commercial Mortgage-Backed Securities** |  | 3032545 |
| **MILITARY HOUSING - 0.7%** |  |  |
| GMAC Commercial Mortgage Asset Corp. |  |  |
| &nbsp;&nbsp;&nbsp;2025-WPAFB, 7.15% due 08/10/36<sup>a,c</sup> | 235708 | 251092 |
| **GOVERNMENT AGENCY - 0.4%** |  |  |
| Fannie Mae |  |  |
| &nbsp;&nbsp;&nbsp;6.50% due 04/25/49 | 162156 | 163491 |
| **Total Collateralized Mortgage Obligations** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $17,738,346) |  | 17318041 |

---

38 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III** |  |

---

---

| | | |
|:---|:---|:---|
| | **FACE<br> AMOUNT** | **VALUE** |
| **ASSET-BACKED SECURITIES - 45.0%** |  |  |
| **COLLATERALIZED LOAN OBLIGATIONS - 17.1%** |  |  |
| BXMT Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2020-FL2 AS, 5.19% (1 Month Term SOFR + 1.51%, Rate Floor: 1.51%) due 02/15/38<sup>◊,a</sup> | $1000000 | $997026 |
| &nbsp;&nbsp;&nbsp;2026-FL6 B, 5.63% (1 Month Term SOFR + 1.95%, Rate Floor: 1.95%) due 08/19/43<sup>◊,a</sup> | 130000 | 128890 |
| Cerberus Loan Funding XXXII, LP |  |  |
| &nbsp;&nbsp;&nbsp;2021-2A A, 5.55% (3 Month Term SOFR + 1.88%, Rate Floor: 1.88%) due 04/22/33<sup>◊,a</sup> | 840999 | 841672 |
| Owl Rock CLO IV Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2020-4A A1R, 5.52% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 08/20/33<sup>◊,a</sup> | 577225 | 576736 |
| PFP Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2026-13 C, 5.68% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 08/18/43<sup>◊,a</sup> | 500000 | 500422 |
| ACRES Commercial Realty Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-FL4 C, 5.93% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 08/18/44<sup>◊,a</sup> | 500000 | 498498 |
| Acrec LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-FL4 C, 5.68% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 01/18/43<sup>◊,a</sup> | 500000 | 496742 |
| STWD LLC |  |  |
| &nbsp;&nbsp;&nbsp;2025-FL4 AS, 5.38% (1 Month Term SOFR + 1.70%, Rate Floor: 1.70%) due 11/19/42<sup>◊,a</sup> | 300000 | 298506 |
| THL Credit Lake Shore MM CLO I Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2019-1A A1R, 5.63% (3 Month Term SOFR + 1.96%, Rate Floor: 1.70%) due 04/15/33<sup>◊,a</sup> | 270146 | 270816 |
| GS REFT Issuer Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2026-FL1 C, 5.82% (1 Month Term SOFR + 2.15%, Rate Floor: 2.15%) due 04/19/43<sup>◊,a</sup> | 250000 | 250000 |
| AREIT Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2025-CRE11 AS, 5.43% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 07/25/43<sup>◊,a</sup> | 250000 | 249182 |
| Hlend CLO LLC |  |  |
| &nbsp;&nbsp;&nbsp;2025-3A A, 5.07% (3 Month Term SOFR + 1.40%, Rate Floor: 1.40%) due 01/20/37<sup>◊,a</sup> | 250000 | 248952 |
| FS Rialto Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-FL11 C, 5.73% (1 Month Term SOFR + 2.05%, Rate Floor: 2.05%) due 01/19/44<sup>◊,a</sup> | 250000 | 248940 |
| Eldridge CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2025-2A C, 5.49% (3 Month Term SOFR + 1.85%, Rate Floor: 1.85%) due 01/20/39<sup>◊,a</sup> | 150000 | 150109 |
| Brsp Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2026-FL3 C, 5.78% (1 Month Term SOFR + 2.10%, Rate Floor: 2.10%) due 08/19/43<sup>◊,a</sup> | 150000 | 149336 |
| LRECS LLC |  |  |
| &nbsp;&nbsp;&nbsp;2025-CRE1 AS, 5.43% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 08/19/43<sup>◊,a</sup> | 100000 | 99793 |
| Acore Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-FL1 C, 5.78% (1 Month Term SOFR + 2.10%, Rate Floor: 2.10%) due 08/20/43<sup>◊,a</sup> | 100000 | 99636 |
| BSPDF Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-FL3 C, 5.75% (1 Month Term SOFR + 2.10%, Rate Floor: 2.10%) due 09/18/43<sup>◊,a</sup> | 100000 | 99360 |
| Sound Point CLO XIX Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2018-1A A, 4.93% (3 Month Term SOFR + 1.26%) due 04/15/31<sup>◊,a</sup> | 22529 | 22512 |
| **Total Collateralized Loan Obligations** |  | 6227128 |
| **TRANSPORT-AIRCRAFT - 7.1%** |  |  |
| Lunar Structured Aircraft Portfolio Notes |  |  |
| &nbsp;&nbsp;&nbsp;2021-1, 3.43% due 10/15/46<sup>a</sup> | 162726 | 155023 |
| &nbsp;&nbsp;&nbsp;2021-1, 2.64% due 10/15/46<sup>a</sup> | 159565 | 151539 |
| Slam Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 2.43% due 06/15/46<sup>a</sup> | 280000 | 265436 |
| GAIA Aviation Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2019-1, 3.97% due 12/15/44<sup>a,b</sup> | 253263 | 249742 |
| Castlelake Aircraft Structured Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-1A, 5.07% due 03/15/51<sup>a</sup> | 250000 | 245397 |
| MAST Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2026-1A, 5.13% due 02/15/51<sup>a</sup> | 248512 | 244281 |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III** |  |

---

---

| | | |
|:---|:---|:---|
| | **FACE<br> AMOUNT** | **VALUE** |
| **ASSET-BACKED SECURITIES - 45.0% (continued)** |  |  |
| **TRANSPORT-AIRCRAFT - 7.1% (continued)** |  |  |
| Phantom Aviation |  |  |
| &nbsp;&nbsp;&nbsp;2026-1A, 5.24% due 01/15/51<sup>a</sup> | $249032 | $244142 |
| AASET Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-3A, 5.24% due 02/16/50<sup>a</sup> | 245141 | 241766 |
| MAPS Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-1A, 5.20% due 01/15/51<sup>a</sup> | 246970 | 241240 |
| Navigator Aviation Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2024-1, 5.40% due 08/15/49<sup>a</sup> | 221726 | 220352 |
| Navigator Aircraft ABS Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2021-1, 3.57% due 11/15/46<sup>a</sup> | 156997 | 149219 |
| FTAI Aircraft Leasing Offshore SPV, LP |  |  |
| &nbsp;&nbsp;&nbsp;due 03/27/31<sup>e</sup> | 105267 | 105267 |
| Castlelake Aircraft Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;2018-1, 4.13% due 06/15/43<sup>a</sup> | 91676 | 91220 |
| **Total Transport-Aircraft** |  | 2604624 |
| **NET LEASE - 4.9%** |  |  |
| Oak Street Investment Grade Net Lease Fund |  |  |
| &nbsp;&nbsp;&nbsp;2020-1A, 1.85% due 11/20/50<sup>a</sup> | 962166 | 875849 |
| SVC ABS LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-1A, 5.80% due 03/20/56<sup>a</sup> | 250000 | 246651 |
| Capital Automotive REIT |  |  |
| &nbsp;&nbsp;&nbsp;2026-1A, 5.07% due 02/15/56<sup>a,c</sup> | 249740 | 246075 |
| CF Hippolyta Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.98% due 03/15/61<sup>a</sup> | 282734 | 172237 |
| CMFT Net Lease Master Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1, 2.57% due 07/20/51<sup>a</sup> | 191541 | 164867 |
| Store Master Funding I-VII |  |  |
| &nbsp;&nbsp;&nbsp;2018-1A, 4.29% due 10/20/48<sup>a</sup> | 90451 | 89506 |
| **Total Net Lease** |  | 1795185 |
| **INFRASTRUCTURE - 4.7%** |  |  |
| Aligned Data Centers Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.94% due 08/15/46<sup>a</sup> | 500000 | 494894 |
| VB-S1 Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-1A, 6.84% due 03/15/56<sup>a</sup> | 250000 | 251055 |
| &nbsp;&nbsp;&nbsp;2026-1A, 5.19% due 03/15/56<sup>a</sup> | 150000 | 147479 |
| Switch ABS Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-1A, 5.61% due 03/27/56<sup>a</sup> | 250000 | 249941 |
| Compass Datacenters Issuer III LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-1A, 5.29% due 02/25/56<sup>a</sup> | 150000 | 146902 |
| MetroNet Infrastructure Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-1A, 5.27% due 04/20/56<sup>a</sup> | 125000 | 125404 |
| Surf Internet |  |  |
| &nbsp;&nbsp;&nbsp;5.49% due 03/20/56<sup>c</sup> | 100000 | 100000 |
| Kinetic ABS Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-1A, 5.22% due 02/25/56<sup>a</sup> | 100000 | 99715 |
| Consolidated Communications LLC / Fidium Fiber Finance Holdco LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-1A, 5.42% due 03/20/56<sup>a</sup> | 100000 | 98631 |
| **Total Infrastructure** |  | 1714021 |
| **COLLATERALIZED DEBT OBLIGATIONS - 3.3%** |  |  |
| Anchorage Credit Funding 4 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2016-4A AR, 2.72% due 04/27/39<sup>a</sup> | 1250000 | 1207379 |
| **TRANSPORT-CONTAINER - 3.1%** |  |  |
| Triton Container Finance VIII LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.86% due 03/20/46<sup>a</sup> | 575000 | 531304 |
| Textainer Marine Containers VII Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.68% due 02/20/46<sup>a</sup> | 178000 | 167276 |
| &nbsp;&nbsp;&nbsp;2020-1A, 2.73% due 08/21/45<sup>a</sup> | 89918 | 86681 |
| &nbsp;&nbsp;&nbsp;2021-3A, 1.94% due 08/20/46<sup>a</sup> | 63333 | 56250 |
| CLI Funding VIII LLC |  |  |
| &nbsp;&nbsp;&nbsp;2021-1A, 1.64% due 02/18/46<sup>a</sup> | 313617 | 290740 |
| **Total Transport-Container** |  | 1132251 |
| **FINANCIAL - 2.0%** |  |  |
| Blackstone Strategic Cap Holding II |  |  |
| &nbsp;&nbsp;&nbsp;5.92% (1 Month Term SOFR + 2.25%) due 12/31/33<sup>◊,c</sup> | 400000 | 400000 |
| Pilatus Bank plc |  |  |
| &nbsp;&nbsp;&nbsp;6.32% due 03/31/40 | 250000 | 250000 |
| Ceamer Finance LLC |  |  |
| &nbsp;&nbsp;&nbsp;6.17% (WAC) due 12/15/40<sup>◊,c</sup> | 100000 | 99459 |
| **Total Financial** |  | 749459 |
| **WHOLE BUSINESS - 1.4%** |  |  |
| SERVPRO Master Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2025-1A, 5.53% due 10/25/55<sup>a</sup> | 149625 | 147965 |

---

40 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III** |  |

---

---

| | | |
|:---|:---|:---|
| | **FACE<br> AMOUNT** | **VALUE** |
| **ASSET-BACKED SECURITIES - 45.0% (continued)** |  |  |
| **WHOLE BUSINESS - 1.4% (continued)** |  |  |
| Jersey Mike's Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;2026-1A, 5.48% due 02/15/56<sup>a</sup> | $150000 | $147418 |
| Planet Fitness Master Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;2024-1A, 6.24% due 06/05/54<sup>a</sup> | 98500 | 100218 |
| Wendy's Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;2025-1A, 5.42% due 12/15/55<sup>a</sup> | 99750 | 98732 |
| **Total Whole Business** |  | 494333 |
| **SINGLE FAMILY RESIDENCE - 1.1%** |  |  |
| STAR Trust |  |  |
| &nbsp;&nbsp;&nbsp;2026-SFR7, 5.68% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 05/17/43<sup>◊,a</sup> | 250000 | 250000 |
| Progress Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-SFR6, 4.00% due 12/17/42<sup>a</sup> | 150000 | 141604 |
| **Total Single Family Residence** |  | 391604 |
| **UNSECURED CONSUMER LOANS - 0.3%** |  |  |
| GreenSky Home Improvement Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;2025-3A, 4.86% due 12/27/60<sup>a</sup> | 100000 | 99672 |
| **Total Asset-Backed Securities** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $16,769,371) |  | 16415656 |
| **REPURCHASE AGREEMENTS<sup>f</sup> - 3.9%** |  |  |
| Bank of America Securities, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;issued 03/31/26 at 3.65% due 04/01/26 | 470540 | 470540 |
| J.P. Morgan Securities LLC issued |  |  |
| &nbsp;&nbsp;&nbsp;03/31/26 at 3.66% due 04/01/26 | 392117 | 392117 |
| BNP Paribas issued |  |  |
| &nbsp;&nbsp;&nbsp;03/31/26 at 3.65% due 04/01/26 | 352905 | 352905 |
| Bank of Montreal issued 03/31/26 at 3.63% due 04/01/26 | 203901 | 203901 |
| **Total Repurchase Agreements** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $1,419,463) |  | 1419463 |
| **SENIOR FLOATING RATE INTERESTS - 0.6%** |  |  |
| **FINANCIAL - 0.6%** |  |  |
| Citadel Securities Global Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;5.70% (3 Month Term SOFR + 2.00%) due 10/31/31<sup>◊</sup> | 117611 | 117677 |
| Jane Street Group LLC |  |  |
| &nbsp;&nbsp;&nbsp;5.67% (3 Month Term SOFR + 2.00%) due 12/15/31<sup>◊</sup> | 97680 | 95783 |
| **Total Financial** |  | 213460 |
| **Total Senior Floating Rate Interests** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $215,241) |  | 213460 |
| **U.S. TREASURY BILLS - 0.5%** |  |  |
| U.S. Treasury Bills |  |  |
| &nbsp;&nbsp;&nbsp;3.65% due 04/14/26<sup>g,h</sup> | 170000 | 169776 |
| **Total U.S. Treasury Bills** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $169,776) |  | 169776 |
| **Total Investments - 97.4%** |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $36,312,197) |  | $35536396 |
| **Other Assets & Liabilities, net - 2.6%** |  | 942979 |
| **Total Net Assets - 100.0%** |  | $36479375 |

---

---

| | |
|:---|:---|
| <sup>◊</sup> | *Variable rate security. Rate indicated is the rate effective at March 31, 2026. 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.* |
| *<sup>a</sup>* | *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) liquid securities is $30,606,211 (cost $31,095,770), or 83.9% of total net assets.* |
| *<sup>b</sup>* | *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 March 31, 2026. See table below for additional step information for each security.* |
| *<sup>c</sup>* | *Value determined based on Level 3 inputs — See Note 4.* |
| *<sup>d</sup>* | *Security is an interest-only strip.* |
| *<sup>e</sup>* | *Security has no stated coupon.* |
| *<sup>f</sup>* | *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.* |
| *<sup>g</sup>* | *Rate indicated is the effective yield at the time of purchase.* |
| *<sup>h</sup>* | *All or a portion of this security is pledged as interest rate swap collateral at March 31, 2026.* |
|  | LLC — Limited Liability Company |
|  | plc — Public Limited Company |
|  | REIT — Real Estate Investment Trust |
|  | SOFR — Secured Overnight Financing Rate |
|  | WAC — Weighted Average Coupon |

---

See Sector Classification in Other Information section.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III** |  |

---

**Centrally Cleared Interest Rate Swap Agreements**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Floating**<br> **Rate Type** | **Floating**<br> **Rate Index** | **Fixed**<br> **Rate** | **Payment**<br> **Frequency** | **Maturity**<br> **Date** | **Notional Amount** | **Value** | **Upfront<br> Premiums<br> Paid<br> (Received)** | **Unrealized**<br> **Appreciation (Depreciation)<sup>a</sup>** |
| Bank of America Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 1.66% | Quarterly | 03/16/31 | $1300000 | $132782 | $(206) | $132988 |
| Bank of America Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 3.61% | Annually | 04/02/36 | 2500000 | 1827 |  | 1827 |
| Bank of America Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 3.72% | Annually | 04/02/33 | 1700000 | 1208 |  | 1208 |
| Bank of America Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 3.86% | Annually | 04/02/36 | 500000 | 438 |  | 438 |
| Bank of America Securities, Inc. CME | Receive | U.S. Secured Overnight Financing Rate | 4.28% | Annually | 06/14/27 | 1750000 | (14451) | 18 | (14469) |
|  |  |  |  |  |  |  | $121804 | $(188) | $121992 |

---

*<sup>a</sup>* *Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.* <br>CME — Chicago Mercantile Exchange

The following table summarizes the inputs used to value the Fund's investments at March 31, 2026 (See Note 4 in the Notes to Financial Statements):

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities (Assets)** | **Level 1**<br> **Quoted**<br> **Prices** | **Level 2<br> Significant<br> Observable<br> Inputs** | **Level 3<br> Significant<br> Unobservable<br> Inputs** | **Total** |
| Collateralized Mortgage Obligations | $— | $17032323 | $285718 | $17318041 |
| Asset-Backed Securities |  | 15570122 | 845534 | 16415656 |
| Repurchase Agreements |  | 1419463 |  | 1419463 |
| Senior Floating Rate Interests |  | 213460 |  | 213460 |
| U.S. Treasury Bills |  | 169776 |  | 169776 |
| Interest Rate Swap Agreements<sup>a</sup> |  | 136461 |  | 136461 |
| Total Assets | $— | $34541605 | $1131252 | $35672857 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Investments in Securities (Liabilities)** |<br>**Level 1**<br>**Quoted**<br>**Prices** | **Level 2**<br>**Significant**<br>**Observable**<br>**Inputs** | **Level 3**<br>**Significant**<br>**Unobservable**<br>**Inputs** |<br><br>**Total** |
| Interest Rate Swap Agreements<sup>a</sup> | $— | $14469 | $— | $14469 |

---

*<sup>a</sup>* *Reported as unrealized appreciation/depreciation at period end.*

42 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III** | **GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III** |

---

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Category** | **Ending Balance at <br>March 31, 2026** | **Valuation Technique** | **Unobservable Inputs** | **Input Range** | **Weighted <br>Average** |
| **Assets:** | |  |  | | |
| Asset-Backed Securities | $746075 | Third Party Pricing | Trade Price |  |  |
| Asset-Backed Securities | 99459 | Option adjusted spread off prior month end broker quote | Broker Quote |  |  |
| Collateralized Mortgage Obligations | 251092 | Option adjusted spread off prior month end broker quote | Broker Quote |  |  |
| Collateralized Mortgage Obligations | 34626 | Third Party Pricing | Vendor Price |  |  |
| **Total Assets** | $**1131252** |  |  |  |  |

---

Significant changes in a quote would generally result in significant changes in the fair value of the security.

The Fund's fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment's valuation changes. For the period ended March 31, 2026, the Fund had securities with a total value of $34,626 transfer into Level 3 from Level 2 due to a lack of observable inputs and did not have any securities transfer out of Level 3 into Level 2.

**Summary of Fair Value Level 3 Activity**

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended March 31, 2026:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Beginning<br> Balance** | **Purchases/<br> (Receipts)** | **(Sales,<br> maturities and<br> paydowns)/<br> Fundings** | **Amortization<br> of premiums/<br> discounts** | **Total realized<br> gains (losses)<br> included in<br> earnings** |
| **Assets** |  |  |  |  |  |
| Asset-Backed Securities | $89926 | $849949 | $(90475) | $— | $— |
| Collateralized Mortgage Obligations |  | 253393 |  | (959) |  |
| **Total Assets** | $89926 | $1103342 | $(90475) | $(959) | $— |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Total change<br> in unrealized<br> appreciation<br> (depreciation)<br> included in<br> earnings** | **Transfers into <br>Level 3** | **Ending Balance** | **Net change<br> in unrealized<br> appreciation<br> (depreciation) for<br> investments in<br> Level 3 securities <br> still held at March <br> 31, 2026** |
| **Assets** |  |  |  |  |
| Asset-Backed Securities | $(3866) | $— | $845534 | $(4155) |
| Collateralized Mortgage Obligations | (1342) | 34626 | 285718 | (1342) |
| **Total Assets** | $(5208) | $34626 | $1131252 | $(5497) |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (continued) | March 31, 2026 |
| **GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III** | **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, except GAIA Aviation Ltd. which are scheduled to decrease.

---

| | | |
|:---|:---|:---|
| **Name** | **Coupon Rate at<br> Next Reset Date** | **Next Rate Reset**<br> **Date** |
| Angel Oak Mortgage Trust 2023-1, 4.75% due 09/26/67 | 5.75% | 01/01/27 |
| Angel Oak Mortgage Trust 2025-12, 5.14% due 12/25/70 | 6.14% | 11/01/29 |
| Angel Oak Mortgage Trust 2024-4, 6.20% due 01/25/69 | 7.20% | 03/01/28 |
| Archwest Mortgage Trust 2025-RTL1, 5.20% due 10/25/40 | 6.16% | 04/25/28 |
| COLT Mortgage Loan Trust 2023-3, 7.18% due 09/25/68 | 8.18% | 09/01/27 |
| Cross Mortgage Trust 2026-NQM3, 5.48% due 03/25/71 | 6.48% | 03/01/30 |
| Cross Mortgage Trust 2026-NQM1, 5.16% due 02/25/61 | 6.16% | 01/01/30 |
| GAIA Aviation Ltd. 2019-1, 3.97% due 12/15/44 | 2.00% | 10/15/26 |
| 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 |
| HOMES Trust 2026-NQM1, 5.16% due 09/25/70 | 6.16% | 01/01/30 |
| LHOME Mortgage Trust 2026-RTL1, 4.91% due 01/25/41 | 6.08% | 07/25/28 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM9, 5.22% due 09/25/70 | 6.22% | 11/01/29 |
| OBX Trust 2026-NQM5, 5.74% due 01/25/66 | 6.68% | 03/01/30 |
| OBX Trust 2024-NQM7, 6.24% due 03/25/64 | 7.24% | 04/01/28 |
| OBX Trust 2024-NQM8, 6.23% due 05/25/64 | 7.23% | 05/01/28 |
| OBX Trust 2024-NQM5, 5.99% due 01/25/64 | 6.99% | 03/01/28 |
| OBX Trust 2025-R1, 5.19% due 09/25/62 | 6.19% | 11/01/29 |
| OBX Trust 2024-NQM6, 6.45% due 02/25/64 | 7.45% | 04/01/28 |
| OBX Trust 2026-NQM4, 5.53% due 02/25/66 | 6.53% | 03/01/30 |
| PRPM LLC 2026-2, 5.09% due 02/25/31 | 8.09% | 02/01/29 |
| Saluds Grade Alternative Mortgage Trust 2025-RRTL1, 5.66% due 10/25/40 | 6.71% | 03/01/28 |
| SG Residential Mortgage Trust 2025-1, 5.35% due 12/25/65 | 6.35% | 12/01/29 |
| Towd Point Mortgage Trust 2026-CES1, 5.32% due 01/25/66 | 6.38% | 01/01/30 |
| Verus Securitization Trust 2026-3, 5.33% due 03/25/71 | 6.33% | 03/01/30 |
| Verus Securitization Trust 2025-12, 5.37% due 12/25/70 | 6.37% | 12/01/29 |

---

44 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| | |
|:---|:---|
| **SCHEDULE OF INVESTMENTS** (Unaudited) (concluded) | March 31, 2026 |
| **GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III** | **GUGGENHEIM VARIABLE INSURANCE 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 March 31, 2026, the repurchase agreements in the account were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Counterparty and Terms of Agreement** | **Face Value** | **Repurchase**<br> **Price** | **Collateral** | **Par Value** | **Fair Value** |
| Bank of America Securities, Inc.<br> 3.65% Due 04/01/2026 | $470540 | $470588 | U.S. Treasury Note 4.13%<br> Due 11/15/27 | $470800 | $479956 |
| J.P. Morgan Securities LLC 3.66%<br> Due 04/01/2026 | 392117 | 392157 | U.S. Treasury Note 4.25%<br> Due 12/31/26 | <br> 300 | <br> 304 |
|  |  |  | U.S. Treasury Strips 0.00%<br> Due 11/15/30 | <br> 480370 | <br> 399696 |
|  |  |  |  | 480670 | 400000 |
| BNP Paribas 3.65% Due<br> 04/01/2026 | 352905<br>| 352941<br>| U.S. Treasury Inflation-Protected Security 1.63%<br> - 1.88% Due 04/15/30<br> - 07/15/34 | <br>340600 | <br>355944 |
|  |  |  | U.S. Treasury Note 1.13%<br> - 4.25% Due 10/31/26<br> - 12/31/28 | <br>2300 | <br>2297 |
|  |  |  | U.S. Treasury Strips 0.00%<br> Due 11/15/29 - 05/15/50 | <br> 5554 | <br> 1603 |
|  |  |  | U.S. Treasury Strips 0.00%<br> Due 02/15/40 - 02/15/48 | <br> 400 | <br> 157 |
|  |  |  |  | 348854 | 360001 |
| Bank of Montreal 3.63% Due<br> 04/01/2026 | 203901 | 203922 | U.S. Treasury Bond 4.63%<br> Due 11/15/45 | <br> 212000 | <br> 208001 |

---

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| |
|:---|
| **STATEMENT OF ASSETS AND LIABILITIES** (Unaudited) |
| **GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III** |

---

March 31, 2026

---

| | |
|:---|:---|
| **ASSETS:** | |
| Investments, at value (cost $34,892,734) | $34116933 |
| Repurchase agreements, at value (cost $1,419,463) | 1419463 |
| Cash | 1397493 |
| Prepaid expenses | 2916 |
| Receivables: |  |
| &nbsp;&nbsp;&nbsp;Investments sold | 302812 |
| &nbsp;&nbsp;&nbsp;Interest | 138666 |
| **Total assets** | 37378283 |
| **LIABILITIES:** |  |
| Payable for: |  |
| &nbsp;&nbsp;&nbsp;Investments purchased | 830603 |
| &nbsp;&nbsp;&nbsp;Distributions to shareholders | 19268 |
| &nbsp;&nbsp;&nbsp;Trustees' fees and expenses\* | 5646 |
| &nbsp;&nbsp;&nbsp;Variation margin on interest rate swap agreements | 3472 |
| &nbsp;&nbsp;&nbsp;Transfer agent fees | 3453 |
| &nbsp;&nbsp;&nbsp;Fund accounting | 80 |
| &nbsp;&nbsp;&nbsp;Other liabilities | 36386 |
| **Total liabilities** | 898908 |
| **NET ASSETS** | $36479375 |
| **NET ASSETS CONSIST OF:** |  |
| Paid-in capital | $38163156 |
| Total distributable earnings (loss) | (1683781) |
| Net assets | $36479375 |
| Capital shares outstanding | 1473567 |
| Net asset value per share | $24.76 |

---

*<sup>\*</sup>* *Relates to Trustees not deemed "interested persons" within the meaning of Section 2(a)(19) of the Investment Company Act of 1940.*

46 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| |
|:---|
| **STATEMENT OF OPERATIONS** (Unaudited) |
| **GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III** |

---

Six Months Ended March 31, 2026

---

| | |
|:---|:---|
| **INVESTMENT INCOME:** | |
| Interest | $883068 |
| &nbsp;&nbsp;&nbsp;Total investment income | 883068 |
| **EXPENSES:** |  |
| Professional fees | 45095 |
| Trustees' fees and expenses\* | 16279 |
| Fund accounting fees | 11081 |
| Custodian fees | 8770 |
| Insurance | 6985 |
| Transfer agent fees | 5984 |
| Printing fees | 5584 |
| Miscellaneous | 6952 |
| &nbsp;&nbsp;&nbsp;Total expenses | 106730 |
| Net expenses | 106730 |
| Net investment income | 776338 |
| **Net Realized and Unrealized Gain (Loss):** |  |
| Net realized gain (loss) on: |  |
| &nbsp;&nbsp;&nbsp;Investments | (567) |
| &nbsp;&nbsp;&nbsp;Swap agreements | (62953) |
| Net realized loss | (63520) |
| Net change in unrealized appreciation (depreciation) on: |  |
| &nbsp;&nbsp;&nbsp;Investments | (240120) |
| &nbsp;&nbsp;&nbsp;Swap agreements | 136627 |
| Net change in unrealized appreciation (depreciation) | (103493) |
| Net realized and unrealized loss | (167013) |
| **Net increase in net assets resulting from operations** | $609325 |

---

*<sup>\*</sup>* *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. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| |
|:---|
| **STATEMENTS OF CHANGES IN NET ASSETS** |
| **GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III** |

---

---

| | | |
|:---|:---|:---|
| | **Six Months Ended<br> March 31, 2026<br> (Unaudited)** | **Year Ended<br> September 30, 2025** |
| **INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:** |  |  |
| Net investment income | $776338 | $2607957 |
| Net realized gain (loss) on investments | (63520) | 212785 |
| Net change in unrealized appreciation (depreciation) on investments | (103493) | (81695) |
| Net increase in net assets resulting from operations | 609325 | 2739047 |
| Distributions to shareholders | (799957) | (2685705) |
| **CAPITAL SHARE TRANSACTIONS:** |  |  |
| Proceeds from sale of shares | 5000000 | 49615250 |
| Distributions reinvested | 684838 | 2428365 |
| Cost of shares redeemed |  | (153839424) |
| Net increase (decrease) from capital share transactions | 5684838 | (101795809) |
| Net increase (decrease) in net assets | 5494206 | (101742467) |
| **NET ASSETS:** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of period | 30985169 | 132727636 |
| &nbsp;&nbsp;&nbsp;End of period | $36479375 | $30985169 |
| **CAPITAL SHARE ACTIVITY:** |  |  |
| Shares sold | 201126 | 1995813 |
| Shares issued from reinvestment of distributions | 27567 | 97481 |
| Shares redeemed |  | (6186000) |
| Net increase (decrease) in shares | 228693 | (4092706) |

---

48 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL SEE NOTES TO FINANCIAL STATEMENTS.

---

| |
|:---|
| **FINANCIAL HIGHLIGHTS** |
| **GUGGENHEIM VARIABLE INSURANCE STRATEGY FUND III** |

---

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Six Months**<br> **Ended**<br> **03/31/2026<sup>a</sup>** | **Year Ended**<br> **09/30/2025** | **Year Ended**<br> **09/30/2024** | **Year Ended**<br> **09/30/2023** | **Year Ended**<br> **09/30/2022** | **Year Ended**<br> **09/30/2021** |
| **Per Share Data** |  |  |  |  |  |  |
| Net asset value, beginning of period | $24.89 | $24.87 | $24.29 | $24.01 | $25.06 | $25.00 |
| Income (loss) from investment operations: |  |  |  |  |  |  |
| Net investment income (loss)<sup>b</sup> | 0.60 | 1.34 | 1.30 | 1.11 | 0.47 | 0.40 |
| Net gain (loss) on investments (realized and unrealized) | 0.01 | 0.06 | 0.62 | 0.39 | (1.04) | 0.06 |
| Total from investment operations | 0.61 | 1.40 | 1.92 | 1.50 | (0.57) | 0.46 |
| Less distributions from: |  |  |  |  |  |  |
| Net investment income | (0.74) | (1.38) | (1.34) | (1.22) | (0.48) | (0.40) |
| Total distributions | (0.74) | (1.38) | (1.34) | (1.22) | (0.48) | (0.40) |
| Net asset value, end of period | $24.76 | $24.89 | $24.87 | $24.29 | $24.01 | $25.06 |
| **Total Return<sup>c</sup>** | **1.96%** | **5.76%** | **8.12%** | **6.35%** | **(2.27)%** | **1.83%** |
| **Ratios/Supplemental Data** |  |  |  |  |  |  |
| Net assets, end of period (in thousands) | $36479 | $30985 | $132728 | $119353 | $116684 | $131060 |
| Ratios to average net assets: |  |  |  |  |  |  |
| Net investment income (loss) | 4.81% | 5.38% | 5.28% | 4.60% | 1.89% | 1.61% |
| Total expenses<sup>d</sup> | 0.66% | 0.40% | 0.16% | 0.22% | 0.18% | 0.18% |
| Net expenses | 0.66% | 0.40% | 0.16% | 0.22% | 0.18% | 0.18% |
| Portfolio turnover rate | 32% | – <sup>e</sup> | 35% | 18% | 35% | 107% |

---

*<sup>a</sup>* *Unaudited figures for the period ended March 31, 2026. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.*

*<sup>b</sup>* *Net investment income (loss) per share was computed using average shares outstanding throughout the period.*

*<sup>c</sup>* *Total return does not reflect the impact of any applicable sales charges.*

*<sup>d</sup>* *Does not include expenses of the underlying funds in which the Fund invests, if any.*

*<sup>e</sup>* *Less than 1.0%.*

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL

---

| | |
|:---|:---|
| **NOTES TO FINANCIAL STATEMENTS** (Unaudited) | March 31, 2026 |

---

**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, as amended (the "1933 Act") may make investments in the Funds. At March 31, 2026, 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") has 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 (the "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.

50 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT

---

| | |
|:---|:---|
| **NOTES TO FINANCIAL STATEMENTS** (Unaudited) (continued) | March 31, 2026 |

---

**Note 1 ‒ Organization and Significant Accounting Policies (continued)**

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. 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.

Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded. Over-the-counter ("OTC") options and options on swaps ("swaptions") are valued using a price provided by a pricing service.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and listed 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.

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

THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT \| 51

---

| | |
|:---|:---|
| **NOTES TO FINANCIAL STATEMENTS** (Unaudited) (continued) | March 31, 2026 |

---

**Note 1 ‒ Organization and Significant Accounting Policies (continued)**

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.

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 or more major United States banks, or (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.

52 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT

---

| | |
|:---|:---|
| **NOTES TO FINANCIAL STATEMENTS** (Unaudited) (continued) | March 31, 2026 |

---

**Note 1 ‒ Organization and Significant Accounting Policies (continued)**

**(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. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.

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) Options**

Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.

When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund's accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).

The Fund may purchase and write swaptions primarily to preserve a return or spread on a particular investment or portion of the Funds' holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the options. The swaptions are forward premium swaptions which have extended settlement dates.

**(g) 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.

THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT \| 53

---

| | |
|:---|:---|
| **NOTES TO FINANCIAL STATEMENTS** (Unaudited) (continued) | March 31, 2026 |

---

**Note 1 ‒ Organization and Significant Accounting Policies (continued)**

**(h) 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.

**(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) 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.

**(k) 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 March 31, 2026, if any, are disclosed in the Funds' Statements of Assets and Liabilities.

Dividend and interest income from holdings in non-U.S. securities is recorded net of non-U.S. taxes paid. Management has analyzed the Funds' tax positions taken on federal and applicable state income tax returns as well as its tax positions in non-U.S. jurisdictions in which it trades for the tax year ended September 30, 2025 and concluded that no additional provisions for income tax were required in the Funds' financial statements. The Funds' tax positions for the tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service, state departments of revenue and by foreign tax authorities.

54 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT

---

| | |
|:---|:---|
| **NOTES TO FINANCIAL STATEMENTS** (Unaudited) (continued) | March 31, 2026 |

---

**Note 1 ‒ Organization and Significant Accounting Policies (continued)**

**(l) 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.

**(m) 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.

**(n) 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.

**(o) 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 period ended March 31, 2026, are disclosed in the Funds' Statements of Operations.

**(p) 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 3.64% at March 31, 2026.

**(q) 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.

THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT \| 55

---

| | |
|:---|:---|
| **NOTES TO FINANCIAL STATEMENTS** (Unaudited) (continued) | March 31, 2026 |

---

**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.

**Hedge:** an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

**Income:** the use of any instrument that distributes cash flows typically based upon some rate of interest.

**Speculation:** the use of an instrument to express macro-economic and other investment views.

**Options Purchased and Written**

A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.

The following table represents the Funds' use and volume of call/put options purchased on a monthly basis:

---

| | | | |
|:---|:---|:---|:---|
| | | **Average Notional Amount** | **Average Notional Amount** |
| <br>**Fund** | <br>**Use** | **Call** | **Put** |
| Strategy Fund II | Duration, Hedge, Speculation | $543333 | $— |
| Strategy Fund III | Duration, Hedge, Speculation | 2210000 |  |

---

56 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT

---

| | |
|:---|:---|
| **NOTES TO FINANCIAL STATEMENTS** (Unaudited) (continued) | March 31, 2026 |

---

**Note 2 ‒ Financial Instruments and Derivatives (continued)**

The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty's inability to perform.

The following table represents the Funds' use and volume of call/put options written on a monthly basis:

---

| | | | |
|:---|:---|:---|:---|
| | | **Average Notional Amount** | **Average Notional Amount** |
| <br>**Fund** | <br>**Use** | **Call** | **Put** |
| Strategy Fund II | Duration, Hedge, Income | $— | $543333 |
| Strategy Fund III | Duration, Hedge, Income |  | 2210000 |

---

**Futures Contracts**

A futures contract is an agreement to purchase (long) or sell (short) an agreed upon amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund's use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Funds' Statements of Assets and Liabilities; securities held as collateral are noted on the Funds' Schedules of Investments.

The following table represents the Funds' use and volume of futures on a monthly basis:

---

| | | | |
|:---|:---|:---|:---|
| | | **Average Notional Amount** | **Average Notional Amount** |
| <br>**Fund** | <br>**Use** | **Long** | **Short** |
| Strategy Fund II | Duration, Hedge | $1693379 | $1690254 |
| Strategy Fund III | Duration, Hedge | 1774060 | 1770800 |

---

**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.

THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT \| 57

---

| | |
|:---|:---|
| **NOTES TO FINANCIAL STATEMENTS** (Unaudited) (continued) | March 31, 2026 |

---

**Note 2 ‒ Financial Instruments and Derivatives (continued)**

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.

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

---

| | | | |
|:---|:---|:---|:---|
| | | **Average Notional Amount** | **Average Notional Amount** |
| <br>**Fund** | <br>**Use** | **Pay Floating Rate** | **Receive Floating Rate** |
| Strategy Fund II | Duration | $— | $51666667 |
| Strategy Fund III | Duration |  | 57108333 |
| Variable Insurance Strategy Fund III | Duration |  | 11541667 |

---

**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 March 31, 2026:

---

| | | |
|:---|:---|:---|
| **Derivative Investment Type** | **Asset Derivatives** | **Liability Derivatives** |
| Interest rate futures contracts |  | Variation margin on futures contracts |
| Interest rate swap agreements |  | Variation margin on interest rate swap agreements |
| Interest rate option contracts | Investments, at value | Options written, at value |

---

The following tables set forth the fair value of the Funds' derivative investments categorized by primary risk exposure at March 31, 2026:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Asset Derivative Investments Value** | **Asset Derivative Investments Value** | **Asset Derivative Investments Value** | **Asset Derivative Investments Value** | **Asset Derivative Investments Value** |
| <br>**Fund** |<br>**Futures**<br>**Interest**<br>**Rate**<br>**Risk<sup>\*</sup>** |<br>**Swaps**<br>**Interest**<br>**Rate**<br>**Risk<sup>\*</sup>** |<br>**Options**<br>**Written**<br>**Interest**<br>**Rate Risk** | **Options**<br>**Purchased**<br>**Interest**<br>**Rate**<br>**Risk** |<br>**Total Value at**<br>**March 31,**<br>**2026** |
| Strategy Fund II | $34351 | $4426 | $— | $15484 | $54261 |
| Strategy Fund III | 35755 | 312136 |  | 62982 | 410873 |
| Variable Insurance Strategy Fund III |  | 136461 |  |  | 136461 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Liability Derivative Investments Value** | **Liability Derivative Investments Value** | **Liability Derivative Investments Value** | **Liability Derivative Investments Value** | **Liability Derivative Investments Value** |
| <br>**Fund** |<br>**Futures**<br>**Interest**<br>**Rate**<br>**Risk<sup>\*</sup>** |<br>**Swaps**<br>**Interest**<br>**Rate**<br>**Risk<sup>\*</sup>** |<br>**Options**<br>**Written**<br>**Interest**<br>**Rate Risk** | **Options**<br>**Purchased**<br>**Interest**<br>**Rate**<br>**Risk** |<br>**Total Value at**<br>**March 31,**<br>**2026** |
| Strategy Fund II | $25804 | $218937 | $10946 | $— | $255687 |
| Strategy Fund III | 26874 | 192087 | 44522 |  | 263483 |
| Variable Insurance Strategy Fund III |  | 14469 |  |  | 14469 |

---

58 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT

---

| | |
|:---|:---|
| **NOTES TO FINANCIAL STATEMENTS** (Unaudited) (continued) | March 31, 2026 |

---

**Note 2 ‒ Financial Instruments and Derivatives (continued)**

*<sup>\*</sup>* *Includes cumulative appreciation (depreciation) 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 period ended March 31, 2026:

---

| | |
|:---|:---|
| **Derivative Investment Type** | **Location of Gain (Loss) on Derivatives** |
| Interest rate futures contracts | Net realized gain (loss) on futures contracts |
| | Net change in unrealized appreciation (depreciation) on futures contracts |
| Interest rate swap agreements | Net realized gain (loss) on swap agreements |
| | Net change in unrealized appreciation (depreciation) on swap agreements |
| Interest rate option contracts | Net change in unrealized appreciation (depreciation) on options purchased |
|  | Net realized gain (loss) on options written |
| | Net change in unrealized appreciation (depreciation) on options written |

---

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 period ended March 31, 2026:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations** | **Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations** | **Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations** | **Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations** | **Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations** |
| <br>**Fund** |<br>**Swaps<br> Interest**<br> **Rate**<br>**Risk** |<br>**Futures<br> Interest**<br> **Rate**<br>**Risk** | **Options**<br>**Written<br> Interest**<br> **Rate**<br>**Risk** | **Options**<br>**Purchased<br> Interest**<br> **Rate**<br>**Risk** |<br>**Total** |
| Strategy Fund II | $(237724) | $— | $— | $— | $(237724) |
| Strategy Fund III | (139348) | 1 |  |  | (139347) |
| Variable Insurance Strategy Fund III | (62953) |  |  |  | (62953) |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations** | **Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations** | **Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations** | **Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations** | **Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations** |
| <br>**Fund** |<br>**Swaps<br> Interest**<br> **Rate**<br>**Risk** |<br>**Futures<br> Interest**<br> **Rate**<br>**Risk** | **Options**<br>**Written<br> Interest**<br> **Rate**<br>**Risk** | **Options**<br>**Purchased<br> Interest**<br> **Rate**<br>**Risk** |<br>**Total** |
| Strategy Fund II | $522420 | $8547 | $3613 | $136 | $534716 |
| Strategy Fund III | 480993 | 8881 | 14697 | 551 | 505122 |
| Variable Insurance Strategy Fund III | 136627 |  |  |  | 136627 |

---

In conjunction with short sales and 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 GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT \| 59

---

| | |
|:---|:---|
| **NOTES TO FINANCIAL STATEMENTS** (Unaudited) (continued) | March 31, 2026 |

---

**Note 2 ‒ Financial Instruments and Derivatives (continued)**

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 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 instruments as of March 31, 2026.

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | | **Gross Amounts Not Offset<br> in the Statements of<br> Assets and Liabilities** | **Gross Amounts Not Offset<br> in the Statements of<br> Assets and Liabilities** | |
| <br>**Fund** | <br>**Instrument** |<br>**Gross<br> Amounts of<br> Recognized<br> Assets<sup>a</sup>** |<br>**Gross <br>Amounts<br> Offset in the<br> Statements of<br> Assets and<br> Liabilities** |<br>**Net Amount<br> of Assets <br>Presented on<br> the Statements<br> of Assets and<br> Liabilities** | **Financial <br>Instruments** | **Cash<br> Collateral<br> Received** |<br>**Net <br>Amount** |
| Strategy Fund II | Interest Rate Swaptions Purchased | $15484 | $— | $15484 | $— | $— | $15484 |

---

60 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT

---

| | |
|:---|:---|
| **NOTES TO FINANCIAL STATEMENTS** (Unaudited) (continued) | March 31, 2026 |

---

**Note 3 ‒ Offsetting (continued)**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | | **Gross Amounts Not Offset<br> in the Statements of<br> Assets and Liabilities** | **Gross Amounts Not Offset<br> in the Statements of<br> Assets and Liabilities** | |
| <br>**Fund** | <br>**Instrument** |<br>**Gross<br> Amounts of<br> Recognized<br> Assets<sup>a</sup>** |<br>**Gross <br>Amounts <br>Offset in the <br>Statements of <br>Assets and <br>Liabilities** |<br>**Net Amount<br> of Assets <br>Presented on<br> the Statements<br> of Assets and<br> Liabilities** | **Financial <br>Instruments** | **Cash<br> Collateral<br> Received** |<br>**Net<br> Amount** |
| Strategy Fund III | Interest Rate Swaptions Purchased | $62982 | $— | $62982 | $— | $— | $62982 |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | | **Gross Amounts Not Offset<br> in the Statements of<br> Assets and Liabilities** | **Gross Amounts Not Offset<br> in the Statements of<br> Assets and Liabilities** | |
| <br>**Fund** | <br>**Instrument** |<br>**Gross<br> Amounts of <br> Recognized <br> Liabilities<sup>a</sup>** |<br>**Gross**<br> **Amounts**<br> **Offset in the**<br> **Statements of**<br> **Assets and**<br> **Liabilities** |<br>**Net Amount<br> of Liabilities**<br> **Presented on<br> the Statements<br> of Assets and**<br> **Liabilities** | **Financial**<br> **Instruments** | **Cash Collateral Pledged** |<br>**Net**<br> **Amount** |
| **Strategy Fund II** | Interest Rate Swaptions Written | $10946 | $— | $10946 | $— | $— | $10946 |
| **Strategy Fund III** | Interest Rate Swaptions Written | 44522 |  | 44522 |  |  | 44522 |

---

*<sup>a</sup>* *Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts.*

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 instruments as of March 31, 2026.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fund** | **Counterparty** | **Asset Type** | **Cash Pledged** | **Cash Received** |
| Strategy Fund II | J.P. Morgan Securities LLC | Futures Contracts | $10000 | $— |
| Strategy Fund III | J.P. Morgan Securities LLC | Futures Contracts | 10000 |  |

---

**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."

THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT \| 61

---

| | |
|:---|:---|
| **NOTES TO FINANCIAL STATEMENTS** (Unaudited) (continued) | March 31, 2026 |

---

**Note 4 ‒ Fair Value Measurement (continued)**

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.

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.

The Funds pay operating expenses, such as audit and accounting related services, legal services, custody, printing and mailing, among others. Certain 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 period ended March 31, 2026, 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.

The Bank of New York Mellon Corp. ("BNY") serves as the Funds' administrator, transfer agent, custodian and accounting agent. Prior to December 15, 2025, MUFG Investor Services (US), LLC ("MUIS") served as the Funds' administrator and accounting agent. Prior to February 23, 2026, MUIS served as the Funds' transfer agent. Prior to September 29, 2025, U.S. Bank, N.A. served as the Funds' custodian. As administrator, transfer agent and accounting agent, BNY maintains the books and records of the Funds' securities and cash. As custodian, BNY is responsible for the custody of the Funds' assets. For providing the aforementioned administrative and accounting services, BNY is entitled to receive a monthly fee equal to a percentage of the Funds' average daily net assets and reimbursement of certain out of pocket expenses. For providing the aforementioned transfer agent and custodian services, BNY is 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 reimbursement of certain out of pocket expenses.

62 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT

---

| | |
|:---|:---|
| **NOTES TO FINANCIAL STATEMENTS** (Unaudited) (continued) | March 31, 2026 |

---

**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.

At March 31, 2026, 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:

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Fund** | **Tax**<br>**Cost** | **Tax**<br> **Unrealized**<br>**Appreciation** | **Tax**<br> **Unrealized**<br>**Depreciation** | **Net Tax<br> Unrealized<br> Appreciation/**<br>**(Depreciation)** |
| Strategy Fund II | $125961689 | $426606 | $(2934965) | $(2508359) |
| Strategy Fund III | 128609609 | 833831 | (2942892) | (2109061) |
| Variable Insurance Strategy Fund III | 36312197 | 225819 | (879628) | (653809) |

---

**Note 7 ‒ Securities Transactions**

For the period ended March 31, 2026, 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** |
| Strategy Fund II | $26744027 | $30549228 |
| Strategy Fund III | 29646531 | 31485097 |
| Variable Insurance Strategy Fund III | 15340440 | 9338591 |

---

THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT \| 63

---

| | |
|:---|:---|
| **NOTES TO FINANCIAL STATEMENTS** (Unaudited) (continued) | March 31, 2026 |

---

**Note 7 ‒ Securities Transactions (continued)**

For the period ended March 31, 2026, the cost of purchases and proceeds from sales of government securities were as follows:

---

| | | |
|:---|:---|:---|
| **Fund** | **Purchases** | **Sales** |
| Strategy Fund II | $1641748 | $173149 |
| Strategy Fund III | 1641748 | 179058 |
| Variable Insurance Strategy Fund III |  | 43928 |

---

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 period ended March 31, 2026, 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 period ended March 31, 2026.

**Note 9 ‒ Segment Reporting**

An operating segment is defined in FASB Accounting Standards Update 2023-07, Segment Reporting (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 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.

64 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT

---

| | |
|:---|:---|
| **NOTES TO FINANCIAL STATEMENTS** (Unaudited) (concluded) | March 31, 2026 |

---

**Note 10 ‒ Recent Accounting Pronouncements**

In this reporting period, the Funds adopted FASB Accounting Standards Update 2023-09, Income Taxes (Topic 740)— Improvements to Income Tax Disclosures (ASU 2023-09), which enhances income tax disclosures, including disclosure of income taxes paid disaggregated by jurisdiction. Adoption of the new standard impacted financial statement disclosures only and did 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**

On April 27, 2026, shareholders of Guggenheim Strategy Fund II approved the reorganization of Guggenheim Strategy Fund II with and into the Guggenheim Ultra Short Income ETF, a newly organized series of Guggenheim Funds Trust, pursuant to an agreement and plan of reorganization. The reorganization is expected to close during the second quarter of 2026, or such other date as may be agreed upon.

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

THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT \| 65

**OTHER INFORMATION**

**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 to shareholders, upon request and without charge, by calling 800.820.0888.

66 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-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.

THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT \| 67

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

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

68 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-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.

THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT \| 69

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

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

70 \| THE GUGGENHEIM STRATEGY FUNDS TRUST SEMI-ANNUAL FINANCIAL REPORT

**Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.**

Not applicable.

**Item 9. Proxy Disclosures for Open-End Management Investment Companies.**

Not applicable.

**Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.** 

The information is included as part of the material filed under Item 7 of this Form.

**Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.**

Not applicable.

**Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.**

Not applicable to this registrant.

**Item 13. Portfolio Managers of Closed-End Management Investment Companies.**

Not applicable to this registrant.

**Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.**

Not applicable to this registrant.

**Item 15. Submission of Matters to a Vote of Security Holders.**

There have been no changes to the procedures by which shareholders may recommend nominees to the registrant's board of trustees.

**Item 16. Controls and Procedures.**

&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrant's President (principal executive officer) and Treasurer (principal financial officer)
 have evaluated the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act)
 as of a date within 90 days of this filing and have concluded that based on such evaluation as required by Rule 30a-3(b) under the Investment
 Company Act, that the registrant's disclosure controls and procedures were effective as of that date in ensuring that information
 required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported within the time periods
 specified in the Securities and Exchange Commission's rules and forms.

&nbsp;&nbsp;&nbsp;&nbsp;(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule
 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that the officers listed above believe
 to have materially affected, or to be reasonably likely to materially affect, the registrant's internal control over financial reporting.

**Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.**

Not applicable to this registrant.

**Item 18. Recovery of Erroneously Awarded Compensation.**

&nbsp;&nbsp;&nbsp;&nbsp;(a) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

**Item 19. Exhibits.**

(a)(1) Not applicable.

(a)(2) Not applicable.

---

| | |
|:---|:---|
| [(a)(3)](fp0098483-1_ex99cert.htm) | [Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Investment Company Act (17 CFR 270.30a-2(a)) are attached.](fp0098483-1_ex99cert.htm) |

---

(a)(4) Not applicable.

(a)(5) Not applicable.

[(b)](fp0098483-1_ex99906cert.htm) [A certification by the registrant's President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2(b) under the Investment Company Act (17 CFR 270.30a-2(b)) is attached.](fp0098483-1_ex99906cert.htm)

**SIGNATURES**

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

---

| | |
|:---|:---|
| (Registrant) | <u>Guggenheim Strategy Funds Trust</u> |
| By (Signature and Title)\* | /s/ Brian Binder |
|  | Brian Binder, President and Chief Executive Officer<br> (Principal Executive Officer) |
| Date | May 29, 2026 |

---

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| By (Signature and Title)\* | /s/ Brian Binder |
|  | Brian Binder, President and Chief Executive Officer<br> (Principal Executive Officer) |
| Date | May 29, 2026 |
| By (Signature and Title)\* | /s/ James Howley |
|  | James Howley, Chief Financial Officer, Chief Accounting Officer and Treasurer (Principal Financial and Accounting Officer) |
| Date | May 29, 2026 |

---

\* Print the name and title of each signing officer under his or her signature.

## Ex-99.Cert

**Certification**

I, Brian Binder, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. I have reviewed this report on Form N-CSR of Guggenheim Strategy
Funds Trust;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Based on my knowledge, this report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under
which such statements were made, not misleading with respect to the period covered by this report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material respects the financial condition, results of operations, changes
in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of,
and for, the periods presented in this report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. The registrant's other certifying officer(s) and I are responsible
for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of
1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant
and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant,
including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which
this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused
such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability
of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls
and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of
a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal
control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably
likely to materially affect, the registrant's internal control over financial reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5. The registrant's other certifying officer(s) and I have disclosed
to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design
or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to
record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or
other employees who have a significant role in the registrant's internal control over financial reporting.

---

| | | |
|:---|:---|:---|
| Date: | May 29, 2026 | /s/ Brian Binder |
|  |  | Brian Binder |
|  |  | President and Chief Executive Officer (Principal Executive Officer) |

---

**Certification** 

I, James Howley, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. I have reviewed this report on Form N-CSR of Guggenheim Strategy
Funds Trust;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Based on my knowledge, this report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under
which such statements were made, not misleading with respect to the period covered by this report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material respects the financial condition, results of operations, changes
in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of,
and for, the periods presented in this report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. The registrant's other certifying officer(s) and I are responsible
for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of
1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant
and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant,
including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which
this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused
such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability
of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls
and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of
a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal
control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably
likely to materially affect, the registrant's internal control over financial reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5. The registrant's other certifying officer(s) and I have disclosed
to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design
or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to
record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or
other employees who have a significant role in the registrant's internal control over financial reporting.

---

| | | |
|:---|:---|:---|
| Date: | May 29, 2026 | /s/ James Howley |
|  |  | James Howley |
|  |  | Chief Financial Officer, Chief Accounting Officer and Treasurer (Principal Financial and Accounting Officer) |

---

## Exhibit 99.906

**CERTIFICATION** 

I, Brian E. Binder, President and Chief Executive Officer, and I, James Howley, Chief Financial Officer, Chief Accounting Officer and Treasurer of Guggenheim Strategy Funds Trust (the "Registrant") each certify that:

1. The Form N-CSR of the Registrant (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

A signed original of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request.

---

| | | |
|:---|:---|:---|
| Date: | May 29, 2026 | /s/ Brian Binder |
|  |  | Brian E. Binder<br> President and Chief Executive Officer (Principal Executive Officer) |
| Date: | May 29, 2026 | /s/ James Howley |
|  |  | James Howley<br> Chief Financial Officer, Chief Accounting Officer and Treasurer (Principal Financial and Accounting Officer) |

---