GUGGENHEIMINVESTMENTS.COM/GOF

... YOUR WINDOW TO THE LATEST, MOST UP-TO-DATE
INFORMATION ABOUT GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND

The shareholder report you are reading right now is just the beginning of the story.
Online at guggenheiminvestments.com/gof, you will find:

·  Daily, weekly and monthly data on share prices, net asset values, distributions and more

 

·  Portfolio overviews and performance analyses

 

·  Announcements, press releases and special notices

 

·  Fund and adviser contact information

Guggenheim Partners Investment Management, LLC and Guggenheim Funds Investment Advisors, LLC are continually updating and expanding shareholder information services on the Fund’s website in an ongoing effort to provide you with the most current information about how your Fund’s assets are managed and the results of our efforts. It is just one more small way we are working to keep you better informed about your investment in the Fund.

(Unaudited)	November 30, 2016

 

DEAR SHAREHOLDER

We thank you for your investment in the Guggenheim Strategic Opportunities Fund (the “Fund”). This report covers the Fund’s performance for the six-month period ended November 30, 2016.

The Fund’s investment objective is to maximize total return through a combination of current income and capital appreciation. The Fund pursues a relative value-based investment philosophy, which utilizes quantitative and qualitative analysis to seek to identify securities or spreads between securities that deviate from their perceived fair value and/or historical norms. There is no guarantee that the perceived fair value will be achieved. The Fund’s sub-adviser seeks to combine a credit-managed fixed-income portfolio with access to a diversified pool of alternative investments and equity strategies.

All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the six-month period ended November 30, 2016, the Fund provided a total return based on market price of 15.76% and a total return based on NAV of 13.58%. NAV return includes the deduction of management fees, operating expenses, and all other Fund expenses.

As of November 30, 2016, the Fund’s market price of $19.22 represented a premium of 2.56% to its NAV of $18.74. The market value of the Fund’s shares fluctuates from time to time and may be higher or lower than the Fund’s NAV. Past performance is not a guarantee of future results.

From June 2016 through November 2016, the Fund paid a monthly distribution of $0.1821. The latest distribution represents an annualized distribution rate of 11.37% based on the Fund’s closing market price of $19.22 on November 30, 2016. The Fund’s distribution rate is not constant and the amount of distributions, when declared by the Fund’s Board of Trustees, is subject to change based on the performance of the Fund. Please see Note 2(i) on page 50 for more information on distributions for the period.

Guggenheim Funds Investment Advisors, LLC (the “Adviser”) serves as the investment adviser to the Fund. Guggenheim Partners Investment Management, LLC (“GPIM” or the “Sub-Adviser”) serves as the Fund’s investment sub-adviser and is responsible for the management of the Fund’s portfolio of investments. Each of the Adviser and the Sub-Adviser is an affiliate of Guggenheim Partners, LLC (“Guggenheim”), a global diversified financial services firm.

We encourage shareholders to consider the opportunity to reinvest their distributions from the Fund through the Dividend Reinvestment Plan (“DRIP”), which is described in detail on page 71 of this report. When shares trade at a discount to NAV, the DRIP takes advantage of the discount by reinvesting the monthly dividend distribution in common shares of the Fund purchased in the market at a price less than NAV. Conversely, when the market price of the Fund’s common shares is at a premium above NAV, the DRIP reinvests participants’ dividends in newly-issued common shares at the greater of NAV per share or 95% of the market price per share. The DRIP provides a cost-effective means to accumulate additional shares and enjoy the benefits of compounding returns over time. Since the Fund endeavors to maintain a stable monthly distribution, the DRIP effectively provides an income averaging technique

 

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(Unaudited) continued	November 30, 2016

 

which causes shareholders to accumulate a larger number of Fund shares when the market price is depressed than when the price is higher.

To learn more about the Fund’s performance and investment strategy, we encourage you to read the Questions & Answers section of this report, which begins on page 5. You’ll find information on GPIM’s investment philosophy, views on the economy and market environment, and detailed information about the factors that impacted the Fund’s performance.

We appreciate your investment and look forward to serving your investment needs in the future. For the most up-to-date information on your investment, please visit the Fund’s website at guggenheiminvestments.com/gof.

Sincerely,

Donald C. Cacciapaglia
President and Chief Executive Officer
Guggenheim Strategic Opportunities Fund
December 31, 2016

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QUESTIONS & ANSWERS (Unaudited)	November 30, 2016

 

Guggenheim Strategic Opportunities Fund (“Fund”) is managed by a team of seasoned professionals at Guggenheim Partners Investment Management, LLC (“GPIM”). This team includes B. Scott Minerd, Chairman of Guggenheim Investments and Global Chief Investment Officer; Anne B. Walsh, CFA, JD, Senior Managing Director and Assistant Chief Investment Officer; James W. Michal, Senior Managing Director and Portfolio Manager; and Steven H. Brown, CFA, Managing Director and Portfolio Manager. In the following interview, the investment team discusses the market environment and the Fund’s performance for the six-month period ended November 30, 2016.

What is the Fund’s investment objective and how is it pursued?

The Fund seeks to maximize total return through a combination of current income and capital appreciation. The Fund pursues a relative value-based investment philosophy, which utilizes quantitative and qualitative analysis to seek to identify securities or spreads between securities that deviate from their perceived fair value and/or historical norms. There is no guarantee that the perceived fair value of the Fund’s portfolio investments will be achieved.

GPIM seeks to combine a credit-managed fixed-income portfolio with access to a diversified pool of alternative investments and equity strategies. The Fund seeks to achieve its investment objective by investing in a wide range of fixed-income and other debt and senior-equity securities (“Income Securities”) selected from a variety of credit qualities and sectors, including, but not limited to, corporate bonds, loans and loan participations, structured finance investments, U.S. government and agency securities, mezzanine and preferred securities and convertible securities, and in common stocks, limited liability company interests, trust certificates, and other equity investments (“Common Equity Securities,” exposure to which is obtained primarily by investing in exchange-traded funds, or ETFs) that GPIM believes offer attractive yield and/or capital appreciation potential, including employing a strategy of writing (selling) covered call and put options on such equities. GPIM believes the volatility of the Fund can be reduced by diversifying across a large number of sectors and securities, many of which historically have not been highly correlated to one another.

Under normal market conditions:

·	The Fund may invest without limitation in fixed-income securities rated below investment grade (commonly referred to as “junk bonds”); the Fund may invest in below-investment grade income securities of any rating;

·	The Fund may invest up to 20% of its total assets in non-U.S. dollar denominated fixed-income securities of corporate and governmental issuers located outside the U.S., including up to 10% of total assets in fixed-income securities of issuers located in emerging markets;

·

The Fund may invest up to 50% of its total assets in common equity securities, and the Fund may invest in exchange-traded funds (“ETFs”) or other investment funds that track equity market indices and/or through derivative instruments that replicate the economic characteristics of exposure to Common Equity Securities; and

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QUESTIONS & ANSWERS (Unaudited) continued	November 30, 2016

 

·

The Fund may invest up to 30% of its total assets in investment funds that primarily hold (directly or indirectly) investments in which the Fund may invest directly, of which amount up to 30% of the Fund’s total assets may be invested in investment funds that are registered as investment companies under the Investment Company Act of 1940 (the “1940 Act”) to the extent permitted by applicable law and related interpretations of the staff of the U.S. Securities and Exchange Commission.

GPIM’s process for determining whether to buy a security is a collaborative effort between various groups including: (i) economic research, which focus on key economic themes and trends, regional and country-specific analysis, and assessments of event-risk and policy impacts on asset prices, (ii) the Portfolio Construction Group, which utilize proprietary portfolio construction and risk modeling tools to determine allocation of assets among a variety of sectors, (iii) its Sector Specialists, who are responsible for identifying investment opportunities in particular securities within these sectors, including the structuring of certain securities directly with the issuers or with investment banks and dealers involved in the origination of such securities, and (iv) portfolio managers, who determine which securities best fit the Fund based on the Fund’s investment objective and top-down sector allocations. In managing the Fund, GPIM uses a process for selecting securities for purchase and sale that is based on intensive credit research and involves extensive due diligence on each issuer, region and sector. GPIM also considers macroeconomic outlook and geopolitical issues.

The Fund uses financial leverage (borrowing and reverse repo) to finance the purchase of additional securities. Although financial leverage may create an opportunity for increased return for shareholders, it also results in additional risks and can magnify the effect of any losses. There is no assurance that the strategy will be successful. If income and gains earned on securities purchased with the financial leverage proceeds are greater than the cost of the financial leverage, common shareholders’ return will be greater than if financial leverage had not been used. Conversely, if the income or gains from the securities purchased with the proceeds of financial leverage are less than the cost of the financial leverage, common shareholders’ return will be less than if financial leverage had not been used.

What were the significant events affecting the economy and market environment over the past six months?

Behind the performance numbers for the past six months are a multitude of events that unfolded throughout 2016, including an increase in U.S. corporate default volume, several quarters of negative earnings growth, the British vote to exit the European Union, and stubbornly low inflation across the globe. That was on top of one of the worst selloffs for U.S. corporate bonds since the financial crisis in the first six weeks of the year, or that the S&P 500 was down almost 11%. We continue to believe that the turnaround in market performance was a result of global central bank easing.

The surprise end to the fractious U.S. election season leaves many questions unanswered about the new administration, but as it relates to the economy we are particularly alert to the possible market impact of resurgent fiscal policy. We will learn more as we move through the transition of power, but in the meantime several market positives should support asset performance in 2017. The domestic economy just turned in the highest growth rate in two years, early indications point to a strong Christmas selling season, corporate earnings have rebounded, and the energy sector is stabilizing with the oil market recovery.

 

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QUESTIONS & ANSWERS (Unaudited) continued	November 30, 2016

 

U.S. real gross domestic product (GDP) grew by 3.2% in the third quarter, according to the second reading, up from 1.4% in the second quarter. We expect output to rise by around 2% on average in coming quarters, a bit faster than the trend rate over the past year, as drags from past dollar strength and an inventory adjustment cycle fade. The policy outlook has become more uncertain with the election, though early indications that fiscal easing will be prioritized in the new administration suggest that the risks to real GDP growth in 2017 and 2018 are now skewed to the upside.

The labor market continues to strengthen and the unemployment rate declined by just 0.4 percentage point to 4.6%, but labor force participation has not grown as much as hoped, and started to trend downwards in November. In the year through November, the labor force participation rate increased by just 0.1 percentage point. Job openings data, another measure of labor market health, has been looking better.

In November of 2015 it was about 5.2 million job openings for the month. By November 2016, it had risen to a little more than 5.5 million job openings for the month. A higher level of job openings tends to indicate a more robust labor market.

GPIM expects the U.S. Federal Reserve (the “Fed”) policymakers to follow their recent rate increases (including a quarter-point increase in the key rate on December 15, after the period ended) with three, and possibly four, more hikes in 2017. While this would be faster than markets are now pricing in, it would still leave rates below levels prescribed by standard policy rules. Fed Chair Janet Yellen commented recently about temporarily running a “high-pressure economy” in the hope that enabling robust business activity and a tight labor market may result in an increase in the productive capacity of the economy. If this scenario materializes, it could entail unemployment dropping further, and inflation overshooting the Fed’s 2% goal. This perspective, as well as the president-elect’s proposed changes to fiscal policy and the likely impact to future real rates, accounts for much of the backup in long-term interest rates, although ongoing asset purchase programs by the European Central Bank (ECB) and Bank of Japan (BoJ) will likely continue to support bond prices. The monetary policy divergence will continue to support the U.S. dollar.

How did the Fund perform for the six months ended November 30, 2016?

All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the six-month period ended November 30, 2016, the Fund provided a total return based on market price of 15.76% and a total return based on NAV of 13.58%. NAV return includes the deduction of management fees, operating expenses, and all other Fund expenses.

As of November 30, 2016, the Fund’s market price of $19.22 represented a premium of 2.56% to its NAV of $18.74. As of May 31, 2016, the Fund’s market price of $17.61 represented a premium of 0.63% to its NAV of $17.50. The market value of the Fund’s shares fluctuates from time to time and may be higher or lower than the Fund’s NAV. Past performance is not a guarantee of future results.

From June 2016 through November 2016, the Fund paid a monthly distribution of $0.1821. The latest distribution represents an annualized distribution rate of 11.37% based on the Fund’s closing market price of $19.22 on November 30, 2016. The Fund’s distribution rate is not constant and the amount of

 

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QUESTIONS & ANSWERS (Unaudited) continued	November 30, 2016

 

distributions, when declared by the Fund’s Board of Trustees, is subject to change based on the performance of the Fund. Please see Note 2(i) on page 50 for more information on distributions for the period.

Discuss performance over the period.

During the period, the Fund saw positive performance primarily attributable to the continued tightening of credit spreads across fixed income sectors, as well as the Portfolio’s high carry. The credit rally continued through the period despite one of the worst selloffs in government bond markets since the 2013 taper tantrum. Return from spread tightening during the period was chiefly driven by the Portfolio’s investments in collateralized loan obligations (“CLO”), bank loans, and high yield corporate bonds.

The CLO market rebounded during the period. Volatility during early 2016 kept many CLO issuers on the sidelines. As a result, traditional CLO debt investors entered the third quarter well behind internal CLO spending targets. Adding to demand, investors continued to increase allocations to floating-rate CLO debt in response to rising USD LIBOR and negative yields in Japan and Europe. Not surprisingly, CLO spreads tightened significantly during the period. Already hoping to issue or refinance CLOs ahead of the December 2016 risk retention deadline, CLO issuers were only too happy to meet strong CLO demand. September represented the highest monthly CLO issuance since June 2015.

Bank loans and high-yield bonds delivered strong returns during the period. Generally, the biggest gains came from lower quality assets. Bank loan discount margins have tightened and prices have been buoyed by strong collateralized loan obligations (“CLO”) demand and loan mutual fund inflows. In fact, S&P Leveraged Commentary & Data shows that visible demand for loans has outpaced net supply for the longest such stretch since 2009.

The high-yield corporate bond market market followed a fairly predictable path. The continuation of a depressed commodity-price environment ultimately pressured earnings in oil, gas and metals, causing a wave of defaults to materialize. Based on the 1998 default cycle, we predicted that defaults would peak in 2016. Since peaking at 5.7 percent in August, 12-month trailing default rate for all U.S. speculative-grade borrowers rated by Moody's has fallen to 5.5 percent. It is expected to decline further in 2017.

Given the upward trend in the 10-year U.S. Treasury note and the anticipation of three to four additional rate hikes in 2017, over half of the Portfolio has been floating rate with limited interest rate duration risk.

Discuss the Fund’s approach to duration.

Although the Fund has no set policy regarding portfolio duration or maturity, the Fund currently maintains a low-duration target, but adds opportunistically to attractive long duration assets when it can take advantage of short-term fluctuations in interest rates.

What is the Fund’s leverage strategy?

Since leverage adds to performance when the cost of leverage is less than the total return generated by investments, the use of leverage detracted from the Fund’s total return during this period. The purpose

 

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QUESTIONS & ANSWERS (Unaudited) continued	November 30, 2016

 

of leverage (borrowing and reverse repo) is to fund the purchase of additional securities that provide increased income and potentially greater appreciation to common shareholders than could be achieved from an unlevered portfolio. Leverage results in greater NAV volatility and entails more downside risk than an unleveraged portfolio.

As of November 30, 2016, the amount of leverage was approximately 31% of total managed assets. GPIM employs leverage through two vehicles: reverse repurchase agreements, under which the Fund temporarily transfers possession of portfolio securities and receives cash which can be used for additional investments, and a committed financing facility through a leading financial institution. There is no guarantee that the Fund’s leverage strategy will be successful. The Fund’s use of leverage may cause the Fund’s NAV and market price of common shares to be more volatile and can magnify the effect of any losses.

Index Definitions

Indices are unmanaged and reflect no expenses. It is not possible to invest directly in an index.

The Standard & Poor’s 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.

The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).

The Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.

The Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index tracks the performance of U.S. Treasury Bills with a remaining maturity of one to three months. U.S. Treasury Bills, which are short-term loans to the U.S. government, are full-faith-and-credit obligations of the U.S. Treasury and are generally regarded as being free of any risk of default.

Risks and Other Considerations

Investing involves risk, including the possible loss of principal and fluctuation of value.

The views expressed in this report reflect those of the portfolio managers only through the report period as stated on the cover. These views are expressed for informational purposes only and are subject to change at any time, based on market and other conditions, and may not come to pass. These views may differ from views of other investment professionals at Guggenheim and should not be construed as research, investment advice or a recommendation of any kind regarding the fund or any issuer or security, do not constitute a solicitation to buy or sell any security and should not be considered specific

 

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QUESTIONS & ANSWERS (Unaudited) continued	November 30, 2016

 

legal, investment or tax advice. The information provided does not take into account the specific objectives, financial situation or particular needs of any specific investor.

The views expressed in this report may also include forward looking statements that involve risk and uncertainty, and there is no guarantee that any predictions will come to pass. Actual results or events may differ materially from those projected, estimated, assumed or anticipated in any such forward-looking statements. Important factors that could result in such differences, in addition to the other factors noted with such forward-looking statements, include general economic conditions such as inflation, recession and interest rates.

There can be no assurance that the Fund will achieve its investment objectives or that any investment strategies or techniques discussed herein will be effective. The value of the Fund will fluctuate with the value of the underlying securities. Historically, closed-end funds often trade at a discount to their net asset value.

Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown.

Please see guggenheiminvestments.com/gof for a detailed discussion of the Fund’s risks and considerations.

 

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FUND SUMMARY (Unaudited)	November 30, 2016
Fund Statistics
Share Price	$19.22
Net Asset Value	$18.74
Premium to NAV	2.56%
Net Assets ($000)	$346,867

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE
PERIOD ENDED NOVEMBER 30, 2016
	Six Month				Since
	(non-	One	Three	Five	Inception
	annualized)	Year	Year	Year	(07/26/07)
Guggenheim Strategic Opportunities Fund
NAV	13.58%	17.15%	9.12%	11.72%	11.28%
Market	15.76%	22.90%	8.06%	10.15%	11.19%

 

Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. All NAV returns include the deduction of management fees, operating expenses, and all other Fund expenses. The deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit guggenheiminvestments.com/gof. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when sold, may be worth more or less than their original cost.

Ten Largest Holdings
(% of Total Net Assets)
Airplanes Pass Through Trust, 1.09% due 03/15/2019			1.1	%
Cosmopolitan Hotel Trust 2016, 5.18% due 11/15/2033			1.0	%
Apollo Aviation Securitization Equity Trust, 7.37% due 12/15/2029			1.0	%
Kenya Government International Bond, 6.88% due 06/24/2024			1.0	%
QBE Insurance Group Ltd., 7.25% due 11/24/2043			1.0	%
Ziggurat CLO Ltd., 5.88% due 10/17/2026			1.0	%
GS Mortgage Securities Corporation Trust, 9.04% due 02/15/2033			0.9	%
Flatiron CLO Ltd., 4.48% due 01/17/2026			0.9	%
FDF II Ltd., 7.70% due 05/12/2031			0.9	%
Anchorage Credit Funding 1 Ltd., 6.30% due 07/28/2030			0.9	%
Top Ten Total			9.7	%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

 

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FUND SUMMARY (Unaudited) continued	November 30, 2016

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FUND SUMMARY (Unaudited) continued	November 30, 2016

 

Portfolio Breakdown		% of Net Assets
Investments:
Asset Backed Securities			47.5	%
Corporate Bonds			41.4	%
Senior Floating Rate Interests			38.7	%
U.S. Government Securities			7.0	%
Collateralized Mortgage Obligations			3.7	%
Foreign Government Bonds			2.0	%
Preferred Stocks			0.8	%
Municipal Bonds			0.6	%
Common Stocks			0.5	%
Money Market Fund			0.2	%
Warrants			0.0	%*
Total Investments			142.4	%
Call Options Written			-0.2	%
Other Assets & Liabilities, net			-42.2	%
Net Assets			100.0	%

*Less than 0.1%

Holdings diversification and holdings are subject to change daily. For more information, please visit guggenheiminvestments.com/gof. The above summaries are provided for informational purposes only and should not be viewed as recommendations. Past performance does not guarantee future results.

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FUND SUMMARY (Unaudited) continued	November 30, 2016
Portfolio Composition by Quality Rating*
	% of Total
Rating	Investments
Fixed Income Instruments
AAA	4.8%
AA	0.4%
A	3.7%
BBB	12.9%
BB	16.4%
B	32.2%
CCC	5.2%
CC	0.9%
NR**	11.8%
Other Instruments
Other	0.2%
Short Term Investments	11.5%
Total Investments	100.0%

 

*	Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for “NR”, or not rated, have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.
**	NR securities do not necessarily indicate low credit quality.

 

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SCHEDULE OF INVESTMENTS (Unaudited)		November 30, 2016

		Shares				Value
COMMON STOCKS† – 0.5%
Technology – 0.2%
Aspect Software Parent, Inc.*,†††,1			49,412			$	748,102
Qlik Technologies, Inc. A*,†††,1			56				55,840
Qlik Technologies, Inc. B*,†††,1			13,812				564
Qlik Technologies, Inc.*,†††,1			3,600				–
Total Technology							804,506
Energy – 0.2%
SandRidge Energy, Inc.*,2			18,206				416,918
Titan Energy LLC*,2			9,603				220,869
Total Energy							637,787
Communications – 0.1%
Cengage Learning Acquisitions, Inc.*,††			11,126				209,536
Consumer, Non-cyclical – 0.0%**
Targus Group International Equity, Inc*,†††,1			13,409				19,577
Basic Materials – 0.0%**
Mirabela Nickel Ltd.*,†††,1			5,244,841				387
Consumer, Cyclical – 0.0%**
Deb Stores Holding LLC*,†††,1			9,389				1
Industrial – 0.0%**
Carey International, Inc.*,†††,1			5,666				1
Total Common Stocks
(Cost $4,232,523)							1,671,795
PREFERRED STOCKS† – 0.8%
Industrial – 0.6%
Seaspan Corp.
6.38%2			90,925				2,238,574
Financial – 0.2%
AgriBank FCB
6.88%2			4,000				432,250
Public Storage
5.90%			10,000				249,500
Total Financial							681,750
Total Preferred Stocks
(Cost $2,921,804)							2,920,324

SCHEDULE OF INVESTMENTS (Unaudited)		November 30, 2016

		Shares				Value
WARRANTS†† – 0.0%**
Comstock Resources, Inc.
expiring 09/06/181			3,575			$	33,784
Total Warrants
(Cost $13,658)							33,784

		Face
		Amount~				Value
SHORT TERM INVESTMENTS – 7.2%
U.S. GOVERNMENT SECURITIES†† – 7.0%
United States Treasury Bill
0.00% due 12/08/162,3,14			5,500,000			$	5,499,852
0.00% due 01/12/172,3			5,100,000				5,098,139
0.00% due 01/26/172,3			4,400,000				4,397,474
0.00% due 12/22/162,3			4,300,000				4,299,385
0.00% due 01/19/172,3			3,200,000				3,198,534
0.00% due 02/09/172,3			1,200,000				1,198,981
0.00% due 12/29/163			600,000				599,830
Total U.S. Government Securities
(Cost $24,292,748)							24,292,195

		Shares				Value
MONEY MARKET FUND† – 0.2%
Dreyfus Treasury Prime Cash Management Fund - Investor Shares
0.24%4
(Cost $472,490)			472,490			$	472,490
Total Short Term Investments
(Cost $24,765,238)							24,764,685

		Face
		Amount~				Value
ASSET BACKED SECURITIES†† – 47.5%
Collateralized Loan Obligation – 36.2%
Ziggurat CLO Ltd.
2014-1A, 5.88% due 10/17/262,5,6			4,000,000			$	3,325,136
Sound Point CLO III Ltd.
2013-2A, 6.23% due 07/15/252,5,6			2,875,000				2,212,048
2013-2A, 4.78% due 07/15/252,5,6			1,000,000				989,932
KVK CLO Ltd.
2014-2A, 5.63% due 07/15/265,6			3,000,000				2,291,509
2013-1A, due 04/14/252,6,7			2,300,000				850,505
Flatiron CLO Ltd.
2013-1A, 4.48% due 01/17/262,5,6			3,300,000				3,083,677
ACAS CLO Ltd.
2014-1A, 6.78% due 07/18/265,6			3,750,000				2,929,116

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2016

		Face
		Amount~				Value
ASSET BACKED SECURITIES†† – 47.5% (continued)
Collateralized Loan Obligation – 36.2% (continued)
Great Lakes CLO Ltd.
2015-1A, 4.63% due 07/15/265,6			1,500,000			$	1,436,120
2012-1A, due 01/15/232,6,7			2,500,000				1,017,032
2014-1A, 5.08% due 04/15/255,6			500,000				456,493
Catamaran CLO Ltd.
2014-1A, 5.38% due 04/20/265,6			2,000,000				1,640,035
2014-1A, 6.63% due 04/20/262,5,6			1,600,000				1,152,766
Venture XVI CLO Ltd.
2014-16A, 4.33% due 04/15/262,5,6			3,000,000				2,783,456
Fortress Credit Funding V, LP
2015-5A, 6.31% due 08/15/222,5,6			3,000,000				2,736,729
WhiteHorse VI Ltd.
2013-1A, 6.13% due 02/03/252,5,6			1,750,000				1,478,681
2013-1A, 7.38% due 02/03/252,5,6			2,000,000				1,257,004
THL Credit Wind River CLO Ltd.
2015-2A, 8.68% due 10/15/275,6			3,000,000				2,673,202
Flagship CLO VIII Ltd.
2014-8A, 6.08% due 01/16/265,6			3,250,000				2,673,191
Newstar Trust
2012-2I, 7.45% due 01/20/235			3,000,000				2,673,036
Eaton Vance CLO 2015-1 Ltd.
2015-1A, 8.93% due 10/20/265,6			3,000,000				2,651,149
Saranac CLO II Ltd.
2014-2A, 6.06% due 02/20/255,6			3,000,000				2,437,859
Denali Capital CLO X Ltd.
2013-1A, 6.63% due 04/28/255,6			3,000,000				2,421,441
Fortress Credit Opportunities
2005-1A, 0.96% due 07/15/192,5,8			2,447,366				2,355,560
AMMC CLO XII Ltd.
2013-12A, 5.93% due 05/10/255,6			3,000,000				2,328,285
Octagon Investment Partners XVI Ltd.
2013-1A, 6.38% due 07/17/255,6			3,000,000				2,213,842
Carlyle Global Market Strategies CLO Ltd.
2012-3A, due 10/04/246,7			2,600,000				2,133,195
Jamestown CLO III Ltd.
2013-3A, 4.18% due 01/15/262,5,6			2,250,000				2,068,119
Voya CLO Ltd.
2013-1A, 4.38% due 04/15/242,5,6			2,000,000				1,961,208
Avery
2013-3X COM, due 01/18/257			2,399,940				1,917,992
Dryden 30 Senior Loan Fund
2013-30A, 6.40% due 11/15/252,5,6			2,500,000				1,901,453
Fortress Credit Opportunities VI CLO Ltd.
2015-6A, 5.85% due 10/10/262,5,6			2,000,000				1,869,180

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2016

		Face
		Amount~				Value
ASSET BACKED SECURITIES†† – 47.5% (continued)
Collateralized Loan Obligation – 36.2% (continued)
Golub Capital Partners CLO 24M Ltd.
2015-24A, 5.13% due 02/05/272,5,6			2,000,000			$	1,830,141
Shackleton IV CLO Ltd.
2013-4A, 6.63% due 01/13/255,6			2,350,000				1,789,363
OHA Credit Partners IX Ltd.
2013-9A, due 10/20/252,6,7			2,000,000				1,757,153
Treman Park CLO Ltd.
2015-1A, due 04/20/272,6,7			2,000,000				1,753,857
OCP CLO Ltd.
2015-9A, 7.28% due 07/15/275,6			2,250,000				1,742,677
Mountain View CLO Ltd.
2015-9A, 6.23% due 07/15/275,6			2,000,000				1,725,306
Steele Creek CLO Ltd.
2015-1A, 6.16% due 02/21/272,5,6			2,000,000				1,700,089
Cent CLO 19 Ltd.
2013-19A, 4.19% due 10/29/252,5,6			1,750,000				1,653,874
Monroe Capital CLO Ltd.
2014-1A, 5.61% due 10/22/262,5,6			1,750,000				1,645,036
Ares XXVI CLO Ltd.
2013-1A, due 04/15/256,7			3,700,000				1,641,480
CIFC Funding V Ltd.
2014-5A, 7.43% due 01/17/275,6			2,000,000				1,633,156
Ares XXXIII CLO Ltd.
2015-1A, 7.34% due 12/05/255,6			2,000,000				1,596,017
Voya CLO Ltd.
2014-4A, 6.88% due 10/14/265,6			1,950,000				1,549,295
Race Point VII CLO Ltd.
2012-7A, 5.13% due 11/08/242,5,6			1,500,000				1,499,806
Mountain Hawk II CLO Ltd.
2013-2A, 4.03% due 07/22/242,5,6			1,750,000				1,463,801
Fortress Credit Opportunities V CLO Ltd.
2014-5A, 5.78% due 10/15/262,5,6			1,500,000				1,442,509
Babson CLO Limited
2015-2A, 7.63% due 07/20/275,6			1,750,000				1,434,621
Atlas Senior Loan Fund II Ltd.
2012-2A, due 01/30/242,6,7			2,600,000				1,401,060
CIFC Funding Ltd.
2012-1X, 8.72% due 08/14/24			1,150,000				967,809
2014-3A, 5.63% due 07/22/262,5,6			500,000				428,497
Cent CLO 22 Ltd.
2014-22A, 7.28% due 11/07/265,6			1,750,000				1,335,019
Avery Point III CLO Ltd.
2013-3A, 5.88% due 01/18/252,5,6			1,500,000				1,272,750
Regatta IV Funding Ltd.
2014-1A, 5.83% due 07/25/265,6			1,500,000				1,232,925

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2016

		Face
		Amount~				Value
ASSET BACKED SECURITIES†† – 47.5% (continued)
Collateralized Loan Obligation – 36.2% (continued)
Finn Square CLO Ltd.
2012-1A, due 12/24/236,7			2,500,000			$	1,217,648
Neuberger Berman CLO Ltd.
2012-12A, due 07/25/236,7			2,500,000				1,204,223
NewStar Arlington Senior Loan Program LLC
2014-1A, 5.13% due 07/25/252,5,6			750,000				693,359
2014-1A, 5.97% due 07/25/252,6			500,000				501,650
Babson CLO Ltd.
2012-2A, due 05/15/236,7			2,000,000				1,166,477
CIFC Funding 2014-IV Ltd.
2014-4A, 6.48% due 10/17/265,6			1,500,000				1,162,629
Madison Park Funding XI Ltd.
2013-11A, 6.03% due 10/23/255,6			1,500,000				1,156,219
OCP CLO Ltd.
2013-4A, 5.88% due 10/24/255,6			1,250,000				1,040,086
Avery Point IV CLO Ltd.
2014-1A, 5.88% due 04/25/262,5,6			1,430,000				1,031,519
Sound Point CLO I Ltd.
2012-1A, 5.46% due 10/20/232,5,6			1,000,000				1,000,368
Cent CLO 16, LP
2014-16A, 5.14% due 08/01/242,5,6			1,000,000				1,000,122
Voya CLO Ltd.
2015-3A, 4.83% due 10/15/222,5,6			1,000,000				997,872
Cerberus Onshore II CLO-2 LLC
2014-1A, 5.03% due 10/15/232,5,6			1,000,000				989,031
Garrison Funding Ltd.
2016-2A, 4.62% due 09/29/27†††,2,5,6			1,000,000				985,660
Kingsland VI Ltd.
2013-6A, 4.54% due 10/28/245,6			1,000,000				956,332
Golub Capital Partners CLO 25M Ltd.
2015-25A, 4.53% due 08/05/272,5,6			1,000,000				954,706
Fortress Credit Opportunities III CLO, LP
2014-3A, 4.12% due 04/28/262,5,6			1,000,000				947,495
Atlas Senior Loan Fund IV Ltd.
2014-2A, 4.36% due 02/17/262,5,6			1,000,000				923,217
Ares XXV CLO Ltd.
2013-3A, due 01/17/246,7			1,750,000				904,957
Venture XIII CLO Ltd.
2013-13A, due 06/10/256,7			1,500,000				902,933
Dryden 37 Senior Loan Fund
2015-37A, due 04/15/276,7			1,050,000				880,114
Keuka Park CLO Ltd.
2013-1A, due 10/21/242,6,7			1,500,000				769,365
OCP CLO 2015-8 Ltd.
2015-8A, 6.88% due 04/17/275,6			1,000,000				739,045

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2016

		Face
		Amount~				Value
ASSET BACKED SECURITIES†† – 47.5% (continued)
Collateralized Loan Obligation – 36.2% (continued)
Resource Capital Corporation
2014-CRE2, 3.05% due 04/15/322,5,6			729,000			$	705,038
Newstar Commercial Loan Funding LLC
2014-1A, 5.63% due 04/20/252,5,6			500,000				475,068
2013-1A, 6.16% due 09/20/235,6			250,000				226,799
Marathon CLO Ltd.
due 02/21/257			1,300,000				690,698
Octagon Loan Funding Ltd.
2014-1A, 6.11% due 11/18/262,5,6			700,000				626,368
West CLO Ltd.
2013-1A, due 11/07/256,7			1,350,000				536,998
COA Summit CLO Limited
2014-1A, 4.73% due 04/20/232,5,6			500,000				493,018
NXT Capital CLO LLC
2013-1A, 5.03% due 04/25/242,5,6			500,000				476,203
MCF CLO IV LLC
2014-1A, 6.78% due 10/15/252,5,6			500,000				430,820
Golub Capital Partners CLO Ltd.
2014-18A, 4.88% due 04/25/262,5,6			300,000				270,676
Marathon CLO II Ltd.
2005-2A, due 12/20/19†††,1,5,6,7			3,000,000				3
Total Collateralized Loan Obligation							125,471,908
Transportation – 6.0%
Apollo Aviation Securitization Equity Trust
2014-1, 7.37% due 12/15/295			3,410,256				3,384,679
2014-1, 5.13% due 12/15/295			1,705,128				1,692,340
Airplanes Pass Through Trust
2001-1A, 1.09% due 03/15/195,8			12,068,641				3,922,308
Apollo Aviation Securitization Equity Trust
2016-1A, 9.20% due 03/17/362,6,9			2,600,100				2,639,102
2016-2, 7.87% due 11/15/416			2,500,000				2,501,185
2016-2, 5.93% due 11/15/416			1,000,000				999,949
ECAF I Ltd.
2015-1A, 5.80% due 06/15/406			2,519,634				2,538,531
Stripes
2013-1 A1, 4.06% due 03/20/23†††			1,728,319				1,684,848
Turbine Engines Securitization Ltd.
2013-1A, 6.38% due 12/13/488			701,105				652,729
Rise Ltd.
2014-1AB, 6.50% due 02/12/39†††			416,667				407,098
BBAM Acquisition Finance
5.38% due 09/17/18			277,492				276,104
Total Transportation							20,698,873

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2016

		Face
		Amount~				Value
ASSET BACKED SECURITIES†† – 47.5% (continued)
Collateralized Debt Obligation – 3.8%
FDF II Ltd.
2016-2A, 7.70% due 05/12/312,6			3,000,000			$	3,025,353
Anchorage Credit Funding 1 Ltd.
2015-1A, 6.30% due 07/28/302,8			3,000,000				3,008,599
FDF I Ltd.
2015-1A, 6.88% due 11/12/302,6			2,000,000				2,000,784
2015-1A, 7.50% due 11/12/302,6			1,000,000				1,006,641
SRERS Funding Ltd.
2011-RS, 0.79% due 05/09/465,6			2,545,974				2,495,362
Anchorage Credit Funding 4 Ltd.
2016-4A, 5.50% due 02/15/356			1,000,000				959,580
Highland Park CDO I Ltd.
2006-1A, 1.33% due 11/25/512,5,6			827,394				763,271
Total Collateralized Debt Obligation							13,259,590
Other – 0.7%
Emerald Aviation Finance Ltd.
2013-1, 6.35% due 10/15/382,6,9			1,287,105				1,304,802
Glenn Pool Oil & Gas Trust
6.00% due 08/02/21†††			1,035,382				983,396
Total Other							2,288,198
Financial – 0.4%
NCBJ 2015-1 A
5.88% due 07/08/22†††,1			1,500,000				1,500,000
Aircraft – 0.3%
Castlelake Aircraft Securitization Trust
2014-1, 7.50% due 02/15/29			1,251,454				1,248,951
Credit Cards – 0.1%
Credit Card Pass-Through Trust
2012-BIZ, 0.00% due 12/15/496			294,396				232,284
Total Asset Backed Securities
(Cost $171,999,901)							164,699,804
CORPORATE BONDS†† – 41.4%
Financial – 14.4%
Citigroup, Inc.
5.95%2,10,11			3,000,000				2,947,500
5.88%2,10,11			1,000,000				1,000,000
Bank of America Corp.
6.50%2,10,11			2,000,000				2,081,400
6.10%2,10,11			1,750,000				1,750,000
QBE Insurance Group Ltd.
7.25% due 11/24/435,6			3,000,000				3,360,000

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2016

		Face
		Amount~				Value
CORPORATE BONDS†† – 41.4% (continued)
Financial – 14.4% (continued)
Jefferies Finance LLC / JFIN Company-Issuer Corp.
7.50% due 04/15/212,6			2,150,000			$	2,090,875
7.38% due 04/01/202,6			950,000				928,625
GMH Military Housing-Navy Northeast LLC
6.30% due 10/15/49†††,2			2,900,000				2,709,908
GEO Group, Inc.
6.00% due 04/15/262			2,000,000				1,920,000
5.88% due 10/15/242			600,000				579,000
5.88% due 01/15/22			100,000				99,750
Customers Bank
6.13% due 06/26/295,8			2,500,000				2,525,000
Citizens Financial Group, Inc.
5.50%2,10,11			2,500,000				2,425,000
Fifth Third Bancorp
4.90%2,10,11			1,500,000				1,402,500
5.10%2,10,11			815,000				764,063
NewStar Financial, Inc.
7.25% due 05/01/202			2,100,000				2,084,250
NFP Corp.
9.00% due 07/15/212,6			1,950,000				2,018,250
Fort Knox Military Housing Privatization Project
5.82% due 02/15/526			1,972,568				1,964,402
CNB Financial Corp.
5.75% due 10/15/26†††,5,6			2,000,000				1,962,277
Atlas Mara Ltd.
8.00% due 12/31/20			2,200,000				1,848,000
FBM Finance, Inc.
8.25% due 08/15/212,6			1,750,000				1,811,250
Garfunkelux Holding Co. 3 S.A.
8.50% due 11/01/22		1,400,000 GBP					1,808,646
AmTrust Financial Services, Inc.
6.13% due 08/15/232			1,654,000				1,678,132
Greystar Real Estate Partners LLC
8.25% due 12/01/222,6			1,450,000				1,569,625
Cadence Bank North America
6.25% due 06/28/292,5,6			1,600,000				1,400,000
Fidelity & Guaranty Life Holdings, Inc.
6.38% due 04/01/212,6			1,065,000				1,054,350
HUB International Ltd.
9.25% due 02/15/212,6			1,000,000				1,030,000
Lincoln Finance Ltd.
7.38% due 04/15/212,6			800,000				856,000
Pacific Beacon LLC
5.63% due 07/15/512,8			715,735				666,964

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2016

		Face
		Amount~				Value
CORPORATE BONDS†† – 41.4% (continued)
Financial – 14.4% (continued)
Atlantic Marine Corporations Communities LLC
5.38% due 02/15/482			553,257			$	510,258
Icahn Enterprises Limited Partnership / Icahn Enterprises Finance Corp.
6.00% due 08/01/202			300,000				298,659
5.88% due 02/01/22			200,000				192,500
Jefferies LoanCore LLC / JLC Finance Corp.
6.88% due 06/01/202,6			500,000				473,750
Total Financial							49,810,934
Consumer, Cyclical – 4.5%
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.
6.75% due 06/15/232			2,335,000				2,171,549
6.50% due 05/01/21			429,000				405,405
WMG Acquisition Corp.
6.75% due 04/15/222,6			2,130,000				2,231,174
NPC International Incorporated / NPC Operating Company A Inc /
NPC Operating Company B Inc. 10.50% due 01/15/202			2,055,000				2,125,899
HP Communities LLC
6.82% due 09/15/532,8			978,261				1,054,859
6.16% due 09/15/53†††,2,8			1,000,000				993,878
Nathan’s Famous, Inc.
10.00% due 03/15/202,6			1,804,000				1,966,359
TVL Finance plc
8.50% due 05/15/23		1,300,000 GBP					1,707,021
Exide Technologies
11.00% due 04/30/202,12			2,068,358				1,649,516
PF Chang’s China Bistro, Inc.
10.25% due 06/30/202,6			1,255,000				1,195,388
Total Consumer, Cyclical							15,501,048
Energy – 4.2%
Keane Group Holdings LLC
12.00% due 08/08/19†††,1			1,900,000				1,743,250
Husky Energy, Inc.
4.00% due 04/15/242			900,000				914,300
3.95% due 04/15/222			600,000				622,988
Comstock Resources, Inc.
10.00% due 03/15/202,12			1,300,000				1,280,499
Halcon Resources Corp.
8.63% due 02/01/202,6			1,100,000				1,128,050
TerraForm Power Operating LLC
6.38% due 02/01/232,6,9			1,096,000				1,120,989
Hess Corp.
8.13% due 02/15/192			950,000				1,062,687

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2016

		Face
		Amount~				Value
CORPORATE BONDS†† – 41.4% (continued)
Energy – 4.2% (continued)
Sunoco Logistics Partners Operations, LP
4.25% due 04/01/242			1,000,000			$	998,836
Approach Resources, Inc.
7.00% due 06/15/212			1,034,000				904,750
EQT Corp.
8.13% due 06/01/192			800,000				901,366
CONSOL Energy, Inc.
8.00% due 04/01/232			850,000				867,000
Buckeye Partners, LP
4.35% due 10/15/242			750,000				758,620
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.
6.25% due 04/01/232			400,000				406,000
6.13% due 03/01/222			200,000				202,000
Gibson Energy, Inc.
6.75% due 07/15/212,6			550,000				570,625
SandRidge Energy, Inc.
0.00% due 10/04/202,3			429,218				522,305
QEP Resources, Inc.
6.88% due 03/01/212			350,000				360,500
Schahin II Finance Company SPV Ltd.
5.88% due 09/25/222,8,13			1,216,133				145,936
SandRidge Energy, Inc. Escrow Notes
8.75% due 06/01/182,6,13			1,900,000				190
Total Energy							14,510,891
Communications – 4.0%
DISH DBS Corp.
5.88% due 11/15/242			2,050,000				2,078,188
7.75% due 07/01/262			1,075,000				1,186,531
MDC Partners, Inc.
6.50% due 05/01/242,6			2,900,000				2,490,375
SFR Group S.A.
7.38% due 05/01/262,6			1,800,000				1,795,500
Inmarsat Finance plc
6.75% due 05/15/222,6			1,850,000				1,762,125
Midcontinent Communications / Midcontinent Finance Corp.
6.88% due 08/15/232,6			1,300,000				1,366,625
Sprint Communications, Inc.
7.00% due 03/01/202,6			800,000				860,496
EIG Investors Corp.
10.88% due 02/01/242,8			750,000				697,500
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
7.88% due 05/15/242,6			550,000				541,750
CSC Holdings LLC
6.75% due 11/15/212			500,000				525,625

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2016

		Face
		Amount~				Value
CORPORATE BONDS†† – 41.4% (continued)
Communications – 4.0% (continued)
Zayo Group LLC / Zayo Capital, Inc.
6.38% due 05/15/252			400,000			$	416,000
Interoute Finco plc
4.63% due 10/12/22		295,000 EUR					335,673
Total Communications							14,056,388
Consumer, Non-cyclical – 4.0%
Bumble Bee Holdings, Inc.
9.00% due 12/15/172,6			2,082,000				2,055,975
Kinetic Concepts Incorporated / KCI USA Inc
7.88% due 02/15/212,6			1,691,000				1,784,005
Tenet Healthcare Corp.
7.50% due 01/01/226			1,700,000				1,747,812
Halyard Health, Inc.
6.25% due 10/15/222			1,600,000				1,636,000
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc.
7.88% due 10/01/222,6			1,625,000				1,633,125
Albertsons Companies LLC / Safeway Incorporated / New Albertson’s Inc / Albertson’s LLC
6.63% due 06/15/242,6			1,500,000				1,550,400
Bumble Bee Holdco SCA
9.63% due 03/15/182,6,12			1,400,000				1,372,000
Acadia Healthcare Company, Inc.
5.63% due 02/15/232			1,000,000				985,000
6.50% due 03/01/24			250,000				248,750
KeHE Distributors LLC / KeHE Finance Corp.
7.63% due 08/15/212,6			550,000				547,250
Opal Acquisition, Inc.
8.88% due 12/15/212,6			255,000				199,538
Total Consumer, Non-cyclical							13,759,855
Industrial – 3.6%
Summit Materials LLC / Summit Materials Finance Corp.
8.50% due 04/15/222			2,150,000				2,367,687
StandardAero Aviation Holdings, Inc.
10.00% due 07/15/232,6			2,025,000				2,138,906
Princess Juliana International Airport Operating Company N.V.
5.50% due 12/20/27†††,2,6			1,846,953				1,865,423
Dynagas LNG Partners Limited Partnership / Dynagas Finance, Inc.
6.25% due 10/30/192			1,800,000				1,707,750
Novelis Corp.
5.88% due 09/30/262,6			1,600,000				1,598,000
LMI Aerospace, Inc.
7.38% due 07/15/192			1,575,000				1,571,063
Coveris Holdings S.A.
7.88% due 11/01/192,6			930,000				913,725

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2016

		Face
		Amount~				Value
CORPORATE BONDS†† – 41.4% (continued)
Industrial – 3.6% (continued)
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
7.25% due 05/15/242,6			250,000			$	261,250
Total Industrial							12,423,804
Basic Materials – 3.5%
BHP Billiton Finance USA Ltd.
6.75% due 10/19/752,5,6			2,000,000				2,205,000
Yamana Gold, Inc.
4.95% due 07/15/242			2,160,000				2,117,653
Eldorado Gold Corp.
6.13% due 12/15/202,6			1,950,000				1,964,625
Alcoa Nederland Holding BV
7.00% due 09/30/262,6			1,650,000				1,749,000
GCP Applied Technologies, Inc.
9.50% due 02/01/232,6			1,475,000				1,670,438
Constellium N.V.
7.88% due 04/01/212,6			1,288,000				1,384,600
Novelis, Inc.
8.38% due 12/15/172			877,000				880,289
Mirabela Nickel Ltd.
2.38% due 06/24/19†††,1			1,388,176				256,021
1.00% due 09/10/44†††,1			27,743				–
Total Basic Materials							12,227,626
Technology – 1.8%
Micron Technology, Inc.
7.50% due 09/15/232,6			1,550,000				1,712,750
5.25% due 08/01/232,6			200,000				197,500
Cengage Learning, Inc.
9.50% due 06/15/242,6			1,900,000				1,657,750
Infor US, Inc.
6.50% due 05/15/222			1,532,000				1,574,130
First Data Corp.
7.00% due 12/01/232,6			500,000				523,440
Epicor Software
9.25% due 06/21/23†††,1			500,000				488,500
CDK Global, Inc.
5.00% due 10/15/24			150,000				146,709
Total Technology							6,300,779
Utilities – 1.4%
LBC Tank Terminals Holding Netherlands BV
6.88% due 05/15/232,6			1,425,000				1,425,000
AES Corp.
6.00% due 05/15/26			1,400,000				1,375,500

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2016

		Face
		Amount~				Value
CORPORATE BONDS†† – 41.4% (continued)
Utilities – 1.4% (continued)
Terraform Global Operating LLC
9.75% due 08/15/222,6			1,150,000			$	1,227,625
AmeriGas Partners Limited Partnership / AmeriGas Finance Corp.
5.88% due 08/20/262			1,000,000				994,690
Total Utilities							5,022,815
Total Corporate Bonds
(Cost $140,963,913)							143,614,140
SENIOR FLOATING RATE INTERESTS††,5 – 38.7%
Consumer, Non-cyclical – 8.5%
Reddy Ice Holdings, Inc.
6.75% due 05/01/19			2,271,899				2,142,696
American Seafoods Group LLC / American Seafoods Finance, Inc.
6.02% due 08/19/21			2,119,765				2,098,566
Copernicus Group, Inc.
6.00% due 08/15/22			2,000,000				2,000,000
AT Home Holding III
5.00% due 06/03/22			1,970,000				1,965,075
Pelican Products, Inc.
5.25% due 04/10/20			1,784,233				1,770,851
Give and Go Prepared Foods Corp.
6.50% due 07/29/23			1,650,000				1,647,938
Chef’s Warehouse Parent LLC
6.75% due 06/22/22			1,633,150				1,622,256
Bauer Performance Sports
7.50% due 04/15/21			1,575,000				1,559,644
American Academy Holdings
6.25% due 05/17/21†††,1			1,534,605				1,520,914
Arctic Glacier Holdings, Inc.
6.00% due 05/10/19			1,353,622				1,340,086
IHC Holding Corp.
7.00% due 04/30/21†††,1			987,500				976,602
7.25% due 04/30/21†††,1			189,525				186,939
Hanger, Inc.
11.50% due 08/01/19			1,000,000				995,000
Affordable Care Holding
5.75% due 10/24/22			992,500				992,500
CPM Holdings
6.00% due 04/11/22			987,500				992,438
Sho Holding I Corp.
6.00% due 10/27/22			992,500				987,538
CTI Foods Holding Co. LLC
8.25% due 06/28/21			1,105,000				983,450

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2016

		Face
		Amount~				Value
SENIOR FLOATING RATE INTERESTS††,5 – 38.7% (continued)
Consumer, Non-cyclical – 8.5% (continued)
Springs Industries, Inc.
7.50% due 06/01/21†††,1			997,500			$	977,083
ABB Concise Optical Group LLC
6.00% due 06/15/23			970,000				976,063
Lineage Logistics LLC
4.50% due 04/07/21			942,749				928,607
ABG Intermediate Holdings 2 LLC
5.50% due 05/27/21			913,926				911,641
American Tire Distributors, Inc.
5.25% due 09/01/21			700,000				688,044
Parts Town
7.50% due 06/23/22†††			650,000				650,000
NES Global Talent
6.50% due 10/03/19			322,958				290,662
Packaging Coordinators Midco, Inc.
1.07% due 07/01/21†††,1			115,385				101,412
Rite Aid Corp.
5.75% due 08/21/20			100,000				100,313
Targus Group International, Inc.
15.00% due 12/31/19†††,1			56,934				79,612
15.00% due 12/31/19†††,1			2,693				3,765
14.00% due 05/24/16†††,1			155,450				–
Total Consumer, Non-cyclical							29,489,695
Technology – 8.0%
Greenway Medical Technologies
6.00% due 11/04/20			1,691,553				1,649,264
9.25% due 11/04/21			1,000,000				950,000
TIBCO Software, Inc.
6.50% due 12/04/20			2,408,356				2,401,132
Epicor Software
4.75% due 06/01/22			1,749,747				1,744,936
5.00% due 06/01/22			500,000				501,875
Insight Venture
7.25% due 07/15/21†††,1		1,650,000 GBP					2,037,531
Infoblox, Inc.
6.00% due 11/07/23			2,000,000				1,964,160
EIG Investors Corp.
6.00% due 02/09/23			1,882,915				1,831,134
PowerSchool, Inc.
5.88% due 07/30/21†††,1			990,000				990,000
6.00% due 07/30/21†††,1			583,590				583,590
6.38% due 07/30/21†††,1			250,000				250,000
Project Alpha Intermediate Holding, Inc.
9.25% due 08/22/22†††,1			1,650,000				1,619,501

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2016

		Face
		Amount~				Value
SENIOR FLOATING RATE INTERESTS††,5 – 38.7% (continued)
Technology – 8.0% (continued)
Aspect Software, Inc.
11.28% due 05/25/20			917,785			$	905,551
10.85% due 05/25/18†††,1			604,167				590,734
Solera LLC
3.66% due 03/03/21†††,1			1,287,567				1,133,437
Advanced Computer Software
10.50% due 01/31/23			1,250,000				1,121,875
Kronos, Inc.
5.00% due 11/01/23			1,000,000				1,002,190
MRI Software LLC
5.25% due 06/23/21			958,807				953,418
Sparta Holding Corp.
6.50% due 07/28/20†††,1			955,057				949,236
CPI Acquisition, Inc.
5.50% due 08/17/22			991,782				900,042
Touchtunes Interactive
5.75% due 05/28/21			888,750				886,528
Micron Technology, Inc.
4.36% due 04/26/22			822,938				831,611
GlobalLogic Holdings, Inc.
6.25% due 06/02/19			613,968				613,201
Landslide Holdings, Inc.
5.50% due 09/27/22			600,000				603,000
Active Network, Inc.
5.50% due 11/13/20			444,835				440,448
Ceridian Corp.
4.50% due 09/15/20			240,697				236,586
Total Technology							27,690,980
Consumer, Cyclical – 7.1%
Sears Holdings Corp.
5.50% due 06/30/18			2,557,566				2,493,628
Navistar, Inc.
6.50% due 08/07/20			2,376,992				2,394,083
Belk, Inc.
5.75% due 12/12/22			2,530,875				2,249,315
K & N Parent, Inc.
5.75% due 10/20/23			2,000,000				1,985,000
Mavis Tire
6.25% due 11/02/20†††,1			1,975,000				1,953,229
Boot Barn Holdings, Inc.
5.50% due 06/29/21†††,1			1,975,000				1,950,905
Accuride Corp.
8.00% due 11/10/23			2,000,000				1,940,000

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2016

		Face
		Amount~				Value
SENIOR FLOATING RATE INTERESTS††,5 – 38.7% (continued)
Consumer, Cyclical – 7.1% (continued)
BIG JACK Holdings
5.75% due 07/01/22			1,729,783			$	1,725,458
LA Fitness International LLC
6.00% due 07/01/20			1,277,329				1,277,329
National Vision, Inc.
6.75% due 03/11/22			1,200,000				1,144,500
Jacobs Entertainment, Inc.
5.25% due 10/29/18			1,063,037				1,063,037
MyEye Doctor
7.25% due 08/16/21†††,1			990,396				982,632
Sky Bet Cyan Blue HoldCo
6.25% due 02/25/22		650,000 GBP					817,417
Talbots, Inc.
5.50% due 03/19/20			512,371				499,561
Amaya Holding B.V.
5.00% due 08/01/21			498,737				498,194
ABRA Auto Body
8.25% due 09/19/22			500,000				480,000
Ascena Retail Group
5.25% due 08/21/22			403,680				392,724
Alexander Mann Solutions Ltd.
5.75% due 12/20/19			323,090				318,244
Ceridian Corp.
4.50% due 09/15/20			300,000				294,876
Capital Automotive LP
6.00% due 04/30/20			210,000				211,224
Deb Stores Holding LLC
1.50% due 10/11/16†††,1			728,007				1
Total Consumer, Cyclical							24,671,357
Industrial – 5.9%
Alion Science & Technology Corp.
5.50% due 08/19/21			2,468,750				2,416,290
CareCore National LLC
5.50% due 03/05/21			2,392,464				2,338,633
Bioplan / Arcade
5.75% due 09/23/21			1,857,611				1,776,340
National Technical
7.25% due 06/12/21†††,1			1,641,150				1,600,121
SRS Distribution, Inc.
9.75% due 02/24/23			1,500,000				1,545,000
Advanced Integration Tech
6.50% due 07/22/21			1,500,000				1,500,000
Tronair Parent, Inc.
5.75% due 09/08/23			1,500,000				1,485,000

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2016

		Face
		Amount~				Value
SENIOR FLOATING RATE INTERESTS††,5 – 38.7% (continued)
Industrial – 5.9% (continued)
HBC Hardware Holdings
6.75% due 03/30/20†††			1,365,000			$	1,337,700
SiteOne Landscaping LLC
6.25% due 04/29/22			995,000				1,001,219
ProAmpac
9.50% due 11/18/24			1,000,000				1,000,000
Amspec Services, Inc.
6.00% due 07/01/22†††,1			894,737				886,414
2.09% due 07/01/22†††,1			22,901				22,691
Ranpak
8.25% due 10/03/22			700,000				658,000
GYP Holdings III Corp.
4.50% due 04/01/21			626,696				626,539
Kuehg Corp.
5.25% due 08/12/22			577,583				580,835
Mast Global
7.75% due 09/12/19†††,1			518,925				516,495
SI Organization
5.75% due 11/22/19			496,764				500,241
Hunter Defense Technologies
7.00% due 08/05/19			381,333				343,200
NaNa Development Corp.
8.00% due 03/15/18			336,176				322,729
Doncasters Group Ltd.
9.50% due 10/09/20			101,379				93,269
Carey International, Inc.
9.00% due 05/23/20†††,1			45,978				10,989
Total Industrial							20,561,705
Financial – 2.7%
Hyperion Insurance
5.50% due 04/29/22			1,782,176				1,769,363
American Stock Transfer & Trust
5.75% due 06/26/20			1,457,789				1,443,211
Safe-Guard
6.25% due 08/19/21			1,078,667				1,035,520
Americold Realty Operating Partnership, LP
5.75% due 12/01/22			992,513				1,007,400
Integro Parent, Inc.
6.75% due 10/31/22			992,785				967,965
Ryan LLC
6.75% due 08/07/20			937,500				928,125
Acrisure LLC
5.75% due 11/03/23			845,238				844,004

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2016

		Face
		Amount~				Value
SENIOR FLOATING RATE INTERESTS††,5 – 38.7% (continued)
Financial – 2.7% (continued)
Magic Newco, LLC
12.00% due 06/12/19			750,000			$	786,248
Assured Partners, Inc.
5.25% due 10/21/22			686,421				688,851
Total Financial							9,470,687
Energy – 1.7%
Invenergy Thermal
6.50% due 10/19/22			1,599,173				1,531,208
PSS Companies
5.50% due 01/28/20			1,857,824				1,319,055
Lone Star Energy
5.47% due 02/22/21			1,143,243				1,011,433
Cactus Wellhead
7.00% due 07/31/20			1,127,760				1,000,887
Exgen Texas Power LLC
5.75% due 09/18/21			1,120,870				850,460
Total Energy							5,713,043
Basic Materials – 1.6%
Zep, Inc.
5.00% due 06/27/22			1,975,000				1,982,406
PetroChoice Holdings
6.00% due 08/19/22			1,485,000				1,492,425
Atkore International, Inc.
7.75% due 10/09/21			1,350,000				1,350,000
Hoffmaster Group, Inc.
5.50% due 11/10/23			600,000				600,000
PQ Corp.
5.25% due 11/04/22			200,000				201,500
Noranda Aluminum Acquisition Corp.
7.00% due 02/28/19			605,414				24,217
Total Basic Materials							5,650,548
Communications – 1.4%
Anaren, Inc.
5.50% due 02/18/21			938,368				919,601
9.25% due 08/18/21			1,000,000				905,000
Cengage Learning Acquisitions, Inc.
5.25% due 06/07/23			1,722,642				1,652,513
Proquest LLC
10.00% due 12/15/22			1,000,000				968,750
5.75% due 10/24/21			398,983				398,652
Total Communications							4,844,516

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2016

		Face
		Amount~				Value
SENIOR FLOATING RATE INTERESTS††,5 – 38.7% (continued)
Transportation – 1.1%
Travelport Holdings LLC
5.00% due 09/02/21			2,067,981			$	2,080,472
Capstone Logistics
5.50% due 10/07/21			1,100,000				1,081,212
Sirva Worldwide, Inc.
7.50% due 11/01/22			525,996				514,161
Total Transportation							3,675,845
Utilities – 0.7%
Panda Power
7.50% due 08/21/20			1,245,987				1,216,395
Panda Moxie Patriot
6.75% due 12/19/20			900,000				879,750
Panda Temple II Power
7.25% due 04/03/19			497,744				454,191
Total Utilities							2,550,336
Total Senior Floating Rate Interests
(Cost $135,996,374)							134,318,712
COLLATERALIZED MORTGAGE OBLIGATIONS†† – 3.7%
Commercial Mortgage Backed Securities – 2.9%
Cosmopolitan Hotel Trust
2016-CSMO, 5.18% due 11/15/335,6			3,500,000				3,519,743
GS Mortgage Securities Corporation Trust
2016-ICE2, 9.04% due 02/15/332,5,6			3,000,000				3,085,545
Capmark Military Housing Trust
2007-AETC, 5.75% due 02/10/522,8			1,920,906				1,836,943
2007-AET2, 6.06% due 10/10/522,8			486,924				493,162
Motel 6 Trust
2015-MTL6, 5.28% due 02/05/306			1,200,000				1,195,546
Total Commercial Mortgage Backed Securities							10,130,939
Residential Mortgage Backed Securities – 0.8%
Nomura Resecuritization Trust
2012-1R, 1.05% due 08/27/472,5,6			1,552,658				1,523,467
TBW Mortgage Backed Pass-Through Certificates
2006-6, 6.04% due 01/25/372,9			1,481,315				753,014
2006-6, 5.75% due 01/25/372,9			620,622				326,144
Total Residential Mortgage Backed Securities							2,602,625
Total Collateralized Mortgage Obligations
(Cost $12,795,630)							12,733,564

SCHEDULE OF INVESTMENTS (Unaudited) continued		November 30, 2016

		Face
		Amount~				Value
FOREIGN GOVERNMENT BONDS†† – 2.0%
Kenya Government International Bond
6.88% due 06/24/242,6			4,250,000			$	4,037,500
Dominican Republic International Bond
6.85% due 01/27/452,6			3,050,000				2,897,500
Total Foreign Government Bonds
(Cost $7,530,217)							6,935,000
MUNICIPAL BONDS†† – 0.6%
Illinois – 0.6%
City of Chicago Illinois General Obligation Unlimited
6.26% due 01/01/40			2,350,000				2,193,937
(Cost $2,034,339)
Total Investments – 142.4%
(Cost $503,253,597)						$	493,885,745

		Contracts				Value
CALL OPTIONS WRITTEN†, * – (0.2)%
Call options on:
S&P 500 Index Expiring December 2016 with strike price of $2,190.00			281			$	(768,535	)
Total Call Options Written
(Premiums received $701,927)						$	(768,535	)
Other Assets & Liabilities, net – (42.2)%							(146,249,899	)
Total Net Assets – 100.0%						$	346,867,311

						Unrealized
		Contracts				Gain
EQUITY FUTURES CONTRACTS PURCHASED†
December 2016 S&P 500 Index E-Mini Futures Contracts
(Aggregate Value of Contracts $61,901,850)			563			$	2,106,966

~		The face amount is denominated in U.S. Dollars, unless otherwise indicated.
*		Non-income producing security.
**		Less than 0.1%
†		Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††		Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††		Value determined based on Level 3 inputs — See Note 4.
1		Security was fair valued by the Valuation Committee at November 30, 2016. The total market value of
		fair valued securities amounts to $24,769,863, (cost $32,168,190) or 7.1% of total net assets.
2		All or a portion of these securities have been physically segregated in connection with borrowings, reverse
		repurchase agreements and unfunded loan commitments. As of November 30, 2016, the total value of
		securities segregated was $244,540,462.

SCHEDULE OF INVESTMENTS (Unaudited) continued	November 30, 2016

3		Zero coupon rate security.
4		Rate indicated is the 7-day yield as of November 30, 2016.
5		Variable rate security. Rate indicated is rate effective at November 30, 2016.
6		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 $224,527,146 (cost $233,325,291), or 64.7% of total net assets.
7		Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined
		deal dates.
8		Security is a 144A or Section 4(a)(2) security. These securities are considered illiquid and restricted under
		guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid
		and restricted securities is $18,353,438 (cost $25,067,068), or 5.3% of total net assets - see Note 12.
9		Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond
		reaches full maturity. Rate indicated is rate effective at November 30, 2016.
10		Perpetual maturity.
11		Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
12		Security is a pay-in-kind bond.
13		Security is in default.
14		All or a portion of this security is pledged as futures collateral.

B.V.		Limited Liability Company
CDO		Collateralized Debt Obligation
CLO		Collateralized Loan Obligation
EUR		Euro
FCB		Farmers Credit Bureau
GBP		Great Britain Pound
LLC		Limited Liability Company
LP		Limited Partnership
N.V.		Publicly Traded Company
plc		Public Limited Company
S.A.		Corporation
SCA		Limited Partnership

SCHEDULE OF INVESTMENTS (Unaudited) continued	November 30, 2016
Country Diversification

		% of Long-Term
Country		Investments
United States			90.9	%
Canada			1.9	%
United Kingdom			1.3	%
Netherlands			0.9	%
Luxembourg			0.8	%
Kenya			0.8	%
Marshall Islands			0.8	%
Australia			0.7	%
Dominican Republic			0.6	%
Saint Maarten			0.4	%
France			0.4	%
Niger			0.2	%
Jersey			0.2	%
Ireland			0.1	%
Cayman Islands			0.0	%*
Total Long-Term Investments			100.0	%
*Less than 0.1%.

SCHEDULE OF INVESTMENTS (Unaudited) continued	November 30, 2016

						Level 2				Level 3
		Level 1				Significant				Significant
		Quoted				Observable				Unobservable
		Prices				Inputs				Inputs				Total
Assets:
Corporate Bonds		$	–			$	133,594,883			$	10,019,257			$	143,614,140
Asset Backed Securities			–				159,138,799				5,561,005				164,699,804
Collateralized Mortgage Obligations			–				12,733,564				–				12,733,564
Senior Floating Rate Interests			–				112,407,179				21,911,533				134,318,712
Municipal Bonds			–				2,193,937				–				2,193,937
Foreign Government Bonds			–				6,935,000				–				6,935,000
Common Stocks			637,787				209,536				824,472				1,671,795
Preferred Stocks			2,920,324				–				–				2,920,324
Warrants			–				33,784				–				33,784
U.S. Government Securities			–				24,292,195				–				24,292,195
Money Market Fund			472,490				–				–				472,490
Forward Foreign Currency Exchange Contracts*			–				13,745				–				13,745
Equity Futures Contracts*			2,106,966				–				–				2,106,966
Total Assets		$	6,137,567			$	451,552,622			$	38,316,267			$	496,006,456
Liabilities:
Options Written			768,535				–				–				768,535
Unfunded Commitments			–				717,517				–				717,517
Forward Foreign Currency Exchange Contracts*			–				61,969				–				61,969
Total Liabilities		$	768,535			$	779,486			$	–			$	1,548,021

SCHEDULE OF INVESTMENTS (Unaudited) continued	November 30, 2016

	Ending Balance at			Input
Category	11/30/2016	Valuation Technique	Unobservable Inputs	Range
Corporate Bonds	$ 7,531,486	Option adjusted spread off	Indicative Quote	–
		the month end broker
		quote over the
		3 month LIBOR
Corporate Bonds	2,231,750	Model Price	Market Comparable Yields	8.8% – 14.1%
Corporate Bonds	256,021	Model Price	Liquidation Value	–
Asset Backed	4,061,002	Option adjusted spread off	Indicative Quote	–
Securities		the month end broker
		quote over the
		3 month LIBOR
Asset Backed	1,500,000	Option adjusted spread	Indicative Quote for	–
Securities			Comparable Security
Senior Floating	1,987,700	Option adjusted spread off	Indicative Quote	–
Rate Interests		the month end broker
		quote over the
		3 month LIBOR
Senior Floating	685,100	Enterprise Value	Valuation Multiple	5.5x – 7.1x
Rate Interests
Senior Floating	7,795,698	Model Price	Market Comparable Yields	4.8% – 5.9%
Rate Interests
Senior Floating	11,443,035	Model Price	Purchase Price	–
Rate Interests
Common Stocks	387	Model Price	Liquidation Value	–
Common Stocks	56,404	Model Price	Purchase Price	–
Common Stocks	767,681	Enterprise Value	Valuation Multiple	5.5x – 7.7x

SCHEDULE OF INVESTMENTS (Unaudited) continued	November 30, 2016

		Senior
	Asset	Floating	Collateralized
	Backed	Rate	Corporate	Mortgage	Common
	Securities	Interests	Bonds	Obligations	Stocks	Total
Assets:
Beginning
Balance	$8,036,285	$19,029,841	$8,485,549	$3,380,625	$1,079,055	$40,011,355
Paydowns
Received	(321,057)	(3,485,092)	(83,627)	(18,702)	–	(3,908,478)
Payment-in-kind
Distributions
Received	–	29,098	17,507	–	–	46,605
Realized Gain/
Loss	–	3,100	–	338,151	–	341,251
Change in
Unrealized
Gain/Loss	155,126	(340,211)	(55,134)	(184,146)	(683,102)	(1,107,467)
Accrued
discounts/
(premiums)	3,108	43,296	23,477	1,112	–	70,993
Purchases	989,000	3,432,565	2,000,000	–	60,004	6,481,569
Sales	–	(373,628)	–	(1,680,097)	–	(2,053,725)
Corporate
actions	–	2,051,650	(368,515)	–	368,515	2,051,650
Transfers into
Level 3	–	1,520,914	–	–	–	1,520,914
Transfers out
of Level 3	(3,301,457)	–	–	(1,836,943)	–	(5,138,400)
Ending Balance	$5,561,005	$21,911,533	$10,019,257	$ –	$ 824,472	$38,316,267
Net change in
unrealized
appreciation
(depreciation)
for investments
in securities
still held at
November 30,
2016	$ 87,932	$ (348,520)	$ (55,133)	$ –	$ (683,102)	$ (998,823)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)	November 30, 2016

ASSETS:
Investments, at value (cost $503,253,597)		$	493,885,745
Cash			8,595,041
Restricted cash			1,513,469
Foreign currency, at value (Cost $37,308)			37,308
Unrealized appreciation on forward foreign currency exchange contracts			13,745
Receivables:
Investments sold			8,292,922
Interest			4,778,820
Dividends			6,875
Tax reclaims			4,276
Other assets			7,094
Total assets			517,135,295
LIABILITIES:
Reverse repurchase agreements			139,786,130
Borrowings			14,704,955
Written options, at value (premiums received $701,927)			768,535
Unfunded loan commitments, at value (Note 10) (Commitment fees received $965,124)			717,517
Interest payable on borrowings			321,770
Due to broker			240,000
Variation margin on futures			135,120
Unrealized depreciation on forward foreign currency exchange contracts			61,969
Payable for:
Investments purchased			12,662,987
Investment advisory fees			398,184
Offering costs			309,173
Trustees’ fees and expenses*			26,628
Accrued expenses and other liabilities			135,016
Total liabilities			170,267,984
NET ASSETS		$	346,867,311
NET ASSETS CONSIST OF:
Common Stock, $0.01 par value per share; unlimited number of shares authorized,
18,507,502 shares issued and outstanding		$	185,075
Additional paid-in capital			358,301,149
Distributions in excess of net investment income			(13,053,682	)
Accumulated net realized gain on investments			8,576,055
Net unrealized depreciation on investments			(7,141,286	)
NET ASSETS		$	346,867,311
Net asset value		$	18.74

STATEMENT OF OPERATIONS	November 30, 2016
For the Six Months Ended November 30, 2016 (Unaudited)

INVESTMENT INCOME:
Interest		$	18,475,153
Dividends			121,974
Total investment income			18,597,127
EXPENSES:
Investment advisory fees			2,334,552
Interest expense			1,196,217
Professional fees			103,742
Fund accounting fees			58,077
Trustees' fees and expenses*			57,279
Administration fees			54,212
Printing fees			43,860
Custodian fees			29,730
Registration and filings			13,908
Transfer agent fees			10,223
Insurance			6,288
Miscellaneous			1,332
Total expenses			3,909,420
Net investment income			14,687,707
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments			4,932,845
Foreign currency transactions			974,550
Written options			645,568
Futures contracts			3,528,442
Net realized gain			10,081,405
Net change in unrealized appreciation (depreciation) on:
Investments			17,143,727
Foreign currency translations			(62,434	)
Written options			584,525
Futures contracts			(177,670	)
Net change in unrealized appreciation (depreciation)			17,488,148
Net realized and unrealized gain			27,569,553
Net increase in net assets resulting from operations		$	42,257,260

STATEMENTS OF CHANGES IN NET ASSETS		November 30, 2016

		Period Ended
November 30, 2016						Year Ended
		(Unaudited)				May 31, 2016
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income		$	14,687,707			$	24,660,280
Net realized gain on investments			10,081,405				6,158,770
Net change in unrealized appreciation (depreciation) on investments			17,488,148				(29,493,024	)
Net increase in net assets resulting from operations			42,257,260				1,326,026
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income			(19,857,283	)			(32,113,499	)
Capital gains			—				(6,431,359	)
Total distributions to shareholders			(19,857,283	)			(38,544,858	)
SHAREHOLDER TRANSACTIONS:
Net proceeds from shares issued though at-the-market offering			12,886,026				3,253,035
Reinvestments			1,414,430				1,244,253
Common share offering costs charged to paid-in capital			(79,306	)			(19,815	)
Net increase in net assets resulting from shareholder transactions			14,221,150				4,477,473
Net increase (decrease) in net assets			36,621,127				(32,741,359	)
NET ASSETS:
Beginning of period			310,246,184				342,987,543
End of period		$	346,867,311			$	310,246,184
Distributions in excess of net investment income at end of period		$	(13,053,682	)		$	(7,884,106	)

STATEMENT OF CASH FLOWS	November 30, 2016
For the Six Months Ended November 30, 2016 (Unaudited)

Cash Flows from Operating Activities:
Net increase in net assets resulting from operations		$	42,257,260
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to
Net Cash Used in Operating and Investing Activities:
Net change in unrealized appreciation (depreciation) on investments			(17,143,727	)
Net change in unrealized appreciation (depreciation) on written options			(584,525	)
Net change in unrealized appreciation (depreciation) on foreign currency translations			62,434
Net realized gain on investments			(4,932,845	)
Net realized gain on written options			(645,568	)
Net accretion of bond discount and amortization of bond premium			(3,369,178	)
Purchase of long-term investments			(150,794,911	)
Paydowns received on mortgage and asset backed securities			39,236,277
Proceeds from written options			4,306,734
Cost of closing written options			(3,665,441	)
Proceeds from sales of long-term investments			83,376,295
Other payments			226,001
Net purchases of short-term investments			(1,262,500	)
Increase in interest receivable			(413,969	)
Decrease in investments sold receivable			4,309,298
Decrease in tax reclaims receivable			9,575
Increase in other assets			(6,254	)
Decrease in due to broker			(346,000	)
Increase in investments purchased payable			5,511,380
Increase in interest payable on borrowings			18,580
Commitment fees received on unfunded commitments			(54,317	)
Decrease in variation margin			(40,650	)
Increase in investment advisory fees payable			21,109
Increase in trustees' fees and expenses* payable			390
Decrease in accrued expenses and other liabilities			(49,509	)
Net Cash Used in Operating and Investing Activities		$	(3,974,061	)
Cash Flows From Financing Activities:
Net proceeds from the issuance of common shares			12,886,026
Distributions to common shareholders			(18,442,853	)
Proceeds from reverse repurchase agreements			156,928,033
Payments made on reverse repurchase agreements			(147,711,949	)
Proceeds from borrowings			6,250,000
Payments made on borrowings			(900,000	)
Offering costs in connection with the issuance of common shares			6,558
Net Cash Provided by Financing Activities			9,015,815
Net increase in cash			5,041,754
Cash at Beginning of Period (including foreign currency and restricted cash)			5,104,064
Cash at End of Period (including foreign currency and restricted cash)		$	10,145,818
Supplemental Disclosure of Cash Flow Information: Cash paid during the period for interest		$	1,177,637
Supplemental Disclosure of Non Cash Financing Activity: Dividend reinvestment		$	1,414,430
Supplemental Disclosure of Non Cash Operating Activity: Additional principal received
on payment-in-kind bonds		$	64,858

FINANCIAL HIGHLIGHTS			November 30, 2016

		Period
		Ended
		November 30,				Year Ended				Year Ended				Year Ended				Year Ended				Year Ended
		2016				May 31,				May 31,				May 31,				May 31,				May 31,
		(Unaudited)				2016				2015				2014				2013				2012
Per Share Data:
Net asset value, beginning of period		$	17.50			$	19.61			$	20.56			$	20.95			$	19.00			$	20.11
Income from investment operations:
Net investment income(a)			0.81				1.40				1.28				1.44				1.68				1.80
Net gain (loss) on investments (realized and unrealized)			1.52				(1.33	)			(0.05	)			0.35				2.22				(1.06	)
Total from investment operations			2.33				0.07				1.23				1.79				3.90				0.74
Less distributions:
From and in excess of net investment income			(1.09	)			(1.82	)			(1.42	)			(1.82	)			(1.78	)			(1.85	)
Capital gains			—				(0.36	)			(0.76	)			(0.36	)			(0.17	)			—
Total distributions to shareholders			(1.09	)			(2.18	)			(2.18	)			(2.18	)			(1.95	)			(1.85	)
Net asset value, end of period		$	18.74			$	17.50			$	19.61			$	20.56			$	20.95			$	19.00
Market value, end of period		$	19.22			$	17.61			$	21.21			$	21.83			$	21.91			$	21.08
Total Return(b)
Net asset value			13.58	%			0.80	%			6.39	%			9.20	%			21.37	%			4.09	%
Market value			15.76	%			-6.07	%			8.08	%			10.71	%			14.10	%			3.81	%
Ratios/Supplemental Data:
Net assets, end of period (in thousands)		$	346,867			$	310,246			$	342,988			$	318,001			$	286,471			$	207,346
Ratio to average net assets applicable to Common Shares:
Net investment income, including interest expense			8.79	%(e)			7.79	%			6.44	%			7.07	%			8.30	%			9.45	%
Total expenses, including interest expense(c)(d)			2.34	%(e)			2.38	%			2.16	%			2.28	%			2.47	%			2.55	%
Portfolio turnover rate			19	%			116	%			86	%			95	%			165	%			112	%

FINANCIAL HIGHLIGHTS continued

November 30, 2016

		Period
		Ended
		November 30,				Year Ended				Year Ended				Year Ended				Year Ended				Year Ended
		2016				May 31,				May 31,				May 31,				May 31,				May 31,
		(Unaudited)				2016				2015				2014				2013				2012
Senior Indebtedness
Total Borrowings outstanding (in thousands)		$	154,491			$	139,925			$	160,247			$	136,430			$	115,573			$	83,842
Asset Coverage per $1,000 of indebtedness(f)		$	3,245			$	3,217			$	3,140			$	3,331			$	3,479			$	3,473

(a)	Based on average shares outstanding.
(b)	Total return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported either at net asset value  (“NAV”) or market price per share. Dividends and distributions are assumed to be reinvested at NAV for NAV returns or the prices obtained under the Fund’s Dividend Reinvestment Plan for market value returns. Total return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized.
(c)	The ratios of total expenses to average net assets applicable to common shares do not reflect fees and expenses incurred indirectly by the Fund as a result of its investment in  shares of other investment companies. If these fees were included in the expense ratios, the expense ratios would increase by 0.02%, 0.03%, 0.03%, 0.05% and 0.04% for the  years ended May 31, 2016, 2015, 2014, 2013 and 2012, respectively.
(d)	Excluding interest expense, the operating expense ratios for the six months ended November 30, 2016 and the years ended May 31 would be:

November 30,
2016	2016	2015	2014	2013	2012
1.62%	1.74%	1.72%	1.78%	1.81%	1.78%

(e)

Annualized.

(f)

Calculated by subtracting the Fund’s total liabilities (not including the borrowings) from the Fund’s total assets and dividing by the total borrowings.

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued	November 30, 2016

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued	November 30, 2016

Note 3 – Investment Advisory Agreement, Sub-Advisory Agreement and Other Agreements:

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued	November 30, 2016

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued	November 30, 2016

												Net Tax
				Gross Tax				Gross				Unrealized
Cost of Investments				Unrealized				Tax Unrealized				Depreciation
for Tax Purposes				Appreciation				Depreciation				on Investments
$	511,637,705			$	22,789,162			$	(40,541,122	)		$	(17,751,960	)

				Undistributed
				Long-Term Capital
Undistributed				Gains/(Accumulated				Net Unrealized
Ordinary Income				Capital and Other Losses)				Depreciation
$	520,395			$	129,983			$	(34,669,268	)

Distributions paid from
Ordinary income		$	32,113,499
Long –term capital gain			6,431,359
		$	38,544,858

Purchases	Sales	Realized Gain
$2,056,813	$1,052,500	$52,500

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued	November 30, 2016

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued		November 30, 2016

Details of the transactions were as follows:

		Number of				Premiums
		Contracts				Received
Options outstanding, beginning of the period			279			$	706,202
Options written during the period			1,660				4,306,734
Options expired during the period			–				–
Options closed during the period			(1,658	)			(4,311,009	)
Options assigned during the period			–				–
Options outstanding, end of period			281			$	701,927

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued	November 30, 2016

																Net Unrealized
						Settlement		Settlement				Value as of				Appreciation
Contracts to Sell					Counterparty	Date		Value				11/30/16				(Depreciation)
EUR			323,000
for USD			356,288		Bank of America Merrill Lynch	12/12/2016		$	356,288			$	342,543			$	13,745
GBP			5,117,000
for USD			6,341,385		Bank of America Merrill Lynch	12/12/2016			6,341,385				6,403,354				(61,969	)
																$	(48,224	)

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued	November 30, 2016

Statement of Asset and Liabilities
Presentation of Fair Values of Derivative Instruments (value in $000s):
	Asset Derivatives		Liability Derivatives

Primary Risk Exposure	Statement of Assets  and Liabilities Location	Fair Value		Statement of Assets  and Liabilities Location	Fair Value
Equity risk		$ –		Options Written	$769
Equity risk	Unrealized appreciation on	2,107		Unrealized depreciation on	–
	futures contracts*			futures contracts*
Foreign exchange risk	Unrealized appreciation on			Unrealized depreciation on
	forward foreign currency			forward foreign currency
	exchange contracts	14		exchange contracts	62
Total		$2,121			$831

*  Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

Effect of Derivative Instruments on the Statement of Operations
Amount of Realized Gain (Loss) on Derivatives (value in $000s):

Primary Risk	Written	Foreign Currency	Futures
Exposure	Options	Transactions	Contracts	Total
Equity risk	$646	$ –	$ 3,528	$ 4,174
Foreign exchange risk	–	975	–	975
Total	$646	$ 975	$ 3,528	$ 5,149

Change in Unrealized Appreciation (Depreciation) on Derivatives (value in $000s):

Primary	Written	Foreign Currency	Futures
Risk Exposure	Options	Translations	Contracts	Total
Equity risk	$585	$ –	$ (178)	$ 407
Foreign exchange risk	–	(71)*	–	(71)
Total	$585	$ (71)	$ (178)	$ 336

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued	November 30, 2016

Quarterly Average Settlement Value Purchased		$	–
Quarterly Average Settlement Value Sold			7,324,746

Quarterly Average Notional Value

$

61,750,725

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued	November 30, 2016

				Net Amounts
			Gross Amounts	of Assets	Gross Amounts Not
		Gross	Offset in the	Presented in the	Offset in the Statement
		Amounts of	Statement of	Statement of	of Assets and Liabilities
		Recognized	Assets and	Assets and	Financial
Description		Assets	Liabilities	Liabilities	Instruments	Net Amount
Forward Foreign
Currency
Exchange
Contracts	$ 13,745		$ –	$ 13,745	$ 13,745	$ –

				Net Amounts
			Gross Amounts	of Liabilities	Gross Amounts Not
		Gross	Offset in the	Presented in the	Offset in the Statement
		Amounts of	Statement of	Statement of	of Assets and Liabilities
		Recognized	Assets and	Assets and	Financial
Description		Liabilities	Liabilities	Liabilities	Instruments	Net Amount
Reverse Repurchase
Agreements		$ 139,786,130	$ –	$ 139,786,130	$ 139,786,130	$         –
Forward Foreign
Currency Exchange
Contracts		61,969	–	61,969	13,745	48,224

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued	November 30, 2016

Counterparty	Interest Rates	Maturity Dates	Face Value
Bank of America	1.57% - 1.96%	12/05/16 – 01/12/17	$    8,753,198
Barclays Capital, Inc.	0.00% - 2.28%	12/01/16 – 01/05/17	17,785,244
Barclays Capital, Inc.	0.00% - 1.00%*	Open maturity	1,795,403
BNP Paribas	1.48% - 1.87%	12/02/16 – 03/01/17	27,118,687
Citigroup Global Markets, Inc.	0.00%	Open maturity	268,000
Credit Suisse First Boston	1.50% - 1.80%	12/05/16 – 01/06/17	9,416,487
Credit Suisse First Boston	0.75% - 1.55%*	Open maturity	2,440,156
JPM Securities	1.74% - 1.92%	12/08/16 – 12/09/16	5,195,000
Morgan Stanley, Inc.	1.63% - 2.34%	12/07/16 – 02/27/17	14,516,650
Nomura	2.18% - 2.69%	09/05/17 – 11/07/17	15,192,194
Nomura	1.40%*	Open maturity	3,931,313
RBC Capital	1.33% - 1.81%	12/05/2016 – 03/01/17	22,882,548
RBC Capital	1.30%*	Open maturity	397,250
Royal Bank of Canada	2.17% - 2.38%	01/12/17 – 02/07/17	1,828,000
Societe Generale	1.93% - 2.43%	12/02/16 – 02/24/17	7,347,000
Wells Fargo Bank, Ltd.	1.79%	12/07/16	919,000
			$139,786,130

		Overnight and				Up to					31 - 90			Greater than
		Continuous				30 days				days				90 days				Total
Asset Backed Securities		$	–			$	28,611,350			$	7,393,000			$	4,574,750			$	40,579,100
Collateralized Mortgage
Obligations			–				1,950,000				–				–				1,950,000
Corporate Bonds			7,105,810				19,784,420				44,819,953				20,091,866				91,802,049
Foreign Government Bonds			1,726,312				1,326,750				2,401,919				–				5,454,981
Total Borrowings		$	8,832,122			$	51,672,520			$	54,614,872			$	24,666,616			$	139,786,130
Gross amount of recognized
liabilities for reverse
repurchase agreements		$	8,832,122			$	51,672,520			$	54,614,872			$	24,666,616			$	139,786,130

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued	November 30, 2016

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued	November 30, 2016

Borrower	Maturity Date		Face Amount				Value
Acosta, Inc.	09/26/2019		$	1,100,000			$	82,562
Acrisure LLC	11/03/2023			154,762				226
American Seafoods Group LLC	08/19/2021			500,000				58,606
Amspec Services, Inc.	07/01/2022			82,362				755
Aspect Software, Inc.	05/25/2018			20,833				–
Deltek, Inc.	06/25/2020			1,500,000				133,108
Eyemart Express	12/18/2019			500,000				36,962
Globallogic Holdings, Inc.	11/30/2018			300,000				22,949
Gold Merger, Co.	07/27/2021			1,000,000				–
Grinding Media, Inc.	03/03/2017			350,000				–
Hostess Brands	08/03/2020			500,000				–
Insight Fourth Hospitality	07/15/2020			500,000				56,603
IntraWest Holdings	12/10/2018			200,000				3,233
MRI Software LLC	10/03/2021			81,818				–
National Technical	06/12/2021			305,882				2,462
Packaging Coordinators Midco, Inc.	07/01/2021			1,384,615				158,653
Pelican Products, Inc.	04/11/2019			300,000				21,163
PowerSchool, Inc.	07/29/2021			525,000				51,002
Solera LLC	03/03/2021			745,433				89,233
			$	10,050,705			$	717,517

Transactions in common shares were as follows:

	Six months ended	Year ended
	November 30, 2016	May 31, 2016
Beginning Shares	17,729,262	17,493,253
Common shares issued through at-the-market offering	701,647	166,779
Shares issued through dividend reinvestment	76,593	69,230
Ending Shares	18,507,502	17,729,262

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued	November 30, 2016

Restricted Securities	Acquisition Date		Cost				Value
Airplanes Pass Through Trust
2001-1A, 1.09% due 03/15/19	10/14/2009		$	9,732,312			$	3,922,308
Anchorage Credit Funding 1 Ltd.
2015-1A, 6.30% due 07/28/30	05/07/2015			3,000,000				3,008,599
Capmark Military Housing Trust
2007-AETC, 5.75% due 02/10/52	09/18/2014			1,901,466				1,836,943
Capmark Military Housing Trust
2007-AET2, 6.06% due 10/10/52	04/23/2015			487,789				493,162
Customers Bank
6.13% due 06/26/29	06/24/2014			2,500,000				2,525,000
EIG Investors Corp.
10.88% due 02/01/24	05/16/2016			685,399				697,500
Fortress Credit Opportunities
2005-1A, 0.96% due 07/15/19	02/16/2012			2,330,051				2,355,560
HP Communities LLC
6.82% due 09/15/53	07/21/2015			974,759				1,054,859
HP Communities LLC
6.16% due 09/15/53	06/09/2014			997,523				993,878
Pacific Beacon LLC
5.63% due 07/15/51	01/15/2014			589,955				666,964
Turbine Engines Securitization Ltd.
2013-1A, 6.38% due 12/13/48	11/27/2013			689,099				652,729
Schahin II Finance Co SPV Ltd
5.88% due 09/25/22	01/08/2014			1,178,715				145,936
			$	25,067,068			$	18,353,438

NOTES TO FINANCIAL STATEMENTS (Unaudited) continued	November 30, 2016

SUPPLEMENTAL INFORMATION (Unaudited)				November 30, 2016

Federal Income Tax Information

In January 2017, you will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by you in the calendar year 2016.

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.

Trustees

The Trustees of the Guggenheim Strategic Opportunities Fund and their principal occupations during the past five years:

	Position(s)	Term of Office		Number of
	Held	and Length		Portfolios in
Name, Address*	with	of Time	Principal Occupation(s)	Fund Complex	Other Directorships
and Year of Birth	Trust	Served**	During Past Five Years	Overseen	Held by Trustees
Independent Trustees
Randall C. Barnes	Trustee	Since 2007	Current: Private Investor (2001-present).	98	Current: Trustee, Purpose Investments Funds (2014-Present).
(1951)			Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997);  President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).
Donald A.	Trustee	Since 2014	Current: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-present).	95	Current: Midland Care,  Inc. (2011-present).
Chubb, Jr.
(1946 )
Jerry B. Farley	Trustee	Since 2014	Current: President, Washburn University (1997-present).	95	Current: Westar Energy, Inc.  (2004-present); CoreFirst Bank & Trust (2000-present).
(1946)
Roman Friedrich III  (1946)	Trustee and  Chairman of  the Contracts  Review  Committee	Since 2010	Current: Founder and Managing Partner, Roman Friedrich & Company  (1998-present).	95	Current: Zincore Metals, Inc.  (2009-present).
			Former: Senior Managing Director, MLV & Co. LLC (2010-2011).		Former: Axiom Gold and Silver  Corp. (2011-2012).

SUPPLEMENTAL INFORMATION (Unaudited) continued					November 30, 2016
	Position(s)	Term of Office		Number of
	Held	and Length		Portfolios in
Name, Address*	with	of Time	Principal Occupation(s)	Fund Complex	Other Directorships
and Year of Birth	Trust	Served**	During Past Five Years	Overseen	Held by Trustees
Independent Trustees continued:
Robert B. Karn III  (1942)	Trustee and  Chairman of  the Audit  Committee	Since 2010	Current: Consultant (1998-present).    Former: Arthur Andersen (1965-1997) and Managing Partner, Financial and Economic Consulting, St. Louis office (1987-1997).	95	Current: Peabody Energy Company  (2003-present); GP Natural Resource  Partners, LLC (2002- present).
Ronald A. Nyberg  (1953)	Trustee and  Chairman of  the Nominating  and Governance  Committee	Since 2007	Current: Partner, Momkus McCluskey Roberts, LLC (2016-present).    Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	100	Current: Edward-Elmhurst  Healthcare System (2012-present).
Maynard F.	Trustee	Since 2014	Current: Retired.	95	Current: Fort Hays State University  Foundation (1999-present); Stormont-  Vail Foundation (2013- present);  University of Minnesota MHA Alumni  Philanthropy Committee (2009-present).   Former: Topeka Community Foundation  (2009-2014).
Oliverius
(1943)			Former: President and CEO, Stormont-Vail HealthCare (1996-2012).
Ronald E.  Toupin, Jr.  (1958)	Trustee and  Chairman of  the Board	Since 2007	Current: Portfolio Consultant (2010-present).	97	Former: Bennett Group of Funds
			Former: Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).		(2011-2013).

SUPPLEMENTAL INFORMATION (Unaudited) continued					November 30, 2016
	Position(s)	Term of Office		Number of
	Held	and Length		Portfolios in
Name, Address*	with	of Time	Principal Occupation(s)	Fund Complex	Other Directorships
and Year of Birth	Trust	Served**	During Past Five Years	Overseen	Held by Trustees
Independent Trustees continued:
Interested Trustee
Donald C.  Cacciapaglia***  (1951)	President,  Chief Executive  Officer and  Trustee	Since 2012	Current: President and CEO, certain other funds in the Fund Complex  (2012-present); Vice Chairman, Guggenheim Investments (2010-present).	230	Current: Clear Spring Life Insurance  Company (2015-present); Guggenheim Partners Investment Management Holdings LLC (2014-present); Guggenheim Partners Japan, Ltd. (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present).
			Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010).

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe, Chicago, IL 60606.
**	This is the period for which the Trustee began serving the Fund. After a Trustee’s initial term, each Trustee is expected to serve a two-year term concurrent
	with the class of Trustees for which he serves:
	- Messrs. Farley, Karn, Nyberg, Oliverius and Toupin are Class II Trustees. Class II Trustees are expected to stand for re-election at the Fund’s annual meeting
	of shareholders for the fiscal year ended May 31, 2017.
	- Messrs. Barnes, Cacciapaglia, Chubb and Friedrich are Class I Trustees. Class I Trustees are expected to stand for re-election at the Fund’s annual meeting
	of shareholders for the fiscal year ended May 31, 2018.
***	This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of his position with the Funds’ Investment Manager and/or
	the parent of the Investment Manager.

SUPPLEMENTAL INFORMATION (Unaudited) continued				November 30, 2016
Officers
The Officers of the Guggenheim Strategic Opportunities Fund, who are not trustees, and their principal occupations during the past five years:

	Position(s)
	held	Term of Office
Name, Address*	with the	and Length of
and Year of Birth	Trust	Time Served**	Principal Occupations During Past Five Years
Officers:
William H.  Belden, III  (1965)	Vice  President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2006-present); Managing Director, Guggenheim Funds Investment Advisors, LLC (2005-present).    Former: Vice President of Management, Northern Trust Global Investments (1999-2005).
Joanna M. Catalucci  (1966)	Chief  Compliance  Officer	Since 2012	Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present).    Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011).
James M. Howley  (1972)	Assistant  Treasurer	Since 2007	Current: Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).    Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004).
Keith Kemp  (1960)	Assistant  Treasurer	Since 2016	Current: Managing Director of Transparent Value, LLC (April 2015-present); Managing Director of Guggenheim Investments (April 2015-present)    Former: Director, Transparent Value, LLC (2010-2015); Director, Guggenheim Investments (2010-2015); Chief Operating officer, Macquarie Capital Management (2007-2009).
Amy J. Lee	Chief Legal  Officer	Since 2013	Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present).    Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).
(1961)
Mark E. Mathiasen	Secretary	Since 2008	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director ,Guggenheim Investments (2007-present).
(1978)

SUPPLEMENTAL INFORMATION (Unaudited) continued					November 30, 2016

Name, Address*  and Year of Birth	Position(s)  held  with the  Trust	Term of Office  and Length of  Time Served**	Principal Occupations During Past Five Years
Officers continued:
Glenn McWhinnie	Assistant  Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present).    Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009).
Michael P. Megaris	Assistant  Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Vice President, Guggenheim Investments (2012-present).    Former: J.D., University of Kansas School of Law (2009-2012).
Adam J. Nelson	Assistant  Treasurer	Since 2015	Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present).    Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011).
Kimberly J. Scott	Assistant  Treasurer	Since 2012	Current: Vice President, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).    Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone	Vice  President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2013-present).    Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
John L. Sullivan	Chief  Financial  Officer, Chief  Accounting  Officer and  Treasurer	Since 2010	Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).    Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe, Chicago, IL 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

DIVIDEND REINVESTMENT PLAN (Unaudited)	November 30, 2016

DIVIDEND REINVESTMENT PLAN (Unaudited) continued	November 30, 2016

FUND INFORMATION	November 30, 2016
Board of Trustees	Investment Adviser
Randall C. Barnes	Guggenheim Funds Investment
	Advisors, LLC
Donald C. Cacciapaglia*	Chicago, IL
Donald A. Chubb Jr.
	Investment Sub-Adviser
Jerry B. Farley	Guggenheim Partners Investment
	Management, LLC
Roman Friedrich III	Santa Monica, CA
Robert B. Karn III	Administrator & Accounting Agent
	MUFG Investor Services (US), LLC
Ronald A. Nyberg	Rockville, MD
Maynard F. Oliverius	Custodian
	The Bank of New York Mellon Corp
Ronald E. Toupin, Jr.,	New York, NY
Chairperson
	Legal Counsel
* Trustee is an “interested person” (as defined	Skadden, Arps, Slate,
in section 2(a)(19) of the 1940 Act)	Meagher & Flom LLP
(“Interested Trustee”) of the Trust because of	New York, NY
his position as the President and CEO of the
Investment Adviser and Sub-Adviser.	Independent Registered Public
	Accounting Firm
Principal Executive Officers	Ernst & Young LLP
	McLean, VA
Donald C. Cacciapaglia
President and Chief Executive Officer
Joanna M. Catalucci
Chief Compliance Officer
Amy J. Lee
Chief Legal Officer
Mark E. Mathiasen
Secretary
John L. Sullivan
Chief Financial Officer, Chief Accounting
Officer and Treasurer

FUND INFORMATION continued	November 30, 2016

Questions concerning your shares of Guggenheim Strategic Opportunities Fund?

•  If your shares are held in a Brokerage Account, contact your Broker.

•  If you have physical possession of your shares in certificate form, contact the Fund’s Transfer Agent:

Computershare Trust Company, N.A., P.O. Box 30170, College Station, TX 77842-3170; (866) 488-3559 or online

at www.computershare.com/investor.

Guggenheim Funds Distributors, LLC 227 West Monroe Street Chicago, IL 60606 Member FINRA/SIPC (01/17)