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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Guggenheim Enhanced Equity Income Fund | NYSE:GPM | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 9.89 | 0 | 01:00:00 |
December 31, 2019
|
|||||||||
|
Total Cumulative Distribution
|
|
% Breakdown of the Total Cumulative
|
|
|||||
|
For the Fiscal Year
|
|
Distributions for the Fiscal Year
|
|
|||||
|
Net
|
Net
|
|
|
|
Net
|
Net
|
|
|
|
Realized
|
Realized
|
|
|
|
Realized
|
Realized
|
|
|
Net
|
Short-Term
|
Long-Term
|
|
Total per
|
Net
|
Short-Term
|
Long-Term |
|
Total per
|
Investment
|
Capital
|
Capital
|
Return of
|
Common
|
Investment
|
Capital
|
Capital
|
Return of
|
Common
|
Income
|
Gains
|
Gains
|
Capital
|
Share
|
Income
|
Gains
|
Gains
|
Capital
|
Share
|
$0.0000
|
$0.0000
|
$0.0000
|
$0.9600
|
$0.9600
|
0.00%
|
0.00%
|
0.00%
|
100.00%
|
100.00%
|
•
|
Daily, weekly and monthly data on share prices, distributions and more
|
•
|
Portfolio overviews and performance analyses
|
•
|
Announcements, press releases and special notices
|
•
|
Fund and adviser contact information
|
(Unaudited)
|
December 31, 2019
|
(Unaudited) continued
|
December 31, 2019
|
ECONOMIC AND MARKET OVERVIEW (Unaudited)
|
December 31, 2019
|
QUESTIONS & ANSWERS (Unaudited)
|
December 31, 2019
|
QUESTIONS & ANSWERS (Unaudited) continued
|
December 31, 2019
|
QUESTIONS & ANSWERS (Unaudited) continued
|
December 31, 2019
|
Index
|
Total Return
|
Chicago Board Options Exchange Volatility Index (“VIX”)
|
-50.94%
|
Dow Jones Industrial Average
|
25.34%
|
NASDAQ-100 Index
|
39.46%
|
Russell 2000 Index
|
25.52%
|
S&P 500 Equal Weight Index
|
29.24%
|
S&P 500 Index
|
31.49%
|
QUESTIONS & ANSWERS (Unaudited) continued
|
December 31, 2019
|
QUESTIONS & ANSWERS (Unaudited) continued
|
December 31, 2019
|
QUESTIONS & ANSWERS (Unaudited) continued
|
December 31, 2019
|
FUND SUMMARY (Unaudited)
|
December 31, 2019
|
Fund Statistics
|
|
Share Price
|
$8.06
|
Net Asset Value
|
$7.98
|
Premium to NAV
|
1.00%
|
Net Assets ($000)
|
$385,659
|
AVERAGE ANNUAL TOTAL RETURNS1
|
|
|
|
|
FOR THE PERIODS ENDED DECEMBER 31, 2019
|
|
|
|
|
|
One
|
Three
|
Five
|
Ten
|
|
Year
|
Year
|
Year
|
Year
|
Guggenheim Enhanced
|
|
|
|
|
Equity Income Fund
|
|
|
|
|
NAV
|
28.83%
|
10.55%
|
8.98%
|
9.67%
|
Market
|
34.15%
|
12.67%
|
11.07%
|
11.36%
|
1 Performance prior to June 22, 2010, under the name Old Mutual/Claymore Long-Short Fund was achieved through an investment strategy of a long-short strategy and an opportunistic
covered call writing strategy by the previous investment sub-adviser, Analytic Investors, LLC, and factors in the Fund’s fees and expenses.
|
Portfolio Breakdown
|
% of Net Assets
|
Common Stocks
|
|
Consumer, Non-cyclical
|
20.8%
|
Financial
|
19.0%
|
Consumer, Cyclical
|
13.9%
|
Industrial
|
13.0%
|
Technology
|
10.5%
|
Communications
|
6.1%
|
Energy
|
5.7%
|
Other
|
9.4%
|
Exchange-Traded Funds
|
45.2%
|
Money Market Fund
|
2.6%
|
Total Investments
|
146.2%
|
Options Written
|
-1.2%
|
Other Assets & Liabilities, net
|
-45.0%
|
Net Assets
|
100.0%
|
FUND SUMMARY (Unaudited) concluded
|
December 31, 2019
|
SCHEDULE OF INVESTMENTS
|
|
December 31, 2019
|
|
||
|
|
||
|
Shares
|
Value
|
|
||
COMMON STOCKS† – 98.4%
|
|
|
Consumer, Non-cyclical – 20.8%
|
|
|
Conagra Brands, Inc.1
|
26,267
|
$ 899,382
|
Corteva, Inc.
|
28,141
|
831,848
|
Centene Corp.*,1
|
12,917
|
812,092
|
Eli Lilly & Co.1
|
6,134
|
806,192
|
Cigna Corp.1
|
3,926
|
802,828
|
IQVIA Holdings, Inc.*
|
5,146
|
795,108
|
Zoetis, Inc.
|
5,990
|
792,776
|
Anthem, Inc.1
|
2,624
|
792,527
|
Molson Coors Beverage Co. — Class B
|
14,671
|
790,767
|
Brown-Forman Corp. — Class B1
|
11,675
|
789,230
|
WellCare Health Plans, Inc.*
|
2,385
|
787,551
|
Mylan N.V.*,1
|
38,948
|
782,855
|
Align Technology, Inc.*,1
|
2,802
|
781,870
|
Teleflex, Inc.
|
2,071
|
779,607
|
Kellogg Co.1
|
11,252
|
778,188
|
Constellation Brands, Inc. — Class A1
|
4,094
|
776,836
|
General Mills, Inc.1
|
14,447
|
773,781
|
Humana, Inc.1
|
2,111
|
773,724
|
Tyson Foods, Inc. — Class A
|
8,474
|
771,473
|
Stryker Corp.
|
3,674
|
771,320
|
HCA Healthcare, Inc.1
|
5,218
|
771,272
|
Mondelez International, Inc. — Class A
|
14,002
|
771,230
|
Danaher Corp.1
|
5,019
|
770,316
|
IDEXX Laboratories, Inc.*,1
|
2,948
|
769,811
|
Campbell Soup Co.1
|
15,576
|
769,766
|
Kroger Co.1
|
26,538
|
769,337
|
DaVita, Inc.*,1
|
10,253
|
769,282
|
Johnson & Johnson1
|
5,273
|
769,172
|
UnitedHealth Group, Inc.
|
2,611
|
767,582
|
Cintas Corp.1
|
2,847
|
766,071
|
JM Smucker Co.
|
7,344
|
764,731
|
Archer-Daniels-Midland Co.1
|
16,493
|
764,451
|
United Rentals, Inc.*
|
4,581
|
763,973
|
Robert Half International, Inc.
|
12,094
|
763,736
|
Sysco Corp.
|
8,924
|
763,359
|
Lamb Weston Holdings, Inc.
|
8,864
|
762,570
|
Pfizer, Inc.
|
19,448
|
761,973
|
Illumina, Inc.*,1
|
2,296
|
761,675
|
Monster Beverage Corp.*
|
11,983
|
761,520
|
Global Payments, Inc.1
|
4,166
|
760,545
|
Intuitive Surgical, Inc.*,1
|
1,286
|
760,219
|
Merck & Company, Inc.
|
8,358
|
760,160
|
SCHEDULE OF INVESTMENTS continued
|
|
December 31, 2019
|
|
||
|
|
||
|
Shares
|
Value
|
|
||
COMMON STOCKS† – 98.4% (continued)
|
|
|
Consumer, Non-cyclical – 20.8% (continued)
|
|
|
Amgen, Inc.1
|
3,149
|
$ 759,129
|
Nielsen Holdings plc1
|
37,367
|
758,550
|
Coca-Cola Co.1
|
13,698
|
758,184
|
Kraft Heinz Co.1
|
23,590
|
757,947
|
Estee Lauder Companies, Inc. — Class A1
|
3,668
|
757,589
|
Laboratory Corporation of America Holdings*,1
|
4,475
|
757,036
|
Coty, Inc. — Class A1
|
67,280
|
756,900
|
Quest Diagnostics, Inc.
|
7,086
|
756,714
|
Allergan plc1
|
3,958
|
756,651
|
MarketAxess Holdings, Inc.
|
1,994
|
755,945
|
Cooper Companies, Inc.1
|
2,352
|
755,674
|
Thermo Fisher Scientific, Inc.
|
2,326
|
755,648
|
Automatic Data Processing, Inc.1
|
4,430
|
755,315
|
McCormick & Company, Inc.1
|
4,450
|
755,298
|
Clorox Co.1
|
4,914
|
754,496
|
Becton Dickinson and Co.1
|
2,774
|
754,445
|
Kimberly-Clark Corp.1
|
5,484
|
754,324
|
Zimmer Biomet Holdings, Inc.1
|
5,034
|
753,489
|
Equifax, Inc.1
|
5,375
|
753,145
|
IHS Markit Ltd.*
|
9,993
|
752,973
|
Moody’s Corp.
|
3,171
|
752,827
|
CVS Health Corp.1
|
10,130
|
752,558
|
ResMed, Inc.
|
4,852
|
751,915
|
AbbVie, Inc.1
|
8,487
|
751,439
|
S&P Global, Inc.
|
2,749
|
750,615
|
Avery Dennison Corp.1
|
5,735
|
750,253
|
Rollins, Inc.
|
22,624
|
750,212
|
Abbott Laboratories1
|
8,633
|
749,862
|
Bristol-Myers Squibb Co.1
|
11,681
|
749,803
|
Church & Dwight Company, Inc.1
|
10,651
|
749,191
|
Philip Morris International, Inc.
|
8,804
|
749,132
|
PayPal Holdings, Inc.*
|
6,925
|
749,077
|
Hormel Foods Corp.1
|
16,603
|
748,961
|
Dentsply Sirona, Inc.1
|
13,222
|
748,233
|
Varian Medical Systems, Inc.*
|
5,267
|
747,967
|
STERIS plc
|
4,907
|
747,925
|
Boston Scientific Corp.*,1
|
16,533
|
747,622
|
Edwards Lifesciences Corp.*,1
|
3,204
|
747,461
|
Colgate-Palmolive Co.1
|
10,852
|
747,051
|
AmerisourceBergen Corp. — Class A1
|
8,786
|
746,986
|
Verisk Analytics, Inc. — Class A
|
4,997
|
746,252
|
Vertex Pharmaceuticals, Inc.*
|
3,404
|
745,306
|
SCHEDULE OF INVESTMENTS continued
|
|
December 31, 2019
|
|
||
|
|
||
|
Shares
|
Value
|
|
||
COMMON STOCKS† – 98.4% (continued)
|
|
|
Consumer, Non-cyclical – 20.8% (continued)
|
|
|
H&R Block, Inc.1
|
31,735
|
$ 745,138
|
Biogen, Inc.*,1
|
2,511
|
745,089
|
Medtronic plc1
|
6,567
|
745,026
|
Hershey Co.1
|
5,066
|
744,601
|
Regeneron Pharmaceuticals, Inc.*
|
1,980
|
743,450
|
Baxter International, Inc.1
|
8,879
|
742,462
|
Procter & Gamble Co.1
|
5,941
|
742,031
|
Altria Group, Inc.1
|
14,861
|
741,712
|
Universal Health Services, Inc. — Class B
|
5,165
|
740,971
|
Quanta Services, Inc.
|
18,155
|
739,090
|
PepsiCo, Inc.
|
5,404
|
738,565
|
Gilead Sciences, Inc.1
|
11,334
|
736,483
|
McKesson Corp.
|
5,302
|
733,373
|
Hologic, Inc.*,1
|
14,025
|
732,245
|
Alexion Pharmaceuticals, Inc.*,1
|
6,751
|
730,121
|
Gartner, Inc.*,1
|
4,728
|
728,585
|
Henry Schein, Inc.*
|
10,884
|
726,181
|
Perrigo Company plc1
|
13,823
|
714,096
|
Incyte Corp.*,1
|
8,146
|
711,309
|
FleetCor Technologies, Inc.*,1
|
2,446
|
703,763
|
Cardinal Health, Inc.1
|
13,892
|
702,657
|
ABIOMED, Inc.*,1
|
4,099
|
699,248
|
Total Consumer, Non-cyclical
|
|
80,419,002
|
Financial – 19.0%
|
|
|
American Tower Corp. — Class A REIT1
|
3,508
|
806,209
|
Crown Castle International Corp. REIT1
|
5,619
|
798,741
|
Healthpeak Properties, Inc. REIT1
|
23,115
|
796,774
|
Equinix, Inc. REIT1
|
1,351
|
788,579
|
Digital Realty Trust, Inc. REIT1
|
6,556
|
785,015
|
CBRE Group, Inc. — Class A*,1
|
12,795
|
784,205
|
Citigroup, Inc.1
|
9,758
|
779,567
|
Ventas, Inc. REIT
|
13,432
|
775,564
|
Welltower, Inc. REIT1
|
9,476
|
774,947
|
Cboe Global Markets, Inc.1
|
6,454
|
774,480
|
Loews Corp.1
|
14,730
|
773,178
|
Public Storage REIT
|
3,629
|
772,832
|
SL Green Realty Corp. REIT
|
8,404
|
772,160
|
Regency Centers Corp. REIT
|
12,239
|
772,159
|
Host Hotels & Resorts, Inc. REIT1
|
41,530
|
770,381
|
Alexandria Real Estate Equities, Inc. REIT1
|
4,764
|
769,767
|
Extra Space Storage, Inc. REIT1
|
7,288
|
769,759
|
SCHEDULE OF INVESTMENTS continued
|
|
December 31, 2019
|
|
||
|
|
||
|
Shares
|
Value
|
|
||
COMMON STOCKS† – 98.4% (continued)
|
|
|
Financial – 19.0% (continued)
|
|
|
Simon Property Group, Inc. REIT
|
5,164
|
$ 769,229
|
Allstate Corp.1
|
6,796
|
764,210
|
Nasdaq, Inc.
|
7,135
|
764,159
|
SBA Communications Corp. REIT
|
3,166
|
762,974
|
Bank of America Corp.1
|
21,645
|
762,337
|
First Republic Bank
|
6,489
|
762,133
|
Goldman Sachs Group, Inc.1
|
3,313
|
761,758
|
Boston Properties, Inc. REIT1
|
5,518
|
760,711
|
Invesco Ltd.1
|
42,307
|
760,680
|
Kimco Realty Corp. REIT1
|
36,704
|
760,140
|
Alliance Data Systems Corp.1
|
6,774
|
760,043
|
JPMorgan Chase & Co.1
|
5,449
|
759,591
|
Weyerhaeuser Co. REIT
|
25,150
|
759,530
|
Vornado Realty Trust REIT
|
11,421
|
759,496
|
Morgan Stanley
|
14,838
|
758,519
|
Realty Income Corp. REIT1
|
10,282
|
757,064
|
Zions Bancorp North America1
|
14,574
|
756,682
|
Visa, Inc. — Class A
|
4,027
|
756,673
|
People’s United Financial, Inc.
|
44,772
|
756,647
|
Duke Realty Corp. REIT
|
21,791
|
755,494
|
Principal Financial Group, Inc.
|
13,731
|
755,205
|
Citizens Financial Group, Inc.
|
18,581
|
754,574
|
MetLife, Inc.
|
14,797
|
754,203
|
Mid-America Apartment Communities, Inc. REIT
|
5,712
|
753,184
|
Aon plc1
|
3,616
|
753,177
|
Apartment Investment & Management Co. — Class A REIT1
|
14,574
|
752,747
|
Willis Towers Watson plc1
|
3,727
|
752,630
|
UDR, Inc. REIT
|
16,115
|
752,570
|
Travelers Companies, Inc.
|
5,495
|
752,540
|
KeyCorp1
|
37,162
|
752,159
|
Iron Mountain, Inc. REIT1
|
23,598
|
752,068
|
Mastercard, Inc. — Class A
|
2,518
|
751,850
|
Arthur J Gallagher & Co.1
|
7,893
|
751,650
|
BlackRock, Inc. — Class A1
|
1,495
|
751,537
|
Marsh & McLennan Companies, Inc.1
|
6,744
|
751,349
|
Everest Re Group Ltd.
|
2,714
|
751,344
|
Federal Realty Investment Trust REIT1
|
5,834
|
751,011
|
Assurant, Inc.1
|
5,728
|
750,826
|
Intercontinental Exchange, Inc.1
|
8,111
|
750,673
|
SVB Financial Group*
|
2,990
|
750,610
|
Prologis, Inc. REIT
|
8,420
|
750,559
|
Chubb Ltd.1
|
4,821
|
750,437
|
SCHEDULE OF INVESTMENTS continued
|
|
December 31, 2019
|
|
||
|
|
||
|
Shares
|
Value
|
|
||
COMMON STOCKS† – 98.4% (continued)
|
|
|
Financial – 19.0% (continued)
|
|
|
PNC Financial Services Group, Inc.
|
4,699
|
$ 750,101
|
Truist Financial Corp.
|
13,307
|
749,450
|
Berkshire Hathaway, Inc. — Class B*,1
|
3,308
|
749,262
|
AvalonBay Communities, Inc. REIT1
|
3,573
|
749,258
|
E*TRADE Financial Corp.
|
16,511
|
749,104
|
Progressive Corp.
|
10,329
|
747,716
|
Bank of New York Mellon Corp.1
|
14,844
|
747,098
|
Essex Property Trust, Inc. REIT1
|
2,481
|
746,434
|
Wells Fargo & Co.
|
13,859
|
745,614
|
State Street Corp.
|
9,421
|
745,201
|
Franklin Resources, Inc.1
|
28,683
|
745,184
|
Regions Financial Corp.
|
43,416
|
745,019
|
Equity Residential REIT1
|
9,202
|
744,626
|
American Express Co.1
|
5,977
|
744,077
|
M&T Bank Corp.1
|
4,383
|
744,014
|
Comerica, Inc.1
|
10,364
|
743,617
|
Cincinnati Financial Corp.1
|
7,069
|
743,305
|
Globe Life, Inc.
|
7,058
|
742,855
|
Prudential Financial, Inc.
|
7,919
|
742,327
|
Hartford Financial Services Group, Inc.1
|
12,207
|
741,819
|
Aflac, Inc.1
|
14,020
|
741,658
|
Ameriprise Financial, Inc.1
|
4,452
|
741,614
|
American International Group, Inc.1
|
14,447
|
741,565
|
WR Berkley Corp.
|
10,717
|
740,545
|
Fifth Third Bancorp1
|
24,071
|
739,943
|
T. Rowe Price Group, Inc.
|
6,050
|
737,132
|
Lincoln National Corp.1
|
12,480
|
736,445
|
Capital One Financial Corp.1
|
7,143
|
735,086
|
Raymond James Financial, Inc.
|
8,203
|
733,840
|
U.S. Bancorp
|
12,369
|
733,358
|
Western Union Co.
|
27,376
|
733,129
|
Northern Trust Corp.
|
6,900
|
733,056
|
Huntington Bancshares, Inc.1
|
48,564
|
732,345
|
CME Group, Inc. — Class A1
|
3,644
|
731,424
|
Discover Financial Services1
|
8,600
|
729,452
|
Unum Group
|
24,570
|
716,461
|
Synchrony Financial
|
19,779
|
712,242
|
Charles Schwab Corp.
|
14,924
|
709,785
|
Total Financial
|
|
73,114,451
|
Consumer, Cyclical – 13.9%
|
|
|
Macy’s, Inc.1
|
49,108
|
834,836
|
SCHEDULE OF INVESTMENTS continued
|
|
December 31, 2019
|
|
||
|
|
||
|
Shares
|
Value
|
|
||
COMMON STOCKS† – 98.4% (continued)
|
|
|
Consumer, Cyclical – 13.9% (continued)
|
|
|
Live Nation Entertainment, Inc.*
|
11,586
|
$ 828,051
|
Carnival Corp.1
|
15,711
|
798,590
|
Wynn Resorts Ltd.1
|
5,744
|
797,669
|
VF Corp.
|
8,003
|
797,579
|
Nordstrom, Inc.
|
19,423
|
794,983
|
Royal Caribbean Cruises Ltd.
|
5,933
|
792,115
|
Gap, Inc.1
|
44,665
|
789,677
|
Kohl’s Corp.1
|
15,440
|
786,668
|
Norwegian Cruise Line Holdings Ltd.*
|
13,364
|
780,591
|
American Airlines Group, Inc.1
|
27,127
|
778,002
|
Tapestry, Inc.
|
28,738
|
775,064
|
Nike, Inc. — Class B
|
7,625
|
772,489
|
Marriott International, Inc. — Class A1
|
5,100
|
772,293
|
Best Buy Company, Inc.1
|
8,792
|
771,938
|
Hilton Worldwide Holdings, Inc.
|
6,954
|
771,268
|
Advance Auto Parts, Inc.1
|
4,803
|
769,248
|
Hanesbrands, Inc.1
|
51,768
|
768,755
|
Delta Air Lines, Inc.1
|
13,141
|
768,486
|
General Motors Co.1
|
20,911
|
765,343
|
Chipotle Mexican Grill, Inc. — Class A*,1
|
914
|
765,119
|
Copart, Inc.*
|
8,412
|
764,987
|
L Brands, Inc.1
|
42,116
|
763,142
|
Home Depot, Inc.1
|
3,482
|
760,399
|
Walgreens Boots Alliance, Inc.
|
12,879
|
759,346
|
WW Grainger, Inc.1
|
2,243
|
759,300
|
Hasbro, Inc.1
|
7,174
|
757,646
|
MGM Resorts International
|
22,762
|
757,292
|
Aptiv plc1
|
7,969
|
756,816
|
TJX Companies, Inc.
|
12,348
|
753,969
|
Lowe’s Companies, Inc.1
|
6,291
|
753,410
|
Genuine Parts Co.1
|
7,089
|
753,064
|
Dollar General Corp.1
|
4,821
|
751,980
|
Ross Stores, Inc.
|
6,455
|
751,491
|
Target Corp.
|
5,860
|
751,311
|
Ford Motor Co.1
|
80,765
|
751,114
|
PVH Corp.
|
7,140
|
750,771
|
Costco Wholesale Corp.1
|
2,554
|
750,672
|
Yum! Brands, Inc.1
|
7,446
|
750,036
|
United Airlines Holdings, Inc.*
|
8,512
|
749,822
|
Alaska Air Group, Inc.1
|
11,059
|
749,247
|
Dollar Tree, Inc.*,1
|
7,965
|
749,108
|
Ralph Lauren Corp. — Class A
|
6,376
|
747,395
|
SCHEDULE OF INVESTMENTS continued
|
|
December 31, 2019
|
|
||
|
|
||
|
Shares
|
Value
|
|
||
COMMON STOCKS† – 98.4% (continued)
|
|
|
Consumer, Cyclical – 13.9% (continued)
|
|
|
McDonald’s Corp.1
|
3,782
|
$ 747,361
|
Leggett & Platt, Inc.1
|
14,697
|
747,049
|
NVR, Inc.*
|
196
|
746,448
|
Newell Brands, Inc.
|
38,806
|
745,851
|
Las Vegas Sands Corp.
|
10,798
|
745,494
|
Tiffany & Co.
|
5,576
|
745,232
|
Ulta Beauty, Inc.*
|
2,941
|
744,485
|
Fastenal Co.1
|
20,131
|
743,841
|
Southwest Airlines Co.
|
13,766
|
743,089
|
Harley-Davidson, Inc.1
|
19,959
|
742,275
|
Whirlpool Corp.
|
5,023
|
741,043
|
O’Reilly Automotive, Inc.*
|
1,689
|
740,221
|
Starbucks Corp.1
|
8,407
|
739,143
|
BorgWarner, Inc.1
|
17,020
|
738,328
|
Mohawk Industries, Inc.*
|
5,404
|
736,997
|
LKQ Corp.*,1
|
20,644
|
736,991
|
Walmart, Inc.
|
6,197
|
736,451
|
Tractor Supply Co.
|
7,853
|
733,784
|
Capri Holdings Ltd.*,1
|
19,223
|
733,357
|
Cummins, Inc.1
|
4,085
|
731,052
|
PACCAR, Inc.
|
9,090
|
719,019
|
AutoZone, Inc.*,1
|
603
|
718,360
|
DR Horton, Inc.1
|
13,601
|
717,453
|
PulteGroup, Inc.
|
18,461
|
716,287
|
Lennar Corp. — Class A1
|
12,787
|
713,387
|
Darden Restaurants, Inc.1
|
6,450
|
703,115
|
CarMax, Inc.*,1
|
7,616
|
667,695
|
Under Armour, Inc. — Class A*
|
19,671
|
424,894
|
Under Armour, Inc. — Class C*
|
20,320
|
389,737
|
Total Consumer, Cyclical
|
|
53,659,521
|
Industrial – 13.0%
|
|
|
Westrock Co.
|
18,231
|
782,292
|
Sealed Air Corp.
|
19,612
|
781,146
|
3M Co.
|
4,416
|
779,071
|
Westinghouse Air Brake Technologies Corp.1
|
9,918
|
771,620
|
J.B. Hunt Transport Services, Inc.1
|
6,597
|
770,398
|
Mettler-Toledo International, Inc.*
|
968
|
767,895
|
PerkinElmer, Inc.
|
7,898
|
766,896
|
Flowserve Corp.1
|
15,399
|
766,408
|
IDEX Corp.
|
4,454
|
766,088
|
Amcor plc
|
70,593
|
765,228
|
SCHEDULE OF INVESTMENTS continued
|
|
December 31, 2019
|
|
||
|
|
||
|
Shares
|
Value
|
|
||
COMMON STOCKS† – 98.4% (continued)
|
|
|
Industrial – 13.0% (continued)
|
|
|
Textron, Inc.
|
17,157
|
$ 765,202
|
Expeditors International of Washington, Inc.1
|
9,789
|
763,738
|
AO Smith Corp.
|
16,024
|
763,384
|
CH Robinson Worldwide, Inc.1
|
9,738
|
761,511
|
Norfolk Southern Corp.
|
3,922
|
761,378
|
Union Pacific Corp.
|
4,211
|
761,307
|
Ball Corp.1
|
11,769
|
761,101
|
Masco Corp.1
|
15,857
|
760,977
|
TE Connectivity Ltd.1
|
7,931
|
760,107
|
Agilent Technologies, Inc.1
|
8,905
|
759,686
|
Old Dominion Freight Line, Inc.
|
3,999
|
758,930
|
Waste Management, Inc.
|
6,655
|
758,404
|
Fortive Corp.1
|
9,914
|
757,331
|
Caterpillar, Inc.1
|
5,122
|
756,417
|
Dover Corp.1
|
6,559
|
755,990
|
Xylem, Inc.1
|
9,591
|
755,675
|
Illinois Tool Works, Inc.1
|
4,205
|
755,344
|
Allegion plc1
|
6,060
|
754,712
|
Martin Marietta Materials, Inc.1
|
2,698
|
754,469
|
Eaton Corporation plc1
|
7,964
|
754,350
|
AMETEK, Inc.1
|
7,563
|
754,334
|
Kansas City Southern1
|
4,923
|
754,007
|
Raytheon Co.
|
3,429
|
753,489
|
Roper Technologies, Inc.
|
2,127
|
753,447
|
Amphenol Corp. — Class A1
|
6,958
|
753,064
|
Packaging Corporation of America
|
6,714
|
751,901
|
Lockheed Martin Corp.1
|
1,929
|
751,114
|
Stanley Black & Decker, Inc.
|
4,531
|
750,968
|
Vulcan Materials Co.
|
5,213
|
750,620
|
Johnson Controls International plc1
|
18,434
|
750,448
|
Republic Services, Inc. — Class A
|
8,362
|
749,486
|
United Technologies Corp.
|
5,001
|
748,950
|
Deere & Co.1
|
4,321
|
748,657
|
Fortune Brands Home & Security, Inc.1
|
11,453
|
748,339
|
Emerson Electric Co.1
|
9,811
|
748,187
|
Garmin Ltd.1
|
7,651
|
746,432
|
Pentair plc1
|
16,259
|
745,800
|
Honeywell International, Inc.
|
4,212
|
745,524
|
Huntington Ingalls Industries, Inc.1
|
2,967
|
744,361
|
Northrop Grumman Corp.
|
2,163
|
744,007
|
Waters Corp.*
|
3,184
|
743,942
|
Jacobs Engineering Group, Inc.1
|
8,280
|
743,792
|
SCHEDULE OF INVESTMENTS continued
|
|
December 31, 2019
|
|
||
|
|
||
|
Shares
|
Value
|
|
||
COMMON STOCKS† – 98.4% (continued)
|
|
|
Industrial – 13.0% (continued)
|
|
|
Parker-Hannifin Corp.
|
3,610
|
$ 743,010
|
Rockwell Automation, Inc.
|
3,664
|
742,583
|
CSX Corp.1
|
10,243
|
741,183
|
Snap-on, Inc.
|
4,375
|
741,125
|
Ingersoll-Rand plc1
|
5,571
|
740,497
|
L3Harris Technologies, Inc.
|
3,724
|
736,868
|
United Parcel Service, Inc. — Class B
|
6,285
|
735,722
|
General Dynamics Corp.1
|
4,164
|
734,321
|
General Electric Co.1
|
65,737
|
733,625
|
FLIR Systems, Inc.
|
14,020
|
730,021
|
Arconic, Inc.1
|
23,553
|
724,726
|
TransDigm Group, Inc.
|
1,294
|
724,640
|
Boeing Co.1
|
2,182
|
710,808
|
Keysight Technologies, Inc.*
|
6,915
|
709,686
|
FedEx Corp.1
|
4,500
|
680,445
|
Total Industrial
|
|
50,307,184
|
Technology – 10.5%
|
|
|
Western Digital Corp.
|
13,728
|
871,316
|
Advanced Micro Devices, Inc.*
|
18,116
|
830,800
|
Skyworks Solutions, Inc.
|
6,664
|
805,544
|
Apple, Inc.1
|
2,709
|
795,498
|
Leidos Holdings, Inc.
|
8,117
|
794,573
|
NVIDIA Corp.
|
3,328
|
783,078
|
Micron Technology, Inc.*
|
14,560
|
783,037
|
KLA Corp.1
|
4,353
|
775,574
|
Lam Research Corp.1
|
2,644
|
773,106
|
Adobe, Inc.*,1
|
2,344
|
773,075
|
Intel Corp.1
|
12,899
|
772,005
|
ServiceNow, Inc.*
|
2,731
|
771,016
|
Maxim Integrated Products, Inc.
|
12,510
|
769,490
|
Broadridge Financial Solutions, Inc.
|
6,227
|
769,284
|
Electronic Arts, Inc.*,1
|
7,130
|
766,546
|
Microchip Technology, Inc.
|
7,302
|
764,666
|
Qorvo, Inc.*
|
6,573
|
763,980
|
Autodesk, Inc.*,1
|
4,155
|
762,276
|
Cadence Design Systems, Inc.*
|
10,975
|
761,226
|
Microsoft Corp.
|
4,824
|
760,745
|
Akamai Technologies, Inc.*,1
|
8,802
|
760,317
|
Applied Materials, Inc.1
|
12,451
|
760,009
|
Accenture plc — Class A1
|
3,607
|
759,526
|
Synopsys, Inc.*
|
5,453
|
759,058
|
SCHEDULE OF INVESTMENTS continued
|
|
December 31, 2019
|
|
||
|
|
||
|
Shares
|
Value
|
|
||
COMMON STOCKS† – 98.4% (continued)
|
|
|
Technology – 10.5% (continued)
|
|
|
Cerner Corp.1
|
10,321
|
$ 757,458
|
Xilinx, Inc.1
|
7,747
|
757,424
|
ANSYS, Inc.*,1
|
2,936
|
755,756
|
Texas Instruments, Inc.
|
5,887
|
755,243
|
Activision Blizzard, Inc.1
|
12,710
|
755,228
|
Seagate Technology plc1
|
12,687
|
754,877
|
Fortinet, Inc.*
|
7,057
|
753,405
|
HP, Inc.1
|
36,632
|
752,788
|
salesforce.com, Inc.*
|
4,626
|
752,373
|
Intuit, Inc.1
|
2,871
|
752,001
|
Fidelity National Information Services, Inc.1
|
5,395
|
750,390
|
Cognizant Technology Solutions Corp. — Class A1
|
12,094
|
750,070
|
Take-Two Interactive Software, Inc.*
|
6,119
|
749,149
|
Citrix Systems, Inc.1
|
6,755
|
749,129
|
QUALCOMM, Inc.
|
8,487
|
748,808
|
IPG Photonics Corp.*,1
|
5,154
|
746,918
|
DXC Technology Co.1
|
19,868
|
746,838
|
Broadcom, Inc.1
|
2,363
|
746,755
|
Xerox Holdings Corp.
|
20,235
|
746,064
|
Analog Devices, Inc.1
|
6,276
|
745,840
|
Paychex, Inc.
|
8,762
|
745,296
|
Jack Henry & Associates, Inc.1
|
5,111
|
744,519
|
International Business Machines Corp.1
|
5,554
|
744,458
|
MSCI, Inc. — Class A
|
2,866
|
739,944
|
Zebra Technologies Corp. — Class A*
|
2,892
|
738,733
|
Fiserv, Inc.*,1
|
6,385
|
738,298
|
Hewlett Packard Enterprise Co.1
|
46,504
|
737,553
|
NetApp, Inc.
|
11,788
|
733,803
|
Oracle Corp.
|
13,676
|
724,554
|
Total Technology
|
|
40,359,417
|
Communications – 6.1%
|
|
|
ViacomCBS, Inc. — Class B
|
19,293
|
809,727
|
Netflix, Inc.*
|
2,497
|
807,954
|
Cisco Systems, Inc.1
|
16,456
|
789,230
|
Facebook, Inc. — Class A*,1
|
3,840
|
788,160
|
Twitter, Inc.*,1
|
24,530
|
786,187
|
Arista Networks, Inc.*,1
|
3,864
|
785,938
|
Amazon.com, Inc.*,1
|
423
|
781,636
|
Booking Holdings, Inc.*,1
|
378
|
776,310
|
DISH Network Corp. — Class A*,1
|
21,845
|
774,842
|
T-Mobile US, Inc.*
|
9,878
|
774,633
|
SCHEDULE OF INVESTMENTS continued
|
|
December 31, 2019
|
|
||
|
|
||
|
Shares
|
Value
|
|
||
COMMON STOCKS† – 98.4% (continued)
|
|
|
Communications – 6.1% (continued)
|
|
|
CDW Corp.
|
5,411
|
$ 772,907
|
Comcast Corp. — Class A1
|
17,106
|
769,257
|
AT&T, Inc.1
|
19,484
|
761,435
|
Juniper Networks, Inc.1
|
30,893
|
760,894
|
Charter Communications, Inc. — Class A*,1
|
1,568
|
760,605
|
eBay, Inc.1
|
21,011
|
758,707
|
Corning, Inc.1
|
25,938
|
755,055
|
Verizon Communications, Inc.
|
12,259
|
752,702
|
VeriSign, Inc.*
|
3,893
|
750,103
|
Motorola Solutions, Inc.
|
4,645
|
748,495
|
Interpublic Group of Companies, Inc.1
|
32,369
|
747,724
|
F5 Networks, Inc.*,1
|
5,354
|
747,686
|
Walt Disney Co.1
|
5,093
|
736,601
|
Omnicom Group, Inc.
|
9,086
|
736,147
|
NortonLifeLock, Inc.
|
28,672
|
731,710
|
CenturyLink, Inc.1
|
54,813
|
724,080
|
Expedia Group, Inc.1
|
6,611
|
714,914
|
News Corp. — Class A
|
41,455
|
586,174
|
Fox Corp. — Class A
|
14,013
|
519,462
|
Discovery, Inc. — Class C*,1
|
16,643
|
507,445
|
Alphabet, Inc. — Class C*,1
|
278
|
371,692
|
Alphabet, Inc. — Class A*,1
|
275
|
368,332
|
Discovery, Inc. — Class A*,1
|
7,581
|
248,202
|
Fox Corp. — Class B
|
6,420
|
233,688
|
News Corp. — Class B
|
13,090
|
189,936
|
Total Communications
|
|
23,628,570
|
Energy – 5.7%
|
|
|
Apache Corp.1
|
34,916
|
893,500
|
Concho Resources, Inc.1
|
9,466
|
828,938
|
Noble Energy, Inc.
|
33,309
|
827,396
|
EOG Resources, Inc.1
|
9,875
|
827,130
|
Devon Energy Corp.1
|
31,749
|
824,521
|
Occidental Petroleum Corp.
|
19,768
|
814,639
|
Cimarex Energy Co.1
|
15,508
|
814,015
|
Diamondback Energy, Inc.
|
8,761
|
813,546
|
Baker Hughes Co.1
|
31,534
|
808,216
|
Cabot Oil & Gas Corp. — Class A1
|
46,302
|
806,118
|
Pioneer Natural Resources Co.
|
5,325
|
806,045
|
Helmerich & Payne, Inc.1
|
17,711
|
804,611
|
Hess Corp.1
|
11,962
|
799,181
|
TechnipFMC plc1
|
37,273
|
799,133
|
SCHEDULE OF INVESTMENTS continued
|
|
December 31, 2019
|
|
||
|
|
||
|
Shares
|
Value
|
|
||
COMMON STOCKS† – 98.4% (continued)
|
|
|
Energy – 5.7% (continued)
|
|
|
Marathon Oil Corp.1
|
58,605
|
$ 795,856
|
National Oilwell Varco, Inc.
|
31,322
|
784,616
|
Kinder Morgan, Inc.1
|
36,904
|
781,258
|
Williams Companies, Inc.
|
32,825
|
778,609
|
ConocoPhillips1
|
11,889
|
773,142
|
ONEOK, Inc.
|
10,188
|
770,926
|
Schlumberger Ltd.
|
19,114
|
768,383
|
Marathon Petroleum Corp.1
|
12,719
|
766,320
|
Chevron Corp.1
|
6,320
|
761,623
|
Halliburton Co.1
|
31,074
|
760,381
|
HollyFrontier Corp.
|
14,853
|
753,196
|
Exxon Mobil Corp.1
|
10,768
|
751,391
|
Valero Energy Corp.
|
7,947
|
744,237
|
Phillips 66
|
6,598
|
735,083
|
Total Energy
|
|
22,192,010
|
Utilities – 5.6%
|
|
|
AES Corp.1
|
39,401
|
784,080
|
CenterPoint Energy, Inc.1
|
28,738
|
783,685
|
Southern Co.
|
12,269
|
781,535
|
Eversource Energy1
|
9,165
|
779,667
|
Atmos Energy Corp.
|
6,964
|
778,993
|
Pinnacle West Capital Corp.1
|
8,654
|
778,254
|
Exelon Corp.1
|
17,012
|
775,577
|
DTE Energy Co.1
|
5,970
|
775,324
|
Edison International1
|
10,255
|
773,330
|
Evergy, Inc.
|
11,878
|
773,139
|
NiSource, Inc.
|
27,733
|
772,087
|
WEC Energy Group, Inc.
|
8,359
|
770,951
|
Alliant Energy Corp.1
|
14,085
|
770,731
|
American Water Works Company, Inc.1
|
6,254
|
768,304
|
CMS Energy Corp.1
|
12,223
|
768,093
|
Consolidated Edison, Inc.1
|
8,487
|
767,819
|
American Electric Power Company, Inc.1
|
8,098
|
765,342
|
Dominion Energy, Inc.1
|
9,217
|
763,352
|
Ameren Corp.1
|
9,937
|
763,162
|
NextEra Energy, Inc.
|
3,146
|
761,835
|
Xcel Energy, Inc.1
|
11,973
|
760,166
|
Sempra Energy
|
5,011
|
759,066
|
FirstEnergy Corp.1
|
15,547
|
755,584
|
Entergy Corp.1
|
6,301
|
754,860
|
Duke Energy Corp.1
|
8,274
|
754,671
|
SCHEDULE OF INVESTMENTS continued
|
|
December 31, 2019
|
|
||
|
|
||
|
Shares
|
Value
|
|
||
COMMON STOCKS† – 98.4% (continued)
|
|
|
Utilities – 5.6% (continued)
|
|
|
NRG Energy, Inc.1
|
18,935
|
$ 752,666
|
Public Service Enterprise Group, Inc.
|
12,732
|
751,825
|
PPL Corp.
|
20,916
|
750,466
|
Total Utilities
|
|
21,494,564
|
Basic Materials – 3.8%
|
|
|
Mosaic Co.1
|
40,014
|
865,903
|
Albemarle Corp.1
|
11,188
|
817,171
|
CF Industries Holdings, Inc.1
|
16,515
|
788,426
|
Newmont Goldcorp Corp.
|
18,054
|
784,446
|
Ecolab, Inc.1
|
4,019
|
775,627
|
Dow, Inc.
|
13,992
|
765,782
|
LyondellBasell Industries N.V. — Class A1
|
8,049
|
760,470
|
Sherwin-Williams Co.
|
1,303
|
760,353
|
Freeport-McMoRan, Inc.
|
57,922
|
759,937
|
Air Products & Chemicals, Inc.1
|
3,231
|
759,253
|
Linde plc
|
3,566
|
759,201
|
Eastman Chemical Co.1
|
9,488
|
752,019
|
FMC Corp.1
|
7,516
|
750,247
|
PPG Industries, Inc.
|
5,604
|
748,078
|
Nucor Corp.
|
13,201
|
742,952
|
International Paper Co.1
|
16,080
|
740,484
|
DuPont de Nemours, Inc.
|
11,504
|
738,557
|
Celanese Corp. — Class A1
|
5,989
|
737,366
|
International Flavors & Fragrances, Inc.1
|
5,564
|
717,867
|
Total Basic Materials
|
|
14,524,139
|
Total Common Stocks
|
|
|
(Cost $347,428,431)
|
|
379,698,858
|
EXCHANGE-TRADED FUNDS† – 45.2%
|
|
|
SPDR S&P 500 ETF Trust1,2
|
181,029
|
58,265,994
|
Invesco QQQ Trust Series 11,2
|
273,907
|
58,235,367
|
iShares Russell 2000 Index ETF1,2
|
349,280
|
57,865,218
|
Total Exchange-Traded Funds
|
|
|
(Cost $135,750,270)
|
|
174,366,579
|
MONEY MARKET FUND† – 2.6%
|
|
|
Dreyfus Treasury Securities Cash Management Fund — Institutional Class 1.44%3
|
9,967,991
|
9,967,991
|
Total Money Market Fund
|
|
|
(Cost $9,967,991)
|
|
9,967,991
|
Total Investments – 146.2%
|
|
|
(Cost $493,146,692)
|
|
$ 564,033,428
|
SCHEDULE OF INVESTMENTS continued
|
December 31, 2019
|
*
|
Non-income producing security.
|
†
|
Value determined based on Level 1 inputs — See Note 6.
|
1
|
All or a portion of these securities have been physically segregated in connection with borrowings. Asof December 31, 2019, the total market value of segregated securities was $247,357,359.
|
2
|
Security represents cover for outstanding options written.
|
3
|
Rate indicated is the 7-day yield as of December 31, 2019.
|
plc
|
Public Limited Company
|
REIT
|
Real Estate Investment Trust
|
|
Level 2
|
Level 3
|
||||||||||||||
|
Level 1
|
Significant
|
Significant
|
|||||||||||||
Quoted | Observable | Unobservable | ||||||||||||||
Investments in Securities (Assets)
|
Prices
|
Inputs
|
Inputs
|
Total
|
||||||||||||
Common Stocks
|
$
|
379,698,858
|
$
|
—
|
$
|
—
|
$
|
379,698,858
|
||||||||
Exchange-Traded Funds
|
174,366,579
|
—
|
—
|
174,366,579
|
||||||||||||
Money Market Fund
|
9,967,991
|
—
|
—
|
9,967,991
|
||||||||||||
Total Assets
|
$
|
564,033,428
|
$
|
—
|
$
|
—
|
$
|
564,033,428
|
|
Level 2
|
Level 3
|
||||||||||||||
|
Level 1
|
Significant
|
Significant
|
|||||||||||||
Quoted | Observable | Observable | ||||||||||||||
Investments in Securities (Liabilities)
|
Prices
|
Inputs
|
Inputs
|
Total
|
||||||||||||
Options Written
|
$
|
4,714,065
|
$
|
—
|
$
|
—
|
$
|
4,714,065
|
STATEMENT OF ASSETS AND LIABILITIES
|
December 31, 2019
|
|
ASSETS:
|
||||
Investments, at value (cost $493,146,692)
|
$
|
564,033,428
|
||
Cash
|
761,574
|
|||
Receivables:
|
||||
Investments sold
|
2,966,991
|
|||
Dividends
|
862,206
|
|||
Interest
|
20,071
|
|||
Other assets
|
5,879
|
|||
Total assets
|
568,650,149
|
|||
LIABILITIES:
|
||||
Borrowings
|
175,000,000
|
|||
Options written, at value (premiums received $4,147,927)
|
4,714,065
|
|||
Investments purchased payable
|
2,306,328
|
|||
Interest payable on borrowings
|
358,798
|
|||
Investment advisory fees payable
|
378,415
|
|||
Other liabilities
|
233,317
|
|||
Total liabilities
|
182,990,923
|
|||
NET ASSETS
|
$
|
385,659,226
|
||
NET ASSETS CONSIST OF:
|
||||
Common stock, $0.01 par value per share; unlimited number of shares
|
||||
authorized, 48,342,587 shares issued and outstanding
|
$
|
483,426
|
||
Additional paid-in capital
|
322,728,848
|
|||
Total distributable earnings (loss)
|
62,446,952
|
|||
NET ASSETS
|
$
|
385,659,226
|
||
Shares outstanding ($0.01 par value with unlimited amount authorized)
|
48,342,587
|
|||
Net asset value
|
$
|
7.98
|
STATEMENT OF OPERATIONS
|
December 31, 2019
|
For the Year Ended December 31, 2019
|
|
INVESTMENT INCOME:
|
||||
Dividends
|
$
|
9,948,337
|
||
Interest
|
231,655
|
|||
Total investment income
|
10,179,992
|
|||
EXPENSES:
|
||||
Interest expense
|
5,133,907
|
|||
Investment advisory fees
|
4,364,132
|
|||
Professional fees
|
148,338
|
|||
Administration fees
|
121,813
|
|||
Fund accounting fees
|
113,730
|
|||
Printing fees
|
112,140
|
|||
Trustees’ fees and expenses*
|
99,360
|
|||
Custodian fees
|
78,934
|
|||
Listing fees
|
47,026
|
|||
Transfer agent fees
|
20,966
|
|||
Insurance
|
10,549
|
|||
Other expenses
|
15,848
|
|||
Total expenses
|
10,266,743
|
|||
Net investment loss
|
(86,751
|
)
|
||
NET REALIZED AND UNREALIZED GAIN (LOSS):
|
||||
Net realized gain (loss) on:
|
||||
Investments
|
33,295,408
|
|||
Options written
|
(40,264,445
|
)
|
||
Net realized loss
|
(6,969,037
|
)
|
||
Net change in unrealized appreciation (depreciation) on:
|
||||
Investments
|
96,948,801
|
|||
Options written
|
3,925,381
|
|||
Net change in unrealized appreciation (depreciation)
|
100,874,182
|
|||
Net realized and unrealized gain
|
93,905,145
|
|||
Net increase in net assets resulting from operations
|
$
|
93,818,394
|
STATEMENTS OF CHANGES IN NET ASSETS
|
|
December 31, 2019
|
|
Year Ended
|
Year Ended
|
||||||
|
December 31, 2019
|
December 31, 2018
|
||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
|
||||||||
Net investment loss
|
$
|
(86,751
|
)
|
$
|
(531,613
|
)
|
||
Net realized gain (loss) on investments
|
(6,969,037
|
)
|
50,230,684
|
|||||
Net change in unrealized appreciation (depreciation) on investments
|
100,874,182
|
(100,947,811
|
)
|
|||||
Net increase (decrease) in net assets resulting from operations
|
93,818,394
|
(51,248,740
|
)
|
|||||
DISTRIBUTIONS:
|
||||||||
Distributions to shareholders
|
—
|
(30,466,718
|
)
|
|||||
Return of capital
|
(46,269,806
|
)
|
(15,695,856
|
)
|
||||
Total distributions
|
(46,269,806
|
)
|
(46,162,574
|
)
|
||||
SHAREHOLDER TRANSACTIONS:
|
||||||||
Reinvestments of distributions
|
1,641,660
|
838,416
|
||||||
Net increase in net assets resulting from shareholder transactions
|
1,641,660
|
838,416
|
||||||
Net increase (decrease) in net assets
|
49,190,248
|
(96,572,898
|
)
|
|||||
NET ASSETS:
|
||||||||
Beginning of period
|
336,468,978
|
433,041,876
|
||||||
End of period
|
$
|
385,659,226
|
$
|
336,468,978
|
STATEMENT OF CASH FLOWS
|
December 31, 2019
|
For the Year Ended December 31, 2019
|
|
Cash Flows from Operating Activities:
|
||||
Net increase in net assets resulting from operations
|
$
|
93,818,394
|
||
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to
|
||||
Net Cash Provided by Operating and Investing Activities:
|
||||
Net change in unrealized (appreciation) depreciation on investments
|
(96,948,801
|
)
|
||
Net change in unrealized (appreciation) depreciation on options written
|
(3,925,381
|
)
|
||
Net realized gain on investments
|
(33,295,408
|
)
|
||
Net realized loss on options written
|
40,264,445
|
|||
Purchase of long-term investments
|
(118,205,266
|
)
|
||
Proceeds from sale of long-term investments
|
178,718,124
|
|||
Net proceeds from sale of short-term investments
|
4,025,121
|
|||
Corporate actions and other payments
|
582,286
|
|||
Premiums received on options written
|
305,433,470
|
|||
Cost of closed options written
|
(351,548,729
|
)
|
||
Decrease in interest receivable
|
38,100
|
|||
Increase in dividends receivable
|
(56,163
|
)
|
||
Increase in investments sold receivable
|
(2,757,161
|
)
|
||
Increase in other assets
|
(1,770
|
)
|
||
Increase in investments purchased payable
|
2,306,328
|
|||
Decrease in interest payable on borrowings
|
(117,489
|
)
|
||
Increase in investment advisory fees payable
|
22,581
|
|||
Decrease in other liabilities
|
(4,529
|
)
|
||
Net Cash Provided by Operating and Investing Activities
|
$
|
18,348,152
|
||
Cash Flows From Financing Activities:
|
||||
Distributions to common shareholders
|
(44,628,146
|
)
|
||
Proceeds from borrowings
|
83,000,000
|
|||
Payments made on borrowings
|
(56,000,000
|
)
|
||
Net Cash Used in Financing Activities
|
(17,628,146
|
)
|
||
Net increase in cash
|
720,006
|
|||
Cash at Beginning of Year
|
41,568
|
|||
Cash at End of Year
|
$
|
761,574
|
||
Supplemental Disclosure of Cash Flow Information:
|
||||
Cash paid during the year for interest
|
$
|
5,251,396
|
||
Supplemental Disclosure of Non Cash Financing Activity: Dividend reinvestment
|
$
|
1,641,660
|
FINANCIAL HIGHLIGHTS
|
December 31, 2019
|
|
Year Ended
|
Year Ended
|
Year Ended
|
Year Ended
|
Year Ended
|
|||||||||||||||
|
December 31,
|
December 31, | December 31, |
December 31,
|
December 31,
|
|||||||||||||||
|
2019
|
2018
|
2017
|
2016
|
2015
|
|||||||||||||||
Per Share Data:
|
||||||||||||||||||||
Net asset value, beginning of period
|
$
|
6.99
|
$
|
9.01
|
$
|
8.35
|
$
|
8.37
|
$
|
9.19
|
||||||||||
Income from investment operations:
|
||||||||||||||||||||
Net investment income (loss)(a)
|
—
|
*
|
(0.01
|
)
|
0.01
|
0.06
|
0.06
|
|||||||||||||
Net gain (loss) on investments (realized and unrealized)
|
1.95
|
(1.05
|
)
|
1.61
|
0.88
|
0.08
|
||||||||||||||
Total from investment operations
|
1.95
|
(1.06
|
)
|
1.62
|
0.94
|
0.14
|
||||||||||||||
Less distributions from:
|
||||||||||||||||||||
Net investment income
|
—
|
(0.03
|
)
|
(0.25
|
)
|
(0.47
|
)
|
(0.53
|
)
|
|||||||||||
Capital gains
|
—
|
(0.60
|
)
|
(0.42
|
)
|
—
|
—
|
|||||||||||||
Return of capital
|
(0.96
|
)
|
(0.33
|
)
|
(0.29
|
)
|
(0.49
|
)
|
(0.43
|
)
|
||||||||||
Total distributions to shareholders
|
(0.96
|
)
|
(0.96
|
)
|
(0.96
|
)
|
(0.96
|
)
|
(0.96
|
)
|
||||||||||
Net asset value, end of period
|
$
|
7.98
|
$
|
6.99
|
$
|
9.01
|
$
|
8.35
|
$
|
8.37
|
||||||||||
Market value, end of period
|
$
|
8.06
|
$
|
6.78
|
$
|
8.90
|
$
|
8.00
|
$
|
7.68
|
||||||||||
Total Return(b)
|
||||||||||||||||||||
Net asset value
|
28.83
|
%
|
-12.79
|
%
|
20.25
|
%
|
11.87
|
%
|
1.71
|
%
|
||||||||||
Market value
|
34.15
|
%
|
-14.24
|
%
|
24.34
|
%
|
17.86
|
%
|
0.28
|
%
|
||||||||||
Ratios/Supplemental Data:
|
||||||||||||||||||||
Net assets, end of period (in thousands)
|
$
|
385,659
|
$
|
336,469
|
$
|
433,042
|
$
|
159,229
|
$
|
159,669
|
||||||||||
Ratio to average net assets of:
|
||||||||||||||||||||
Net investment income (loss), including interest expense
|
(0.02
|
)%
|
(0.13
|
)%
|
0.14
|
%
|
0.78
|
%
|
0.69
|
%
|
||||||||||
Total expenses, including interest expense(c)
|
2.74
|
%
|
2.64
|
%
|
2.34
|
%
|
2.16
|
%
|
2.03
|
%
|
||||||||||
Net expenses, including interest expense(c),(d),(e),(f)
|
2.74
|
%
|
2.64
|
%
|
2.32
|
%
|
2.01
|
%
|
1.88
|
%
|
||||||||||
Portfolio turnover rate
|
22
|
%
|
25
|
%
|
67
|
%
|
143
|
%
|
358
|
%
|
FINANCIAL HIGHLIGHTS continued
|
December 31, 2019
|
|
Year Ended
|
Year Ended
|
Year Ended
|
Year Ended
|
Year Ended
|
|||||||||||||||
|
December 31,
|
December 31,
|
December 31,
|
December 31,
|
December 31,
|
|||||||||||||||
|
2019
|
2018
|
2017
|
2016
|
2015
|
|||||||||||||||
Senior Indebtedness:
|
||||||||||||||||||||
Borrowings – committed facility agreement (in thousands)
|
$
|
175,000
|
$
|
148,000
|
$
|
198,000
|
$
|
72,000
|
$
|
80,000
|
||||||||||
Asset Coverage per $1,000 of borrowings(g)
|
$
|
3,204
|
$
|
3,273
|
$
|
3,187
|
$
|
3,212
|
$
|
2,996
|
(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.
|
(c)
|
Does not include expenses of the underlying funds in which the Fund invests.
|
(d)
|
Excluding interest expense, the net expense ratios for the years ended December 31 would be:
|
2019
|
2018
|
2017
|
2016
|
2015
|
1.37%
|
1.37%
|
1.44%(f)
|
1.46%
|
1.44%
|
(e)
|
Net expense information reflects the expense ratios after expense waivers, as applicable.
|
(f)
|
Excluding interest and merger expenses, the net expense ratio for the year ended December 31, 2017 would be 1.37%.
|
(g)
|
Calculated by subtracting the Fund’s total liabilities (not including borrowings) from the Fund’s total assets and dividing by the borrowings.
|
*
|
Less than $0.01 per share.
|
NOTES TO FINANCIAL STATEMENTS
|
December 31, 2019
|
NOTES TO FINANCIAL STATEMENTS continued
|
December 31, 2019
|
NOTES TO FINANCIAL STATEMENTS continued
|
December 31, 2019
|
NOTES TO FINANCIAL STATEMENTS continued
|
December 31, 2019
|
NOTES TO FINANCIAL STATEMENTS continued
|
December 31, 2019
|
|
|
Average
|
Use
|
|
Notional Amount
|
|
Call
|
Put
|
Hedge, Speculation
|
$342,776,048
|
$ —
|
Derivative Investment Type
|
Liability Derivatives
|
Equity Contracts
|
Options written, at value
|
Liability Derivative Investments Value
|
Options Written
|
Equity Risk
|
$4,714,065
|
Derivative Investment Type
|
Location of Gain (Loss) on Derivatives
|
Equity Contracts
|
Net realized gain (loss) on options written
Net change in unrealized appreciation (depreciation) on options written
|
Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
|
Options Written
|
Equity Risk
|
($40,264,445)
|
Change in Unrealized Appreciation (Depreciation) on Derivative Investments
|
Recognized on the Statement of Operations
|
Options Written
|
Equity Risk
|
$3,925,381
|
NOTES TO FINANCIAL STATEMENTS continued
|
December 31, 2019
|
NOTES TO FINANCIAL STATEMENTS continued
|
December 31, 2019
|
NOTES TO FINANCIAL STATEMENTS continued
|
December 31, 2019
|
NOTES TO FINANCIAL STATEMENTS continued
|
December 31, 2019
|
Ordinary
|
Long-Term
|
Return
|
Total
|
Income
|
Capital Gain
|
of Capital
|
Distributions
|
$ –
|
$ –
|
$46,269,806
|
$46,269,806
|
Ordinary
|
Long-Term
|
Return
|
Total
|
Income
|
Capital Gain
|
of Capital
|
Distributions
|
$1,374,019
|
$29,092,699
|
$15,695,856
|
$46,162,574
|
Undistributed
|
Undistributed
|
Net Unrealized
|
Accumulated
|
|
Ordinary
|
Long-Term
|
Appreciation
|
Capital and
|
|
Income
|
Capital Gain
|
(Depreciation)
|
Other Losses
|
Total
|
$ –
|
$ –
|
$69,952,849
|
$(7,505,897)
|
$62,446,952
|
|
|
|
Total
|
|
Unlimited
|
Capital Loss
|
|
|
Short-Term
|
Long-Term
|
Carryforward
|
|
$(6,404,457)
|
$ –
|
$(6,404,457)
|
NOTES TO FINANCIAL STATEMENTS continued
|
December 31, 2019
|
|
Total
|
Paid In
|
Distributable
|
Capital
|
Earnings/(Loss)
|
$(77,273)
|
$77,273
|
|
Tax
|
Tax
|
Net Unrealized
|
Tax
|
Unrealized
|
Unrealized
|
Appreciation/
|
Cost
|
Appreciation
|
Depreciation
|
(Depreciation)
|
$494,080,579
|
$95,469,322
|
$(25,516,473)
|
$69,952,849
|
Purchases
|
Sales
|
$118,205,266
|
$178,718,124
|
|
Year Ended
|
Year Ended
|
|
December 31, 2019
|
December 31, 2018
|
Beginning shares
|
48,133,460
|
48,036,872
|
Shares issued through dividend reinvestment
|
209,127
|
96,588
|
Ending shares
|
48,342,587
|
48,133,460
|
NOTES TO FINANCIAL STATEMENTS continued
|
December 31, 2019
|
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
|
December 31, 2019
|
OTHER INFORMATION (Unaudited)
|
December 31, 2019
|
|
|
|
|
Number of
|
|
|
Position(s)
|
Term of Office
|
|
Portfolios in
|
|
Name, Address*
|
Held
|
and Length of
|
Principal Occupation(s)
|
Fund Complex
|
Other Directorships
|
and Year of Birth
|
with Trust
|
Time Served**
|
During Past Five Years
|
Overseen
|
Held by Trustees
|
Independent Trustees:
|
|||||
Randall C. Barnes
|
Trustee
|
Since 2005
|
Current: Private Investor (2001-present).
|
157
|
Current: Trustee, Purpose Investments
|
(1951)
|
|
|
|
|
Funds (2013-present).
|
|
|
|
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997);
|
|
|
|
|
|
President, Pizza Hut International (1991-1993); Senior Vice President,
|
|
Former: Managed Duration Investment
|
|
|
|
Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).
|
|
Grade Municipal Fund (2003-2016).
|
Angela
|
Trustee
|
Since 2019
|
Current: Founder and Chief Executive Officer, B.O.A.R.D.S (2013-present).
|
156
|
Current: Hunt Companies, Inc.
|
Brock-Kyle
|
|
|
|
|
(2019-present).
|
(1959)
|
|
|
Former: Senior Leader, TIAA (1987-2012).
|
|
|
|
|
|
|
|
Former: Infinity Property & Casualty
|
|
|
|
|
|
Corp. (2014-2018).
|
OTHER INFORMATION (Unaudited) continued
|
December 31, 2019
|
|
|
|
|
Number of
|
|
|
Position(s)
|
Term of Office
|
|
Portfolios in
|
|
Name, Address*
|
Held
|
and Length of
|
Principal Occupation(s)
|
Fund Complex
|
Other Directorships
|
and Year of Birth
|
with Trust
|
Time Served**
|
During Past Five Years
|
Overseen
|
Held by Trustees
|
Independent Trustees continued:
|
|||||
Donald A.
|
Trustee and
|
Since 2014
|
Current: Retired.
|
156
|
Former: Midland Care, Inc. (2011-2016).
|
Chubb, Jr.
|
Chairman of
|
|
|
|
|
(1946)
|
the Valuation
|
|
Former: Business broker and manager of commercial real estate, Griffith &
|
|
|
|
Oversight
|
|
Blair, Inc. (1997-2017).
|
|
|
|
Committee
|
|
|
|
|
Jerry B. Farley
|
Trustee and
|
Since 2014
|
Current: President, Washburn University (1997-present).
|
156
|
Current: CoreFirst Bank & Trust
|
(1946)
|
Chairman of
|
|
|
|
(2000-present).
|
|
the Audit
|
|
|
|
|
|
Committee
|
|
|
|
Former: Westar Energy, Inc.
|
(2004-2018).
|
|||||
Roman
|
Trustee and
|
Since 2011
|
Current: Founder and Managing Partner, Roman Friedrich & Company
|
156
|
Former: Zincore Metals, Inc.
|
Friedrich III
|
Chairman of
|
|
(1998-present).
|
|
(2009- 2019).
|
(1946)
|
the Contracts
|
|
|
|
|
|
Review
|
|
|
|
|
|
Committee
|
|
|
|
|
Thomas F.
|
Trustee and
|
Since 2019
|
Current: President, Global Trends Investments (1996-present); Co-Chief
|
156
|
Current: US Global Investors (GROW)
|
Lydon, Jr.
|
Vice Chairman
|
|
Executive Officer, ETF Flows, LLC (2019-present); Chief Executive
|
|
(1995-present).
|
(1960)
|
of the Contracts
|
|
Officer, Lydon Media (2016-present).
|
|
|
|
Review
|
|
|
|
Former: Harvest Volatility Edge
|
|
Committee
|
|
|
|
Trust (3) (2017-2019).
|
Ronald A. Nyberg
|
Trustee and
|
Since 2005
|
Current: Partner, Momkus, LLC (2016-present).
|
157
|
Current: PPM Funds (9) (2018-present);
|
(1953)
|
Chairman of
|
|
|
|
Edward-Elmhurst Healthcare System
|
|
the Nominating
|
|
Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice
|
|
(2012-present); Western Asset Inflation-
|
|
and Governance
|
|
President, General Counsel, and Corporate Secretary, Van Kampen
|
|
Linked Opportunities & Income Fund
|
|
Committee
|
|
Investments (1982-1999).
|
|
(2004 – present); Western Asset
|
|
|
|
|
|
Inflation-Linked Income Fund (2003-
|
|
|
|
|
|
present).
|
|
|||||
|
|
|
|
|
Former: Managed Duration Investment
|
|
|
|
|
|
Grade Municipal Fund (2003-2016).
|
OTHER INFORMATION (Unaudited) continued
|
December 31, 2019
|
|
|
|
|
Number of
|
|
|
Position(s)
|
Term of Office
|
|
Portfolios in
|
|
Name, Address*
|
Held
|
and Length of
|
Principal Occupation(s)
|
Fund Complex
|
Other Directorships
|
and Year of Birth
|
with Trust
|
Time Served**
|
During Past Five Years
|
Overseen
|
Held by Trustees
|
Independent Trustees continued:
|
|||||
Sandra G.
|
Trustee
|
Since 2019
|
Current: Retired.
|
156
|
Current: SPDR Series Trust (78) (2018-
|
Sponem
|
|
|
|
|
present); SPDR Index Shares Funds
|
(1958)
|
|
|
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson
|
|
(31) (2018-present); SSGA Active
|
|
|
|
Companies, Inc. (2007-2017).
|
|
Trust (12) (2018-present); and SSGA
|
|
|
|
|
|
Master Trust (1) (2018-present).
|
Ronald E.
|
Trustee,
|
Since 2005
|
Current: Portfolio Consultant (2010-present); Member, Governing Council,
|
156
|
Current: Western Asset Inflation-Linked
|
Toupin, Jr.
|
Chairman of
|
|
Independent Directors Council (2013-present); Governor, Board of Governors,
|
|
Opportunities & Income Fund (2004-
|
(1958)
|
the Board
|
|
Investment Company Institute (2018-present).
|
|
present); Western Asset Inflation-Linked
|
|
and
|
|
|
|
Income Fund (2003-present).
|
|
Chairman of
|
|
Former: Member, Executive Committee, Independent Directors Council
|
|
|
|
the Executive
|
|
(2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset
|
|
Former: Managed Duration Investment
|
|
Committee
|
|
Management (1998-1999); Vice President, Nuveen Investment Advisory Corp.
|
|
Grade Municipal Fund (2003-2016);
|
|
|
|
(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).
|
||||
Interested Trustee:
|
|||||
Amy J. Lee***
|
Trustee,
|
Since 2018
|
Current: Interested Trustee, certain other funds in the Fund Complex
|
156
|
None.
|
(1961)
|
Vice President
|
(Trustee)
|
(2018-present); Chief Legal Officer, certain other funds in the Fund
|
|
|
|
and Chief
|
|
Complex (2014-present); Vice President, certain other funds in the
|
|
|
|
Legal Officer
|
Since 2014
|
Fund Complex (2007-present); Senior Managing Director,
|
|
|
|
|
(Chief Legal
|
Guggenheim Investments (2012-present).
|
|
|
|
|
Officer)
|
|
|
|
|
|
|
Former: President and Chief Executive Officer, certain other funds in
|
|
|
|
|
Since 2012
|
the Fund Complex (2017-2019); Vice President, Associate General Counsel
|
|
|
|
|
(Vice President)
|
and Assistant Secretary, Security Benefit Life Insurance Company and
|
|
|
|
|
|
Security Benefit Corporation (2004-2012).
|
|
|
OTHER INFORMATION (Unaudited) continued
|
December 31, 2019
|
*
|
The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, IL 60606.
|
**
|
Each Trustee serves an indefinite term, until his successor is duly elected and qualified.
|
|
—Messrs. Barnes, Chubb and Ms. Brock-Kyle are Class I Trustees. The Class I Trustees are expected to stand for re-election at the Fund’s annual meeting of shareholders
for the fiscal year ending December 31, 2020.
|
|
—Messrs. Farley, Friedrich, Lydon, Jr. and Nyberg, are Class II Trustees. The Class II Trustees are expected to stand for re-election at the Fund’s annual meeting of share-
holders for the fiscal year ending December 31, 2021.
|
|
—Messr. Toupin and Mses. Lee and Sponem are Class III Trustees. The Class III Trustees are expected to stand for re-election at the Fund’s annual meeting of shareholders
for the fiscal year ending December 31, 2022.
|
***
|
This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Adviser and/or the parent of the Adviser. |
OTHER INFORMATION (Unaudited) continued
|
December 31, 2019
|
Name, Address*
|
Position(s) held
|
Term of Office and
|
Principal Occupations
|
and Year of Birth
|
with the Trust
|
Length of Time Served**
|
During Past Five Years
|
Officers:
|
|||
Brian E. Binder
|
President
|
Since 2018
|
Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present);
|
(1972)
|
and Chief
|
|
President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Invest-
|
|
Executive Officer
|
|
ment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-
|
|
|
|
present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present);
|
|
|
|
Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present).
|
|
|||
|
|
|
Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and
|
|
|
|
Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business
|
|
|
|
Management and Consulting, Invesco Ltd. (2010-2012).
|
Joanna M.
|
Chief Compliance
|
Since 2012
|
Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing
|
Catalucci
|
Officer
|
|
Director, Guggenheim Investments (2014-present).
|
(1966)
|
|||
|
|||
|
|
|
Former: AML Officer, certain funds in the Fund Complex (2016-2017); 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
|
Assistant Treasurer
|
Since 2006
|
Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain
|
(1972)
|
|
|
other funds in the Fund Complex (2006-present).
|
|
|||
|
|
|
Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
|
Mark E. Mathiasen
|
Secretary
|
Since 2007
|
Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director,
|
(1978)
|
|
|
Guggenheim Investments (2007-present).
|
Glenn McWhinnie
|
Assistant Treasurer
|
Since 2016
|
Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other
|
(1969)
|
|
|
funds in the Fund Complex (2016-present).
|
Michael P. Megaris
|
Assistant Secretary
|
Since 2014
|
Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director,
|
(1984)
|
|
|
Guggenheim Investments (2012-present).
|
OTHER INFORMATION (Unaudited) continued
|
December 31, 2019
|
Name, Address*
|
Position(s) held
|
Term of Office and
|
Principal Occupations
|
and Year of Birth
|
with the Trust
|
Length of Time Served**
|
During Past Five Years
|
Officers continued:
|
|||
William Rehder
|
Assistant Vice
|
Since 2018
|
Current: Managing Director, Guggenheim Investments (2002-present).
|
(1967)
|
President
|
|
|
Kimberly J. Scott
|
Assistant Treasurer
|
Since 2012
|
Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in
|
(1974)
|
|
|
the Fund Complex (2012-present).
|
|
|||
|
|
|
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer,
|
|
|
|
Mutual Fund Administration for 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); Managing Director,
|
(1979)
|
|
|
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
|
Since 2010
|
Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund
|
(1955)
|
Officer, Chief
|
|
Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
|
|
Accounting Officer
|
|
|
|
and Treasurer
|
|
Former: Managing Director and Chief Compliance Officer, 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); Chief Financial Officer and
|
|
|
|
Treasurer, Van Kampen Funds (1996-2004).
|
OTHER INFORMATION (Unaudited) continued
|
December 31, 2019
|
Name, Address*
|
Position(s) held
|
Term of Office and
|
Principal Occupations
|
and Year of Birth
|
with the Trust
|
Length of Time Served**
|
During Past Five Years
|
Officers continued:
|
|||
Jon Szafran
|
Assistant Treasurer
|
Since 2017
|
Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other
|
(1989)
|
|
|
funds in the Fund Complex (2017-present).
|
|
|||
|
|
|
Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration,
|
|
|
|
Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund
|
|
|
|
Administration, HGINA (2014-2017); Senior Associate of Fund Administration, Cortland Capital Market
|
|
|
|
Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).
|
*
|
The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, IL 60606.
|
**
|
Each officer serves an indefinite term, until his or her successor is duly elected and qualified. The date reflects the commencement date upon which the officer held any officer position with
the Fund.
|
DIVIDEND REINVESTMENT PLAN (Unaudited)
|
December 31, 2019
|
DIVIDEND REINVESTMENT PLAN (Unaudited) continued
|
December 31, 2019
|
FUND INFORMATION
|
December 31, 2019
|
Board of Trustees
Randall C. Barnes
Angela Brock-Kyle
Donald A. Chubb, Jr.
Jerry B. Farley
Roman Friedrich III Amy J. Lee*
Thomas F. Lydon Jr.
Ronald A. Nyberg
Sandra G. Sponem
Ronald E. Toupin, Jr.,
Chairman
* This Trustee is an “interested person” (as
defined in Section 2(a)(19) of the 1940 Act)
(“Interested Trustee”) of the Fund because of
her position as President of the Investment
Adviser and Sub-Adviser.
Principal Executive Officers
Brian E. Binder
President and Chief Executive Officer
Joanna M. Catalucci
Chief Compliance Officer
Amy J. Lee
Vice President and Chief Legal Officer
Mark E. Mathiasen
Secretary
John L. Sullivan
Chief Financial Officer, Chief Accounting Officer and Treasurer
|
Investment Adviser
Guggenheim Funds Investment
Advisors, LLC
Chicago, IL
Investment Sub-Adviser
Guggenheim Partners Investment
Management, LLC
Santa Monica, CA
Administrator and Accounting Agent
MUFG Investor Services (US), LLC
Rockville, MD
Custodian
The Bank of New York Mellon Corp.
New York, NY
Legal Counsel
Dechert LLP
Washington, D.C.
Independent Registered Public
Accounting Firm
Ernst & Young LLP
Tysons, VA
|
FUND INFORMATION continued
|
December 31, 2019
|
• |
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
|
(02/20)
|
(a) |
The registrant has adopted a code of ethics (the “Code of Ethics”) that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.
|
(b) |
No information need be disclosed pursuant to this paragraph.
|
(c) |
The registrant has not amended its Code of Ethics during the period covered by the report presented in Item 1 hereto.
|
(d) |
The registrant has not granted a waiver or an implicit waiver to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions from a provision of
its Code of Ethics during the period covered by this report.
|
(e) |
Not applicable.
|
(f) |
(1) The registrant’s Code of Ethics is attached hereto as Exhibit (a)(1).
|
(a)
|
The categories of services to be reviewed and considered for pre-approval include the following (collectively, “Identified Services”):
|
•
|
Annual financial statement audits
|
•
|
Seed audits (related to new product filings, as required)
|
•
|
SEC and regulatory filings and consents
|
•
|
Accounting consultations
|
•
|
Fund merger/reorganization support services
|
•
|
Other accounting related matters
|
•
|
Agreed upon procedures reports
|
•
|
Attestation reports
|
•
|
Other internal control reports
|
•
|
Recurring tax services:
|
o
|
Preparation of Federal and state income tax returns, including extensions
|
o
|
Preparation of calculations of taxable income, including fiscal year tax designations
|
o
|
Preparation of annual Federal excise tax returns (if applicable)
|
o
|
Preparation of calendar year excise distribution calculations
|
o
|
Calculation of tax equalization on an as-needed basis
|
o
|
Preparation of the estimated excise distribution calculations on an as-needed basis
|
o
|
Preparation of quarterly Federal, state and local and franchise tax estimated tax payments on an as-needed basis
|
o
|
Preparation of state apportionment calculations to properly allocate Fund taxable income among the states for state tax filing purposes
|
o
|
Provision of tax compliance services in India for Funds with direct investments in India
|
o
|
Assistance with management’s identification of passive foreign investment companies (PFICs) for tax purposes
|
•
|
Permissible non-recurring tax services upon request:
|
o
|
Assistance with determining ownership changes which impact a Fund’s utilization of loss carryforwards
|
o
|
Assistance with calendar year shareholder reporting designations on Form 1099
|
o
|
Assistance with corporate actions and tax treatment of complex securities and structured products
|
o
|
Assistance with IRS ruling requests and calculation of deficiency dividends
|
o
|
Conduct training sessions for the Adviser’s internal tax resources
|
o
|
Assistance with Federal, state, local and international tax planning and advice regarding the tax consequences of proposed or actual transactions
|
o
|
Tax services related to amendments to Federal, state and local returns and sales and use tax compliance
|
o
|
RIC qualification reviews
|
o
|
Tax distribution analysis and planning
|
o
|
Tax authority examination services
|
o
|
Tax appeals support services
|
o
|
Tax accounting methods studies
|
o
|
Fund merger, reorganization and liquidation support services
|
o
|
Tax compliance, planning and advice services and related projects
|
(b)
|
The Committee has pre-approved Identified Services for which the estimated fees are less than $25,000.
|
(c)
|
For Identified Services with estimated fees of $25,000 or more, but less than $50,000, the Chair or any member of the Committee designated by the Chair is hereby authorized to pre-approve such services on behalf of the Committee.
|
(d)
|
For Identified Services with estimated fees of $50,000 or more, such services require pre-approval by the Committee.
|
(e)
|
All requests for Identified Services to be provided by the independent auditor that were pre-approved by the Committee shall be
submitted to the Chief Accounting Officer (“CAO”) of the Trust by the independent auditor using the pre-approval request form attached as Appendix C to the Audit Committee Charter. The Trust’s CAO will determine whether such services
are included within the list of services that have received the general pre-approval of the Committee.
|
(f)
|
The independent auditors or the CAO of the Trust (or an officer of the Trust who reports to the CAO) shall report to the Committee at each of its regular scheduled meetings all audit, audit-related and permissible non-audit services
initiated since the last such report (unless the services were contained in the initial audit plan, as previously presented to, and approved by, the Committee). The report shall include a general description of the services and projected
fees, and the means by which such services were approved by the Committee (including the particular category of Identified Services under which pre-approval was obtained).
|
(a)
|
The Chair or any member of the Committee designated by the Chair may grant the pre-approval for non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to
the operations and financial reporting of the Trust for which the estimated fees are less than $25,000. All such delegated pre-approvals shall be presented to the Committee no later than the next Committee meeting.
|
(b)
|
For non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations and financial reporting of the Trust for which the
estimated fees are $25,000 or more, such services require pre-approval by the Committee.
|
(g) |
The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, the registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is
sub-contracted with or overseen by another investment adviser) and/or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant were $9,196 and $8,887 for the fiscal
years ending December 31, 2019 and December 31, 2018, respectively.
|
Name
|
Since
|
Professional Experience During the Last Five Years
|
||
Farhan Sharaff
|
2010
|
Guggenheim Partners Investment Management, LLC.: Senior Managing Director and Assistant Chief Investment Officer - Equities – 7/10–Present. Former, MJX Capital Advisors: Chief Investment Officer – 2005-2009.
|
||
Daniel Cheeseman
|
2014
|
Guggenheim Partners Investment Management, LLC: Director, Portfolio Manager – 09/14-Present; Guggenheim Partners Investment Management, LLC: Director, Senior Research Analyst – 11/11-09/14; Morgan Stanley: Vice President – 03/10-11/11;
Merrill Lynch: Vice President – 01/07-03/10.
|
||
Jayson Flowers
|
2010
|
Guggenheim Partners Investment Management, LLC.: Senior Managing Director, 12/05 – Present; Guggenheim Partners, LLC: Managing Director -2001–2005
|
||
Qi Yan
|
2016
|
Guggenheim Partners Investment Management, LLC: Managing Director, 2014 – Present; Guggenheim Partners Investment Management, LLC: Director, 2011 to 2014
|
Type of Account
|
|
Number of Accounts
|
Total Assets in the Accounts
|
|
Number of Accounts In Which the Advisory Fee is Based on Performance
|
|
Total Assets in the Accounts In Which the Advisory Fee is Based on Performance
|
Registered investment companies
|
|
24
|
$2,954,716,773
|
0
|
$0
|
||
Other pooled investment vehicles
|
|
3
|
$30,872,072
|
0
|
$0
|
||
Other accounts
|
|
0
|
$0
|
0
|
$0
|
Type of Account
|
|
Number of Accounts
|
Total Assets in the Accounts
|
|
Number of Accounts In Which the Advisory Fee is Based on Performance
|
|
Total Assets in the Accounts In Which the Advisory Fee is Based on Performance
|
Registered investment companies
|
|
16
|
$1,450,196,483
|
0
|
$0
|
||
Other pooled investment vehicles
|
|
0
|
$0
|
0
|
$0
|
||
Other accounts
|
|
0
|
$0
|
0
|
$0
|
Type of Account
|
|
Number of Accounts
|
Total Assets in the Accounts
|
|
Number of Accounts In Which the Advisory Fee is Based on Performance
|
|
Total Assets in the Accounts In Which the Advisory Fee is Based on Performance
|
Registered investment companies
|
|
1
|
$562,205,667
|
0
|
$0
|
||
Other pooled investment vehicles
|
|
0
|
$0
|
0
|
$0
|
||
Other accounts
|
|
0
|
$0
|
0
|
$0
|
Type of Account
|
|
Number of Accounts
|
Total Assets in the Accounts
|
|
Number of Accounts In Which the Advisory Fee is Based on Performance
|
|
Total Assets in the Accounts In Which the Advisory Fee is Based on Performance
|
Registered investment companies
|
|
8
|
$985,122,076
|
0
|
$0
|
||
Other pooled investment vehicles
|
|
0
|
$0
|
0
|
$0
|
||
Other accounts
|
|
0
|
$0
|
0
|
$0
|
Name of Portfolio Manager
|
Dollar Amount of Equity Securities in Registrant
|
Farhan Sharaff
|
$0
|
Jayson Flowers
|
$0
|
Daniel Cheeseman
|
$0
|
Qi Yan
|
$0
|
(a)
|
The registrant has not participated in securities lending activities during the period covered by this report.
|
(b)
|
Not applicable.
|
(a)(3)
|
Not applicable.
|
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