Investment Company Act file number 811-21455
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Guggenheim Enhanced Equity Strategy Fund
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(Exact name of registrant as specified in charter)
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227 W. Monroe Street, Chicago, IL 60606
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(Address of principal executive offices) (Zip code)
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Amy J. Lee
227 W. Monroe Street, Chicago, IL 60606
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(Name and address of agent for service)
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Guggenheim Enhanced Equity Strategy Fund
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SCHEDULE OF INVESTMENTS (Unaudited)
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July 31, 2015
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Shares
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Value
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||||
EXCHANGE-TRADED FUNDS† - 149.0%
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|||||
SPDR S&P 500 ETF Trust1
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303,398
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$
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63,865,279
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||
iShares S&P 500 Growth ETF1
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219,099
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25,866,828
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|||
iShares S&P 500 Value ETF1
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241,625
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22,379,308
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|||
iShares Russell 2000 Index ETF1
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127,940
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15,731,502
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|||
Powershares QQQ Trust Series 11
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139,984
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15,671,209
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|||
Total Exchange-Traded Funds
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|||||
(Cost $144,210,164)
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143,514,126
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||||
SHORT TERM INVESTMENTS† - 1.7%
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|||||
Dreyfus Treasury Prime Cash
Management Institutional Shares
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1,629,955
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1,629,955
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|||
Total Short Term Investments
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|||||
(Cost $1,629,955)
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1,629,955
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||||
Total Investments - 150.7%
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|||||
(Cost $145,840,119)
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$
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145,144,081
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|||
Contracts
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|||||
(100 shares
per contract)
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Value
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||||
OPTIONS WRITTEN† - (1.2)%
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|||||
Call options on:
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|||||
S&P 500 Index Expiring
August 2015 with strike price
of $2,105.00*
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147
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$ |
(272,685
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)
|
|
NASDAQ 100 Index Expiring
August 2015 with strike
price of $4,575.00*
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68
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(400,860
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)
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||
Russell 2000 Index Expiring
August 2015 with strike
price of $1,230.00*
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254
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(523,240
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)
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||
Total Call options
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(1,196,785
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)
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|||
Total Options Written
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|||||
(Premiums received $1,235,105)
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(1,196,785
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)
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|||
Other Assets & Liabilities, net - (49.5)%
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(47,642,568
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)
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|||
Total Net Assets - 100.0%
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$ |
96,304,728
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*
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Non-income producing.
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†
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Value determined based on Level 1 inputs —See Note 2.
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1
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Security is segregated as collateral for open written contracts and borrowings outstanding.
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S&P
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Standard & Poor’s.
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Description
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Level 1
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Level 2
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Level 3
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Total
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|||||||||||
Assets
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|||||||||||||||
Exchange-Traded Funds
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$ | 143,514,126 | $ | - | $ | - | $ | 143,514,126 | |||||||
Short Term Investments
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1,629,955 | - | - | 1,629,955 | |||||||||||
Total Assets
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$ | 145,144,081 | $ | - | $ | - | $ | 145,144,081 | |||||||
Liabilities
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|||||||||||||||
Options Written
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$ | 1,196,785 | $ | - | $ | - | $ | 1,196,785 | |||||||
Total Liabilities
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$ | 1,196,785 | $ | - | $ | - | $ | 1,196,785 |
Cost of
Investments for
Tax Purposes
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Gross Tax
Unrealized
Appreciation
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Gross Tax
Unrealized
Depreciation
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Net Tax
Unrealized
Depreciation
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$146,181,595
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$ 526,041
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$(1,563,555)
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$(1,037,514)
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Guggenheim Enhanced Equity Strategy Fund
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By:
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/s/ Donald C. Cacciapaglia
Donald C. Cacciapaglia
President and Chief Executive Officer
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By:
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/s/ Donald C. Cacciapaglia
Donald C. Cacciapaglia
President and Chief Executive Officer
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Date: September 17, 2015
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By:
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/s/ John L. Sullivan
John L. Sullivan
Chief Financial Officer, Chief Accounting Officer and Treasurer
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