Guggenheim Enhanced Equity Strategy Fund : GGE Annual Report November 2015

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CEF

October 31, 2015

GGE | ANNUAL REPORT

Guggenheim Enhanced Equity Strategy Fund

GUGGENHEIMINVESTMENTS.COM/GGE

...YOUR PATH TO THE LATEST, MOST UP-TO-DATE INFORMATION ABOUT THE GUGGENHEIM ENHANCED EQUITY STRATEGY FUND

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

• Daily, weekly and monthly data on share prices, net asset values, dividends and more

• Portfolio overviews and performance analyses

• Announcements, press releases and special notices

• Fund and adviser contact information

We are constantly 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.

DEAR SHAREHOLDER

We thank you for your investment in the Guggenheim Enhanced Equity Strategy Fund (the "Fund"). This report covers the Fund's performance for the 12 months ended October 31, 2015.

The Fund's primary investment objective is to provide a high level of current income, with a secondary objective of capital appreciation.

All Fund returns cited-whether based on net asset value ("NAV") or market price-assume the reinvestment of all distributions. For the 12-month period ended October 31, 2015, the Fund generated a total return of -2.87% based on market price and a return of 3.94% based on NAV. As of

October 31, 2015, the Fund's market price of $16.25 represented a discount of 11.59% to NAV of $18.38.

Past performance is not a guarantee of future results. All NAV returns include the deduction of management fees, operating expenses, and all other Fund expenses. The market price of the Fund's shares fluctuates from time to time, and it may be higher or lower than the Fund's NAV.

The Fund paid a distribution of $0.485 in each quarter of the period. The most recent distribution represents an annualized distribution rate of 10.55% based on the Fund's closing market price of

$18.38 as of October 31, 2015. There is no guarantee of any future distributions or that the current returns and distribution rate will be maintained. A portion of the Fund's distributions for the 12 months ended October 31, 2015 consisted of a return of capital. Please see the Questions & Answers Section and Note 2(d) on page 22 for more information on distributions for the period.

Guggenheim Funds Investment Advisors, LLC ("GFIA" or the "Advisor") serves as the investment advisor to the Fund. Guggenheim Partners Investment Management, LLC ("GPIM" or the "Sub- Advisor") serves as the Fund's investment sub-advisor and is responsible for the management of the Fund's portfolio of investments. Both the Advisor and the Sub-Advisor are affiliates of Guggenheim Partners, LLC ("Guggenheim"), a global diversified financial services firm.

GPIM seeks to achieve the Fund's investment objectives by obtaining broadly diversified exposure to the equity markets utilizing an enhanced equity option strategy developed by GPIM. In connection with the implementation of GPIM's strategy, the Fund utilizes financial leverage. The goal of the use of financial leverage is to enhance shareholder value, which is consistent with the Fund's investment objective. The Fund's use of financial leverage is intended to be flexible in nature and is monitored and adjusted, as appropriate, on an ongoing basis by the Advisor and GPIM. Leverage is generally maintained at approximately 30% of the Fund's total assets. The Fund currently employs financial leverage through the use of a bank line of credit.

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 37 of this report. When shares trade at a discount to NAV, the DRIP takes advantage of the discount by reinvesting the quarterly 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,

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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 potential benefits of compounding returns over time.

To learn more about the Fund's performance and investment strategy for the 12 months ended October 31, 2015, we encourage you to read the Questions & Answers section of this report, which begins on page 5.

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/gge.

Sincerely,

Donald C. Cacciapaglia

President & Chief Executive Officer Guggenheim Enhanced Equity Strategy Fund November 30, 2015

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