DECEMBER 31, 2007
RYDEX VARIABLE TRUST ANNUAL REPORT
DOMESTIC EQUITY FUNDS
MULTI-CAP CORE EQUITY FUND
SECTOR ROTATION FUND
ALTERNATIVE INVESTMENT FUNDS
ABSOLUTE RETURN STRATEGIES FUND
COMMODITIES STRATEGY FUND
(Formerly, Commodities Fund)
HEDGED EQUITY FUND
REAL ESTATE FUND
STRENGTHENING DOLLAR 2x STRATEGY FUND
(Formerly, Dynamic Strengthening Dollar Fund)
WEAKENING DOLLAR 2x STRATEGY FUND
(Formerly, Dynamic Weakening Dollar Fund)
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TABLE OF CONTENTS
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
ABOUT SHAREHOLDERS’ FUND EXPENSES
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
PERFORMANCE REPORTS AND FUND PROFILES
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
14
STATEMENTS OF ASSETS AND LIABILITIES
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
44
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
46
STATEMENTS OF CHANGES IN NET ASSETS
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
48
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
52
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
53
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
. . . . . . . . . . . . . . . . . . . . . . . . . . . .
63
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
64
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
69
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
1
DEAR SHAREHOLDER:
By the last three months of 2007 the stock market gains of summer and fall seemed like a distant memory.
The intertwined crises in the nation’s housing and credit markets had, by the fourth quarter, led to huge
drops in stock prices and unprecedented volatility. Despite the end of year turmoil, stocks actually turned
in a respectable performance in 2007 with the bellwether Dow Jones Industrial AverageSM (DJIA) and S&P
500® indexes up 8.88% and 5.49% respectively on a total return basis. The tech-heavy Nasdaq 100 Index® ,
which was up 19.24%, showed that investors had a robust appetite for risk for much of the year. Despite
the fact that calendar year returns were strong, 2007 will in all likelihood be remembered for the housing
debacle that hammered stocks and sent the economy to the brink of recession.
The unfolding housing crisis began to ripple through the world’s financial markets as far back as July, but it
was in the fourth quarter that both the U.S. economy and global financial markets lost momentum—with
the contagion effects of the subprime debt crisis reaching deeper into the global financial system. The
credit crunch that began in the third quarter enveloped the G-7 economies as traditional sources of credit
dried up. As asset values plummeted, financial institutions throughout the developed world found
themselves suddenly undercapitalized. With a full-blown financial crisis unfolding, central banks moved
into crisis prevention mode by pumping capital into their respective financial systems and slashing interest
rates. In perhaps one of the most important developments of the year, the outlines of a coordinated,
global easing campaign began to emerge.
In this uncertain environment fears grew that the Federal Reserve (“Fed”) was “behind the curve,” adding
to the volatility in stock prices. In fact, the Fed’s initial responses to the unfolding crisis were tempered by
inflationary concerns as high energy and commodity prices and a weak U.S. dollar drove inflation
significantly higher towards year end.
Risk appetites that had been running high disappeared, and the avoidance of risk became the dominant
theme as investors fled financial, consumer discretionary, value and small-cap stocks. The small-cap
Russell 2000® Index fell 1.57%, confirming the rotation away from small caps that began to unfold early
in the year. Value stocks also underperformed in 2007 with the S&P 500/Citigroup Pure Value Index
underperforming its growth counterpart by more than 10 points. Both of these trends dovetailed in the
S&P SmallCap 600/Citigroup Pure Value Index which dropped nearly 18.60%, vastly underperforming all
other “style-box” exposures.
Predictably, defensive sectors such as utilities and consumer staples were favored. And, reflecting the
“decoupling” theory—which assumes growth in the developing world can continue in the face of slowing
growth elsewhere—energy, materials and technology stocks rose stratospherically as the respective S&P
500 sector indices rose 34.41%, 22.53% and 16.30%.
Returns for U.S. investors in international stock markets were also boosted by the ongoing decline in the
exchange value of the U.S. dollar, which fell 8.31% against a basket of the world’s major currencies. The
currency effect helped to propel full-year gains for the MSCI EAFE and Emerging Market indices to
11.66% and 38.79%, respectively.
With the flight-to-quality trade fully in motion, interest rates declined and the yield curve steepened.
We think that, as we move into the early months of 2008, stock market volatility will remain a fact of life.
Defensive exposures that performed well should continue to do so, at least on a relative basis until
recession fears abate. Uncorrelated investment strategies, such as absolute return, long/short, commodity,
managed futures and the like, should also provide refuge in a challenging investment climate.
We appreciate the trust you have placed in our firm’s quality and integrity by investing with us.
Sincerely,
David C. Reilly, CFA
Director, Portfolio Strategies
2
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THE RYDEX VARIABLE TRUST ANNUAL REPORT
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited)
Some of the Rydex Funds described in this report are benchmarked daily to leveraged or inverse versions
of published indices. To properly evaluate the performance of these funds, it is essential to understand
the effect of mathematical compounding on their respective returns.
Because of the nonlinear effects of leverage applied over time, it is possible for a fund to perform in line
with its benchmark for several individual periods in a row, yet seem to trail the benchmark over the entire
period. It is also possible that a fund that performs in-line with its benchmark on a daily basis may seem to
outperform its benchmark over longer periods.
An Example of Compounding
For example, consider a hypothetical fund that is designed to produce returns that correspond to 150%
of an index. On the first day of a period, the index rises from a level of 100 to a level of 106, producing a
6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value
(“NAV”) increases from $10.00 to $10.90 for a gain of 9.0%–in line with its benchmark.
On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls
9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the
two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into
account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the
fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table
below.
Index
Index
Fund
Fund
Fund
Level
Performance
Expectation
NAV
Performance
Assessment
Start
100
$10.00
Day 1
106
6.0%
9.0%
$10.90
9.0%
In line
Day 2
99
-6.6%
-9.9%
$
9.82
-9.9%
In line
Cumulative
-1.0%
-1.5%
-1.8%
-0.3%
As illustrated by this simple example, the effect of leverage can make it difficult to form expectations or
judgments about fund performance given only the returns of the unleveraged index.
In general, any change in direction in an index will produce compounding that seems to work against an
investor. Were the index to move in the same direction (either up or down) for two or more periods in a
row, the compounding of those returns would work in an investor’s favor, causing the fund to seemingly
beat its benchmark.
As a general rule of thumb, more leverage in a fund will magnify the compounding effect, while less
leverage will generally produce results that are more in line with expectations. In addition, periods of high
volatility in an underlying index will also cause the effects of compounding to be more pronounced, while
lower volatility will produce a more muted effect.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
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3
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)
All mutual funds have operating expenses and it is important for our shareholders to understand the
impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs,
including sales charges (loads) on purchase payments, reinvested dividends, or other distributions;
redemption fees; and exchange fees; and (ii) ongoing costs, including management fees, administrative
services, and shareholder reports, among others. These ongoing costs, or operating expenses, are
deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense
ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of
investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for
the entire six-month period beginning June 30, 2007 and ending December 31, 2007.
The following tables illustrate a Fund’s costs in two ways:
Table 1. Based on actual Fund return. This section helps investors estimate the actual expenses paid
over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the
fourth column shows the dollar amount that would have been paid by an investor who started with
$1,000 in the Fund. Investors may use the information here, together with the amount invested, to
estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for
example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number
provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return. This section is intended to help investors compare a Fund’s
cost with those of other mutual funds. The table provides information about hypothetical account
values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of
return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account
values and expenses may not be used to estimate the actual ending account balance or expenses paid
during the period. The example is useful in making comparisons because the U.S. Securities and
Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5%
return. Investors can assess a Fund’s costs by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other funds.
The calculations above assume no shares were bought or sold during the period. Actual costs may have
been higher or lower, depending on the amount of investment and the timing of any purchases or
redemptions.
Note that the expenses shown in the table are meant to highlight and help compare ongoing costs only
and do not reflect any transactional costs which may be incurred by a Fund.
More information about a Fund’s expenses, including annual expense ratios for the past five years, can be
found in the Financial Highlights section of this report. For additional information on operating expenses
and other shareholder costs, please refer to the appropriate Fund prospectus.
4
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THE RYDEX VARIABLE TRUST ANNUAL REPORT
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)
Beginning
Ending
Expenses
Expense
Account Value
Account Value
Paid During
Ratio†
June 30, 2007
December 31, 2007
Period*
Table 1. Based on actual Fund return
Multi-Cap Core Equity Fund
1.18%
$1,000.00
$
889.50
$5.64
Sector Rotation Fund
1.58%
1,000.00
1,089.20
8.35
Absolute Return Strategies Fund
1.76%
1,000.00
981.10
8.77
Commodities Strategy Fund
1.45%
1,000.00
1,237.90
8.16
Hedged Equity Fund
1.77%
1,000.00
971.80
8.81
Real Estate Fund
1.56%
1,000.00
854.00
7.31
Strengthening Dollar 2x Strategy Fund
1.61%
1,000.00
899.10
7.70
Weakening Dollar 2x Strategy Fund
1.58%
1,000.00
1,135.80
8.53
Table 2. Based on hypothetical 5% return
Multi-Cap Core Equity Fund
1.18%
1,000.00
1,019.18
6.02
Sector Rotation Fund
1.58%
1,000.00
1,017.14
8.07
Absolute Return Strategies Fund
1.76%
1,000.00
1,016.22
8.98
Commodities Strategy Fund
1.45%
1,000.00
1,017.80
7.40
Hedged Equity Fund
1.77%
1,000.00
1,016.17
9.04
Real Estate Fund
1.56%
1,000.00
1,017.24
7.96
Strengthening Dollar 2x Strategy Fund
1.61%
1,000.00
1,016.99
8.22
Weakening Dollar 2x Strategy Fund
1.58%
1,000.00
1,017.14
8.07
* Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by the number
of days in the most recent fiscal half-year, then divided by 365. Expenses shown do not include fees charged by insurance companies.
† This ratio represents annualized Total Expenses, which include dividend expense from securities sold short and expenses ultimately waived by
Rydex Investments. Excluding short dividend expense, the operating expense ratio would be 0.61% and 0.63% lower for Absolute Return
Strategies Fund and Hedged Equity Fund, respectively. After waived expenses, the operating expense ratio of Commodities Strategy Fund
would be 0.20% lower.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
5
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited)
MULTI-CAP CORE EQUITY FUND
OBJECTIVE:
Seeks long-term capital appreciation.
Inception: November 29, 2005
Cumulative Fund Performance
November 29, 2005 - December 31, 2007
Multi-Cap Core Equity Fund returned -5.26%. The
Fund allocates its assets generally in equal
MULTI-CAP CORE EQUITY FUND
RUSSELL 3000 INDEX
proportions to the large, mid and small-cap size
$15,000
groups. Large-cap stocks outperformed mid and
small-cap names and so the Fund’s bias towards
$12,500
the latter detracted from performance. The Fund
$12,120
$10,852
uses a quantitative stock ranking model as part of
$10,000
the investment process. While growth factors
came back in vogue and exposure to momentum
benefited performance, weakness in value more
$7,500
than offset the positive. The stock selection
model was particularly weak in financial services
$5,000
11/29/05
06/30/06
12/31/06
06/30/07
12/31/07
and technology, but performed well in the
telecommunications sector.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/07
SINCE
ONE
INCEPTION
YEAR
(11/29/05)
MULTI-CAP CORE EQUITY FUND
-5.26%
3.99%
RUSSELL 3000® INDEX
5.14%
9.65%
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Russell 3000 Index is an
unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are
historical and include changes in principal and reinvested dividends and capital gains.
Holdings Diversification (Market Exposure as % of Net Assets)
Ten Largest Holdings (% of Total Net Assets)
100%
Exxon Mobil Corp.
1.9%
Consumer Staples
Microsoft Corp.
1.1%
Energy
General Electric Co.
1.1%
80%
Health Care
AT&T, Inc.
1.0%
Consumer Discretionary
Chevron Corp.
0.8%
60%
Bank of America Corp.
0.7%
Industrials
ConocoPhillips
0.7%
40%
JPMorgan Chase & Co.
0.7%
Information Technology
Cisco Systems, Inc.
0.7%
20%
Financials
Hewlett-Packard Co.
0.6%
Top Ten Total
9.3%
Other
0%
“Ten Largest Holdings” exclude any
Multi-Cap Core Equity Fund
temporary cash or derivative investments.
“Holdings Diversification (Market Exposure as % of Net Assets)”
excludes any temporary cash investments.
6
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
SECTOR ROTATION FUND
OBJECTIVE:
Seeks long-term capital appreciation.
Inception: May 1, 2002
Cumulative Fund Performance
May 1, 2002 - December 31, 2007
Sector Rotation Fund turned in another strong
SECTOR ROTATION FUND
S&P 500 INDEX
year by finishing up 22.75%, outperforming the
$20,000
S&P 500’s annual return of 5.49% . Performance
was driven primarily by heavy exposures to
$17,350
industrials and materials with significant
$15,000
underweights to the financials sector. The
$14,989
industrials and materials sectors rose, in part, due
to growth in emerging markets, particularly China.
$10,000
Financials struggled throughout the year as the
U.S. housing market declined partially because of
subprime loan defaults. In 2007, every sector
$5,000
contributed, either by owning or not owning the
05/01/02
12/31/02
12/31/03
12/31/04
12/31/05
12/31/06
12/31/07
sector, at least some positive performance within
the Fund. At the more granular industry level overweights in wireless telecommunication services, construction &
engineering, marine, and metals & mining all provided strong performance during the year. Positions in the
machinery, airlines, and paper & forest products all had minimal negative impacts on the Fund’s performance.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/07
SINCE
ONE
FIVE
INCEPTION
YEAR
YEAR
(05/01/02)
SECTOR ROTATION FUND
22.75%
17.46%
10.21%
S&P 500 INDEX
5.49%
12.83%
7.40%
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index is an
unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported returns. Returns are
historical and include changes in principal and reinvested dividends and capital gains.
Holdings Diversification (Market Exposure as % of Net Assets)
Ten Largest Holdings (% of Total Net Assets)
China Mobile Ltd. — SP ADR
3.6%
100%
Amazon.com, Inc.
3.3%
Energy
Jacobs Engineering Group, Inc.
2.6%
Information Technology
80%
Foster Wheeler Ltd.
2.5%
Consumer Discretionary
Fluor Corp.
2.5%
Telecommunication Services
Altria Group, Inc.
2.4%
60%
Vodafone Group PLC — SP ADR
2.2%
Materials
Google, Inc. — Class A
2.1%
40%
KBR, Inc.
1.9%
Chicago Bridge & Iron Co. NV
1.7%
20%
Industrials
Top Ten Total
24.8%
“Ten Largest Holdings” exclude any
0%
Other
temporary cash or derivative investments.
Sector Rotation Fund
“Holdings Diversification (Market Exposure as % of Net Assets)”
excludes any temporary cash investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
7
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
ABSOLUTE RETURN
Cumulative Fund Performance
STRATEGIES FUND
November 29, 2005 - December 31, 2007
ABSOLUTE RETURN
DOW JONES HEDGE FUND
OBJECTIVE:
To provide capital appreciation consistent
STRATEGIES FUND
BALANCED PORTFOLIO INDEX
with the return and risk characteristics of the hedge fund
S&P 500 INDEX
universe. The secondary objective is to achieve these
$15,000
returns with low correlation to and less volatility than
equity indices.
$12,500
$12,146
Inception: November 29, 2005
$11,907
$11,162
Hedge funds performed marginally well during the last 12
$10,000
months, driven mainly by specialized funds that invest in
merger arbitrage and equity long/short strategies, according
to the Dow Jones Hedge Fund Indices. In aggregate,
$7,500
absolute return strategy indices outperformed the S&P 500
Index, while doing so with less than half of the volatility of
$5,000
this large capitalization index. The Dow Jones Hedge Fund
11/29/05
06/30/06
12/31/06
06/30/07
12/31/07
Balanced Portfolio Index gained 7.54% during the twelve
months ended December 31, 2007. While not a benchmark
merger arbitrage. Market neutral value and fixed income
for the Fund, the Dow Jones Hedge Fund Balanced Portfolio
arbitrage were detractors of performance. Over the past year,
Index serves as a proxy for the universe of absolute return
the Fund had a monthly correlation with the S&P 500 Index
hedge funds.
of 88%. The Fund also experienced volatility (standard devia-
tion) of daily returns that was half that of the S&P 500 Index.
Rydex Absolute Return Strategies Fund was up 3.84% during
Adding funds or assets with lower correlation to the general
this period. The Fund benefited from exposure to market
market is linked to assisting with improved diversification in
neutral momentum, domestic equities, global macro and
an overall portfolio.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/07
SINCE
ONE
INCEPTION
YEAR
(11/29/05)
ABSOLUTE RETURN STRATEGIES FUND
3.84%
5.41%
S&P 500 INDEX
5.49%
9.76%
DOW JONES HEDGE FUND BALANCED PORTFOLIO INDEX
7.54%
8.72%
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the
Dow Jones Hedge Fund Balanced Portfolio Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating
expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains.
Holdings Diversification (Market Exposure as % of Net Assets)
Ten Largest Long Holdings (% of Total Net Assets)
70%
60%
iShares MSCI Emerging Markets
50%
Index Fund
3.9%
40%
iShares S&P GSCI Commodity
30%
Indexed Trust
3.9%
US BioEnergy Corp.
20%
0.5%
10%
Genesco, Inc.
0.5%
0%
-10%
Alliance Data Systems Corp.
0.4%
-20%
Harrah’s Entertainment, Inc.
0.4%
-30%
Baxter International, Inc.
0.4%
NAVTEQ Corp.
0.4%
MTC Technologies, Inc.
0.4%
AMIS Holdings, Inc.
0.4%
Top Ten Total
11.2%
“Ten Largest Long Holdings” exclude any
Absolute Return Strategies Fund
Absolute Return Strategies Fund
Long Holdings
Short Holdings
temporary cash or derivative instruments.
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any
temporary cash investments.
8
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THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
COMMODITIES STRATEGY FUND
OBJECTIVE:
Seeks to provide investment results
that correlate to the performance of a benchmark
Cumulative Fund Performance
for commodities. The Fund’s current benchmark is
September 30, 2005 - December 31, 2007
the S&P GSCI™.
COMMODITIES STRATEGY FUND
S&P 500 INDEX
Inception: September 30, 2005
S&P GOLDMAN SACHS COMMODITY INDEX
$15,000
By all accounts, commodities had an excellent
year, as the S&P GSCI gained over 30%. Much of
$12,500
$12,471
the rise was driven by ever-increasing prices of oil,
natural gas and other energy products. Other
$10,000
$9,990
commodities, such as gold and corn also pitched
$9,540
in with huge surges in price. For the year, Rydex
Commodities Strategy Fund was up 31.02%.
$7,500
$5,000
09/30/05
12/31/05
06/30/06
12/31/06
06/30/07
12/31/07
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/07
SINCE
ONE
INCEPTION
YEAR
(09/30/05)
COMMODITIES STRATEGY FUND
31.02%
-2.07%
S&P 500 INDEX
5.49%
10.30%
S&P GOLDMAN SACHS COMMODITY INDEX
32.68%
-0.04%
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P
Goldman Sachs Commodity Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to
reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains.
Holdings Diversification (Market Exposure as % of Net Assets)
100%
Other
The Fund invests principally in exchange
Industrial Metals
traded funds and in derivative instru-
80%
Agricultural
ments such as structured notes, futures
contracts, and options on index futures.
60%
Structured Notes
40%
Energy
20%
Exchange
Traded Funds
0%
Commodities
S&P GSCI
Strategy Fund
“Holdings Diversification (Market Exposure as % of Net Assets)”
excludes any temporary cash investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
9
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
HEDGED EQUITY FUND
Cumulative Fund Performance
November 29, 2005 - December 31, 2007
OBJECTIVE:
To provide capital appreciation consistent with
HEDGED EQUITY FUND
S&P 500 INDEX
the return and risk characteristics of the long/short hedge fund
DOW JONES HEDGE FUND EQUITY LONG/SHORT INDEX
universe. The secondary objective is to achieve these returns
$15,000
with low correlation to and less volatility than equity indices.
Inception: November 29, 2005
$13,120
$12,500
$12,146
Long/short hedge funds were up 19.79% in the 12 months
$11,267
ended December 31, 2007, as measured by the Dow Jones
$10,000
Hedge Fund Equity Long/Short Index. Long/Short indices held-
up fairly well relative to pure directional equity during the peri-
ods of market turbulence in the latter part of the year; most
$7,500
notably, July and November; however, hedged equity strate-
gies, in general, did not perform overly well in August. While
$5,000
not a benchmark for the Fund, the Dow Jones Hedge Fund
11/29/05
06/30/06
12/31/06
06/30/07
12/31/07
Equity Long/Short Index serves as a proxy for the universe of
momentum driven stocks. Exposure to value strategies detracted
long/short hedge funds. With this in mind, there was significant
from performance.
variability in hedge fund equity long/short indices last year; there-
Over the past year, the Fund had a monthly correlation of 86%
fore, looking at the Dow Jones Hedge Fund Equity Long/Short
with the S&P 500 Index while experiencing about three-quarters of
Index in isolation is not a just comparison.
the standard deviation of the index. Adding funds or assets with
Rydex Hedged Equity Fund rose 3.16% over this period, benefiting
lower correlation to the general market is linked to assisting with
from exposure to domestic equities and long/short positions in
improved diversification in an overall portfolio.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/07
SINCE
ONE
INCEPTION
YEAR
(11/29/05)
HEDGED EQUITY FUND
3.16%
5.88%
S&P 500 INDEX
5.49%
9.76%
DOW JONES HEDGE FUND EQUITY LONG/SHORT INDEX
19.79%
13.89%
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the
Dow Jones Hedge Fund Equity Long/Short Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating
expenses to reduce their reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains.
Holdings Diversification (Market Exposure as % of Net Assets)
Ten Largest Long Holdings (% of Total Net Assets)
60%
iShares MSCI Emerging Markets
50%
Index Fund
6.4%
40%
Vodafone Group PLC — SP ADR
0.6%
30%
HSBC Holdings PLC — SP ADR
0.5%
20%
BP PLC — SP ADR
0.5%
Total SA — SP ADR
0.5%
10%
Telefonica SA — SP ADR
0.4%
0%
GlaxoSmithKline PLC — SP ADR
0.4%
-10%
Baxter International, Inc.
0.4%
Goldman Sachs Group, Inc.
0.4%
Royal Dutch Shell PLC — SP ADR
0.4%
Top Ten Total
10.5%
“Ten Largest Long Holdings” exclude any
temporary cash or derivative instruments.
Hedged Equity Fund Long Holdings
Hedged Equity Fund Short Holdings
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any
temporary cash investments.
10
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
REAL ESTATE FUND
OBJECTIVE:
Seeks to provide capital appreciation
by investing in companies that are involved in the
Cumulative Fund Performance
real estate industry including real estate investment
October 1, 2001 - December 31, 2007
trusts (“REITs”).
REAL ESTATE FUND
S&P REIT COMPOSITE INDEX†
Inception:
October 1, 2001
S&P 500 INDEX
$30,000
REITs and real estate management & development
companies suffered through a tough year with the
eruption of the subprime crisis and subsequent
$20,000
$19,684
tightening of credit. Both industries were down
$17,527
approximately 18% each. Rydex Real Estate Fund
$15,803
reflected the hardships in real estate, with a one-
$10,000
year return of -19.12%. Despite the downturn in
the commercial real estate industry, there were still
bright spots. The best performing stock was Equity
$0
Inns, up 51.05%. Still, there were steep losses. The
10/01/01
12/31/02
12/31/03
12/31/04
12/31/05
12/31/06
12/31/07
worst performing stock, American Home Mortgage
Investment Corp., lost 95.91% of its value.
† Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/07
SINCE
ONE
FIVE
INCEPTION
YEAR
YEAR
(10/01/01)
REAL ESTATE FUND
-19.12%
13.85%
11.45%
S&P 500 INDEX
5.49%
12.83%
7.60%
S&P REIT COMPOSITE INDEX
-16.73%
17.81%
9.39%
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index and the S&P
REIT Composite Index are unmanaged stock indices and, unlike the Fund, have no management fees or other operating expenses to reduce its
reported returns. Returns are historical and include changes in principal and reinvested dividends and capital gains.
Industry Diversification (Market Exposure as % of Net Assets)
Ten Largest Long Holdings (% of Total Net Assets)
Real Estate
Brookfield Asset Management,
Management
Inc. — Class A
2.9%
& Development
Simon Property Group, Inc.
2.8%
9%
ProLogis
2.6%
Public Storage, Inc.
2.3%
Vornado Realty Trust
2.2%
Boston Properties, Inc.
2.1%
Real Estate
Plum Creek Timber Co., Inc.
2.0%
Investment
Equity Residential
2.0%
Trusts
91%
HCP, Inc.
1.9%
General Growth Properties, Inc.
1.8%
Top Ten Total
22.6%
“Ten Largest Holdings” exclude any
temporary cash or derivative investments.
Real Estate Fund
“Industry Diversification (Market Exposure as % of Net Assets)”
excludes any temporary cash investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
11
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
STRENGTHENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: To provide investment results
that will match the performance of a specific
Cumulative Fund Performance
benchmark on a daily basis. The Fund’s current
September 30, 2005 - December 31, 2007
benchmark is 200% of the performance of the U.S.
STRENGTHENING DOLLAR
2x STRATEGY FUND
U.S. DOLLAR INDEX
Dollar Index.
$15,000
Inception: September 30, 2005
The U.S. dollar continued to weaken against most
$12,500
major currencies in 2007. The decline in the dollar,
which accelerated in the latter half of the year, was
$10,000
caused by a number of factors including continued
$8,568
weakness in the U.S. housing market, billions of
$8,215
$7,500
dollars in losses from subprime investments and a
view that the Federal Reserve was behind the
$5,000
curve in cutting interest rates. This led to a
09/30/05
12/31/05
06/30/06
12/31/06
06/30/07
12/31/07
weakened U.S. consumer and increased volatility
in financial markets. The U.S. Dollar Index was down 8.31% in 2007 and Rydex Strengthening Dollar 2x Strategy
Fund was down 10.89% for the year.
The Fund achieved a daily correlation of more than .99 to its benchmark of 200% of the daily price performance of
the U.S. Dollar Index for the year ended December 31, 2007.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The
apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is
described briefly on page 3 of this report.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/07
SINCE
ONE
INCEPTION
YEAR
(09/30/05)
STRENGTHENING DOLLAR 2X STRATEGY FUND
-10.89%
-8.36%
U.S. DOLLAR INDEX
-8.31%
-6.63%
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The U.S. Dollar Index is an
unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported return. Returns are
historical and include changes in principal and reinvested dividends and capital gains.
Holdings Diversification (Market Exposure as % of Net Assets)
200%
The Fund invests principally in derivative
instruments such as currency index swap
agreements, futures contracts, and
160%
options on index futures.
120%
Currency Index
Swap Agreements
British Pound
Canadian Dollar
80%
Japanese Yen
40%
Euro
Other
0%
Strengthening Dollar
U.S. Dollar Index
2x Strategy Fund
“Holdings Diversification (Market Exposure as % of Net Assets)”
excludes any temporary cash investments.
12
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (concluded)
WEAKENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: To provide investment results
that will match the performance of a specific
Cumulative Fund Performance
benchmark on a daily basis. The Fund’s current
September 30, 2005 - December 31, 2007
benchmark is 200% of the inverse performance of
WEAKENING DOLLAR
2x STRATEGY FUND
U.S. DOLLAR INDEX
the U.S. Dollar Index.
$15,000
Inception: September 30, 2005
$13,438
The U.S. dollar continued to weaken against most
$12,500
major currencies in 2007. The decline in the dollar,
which accelerated in the latter half of the year,
$10,000
was caused by a number of factors including the
$8,568
continued weakness in the U.S. housing market,
$7,500
billions of dollars in losses from subprime
investments and a view that the Federal Reserve
$5,000
was behind the curve in cutting interest rates. This
09/30/05
12/31/05
06/30/06
12/31/06
06/30/07
12/31/07
led to a weakened U.S. consumer and increased
volatility in financial markets. The U.S. Dollar Index was down 8.31% in 2007 which helped Rydex Weakening Dollar
2x Strategy Fund post a return of 18.12% for the year.
The Fund achieved a daily correlation of more than .99 to its benchmark of -200% of the daily price performance of
the U.S. Dollar Index for the year ended December 31, 2007.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The
apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is
described briefly on page 3 of this report.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/07
SINCE
ONE
INCEPTION
YEAR
(09/30/05)
WEAKENING DOLLAR 2X STRATEGY FUND
18.12%
14.02%
U.S. DOLLAR INDEX
-8.31%
-6.63%
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The U.S. Dollar Index is an
unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported return. Returns are
historical and include changes in principal and reinvested dividends and capital gains.
Holdings Diversification (Market Exposure as % of Net Assets)
The Fund invests principally in derivative
100%
Canadian Dollar
Japanese Yen
instruments such as currency index swap
British Pound
agreements, futures contracts, and
50%
Euro
options on index futures.
Other
0%
-50%
Currency Index
Swap Agreements
-100%
Short Sales
-150%
-200%
Weakening Dollar
U.S. Dollar Index
2x Strategy Fund
“Holdings Diversification (Market Exposure as % of Net Assets)”
excludes any temporary cash investments.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
13
December 31, 2007
MULTI-CAP CORE EQUITY FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
COMMON STOCKS 99.9%
PMI Group, Inc.
938
$
12,457
iStar Financial, Inc.†
478
12,452
FINANCIALS 16.8%
BRT Realty Trust†
800
12,240
Bank of America Corp.
1,100
$
45,386
East-West Bancorp, Inc.
500
12,115
JPMorgan Chase & Co.
980
42,777
Alleghany Corp.*
30
12,060
Wells Fargo & Co.†
1,120
33,813
Prospect Capital Corp.
920
12,006
Bank of New York Mellon Corp.
498
24,282
Capital Trust, Inc. — Class A†
390
11,954
American Express Co.
449
23,357
Hersha Hospitality Trust†
1,250
11,875
ProLogis†
320
20,282
Capital Southwest Corp.
100
11,840
Travelers Cos, Inc.
369
19,852
Arbor Realty Trust, Inc.
730
11,760
Citigroup, Inc.
620
18,253
First Citizens BancShares, Inc. —
Loews Corp.
349
17,569
Class A
80
11,668
Assurant, Inc.
259
17,327
WSFS Financial Corp.
230
11,546
Annaly Mortgage
Mission West Properties
1,140
10,841
Management, Inc.†
930
16,907
First Merchants Corp.
480
10,483
SunTrust Banks, Inc.†
269
16,810
DiamondRock Hospitality Co.
690
10,336
Aspen Insurance Holdings Ltd.†
560
16,150
Patriot Capital Funding, Inc.†
1,010
10,191
Lincoln National Corp.
270
15,719
AmeriCredit Corp.*†
780
9,976
Max Capital Group Ltd.†
560
15,674
ACE Ltd.
160
9,885
Regions Financial Corp.†
660
15,609
FirstFed Financial Corp.*†
270
9,671
National Retail Properties, Inc.†
640
14,963
HRPT Properties Trust
1,230
9,508
Commerce Bancshares, Inc.
330
14,804
Colonial Properties Trust†
390
8,826
American International
Marshall & Ilsley Corp.†
249
6,594
Group, Inc.
250
14,575
Goldman Sachs Group, Inc.
30
6,452
Allied World Assurance Company
Anthracite Capital, Inc.†
890
6,444
Holdings Ltd
290
14,549
Senior Housing Properties Trust
280
6,350
Torchmark Corp.†
239
14,467
NorthStar Realty Finance Corp.†
680
6,066
Navigators Group, Inc.*
220
14,300
Capital One Financial Corp.†
120
5,671
Hanover Insurance Group, Inc.
310
14,198
First Community Bancorp
130
5,361
Prosperity Bancshares, Inc.
480
14,107
Morgan Stanley
90
4,780
HCC Insurance Holdings, Inc.
490
14,053
Advanta Corp.
550
4,439
Hercules Technology Growth
Discover Financial Services†
270
4,072
Capital, Inc.
1,130
14,035
Wachovia Corp.
100
3,803
Zions Bancorporation†
299
13,960
Asta Funding, Inc.†
120
3,173
Transatlantic Holdings, Inc.
190
13,807
E*Trade Financial Corp.*†
850
3,018
PNC Financial Services
Alabama National Bancorporation
30
2,334
Group, Inc.†
210
13,786
Triad Guaranty, Inc.*†
230
2,254
Whitney Holding Corp.
520
13,598
Renasant Corp.
100
2,157
Validus Holdings Ltd.*
518
13,458
SLM Corp.†
90
1,813
Philadelphia Consolidated
M&T Bank Corp.†
20
1,631
Holding Corp.*
340
13,379
First Charter Corp.†
50
1,493
Bear Stearns Cos., Inc.†
150
13,238
National Health Investors, Inc.
40
1,116
Amerisafe, Inc.*
850
13,184
Hartford Financial Services
Marathon Acquisition Corp.*†
1,690
13,148
Group, Inc.
10
872
Legg Mason, Inc.
179
13,094
First Indiana Corp.
20
640
U.S. Bancorp†
410
13,013
Total Financials
1,054,484
Community Bancorp*
748
12,993
INFORMATION TECHNOLOGY 16.5%
Ares Capital Corp.
880
12,874
Microsoft Corp.
1,919
68,316
Gramercy Capital Corp.†
520
12,641
Cisco Systems, Inc.*
1,560
42,229
Reinsurance Group of
Hewlett-Packard Co.
800
40,384
America, Inc.
240
12,595
International Business Machines
Franklin Resources, Inc.†
110
12,587
Corp.
370
39,997
Banco Latinoamericano de
Google, Inc. — Class A*
50
34,574
Exportaciones SA
770
12,559
Oracle Corp.*
1,350
30,483
Hallmark Financial Services, Inc.*†
790
12,529
Texas Instruments, Inc.
678
22,645
14
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (continued)
December 31, 2007
MULTI-CAP CORE EQUITY FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
Apple, Inc.*
110
$
21,789
Ciber, Inc.*
650
$
3,971
Arris Group, Inc.*
2,110
21,053
Tellabs, Inc.*†
580
3,793
Xerox Corp.
1,240
20,076
Avocent Corp.*†
159
3,706
EMC Corp*†
1,079
19,994
Silicon Storage Technology, Inc.*
1,050
3,139
Intel Corp.
730
19,462
Alliance Data Systems Corp.*†
40
3,000
Electronic Data Systems Corp.
850
17,620
Fair Isaac Corp.
90
2,894
Accenture Ltd. — Class A
488
17,583
Affiliated Computer Services,
Applied Materials, Inc.
980
17,405
Inc. — Class A*
50
2,255
Sybase, Inc.*†
630
16,437
Fiserv, Inc.*†
40
2,220
Computer Sciences Corp.*
330
16,325
Hewitt Associates, Inc. — Class A*
50
1,915
Western Digital Corp.*
540
16,313
Qualcomm, Inc.
40
1,574
Avnet, Inc.*
440
15,387
Agilysys, Inc.
50
756
Arrow Electronics, Inc.*†
389
15,280
Acxiom Corp.
30
352
Novellus Systems, Inc.*†
550
15,163
Total Information Technology
1,030,678
Progress Software Corp.*
450
15,156
INDUSTRIALS 13.5%
Standard Microsystems Corp.*
380
14,847
General Electric Co.
1,780
65,985
CommScope, Inc.*
299
14,714
Honeywell International, Inc.
379
23,335
Advent Software, Inc.*†
270
14,607
CSX Corp.
520
22,870
Methode Electronics, Inc. —
Caterpillar, Inc.
299
21,695
Class A
870
14,303
Eaton Corp.
210
20,359
Lam Research Corp.*
330
14,266
Lockheed Martin Corp.
190
19,999
Synopsys, Inc.*†
550
14,261
L-3 Communications Holdings, Inc.
180
19,069
Brooks Automation, Inc.*
1,060
14,003
Union Pacific Corp.
150
18,843
Intersil Corp. — Class A
560
13,709
Parker Hannifin Corp.†
250
18,827
MoneyGram International, Inc.†
890
13,679
Northrop Grumman Corp.
230
18,087
Vishay Intertechnology, Inc.*
1,190
13,578
Illinois Tool Works, Inc.†
330
17,668
Rimage Corp.*
518
13,442
Danaher Corp.†
200
17,548
JDA Software Group, Inc.*
650
13,299
Dover Corp.
379
17,468
Immersion Corp.*†
1,026
13,287
Cooper Industries Ltd. — Class A†
329
17,398
Zoran Corp.*†
590
13,281
Raytheon Co.†
280
16,996
eBay, Inc.*
400
13,276
General Dynamics Corp.
190
16,908
Metavante Technologies, Inc.*†
568
13,246
Norfolk Southern Corp.
330
16,645
Excel Technology, Inc.*
488
13,225
Esterline Technologies Corp.*†
300
15,525
Keynote Systems, Inc.*
940
13,207
SPX Corp.
150
15,427
Total System Services, Inc.†
470
13,160
URS Corp.*
280
15,212
ADC Telecommunications, Inc.*†
820
12,751
GeoEye, Inc.*†
438
14,739
FEI Co.*
510
12,663
Shaw Group, Inc.*
239
14,445
AVX Corp.†
940
12,615
Regal-Beloit Corp.
320
14,384
Cadence Design Systems, Inc.*†
740
12,587
Columbus McKinnon Corp. —
Digi International, Inc.*
880
12,487
Class A*
440
14,353
Entegris, Inc.*
1,440
12,427
Belden, Inc.
320
14,240
Brocade Communications Systems,
Lincoln Electric Holdings, Inc.
200
14,236
Inc.*†
1,690
12,405
Goodman Global, Inc.*
580
14,233
Photronics, Inc.*†
990
12,345
Manpower, Inc.
250
14,225
Compuware Corp.*
1,360
12,077
Rush Enterprises, Inc. — Class A*
777
14,126
Amkor Technology, Inc.*†
1,400
11,942
Ampco-Pittsburgh Corp. PLC
369
14,070
Mattson Technology, Inc.*
1,390
11,898
Thomas & Betts Corp.*
280
13,731
Convergys Corp.*
670
11,028
Republic Airways Holdings, Inc.*
700
13,713
Vignette Corp.*
710
10,373
A.O. Smith Corp.
390
13,670
Mettler Toledo International, Inc.*
90
10,242
Copa Holdings SA†
360
13,525
CPI International, Inc.*
528
9,029
Michael Baker Corp.*
329
13,522
PC Connection, Inc.*
760
8,626
G & K Services, Inc. — Class A
360
13,507
Plantronics, Inc.†
230
5,980
Atlas Air Worldwide
RealNetworks, Inc.*†
750
4,567
Holdings Co., Inc.*
249
13,501
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
15
SCHEDULE OF INVESTMENTS (continued)
December 31, 2007
MULTI-CAP CORE EQUITY FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
Hubbell, Inc. — Class B
260
$
13,416
Dollar Tree Stores, Inc.*
508
$
13,167
COMSYS IT Partners, Inc.*
837
13,208
Men’s Wearhouse, Inc.†
480
12,950
Gardner Denver, Inc.*
400
13,200
News Corp. — Class A
630
12,909
WESCO International, Inc.*
330
13,081
RadioShack Corp.†
757
12,763
Con-way, Inc.
309
12,836
Barnes & Noble, Inc.†
370
12,747
Spherion Corp.*
1,760
12,813
Speedway Motorsports, Inc.†
410
12,743
Steelcase, Inc. — Class A†
800
12,696
Big Lots, Inc.*†
789
12,616
Continental Airlines, Inc. —
American Greetings Corp. —
Class B*†
570
12,683
Class A†
620
12,586
CDI Corp.†
510
12,373
Stage Stores, Inc.†
850
12,580
Teleflex, Inc.
190
11,972
Jos. A. Bank Clothiers, Inc.*†
440
12,518
Hurco Cos., Inc.*†
240
10,476
Weyco Group, Inc.
450
12,375
Perini Corp.*†
250
10,355
Dillard’s, Inc. — Class A†
640
12,019
On Assignment, Inc.*
1,440
10,094
AnnTaylor Stores Corp.*
470
12,013
Tyco International Ltd.†
160
6,344
Helen of Troy Ltd.*
690
11,827
Boeing Co.
60
5,248
Perry Ellis International, Inc.*
749
11,520
Burlington Northern Santa Fe Corp.
50
4,162
FTD Group, Inc.
880
11,334
UAL Corp.*†
110
3,923
Darden Restaurants, Inc.†
409
11,333
United Technologies Corp.
50
3,827
Movado Group, Inc.
440
11,128
3M Co.
30
2,530
Stewart Enterprises, Inc. —
Allied Waste Industries, Inc.*
210
2,314
Class A†
1,250
11,125
Northwest Airlines Corp.*
100
1,451
Monarch Casino & Resort, Inc.*†
460
11,077
PHH Corp.*
80
1,411
Hasbro, Inc.
410
10,488
Robert Half International, Inc.
30
811
Jarden Corp.*
430
10,152
United Rentals, Inc.*
40
734
Conn’s, Inc.*†
570
9,753
Midwest Air Group, Inc.*
40
592
Office Depot, Inc.*
640
8,902
Total Industrials
846,634
Harrah’s Entertainment, Inc.
100
8,875
CONSUMER DISCRETIONARY 12.7%
Aftermarket Technology Corp.*
310
8,451
Walt Disney Co.†
800
25,824
Liberty Global, Inc. — Class A*
199
7,799
Time Warner, Inc.
1,530
25,260
Hooker Furniture Corp.†
379
7,618
Comcast Corp. — Class A*†
1,070
19,538
West Marine, Inc.*
800
7,184
Viacom, Inc. — Class A*
419
18,402
Dress Barn, Inc.*
550
6,881
CBS Corp.
619
16,868
Systemax, Inc.†
330
6,706
Carnival Corp.
369
16,417
Standard Motor Products, Inc.†
800
6,528
Genuine Parts Co.†
349
16,159
McDonald’s Corp.
100
5,891
Sherwin-Williams Co.
270
15,671
Black & Decker Corp.†
80
5,572
AutoZone, Inc.*
130
15,588
Johnson Controls, Inc.
149
5,370
BorgWarner, Inc.
318
15,394
OfficeMax, Inc.†
240
4,958
DIRECTV Group, Inc.*
660
15,259
Nike, Inc. — Class B
70
4,497
Expedia, Inc.*†
480
15,178
Red Robin Gourmet Burgers,
Service Corporation International
1,070
15,033
Inc.*
130
4,159
Scholastic Corp.*
420
14,654
Clear Channel Communications,
Cooper Tire & Rubber Co.
877
14,541
Inc.
100
3,452
Snap-On, Inc.
300
14,472
G-III Apparel Group Ltd.*
190
2,806
Mohawk Industries, Inc.*
190
14,136
Cablevision Systems Corp. —
Stanley Works†
290
14,059
Class A*
110
2,695
Meredith Corp.†
250
13,745
Penn National Gaming, Inc.*
40
2,382
IAC/ InterActiveCorp*†
510
13,729
Harman International Industries,
Autoliv, Inc.
260
13,705
Inc.
30
2,211
Thor Industries, Inc.
360
13,684
Family Dollar Stores, Inc.†
110
2,115
Starwood Hotels & Resorts
MGM MIRAGE*
20
1,680
Worldwide, Inc.
310
13,649
Genesco, Inc.*†
30
1,134
Unifirst Corp.
359
13,642
Wynn Resorts Ltd.†
10
1,121
CEC Entertainment, Inc.*
508
13,188
DG FastChannel, Inc.*
30
769
16
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (continued)
December 31, 2007
MULTI-CAP CORE EQUITY FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
CKX, Inc.*
60
$
720
Ventana Medical Systems, Inc.*
40
$
3,489
Riviera Holdings Corp.*
20
616
Eli Lilly & Co.
60
3,203
Home Depot, Inc.
20
539
Millennium Pharmaceuticals, Inc.*†
210
3,146
Cumulus Media, Inc. — Class A*
40
322
Medtronic, Inc.
50
2,514
Hearst-Argyle Television, Inc.
10
221
AMERIGROUP Corp.*†
60
2,187
Total Consumer Discretionary
793,692
Zimmer Holdings, Inc.*
30
1,985
HEALTH CARE 10.8%
Sierra Health Services, Inc.*
30
1,259
Johnson & Johnson, Inc.
510
34,017
Salix Pharmaceuticals Ltd.*†
149
1,174
UnitedHealth Group, Inc.
500
29,100
Total Health Care
673,282
Wyeth
538
23,774
ENERGY 10.2%
WellPoint, Inc.*
270
23,687
Exxon Mobil Corp.
1,300
121,797
Amgen, Inc.*†
480
22,291
Chevron Corp.
550
51,332
Pfizer, Inc.
920
20,912
ConocoPhillips
490
43,267
Baxter International, Inc.
350
20,317
Occidental Petroleum Corp.
340
26,177
Schering-Plough Corp.
760
20,246
National-Oilwell Varco, Inc.*
350
25,711
Hologic, Inc.*†
290
19,906
Transocean, Inc.†
160
22,904
Aetna, Inc.
330
19,051
Marathon Oil Corp.
360
21,910
Perrigo Co.†
520
18,205
Valero Energy Corp.
300
21,009
Thermo Fisher Scientific, Inc.*
310
17,881
ENSCO International, Inc.†
300
17,886
Coventry Health Care, Inc.*
299
17,716
Tesoro Corp.
340
16,218
Amedisys, Inc.*†
330
16,012
Oil States International, Inc.*†
470
16,036
Henry Schein, Inc.*
250
15,350
Mariner Energy, Inc.*†
690
15,787
Martek Biosciences Corp.*†
500
14,790
Helmerich & Payne, Inc.†
390
15,627
Chemed Corp.
259
14,473
Stone Energy Corp.*
319
14,964
Cephalon, Inc.*†
200
14,352
Rowan Cos., Inc.†
379
14,955
Analogic Corp.
210
14,221
Tidewater, Inc.†
270
14,812
Symmetry Medical, Inc.*
810
14,118
Holly Corp.
289
14,707
PerkinElmer, Inc.
540
14,051
Dresser-Rand Group, Inc.*
370
14,449
Merck & Co., Inc.
240
13,946
SEACOR Holdings, Inc.*†
150
13,911
RehabCare Group, Inc.*
618
13,942
Patterson-UTI Energy, Inc.†
710
13,859
Lincare Holdings, Inc.*†
390
13,712
Bois d’Arc Energy, Inc.*
678
13,458
Biogen Idec, Inc.*†
230
13,092
Bronco Drilling Co., Inc.*
890
13,217
Warner Chilcott Ltd.*
730
12,943
Global Industries Ltd.*†
600
12,852
ICU Medical, Inc.*
350
12,604
Golar LNG Ltd.†
570
12,608
Cynosure, Inc.*†
469
12,410
Delek US Holdings, Inc.
560
11,329
WellCare Health Plans, Inc.*
289
12,256
Schlumberger Ltd.
110
10,821
Emergency Medical Services Corp.
Frontier Oil Corp.†
249
10,104
— Class A*†
409
11,976
Grant Prideco, Inc.*
179
9,936
Conmed Corp.*†
510
11,786
Alon USA Energy, Inc.
360
9,785
Phase Forward, Inc.*
520
11,310
USEC, Inc.*†
860
7,740
Cantel Medical Corp.*
770
11,227
Whiting Petroleum Corp.*
110
6,343
Albany Molecular Research, Inc.*
780
11,216
Pride International, Inc.*†
90
3,051
Mylan Laboratories, Inc.†
780
10,967
Lufkin Industries, Inc.
30
1,719
King Pharmaceuticals, Inc.*†
930
9,523
Total Energy
640,281
Viropharma, Inc.*†
1,120
8,893
CONSUMER STAPLES 7.0%
Air Methods Corp.*
170
8,444
Procter & Gamble Co.
480
35,241
Watson Pharmaceuticals, Inc.*
310
8,413
CVS Caremark Corp.
620
24,645
Vital Signs, Inc.†
150
7,668
Altria Group, Inc.
270
20,407
DENTSPLY International, Inc.
170
7,653
Coca-Cola Co.
280
17,184
Cubist Pharmaceuticals, Inc.*
340
6,973
Kroger Co.
640
17,094
Abbott Laboratories
100
5,615
Loews Corp. - Carolina Group
200
17,060
Emergent Biosolutions, Inc.*
1,060
5,364
Energizer Holdings, Inc.*
140
15,698
Genentech, Inc.*
60
4,024
PepsiCo, Inc.
200
15,180
Enzon Pharmaceuticals, Inc.*†
409
3,898
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
17
SCHEDULE OF INVESTMENTS (continued)
December 31, 2007
MULTI-CAP CORE EQUITY FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
Kellogg Co.
289
$
15,152
UTILITIES 4.5%
Pilgrim’s Pride Corp.
518
14,996
Edison International
389
$
20,761
Pepsi Bottling Group, Inc.†
380
14,995
FPL Group, Inc.
270
18,300
J.M. Smucker Co.
290
14,918
Mirant Corp.*†
460
17,931
Universal Corp.†
289
14,802
Duke Energy Corp.
880
17,750
Fresh Del Monte Produce, Inc.*
438
14,708
FirstEnergy Corp.
240
17,362
Reynolds American, Inc.†
219
14,445
Reliant Energy, Inc.*
649
17,030
NBTY, Inc.*
519
14,221
DTE Energy Co.
350
15,386
Church & Dwight Co., Inc.†
260
14,058
Cleco Corp.†
548
15,234
Cal-Maine Foods, Inc.
510
13,530
NSTAR†
410
14,850
Winn-Dixie Stores, Inc.*†
800
13,496
Energen Corp.
230
14,773
Herbalife Ltd.
329
13,252
Alliant Energy Corp.
360
14,648
Corn Products International, Inc.
360
13,230
TECO Energy, Inc.†
840
14,456
PepsiAmericas, Inc.
390
12,995
Portland General Electric Co.
510
14,168
Nash Finch Co.†
360
12,701
Southern Union Co.
478
14,034
TreeHouse Foods, Inc.*
540
12,415
Laclede Group, Inc.
409
14,004
Village Super Market
230
11,705
AGL Resources, Inc.
370
13,927
Wal-Mart Stores, Inc.
240
11,407
Public Service Enterprise Group,
Del Monte Foods Co.
1,130
10,690
Inc.
140
13,754
Prestige Brands Holdings, Inc. —
Atmos Energy Corp.†
300
8,412
Class A*†
950
7,106
Energy East Corp.
80
2,177
Central Garden and Pet Co. —
Total Utilities
278,957
Class A*†
1,250
6,700
TELECOMMUNICATION SERVICES 3.4%
Sanderson Farms, Inc.†
150
5,067
AT&T, Inc.
1,580
65,665
Reddy Ice Holdings, Inc.†
30
759
Telephone & Data Systems, Inc.
250
15,650
Total Consumer Staples
439,857
Verizon Communications, Inc.
350
15,292
MATERIALS 4.5%
CenturyTel, Inc.
360
14,926
CF Industries Holdings, Inc.†
220
24,213
NTELOS Holdings Corp.
500
14,845
United States Steel Corp.
170
20,555
Premiere Global Services, Inc.*
998
14,820
Freeport-McMoRan Copper & Gold,
Shenandoah Telecommunications
Inc.
200
20,488
Co.
540
12,949
Dow Chemical Co.
500
19,710
Atlantic Tele-Network, Inc.
380
12,836
LSB Industries, Inc.*
598
16,876
U.S. Cellular Corp.*
150
12,615
Schnitzer Steel Industries, Inc. —
Syniverse Holdings, Inc.*
630
9,815
Class A†
219
15,139
Sprint Nextel Corp.†
600
7,878
Reliance Steel & Aluminum Co.
270
14,634
USA Mobility, Inc.*
550
7,865
Pactiv Corp.*
548
14,593
American Tower Corp. — Class A*
120
5,112
Carpenter Technology Corp.
190
14,282
Rural Cellular Corp. — Class A*
20
882
Sonoco Products Co.
430
14,052
North Pittsburgh Systems, Inc.
20
454
Albemarle Corp.†
330
13,612
Total Telecommunication Services
211,604
Cytec Industries, Inc.
220
13,548
Total Common Stocks
Cabot Corp.
400
13,336
(Cost $6,158,315)
6,251,131
Rock-Tenn Co. — Class A
520
13,213
Lubrizol Corp.
240
12,998
FACE
Universal Stainless & Alloy*
340
12,094
AMOUNT
Buckeye Technologies, Inc.*
800
10,000
REPURCHASE AGREEMENTS 0.1%
Brush Engineered Materials, Inc.*
210
7,774
Repurchase Agreement (Note 5)
Mercer International, Inc.*
560
4,385
Mizuho Financial Group, Inc.
Airgas, Inc.
70
3,648
issued 12/31/07 at 1.40%
Huntsman Corp.
50
1,285
due 01/02/08
$
1,783
1,783
International Paper Co.†
20
648
Morgan Stanley
Myers Industries, Inc.†
40
579
issued 12/31/07 at 1.20%
Total Materials
281,662
due 01/02/08
1,783
1,783
18
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2007
MULTI-CAP CORE EQUITY FUND
MARKET
FACE
VALUE
AMOUNT
(NOTE 1)
UBS Financial Services, Inc.
issued 12/31/07 at 1.14%
due 01/02/08
$
1,783
$
1,783
Lehman Brothers Holdings, Inc.
issued 12/31/07 at 1.00%
due 01/02/08
887
887
Total Repurchase Agreements
(Cost $6,236)
6,236
SECURITIES LENDING COLLATERAL 18.4%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8)
1,151,213
1,151,213
Total Securities Lending Collateral
(Cost $1,151,213)
1,151,213
Total Investments 118.4%
(Cost $7,315,764)
$ 7,408,580
Liabilities in Excess of
Other Assets – (18.4)%
$ (1,148,802)
Net Assets – 100.0%
$ 6,259,778
*
Non-Income Producing Security.
†
All or a portion of this security is on loan at December 31, 2007 — See Note 8.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
19
SCHEDULE OF INVESTMENTS
December 31, 2007
SECTOR ROTATION FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
COMMON STOCKS 96.0%
Anglo American PLC
— SP ADR†
41,132
$
1,249,179
INDUSTRIALS 34.6%
POSCO — SP ADR†
6,700
1,007,747
Jacobs Engineering Group,
Barrick Gold Corp.
22,500
946,125
Inc.*
34,800
$
3,327,228
E.I. du Pont de Nemours
Foster Wheeler Ltd.*
21,100
3,270,922
and Co.
20,900
921,481
Fluor Corp.†
21,900
3,191,268
Dow Chemical Co.
22,400
883,008
KBR Inc.*†
62,801
2,436,679
Praxair, Inc.
9,300
825,003
Chicago Bridge & Iron, Co.
Southern Copper Corp.†
7,500
788,475
NV
37,600
2,272,544
Goldcorp, Inc.†
21,600
732,888
Diana Shipping, Inc.†
68,909
2,167,877
Air Products & Chemicals, Inc.
7,200
710,136
Shaw Group, Inc.*†
35,600
2,151,664
Alcoa, Inc.
18,700
683,485
Kirby Corp.*†
45,517
2,115,630
Agrium, Inc.
8,200
592,122
URS Corp.*
38,410
2,086,815
Newmont Mining Corp.
11,600
566,428
ABB Ltd. — SP ADR
71,400
2,056,320
Ecolab, Inc.†
11,000
563,310
Quanta Services, Inc.*†
78,181
2,051,469
Celanese Corp.
11,000
465,520
Alexander & Baldwin, Inc.†
35,802
1,849,531
PPG Industries, Inc.
6,600
463,518
Emerson Electric Co.
30,145
1,708,016
Nucor Corp.
7,800
461,916
First Solar, Inc.*
5,700
1,522,698
Teck Cominco Ltd. - Class B
12,884
460,087
DryShips, Inc.†
17,000
1,315,800
Sigma-Aldrich Corp.†
7,500
409,500
Suntech Power Holdings Co.
Huntsman Corp.
14,200
364,940
Ltd. - SP ADR*†
14,600
1,201,872
Freeport-McMoRan Copper &
Seaspan Corp.†
47,032
1,151,814
Gold, Inc.
3,343
342,457
Woodward Governor Co.
13,200
896,940
Eastman Chemical Co.†
5,200
317,668
Sunpower Corp.*†
6,600
860,574
Total Materials
24,736,634
EMCOR Group, Inc.*
33,200
784,516
TELECOMMUNICATION SERVICES 15.4%
Horizon Lines, Inc. — Class A†
40,600
756,784
China Mobile Ltd. — SP ADR†
53,400
4,638,858
Genco Shipping & Trading
Vodafone Group PLC — SP ADR
76,680
2,861,697
Ltd.†
13,281
727,268
America Movil SAB de CV —
Perini Corp.*†
17,142
710,022
SP ADR
34,500
2,117,955
Eagle Bulk Shipping, Inc.†
22,493
597,189
Vimpel-Communications —
AMETEK, Inc.
11,600
543,344
SP ADR
44,800
1,863,680
Roper Industries, Inc.†
8,600
537,844
Mobile Telesystems —
Quintana Maritime Ltd.
22,687
521,347
SP ADR†
16,500
1,679,535
Brady Corp. — Class A†
10,900
382,481
Rogers Communications,
GrafTech International Ltd.*
21,400
379,850
Inc. — Class B
24,400
1,104,100
Hubbell, Inc. — Class B
7,000
361,200
Turkcell Iletisim Hizmet AS,
Energy Conversion Devices,
Inc. — SP ADR†
40,000
1,102,800
Inc.*†
9,200
309,580
Sprint Nextel Corp.†
69,600
913,848
Belden, Inc.
6,500
289,250
SK Telecom Co. Ltd. — SP ADR
26,300
784,792
Regal-Beloit Corp.
5,500
247,225
American Tower Corp. —
American Superconductor
Class A*
17,600
749,760
Corp.*†
9,000
246,060
Philippine Long Distance
Total Industrials
45,029,621
Telephone Co. — SP ADR†
9,300
704,196
MATERIALS 19.0%
U.S. Cellular Corp.*†
6,058
509,478
BHP Billiton Ltd. — SP ADR†
25,878
1,812,495
Crown Castle International
Companhia Vale do Rio Doce
Corp.*†
12,100
503,360
— SP ADR
53,006
1,731,706
MetroPCS Communications,
Rio Tinto PLC — SP ADR
3,900
1,637,610
Inc.*†
22,900
445,405
Monsanto Co.
13,900
1,552,491
Total Telecommunication Services
19,979,464
The Mosaic Co.*
16,049
1,514,063
CONSUMER DISCRETIONARY 7.7%
ArcelorMittal†
18,400
1,423,240
Amazon.com, Inc.*†
46,228
4,282,562
Potash Corporation of
Expedia, Inc.*
60,600
1,916,172
Saskatchewan†
9,100
1,310,036
Priceline.com, Inc.*†
14,600
1,676,956
20
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2007
SECTOR ROTATION FUND
MARKET
MARKET
VALUE
FACE
VALUE
SHARES
(NOTE 1)
AMOUNT
(NOTE 1)
Netflix, Inc.*†
31,500
$
838,530
REPURCHASE AGREEMENT 2.8%
Systemax, Inc.†
26,343
535,290
Repurchase Agreement (Note 5)
GSI Commerce, Inc.*†
25,991
506,824
Lehman Brothers Holdings, Inc.
Blue Nile, Inc.*†
4,712
320,699
issued 12/31/07 at 1.00%
Total Consumer Discretionary
10,077,033
due 01/02/08
$
3,698,909
$
3,698,909
INFORMATION TECHNOLOGY 7.5%
Total Repurchase Agreement
Google, Inc. — Class A*
3,900
2,696,772
(Cost $3,698,909)
3,698,909
eBay, Inc.*
45,100
1,496,869
SECURITIES LENDING COLLATERAL 24.8%
Yahoo!, Inc.*
46,900
1,090,894
Investment in Securities Lending Short Term
VeriSign, Inc.*†
19,900
748,439
Investment Portfolio Held by
Akamai Technologies, Inc.*†
15,500
536,300
U.S. Bank (Note 8)
32,234,639
32,234,639
Equinix, Inc.*†
3,900
394,173
Gmarket, Inc.*†
14,772
367,823
Total Securities Lending Collateral
Sohu.com, Inc.*
6,300
343,476
(Cost $32,234,639)
32,234,639
ValueClick, Inc.*
14,200
310,980
Total Investments 123.6%
VistaPrint Ltd.*
7,100
304,235
(Cost $143,832,661)
$ 160,872,173
Omniture, Inc.*†
9,000
299,610
Liabilities in Excess of
CNET Networks, Inc.*†
31,900
291,566
Other Assets – (23.6)%
$ (30,705,853)
SAVVIS, Inc.*†
8,800
245,608
Net Assets – 100.0%
$ 130,166,320
DealerTrack Holdings, Inc.*†
6,700
224,249
Digital River, Inc.*†
6,100
201,727
j2 Global Communications, Inc.*
8,600
182,062
Total Information Technology
9,734,783
ENERGY 7.0%
Transocean, Inc.†
10,187
1,458,269
Halliburton Co.
25,300
959,123
National-Oilwell Varco, Inc.*
11,700
859,482
Weatherford International Ltd.*
11,800
809,480
Diamond Offshore Drilling, Inc.†
5,700
809,400
Baker Hughes, Inc.
9,800
794,780
Noble Corp.
12,100
683,771
Tenaris SA — SP ADR
15,000
670,950
Smith International, Inc.
8,300
612,955
Cameron International Corp.*
10,800
519,804
ENSCO International, Inc.†
8,500
506,770
BJ Services Co.†
17,100
414,846
Total Energy
9,099,630
CONSUMER STAPLES 4.8%
Altria Group, Inc.
41,300
3,121,454
Reynolds American, Inc.
16,700
1,101,532
Loews Corp. - Carolina Group
8,900
759,170
UST, Inc.
13,400
734,320
Universal Corp.
5,900
302,198
Vector Group Ltd.
13,100
262,786
Total Consumer Staples
6,281,460
Total Common Stocks
(Cost $107,899,113)
124,938,625
*
Non-Income Producing Security.
†
All or a portion of this security is on loan at December 31, 2007 — See Note 8.
ADR — American Depository Receipt.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
21
SCHEDULE OF INVESTMENTS
December 31, 2007
ABSOLUTE RETURN STRATEGIES FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
COMMON STOCKS 55.0%
Annaly Mortgage Management,
Inc.†
1,620
$
29,452
FINANCIALS 10.4%
Genworth Financial, Inc. —
Goldman Sachs Group, Inc.
610
$
131,180
Class A†
1,150
29,268
Chittenden Corp.
3,271
116,513
AXA — SP ADR
730
28,988
First Indiana Corp.
3,591
114,912
IntercontinentalExchange, Inc.*
150
28,875
Alfa Corp.
5,292
114,678
Host Hotels & Resorts, Inc.†
1,420
24,197
Commerce Group, Inc.†
3,171
114,093
CME Group Inc.†
30
20,580
American Financial Realty Trust
13,964
111,991
American Financial Group, Inc.
620
17,906
KNBT Bancorp, Inc.†
7,222
111,363
Protective Life Corp.
400
16,408
Travelers Cos, Inc.
2,051
110,344
Jones Lang LaSalle, Inc.†
230
16,367
Sterling Financial Corp.
6,712
110,211
Fidelity National Financial, Inc.
Commerce Bancorp, Inc.†
2,871
109,500
— Class A†
1,060
15,487
U.S.B. Holding Co.
5,482
108,544
Apartment Investment &
HSBC Holdings PLC
Management Co. — Class A†
440
15,281
— SP ADR†
1,150
96,266
Taubman Centers, Inc.†
290
14,265
Allied World Assurance Company
SLM Corp.†
670
13,494
Holdings Ltd
1,680
84,286
Bank of New York Mellon Corp.
270
13,165
Charles Schwab Corp.
3,251
83,063
BRE Properties, Inc. — Class A†
280
11,348
Plum Creek Timber Co., Inc.
Franklin Resources, Inc.†
80
9,154
(REIT)†
1,781
81,997
T. Rowe Price Group, Inc.†
131
7,975
Aon Corp.
1,650
78,688
Nymex Holdings, Inc.†
50
6,681
Alleghany Corp.*†
190
76,380
Eaton Vance Corp.†
100
4,541
Marsh & McLennan Cos., Inc.
2,601
68,848
Forestar Real Estate Group, Inc.*
167
3,932
Loews Corp.
1,330
66,952
Guaranty Financial Group, Inc.*
167
2,667
Banco Santander Central Hispano
Extra Space Storage, Inc.
167
2,386
SA — SP ADR†
3,021
65,072
CIT Group, Inc.
90
2,163
JPMorgan Chase & Co.
1,420
61,983
Navigators Group, Inc.*
32
2,080
Morgan Stanley
1,010
53,641
Fannie Mae
3
120
Federated Investors, Inc. —
Old Republic International Corp.†
4
62
Class B†
1,260
51,862
Capital One Financial Corp.
1
47
UBS AG — SP ADR
1,100
50,600
Cincinnati Financial Corp.
1
40
Allstate Corp.
960
50,141
W.R. Berkley Corp.
1
30
Hartford Financial Services
Ambac Financial Group, Inc.
1
26
Group, Inc.
570
49,698
National City Corp.
1
16
Chubb Corp.
830
45,301
Total Financials
3,267,890
Deutsche Bank AG— SP ADR†
350
45,293
INFORMATION TECHNOLOGY 6.9%
ACE Ltd.
730
45,099
Alliance Data Systems Corp.*†
1,861
139,556
Ameriprise Financial, Inc.
810
44,639
NAVTEQ Corp.*
1,801
136,156
Blackrock, Inc.
200
43,360
AMIS Holdings, Inc.*
13,299
133,256
Transatlantic Holdings, Inc.
590
42,875
Visual Sciences, Inc.*
7,182
132,723
ProLogis†
620
39,296
Hewlett-Packard Co.
2,491
125,746
Allianz AG - SP ADR
1,841
39,121
Cognos Inc*
2,001
115,198
Banco Bilbao Vizcaya Argentaria
ASE Test Ltd.*
7,982
113,265
SA — SP ADR†
1,610
39,042
MoneyGram International, Inc.†
6,426
98,768
Credit Suisse Group
MEMC Electronic Materials, Inc.*
1,070
94,684
— SP ADR†
640
38,464
Novellus Systems, Inc.*†
3,241
89,354
Lloyds TSB Group PLC —
Vishay Intertechnology, Inc.*
6,412
73,161
SP ADR
980
36,897
Juniper Networks, Inc.*†
2,091
69,421
ING Groep NV — SP ADR
910
35,408
Electronic Data Systems Corp.
3,161
65,528
AFLAC, Inc.
550
34,447
EMC Corp*†
3,221
59,685
Barclays PLC — SP ADR†
850
34,315
Nokia Oyj — SP ADR†
1,550
59,504
UnumProvident Corp.†
1,440
34,258
Teradyne, Inc.*†
5,732
59,269
Prudential Financial, Inc.
330
30,703
Applied Materials, Inc.
2,921
51,877
Janus Capital Group, Inc.†
900
29,565
Nvidia Corp.*
1,460
49,669
22
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (continued)
December 31, 2007
ABSOLUTE RETURN STRATEGIES FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
AVX Corp.
3,631
$
48,728
Burlington Northern Santa Fe
CommScope, Inc.*
816
40,160
Corp.
610
$
50,770
Xerox Corp.
2,121
34,339
Jacobs Engineering Group,
Avnet, Inc.*
960
33,571
Inc.*†
510
48,761
Google, Inc. — Class A*
40
27,659
Foster Wheeler Ltd.*
280
43,406
MasterCard, Inc.
120
25,824
Norfolk Southern Corp.
830
41,865
Computer Sciences Corp.*
480
23,746
AGCO Corp.*
600
40,788
Polycom, Inc.*†
830
23,057
Shaw Group, Inc.*†
610
36,868
Dolby Laboratories, Inc. —
Eaton Corp.
380
36,841
Class A*
410
20,385
Waste Management, Inc.
1,120
36,590
SAP AG — SP ADR†
360
18,378
Joy Global, Inc.
550
36,201
Tellabs, Inc.*†
2,661
17,403
Steelcase, Inc. — Class A†
2,261
35,882
Affiliated Computer Services,
ITT Industries, Inc.
540
35,662
Inc. — Class A*
380
17,138
Pall Corp.
820
33,062
Intersil Corp. — Class A
660
16,157
Flowserve Corp.
310
29,822
eBay, Inc.*
460
15,267
Quanta Services, Inc.*†
1,060
27,814
Telefonaktiebolaget LM Ericsson
Ryder System, Inc.
580
27,266
— SP ADR†
590
13,776
KBR Inc.*
650
25,220
Dycom Industries, Inc.*†
510
13,592
Chicago Bridge & Iron, Co. NV†
390
23,572
Riverbed Technology, Inc.*
490
13,103
Diana Shipping, Inc.†
710
22,337
Convergys Corp.*
780
12,839
Kirby Corp.*†
470
21,846
Atmel Corp.*
2,971
12,835
URS Corp.*
389
21,134
Gartner, Inc. — Class A*†
650
11,414
ABB Ltd. — SP ADR
730
21,024
Trimble Navigation Ltd.*†
360
10,886
Deere & Co.
220
20,486
VeriSign, Inc.*†
200
7,522
Koninklijke Philips Electronics
Equinix, Inc.*†
50
5,054
NV — SP ADR
460
19,665
Gmarket, Inc.*†
160
3,984
Emerson Electric Co.
310
17,565
Sohu.com, Inc.*
70
3,816
Timken Co.†
500
16,425
ValueClick, Inc.*
150
3,285
DRS Technologies, Inc.†
280
15,196
CNET Networks, Inc.*†
330
3,016
Manitowoc Co., Inc.
300
14,649
VistaPrint Ltd.*
70
3,000
Granite Construction, Inc.
380
13,748
Varian Semiconductor Equipment
Con-way, Inc.
330
13,708
Associates, Inc.*
80
2,960
DryShips, Inc.†
170
13,158
SAVVIS, Inc.*
90
2,512
Suntech Power Holdings Co. Ltd.
DealerTrack Holdings, Inc.*†
70
2,343
— SP ADR*
150
12,348
Digital River, Inc.*†
70
2,315
Seaspan Corp.†
480
11,755
j2 Global Communications, Inc.*
90
1,905
GATX Corp.
320
11,738
Micron Technology, Inc.*†
13
94
United Rentals, Inc.*
630
11,567
Motorola, Inc.
4
64
BE Aerospace, Inc.*†
213
11,268
LSI Logic Corp.*
9
48
First Solar, Inc.*
40
10,686
Total Information Technology
2,158,995
McDermott International, Inc.*†
180
10,625
INDUSTRIALS 6.8%
SPX Corp.
100
10,285
MTC Technologies, Inc.*
5,730
134,655
Ryanair Holdings PLC —
Goodman Global, Inc.*
4,871
119,534
SP ADR*†
250
9,860
First Consulting Group, Inc.*
8,923
115,374
Woodward Governor Co.†
140
9,513
Midwest Air Group, Inc.*
7,352
108,810
Sunpower Corp.*†
70
9,127
PHH Corp.*
5,271
92,980
EMCOR Group, Inc.*
340
8,034
CSX Corp.
2,021
88,884
Horizon Lines, Inc. — Class A†
420
7,829
Trane, Inc.
1,696
79,220
Genco Shipping & Trading Ltd.†
140
7,666
Paccar, Inc.†
1,300
70,824
Perini Corp.*†
180
7,456
Precision Castparts Corp.
490
67,963
Fluor Corp.
50
7,286
Caterpillar, Inc.
900
65,304
Eagle Bulk Shipping, Inc.†
230
6,107
Terex Corp.*
930
60,980
Roper Industries, Inc.†
90
5,629
Cummins, Inc.
410
52,222
AMETEK, Inc.
120
5,621
Siemens AG — SP ADR†
330
51,929
Quintana Maritime Ltd.†
230
5,285
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
23
SCHEDULE OF INVESTMENTS (continued)
December 31, 2007
ABSOLUTE RETURN STRATEGIES FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
Brady Corp. — Class A†
120
$
4,211
Community Health Systems,
GrafTech International Ltd.*
220
3,905
Inc.*†
390
$
14,375
Energy Conversion Devices,
Lincare Holdings, Inc.*†
340
11,954
Inc.*†
100
3,365
Teva Pharmaceutical Industries
Belden, Inc.†
70
3,115
Ltd. — SP ADR
220
10,226
American Superconductor
Stryker Corp.†
121
9,041
Corp.*†
100
2,734
Biogen Idec, Inc.*
150
8,538
Regal-Beloit Corp.
60
2,697
Mylan Laboratories, Inc.
1
14
CH Robinson Worldwide, Inc.
20
1,082
Total Health Care
2,090,905
Stericycle, Inc.*†
10
594
CONSUMER DISCRETIONARY 6.6%
FedEx Corp.
1
89
Genesco, Inc.*†
3,761
142,166
Tyco International Ltd.
1
40
Harrah’s Entertainment, Inc.
1,570
139,338
Total Industrials
2,151,527
Kellwood Co.
7,722
128,494
HEALTH CARE 6.6%
Riviera Holdings Corp.*
4,171
128,467
Baxter International, Inc.
2,391
138,798
Penn National Gaming, Inc.*
1,931
114,991
Schering-Plough Corp.
4,741
126,300
CKX, Inc.*†
9,543
114,516
Axcan Pharma, Inc.*
5,361
123,303
Clear Channel Communications,
Aspreva Pharmaceuticals Corp.*†
4,441
115,466
Inc.
3,211
110,844
E-Z-EM, Inc.*
5,552
115,093
Time Warner, Inc.
6,532
107,843
Sierra Health Services, Inc.*
2,741
115,012
Restoration Hardware, Inc.*†
16,045
105,416
Bradley Pharmaceuticals, Inc.*
5,792
114,102
Cumulus Media, Inc. — Class A*†
9,993
80,344
Radiation Therapy Services,
XM Satellite Radio Holdings,
Inc.*†
3,691
114,089
Inc.*†
6,072
74,321
GlaxoSmithKline PLC —
McDonald’s Corp.
1,210
71,281
SP ADR
1,590
80,120
DIRECTV Group, Inc.*
2,751
63,603
Novartis AG — SP ADR
1,350
73,319
Amazon.com, Inc.*
600
55,584
UnitedHealth Group, Inc.
1,140
66,348
DaimlerChrysler AG— SP ADR
480
45,903
Eli Lilly & Co.
1,230
65,670
Walt Disney Co.†
1,380
44,547
Thermo Fisher Scientific, Inc.*
1,060
61,141
Home Depot, Inc.
1,410
37,985
Sanofi-Aventis — SP ADR
1,280
58,278
Expedia, Inc.*†
1,120
35,414
Pfizer, Inc.
2,541
57,757
Comcast Corp. — Class A*†
1,931
35,260
WellPoint, Inc.*
600
52,638
Carnival Corp.
750
33,368
CIGNA Corp.
930
49,969
GameStop Corp. — Class A*
486
30,186
Aetna, Inc.
730
42,143
CTC Media, Inc.*
910
27,482
Humana, Inc.*
510
38,408
AutoZone, Inc.*
200
23,982
AstraZeneca PLC — SP ADR
860
36,825
Big Lots, Inc.*†
1,380
22,066
Waters Corp.*
440
34,791
Kohl’s Corp.*
420
19,236
DENTSPLY International, Inc.
750
33,765
Priceline.com, Inc.*†
150
17,229
McKesson Corp.
510
33,410
Discovery Holding Co. —
Visicu, Inc.*
2,331
27,669
Class A*
680
17,095
Brookdale Senior Living, Inc.†
940
26,705
Burger King Holdings, Inc.
550
15,681
Cerner Corp.*
420
23,688
Hasbro, Inc.
580
14,836
Coventry Health Care, Inc.*
380
22,515
Whirlpool Corp.
170
13,877
Quest Diagnostics, Inc.
420
22,218
Mattel, Inc.
710
13,518
Health Net, Inc.*
440
21,252
MGM MIRAGE*
150
12,603
Express Scripts, Inc.*
290
21,170
Virgin Media, Inc.
710
12,169
WellCare Health Plans, Inc.*
480
20,357
Mohawk Industries, Inc.*†
160
11,904
VCA Antech, Inc.*
460
20,346
American Eagle Outfitters, Inc.
560
11,631
Medco Health Solutions, Inc.*
190
19,266
Luxottica Group — SP ADR†
340
10,707
Alcon, Inc. — SP ADR
120
17,165
BorgWarner, Inc.
220
10,650
Invitrogen Corp.*
180
16,814
RadioShack Corp.†
630
10,622
HLTH Corp.*†
1,170
15,678
Ross Stores, Inc.
410
10,484
Shire PLC — SP ADR†
220
15,169
Dollar Tree Stores, Inc.*
400
10,368
24
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (continued)
December 31, 2007
ABSOLUTE RETURN STRATEGIES FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
ITT Educational Services, Inc.*
120
$
10,232
TELECOMMUNICATION SERVICES 3.4%
Wynn Resorts Ltd.†
90
10,092
SunCom Wireless Holdings, Inc.
Phillips-Van Heusen Corp.
270
9,952
— Class A*†
4,311
$
115,017
Garmin Ltd.
90
8,730
Rural Cellular Corp. — Class A*
2,591
114,237
Netflix, Inc.*†
320
8,518
Vodafone Group PLC — SP ADR
3,051
113,863
Johnson Controls, Inc.
230
8,289
Telefonica SA — SP ADR
820
80,024
Guess?, Inc.†
190
7,199
U.S. Cellular Corp.*†
840
70,644
Systemax, Inc.†
270
5,486
AT&T, Inc.
1,490
61,924
Office Depot, Inc.*
390
5,425
CenturyTel, Inc.
1,460
60,532
GSI Commerce, Inc.*†
270
5,265
Verizon Communications, Inc.
1,370
59,855
Central European Media
China Mobile Ltd. — SP ADR†
550
47,779
Enterprises Ltd. — Class A*
40
4,639
Telephone & Data Systems, Inc.
730
45,698
Blue Nile, Inc.*†
50
3,403
Deutsche Telekom AG — SP ADR
1,690
36,622
Macy’s, Inc.
1
26
BT Group PLC — SP ADR
660
35,587
Lowe’s Cos., Inc.
1
23
Covad Communications Group,
Total Consumer Discretionary
2,073,290
Inc.*
40,421
34,762
ENERGY 5.6%
NII Holdings, Inc. — Class B*†
610
29,475
US BioEnergy Corp.*†
12,873
150,743
France Telecom SA — SP ADR
720
25,654
Transocean, Inc.†
851
121,821
America Movil SAB de CV —
Grant Prideco, Inc.*
2,190
121,567
SP ADR
360
22,100
Markwest Hydrocarbon, Inc.
1,921
120,351
Telecom Italia — SP ADR†
640
19,738
BP PLC — SP ADR
1,280
93,658
Vimpel-Communications —
Cameron International Corp.*
1,820
87,597
SP ADR
460
19,136
Total SA — SP ADR
1,050
86,730
Mobile Telesystems — SP ADR†
170
17,304
Hess Corp.†
780
78,671
Rogers Communications, Inc. —
Royal Dutch Shell PLC —
Class B
250
11,313
SP ADR†
870
73,254
Turkcell Iletisim Hizmet AS, Inc. —
Cal Dive International, Inc.*†
5,118
67,762
SP ADR†
410
11,304
Anadarko Petroleum Corp.
1,020
67,004
SK Telecom Co. Ltd. — SP ADR
270
8,057
ConocoPhillips
740
65,342
American Tower Corp. —
ENSCO International, Inc.†
1,060
63,197
Class A*
180
7,668
Valero Energy Corp.
890
62,327
Philippine Long Distance
ENI-Ente Nazionale Idrocarburi
Telephone Co. — SP ADR
100
7,572
— SP ADR
760
55,047
Crown Castle International
National-Oilwell Varco, Inc.*
651
47,822
Corp.*†
130
5,408
Chesapeake Energy Corp.†
1,200
47,040
MetroPCS Communications,
Noble Corp.
820
46,338
Inc.*†
240
4,668
Cimarex Energy Co.
880
37,426
Total Telecommunication Services
1,065,941
Superior Energy Services*
860
29,601
CONSUMER STAPLES 3.2%
Newfield Exploration Co.*
550
28,985
Reddy Ice Holdings, Inc.†
4,391
111,136
Denbury Resources, Inc.*
920
27,370
Reynolds American, Inc.†
1,370
90,365
Marathon Oil Corp.
440
26,778
Safeway, Inc.
2,431
83,165
Patterson-UTI Energy, Inc.†
1,200
23,424
Molson Coors Brewing Co. —
Unit Corp.*
490
22,662
Class B
1,560
80,527
Dresser-Rand Group, Inc.*
460
17,963
Energizer Holdings, Inc.*
660
74,006
Oceaneering International, Inc.*
220
14,817
Del Monte Foods Co.
6,592
62,360
Tesoro Corp.
270
12,879
Wal-Mart Stores, Inc.
1,300
61,789
Halliburton Co.
270
10,236
Altria Group, Inc.
800
60,464
FMC Technologies, Inc.*
160
9,072
NBTY, Inc.*
1,931
52,910
Weatherford International Ltd.*
130
8,918
Unilever NV†
1,300
47,398
Diamond Offshore Drilling, Inc.†
60
8,520
Great Atlantic & Pacific Tea
Tenaris SA — SP ADR
160
7,157
Co.*†
1,403
43,956
Smith International, Inc.
90
6,646
Diageo PLC — SP ADR
500
42,915
Total Energy
1,748,725
Alberto-Culver Co.
1,510
37,055
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
25
SCHEDULE OF INVESTMENTS (continued)
December 31, 2007
ABSOLUTE RETURN STRATEGIES FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
PepsiAmericas, Inc.
1,020
$
33,986
NRG Energy, Inc.*†
1,510
$
65,443
Bunge, Ltd.†
210
24,446
Public Service Enterprise Group,
Pepsi Bottling Group, Inc.
590
23,281
Inc.
490
48,138
SUPERVALU, Inc.
530
19,886
PPL Corp.
750
39,067
Cadbury Schweppes PLC —
Entergy Corp.
230
27,490
SP ADR
400
19,748
Sierra Pacific Resources†
1,350
22,923
CVS Caremark Corp.
340
13,515
Reliant Energy, Inc.*
830
21,779
Dean Foods Co.
500
12,930
PG&E Corp.†
500
21,545
Hansen Natural Corp.*†
141
6,245
Duke Energy Corp.
1,040
20,977
Total Consumer Staples
1,002,083
Northeast Utilities
640
20,038
MATERIALS 2.9%
Xcel Energy, Inc.
820
18,507
Huntsman Corp.
4,741
121,844
Constellation Energy Group,
Myers Industries, Inc.†
5,732
82,942
Inc.
150
15,380
E.I. du Pont de Nemours and Co.
1,700
74,953
SCANA Corp.
320
13,488
Rio Tinto PLC — SP ADR†
160
67,184
TECO Energy, Inc.
600
10,326
United States Steel Corp.
510
61,664
Dynegy Inc.*
491
3,506
BHP Billiton Ltd. — SP ADR†
780
54,631
Total Utilities
815,392
Anglo American PLC — SP ADR†
1,771
53,785
Total Common Stocks
Alcoa, Inc.
1,150
42,033
(Cost $16,682,086)
17,286,192
Dow Chemical Co.
1,060
41,785
Steel Dynamics, Inc.†
650
38,721
EXCHANGE TRADED FUNDS 7.8%
The Mosaic Co.*
310
29,245
iShares MSCI Emerging Markets
Albemarle Corp.†
650
26,813
Index Fund†
8,242
1,238,113
Southern Copper Corp.†
230
24,180
iShares S&P GSCI Commodity
Companhia Vale do Rio Doce —
Indexed Trust*†
23,197
1,223,410
SP ADR
730
23,849
Total Exchange Traded Funds
Reliance Steel & Aluminum Co.
300
16,260
(Cost $1,970,312)
2,461,523
POSCO — SP ADR
100
15,041
FACE
Lubrizol Corp.
250
13,540
AMOUNT
Barrick Gold Corp.
310
13,036
Potash Corporation of
REPURCHASE AGREEMENTS 4.5%
Saskatchewan†
90
12,956
Repurchase Agreement (Note 5)
Cleveland-Cliffs, Inc.
110
11,088
Mizuho Financial Group, Inc
Temple-Inland, Inc.†
500
10,425
issued 12/31/07 at 1.40%
Goldcorp, Inc.†
300
10,179
due 01/02/08
$
403,915
403,915
Praxair, Inc.
100
8,871
Morgan Stanley
Owens-Illinois, Inc.*
170
8,415
issued 12/31/07 at 1.20%
Air Products & Chemicals, Inc.
80
7,890
due 01/02/08
403,915
403,915
Teck Cominco Ltd. - Class B
200
7,142
UBS Financial Services, Inc.
AK Steel Holding Corp.*
150
6,936
issued 12/31/07 at 1.14%
Agrium, Inc.
90
6,499
due 01/02/08
403,915
403,915
Freeport-McMoRan Copper &
Lehman Brothers Holdings, Inc.
Gold, Inc.
50
5,122
issued 12/31/07 at 1.00%
Celanese Corp.
120
5,078
due 01/02/08
201,079
201,079
PPG Industries, Inc.
70
4,916
Total Repurchase Agreements
Sigma-Aldrich Corp.†
80
4,368
(Cost $1,412,824)
1,412,824
Pactiv Corp.*
2
53
SECURITIES LENDING COLLATERAL 16.4%
Total Materials
911,444
Investment in Securities Lending Short Term
UTILITIES 2.6%
Investment Portfolio Held by
Energy East Corp.
4,151
112,949
U.S. Bank (Note 8)
5,153,166
5,153,166
Puget Energy, Inc.
4,081
111,942
Total Securities Lending Collateral
Aquila, Inc.*†
29,178
108,834
(Cost $5,153,166)
5,153,166
Southern Union Co.
2,291
67,264
Total Long Securities 83.7%
CenterPoint Energy, Inc.†
3,841
65,796
(Cost $25,218,388)
$ 26,313,705
26
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (continued)
December 31, 2007
ABSOLUTE RETURN STRATEGIES FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
COMMON STOCKS SOLD SHORT†† (34.0)%
Brown-Forman Corp.
510
$
(37,796)
Great Atlantic & Pacific Tea Co.*
1,403
(43,956)
TELECOMMUNICATION SERVICES (0.3)%
Hershey Co.
1,180
(46,492)
Level 3 Communications, Inc.*
14,121
$
(42,928)
Tyson Foods, Inc. — Class A
3,340
(51,202)
Sprint Nextel Corp.
3,530
(46,349)
WM Wrigley Jr Co.
1,080
(63,234)
Total Telecommunication Services
(89,277)
Colgate-Palmolive Co.
860
(67,046)
MATERIALS (1.8)%
Sara Lee Corp.
4,520
(72,591)
Eastman Chemical Co.
120
(7,331)
Archer-Daniels-Midland Co.
1,780
(82,645)
Scotts Miracle-Gro Co. — Class A
300
(11,226)
Avon Products, Inc.
3,490
(137,960)
Louisiana-Pacific Corp.
860
(11,765)
Total Consumer Staples
(723,846)
International Flavors & Fragrances,
INDUSTRIALS (3.5)%
Inc.
270
(12,995)
CH Robinson Worldwide, Inc.
1
(54)
Ashland, Inc.
290
(13,755)
Alexander & Baldwin, Inc.
50
(2,583)
Pactiv Corp.*
612
(16,297)
AMR Corp.*
400
(5,612)
Vulcan Materials Co.
210
(16,609)
US Airways Group, Inc.*
470
(6,914)
Allegheny Technologies, Inc.
220
(19,008)
Tyco International Ltd.
211
(8,366)
Sonoco Products Co.
660
(21,569)
Avis Budget Group, Inc.*
740
(9,620)
Nucor Corp.
530
(31,387)
FedEx Corp.
111
(9,898)
Newmont Mining Corp.
660
(32,228)
UTi Worldwide, Inc.
660
(12,936)
Monsanto Co.
370
(41,325)
Hubbell, Inc. — Class B
260
(13,416)
Westlake Chemical Corp.
2,390
(45,386)
YRC Worldwide, Inc.*
860
(14,698)
Weyerhaeuser Co.
660
(48,668)
ChoicePoint, Inc.*
420
(15,297)
Ecolab, Inc.
1,000
(51,210)
Graco, Inc.
490
(18,257)
Sealed Air Corp.
2,220
(51,371)
Brink’s Co.
330
(19,714)
Crown Holdings, Inc.*
2,490
(63,868)
Monster Worldwide, Inc.*
680
(22,032)
Bemis Co., Inc.
3,240
(88,711)
WESCO International, Inc.*
600
(23,784)
Total Materials
(584,709)
Fastenal Co.
600
(24,252)
UTILITIES (2.2)%
Dun & Bradstreet Corp.
280
(24,816)
Dynegy, Inc. - Class A
1
(7)
Cintas Corp.
800
(26,896)
Equitable Resources, Inc.
270
(14,386)
HNI Corp.
780
(27,347)
DPL, Inc.
530
(15,714)
Ingersoll-Rand Co. — Class A
650
(30,206)
Exelon Corp.
240
(19,594)
Rockwell Collins, Inc.
550
(39,584)
AES Corp.*
1,410
(30,160)
Corporate Executive Board Co.
700
(42,070)
Oneok, Inc.
690
(30,891)
Robert Half International, Inc.
1,650
(44,616)
Allegheny Energy, Inc.
530
(33,713)
Owens Corning, Inc.*
2,610
(52,774)
Consolidated Edison, Inc.
750
(36,638)
Pitney Bowes, Inc.
1,460
(55,538)
NiSource, Inc.
2,000
(37,780)
Masco Corp.
2,780
(60,076)
Aqua America, Inc.
2,240
(47,488)
General Electric Co.
1,820
(67,467)
Pepco Holdings, Inc.
1,960
(57,487)
Expeditors International
Ameren Corp.
1,120
(60,715)
Washington, Inc.
1,530
(68,360)
Pinnacle West Capital Corp.
1,490
(63,191)
United Parcel Service, Inc. —
OGE Energy Corp.
1,880
(68,225)
Class B
1,190
(84,157)
Hawaiian Electric Industries, Inc.
3,410
(77,646)
Southwest Airlines Co.
9,000
(109,800)
Great Plains Energy, Inc.
3,170
(92,944)
USG Corp.*
4,560
(163,202)
Total Utilities
(686,579)
Total Industrials
(1,104,342)
CONSUMER STAPLES (2.3)%
HEALTH CARE (3.5)%
Hansen Natural Corp.
1
(44)
Stryker Corp.
1
(75)
Constellation Brands, Inc. —
PDL BioPharma, Inc.*
20
(350)
Class A*
290
(6,856)
Mylan, Inc.
311
(4,373)
Rite Aid Corp.*
7,530
(21,009)
Warner Chilcott*
600
(10,638)
Whole Foods Market, Inc.
690
(28,152)
Health Management Associates,
Walgreen Co.
850
(32,368)
Inc. — Class A
1,910
(11,422)
Bare Escentuals, Inc.*
1,340
(32,495)
Advanced Medical Optics, Inc.*
530
(13,001)
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
27
SCHEDULE OF INVESTMENTS (continued)
December 31, 2007
ABSOLUTE RETURN STRATEGIES FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
Forest Laboratories, Inc.*
390
$
(14,215)
Eastman Kodak Co.
1,000
$
(21,870)
Intuitive Surgical, Inc.*
50
(16,225)
Liberty Media Corp. — Capital*
190
(22,133)
Sepracor, Inc.*
620
(16,275)
Coach, Inc.*
730
(22,323)
Omnicare, Inc.
790
(18,020)
Marriott International, Inc. —
King Pharmaceuticals, Inc.*
1,930
(19,763)
Class A
730
(24,951)
Celgene Corp.*
480
(22,181)
Pulte Homes, Inc.
2,390
(25,191)
Amylin Pharmaceuticals, Inc.*
710
(26,270)
Centex Corp.
1,010
(25,513)
Vertex Pharmaceuticals, Inc.*
1,230
(28,573)
H&R Block, Inc.
1,770
(32,869)
Varian Medical Systems, Inc.*
560
(29,209)
International Game Technology
770
(33,826)
Hospira, Inc.*
870
(37,097)
General Motors Corp.
1,840
(45,798)
Boston Scientific Corp.*
3,400
(39,542)
Best Buy Co., Inc.
890
(46,859)
CR Bard, Inc.
490
(46,452)
Saks, Inc.*
2,280
(47,333)
Genzyme Corp.*
670
(49,875)
CBS Corp.
1,800
(49,050)
Allergan, Inc.
780
(50,107)
DreamWorks Animation SKG,
Tenet Healthcare Corp.*
11,811
(60,000)
Inc. — Class A*
2,010
(51,335)
Bristol-Myers Squibb Co.
2,290
(60,731)
Interpublic Group of
Gilead Sciences, Inc.*
1,490
(68,555)
Cos., Inc.*
6,430
(52,147)
Amgen, Inc.*
1,500
(69,660)
Starbucks Corp.*
2,700
(55,269)
Merck & Co., Inc.
1,270
(73,800)
Ford Motor Co.*
10,131
(68,182)
Abbott Laboratories
1,320
(74,118)
Sirius Satellite Radio, Inc.*
41,112
(124,569)
Millennium Pharmaceuticals,
Washington Post Co. — Class B
240
(189,943)
Inc.*
5,160
(77,297)
Total Consumer Discretionary
(1,214,609)
Hillenbrand Industries, Inc.
1,410
(78,579)
ENERGY (4.2)%
Johnson & Johnson
1,350
(90,045)
Western Refining, Inc.
20
(484)
Total Health Care
(1,106,448)
Teekay Corp.
10
(532)
CONSUMER DISCRETIONARY (3.9)%
Cheniere Energy, Inc.*
30
(979)
GameStop Corp.
3
(186)
Tetra Technologies, Inc.*
2,530
(39,392)
MDC Holdings, Inc.
10
(371)
BJ Services Co.
1,910
(46,337)
KB Home
130
(2,808)
Massey Energy Co.
1,330
(47,548)
Goodyear Tire & Rubber Co.*
120
(3,387)
Peabody Energy Corp.
790
(48,696)
Carmax, Inc.*
180
(3,555)
W&T Offshore, Inc.
1,630
(48,835)
Circuit City Stores, Inc.
1,290
(5,418)
Quicksilver Resources, Inc.*
870
(51,843)
Gannett Co., Inc.
170
(6,630)
Nabors Industries Ltd.*
1,910
(52,315)
Chico’s FAS, Inc.*
770
(6,953)
Baker Hughes, Inc.
650
(52,715)
Pool Corp.
390
(7,734)
Forest Oil Corp.*
1,060
(53,890)
Coldwater Creek, Inc.*
1,240
(8,296)
Arch Coal, Inc.
1,300
(58,409)
Warner Music Group Corp.
1,540
(9,333)
Cal Dive International, Inc.
5,118
(67,762)
Lennar Corp. — Class A
620
(11,092)
Southwestern Energy Co.*
1,270
(70,764)
AnnTaylor Stores Corp.*
440
(11,246)
Pioneer Natural Resources Co.
1,470
(71,795)
Macy’s, Inc.
471
(12,185)
Sunoco, Inc.
1,020
(73,889)
Foot Locker, Inc.
920
(12,567)
Apache Corp.
740
(79,580)
Lowe’s Cos., Inc.
571
(12,916)
Murphy Oil Corp.
1,020
(86,537)
Scientific Games Corp. —
Markwest Energy Partners LP
2,740
(92,557)
Class A*
400
(13,300)
Transocean, Inc.
741
(106,074)
Harman International
VeraSun Energy Corp.*
11,591
(177,110)
Industries, Inc.
190
(14,005)
Total Energy
(1,328,043)
Wendy’s International, Inc.
560
(14,470)
INFORMATION TECHNOLOGY (5.6)%
Apollo Group, Inc. — Class A*
210
(14,732)
BEA Systems, Inc.*
110
(1,736)
Career Education Corp.*
610
(15,335)
Micron Technology, Inc.*
413
(2,994)
DR Horton, Inc.
1,220
(16,067)
LSI Logic Corp.*
719
(3,818)
Toll Brothers, Inc.*
820
(16,449)
Ciena Corp.*
210
(7,163)
Urban Outfitters, Inc.*
670
(18,264)
Cypress Semiconductor Corp.*
210
(7,566)
OfficeMax, Inc.
900
(18,594)
QLogic Corp.*
670
(9,514)
Wyndham Worldwide Corp.
830
(19,555)
28
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (continued)
December 31, 2007
ABSOLUTE RETURN STRATEGIES FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
Cognizant Technology
UDR, Inc.
890
$
(17,666)
Solutions Corp. — Class A*
510
$
(17,310)
Conseco, Inc.*
1,410
(17,710)
Motorola, Inc.
1,194
(19,152)
Webster Financial Corp.
570
(18,223)
National Instruments Corp.
590
(19,665)
NYSE Euronext
210
(18,432)
Jabil Circuit, Inc.
1,520
(23,210)
Capital One Financial Corp.
411
(19,424)
Sanmina-SCI Corp.*
13,891
(25,282)
Kilroy Realty Corp.
390
(21,434)
Lexmark International, Inc. —
Astoria Financial Corp.
940
(21,874)
Class A*
970
(33,814)
Developers Diversified Realty
Paychex, Inc.
1,050
(38,031)
Corp.
580
(22,208)
Activision, Inc.*
1,390
(41,283)
Regency Centers Corp.
380
(24,506)
Akamai Technologies, Inc.*
1,240
(42,904)
Countrywide Financial Corp.
2,830
(25,300)
Yahoo!, Inc.*
1,860
(43,264)
Brown & Brown, Inc.
1,090
(25,615)
Acxiom Corp.
3,900
(45,747)
CB Richard Ellis Group, Inc. —
Unisys Corp.*
10,421
(49,291)
Class A*
1,190
(25,644)
Advanced Micro Devices, Inc.*
7,980
(59,850)
Zions Bancorporation
610
(28,481)
Synopsys, Inc.*
2,310
(59,898)
Huntington Bancshares, Inc.
1,930
(28,487)
Adobe Systems, Inc.*
1,410
(60,249)
First American Corp.
840
(28,661)
Network Appliance, Inc.*
2,470
(61,651)
Popular, Inc.
2,750
(29,150)
Intuit, Inc.*
2,030
(64,168)
AvalonBay Communities, Inc.
310
(29,183)
Intel Corp.
2,790
(74,381)
Lazard — Class A
760
(30,917)
Novell, Inc.*
10,841
(74,478)
Kimco Realty Corp.
920
(33,488)
Tech Data Corp.*
2,020
(76,194)
Washington Mutual, Inc.
2,630
(35,794)
Salesforce.com, Inc.*
1,220
(76,482)
St Joe Co.
1,070
(37,996)
JDS Uniphase Corp.*
6,580
(87,514)
XL Capital
780
(39,242)
Omniture, Inc.*
3,800
(126,502)
Federal Realty Invs Trust
490
(40,253)
ON Semiconductor Corp.*
16,570
(147,142)
New York Community Bancorp,
Euronet Worldwide, Inc.*
5,060
(151,800)
Inc.
2,300
(40,434)
Electronic Arts, Inc.*
3,580
(209,108)
M&T Bank Corp.
500
(40,785)
Total Information Technology
(1,761,161)
Gramercy Capital Corp.
1,880
(45,703)
FINANCIALS (6.7)%
Everest Re Group
460
(46,184)
T Rowe Price Group, Inc.
1
(61)
Simon Property Group, Inc.
580
(50,379)
Westamerica Bancorporation
20
(891)
Progressive Corp.
2,650
(50,774)
Legg Mason, Inc.
40
(2,926)
Fifth Third Bancorp
2,040
(51,265)
CapitalSource, Inc.
210
(3,694)
AmeriCredit Corp.*
4,070
(52,055)
Brandywine Realty Trust
220
(3,945)
Regions Financial Corp.
2,370
(56,050)
AMBAC Financial Group, Inc.
161
(4,149)
Macerich Co.
840
(59,690)
Old Republic International
Sovereign Bancorp, Inc.
5,280
(60,192)
Corp.
304
(4,685)
Moody’s Corp.
1,710
(61,047)
SEI Investments Co.
160
(5,147)
Keycorp
2,770
(64,957)
Thornburg Mortgage, Inc.
840
(7,762)
Allied Capital Corp.
3,130
(67,295)
iStar Financial, Inc.
320
(8,336)
Leucadia National Corp.
1,490
(70,179)
Federal National Mortgage
PNC Financial Services Group, Inc.
1,150
(75,498)
Association
293
(11,714)
PartnerRe
920
(75,928)
Forest City Enterprises, Inc. —
People’s United Financial, Inc.
4,650
(82,770)
Class A
270
(11,999)
Toronto-Dominion Bank
1,320
(92,334)
National City Corp.
751
(12,361)
National Penn Bancshares, Inc.
8,270
(125,208)
Cincinnati Financial Corp.
321
(12,692)
Total Financials
(2,094,300)
First Horizon National Corp.
700
(12,705)
Total Common Stocks Sold Short
WR Berkley Corp.
431
(12,848)
(Proceeds $10,884,388)
(10,693,314)
PMI Group, Inc.
990
(13,147)
Total Short Sales (34.0)%
E*Trade Financial Corp.*
3,760
(13,348)
(Proceeds $10,884,388)
$ (10,693,314)
Whitney Holding Corp.
530
(13,859)
Other Assets in Excess
Arthur J Gallagher & Co.
630
(15,240)
of Liabilities – 50.3%
$ 15,816,140
Capitol Federal Financial
550
(17,050)
MBIA, Inc.
930
(17,326)
Net Assets – 100.0%
$ 31,436,531
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
29
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2007
ABSOLUTE RETURN STRATEGIES FUND
UNREALIZED
UNREALIZED
GAIN (LOSS)
GAIN (LOSS)
CONTRACTS
(NOTE 1)
CONTRACTS
(NOTE 1)
FOREIGN CURRENCY FUTURES
FOREIGN CURRENCY FUTURES
CONTRACTS PURCHASED
CONTRACTS SOLD SHORT
March 2008 Australian Dollar
March 2008 Swedish Krona
Futures Contracts
Futures Contracts
(Aggregate Market Value
(Aggregate Market Value
of Contracts $785,340)
9
$
(6,011)
of Contracts $923,760)
3
$
12,713
March 2008 New Zealand Dollar
March 2008 Swiss Franc
Futures Contracts
Futures Contracts
(Aggregate Market Value
(Aggregate Market Value
of Contracts $759,400)
10
(12,179)
of Contracts $773,325)
7
7,024
March 2008 British Pound
March 2008 Japanese Yen
Futures Contracts
Futures Contracts
(Aggregate Market Value
(Aggregate Market Value
of Contracts $741,938)
6
(22,742)
of Contracts $791,438)
7
593
(Total Aggregate Market Value of
(Total Aggregate Market Value of
Contracts $2,286,678)
$
(40,932)
Contracts $2,488,523)
$
20,330
FUTURES CONTRACTS PURCHASED
FUTURES CONTRACTS SOLD SHORT
March 2008 S&P 500 Index
March 2008 S&P 500 Index
Mini Futures Contracts
Mini Futures Contracts
(Aggregate Market Value
(Aggregate Market Value
of Contracts $4,644,675)
63
$
23,672
of Contracts $884,700)
12
$
558
March 2008 Russell 2000
March 2008 U.S. Dollar Index
Index Mini Futures Contracts
Futures Contracts
(Aggregate Market Value
(Aggregate Market Value
of Contracts $847,000)
11
7,792
of Contracts $3,758,300)
49
(26,177)
March 2008 S&P MidCap 400 Index
(Total Aggregate Market Value of
Mini Futures Contracts
Contracts $4,643,000)
$
(25,619)
(Aggregate Market Value
of Contracts $1,293,150)
15
(188)
NOTIONAL
March 2008 U.S. Dollar 10 Year
PRINCIPAL
Treasury Note Futures Contracts
CREDIT DEFAULT SWAP AGREEMENT
(Aggregate Market Value
PROTECTION SOLD
of Contracts $3,855,281)
34
(18,910)
Dow Jones CDX North American
March 2008 Nikkei 225
Investment Grade Swap
Index Futures Contracts
Agreement, Series 7
(Aggregate Market Value
Protection Premium Rate 0.40%
of Contracts $1,971,450)
26
(124,262)
Terminating 06/20/12
20,000,000
$
(11,668)
(Total Aggregate Market Value of
Contracts $12,611,556)
$
(111,896)
*
Non-Income Producing Security.
†
All or a portion of this security is on loan at December 31, 2007 — See Note 8.
††
Cash was pledged as short security collateral at December 31, 2007.
ADR — American Depository Receipt.
REIT — Real Estate Investment Trust.
30
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS
December 31, 2007
COMMODITIES STRATEGY FUND
MARKET
MARKET
VALUE
FACE
VALUE
SHARES
(NOTE 1)
AMOUNT
(NOTE 1)
EXCHANGE TRADED FUNDS 23.2%
SECURITIES LENDING COLLATERAL 5.0%
iShares S&P GSCI Commodity
Investment in Securities Lending Short Term
Indexed Trust*†
192,148
$ 10,133,885
Investment Portfolio Held by
Total Exchange Traded Funds
U.S. Bank (Note 8)
$2,202,768
$
2,202,768
(Cost $9,231,287)
10,133,885
Total Securities Lending Collateral
(Cost $2,202,768)
2,202,768
FACE
AMOUNT
Total Investments 103.4%
(Cost $42,443,950)
$ 45,125,649
STRUCTURED NOTES†† 27.3%
Credit Suisse,
Liabilities in Excess of
Goldman Sachs Commodity
Other Assets – (3.4)%
$ (1,502,056)
Index Total Return
Net Assets – 100.0%
$ 43,623,593
Linked Notes at 5.34%
due 09/30/08
$7,779,389
10,877,531
Swedish Export Credit Corp.,
Goldman Sachs Commodity
Index Total Return
Linked Notes at 4.59%
due 11/14/08
1,000,000
1,034,190
Total Structured Notes
(Cost $10,132,620)
11,911,721
FEDERAL AGENCY DISCOUNT NOTES 4.6%
Fannie Mae
4.31% due 01/11/08**
1,000,000
998,922
Federal Farm Credit Bank
4.25% due 01/08/08**
1,000,000
999,292
Total Federal Agency Discount Notes
(Cost $1,998,214)
1,998,214
REPURCHASE AGREEMENTS 43.3%
Repurchase Agreement (Note 5)
Mizuho Financial Group, Inc.
issued 12/31/07 at 1.40%
due 01/02/08
5,397,368
5,397,368
Morgan Stanley
issued 12/31/07 at 1.20%
due 01/02/08
5,397,368
5,397,368
UBS Financial Services, Inc.
issued 12/31/07 at 1.14%
due 01/02/08
5,397,368
5,397,368
Lehman Brothers Holdings, Inc.
issued 12/31/07 at 1.00%
due 01/02/08
2,686,957
2,686,957
Total Repurchase Agreements
(Cost $18,879,061)
18,879,061
*
Non-Income Producing Security.
**
The issuer is a publicly traded company that operates under a Congressional charter; its securities are neither issued nor guaranteed by the
U.S. Government.
†
All or a portion of this security is on loan at December 31, 2007 — See Note 8.
††
Structured Notes are leveraged, providing an exposure to the underlying benhmark of three times the face amount. The total exposure to the
Goldman Sachs Commodity index is $26,338,167 as of December 31, 2007 — See Note 2.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
31
SCHEDULE OF INVESTMENTS
December 31, 2007
HEDGED EQUITY FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
COMMON STOCKS 40.9%
Protective Life Corp.
120
$
4,922
Fidelity National Financial, Inc. —
FINANCIALS 7.8%
Class A†
331
4,836
HSBC Holdings PLC — SP ADR†
630
$
52,737
Apartment Investment &
Goldman Sachs Group, Inc.
190
40,859
Management Co. — Class A†
130
4,515
Banco Santander Central
Taubman Centers, Inc.†
90
4,427
Hispano SA — SP ADR†
1,660
35,756
Bank of New York Mellon Corp.
90
4,388
Travelers Cos, Inc.
631
33,948
BRE Properties, Inc. — Class A†
90
3,648
UBS AG — SP ADR
600
27,600
Franklin Resources, Inc.†
30
3,433
Allied World Assurance
T. Rowe Price Group, Inc.†
50
3,044
Company Holdings Ltd
530
26,590
Nymex Holdings, Inc.†
20
2,672
Charles Schwab Corp.
1,030
26,316
Eaton Vance Corp.†
40
1,816
Plum Creek Timber Co.,
Forestar Real Estate Group,
Inc. (REIT)†
560
25,782
Inc.*
50
1,180
Aon Corp.
520
24,799
Guaranty Financial Group, Inc.*
50
800
Deutsche Bank AG — SP ADR†
190
24,588
CIT Group, Inc.
21
505
Alleghany Corp.*†
60
24,120
Total Financials
819,561
Allianz AG — SP ADR
1,010
21,462
INDUSTRIALS 5.7%
Banco Bilbao Vizcaya
Siemens AG — SP ADR†
180
28,325
Argentaria SA — SP ADR†
880
21,340
CSX Corp.
621
27,312
Marsh & McLennan Cos., Inc.
800
21,176
Jacobs Engineering Group, Inc.*†
240
22,946
Loews Corp.
420
21,143
Paccar, Inc.†
400
21,792
Credit Suisse Group — SP ADR†
350
21,035
Foster Wheeler Ltd.*
140
21,703
Lloyds TSB Group PLC —
Precision Castparts Corp.
150
20,805
SP ADR†
530
19,955
Caterpillar, Inc.
280
20,317
ING Groep NV — SP ADR
500
19,455
Terex Corp.*
290
19,015
JPMorgan Chase & Co.
440
19,206
Shaw Group, Inc.*
280
16,923
Barclays PLC — SP ADR†
470
18,974
Cummins, Inc.
130
16,558
Morgan Stanley
310
16,464
Burlington Northern Santa Fe
Federated Investors, Inc. —
Corp.
190
15,814
Class B†
390
16,052
Quanta Services, Inc.*†
520
13,645
AXA — SP ADR
400
15,884
KBR Inc.*
350
13,580
Allstate Corp.
301
15,721
Norfolk Southern Corp.
260
13,114
Hartford Financial Services
AGCO Corp.*
190
12,916
Group, Inc.
180
15,694
Chicago Bridge & Iron, Co. NV†
210
12,692
Ameriprise Financial, Inc.
260
14,329
Diana Shipping, Inc.†
380
11,955
Chubb Corp.
250
13,645
Eaton Corp.
120
11,634
ACE Ltd.
220
13,592
Kirby Corp.*†
250
11,620
Transatlantic Holdings, Inc.
180
13,081
ABB Ltd. — SP ADR
400
11,520
Blackrock, Inc.
60
13,008
Waste Management, Inc.
351
11,467
ProLogis†
190
12,042
URS Corp.*
210
11,409
UnumProvident Corp.†
450
10,706
Joy Global, Inc.
170
11,189
AFLAC, Inc.
170
10,647
Steelcase, Inc. — Class A†
700
11,109
IntercontinentalExchange, Inc.*
50
9,625
Koninklijke Philips Electronics
Janus Capital Group, Inc.†
290
9,527
NV — SP ADR
250
10,688
Annaly Mortgage Management,
ITT Industries, Inc.
160
10,566
Inc.†
520
9,454
Pall Corp.
260
10,483
Prudential Financial, Inc.
100
9,304
Fluor Corp.
70
10,200
Genworth Financial, Inc. —
Emerson Electric Co.
170
9,632
Class A†
351
8,933
Flowserve Corp.
90
8,658
Host Hotels & Resorts, Inc.†
440
7,498
Ryder System, Inc.
180
8,462
CME Group Inc.†
10
6,860
First Solar, Inc.*
30
8,014
American Financial Group, Inc.
190
5,487
Deere & Co.
80
7,450
Jones Lang LaSalle, Inc.†
70
4,981
DryShips, Inc.†
90
6,966
32
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (continued)
December 31, 2007
HEDGED EQUITY FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
Suntech Power Holdings Co.
Superior Energy Services*
260
$
8,949
Ltd. — SP ADR*†
80
$
6,586
Transocean, Inc.†
60
8,589
Seaspan Corp.†
260
6,367
Marathon Oil Corp.
140
8,520
Ryanair Holdings PLC — SP ADR*†
140
5,522
Denbury Resources, Inc.*
280
8,330
Sunpower Corp.*†
40
5,216
Unit Corp.*
150
6,937
Timken Co.†
150
4,928
Patterson-UTI Energy, Inc.†
351
6,852
DRS Technologies, Inc.†
90
4,884
Dresser-Rand Group, Inc.*
150
5,857
BE Aerospace, Inc.*†
90
4,761
Halliburton Co.
140
5,307
Woodward Governor Co.†
70
4,757
Weatherford International Ltd.*
70
4,802
Manitowoc Co., Inc.
90
4,395
Oceaneering International, Inc.*
70
4,715
Granite Construction, Inc.
120
4,342
Tesoro Corp.
90
4,293
Horizon Lines, Inc. — Class A†
230
4,287
Diamond Offshore Drilling, Inc.†
30
4,260
EMCOR Group, Inc.*
180
4,253
Tenaris SA — SP ADR
90
4,026
Con-way, Inc.
100
4,154
Smith International, Inc.
50
3,693
Perini Corp.*†
100
4,142
FMC Technologies, Inc.*
50
2,835
Genco Shipping & Trading Ltd.
70
3,833
Plains Exploration & Production
GATX Corp.
100
3,668
Co.*
1
54
Alexander & Baldwin, Inc.
70
3,616
Total Energy
497,610
McDermott International, Inc.*†
60
3,542
HEALTH CARE 4.7%
United Rentals, Inc.*
190
3,488
GlaxoSmithKline PLC — SP ADR†
870
43,839
AMETEK, Inc.
70
3,279
Baxter International, Inc.
740
42,957
Eagle Bulk Shipping, Inc.†
120
3,186
Novartis AG — SP ADR†
740
40,189
Roper Industries, Inc.†
50
3,127
Schering-Plough Corp.
1,480
39,427
SPX Corp.
30
3,086
Sanofi-Aventis — SP ADR
700
31,871
Quintana Maritime Ltd.†
130
2,987
UnitedHealth Group, Inc.
351
20,428
GrafTech International Ltd.*
120
2,130
Eli Lilly & Co.
380
20,288
Brady Corp. — Class A†
60
2,105
AstraZeneca PLC — SP ADR†
470
20,125
Belden, Inc.†
40
1,780
Thermo Fisher Scientific, Inc.*
330
19,034
Energy Conversion Devices, Inc.*†
50
1,683
Pfizer, Inc.
781
17,752
American Superconductor
WellPoint, Inc.*
180
15,791
Corp.*†
50
1,367
CIGNA Corp.
290
15,582
Regal-Beloit Corp.
30
1,349
Aetna, Inc.
220
12,701
CH Robinson Worldwide, Inc.
10
541
Humana, Inc.*
160
12,050
Total Industrials
593,840
Waters Corp.*
140
11,070
ENERGY 4.7%
McKesson Corp.§
160
10,482
BP PLC — SP ADR
700
51,219
DENTSPLY International, Inc.
230
10,355
Total SA — SP ADR
580
47,908
Alcon, Inc. — SP ADR
70
10,013
Royal Dutch Shell PLC —
Shire PLC — SP ADR†
120
8,274
SP ADR†
480
40,416
Brookdale Senior Living, Inc.†
290
8,239
National-Oilwell Varco, Inc.*
550
40,403
Cerner Corp.*†
130
7,332
ENI-Ente Nazionale Idrocarburi —
Coventry Health Care, Inc.*
120
7,110
SP ADR
410
29,696
Quest Diagnostics, Inc.
130
6,877
Cameron International Corp.*
600
28,878
Express Scripts, Inc.*
90
6,570
Hess Corp.†
240
24,206
WellCare Health Plans, Inc.*
151
6,404
ENSCO International, Inc.
350
20,867
Health Net, Inc.*
130
6,279
Anadarko Petroleum Corp.
311
20,430
VCA Antech, Inc.*
140
6,192
ConocoPhillips§
230
20,309
Medco Health Solutions, Inc.*
60
6,084
Valero Energy Corp.
270
18,908
Invitrogen Corp.*
60
5,605
Noble Corp.
280
15,823
Teva Pharmaceutical Industries
Grant Prideco, Inc.*
280
15,543
Ltd. — SP ADR†
120
5,578
Chesapeake Energy Corp.†
371
14,543
HLTH Corp.*†
360
4,824
Cimarex Energy Co.
270
11,483
Community Health Systems,
Newfield Exploration Co.*
170
8,959
Inc.*†
120
4,423
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
33
SCHEDULE OF INVESTMENTS (continued)
December 31, 2007
HEDGED EQUITY FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
Lincare Holdings, Inc.*†
100
$
3,516
Digital River, Inc.*†
40
$
1,323
Stryker Corp.†
40
2,989
Varian Semiconductor Equipment
Biogen Idec, Inc.*
50
2,846
Associates, Inc.*
30
1,110
Total Health Care
493,096
j2 Global Communications, Inc.*†
50
1,059
INFORMATION TECHNOLOGY 4.3%
Total Information Technology
454,119
Hewlett-Packard Co.
761
38,415
TELECOMMUNICATION SERVICES 3.4%
Nokia Oyj — SP ADR†
850
32,631
Vodafone Group PLC — SP ADR
1,670
62,324
MEMC Electronic Materials,
Telefonica SA — SP ADR
450
43,916
Inc.*
340
30,087
China Mobile Ltd. — SP ADR†
300
26,061
Novellus Systems, Inc.*†
1,000
27,570
U.S. Cellular Corp.*
280
23,548
Vishay Intertechnology, Inc.*
1,971
22,489
Deutsche Telekom AG —
Juniper Networks, Inc.*†
660
21,912
SP ADR
930
20,153
Electronic Data Systems Corp.
971
20,129
BT Group PLC — SP ADR
360
19,411
EMC Corp*†
1,011
18,734
AT&T, Inc.
461
19,159
Teradyne, Inc.*†
1,763
18,229
CenturyTel, Inc.
451
18,698
Applied Materials, Inc.
900
15,984
Verizon Communications, Inc.§
421
18,394
Nvidia Corp.*
460
15,649
Telephone & Data Systems, Inc.
230
14,398
AVX Corp.
1,120
15,030
France Telecom SA — SP ADR
400
14,252
Google, Inc. — Class A*
20
13,830
America Movil SAB de CV —
Xerox Corp.
651
10,540
SP ADR
190
11,664
Avnet, Inc.*
300
10,491
Telecom Italia — SP ADR†
350
10,794
SAP AG — SP ADR†
200
10,210
Vimpel-Communications —
Alliance Data Systems Corp.*†
120
8,999
SP ADR
250
10,400
CommScope, Inc.*
180
8,858
NII Holdings, Inc. — Class B*†
190
9,181
MasterCard, Inc.
40
8,608
Mobile Telesystems — SP ADR†
90
9,161
eBay, Inc.*
250
8,297
Rogers Communications, Inc. —
Telefonaktiebolaget LM Ericsson —
Class B
140
6,335
SP ADR†
320
7,472
Turkcell Iletisim Hizmet AS, Inc. —
Computer Sciences Corp.*
150
7,420
SP ADR†
220
6,065
Polycom, Inc.*
260
7,223
SK Telecom Co. Ltd. — SP ADR
150
4,476
NAVTEQ Corp.*
90
6,804
American Tower Corp. —
Dolby Laboratories, Inc. —
Class A*
100
4,260
Class A*
130
6,464
Philippine Long Distance Telephone
Affiliated Computer Services,
Co. — SP ADR
50
3,786
Inc. — Class A*
120
5,412
Crown Castle International
Tellabs, Inc.*†
800
5,232
Corp.*†
70
2,912
Intersil Corp. — Class A
200
4,896
MetroPCS Communications,
Dycom Industries, Inc.*†
160
4,264
Inc.*†
130
2,529
VeriSign, Inc.*
110
4,137
Total Telecommunication Services
361,877
Riverbed Technology, Inc.*
150
4,011
CONSUMER DISCRETIONARY 3.2%
Convergys Corp.*
240
3,950
Time Warner, Inc.
2,011
33,202
Atmel Corp.*
910
3,931
Amazon.com, Inc.*
300
27,792
Gartner, Inc. — Class A*†
210
3,688
DaimlerChrysler AG— SP ADR†
260
24,864
Trimble Navigation Ltd.*†
110
3,326
McDonald’s Corp.
380
22,386
Sohu.com, Inc.*
40
2,181
DIRECTV Group, Inc.*
850
19,652
Equinix, Inc.*†
20
2,021
Expedia, Inc.*†
490
15,494
Gmarket, Inc.*†
80
1,992
Walt Disney Co.†
420
13,557
ValueClick, Inc.*
80
1,752
Home Depot, Inc.
431
11,611
VistaPrint Ltd.*
40
1,714
Comcast Corp. — Class A*†
590
10,773
Omniture, Inc.*†
50
1,665
Carnival Corp.
230
10,233
CNET Networks, Inc.*†
180
1,645
GameStop Corp. — Class A*
160
9,937
SAVVIS, Inc.*
50
1,396
Priceline.com, Inc.*†
80
9,189
DealerTrack Holdings, Inc.*†
40
1,339
CTC Media, Inc.*
280
8,456
34
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (continued)
December 31, 2007
HEDGED EQUITY FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
AutoZone, Inc.*
60
$
7,194
Reliance Steel & Aluminum Co.
90
$
4,878
Harrah’s Entertainment, Inc.
80
7,100
Praxair, Inc.
50
4,435
Big Lots, Inc.*†
430
6,876
Lubrizol Corp.
80
4,333
Luxottica Group — SP ADR†
190
5,983
Air Products & Chemicals, Inc.
40
3,945
Kohl’s Corp.*
130
5,954
Teck Cominco Ltd. — Class B
110
3,928
Discovery Holding Co. —
Agrium, Inc.
50
3,610
Class A*
220
5,531
Temple-Inland, Inc.†
150
3,128
Burger King Holdings, Inc.
170
4,847
Freeport-McMoRan Copper & Gold,
Hasbro, Inc.
180
4,604
Inc.
30
3,073
Netflix, Inc.*†
170
4,525
Cleveland-Cliffs, Inc.
30
3,024
MGM MIRAGE*
50
4,201
PPG Industries, Inc.
40
2,809
Mattel, Inc.
220
4,189
Celanese Corp.
60
2,539
Whirlpool Corp.
50
4,081
Owens-Illinois, Inc.*
50
2,475
BorgWarner, Inc.
80
3,873
AK Steel Holding Corp.*
50
2,312
Virgin Media, Inc.
220
3,771
Sigma-Aldrich Corp.†
40
2,184
Mohawk Industries, Inc.*†
50
3,720
Huntsman Corp.
80
2,056
American Eagle Outfitters, Inc.
170
3,531
Total Materials
305,013
ITT Educational Services, Inc.*
40
3,411
CONSUMER STAPLES 2.8%
RadioShack Corp.†
200
3,372
Reynolds American, Inc.†
420
27,703
Dollar Tree Stores, Inc.*
130
3,370
Unilever NV†
710
25,887
Wynn Resorts Ltd.
30
3,364
Safeway, Inc.
751
25,692
Ross Stores, Inc.
130
3,324
Molson Coors Brewing Co. —
Systemax, Inc.†
150
3,048
Class B†
490
25,294
Phillips-Van Heusen Corp.
80
2,949
Energizer Holdings, Inc.*
210
23,547
Garmin Ltd.
30
2,910
Diageo PLC — SP ADR
270
23,174
GSI Commerce, Inc.*†
140
2,730
Del Monte Foods Co.
2,030
19,204
Johnson Controls, Inc.
70
2,523
Wal-Mart Stores, Inc.
401
19,059
Guess?, Inc.†
60
2,273
Altria Group, Inc.
250
18,895
Blue Nile, Inc.*†
30
2,042
NBTY, Inc.*
600
16,440
Office Depot, Inc.*
110
1,530
Alberto-Culver Co.
461
11,313
Central European Media
Cadbury Schweppes PLC —
Enterprises Ltd. — Class A*
10
1,160
SP ADR
220
10,861
Total Consumer Discretionary
335,132
PepsiAmericas, Inc.
320
10,662
MATERIALS 2.9%
Bunge, Ltd.
70
8,149
Rio Tinto PLC — SP ADR†
90
37,791
Pepsi Bottling Group, Inc.
180
7,103
Anglo American PLC — SP ADR†
970
29,459
SUPERVALU, Inc.
160
6,003
BHP Billiton Ltd. — SP ADR†
420
29,417
CVS Caremark Corp.
110
4,372
E.I. du Pont de Nemours and
Dean Foods Co.
160
4,138
Co.
570
25,131
Hansen Natural Corp.*†
40
1,772
United States Steel Corp.
160
19,346
Total Consumer Staples
289,268
Alcoa, Inc.
420
15,351
UTILITIES 1.4%
Dow Chemical Co.
380
14,980
Southern Union Co.
700
20,552
Companhia Vale do Rio Doce —
NRG Energy, Inc.*†
470
20,370
SP ADR
400
13,068
CenterPoint Energy, Inc.†
1,181
20,231
The Mosaic Co.*
130
12,264
Public Service Enterprise Group,
Steel Dynamics, Inc.†
200
11,914
Inc.
160
15,718
Southern Copper Corp.†
100
10,513
PPL Corp.
240
12,502
POSCO — SP ADR
60
9,025
Entergy Corp.
70
8,366
Albemarle Corp.†
200
8,250
Sierra Pacific Resources†
420
7,132
Potash Corporation of
Reliant Energy, Inc.*
260
6,822
Saskatchewan†
50
7,198
Duke Energy Corp.
321
6,475
Barrick Gold Corp.
170
7,148
PG&E Corp.†
150
6,463
Goldcorp, Inc.†
160
5,429
Northeast Utilities
200
6,262
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
35
SCHEDULE OF INVESTMENTS (continued)
December 31, 2007
HEDGED EQUITY FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
Xcel Energy, Inc.
250
$
5,642
Louisiana-Pacific Corp.
250
$
(3,420)
Constellation Energy Group, Inc.
50
5,126
International Flavors & Fragrances,
SCANA Corp.
100
4,215
Inc.
80
(3,850)
TECO Energy, Inc.
180
3,098
Ashland, Inc.
90
(4,269)
Dynegy Inc.*
169
1,207
Vulcan Materials Co.
60
(4,745)
Total Utilities
150,181
Pactiv Corp.*
189
(5,033)
Total Common Stocks
Allegheny Technologies, Inc.
70
(6,048)
(Cost $4,028,804)
4,299,697
Sonoco Products Co.
200
(6,536)
Nucor Corp.
130
(7,698)
EXCHANGE TRADED FUNDS 6.4%
Newmont Mining Corp.
160
(7,813)
iShares MSCI Emerging Markets
Monsanto Co.
70
(7,818)
Index Fund†
4,450
668,835
Ecolab, Inc.
270
(13,827)
Total Exchange Traded Funds
Westlake Chemical Corp.
730
(13,863)
(Cost $569,039)
668,835
Weyerhaeuser Co.
190
(14,011)
Sealed Air Corp.
670
(15,504)
FACE
Crown Holdings, Inc.*
730
(18,724)
AMOUNT
Bemis Co., Inc.
980
(26,832)
REPURCHASE AGREEMENTS 28.8%
Total Materials
(164,581)
Repurchase Agreement (Note 5)
UTILITIES (1.7)%
Mizuho Financial Group, Inc.
Great Plains Energy, Inc.
120
(3,518)
issued 12/31/07 at 1.40%
Equitable Resources, Inc.
80
(4,262)
due 01/02/08
$
865,285
865,285
DPL, Inc.
160
(4,744)
Morgan Stanley
Exelon Corp.
70
(5,715)
issued 12/31/07 at 1.20%
AES Corp.*
410
(8,770)
due 01/02/08
865,285
865,285
Oneok, Inc.
200
(8,954)
UBS Financial Services, Inc.
Allegheny Energy, Inc.
160
(10,178)
issued 12/31/07 at 1.14%
Consolidated Edison, Inc.
230
(11,236)
due 01/02/08
865,285
865,285
NiSource, Inc.
610
(11,523)
Lehman Brothers Holdings, Inc.
Aqua America, Inc.
660
(13,992)
issued 12/31/07 at 1.00%
Pepco Holdings, Inc.
580
(17,011)
due 01/02/08
430,761
430,761
Ameren Corp.
330
(17,889)
Total Repurchase Agreements
Pinnacle West Capital Corp.
450
(19,085)
(Cost $3,026,616)
3,026,616
OGE Energy Corp.
570
(20,685)
SECURITIES LENDING COLLATERAL 13.5%
Hawaiian Electric Industries, Inc.
1,030
(23,453)
Investment in Securities Lending Short Term
Total Utilities
(181,015)
Investment Portfolio Held by
CONSUMER STAPLES (1.9)%
U.S. Bank (Note 8)
1,418,493
1,418,493
Constellation Brands, Inc. —
Total Securities Lending Collateral
Class A*
90
(2,128)
(Cost $1,418,493)
1,418,493
Rite Aid Corp.*
2,280
(6,361)
Total Long Securities 89.6%
Whole Foods Market, Inc.
210
(8,568)
(Cost $9,042,952)
$
9,413,641
Bare Escentuals, Inc.*
400
(9,700)
Walgreen Co.
270
(10,282)
SHARES
Brown-Forman Corp.
160
(11,858)
COMMON STOCKS SOLD SHORT†† (26.0)%
Hershey Co.
360
(14,184)
Tyson Foods, Inc. — Class A
970
(14,870)
TELECOMMUNICATION SERVICES (0.2)%
WM Wrigley Jr Co.
321
(18,794)
Sprint Nextel Corp.
861
(11,305)
Colgate-Palmolive Co.
251
(19,568)
Level 3 Communications, Inc.*
4,271
(12,984)
Sara Lee Corp.
1,330
(21,360)
Archer-Daniels-Midland Co.
540
(25,072)
Total Telecommunication Services
(24,289)
Avon Products, Inc.
1,031
(40,755)
MATERIALS (1.6)%
Total Consumer Staples
(203,500)
Eastman Chemical Co.
20
(1,222)
Scotts Miracle-Gro Co. — Class A
90
(3,368)
36
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (continued)
December 31, 2007
HEDGED EQUITY FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
ENERGY (2.5)%
CONSUMER DISCRETIONARY (3.2)%
Western Refining, Inc.
10
$
(242)
Goodyear Tire & Rubber Co.*
30
$
(847)
Cheniere Energy, Inc.*
10
(327)
KB Home
40
(864)
Tetra Technologies, Inc.*
760
(11,833)
Carmax, Inc.*
50
(988)
BJ Services Co.
540
(13,100)
Circuit City Stores, Inc.
390
(1,638)
Baker Hughes, Inc.
170
(13,787)
Chico’s FAS, Inc.*
230
(2,077)
Massey Energy Co.
400
(14,300)
Gannett Co., Inc.
60
(2,340)
W&T Offshore, Inc.
490
(14,680)
Pool Corp.
120
(2,380)
Peabody Energy Corp.
240
(14,794)
Coldwater Creek, Inc.*
370
(2,475)
Quicksilver Resources, Inc.*
261
(15,553)
Warner Music Group Corp.
470
(2,848)
Forest Oil Corp.*
310
(15,760)
AnnTaylor Stores Corp.*
130
(3,323)
Nabors Industries Ltd.*
580
(15,886)
Lennar Corp. — Class A
190
(3,399)
Arch Coal, Inc.
390
(17,523)
Macy’s, Inc.
140
(3,622)
Southwestern Energy Co.*
371
(20,672)
XM Satellite Radio Holdings,
Pioneer Natural Resources Co.
430
(21,001)
Inc. — Class A*
311
(3,807)
Sunoco, Inc.
300
(21,732)
Foot Locker, Inc.
280
(3,825)
Apache Corp.
220
(23,659)
Scientific Games Corp. —
Murphy Oil Corp.
300
(25,452)
Class A*
120
(3,990)
Total Energy
(260,301)
Wendy’s International, Inc.
160
(4,134)
HEALTH CARE (3.1)%
Apollo Group, Inc. — Class A*
60
(4,209)
Mylan, Inc.
100
(1,406)
Lowe’s Cos., Inc.
190
(4,298)
Warner Chilcott*
170
(3,014)
Harman International Industries,
Intuitive Surgical, Inc.*
10
(3,245)
Inc.
60
(4,423)
Health Management Associates,
Career Education Corp.*
180
(4,525)
Inc. — Class A
580
(3,468)
Sirius Satellite Radio, Inc.*
1,533
(4,645)
Advanced Medical Optics, Inc.*
160
(3,925)
Toll Brothers, Inc.*
240
(4,814)
Forest Laboratories, Inc.*
120
(4,374)
DR Horton, Inc.
370
(4,873)
Sepracor, Inc.*
190
(4,988)
Urban Outfitters, Inc.*
200
(5,452)
Omnicare, Inc.
240
(5,474)
OfficeMax, Inc.
270
(5,578)
King Pharmaceuticals, Inc.*
580
(5,939)
Wyndham Worldwide Corp.
240
(5,654)
Celgene Corp.*
141
(6,516)
Coach, Inc.*
210
(6,422)
Amylin Pharmaceuticals, Inc.*
210
(7,770)
Eastman Kodak Co.
300
(6,561)
Vertex Pharmaceuticals, Inc.*
370
(8,595)
Liberty Media Corp. — Capital*
60
(6,989)
Varian Medical Systems, Inc.*
170
(8,867)
Pulte Homes, Inc.
710
(7,483)
Hospira, Inc.*
260
(11,086)
Marriott International, Inc. —
Boston Scientific Corp.*
1,030
(11,979)
Class A
220
(7,520)
CR Bard, Inc.
140
(13,272)
Centex Corp.
300
(7,578)
Allergan, Inc.
231
(14,840)
H&R Block, Inc.
520
(9,656)
Genzyme Corp.*
200
(14,888)
International Game Technology
230
(10,104)
Tenet Healthcare Corp.*
3,514
(17,851)
General Motors Corp.
541
(13,465)
Bristol-Myers Squibb Co.
681
(18,060)
Saks, Inc.*
670
(13,909)
Gilead Sciences, Inc.*
441
(20,290)
Best Buy Co., Inc.
270
(14,216)
Amgen, Inc.*
450
(20,898)
CBS Corp.
530
(14,443)
Merck & Co., Inc.
370
(21,501)
DreamWorks Animation SKG,
Abbott Laboratories
390
(21,899)
Inc. — Class A*
590
(15,069)
Millennium Pharmaceuticals,
Interpublic Group of Cos., Inc.*
1,901
(15,417)
Inc.*
1,521
(22,785)
Starbucks Corp.*
811
(16,601)
Hillenbrand Industries, Inc.
410
(22,849)
Ford Motor Co.*
2,980
(20,055)
Johnson & Johnson
410
(27,347)
Washington Post Co. — Class B
70
(55,400)
Total Health Care
(327,126)
Total Consumer Discretionary
(331,916)
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
37
SCHEDULE OF INVESTMENTS (continued)
December 31, 2007
HEDGED EQUITY FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
INDUSTRIALS (3.2)%
Activision, Inc.*
411
$
(12,207)
AMR Corp.*
120
$
(1,684)
Acxiom Corp.
1,180
(13,841)
US Airways Group, Inc.*
140
(2,059)
Unisys Corp.*
3,072
(14,531)
Tyco International Ltd.
70
(2,776)
Synopsys, Inc.*
680
(17,632)
Avis Budget Group, Inc.*
221
(2,872)
Advanced Micro Devices, Inc.*
2,381
(17,858)
Hubbell, Inc. — Class B
60
(3,096)
Adobe Systems, Inc.*
421
(17,989)
FedEx Corp.
40
(3,567)
Network Appliance, Inc.*
750
(18,720)
UTi Worldwide, Inc.
200
(3,920)
Intuit, Inc.*
610
(19,282)
ChoicePoint, Inc.*
120
(4,370)
Intel Corp.
820
(21,861)
YRC Worldwide, Inc.*
260
(4,443)
Novell, Inc.*
3,201
(21,991)
Graco, Inc.
150
(5,589)
Salesforce.com, Inc.*
360
(22,568)
Brink’s Co.
100
(5,974)
Tech Data Corp.*
600
(22,632)
Monster Worldwide, Inc.*
200
(6,480)
JDS Uniphase Corp.*
1,961
(26,081)
Dun & Bradstreet Corp.
80
(7,090)
Electronic Arts, Inc.*
1,071
(62,557)
WESCO International, Inc.*
180
(7,135)
Total Information Technology
(399,884)
Fastenal Co.
180
(7,276)
FINANCIALS (4.8)%
HNI Corp.
230
(8,064)
IndyMac Bancorp, Inc.
1
(6)
Cintas Corp.
240
(8,069)
Westamerica Bancorporation
10
(445)
Rockwell Collins, Inc.
160
(11,515)
Legg Mason, Inc.
10
(732)
Trane, Inc.
270
(12,612)
CapitalSource, Inc.
60
(1,055)
Corporate Executive Board Co.
210
(12,621)
Brandywine Realty Trust
70
(1,255)
Robert Half International, Inc.
500
(13,520)
AMBAC Financial Group, Inc.
50
(1,289)
Owens Corning, Inc.*
780
(15,772)
Old Republic International
Pitney Bowes, Inc.
431
(16,395)
Corp.
99
(1,526)
Masco Corp.
830
(17,936)
SEI Investments Co.
51
(1,641)
General Electric Co.
540
(20,018)
Thornburg Mortgage, Inc.
260
(2,402)
Expeditors International
iStar Financial, Inc.
100
(2,605)
Washington, Inc.
461
(20,598)
Federal National Mortgage
United Parcel Service, Inc. —
Association
79
(3,158)
Class B
360
(25,459)
Forest City Enterprises, Inc. —
Southwest Airlines Co.
2,701
(32,952)
Class A
80
(3,555)
USG Corp.*
1,360
(48,674)
First Horizon National Corp.
210
(3,812)
Total Industrials
(332,536)
National City Corp.
240
(3,950)
INFORMATION TECHNOLOGY (3.8)%
Cincinnati Financial Corp.
100
(3,954)
Global Payments, Inc.
2
(85)
PMI Group, Inc.
300
(3,984)
BEA Systems, Inc.*
30
(473)
E*Trade Financial Corp.*
1,140
(4,047)
Micron Technology, Inc.*
157
(1,138)
WR Berkley Corp.
140
(4,173)
LSI Logic Corp.*
238
(1,264)
Whitney Holding Corp.
160
(4,184)
Ciena Corp.*
60
(2,047)
Arthur J Gallagher & Co.
190
(4,596)
Cypress Semiconductor Corp.*
61
(2,198)
Capitol Federal Financial
160
(4,960)
QLogic Corp.*
200
(2,840)
UDR, Inc.
261
(5,181)
Cognizant Technology Solutions
MBIA, Inc.
280
(5,216)
Corp. — Class A*
150
(5,091)
NYSE Euronext
60
(5,266)
National Instruments Corp.
170
(5,666)
Conseco, Inc.*
430
(5,401)
MoneyGram International, Inc.
370
(5,687)
Webster Financial Corp.
170
(5,435)
Motorola, Inc.
389
(6,240)
Kilroy Realty Corp.
110
(6,046)
Jabil Circuit, Inc.
460
(7,024)
Capital One Financial Corp.
130
(6,144)
Sanmina-SCI Corp.*
4,150
(7,553)
Developers Diversified Realty
Yahoo!, Inc.*
430
(10,002)
Corp.
170
(6,509)
Lexmark International, Inc. —
Astoria Financial Corp.
280
(6,516)
Class A*
290
(10,109)
Regency Centers Corp.
110
(7,094)
Paychex, Inc.
311
(11,264)
CB Richard Ellis Group, Inc. —
Akamai Technologies, Inc.*
331
(11,453)
Class A*
350
(7,543)
38
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2007
HEDGED EQUITY FUND
MARKET
UNREALIZED
VALUE
GAIN (LOSS)
SHARES
(NOTE 1)
CONTRACTS
(NOTE 1)
People’s United Financial, Inc.
430
$
(7,654)
FUTURES CONTRACTS PURCHASED
Countrywide Financial Corp.
860
(7,688)
March 2008 S&P 500 Index
Brown & Brown, Inc.
330
(7,755)
Mini Futures Contracts
AvalonBay Communities, Inc.
90
(8,473)
(Aggregate Market Value
First American Corp.
250
(8,530)
of Contracts $2,580,375)
35
$
14,651
Huntington Bancshares, Inc.
580
(8,561)
March 2008 Russell 2000 Index
Popular, Inc.
830
(8,798)
Mini Futures Contracts
Zions Bancorporation
190
(8,871)
(Aggregate Market Value
Lazard — Class A
220
(8,950)
of Contracts $539,000)
7
7,330
Kimco Realty Corp.
271
(9,864)
March 2008 S&P MidCap 400 Index
Washington Mutual, Inc.
800
(10,888)
Mini Futures Contracts
St Joe Co.
320
(11,363)
(Aggregate Market Value
Federal Realty Invs Trust
140
(11,501)
of Contracts $517,260)
6
2,657
XL Capital
230
(11,571)
March 2008 Nikkei 225 Index
New York Community Bancorp,
Futures Contracts
Inc.
680
(11,954)
(Aggregate Market Value
M&T Bank Corp.
150
(12,236)
of Contracts $834,075)
11
(52,572)
Everest Re Group
130
(13,052)
(Total Aggregate Market Value of
Simon Property Group, Inc.
170
(14,766)
Contracts $4,470,710)
$
(27,934)
Fifth Third Bancorp
600
(15,078)
Progressive Corp.
800
(15,328)
SLM Corp.
780
(15,709)
AmeriCredit Corp.*
1,250
(15,988)
Regions Financial Corp.
720
(17,028)
Macerich Co.
250
(17,765)
Sovereign Bancorp, Inc.
1,570
(17,898)
Moody’s Corp.
510
(18,207)
Allied Capital Corp.
920
(19,780)
Leucadia National Corp.
441
(20,771)
PartnerRe
270
(22,283)
Total Financials
(501,990)
Total Common Stocks Sold Short
(Proceeds $2,832,340)
(2,727,138)
Total Short Sales (26.0)%
(Proceeds $2,832,340)
$ (2,727,138)
Other Assets in Excess
of Liabilities – 36.4%
$
3,822,418
Net Assets – 100.0%
$ 10,508,921
*
Non-Income Producing Security.
†
All or a portion of this security is on loan at December 31, 2007 — See Note 8.
††
Cash was pledged as short security collateral at December 31, 2007.
§
All or a portion of this security is pledged as short security collateral at December 31, 2007.
ADR — American Depository Receipt.
REIT — Real Estate Investment Trust.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
39
SCHEDULE OF INVESTMENTS
December 31, 2007
REAL ESTATE FUND
MARKET
MARKET
VALUE
VALUE
SHARES
(NOTE 1)
SHARES
(NOTE 1)
COMMON STOCKS 99.6%
Jones Lang LaSalle, Inc.†
4,165
$
296,381
Mack-Cali Realty Corp.
8,696
295,664
Brookfield Asset Management,
Liberty Property Trust
10,191
293,603
Inc. — Class A
26,211
$
934,946
Potlatch Corp.
6,438
286,105
Simon Property Group, Inc.†
10,091
876,504
Maguire Properties, Inc.†
9,090
267,882
ProLogis†
12,990
823,306
Kilroy Realty Corp.†
4,847
266,391
Public Storage, Inc.
9,951
730,503
BRE Properties, Inc. — Class A†
6,563
265,998
Vornado Realty Trust†
7,964
700,434
National Retail Properties, Inc.†
11,199
261,833
Boston Properties, Inc.†
7,211
662,042
BioMed Realty Trust, Inc.†
11,181
259,064
Plum Creek Timber Co., Inc.
Equity One, Inc.†
11,017
253,722
(REIT)†
13,768
633,879
Highwoods Properties, Inc.
8,608
252,903
Equity Residential†
17,188
626,846
Washington Real Estate
HCP, Inc.†
17,095
594,564
Investment Trust†
8,020
251,908
General Growth Properties, Inc.†
14,238
586,321
First Industrial Realty Trust, Inc.†
7,271
251,577
KIMCO Realty Corp.†
15,991
582,072
Post Properties, Inc.
7,088
248,931
Annaly Mortgage Management,
DCT Industrial Trust, Inc.
26,580
247,460
Inc.†
31,632
575,070
Home Properties, Inc.†
5,511
247,168
Host Hotels & Resorts, Inc.†
32,649
556,339
HRPT Properties Trust
31,325
242,142
Ventas, Inc.†
11,853
536,348
Healthcare Realty Trust, Inc.
9,456
240,088
AvalonBay Communities, Inc.†
5,602
527,372
DiamondRock Hospitality Co.†
15,743
235,830
Brookfield Properties Corp.
26,565
511,376
American Financial Realty Trust
28,607
229,428
AMB Property Corp.
8,648
497,779
MFA Mortgage Investments, Inc.
24,635
227,874
Federal Realty Investment Trust†
5,428
445,910
Entertainment Properties Trust
4,815
226,305
Macerich Co.†
6,162
437,872
Corporate Office Properties
CB Richard Ellis Group, Inc. —
Trust SBI†
7,156
225,414
Class A*†
19,969
430,332
Brandywine Realty Trust†
12,490
223,946
Rayonier, Inc.
8,999
425,113
CBL & Associates Properties, Inc.
9,339
223,295
SL Green Realty Corp.†
4,542
424,495
Tanger Factory Outlet Centers,
Regency Centers Corp.†
6,511
419,894
Inc.†
5,888
222,036
Health Care REIT, Inc.†
9,287
415,036
Omega Healthcare Investors,
Developers Diversified Realty
Inc.†
13,735
220,447
Corp.†
10,156
388,873
Redwood Trust, Inc.†
6,310
216,054
Alexandria Real Estate Equities,
Equity Lifestyle Properties, Inc.†
4,686
214,010
Inc.†
3,711
377,297
Strategic Hotels & Resorts, Inc.
12,680
212,136
Duke Realty Corp.†
14,100
367,728
LaSalle Hotel Properties†
6,504
207,478
CapitalSource, Inc.†
20,843
366,628
Mid-America Apartment
Nationwide Health Properties,
Communities, Inc.
4,837
206,782
Inc.†
11,608
364,143
Cousins Properties, Inc.†
9,168
202,613
The St. Joe Co.†
10,120
359,361
Pennsylvania Real Estate
Forest City Enterprises, Inc. —
Investment Trust
6,790
201,527
Class A†
8,061
358,231
Thornburg Mortgage, Inc.†
21,717
200,665
Apartment Investment &
Extra Space Storage, Inc.†
13,620
194,630
Management Co. — Class A†
9,887
343,375
Acadia Realty Trust†
7,480
191,563
Realty Income Corp.†
12,658
342,019
Sunstone Hotel Investors, Inc.†
10,320
188,753
iStar Financial, Inc.†
12,974
337,973
FelCor Lodging Trust, Inc.†
11,544
179,971
Hospitality Properties Trust†
10,425
335,893
Colonial Properties Trust†
7,854
177,736
Digital Realty Trust, Inc.†
8,485
325,569
Lexington Realty Trust†
12,076
175,585
Taubman Centers, Inc.†
6,546
321,998
Gramercy Capital Corp.†
6,980
169,684
Douglas Emmett, Inc.†
13,775
311,453
Ashford Hospitality Trust, Inc.†
23,595
169,648
Camden Property Trust†
6,468
311,434
Newcastle Investment Corp.†
11,542
149,584
UDR, Inc.†
15,688
311,407
RAIT Financial Trust†
17,230
148,523
Weingarten Realty Investors†
9,709
305,251
Parkway Properties, Inc.
4,000
147,920
Essex Property Trust, Inc.†
3,116
303,779
NorthStar Realty Finance Corp.†
16,415
146,422
Senior Housing Properties Trust
13,251
300,533
Capital Trust, Inc. — Class A†
4,480
137,312
40
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2007
REAL ESTATE FUND
MARKET
VALUE
SHARES
(NOTE 1)
Medical Properties Trust Inc.†
13,030
$
132,776
Anthracite Capital, Inc.†
17,594
127,381
U-Store-It Trust
13,865
127,003
Glimcher Realty Trust†
8,803
125,795
Friedman Billings Ramsey Group,
Inc. — Class A
39,890
125,255
Total Common Stocks
(Cost $26,640,724)
31,627,499
FACE
AMOUNT
SECURITIES LENDING COLLATERAL 43.5%
Investment in Securities Lending Short Term
Investment Portfolio Held by
U.S. Bank (Note 8)
$13,823,811
13,823,811
Total Securities Lending Collateral
(Cost $13,823,811)
13,823,811
Total Investments 143.1%
(Cost $40,464,535)
$ 45,451,310
Liabilities in Excess of
Other Assets – (43.1)%
$ (13,694,726)
Net Assets – 100.0%
$ 31,756,584
*
Non-Income Producing Security.
†
All or a portion of this security is on loan at December 31, 2007 — See Note 8.
REIT — Real Estate Investment Trust.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
41
SCHEDULE OF INVESTMENTS
December 31, 2007
STRENGTHENING DOLLAR 2x STRATEGY FUND
MARKET
FACE
VALUE
AMOUNT
(NOTE 1)
FEDERAL AGENCY DISCOUNT NOTES 25.0%
Federal Home Loan Bank*
4.23% due 01/03/08
$500,000
$
499,941
Freddie Mac*
4.26% due 01/08/08
500,000
499,645
Total Federal Agency Discount Notes
(Cost $999,586)
999,586
REPURCHASE AGREEMENTS 46.3%
Repurchase Agreement (Note 5)
Mizuho Financial Group, Inc.
issued 12/31/07 at 1.40%
due 01/02/08
530,807
530,807
Morgan Stanley
issued 12/31/07 at 1.20%
due 01/02/08
530,807
530,807
UBS Financial Services, Inc.
issued 12/31/07 at 1.14%
due 01/02/08
530,807
530,807
Lehman Brothers Holdings, Inc.
issued 12/31/07 at 1.00%
due 01/02/08
264,249
264,249
Total Repurchase Agreements
(Cost $1,856,670)
1,856,670
Total Investments 71.3%
(Cost $2,856,256)
$ 2,856,256
Other Assets in Excess
of Liabilities – 28.7%
$ 1,149,399
Net Assets – 100.0%
$ 4,005,655
UNREALIZED
GAIN
UNITS
(NOTE 1)
CURRENCY INDEX SWAP AGREEMENT†
February 2008 U.S. Dollar Index Swap,
Terminating 02/29/08**
(Notional Market Value
$8,195,074)
106,804
$
115,959
*
The issuer is a publicly traded company that operates under a Congressional charter; its securities are neither issued nor guaranteed by the
U.S. Government.
**
Price Return based on U.S. Dollar Index +/- financing at a variable rate.
†
Cash was pledged as currency index swap collateral at December 31, 2007.
42
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
SCHEDULE OF INVESTMENTS
December 31, 2007
WEAKENING DOLLAR 2x STRATEGY FUND
MARKET
FACE
VALUE
AMOUNT
(NOTE 1)
FEDERAL AGENCY DISCOUNT NOTES 14.7%
Fannie Mae*
4.31% due 01/11/08
$1,000,000
$
998,922
Federal Farm Credit Bank*
4.25% due 01/08/08
1,000,000
999,292
Total Federal Agency Discount Notes
(Cost $1,998,214)
1,998,214
REPURCHASE AGREEMENTS 56.9%
Repurchase Agreement (Note 5)
Mizuho Financial Group, Inc.
issued 12/31/07 at 1.40%
due 01/02/08
2,207,460
2,207,460
Morgan Stanley
issued 12/31/07 at 1.20%
due 01/02/08
2,207,460
2,207,460
UBS Financial Services, Inc.
issued 12/31/07 at 1.14%
due 01/02/08
2,207,460
2,207,460
Lehman Brothers Holdings, Inc.
issued 12/31/07 at 1.00%
due 01/02/08
1,098,935
1,098,935
Total Repurchase Agreements
(Cost $7,721,315)
7,721,315
Total Investments 71.6%
(Cost $9,719,529)
$
9,719,529
Other Assets in Excess
of Liabilities – 28.4%
$
3,859,310
Net Assets – 100.0%
$ 13,578,839
UNREALIZED
LOSS
UNITS
(NOTE 1)
CURRENCY INDEX SWAP AGREEMENT
SOLD SHORT†
February 2008 U.S. Dollar Index Swap,
Terminating 02/29/08**
(Notional Market Value
$27,446,353)
357,696
$
(249,350)
*
The issuer is a publicly traded company that operates under a Congressional charter; its securities are neither issued nor guaranteed by the
U.S. Government.
**
Price Return based on U.S. Dollar Index +/- financing at a variable rate.
†
Cash was pledged as currency index swap collateral at December 31, 2007.
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
43
STATEMENTS OF ASSETS AND LIABILITIES
Absolute
Multi-Cap
Sector
Return
Core Equity
Rotation
Strategies
Fund
Fund
Fund
ASSETS
Investment Securities* (Notes 1, 2 and 8)
$ 7,402,344
$157,173,264
$24,900,881
Repurchase Agreements* (Note 5)
6,236
3,698,909
1,412,824
Segregated Cash with Broker
—
—
9,355,004
Deposits with Brokers for Securities Sold Short
—
—
10,884,388
Receivable for Credit Default/Currency Index Swaps Settlement (Note1)
—
—
416,844
Receivable for Securities Sold (Note 1)
—
—
670,990
Receivable for Fund Shares Sold
—
1,731,576
482,973
Investment Income Receivable (Note 1)
14,586
90,396
81,874
Other Assets
745
—
—
Total Assets
7,423,911
162,694,145
48,205,778
LIABILITIES
Short Sales at Market Value** (Notes 1 and 2)
—
—
10,693,314
Payable to cover Short Sale
—
—
6,299
Payable for Credit Default/Currency Index Swaps Settlement (Note 1)
—
—
571,199
Unrealized Losses on Credit Default Swap Settlement
—
—
11,668
Variation Margin on Futures Contracts Settlement (Note 1)
—
—
123,256
Payable upon Return of Securities Loaned (Note 8)
1,151,213
32,234,639
5,153,166
Payable for Securities Purchased (Note 1)
—
—
162,476
Payable for Fund Shares Redeemed
1,058
81,972
182
Investment Advisory Fees Payable (Note 3)
2,246
92,825
30,904
Transfer Agent and Administrative Fees Payable (Note 3)
1,384
25,785
—
Distribution and Service Fees Payable (Note 3)
1,384
25,785
—
Portfolio Accounting Fees Payable (Note 3)
554
10,314
—
Custody Fees Payable
166
3,723
—
Overdraft Due to Custodian Bank
—
—
—
Short Sales Dividends Payable
—
—
16,783
Other Liabilities
6,128
52,782
—
Total Liabilities
1,164,133
32,527,825
16,769,247
NET ASSETS
$ 6,259,778
$130,166,320
$31,436,531
NET ASSETS CONSIST OF
Paid-In Capital
6,534,598
112,984,488
31,857,010
Undistributed Net Investment Income (Loss)
16,207
—
135,808
Accumulated Net Realized Gain (Loss) on Investments, Securities
Sold Short, Credit Default Swaps, Currency Index Swaps and
Futures Contracts
(383,843)
142,320
(1,672,893)
Net Unrealized Appreciation (Depreciation) on Investments, Securities
Sold Short, Credit Default Swaps, Currency Index Swaps and
Futures Contracts
92,816
17,039,512
1,116,606
NET ASSETS
$ 6,259,778
$130,166,320
$31,436,531
SHARES OUTSTANDING
254,037
8,493,588
1,211,340
NET ASSET VALUES
$24.64
$15.33
$25.95
*
The cost of investments is $7,315,764, $143,832,661, $25,218,388, $42,443,950, $9,042,952, $40,464,535, $2,856,256, and $9,719,529,
respectively.
**
The proceeds from short sales is $0, $0, $10,884,388, $0, $2,832,340, $0, $0, and $0, respectively.
44
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
December 31, 2007
Strengthening
Weakening
Commodities
Hedged
Dollar 2x
Dollar 2x
Strategy
Equity
Real Estate
Strategy
Strategy
Fund
Fund
Fund
Fund
Fund
$ 26,246,588
$
6,387,025
$45,451,310
$
999,586
$
1,998,214
18,879,061
3,026,616
—
1,856,670
7,721,315
—
2,221,043
—
1,210,319
4,441,543
—
2,832,340
—
—
—
—
—
—
29,382
—
—
206,598
315,361
—
—
640,871
16,676
275
40,940
68,536
114,441
25,235
323,379
125
520
—
—
—
—
—
45,880,961
14,715,533
46,090,325
4,137,022
14,230,128
—
2,727,138
—
—
—
—
1,879
—
—
—
—
—
—
—
586,610
—
—
—
—
—
—
42,199
—
—
—
2,202,768
1,418,493
13,823,811
—
—
—
—
—
—
—
39
3,567
373,932
122,686
40,662
17,889
9,878
21,926
3,880
10,146
7,998
—
6,449
1,078
2,818
7,998
—
6,449
1,078
2,818
3,199
—
2,580
431
1,127
960
—
774
129
338
—
—
52,018
—
—
—
3,458
—
—
—
16,517
—
45,802
2,085
6,770
2,257,368
4,206,612
14,333,741
131,367
651,289
$ 43,623,593
$10,508,921
$31,756,584
$4,005,655
$13,578,839
44,430,516
10,953,304
29,657,297
4,039,051
13,864,849
742,556
199,366
175,005
(149,355)
(36,660)
(4,231,178)
(1,091,706)
(3,062,493)
—
—
2,681,699
447,957
4,986,775
115,959
(249,350)
$ 43,623,593
$10,508,921
$31,756,584
$4,005,655
$13,578,839
1,834,146
411,446
924,536
199,017
474,725
$23.78
$25.54
$34.35
$20.13
$28.60
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
45
Absolute
Multi-Cap
Sector
Return
Core Equity
Rotation
Strategies
Fund
Fund
Fund
INVESTMENT INCOME
Interest† (Note 1)
$
25,102
$
63,348
$1,158,804
Income from Securities Lending, net (Note 8)
4,154
91,828
24,034
Dividends, Net of Foreign Tax Withheld* (Note 1)
137,200
1,260,502
369,016
Other Income
—
—
37,996
Total Income
166,456
1,415,678
1,589,850
EXPENSES
Investment Advisory Fees (Note 3)
48,195
866,664
414,321
Transfer Agent and Administrative Fees (Note 3)
22,902
240,740
—
Portfolio Accounting Fees (Note 3)
9,161
96,296
—
Short Sales Dividend Expense
—
—
187,716
Trustees’ Fees**
722
7,383
—
Service Fees (Note 3)
22,902
240,740
—
Custody Fees
2,706
32,095
—
Miscellaneous
9,759
73,012
5,739
Total Expenses
116,347
1,556,930
607,776
Less Expenses Waived by Advisor
—
—
—
Total Waived Expenses
—
—
—
Net Expenses
116,347
1,556,930
607,776
Net Investment Income (Loss)
50,109
(141,252)
982,074
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1)
Net Realized Gain (Loss) on:
Investment Securities
55,516
6,536,938
(1,938,590)
Credit Default/Currency Index Swaps
—
—
(218,970)
Futures Contracts
48,320
—
(117,198)
Securities Sold Short
—
—
974,298
Total Net Realized Gain (Loss)
103,836
6,536,938
(1,300,460)
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities
(545,006)
10,979,956
727,982
Credit Default/Currency Index Swaps
—
—
(12,902)
Futures Contracts
16,363
—
(78,296)
Securities Sold Short
—
—
585,925
Net Change in Unrealized Appreciation (Depreciation)
(528,643)
10,979,956
1,222,709
Net Gain (Loss) on Investments
(424,807)
17,516,894
(77,751)
Net Increase (Decrease) in Net Assets from Operations
$ (374,698)
$17,375,642
$
904,323
*
Foreign tax withheld of $9, $39,510, $3,377, $0, $2,043, $3,701, $0, and $0, respectively.
**
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
†
Includes rebate income on proceeds for securities sold short of $0, $0, $559,069, $0, $317,632, $0, $0, and $0, respectively.
46
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
Year Ended December 31, 2007
Strengthening
Weakening
Commodities
Hedged
Dollar 2x
Dollar 2x
Strategy
Equity
Real Estate
Strategy
Strategy
Fund
Fund
Fund
Fund
Fund
$1,176,629
$ 618,139
$
11,718
$ 164,198
$
472,234
6,428
11,044
60,376
—
—
—
149,048
1,593,724
—
—
—
—
—
—
—
1,183,057
778,231
1,665,818
164,198
472,234
184,435
177,048
492,911
30,174
91,184
61,478
—
144,974
8,382
25,329
24,591
—
57,989
3,353
10,132
—
97,442
—
—
—
1,900
—
5,826
242
714
61,478
—
144,974
8,382
25,329
6,396
—
18,650
917
2,613
24,682
3,664
62,195
2,897
10,946
364,960
278,154
927,519
54,347
166,247
(50,069)
—
—
—
—
(50,069)
—
—
—
—
314,891
278,154
927,519
54,347
166,247
868,166
500,077
738,299
109,851
305,987
2,653,291
247,309
5,595,169
—
—
—
—
—
(570,238)
1,286,126
—
(467,728)
—
—
—
—
(650,288)
—
—
—
2,653,291
(870,707)
5,595,169
(570,238)
1,286,126
3,443,547
73,412
(14,164,706)
—
—
—
—
—
102,303
(180,374)
—
36,183
—
—
—
—
382,535
—
—
—
3,443,547
492,130
(14,164,706)
102,303
(180,374)
6,096,838
(378,577)
(8,569,537)
(467,935)
1,105,752
$6,965,004
$ 121,500
$
(7,831,238)
$(358,084)
$1,411,739
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
47
STATEMENTS OF CHANGES IN NET ASSETS
Multi-Cap
Sector Rotation
Core Equity Fund
Fund
Year
Year
Year
Year
Ended
Ended
Ended
Ended
December 31,
December 31,
December 31,
December 31,
2007
2006
2007
2006
FROM OPERATIONS
Net Investment Income (Loss)
$
50,109
$
15,400
$
(141,252)
$
(126,456)
Net Realized Gain (Loss) on Investments
103,836
151,195
6,536,938
5,627,444
Net Change in Unrealized Appreciation (Depreciation) on Investments
(528,643)
617,455
10,979,956
289,785
Net Increase (Decrease) in Net Assets from Operations
(374,698)
784,050
17,375,642
5,790,773
Distributions to Shareholders from: (Note 1)
Net Investment Income
(47,289)
(3,413)
—
—
Realized Gain on Investments
(627,576)
(6,750)
(9,242,522)
(4,280,033)
Total Distributions to Shareholders
(674,865)
(10,163)
(9,242,522)
(4,280,033)
SHARE TRANSACTIONS
Proceeds from Shares Purchased
17,377,068
14,532,365
86,281,041
95,534,124
Value of Shares Purchased through Dividend Reinvestment
674,865
10,163
9,242,522
4,280,033
Cost of Shares Redeemed
(19,100,510)
(9,818,903)
(61,162,925)
(75,486,583)
Net Increase (Decrease) in Net Assets From Share Transactions
(1,048,577)
4,723,625
34,360,638
24,327,574
Net Increase (Decrease) in Net Assets
(2,098,140)
5,497,512
42,493,758
25,838,314
NET ASSETS — BEGINNING OF PERIOD
8,357,918
2,860,406
87,672,562
61,834,248
NET ASSETS — END OF PERIOD
6,259,778
8,357,918
130,166,320
87,672,562
Undistributed Net Investment Income—End of Period
$
16,207
$
12,850
$
—
$
—
48
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
Absolute Return
Commodities
Strategies Fund
Strategy Fund
Hedged Equity Fund
Year
Year
Year
Year
Year
Year
Ended
Ended
Ended
Ended
Ended
Ended
December 31,
December 31,
December 31,
December 31,
December 31,
December 31,
2007
2006
2007
2006
2007
2006
$
982,074
$
326,527
$
868,166
$
569,111
$
500,077
$
210,541
(1,300,460)
455,279
2,653,291
(5,955,204)
(870,707)
368,711
1,222,709
(104,036)
3,443,547
(879,450)
492,130
(48,383)
904,323
677,770
6,965,004
(6,265,543)
121,500
530,869
(1,160,768)
(247,851)
—
—
(481,106)
(166,122)
(299,606)
(315,037)
—
—
(155,142)
(314,395)
(1,460,374)
(562,888)
—
—
(636,248)
(480,517)
58,867,136
29,498,924
58,614,571
98,028,421
31,887,844
25,389,088
1,460,374
562,888
—
—
636,248
480,517
(50,892,241)
(10,942,535)
(42,225,252)
(99,680,653)
(34,837,609)
(15,958,684)
9,435,269
19,119,277
16,389,319
(1,652,232)
(2,313,517)
9,910,921
8,879,218
19,234,159
23,354,323
(7,917,775)
(2,828,265)
9,961,273
22,557,313
3,323,154
20,269,270
28,187,045
13,337,186
3,375,913
31,436,531
22,557,313
43,623,593
20,269,270
10,508,921
13,337,186
$
135,808
$
84,835
$
742,556
$
6,206
$
199,366
$
47,435
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
49
STATEMENTS OF CHANGES IN NET ASSETS (concluded)
Strengthening Dollar
Real Estate Fund
2x Strategy Fund
Year
Year
Year
Year
Ended
Ended
Ended
Ended
December 31,
December 31,
December 31,
December 31,
2007
2006
2007
2006
FROM OPERATIONS
Net Investment Income
$
738,299
$
858,406
$
109,851
$
81,514
Net Realized Gain (Loss) on Investments
5,595,169
462,193
(570,238)
(361,215)
Net Change in Unrealized Appreciation (Depreciation) on Investments
(14,164,706)
12,941,333
102,303
5,612
Net Increase (Decrease) in Net Assets from Operations
(7,831,238)
14,261,932
(358,084)
(274,089)
Distributions to Shareholders from: (Note 1)
Net Investment Income
(801,864)
(1,247,745)
—
(23,111)
Realized Gain on Investments
(3,999,999)
(2,424,876)
—
—
Total Distributions to Shareholders
(4,801,863)
(3,672,621)
—
(23,111)
SHARE TRANSACTIONS
Proceeds from Shares Purchased
138,815,523
373,442,790
41,147,482
23,302,911
Value of Shares Purchased through Dividend Reinvestment
4,801,863
3,672,621
—
23,111
Cost of Shares Redeemed
(182,408,436)
(333,598,261)
(39,850,297)
(21,211,936)
Net Increase (Decrease) in Net Assets From Share Transactions
(38,791,050)
43,517,150
1,297,185
2,114,086
Net Increase (Decrease) in Net Assets
(51,424,151)
54,106,461
939,101
1,816,886
NET ASSETS — BEGINNING OF PERIOD
83,180,735
29,074,274
3,066,554
1,249,668
NET ASSETS — END OF PERIOD
31,756,584
83,180,735
4,005,655
3,066,554
Undistributed Net Investment Income (Loss) - End of Period
$
175,005
$
238,570
$
(149,355)
$
(80,756)
50
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
See Notes to Financial Statements.
Weakening Dollar
2x Strategy Fund
Year
Year
Ended
Ended
December 31,
December 31,
2007
2006
$
305,987
$
271,823
1,286,126
462,780
(180,374)
(59,597)
1,411,739
675,006
(1,887,531)
(397,475)
—
(6,122)
(1,887,531)
(403,597)
46,842,262
52,997,120
1,887,531
403,597
(45,830,646)
(45,470,997)
2,899,147
7,929,720
2,423,355
8,201,129
11,155,484
2,954,355
13,578,839
11,155,484
$
(36,660)
$
256,672
See Notes to Financial Statements.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
51
This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.
RATIOS TO
AVERAGE NET ASSETS:
Net Increase
Net Realized
(Decrease)
NET ASSET
Net
and
in Net Asset
Distributions
Distributions
Net Increase
NET ASSET
Net
Net Assets,
VALUE,
Investment
Unrealized
Value
from Net
from Net
(Decrease) in
VALUE,
Total
Investment
Portfolio
End of
BEGINNING
Income
Gains (Losses)
Resulting from
Investment
Realized
Total
Net Asset
END OF
Investment
Total
Net
Operating
Income
Turnover
Period (000’s
Year Ended
OF PERIOD
(Loss)†
on Investments
Operations
Income
Gains
Distributions
Value
PERIOD
Return†††
Expenses
Expenses
Expenses
(Loss)
Rate
omitted)
Multi-Cap Core Equity Fund
December 31, 2007
$28.60
$ .16
$ (1.63)
$ (1.47)
$ (.17)
$ (2.32)
$ (2.49)
$ (3.96)
$24.64
(5.26)%
1.27%
1.27%
1.27%
0.55%
245%
$
6,260
December 31, 2006
25.04
.08
3.52
3.60
(.01)
(.03)
(.04)
3.56
28.60
14.36%
1.43%
1.43%
1.43%
0.29%
171%
8,358
December 31, 2005*
25.00
.01
.03
.04
—
—
—
.04
25.04
0.16%
1.67%**
1.67%**
1.67%**
0.33%**
8%
2,860
Sector Rotation Fund
December 31, 2007
13.47
(.02)
3.10
3.08
—
(1.22)
(1.22)
1.86
15.33
22.75%
1.61%
1.61%
1.61%
(0.15)%
277%
130,166
December 31, 2006
12.68
(.02)
1.48
1.46
—
(.67)
(.67)
.79
13.47
11.47%
1.64%
1.64%
1.64%
(0.16)%
353%
87,673
December 31, 2005
11.16
(.02)
1.54
1.52
—
—
—
1.52
12.68
13.62%
1.70%
1.70%
1.70%
(0.20)%
281%
61,834
December 31, 2004
10.08
(.05)
1.13
1.08
—
—
—
1.08
11.16
10.71%
1.63%
1.63%
1.63%
(0.52)%
333%
27,747
December 31, 2003
7.76
(.07)
2.39
2.32
—
—
—
2.32
10.08
29.97%
1.70%
1.70%
1.70%
(0.78)%
401%
20,594
Absolute Return Strategies Fund
December 31, 2007
26.20
.74
.27
1.01
(1.00)
(.26)
(1.26)
(.25)
25.95
3.84%
1.69%
1.69%
1.17%††
2.72%
421%
31,437
December 31, 2006
25.20
.80
.87
1.67
(.30)
(.37)
(.67)
1.00
26.20
6.64%
1.70%
1.70%
1.16%††
3.08%
309%
22,557
December 31, 2005*
25.00
.05
.15
.20
—
—
—
.20
25.20
0.80%
1.45%**
1.45%**
1.20%**††
2.28%**
19%
3,323
Commodities Strategy Fund
December 31, 2007
18.15
.71
4.92
5.63
—
—
—
5.63
23.78
31.02%
1.48%
1.28%
1.28%
3.52%
346%
43,624
December 31, 2006
22.10
.50
(4.45)
(3.95)
—
—
—
(3.95)
18.15
(17.87)%
1.50%
1.31%
1.31%
2.34%
109%
20,269
December 31, 2005*
25.00
.14
(2.98)
(2.84)
(.06)
—
(.06)
(2.90)
22.10
(11.34)%
1.64%**
1.64%**
1.64%**
2.41%**
—
28,187
Hedged Equity Fund
December 31, 2007
26.34
.88
(.03)
.85
(1.25)
(.40)
(1.65)
(.80)
25.54
3.16%
1.81%
1.81%
1.18%††
3.25%
413%
10,509
December 31, 2006
25.21
.84
1.23
2.07
(.33)
(.61)
(.94)
1.13
26.34
8.20%
1.93%
1.93%
1.15%††
3.21%
360%
13,337
December 31, 2005*
25.00
.04
.20
.24
(.03)
—
(.03)
.21
25.21
0.94%
1.96%**
1.96%**
1.19%**††
1.62%**
10%
3,376
Real Estate Fund
December 31, 2007
50.25
.63
(10.02)
(9.39)
(1.09)
(5.42)
(6.51)
(15.90)
34.35
(19.12)%
1.60%
1.60%
1.60%
1.28%
226%
31,757
December 31, 2006
40.30
.72
11.68
12.40
(.83)
(1.62)
(2.45)
9.95
50.25
30.72%
1.60%
1.60%
1.60%
1.54%
532%
83,181
December 31, 2005
38.02
.71
2.01
2.72
(.44)
—
(.44)
2.28
40.30
7.15%
1.59%
1.59%
1.59%
1.84%
774%
29,074
December 31, 2004
30.25
1.02
7.79
8.81
(.14)
(.90)
(1.04)
7.77
38.02
29.54%
1.59%
1.59%
1.59%
3.06%
1,139%
26,915
December 31, 2003
24.96
.94
6.62
7.56
(.85)
(1.42)
(2.27)
5.29
30.25
30.31%
1.64%
1.64%
1.64%
3.26%
1,478%
12,183
Strenghthening Dollar 2x Strategy Fund
December 31, 2007
22.59
.70
(3.16)
(2.46)
—
—
—
(2.46)
20.13
(10.89)%
1.61%
1.61%
1.61%
3.26%
—
4,006
December 31, 2006
25.62
.79
(3.51)
(2.72)
(.31)
—
(.31)
(3.03)
22.59
(10.63)%
1.65%
1.65%
1.65%
3.33%
—
3,067
December 31, 2005*
25.00
.14
.65
.79
(.17)
—
(.17)
.62
25.62
3.16%
1.78%**
1.78%**
1.78%**
2.11%**
—
1,250
Weakening Dollar 2x Strategy Fund
December 31, 2007
27.51
.89
4.15
5.04
(3.95)
—
(3.95)
1.09
28.60
18.12%
1.64%
1.64%
1.64%
3.02%
—
13,579
December 31, 2006
24.31
.93
3.14
4.07
(.86)
(.01)
(.87)
3.20
27.51
16.72%
1.65%
1.65%
1.65%
3.46%
—
11,155
December 31, 2005*
25.00
.15
(.78)
(.63)
(.06)
—
(.06)
(.69)
24.31
(2.53)%
1.76%**
1.76%**
1.76%**
2.28%**
—
2,954
*
Since the commencement of operations:
September 30, 2005 – Commodities Strategy Fund, Strenthening Dollar 2x Strategy Fund, and Weakening Dollar 2x Strategy Fund;
November 29, 2005 – Absolute Return Strategies Fund, Hedged Equity Fund, and Multi-Cap Core Equity Fund.
**
Annualized
†
Calculated using the average daily shares outstanding for the year.
††
Operating Expenses exclude short dividends expense.
†††
Total investment return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized.
1.
Organization and Significant Accounting Policies
Structured notes are valued in accordance with the terms of
Organization
their agreement at the value of the underlying index close,
The Rydex Variable Trust (the “Trust”), a Delaware business
usually 4:00 p.m., adjusted for any interest accruals and
trust, is registered with the SEC under the Investment
financing charges. If the securities comprising the
Company Act of 1940 (the “1940 Act”) as a non-diversified,
underlying index cease trading before a Fund’s close of
open-ended investment company and is authorized to issue
business, the index will be fair valued with the use of an
an unlimited number of no par value shares. The Trust offers
appropriate market indicator.
shares of its Funds to insurance companies for their variable
Traditional open-end investment companies (“Mutual
annuity and variable life insurance contracts.
Funds”) are valued at their NAV as of the close of business,
At December 31, 2007, the Trust consisted of fifty-five
usually 4:00 p.m. on the valuation date. Exchange Traded
separate Funds: twenty-three Benchmark Funds, one Money
Funds (“ETFs”) and closed-end investment companies are
Market Fund, eight Alternative Strategy Funds, seventeen
valued at the last quoted sales price.
Sector Funds, three Essential Portfolio Funds and three CLS
The value of domestic equity index and credit default swap
AdvisorOne Funds. This report covers the Alternative
agreements entered into by a Fund is accounted for using
Strategy Funds (the “Funds”), while the Benchmark Funds,
the unrealized gain or loss on the agreements that is
the Money Market Fund, the Sector Funds, the Essential
determined by marking the agreements to the last quoted
Portfolio Funds and the CLS AdvisorOne Funds are
value of the index that the swap pertains to at the close of
contained in separate reports.
the NYSE, usually 4:00 p.m. The swap’s market value is then
Rydex Investments provides advisory, transfer agent and
adjusted to include dividends accrued, financing charges
administrative services, and accounting services to the Trust.
and/or interest associated with the swap agreements.
Rydex Distributors, Inc. (the “Distributor”) acts as principal
The value of foreign equity index and currency index
underwriter for the Trust. Both Rydex Investments and the
swap agreements entered into by a Fund is accounted for
Distributor are affiliated entities.
using the unrealized gain or loss on the agreements that
Significant Accounting Policies
is determined by marking the agreements to the price at
which orders are being filled at the close of the NYSE,
The following significant accounting policies are in conformity
usually 4:00 p.m. In the event that no order is filled at
with U.S. generally accepted accounting principles and are
4:00 p.m., the security dealer provides a fair value quote
consistently followed by the Trust. All time references are
at which the swap agreement is valued. The swap’s
based on Eastern Time. The information contained in these
market value is then adjusted to include dividends
notes may not apply to every Fund in the Trust.
accrued, financing charges and/or interest associated
A. Equity securities listed on an exchange (New York Stock
with the swap agreements.
Exchange (“NYSE”) or American Stock Exchange) are
Investments, for which market quotations are not readily
valued at the last quoted sales price as of the close of
available, are fair valued as determined in good faith by
business on the NYSE, usually 4:00 p.m. on the valuation
Rydex Investments under the direction of the Board of
date. Equity securities listed on the NASDAQ market
Trustees using methods established or ratified by the Board
system are valued at the NASDAQ Official Closing Price,
of Trustees. These methods include, but are not limited to:
usually as of 4:00 p.m. on the valuation date. Listed options
(i) general information as to how these securities and assets
held by the Trust are valued at the Official Settlement Price
trade; (ii) in connection with futures contracts and options
listed by the exchange, usually as of 4:00 p.m. In the event
thereupon, and other derivative investments, information as
that a settlement price is not available, fair valuation is
to how (a) these contracts and other derivative investments
enacted. Over-the-counter options held by the Trust are
trade in the futures or other derivative markets, respectively,
valued using the average bid price obtained from one or
and (b) the securities underlying these contracts and other
more security dealers. The value of futures contracts
derivative investments trade in the cash market; and (iii)
purchased and sold by the Trust is accounted for using the
other information and considerations, including current
unrealized gain or loss on the contracts that is determined
values in related-markets.
by marking the contracts to their current realized settlement
prices. Financial futures contracts are valued at the last
B. Securities transactions are recorded on the trade date for
quoted sales price, usually as of 4:00 p.m. on the valuation
financial reporting purposes. Realized gains and losses from
date. In the event that the exchange for a specific futures
securities transactions are recorded using the identified cost
contract closes earlier than 4:00 p.m., the futures contract is
basis. Proceeds from lawsuits related to investment holdings
valued at the Official Settlement Price of the exchange.
are recorded as realized gains in the respective Fund.
However, the underlying securities from which the futures
Dividend income is recorded on the ex-dividend date, net
contract value is derived are monitored until 4:00 p.m. to
of applicable taxes withheld by foreign countries. Interest
determine if fair valuation would provide a more accurate
income, including amortization of premiums and accretion
valuation. Short-term securities, if any, are valued at
of discount, is accrued on a daily basis.
amortized cost, which approximates market value.
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
53
NOTES TO FINANCIAL STATEMENTS (continued)
C. Distributions of net investment income and net realized
specified future delivery date and at a specific price. Upon
capital gains are recorded on the ex-dividend date and
entering into a contract, a Fund deposits and maintains as
are determined in accordance with income tax regulations
collateral such initial margin as required by the exchange on
which may differ from U.S. generally accepted accounting
which the transaction is effected. Pursuant to the contract,
principles. These differences are primarily due to differing
the Fund agrees to receive from or pay to the broker an
treatments for items such as deferral of wash sales and
amount of cash equal to the daily fluctuation in value of the
post-October losses and regulated futures contracts and
contract. Such receipts or payments are known as variation
options. Net investment income and loss, net realized
margin and are recorded by the Fund as unrealized gains or
gains and losses, and net assets are not affected by
losses. When the contract is closed, the Fund records a
these differences.
realized gain or loss equal to the difference between the
D. When a Fund engages in a short sale of an equity or
value of the contract at the time it was opened and the
fixed income security, an amount equal to the proceeds is
value at the time it was closed.
reflected as an asset and an equivalent liability. The amount
G. The Trust may enter into domestic equity index and
of the liability is subsequently marked-to-market to reflect
domestic currency index swap agreements, which are over-
the market value of the short sale. The Fund maintains a
the-counter contracts in which one party agrees to make
segregated account of cash and/or securities as collateral
periodic payments based on the change in market value of
for short sales. The Fund is exposed to market risk based
a specified equity security, basket of equity securities,
on the amount, if any, that the market value of the security
equity index or domestic currency index, in return for
exceeds the market value of the securities in the
periodic payments based on a fixed or variable interest rate
segregated account. Fees, if any, paid to brokers to borrow
or the change in market value of a different equity security,
securities in connection with short sales are considered part
basket of equity securities, equity index or domestic
of the cost of short sale transactions. In addition, the Fund
currency index. Swap agreements are used to obtain
must pay out the dividend rate of the equity or coupon
exposure to an equity or market without owning or taking
rate of the treasury obligation to the lender and records
physical custody of securities. The swap agreements are
this as an expense. Short dividends or interest expense is a
marked-to-market daily based upon quotations from market
cost associated with the investment objective of short sales
makers and the change, if any, is recorded as unrealized
transactions, rather than an operational cost associated
gain or loss. Payments received or made as a result of an
with the day-to-day management of any mutual fund. The
agreement or termination of the agreement are recognized
Funds may also receive rebate income from the broker
as realized gains or losses.
resulting from the investment of the proceeds from
The Trust may enter into credit default swap agreements
securities sold short.
where one party, the protection buyer, makes an upfront or
E. Upon the purchase of an option by a Fund, the premium
periodic payments to a counterparty, the protection seller,
paid is recorded as an investment, the value of which is
in exchange for the right to receive a contingent payment.
marked-to-market daily. When a purchased option expires,
The maximum amount of the payment may equal the
that Fund will realize a loss in the amount of the cost of the
notional amount, at par, of the underlying index or security
option. When a Fund enters into a closing sale transaction,
as a result of a related credit event. Upfront payments
that Fund will realize a gain or loss depending on whether
received or made by a Fund, are amortized over the
the proceeds from the closing sale transaction are greater
expected life of the agreement. Periodic payments received
or less than the cost of the option. When a Fund exercises a
or paid by a Fund are recorded as realized gains or losses.
put option, that Fund will realize a gain or loss from the sale
The credit default contracts are marked-to-market daily
of the underlying security and the proceeds from such sale
based upon quotations from market makers and the
will be decreased by the premium originally paid. When a
change, if any, is recorded as unrealized gain or loss.
Fund exercises a call option, the cost of the security
Payments received or made as a result of a credit event or
purchased by that Fund upon exercise will be increased by
termination of the contract are recognized, net of a
the premium originally paid. When a Fund writes (sells) an
proportional amount of the upfront payment, as realized
option, an amount equal to the premium received is
gains or losses.
entered in that Fund’s accounting records as an asset and
H. The Trust may invest in structured notes, which are over-
equivalent liability. The amount of the liability is
the-counter contracts linked to the performance of an
subsequently marked-to-market to reflect the current value
underlying benchmark such as interest rates, equity
of the option written. When a written option expires, or if a
markets, equity indices, commodities indices, corporate
Fund enters into a closing purchase transaction, that Fund
credits or foreign exchange markets. A structured note is a
realizes a gain (or loss if the cost of a closing purchase
type of bond in which an issuer borrows money from
transaction exceeds the premium received when the option
investors and pays back the principal, adjusted for
was sold).
performance of the underlying benchmark, at a specified
F. The Trust may enter into stock and bond index futures
maturity date. In addition, the contract may require periodic
contracts and options on such futures contracts. Futures
interest payments. Structured notes are used to obtain
contracts are contracts for delayed delivery of securities at a
exposure to a market without owning or taking physical
54
|
THE RYDEX VARIABLE TRUST ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (continued)
custody of securities or commodities. Fluctuations in value
M. The preparation of financial statements in conformity
of the structured notes are recorded as unrealized gains and
with U.S. generally accepted accounting principles requires
losses in the accompanying financial statements. Coupon
management to make estimates and assumptions that affect
payments are recorded as income while net payments are
the reported amount of assets and liabilities and disclosure
recorded as net realized gains or losses.
of contingent assets and liabilities at the date of the
I. Investment securities and other assets and liabilities
financial statements and the reported amounts of revenues
denominated in foreign currencies are translated into U.S.
and expenses during the reporting period. Actual results
dollar amounts at the date of valuation. Purchases and sales
could differ from these estimates.
of investment securities and income and expense items
2.
Financial Instruments
denominated in foreign currencies are translated into U.S.
As part of its investment strategy, the Trust may utilize short
dollar amounts on the respective dates of such transactions.
sales and a variety of derivative instruments, including
The Trust does not isolate that portion of the results of
options, futures, options on futures, structured notes, and
operations resulting from changes in foreign exchange rates
swap agreements. These investments involve, to varying
on investments from the fluctuations arising from changes in
degrees, elements of market risk and risks in excess of the
market prices of securities held. Such fluctuations are
amounts recognized in the Statements of Assets and
included with the net realized and unrealized gain and loss
Liabilities.
from investments.
Throughout the normal course of business, the Funds enter
Reported net realized foreign exchange gains or losses arise
into contracts that contain a variety of representations and
from sales of foreign currencies and currency gains or losses
warranties which provide general indemnifications. The
realized between the trade and settlement dates on
Funds’ maximum exposure under these arrangements is
investment transactions. Net unrealized exchange gains and
unknown, as this would involve future claims that may be
losses arise from changes in the fair values of assets and
made against the Funds and/or their affiliates that have not
liabilities other than investments in securities at the fiscal
yet occurred. However, based on experience, the Funds
period end, resulting from changes in exchange rates.
expect the risk of loss to be remote.
J. The Trust may enter into forward currency contracts
Short sales are transactions in which a Fund sells an equity
primarily to hedge against foreign currency exchange rate
or fixed income security it does not own. If the security sold
risks on its non-U.S. dollar denominated investment
short decreases in price between the time the Fund sells the
securities. When entering into a forward currency contract, a
security and closes its short position, that Fund will realize a
Fund agrees to receive or deliver a fixed quantity of foreign
gain on the transaction. Conversely, if the security increases
currency for an agreed-upon price on an agreed future
in price during the period, that Fund will realize a loss on
date. These contracts are valued daily and the
the transaction. The risk of such price increases is the
corresponding unrealized gain or loss on the contracts, as
principal risk of engaging in short sales.
measured by the difference between the forward foreign
exchange rates at the dates of entry into the contracts and
The risk associated with purchasing options is limited to the
the forward rates at the reporting date, is included in the
premium originally paid. The risk in writing a covered call
Statement of Assets and Liabilities. Realized and unrealized
option is that a Fund may forego the opportunity for profit
gains and losses are included in the Statement of
if the market price of the underlying security increases and
Operations.
the option is exercised. The risk in writing a covered put
option is that a Fund may incur a loss if the market price of
K. Certain U.S. Government and Agency Obligations are
the underlying security decreases and the option is
traded on a discount basis; the interest rates shown on the
exercised. In addition, there is the risk that a Fund may not
Schedules of Investments reflect the discount rates paid at
be able to enter into a closing transaction because of an
the time of purchase by the Funds. Other securities bear
illiquid secondary market or, for over-the-counter options,
interest at the rates shown, payable at fixed dates through
because of the counterparty’s inability to perform.
maturity. The Funds may also purchase American
Depository Receipts, U.S. Government securities, and enter
There are several risks in connection with the use of futures
into repurchase agreements.
contracts. Risks may be caused by an imperfect correlation
between movements in the price of the instruments and the
L. The Funds may leave cash overnight in their cash account
price of the underlying securities. In addition, there is the
with the custodian, U.S. Bank. Periodically, a Fund may have
risk that a Fund may not be able to enter into a closing
cash due to custodian bank as an overdraft balance. A fee is
transaction because of an illiquid secondary market.
incurred on this overdraft, calculated by multiplying the
overdraft by a rate based on the federal funds rate.
There are several risks associated with the use of structured
Segregated cash with the broker is held as collateral for
notes. Structured securities are leveraged, thereby
investments in derivative instruments such as futures
providing an exposure to the underlying benchmark of
contracts and equity index swap agreements.
three times the face amount and increasing the volatility of
each note relative to the change in the underlying linked
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
55
NOTES TO FINANCIAL STATEMENTS (continued)
financial instrument. A highly liquid secondary market may
3.
Fees And Other Transactions With Affiliates
not exist for the structured notes a Fund invests in, which
Under the terms of an investment advisory contract, the
may make it difficult for that Fund to sell the structured
Trust pays Rydex Investments investment advisory fees
notes it holds at an acceptable price or to accurately value
calculated at an annualized rate of 0.85% of the average
them. In addition, structured notes are subject to the risk
daily net assets of the Real Estate Fund; 0.90% of the
that the counterparty to the instrument, or issuer, might not
average daily net assets of the Sector Rotation Fund, the
pay interest when due or repay principal at maturity of the
Strengthening Dollar 2x Strategy Fund and the Weakening
obligation. Although the Trust will not invest in any
Dollar 2x Strategy Fund; and 1.15% of the average daily net
structured notes unless Rydex Investments believes that the
assets of the Absolute Return Strategies Fund and the
issuer is creditworthy, a Fund does bear the risk of loss of
Hedged Equity Fund.
the amount expected to be received in the event of the
default or bankruptcy of the issuer.
Also under the terms of the investment advisory contract,
the Trustees voted to implement a performance adjustment
There are several risks associated with the use of swap
for the Multi-Cap Core Equity Fund. The Trust pays Rydex
agreements that are different from those associated with
Investments investment advisory fees calculated at a basic
ordinary portfolio securities transactions, due to the fact
annual fee rate of 0.70% of the average daily net assets of
they could be considered illiquid. Although the Trust will
this Fund, adding or subtracting a performance rate up to
not enter into any swap agreement unless Rydex
0.20%. The basic annual fee rate, along with the
Investments believes that the other party to the
performance adjustment allows the total fee to increase to a
transaction is creditworthy, the Funds bear the risk of loss
maximum of 0.90% or decrease to a minimum of 0.50%,
of the amount expected to be received under a swap
depending on the investment performance of the Fund
agreement in the event of the default or bankruptcy of
relative to the Russell 3000 Index (the “Index”). The
the agreement counterparty.
performance comparison will be made for a rolling 12-
There are several risks associated with credit default swaps.
month period, with performance adjustments made at the
Credit default swaps involve the exchange of a fixed-rate
end of each month. Because the performance adjustment is
premium for protection against the loss in value of an
applied relative to the performance of the Index, Rydex
underlying debt instrument in the event of a defined credit
Investments could receive a positive performance
event (such as payment default or bankruptcy). Under the
adjustment even during periods where the Fund’s
terms of the swap, one party acts as a “guarantor,”
performance is negative. At December 31, 2007, the
receiving a periodic payment that is a fixed percentage
effective management fee was 0.50% of the Fund’s average
applied to a notional principal amount. In return, the party
daily net assets.
agrees to purchase the notional amount of the underlying
Effective May 1, 2006, Rydex Investments has contractually
instrument, at par, if a credit event occurs during the term
agreed to waive its 0.75% investment advisory fee to the
of the swap. A Fund may enter into credit default swaps in
extent necessary to limit the ordinary operating expenses of
which that Fund or its counterparty acts as guarantor. By
the Commodities Strategy Fund (but excluding interest
acting as the guarantor of a swap, that Fund assumes the
expenses, brokerage commissions and extraordinary
market and credit risk of the underlying instrument,
expenses) to not more than 1.29% per annum of the average
including liquidity and loss of value.
monthly net assets of the Fund (the “Contractual Fee
In conjunction with the use of short sales, options, futures,
Waiver”). The Contractual Fee Waiver may not be modified
options on futures, and swap agreements, the Funds are
or eliminated prior to May 1, 2008, except with the approval
required to maintain collateral in various forms. The Funds
of the Board of Trustees. There is no guarantee that the
use, where appropriate, depending on the financial
contractual fee waiver will continue beyond May 1, 2008.
instrument utilized and the broker involved, margin deposits
As part of its agreement with the Trust, Rydex Investments
at the broker, cash and/or securities segregated at the
will pay all expenses of the Absolute Return Strategies Fund
custodian bank, discount notes, or the repurchase
and Hedged Equity Fund, including the cost of transfer
agreements allocated to each Fund.
agency, custody, fund administration, legal, audit and other
The risks inherent in the use of short sales, options, futures
services, except interest expense, taxes (expected to be de
contracts, options on futures contracts, structured notes,
minimis), brokerage commissions and other expenses
and swap agreements, include i) adverse changes in the
connected with execution of portfolio transactions, short
value of such instruments; ii) imperfect correlation between
dividend expenses, and extraordinary expenses. For the
the price of the instruments and movements in the price of
year ended December 31, 2007, Rydex Investments paid
the underlying securities, indices, or futures contracts; iii)
expenses in the amounts of $31,374 and $18,630,
the possible absence of a liquid secondary market for any
respectively.
particular instrument at any time; and iv) the potential of
Rydex Investments provides transfer agent and
counterparty default. The Trust has established strict
administrative services to the Funds for fees calculated at an
counterparty credit guidelines and enters into transactions
annualized rate of 0.25% of the average daily net assets of
only with financial institutions of investment grade or better.
each Fund. Fees related to the Absolute Return Strategies
and Hedged Equity Funds are paid by Rydex Investments,
as previously noted.
56
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THE RYDEX VARIABLE TRUST ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (continued)
Rydex Investments provides accounting services to the Trust calculated at an annualized rate of 0.10% on the first $250 million of
the average daily net assets, 0.075% on the next $250 million of the average daily net assets, 0.05% on the next $250 million of
the average daily net assets, and 0.03% on the average daily net assets over $750 million of each Fund. Fees related to the
Absolute Return Strategies and Hedged Equity Funds are paid by Rydex Investments, as previously noted.
Rydex Investments engages external service providers to perform other necessary services for the Trust, such as audit and
accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses vary from
Fund to Fund and are allocated to the Funds based on relative net assets. Any of these expenses allocated to the Absolute
Return Strategies and Hedged Equity Funds are paid by Rydex Investments, as previously noted. Organizational and setup costs
for new funds are paid by the Trust.
The Trust has adopted an Investor Services Plan for which the Distributor and other firms that provide shareholder services
(“Service Providers”) may receive compensation. The Trust will pay fees to the Distributor at an annual rate not to exceed 0.25%
of average daily net assets. The Distributor, in turn, will compensate Service Providers for providing such services, while retaining a
portion of such payments to compensate itself for shareholder services it performs.
Certain officers and trustees of the Trust are also officers of Rydex Investments.
4.
Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated
investment companies and will distribute substantially all net investment income and capital gains to shareholders. Therefore, no
Federal income tax provision has been recorded.
Income and capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from
U.S. generally accepted accounting principles. These differences are primarily due to differing treatments for derivatives, foreign
currency transactions, losses deferred due to wash sales, losses deferred due to post-October losses, and excise tax regulations.
Permanent book and tax basis differences, if any, will result in reclassifications. This includes net operating losses not utilized
during the current period and capital loss carry forward expired. These reclassifications have no effect on net assets or net asset
values per share. Any taxable gain remaining at fiscal year end is distributed in the following year.
The Fund’s tax basis capital gains and losses are determined only at the end of each fiscal year. Tax basis capital losses in excess
of capital gains are carried forward to offset future net capital gains. For the year ended December 31, 2007, the following Fund
offset net realized capital gains with capital losses from previous years:
Fund
Amount
Commodities Strategy Fund
$2,514,498
The tax character of distributions paid during 2007 was as follows:
Ordinary
Long-Term
Total
Fund
Income
Capital Gain
Distributions
Multi-Cap Core Equity Fund
$ 459,022
$ 215,843
$ 674,865
Sector Rotation Fund
6,533,253
2,709,269
9,242,522
Absolute Return Strategies Fund
1,347,557
112,817
1,460,374
Commodities Strategy Fund
—
—
—
Hedged Equity Fund
544,568
91,680
636,248
Real Estate Fund
2,801,863
2,000,000
4,801,863
Strengthening Dollar 2x Strategy Fund
—
—
—
Weakening Dollar 2x Strategy Fund
1,887,531
—
1,887,531
The tax character of distributions paid during 2006 was as follows:
Ordinary
Long-Term
Total
Fund
Income
Capital Gain
Distributions
Multi-Cap Core Equity Fund
$ 10,163
$ —
$ 10,163
Sector Rotation Fund
422,244
3,857,789
4,280,033
Absolute Return Strategies Fund
418,938
143,950
562,888
Commodities Strategy Fund
—
—
—
Hedged Equity Fund
398,736
81,781
480,517
Real Estate Fund
2,161,579
1,511,042
3,672,621
Strengthening Dollar 2x Strategy Fund
23,111
—
23,111
Weakening Dollar 2x Strategy Fund
400,475
3,122
403,597
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
57
NOTES TO FINANCIAL STATEMENTS (continued)
The tax character of distributable earnings/(accumulated losses) at December 31, 2007, was as follows:
Undistributed
Undistributed
Net Unrealized
Ordinary
Long-Term
Appreciation/
Capital Loss
Fund
Income
Capital Gain
Depreciation
Carryforward
Multi-Cap Core Equity Fund
$
20,121
$
854
$
(3,491)
$
—
Sector Rotation Fund
172,577
118,549
16,890,706
—
Absolute Return Strategies Fund
135,808
—
661,694
(114,736)1
Commodities Strategy Fund
742,556
—
2,325,191
(3,874,670)2
Hedged Equity Fund
199,366
—
353,388
(324,447)1
Real Estate Fund
583,038
1,164,058
352,191
—
Strengthening Dollar 2x Strategy Fund
—
—
—
—
Weakening Dollar 2x Strategy Fund
—
—
—
—
Capital Loss Carryforward amounts may be limited due to Treasury Regulations.
1 Expires in 2015.
2 Expires in 2014.
At December 31, 2007, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all
securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which
there was an excess of tax cost over value, were as follows:
Tax
Tax
Net
Tax
Unrealized
Unrealized
Unrealized
Fund
Cost
Gain
Loss
Gain (Loss)
Multi-Cap Core Equity Fund
$
7,412,071
$
512,329
$
(515,820)
$
(3,491)
Sector Rotation Fund
143,981,467
20,353,456
(3,462,750)
16,890,706
Absolute Return Strategies Fund
25,831,417
1,286,602
(804,314)
482,288
Commodities Strategy Fund
42,800,456
2,325,191
—
2,325,191
Hedged Equity Fund
9,165,455
455,972
(207,786)
248,186
Real Estate Fund
45,099,119
2,175,729
(1,823,538)
352,191
Strengthening Dollar 2x Strategy Fund
2,856,256
—
—
—
Weakening Dollar 2x Strategy Fund
9,719,529
—
—
—
Post-October Losses Deferred
Pursuant to Federal income tax regulations applicable to investment companies, the Funds have elected to treat net capital losses
realized between November 1 and December 31 of each year as occurring on the first day of the following tax year. For the year
ended December 31, 2007, $292,304, $1,103,245, and $672,690 of realized capital losses, and $33,396 and $286,010 of realized
currency losses reflected in the accompanying financial statements will not be recognized for Federal income tax purposes until
2008 for Multi-Cap Core Equity Fund, Absolute Return Strategies Fund, Hedged Equity Fund, Strengthening Dollar 2x Fund, and
Weakening Dollar 2x Fund, respectively.
5. Repurchase Agreements
The Trust transfers uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or
more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. Government Agencies. The collateral is in
the possession of the Trust’s custodian and is evaluated daily to ensure that its market value exceeds by, at a minimum, 102% of
the delivery value of the repurchase agreement at maturity. Each Fund holds a pro rata share of the collateral based on the dollar
amount of the repurchase agreement entered into by each Fund.
The repurchase agreements executed by the joint account and outstanding as of December 31, 2007, were as follows:
Counterparty
Terms of Agreement
Face Value
Market Value
Repurchase Price
Mizuho Financial Group, Inc.
1.40% due 01/02/08
$100,000,000
$100,000,000
$100,007,778
Morgan Stanley
1.20% due 01/02/08
100,000,000
100,000,000
100,006,667
UBS Financial Services, Inc.
1.14% due 01/02/08
100,000,000
100,000,000
100,006,333
Lehman Brothers Holdings, Inc.
1.00% due 01/02/08
76,214,183
76,214,183
76,218,418
$376,214,183
$376,239,196
58
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THE RYDEX VARIABLE TRUST ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS (continued)
As of December 31, 2007, the collateral for the repurchase agreements in the joint account was as follows:
Security Type
Maturity Dates
Range of Rates
Par Value
Market Value
U.S. Treasury Notes
11/15/08 - 11/15/16
3.375% - 4.750%
$193,110,000
$197,169,227
TIP Notes
01/15/09 - 07/15/17
1.875% - 4.250%
141,445,000
165,690,117
Federal Home Loan Bank
08/05/09 - 09/09/16
5.000% - 5.375%
7,755,000
8,203,002
TIP Bonds
01/15/25
2.375%
5,920,000
6,890,030
Federal Discount Note
02/29/08
0.000%
3,950,000
3,922,350
U.S. Treasury Bills
02/14/08 - 02/21/08
0.000%
1,883,000
1,875,790
$383,750,516
In the event of counterparty default, the Trust has the right to collect the collateral to offset losses incurred. There is potential loss
to the Trust in the event the Trust is delayed or prevented from exercising its rights to dispose of the collateral securities, including
the risk of a possible decline in the value of the underlying securities during the period while the Trust seeks to assert its rights. The
Trust’s investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the credit-
worthiness of those banks and dealers with which the Trust enters into repurchase agreements to evaluate potential risks.
6.
Securities Transactions
During the year ended December 31, 2007, the cost of purchases and proceeds from sales of investment securities, excluding
short-term and temporary cash investments, were:
Absolute
Multi-Cap
Sector
Return
Commodities
Core Equity
Rotation
Strategies
Strategy
Fund
Fund
Fund
Fund
Purchases
$21,348,772
$285,460,935
$103,148,556
$48,513,494
Sales
$21,642,747
$266,427,863
$
94,483,204
$41,622,313
Strengthening
Weakening
Hedged
Dollar
Dollar
Equity
Real Estate
2x Strategy
2x Strategy
Fund
Fund
Fund
Fund
Purchases
$38,003,412
$132,377,805
$
—
$
—
Sales
$40,455,341
$173,918,714
$
—
$
—
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
59
NOTES TO FINANCIAL STATEMENTS (continued)
7.
Share Transactions
The Trust is authorized to distribute an unlimited number of no par value shares. Transactions in shares for the periods presented were:
Purchased through
Net Shares
Shares Purchased
Dividend Reinvestment
Shares Redeemed
Purchased (Redeemed)
Year Ended
Year Ended
Year Ended
Year Ended
Year Ended
Year Ended
Year Ended
Year Ended
December 31,
December 31,
December 31,
December 31,
December 31,
December 31,
December 31,
December 31,
2007
2006
2007
2006
2007
2006
2007
2006
Multi-Cap Core Equity Fund
593,772
536,267
26,962
357
(658,918)
(358,656)
(38,184)
177,968
Sector Rotation Fund
5,545,419
7,047,157
594,757
317,039
(4,156,364)
(5,730,038)
1,983,812
1,634,158
Absolute Return Strategies Fund
2,178,075
1,127,925
56,017
21,509
(1,883,864)
(420,205)
350,228
729,229
Commodities Strategy Fund
2,868,931
4,551,504
—
—
(2,151,804)
(4,709,776)
717,127
(158,272)
Hedged Equity Fund
1,166,016
961,138
24,651
18,243
(1,285,651)
(606,870)
(94,984)
372,511
Real Estate Fund
2,845,450
8,118,053
135,036
72,624
(3,711,330)
(7,256,824)
(730,844)
933,853
Strengthening Dollar 2x Strategy Fund
1,926,266
975,434
—
1,031
(1,862,970)
(889,524)
63,296
86,941
Weakening Dollar 2x Strategy Fund
1,565,858
1,962,862
65,042
14,602
(1,561,649)
(1,693,518)
69,251
283,946
NOTES TO FINANCIAL STATEMENTS (continued)
8.
Portfolio Securities Loaned
The Trust may lend its securities to approved brokers to earn additional income. Security lending income shown on the statement
of operations is shown net of rebates paid to borrowers and earnings on cash collateral investments shared with the lending
agent. Within this arrangement, the Trust acts as the lender, U.S. Bank acts as the agent, and other approved registered broker
dealers act as the borrowers. The Trust receives cash collateral, valued at 100% of the value of the securities on loan, which is
initially held in a segregated account at U.S. Bank. Under the terms of the Trust’s securities lending agreement with U.S. Bank,
cash collateral may be invested by U.S. Bank in certain high quality, liquid investments. At December 31, 2007, the cash collateral
investments consisted of mutual funds. Collateral is maintained over the life of the loan in an amount not less than the value of
loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in
security values is delivered to the Fund the next business day. Although the collateral mitigates risk, the Trust could experience a
delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Trust has
the right under the securities lending agreement to recover the securities from the borrower on demand.
The following represents a breakdown of the collateral, its rates, and maturities:
MUTUAL FUND
Issuer
Shares
Market Value
Mount Vernon Securities Lending Trust
55,984,090
$ 55,984,090
Total Mutual Fund
$ 55,984,090
At December 31, 2007, the following Funds participated in securities lending and received cash collateral:
Fund
Cash Collateral
Value of Securities Loaned
Multi-Cap Core Equity Fund
$
1,151,213
$
1,105,445
Sector Rotation Fund
32,234,639
30,961,666
Absolute Return Strategies Fund
5,153,166
4,955,561
Commodities Strategy Fund
2,202,768
2,151,370
Hedged Equity Fund
1,418,493
1,363,138
Real Estate Fund
13,823,811
13,441,991
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
61
NOTES TO FINANCIAL STATEMENTS (concluded)
9.
New Accounting Pronouncements
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 “Accounting for
Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured,
presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken
in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being
sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded
as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006
and is to be applied to all open tax years as of the effective date. Recent SEC guidance allows implementing FIN 48 in fund net
asset value calculations as late as a fund’s last net asset value calculation in the first required financial statement reporting period.
Management adopted FIN 48 on June 29, 2007. There is no material impact to the financial statements or disclosures thereto as a
result of the adopting of this pronouncement.
The Funds file U.S. federal income tax returns and returns in various foreign jurisdictions in which it invests. While the statute of
limitations remains open to examine the Fund’s U.S. federal income tax returns filed for the fiscal years 2004 to 2007, no
examinations are in progress or anticipated at this time. The Funds are not aware of any tax positions for which it is reasonably
possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
On September 15, 2006, the FASB released Statement of Financial Accounting Standard No. 157 (“FAS 157”) Fair Value
Measurement which provided enhanced guidance for using fair value to measure assets and liabilities. The standard requires
companies to provide expanded information about the assets and liabilities measured at fair value and the potential effect of these
fair valuations on an entity’s financial performance. The standard does not expand the use of fair value in any new circumstances,
but provides clarification on acceptable fair valuation methods and applications. Adoption of FAS 157 is required for fiscal years
beginning after November 15, 2007. The standard is not expected to materially impact the Funds’ financial statements.
10. Subsequent Event
At the close of business on January 17, 2008, Rydex NV, Inc., comprised of Rydex Investments, together with several other Rydex
entities, was acquired by Security Benefit Corporation (“Security Benefit”), a financial services firm that provides a broad variety of
financial programs to investors in the advisor, banking, education, government, institutional, and qualified plan markets (the
“Transaction”). As a result of the Transaction’s completion, Rydex Investments and the Distributor are wholly-owned subsidiaries of
Security Benefit. While the Transaction has no material impact on the Funds or their shareholders, it resulted in a change of
control of Rydex Investments, which in turn caused the termination of the investment advisory agreement between Rydex
Investments and the Funds.
A new investment advisory agreement between Rydex Investments and the Funds was approved under substantially the same
terms as the previous investment advisory agreement (the “New Agreement”). This New Agreement was approved by
shareholders, via proxy, and took effect upon the closing of the Transaction.
The Transaction has no impact on the day-to-day operations of Rydex Investments, the fees payable to Rydex Investments under
the New Agreement, or the persons responsible for the management of the Funds.
62
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THE RYDEX VARIABLE TRUST ANNUAL REPORT
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
To the Board of Trustees and Shareholders
of Rydex Variable Trust:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the
related statements of operations and of changes in net assets and the financial highlights present fairly, in all material
respects, the financial position of Multi-Cap Core Equity Fund, Sector Rotation Fund, Absolute Return Strategies Fund,
Commodities Strategy Fund (formerly Commodities Fund), Hedged Equity Fund, Real Estate Fund, Strengthening Dollar
2x Strategy Fund (formerly Dynamic Strengthening Dollar Fund) and Weakening Dollar 2x Strategy Fund (formerly
Dynamic Weakening Dollar Fund), (eight series of Rydex Variable Trust, hereafter referred to as the “Funds”) at December
31, 2007, the results of each of their operations for the year then ended, the changes in each of their net assets for each of
the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with
accounting principles generally accepted in the United States of America. These financial statements and financial
highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our respon-
sibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these
financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States).
Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the
amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation. We believe that our audits, which
included confirmation of securities at December 31, 2007 by correspondence with the custodian and brokers, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 26, 2008
THE RYDEX VARIABLE TRUST ANNUAL REPORT
|
63
Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in
the report because of differences in tax and financial reporting practice.
Of the ordinary income distributions paid during the year, the following funds had the corresponding percentages qualify for the
dividends received deduction for corporations:
Fund
% Qualifying
Multi-Cap Core Equity Fund
23.18%
Sector Rotation Fund
8.14%
Absolute Return Strategies Fund
18.47%
Hedged Equity Fund
12.43%
The Funds’ distributions to shareholders included:
Multi-Cap
Sector
Absolute Return
Core Equity
Rotation
Strategies
Fund
Fund
Fund
From short-term capital gains:
$411,733
$6,533,253
$186,789
From long-term capital gains, subject to
the 15% rate gains category:
215,843
2,709,269
112,817
Hedged
Real
Equity
Estate
Fund
Fund
From short-term capital gains:
$63,462
$2,000,000
From long-term capital gains, subject to
the 15% rate gains category:
91,680
2,000,000
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the
Funds’ portfolios is available, without charge and upon request, by calling 1-800-820-0888. This information is also available from
the EDGAR database on the SEC’s website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended
June 30 is available without charge, upon request, by calling 1-800-820-0888. This information is also available from the EDGAR
database on the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form
N-Q, which is available on the SEC’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the
SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be
obtained by calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon
request, by calling 1-800-820-0888.
Rydex Investments Board Review and Approval of the Investment Advisory Agreement
The Investment Company Act of 1940 (the “1940 Act”) requires that the initial approval of, as well as the continuation of, a fund’s
investment advisory agreement be specifically approved by the vote of a majority of the trustees who are not parties to the
investment advisory agreement or “interested persons” of any party (the “Independent Trustees”), cast in person at a meeting
called for the purpose of voting on such approval. In connection with such approvals, the fund’s trustees must request and
evaluate, and the investment adviser is required to furnish, such information as may be reasonably necessary to evaluate the terms
of the advisory agreement. In addition, the Securities and Exchange Commission (the “SEC”) takes the position that, as part of
their fiduciary duties with respect to fund fees, fund boards are required to evaluate the material factors applicable to a decision
to approve an investment advisory agreement.
Consistent with these responsibilities, the Rydex Variable Trust Board of Trustees (the “Board”) generally calls and holds one
meeting each year that is dedicated to considering whether to renew the investment advisory agreements between Rydex
Variable Trust (the “Trust”) and PADCO Advisors II, Inc., which does business under the name Rydex Investments (“Rydex
Investments”), (the “Current Agreements”) with respect to existing funds in the Trust, including the funds discussed in this Annual
Report (each a “Fund” and collectively, the “Funds”), and to reviewing certain other agreements pursuant to which Rydex
Investments provides investment advisory services to certain other registered investment companies. In preparation for the
meeting, the Board requests and reviews a wide variety of materials provided by Rydex Investments, including information about
Rydex Investments’ affiliates, personnel and operations. The Board also receives data provided by third parties. This information is
64
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THE RYDEX VARIABLE TRUST ANNUAL REPORT
OTHER INFORMATION (Unaudited) (continued)
in addition to the detailed information about the Funds that the Board reviews during the course of each year, including
information that relates to Fund operations and performance. The Board also receives a memorandum from Fund counsel
regarding the responsibilities of the Board for the approval of investment advisory agreements. In addition, the Independent
Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of
fund management, and participate in question and answer sessions with representatives of Rydex Investments.
At a Special Meeting of the Board held on July 10, 2007, and subsequently, during the Board’s regular quarterly meeting held on
August 27 and 28, 2007 (the “Annual Renewal Meeting” and together with the July 10, 2007 Meeting, the “Meetings”), the
Board considered and voted in favor of new investment advisory agreements for Rydex Variable Trust (each, a “New Agreement”
and collectively, the “New Agreements”), which, subject to their approval by each Fund’s shareholders, will enable Rydex
Investments to continue to serve as investment adviser to each Fund after the completion of the acquisition of Rydex Investments’
parent, Rydex Holdings, Inc. (the “Transaction”). During the Annual Renewal Meeting, the Board also considered and approved
the selection of Rydex Investments and the continuance of the Current Agreements for an additional one-year period or until the
closing of the Transaction, based on its review of qualitative and quantitative information provided by Rydex Investments.
Board Considerations in Approving the New Investment Advisory Agreements and the Continuation of the Current
Investment Advisory Agreements
In preparation for the Annual Renewal Meeting, the Board requested and received written materials from Rydex Investments
about: (a) the quality of Rydex Investments’ investment management and other services; (b) Rydex Investments’ investment
management personnel; (c) Rydex Investments’ operations and financial condition; (d) Rydex Investments’ brokerage practices
(including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that Rydex Investments
charges the Funds compared with the fees it charges to comparable mutual funds or accounts; (f) each Fund’s overall fees and
operating expenses compared with similar mutual funds; (g) the level of Rydex Investments’ profitability from its Fund-related
operations; (h) Rydex Investments’ compliance systems; (i) Rydex Investments’ policies on and compliance procedures for personal
securities transactions; (j) Rydex Investments’ reputation, expertise and resources in domestic financial markets; and (k) Fund
performance compared with similar mutual funds. Certain of these considerations are discussed in more detail below.
In its deliberations at the Annual Renewal Meeting, the Board did not identify any single piece of information that was all-
important or controlling. Based on the Board’s deliberations and its evaluation of the information referenced above and described
in more detail below, the Board, including all of the Independent Trustees, unanimously: (a) concluded that terms of the Current
Agreements and New Agreements were fair and reasonable; (b) concluded that Rydex Investments’ fees were reasonable in light
of the services that Rydex Investments provides to the Funds; (c) agreed to renew each Current Agreement for an additional one-
year term; and (d) agreed to approve the New Agreements for an initial term of two years.
In approving the New Agreements and the continuation of the Current Agreements at the Annual Renewal Meeting, the Board,
including the Independent Trustees, advised by independent counsel, considered the factors discussed below.
Nature, Extent, and Quality of Services Provided by Rydex Investments
At the Annual Renewal Meeting, the Board reviewed the scope of services to be provided by Rydex Investments
under each Current Agreement and noted that there would be no significant differences between the scope of
services required to be provided by Rydex Investments for the past year and the scope of services required to be
provided by Rydex Investments for the upcoming year. In reviewing the scope of services provided to the Funds by
Rydex Investments, the Board reviewed and discussed Rydex Investments’ investment experience, noting that Rydex
Investments and its affiliates have committed significant resources over time to the support of the Funds. The Board
also considered Rydex Investments’ compliance program and its compliance record with respect to the Funds. In that
regard, the Board noted that Rydex Investments provides information regarding the portfolio management and
compliance to the Board on a periodic basis in connection with regularly scheduled meetings of the Board. In addition
to the above considerations, the Board reviewed and considered Rydex Investments’ investment processes and
strategies, and matters related to Rydex Investments’ portfolio transaction policies and procedures. With respect to
those Funds that invest in unaffiliated ETFs in reliance on exemptive orders pursuant to Section 12(d)(1), the Board
considered and determined that the advisory fees charged under the Current Agreements are based on services
provided that will be in addition to, rather than duplicative of, the services provides under the investment advisory
agreement of any ETF in which the Funds are invested. In particular, the Board recognized that Rydex Investments
must manage a Fund’s investment in an unaffiliated ETF in the same manner as other investments in the Fund’s
portfolio in order to ensure that the Fund achieves its investment objective. Thus, a Fund’s investment in an unaffiliated
ETF does not alleviate Rydex Investments’ duties and responsibilities as investment adviser to the Fund. The Board
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OTHER INFORMATION (Unaudited) (continued)
also noted the substantial volume of portfolio trades and shareholder transaction activity, in general, processed by
Rydex Investments due to the unlimited exchange policy of the majority of the Funds. The Board further noted that
the Funds have consistently met their investment objectives since their respective inception dates. Based on this
review, the Board concluded that the nature, extent, and quality of services to be provided by Rydex Investments to
the Funds under the Current Agreements were appropriate and continued to support the Board’s original selection of
Rydex Investments as investment adviser to the Funds.
Fund Expenses and Performance of the Funds and Rydex Investments
At the Annual Renewal Meeting, the Board reviewed statistical information prepared by Rydex Investments regarding
the expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total
expenses of each Fund in comparison with the same information for other funds registered under the 1940 Act
determined by Rydex Investments to comprise each Fund’s applicable peer group. Because few funds seek to provide
unlimited exchange privileges similar to those of the majority of the Funds, each Fund’s applicable peer group is
generally limited to the funds of two unaffiliated mutual fund families. In addition, the Board reviewed statistical
information prepared by Rydex Investments relating to the performance of each Fund, as well as each Fund’s ability to
successfully track its benchmark over time, and a comparison of each Fund’s performance to funds with similar
investment objectives for the same periods and to appropriate indices/benchmarks, in light of total return, yield and
market trends. The Board further noted that despite the unique nature of the Funds, the peer fund information
presented to the Board was meaningful because the peer funds’ investment objectives and strategies were closely
aligned with those of the Funds. The Board noted that most of the Funds either outperformed their peer funds or
performed in line with them over relevant periods. The Board also noted that the investment advisory fees for the Funds
were equivalent to those of their peers and that the overall expenses for the Funds were only slightly higher than the
total expenses of the peer funds, due in part to differing share classes and distribution fees. Based on this review, the
Board concluded that the investment advisory fees and expense levels and the historical performance of the Funds, as
managed by Rydex Investments, as compared to the investment advisory fees and expense levels and performance of
the peer funds, were satisfactory for the purposes of approving the continuance of the Current Agreements.
Costs of Services Provided to the Funds and Profits Realized by Rydex Investments and its Affiliates
At the Annual Renewal Meeting, the Board reviewed information about the profitability of the Funds to Rydex
Investments based on the advisory fees payable under the Current Agreements for the last calendar year. Rydex
Investments also presented the Board with material discussing its methodology for determining the level of advisory
fees assessable to the Funds. The Board analyzed the Funds’ expenses, including the investment advisory fees paid to
Rydex Investments. The Board also reviewed information regarding direct revenue received by Rydex Investments and
ancillary revenue received by Rydex Investments and/or its affiliates in connection with the services provided to the
Funds by Rydex Investments (as discussed below) and/or its affiliates. The Board also discussed Rydex Investments’
profit margin as reflected in Rydex Investments’ profitability analysis and reviewed information regarding economies of
scale (as discussed below). Based on this review, the Board concluded that the profits to be realized by Rydex
Investments and its affiliates under the Current Agreements and from other relationships between the Funds and
Rydex Investments and/or its affiliates, if any, were within the range the Board considered reasonable and appropriate.
Economies of Scale
In connection with its review of the Funds’ profitability analysis at the Annual Renewal Meeting, the Board reviewed
information regarding economies of scale or other efficiencies that may result from increases in the Funds’ asset levels.
The Board noted that neither the Current Agreements nor the New Agreements for the Funds provided for any
breakpoints in the investment advisory fees as a result of increases in the asset levels of the Funds. The Board also
noted that though Rydex Investments’ assets under management were significant, the amount is spread among more
than 100 Funds. Further limiting the realization of economies of scale, is the ability of shareholders of many of the
Funds to engage in unlimited trading. The Board also reviewed and considered Rydex Investments’ historic profitability
as investment adviser to the Funds and determined that reductions in advisory fees or additions of breakpoints were
not warranted at this juncture. Based on this review, the Board, recognizing its responsibility to consider this issue at
least annually, determined that the economies of scale, if any, were de minimis.
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THE RYDEX VARIABLE TRUST ANNUAL REPORT
OTHER INFORMATION (Unaudited) (continued)
Other Benefits to Rydex Investments and/or its Affiliates
At the Annual Renewal Meeting, in addition to evaluating the services provided by Rydex Investments, the Board also
considered the nature, extent, quality and cost of the administrative, distribution, and shareholder services performed
by Rydex Investments’ affiliates under separate agreements. The Board noted that Rydex Investments reports its use
of soft dollars to the Board on a quarterly basis, as well as any portfolio transactions on behalf of the Funds placed
through an affiliate of the Funds or Rydex Investments pursuant to Rule 17e-1 under the 1940 Act. Based on its review,
the Board concluded that the nature and quality of the services provided by Rydex Investments’ affiliates to the Trust
will benefit the Funds’ shareholders, and that any ancillary benefits would not be disadvantageous to the Funds’
shareholders, particularly in light of the Board’s view that the Funds’ shareholders benefit from investing in a fund that
is part of a large family of funds offering a variety of investment strategies and services.
Additional Considerations in Approving the New Agreements
On June 18, 2007, the Trustees met with representatives of Security Benefit and the management of Rydex Investments for the
purpose of learning more about Security Benefit and the proposed Transaction. Immediately following the announcement that
Rydex and Security Benefit entered into a purchase and sale agreement, the Trustees requested that Rydex Investments provide
the Board with additional information pertaining to the effect of the proposed change of control on Rydex Investments’ personnel
and operations and the terms of the New Agreements. Rydex Investments presented its response to the Board’s request for
additional information prior to and at a Special Meeting of the Boards of Trustees held on July 10, 2007. Rydex Investments
provided the Board with oral and written information to help the Board evaluate the impact of the change of control on Rydex
Investments, Rydex Investments’ ability to continue to provide investment advisory services to the Funds under the New
Agreements, and informed the Board that the contractual rate of Rydex Investments’ fees will not change under the New
Agreements. Rydex Investments also affirmed that the terms of the New Agreements were the same in all material respects to
those of the Current Agreements.
The Trustees deliberated on the approval of each New Agreement in light of the information provided. The Board determined
that the terms of the New Agreements set forth materially similar rights, duties and obligations on Rydex Investments with regard
to the services to be provided to the Trust, and provided at least the same level of protection to the Trust, the Funds and the
Funds’ shareholders as the Current Agreements. The Board also noted that Rydex Investments’ fees for their services to the Funds
under each New Agreement would be the same as their fees under the corresponding Current Agreement. The Board further
noted that all considerations, determinations and findings related to the approval of the continuation of the Current Agreements,
as discussed above, were equally relevant to their approval of the New Agreements along with the additional factors relevant to
the proposed change in control discussed below.
Nature, Extent and Quality of Services Provided by Rydex Investments; Performance of the Funds
The Board noted that Rydex Investments was taking appropriate steps to maintain its associates through the closing of
the Transaction by, in part, keeping them informed of the potential Transaction and awarding key personnel with
incentives to emphasize their value to Rydex Investments. As a result of these efforts, it is anticipated that the key
investment and management personnel servicing the Funds will remain with Rydex Investments following the
Transaction and that the investment and management services provided to the Funds by Rydex Investments will not
change. The Board also considered Rydex Investments’ and Security Benefit’s representations to the Board that
Security Benefit intends for Rydex Investments to continue to operate following the closing of the Transaction in much
the same manner as it operates today, and that the Transaction should have no impact on the day-to-day operations of
Rydex Investments, or the persons responsible for the management of the Funds. Based on this review, the Board
concluded that the range and quality of services provided by Rydex Investments to the Funds were appropriate and
were expected to continue under the New Agreements, and that there was no reason to expect the consummation of
the Transaction to have any adverse effect on the services provided by Rydex Investments and its affiliates or the
future performance of the Funds.
Fund Expenses
The Board also considered the fact that the fees payable to Rydex Investments and other expenses of the Funds
would be the same under the New Agreements as they are under the Current Agreements, and on this basis, the
Board concluded that these fees and expenses continued to be satisfactory for the purposes of approving the New
Agreements. More detailed information regarding the fees under the New Agreements is contained in the Proxy
Statement and accompanying materials dated September 6, 2007.
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67
OTHER INFORMATION
(Unaudited)
(concluded)
Costs of Services Provided to the Funds and Profits Realized by Rydex Investments and its Affiliates
Because Rydex Investments’ fees under the New Agreements are the same as those assessed under the Current
Agreements, the Board concluded that the profits to be realized by Rydex Investments and its affiliates under the New
Agreements and from other relationships between the Funds and Rydex Investments and/or its affiliates, if any, should
remain within the range the Board considered reasonable and appropriate. The Board further noted that, although it is
not possible to predict how the Transaction may affect Rydex Investments’ future profitability from its relationship with
the Funds, this matter would be given further consideration on an annual basis going forward.
Economies of Scale
The Board further considered the potential economies of scale that may result from the Transaction, and concluded
that the extent of such economies of scale could not be predicted in advance of the closing of the Transaction.
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THE RYDEX VARIABLE TRUST ANNUAL REPORT
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)
A Board of Trustees oversees all Rydex Investments, in which its members have no stated term of service, and continue to serve
after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and
Officers, and can be obtained without charge by calling 1-800-820-0888.
All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell Rd., Suite 500, Rockville, MD 20850.
TRUSTEES AND OFFICERS
Length of Service
Name, Position and
As Trustee
Number of
Year of Birth
(Year Began)
Funds Overseen
–––––––––––––––––––––––––
––––––––––––––––––––––––––––––––
––––––––––——––––––
Carl G. Verboncoeur*
Rydex Series Funds – 2004
147
Trustee, President (1952)
Rydex Variable Trust – 2004
Rydex Dynamic Funds – 2004
Rydex ETF Trust – 2004
Principal Occupations During Past Five Years: Chief Executive Officer and Treasurer of Rydex Specialized Products, LLC (2005 to
present); Chief Executive Officer of Rydex Investments and Rydex Distributors, Inc. (2003 to present); Executive Vice President of
Rydex Investments (2000 to 2003)
Michael P. Byrum*
Rydex Series Funds – 2005
147
Trustee, Vice President
Rydex Variable Trust – 2005
(1970)
Rydex Dynamic Funds – 2005
Rydex ETF Trust – 2005
Principal Occupations During Past Five Years: Secretary of Rydex Specialized Products, LLC (2005 to present); Vice President of
Rydex Series Funds (1997 to present); Vice President of Rydex Variable Trust (1998 to present); Vice President of Rydex Dynamic
Funds (1999 to present); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners
SPhinX Fund (2003 to 2006); President of Rydex Investments (2004 to present); Chief Operating Officer of Rydex Investments and
Rydex Distributors, Inc. (2003 to 2004)
INDEPENDENT TRUSTEES
Length of Service
Name, Position and
As Trustee
Number of
Year of Birth
(Year Began)
Funds Overseen
–––––––––––––––––––––––––
––––––––––––––––––––––––––––––––
––––––––––——––––––
John O. Demaret
Rydex Series Funds – 1997
139
Trustee, Chairman of the
Rydex Variable Trust – 1998
Board (1940)
Rydex Dynamic Funds – 1999
Rydex ETF Trust – 2003
Principal Occupations During Past Five Years: Retired
Corey A. Colehour
Rydex Series Funds – 1993
139
Trustee (1945)
Rydex Variable Trust – 1998
Rydex Dynamic Funds – 1999
Rydex ETF Trust – 2003
Principal Occupations During Past Five Years: Retired (2006 to present); Owner and President of Schield Management Company,
registered investment adviser (2005 to 2006); Senior Vice President of Marketing and Co-Owner of Schield Management
Company, registered investment adviser (1985 to 2005)
J. Kenneth Dalton
Rydex Series Funds – 1995
139
Trustee (1941)
Rydex Variable Trust – 1998
Rydex Dynamic Funds – 1999
Rydex ETF Trust – 2003
Principal Occupations During Past Five Years: Mortgage Banking Consultant and Investor, The Dalton Group
Werner E. Keller
Rydex Series Funds – 2005
139
Trustee (1940)
Rydex Variable Trust – 2005
Rydex Dynamic Funds – 2005
Rydex ETF Trust – 2005
Principal Occupations During Past Five Years: Retired (2001 to present); Chairman, Centurion Capital Management (1991 to 2001)
THE RYDEX VARIABLE TRUST ANNUAL REPORT
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69
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)
Length of Service
Name, Position and
As Trustee
Number of
Year of Birth
(Year Began)
Funds Overseen
–––––––––––––––––––––––––
––––––––––––––––––––––––––––––––
––––––––––——––––––
Thomas F. Lydon, Jr.
Rydex Series Funds – 2005
139
Trustee (1960)
Rydex Variable Trust – 2005
Rydex Dynamic Funds – 2005
Rydex ETF Trust – 2005
Principal Occupations During Past Five Years: President, Global Trends Investments
Patrick T. McCarville
Rydex Series Funds – 1997
139
Trustee (1942)
Rydex Variable Trust – 1998
Rydex Dynamic Funds – 1999
Rydex ETF Trust – 2003
Principal Occupations During Past Five Years: Founder and Chief Executive Officer, Par Industries, Inc.
Roger Somers
Rydex Series Funds – 1993
139
Trustee (1944)
Rydex Variable Trust – 1998
Rydex Dynamic Funds – 1999
Rydex ETF Trust – 2003
Principal Occupations During Past Five Years: Owner, Arrow Limousine
EXECUTIVE OFFICERS
Name, Position and
Principal Occupations
––––––––––––––––––––––––––––––
Year of Birth
––––––––––––––––––––––––
During Past Five Years
Nick Bonos*
Chief Financial Officer of Rydex Specialized Products, LLC (2005
Vice President and Treasurer (1963)
to present); Vice President and Treasurer of Rydex Series Funds,
Rydex Variable Trust, Rydex Dynamic Funds, and Rydex ETF Trust
(2003 to present); Senior Vice President of Rydex Investments
(2003 to present); Vice President and Treasurer of Rydex Capital
Partners SPhinX Fund (2003 to 2006); Vice President of
Accounting of Rydex Investments (2000 to 2003)
Joanna M. Haigney*
Chief Compliance Officer of Rydex Series Funds, Rydex Variable
Chief Compliance Officer and
Trust, and Rydex Dynamic Funds (2004 to present); Secretary of
Secretary (1966)
Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic
Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to
present); Vice President of Compliance of Rydex Investments
(2000 to present); Secretary of Rydex Capital Partners SPhinX
Fund (2003 to 2006)
Joseph Arruda*
Assistant Treasurer of Rydex Series Funds, Rydex Variable Trust,
Assistant Treasurer (1966)
Rydex Dynamic Funds, Rydex ETF Trust (2006 to present); Vice
President of Rydex Investments (2004 to present); Director of
Accounting of Rydex Investments (2003 to 2004); Vice President
of Mutual Funds, State Street Bank & Trust (2000 to 2003)
Paula Billos*
Controller of Rydex Series Funds, Rydex Variable Trust, Rydex
Controller (1974)
Dynamic Funds, Rydex ETF Trust (2006 to present); Director of
Fund Administration of Rydex Investments (2001 to present)
* Officers of the Fund are deemed to be “interested persons” of the Trust, within the meaning of Section 2(a)(19) of the 1940 Act, inasmuch as
this person is affiliated with Rydex Investments.
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9601 Blackwell Road, Suite 500
Rockville, MD 20850
www.rydexinvestments.com
800.820.0888
RVAALTS-ANN-2-1207x1208