UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811- 08821 | |
Rydex Variable Trust
(Exact name of registrant as specified in charter)
9601 Blackwell Road, Suite 500
Rockville, Maryland 20850
(Address of principal executive offices) (Zip code)
Richard M. Goldman
Rydex Variable Trust
9601 Blackwell Road, Suite 500
Rockville, Maryland 20850
(Name and address of agent for service)
Rydex Variable Trust
9601 Blackwell Road, Suite 500
Rockville, Maryland 20850
Registrant’s telephone number, including area code: | 1-301-296-5100 | |
Date of fiscal year end: | December 31, 2009 | |
Date of reporting period: | December 31, 2009 | |
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
Rydex Variable Trust
DECEMBER 31, 2009
RYDEX VARIABLE TRUST ANNUAL REPORT
BENCHMARK FUNDS
RYDEX VARIABLE TRUST ANNUAL REPORT
BENCHMARK FUNDS
NOVA FUND | DOMESTIC EQUITY FUNDS | |
INVERSE S&P 500 STRATEGY FUND | S&P 500 PURE GROWTH FUND | |
NASDAQ-100® FUND | (Formerly, Large-Cap Growth Fund) | |
INVERSE NASDAQ-100® STRATEGY FUND | S&P 500 PURE VALUE FUND | |
S&P 500 2x STRATEGY FUND | (Formerly, Large-Cap Value Fund) | |
NASDAQ-100® 2x STRATEGY FUND | S&P MIDCAP 400 PURE GROWTH FUND | |
MID-CAP 1.5x STRATEGY FUND | (Formerly, Mid-Cap Growth Fund) | |
INVERSE MID-CAP STRATEGY FUND | S&P MIDCAP 400 PURE VALUE FUND | |
RUSSELL 2000® 2x STRATEGY FUND | (Formerly, Mid-Cap Value Fund) | |
RUSSELL 2000® 1.5x STRATEGY FUND | S&P SMALLCAP 600 PURE GROWTH FUND | |
INVERSE RUSSELL 2000® STRATEGY FUND | (Formerly, Small-Cap Growth Fund) | |
DOW 2x STRATEGY FUND | S&P SMALLCAP 600 PURE VALUE FUND | |
INVERSE DOW 2x STRATEGY FUND | (Formerly, Small-Cap Value Fund) | |
INTERNATIONAL EQUITY FUNDS | ||
EUROPE 1.25x STRATEGY FUND | ||
JAPAN 2x STRATEGY FUND | ||
(Formerly, Japan 1.25x Strategy Fund) | ||
SPECIALTY FUNDS | ||
STRENGTHENING DOLLAR 2x STRATEGY FUND | ||
WEAKENING DOLLAR 2x STRATEGY FUND | ||
REAL ESTATE FUND | ||
FIXED INCOME FUNDS | ||
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | ||
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | ||
MONEY MARKET FUND | ||
U.S. GOVERNMENT MONEY MARKET FUND |
This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.
Distributed by Rydex Distributors, Inc.
TABLE OF CONTENTS
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 1 |
LETTER TO OUR SHAREHOLDERS
DEAR SHAREHOLDER,
On September 15, 2009, Federal Reserve (Fed) Chairman Ben Bernanke stated that “the recession is very likely over.” Indications are that we are in fact emerging from what has been termed the “Great Recession,” but significant risks linger due to the aftershocks of the 2008 financial and liquidity crisis.
Despite the strong advance to end the year, 2009 marked the end of one of the all-time worst decades of performance for the U.S. equity markets, with an average annual return of -.95%. However, economic trends over the last year suggest that conditions are improving. One sign is an exceptionally strong equity market. From March 9 (the market’s low point) until the end of 2009, the U.S. equity market was up 67.80% as measured by the S&P 500® Index. Strong equity returns across multiple indices, including the MSCI EAFE Index® (up 32.43% for the year), reflected investors’ increased appetite for risk.
More signs of economic improvement
Emerging markets posted even stronger returns—the MSCI Emerging Markets Index, for instance, was up 78.58% in 2009. Additionally, all 10 underlying economic sectors posted positive returns during the one-year period, with information technology (59.92%) and materials (45.22%) leading the way. Among the laggards for the year, utilities (6.80%) and telecom (2.63%) still managed to produce positive returns. Along with traditional assets, hedge fund managers enjoyed the favorable market environment in 2009 with returns of 20.04% as measured by the HFRI Fund Weighted Composite Index, which is an equal weighted index of more than 2,000 single manager hedge funds. Those strong returns were in contrast to a poor showing in 2008, when the composite index was down 19%. Another good sign: After a significant spike at the height of the financial crisis in the fall of 2008, implied market volatility levels as measured by the VIX Index have steadily trended down to more normal levels.
Emerging markets posted even stronger returns—the MSCI Emerging Markets Index, for instance, was up 78.58% in 2009. Additionally, all 10 underlying economic sectors posted positive returns during the one-year period, with information technology (59.92%) and materials (45.22%) leading the way. Among the laggards for the year, utilities (6.80%) and telecom (2.63%) still managed to produce positive returns. Along with traditional assets, hedge fund managers enjoyed the favorable market environment in 2009 with returns of 20.04% as measured by the HFRI Fund Weighted Composite Index, which is an equal weighted index of more than 2,000 single manager hedge funds. Those strong returns were in contrast to a poor showing in 2008, when the composite index was down 19%. Another good sign: After a significant spike at the height of the financial crisis in the fall of 2008, implied market volatility levels as measured by the VIX Index have steadily trended down to more normal levels.
Improving housing conditions and increases in consumer spending—combined with significant reduction of inventories—lifted the U.S. economy out of recession in the third quarter of 2009. Real GDP grew at a rate of 2.2% for the quarter. U.S. consumer confidence, as measured by the Conference Board Consumer Confidence Index, rose in December to 52.9—the second straight month of improvement. Consumer outlook has improved somewhat from early in 2009, although concerns relating to the job market continue to weigh on consumers. Another sign of stronger economic conditions is existing home sales, which continued to improve—in November, existing home sales increased 7.4% from the prior month.
Reasons for caution in 2010
While many indicators are positive, certain risks remain. One of the major areas of concern is U.S. employment. The pace of job losses has slowed considerably from late 2008 and early 2009, when the change to non-farm payrolls shed as much as 741,000 jobs in a month. However, in December, despite modest growth in the prior month, 85,000 jobs were lost. The unemployment rate remained unchanged at 10% only due to the fact that the labor force declined by 661,000 workers.
While many indicators are positive, certain risks remain. One of the major areas of concern is U.S. employment. The pace of job losses has slowed considerably from late 2008 and early 2009, when the change to non-farm payrolls shed as much as 741,000 jobs in a month. However, in December, despite modest growth in the prior month, 85,000 jobs were lost. The unemployment rate remained unchanged at 10% only due to the fact that the labor force declined by 661,000 workers.
Looking at 2010, some questions remain. How (and in what timeframe) will the Fed orchestrate an exit to the massive amount of quantitative easing it has implemented? Will inflationary pressures force the Fed to raise rates prematurely or will excess productive capacity counter those risks? How will the government grapple with deficit issues while promoting job growth necessary to support the fragile economy?
2 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
LETTER TO OUR SHAREHOLDERS (concluded)
So far, the Fed has signaled that it will maintain an “exceptionally low” interest rate target for some time—in fact, there is a reasonable chance that the Fed will not increase rates until early 2011. If financial conditions continue to improve, the Fed will not need to further expand its credit easing policies and may begin an orderly exit to the existing programs. The major risks for the U.S. economy include long-run negative implications to carrying large budget deficits. Labor conditions also factor largely into the equation, with the risk of continued rising unemployment undermining the economic recovery.
In any case, the broad array of product offerings at Rydex|SGI can help investors either hedge or augment exposures to the equity or fixed-income markets, as well as introduce alternative assets and strategies into a portfolio to improve overall diversification. Thank you for the trust you place in us.
Sincerely,
Michael Byrum
President & Chief Investment Officer
President & Chief Investment Officer
Performance displayed represents past performance, which is no guarantee of future results. Fund performance is subject to daily market volatility and may be better or worse since the end of the last quarter. For up-to-date fund performance, call 800.820.0888 or visit www.rydex-sgi.com.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 3 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited)
Many of the Rydex Funds described in this report are benchmarked daily to leveraged and/or inverse leveraged 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 | |||||||||||||||||||
Level | Performance | Expectation | Fund 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.
Because certain funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings consistent with their strategies, as frequently as daily. For those funds that consistently apply leverage, the value of the fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. For more on correlation, leverage and other risks, please read the prospectus.
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.
4 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
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, 2009 and ending December 31, 2009.
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 illustrated 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.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
Beginning | Ending | Expenses | ||||||||||||||
Expense | Account Value | Account Value | Paid During | |||||||||||||
Ratio† | June 30, 2009 | December 31, 2009 | Period | * | ||||||||||||
Table 1. Based on actual Fund return | ||||||||||||||||
Nova Fund | 1.54% | $ | 1,000.00 | $ | 1,337.70 | $ | 9.07 | |||||||||
Inverse S&P 500 Strategy Fund | 1.70% | 1,000.00 | 799.20 | 7.71 | ||||||||||||
NASDAQ-100® Fund | 1.59% | 1,000.00 | 1,254.70 | 9.04 | ||||||||||||
Inverse NASDAQ-100® Strategy Fund | 1.74% | 1,000.00 | 771.70 | 7.77 | ||||||||||||
S&P 500 2x Strategy Fund | 1.70% | 1,000.00 | 1,460.00 | 10.54 | ||||||||||||
NASDAQ-100® 2x Strategy Fund | 1.74% | 1,000.00 | 1,553.00 | 11.20 | ||||||||||||
Mid-Cap 1.5x Strategy Fund | 1.70% | 1,000.00 | 1,397.20 | 10.27 | ||||||||||||
Inverse Mid-Cap Strategy Fund | 1.70% | 1,000.00 | 766.10 | 7.57 | ||||||||||||
Russell 2000® 2x Strategy Fund | 1.73% | 1,000.00 | 1,493.30 | 10.87 | ||||||||||||
Russell 2000® 1.5x Strategy Fund | 1.73% | 1,000.00 | 1,349.40 | 10.24 | ||||||||||||
Inverse Russell 2000® Strategy Fund | 1.73% | 1,000.00 | 777.00 | 7.75 | ||||||||||||
Dow 2x Strategy Fund | 1.73% | 1,000.00 | 1,531.50 | 11.04 | ||||||||||||
Inverse Dow 2x Strategy Fund | 1.73% | 1,000.00 | 609.80 | 7.02 | ||||||||||||
S&P 500 Pure Growth Fund | 1.54% | 1,000.00 | 1,288.50 | 8.88 | ||||||||||||
S&P 500 Pure Value Fund | 1.53% | 1,000.00 | 1,412.90 | 9.31 | ||||||||||||
S&P MidCap 400 Pure Growth Fund | 1.54% | 1,000.00 | 1,286.30 | 8.87 | ||||||||||||
S&P MidCap 400 Pure Value Fund | 1.54% | 1,000.00 | 1,443.30 | 9.48 | ||||||||||||
S&P SmallCap 600 Pure Growth Fund | 1.55% | 1,000.00 | 1,225.90 | 8.70 | ||||||||||||
S&P SmallCap 600 Pure Value Fund | 1.55% | 1,000.00 | 1,251.50 | 8.80 | ||||||||||||
Europe 1.25x Strategy Fund | 1.71% | 1,000.00 | 1,349.00 | 10.12 | ||||||||||||
Japan 2x Strategy Fund | 1.55% | 1,000.00 | 1,178.20 | 8.51 | ||||||||||||
Strengthening Dollar 2x Strategy Fund | 1.70% | 1,000.00 | 918.60 | 8.22 | ||||||||||||
Weakening Dollar 2x Strategy Fund | 1.70% | 1,000.00 | 1,048.10 | 8.78 | ||||||||||||
Real Estate Fund | 1.65% | 1,000.00 | 1,390.00 | 9.94 | ||||||||||||
Government Long Bond 1.2x Strategy Fund | 1.25% | 1,000.00 | 958.20 | 6.17 | ||||||||||||
Inverse Government Long Bond Strategy Fund | 2.73% | 1,000.00 | 988.40 | 13.68 | ||||||||||||
U.S. Government Money Market Fund | 0.34% | 1,000.00 | 1,000.40 | 1.71 |
6 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)
Beginning | Ending | Expenses | ||||||||||||||
Expense | Account Value | Account Value | Paid During | |||||||||||||
Ratio | † | June 30, 2009 | December 31, 2009 | Period | * | |||||||||||
Table 2. Based on hypothetical 5% return (before expenses) | ||||||||||||||||
Nova Fund | 1.54 | % | $1,000.00 | $1,017.44 | $ | 7.83 | ||||||||||
Inverse S&P 500 Strategy Fund | 1.70 | % | 1,000.00 | 1,016.64 | 8.64 | |||||||||||
NASDAQ-100® Fund | 1.59 | % | 1,000.00 | 1,017.19 | 8.08 | |||||||||||
Inverse NASDAQ-100® Strategy Fund | 1.74 | % | 1,000.00 | 1,016.43 | 8.84 | |||||||||||
S&P 500 2x Strategy Fund | 1.70 | % | 1,000.00 | 1,016.64 | 8.64 | |||||||||||
NASDAQ-100® 2x Strategy Fund | 1.74 | % | 1,000.00 | 1,016.43 | 8.84 | |||||||||||
Mid-Cap 1.5x Strategy Fund | 1.70 | % | 1,000.00 | 1,016.64 | 8.64 | |||||||||||
Inverse Mid-Cap Strategy Fund | 1.70 | % | 1,000.00 | 1,016.64 | 8.64 | |||||||||||
Russell 2000® 2x Strategy Fund | 1.73 | % | 1,000.00 | 1,016.48 | 8.79 | |||||||||||
Russell 2000® 1.5x Strategy Fund | 1.73 | % | 1,000.00 | 1,016.48 | 8.79 | |||||||||||
Inverse Russell 2000® Strategy Fund | 1.73 | % | 1,000.00 | 1,016.48 | 8.79 | |||||||||||
Dow 2x Strategy Fund | 1.73 | % | 1,000.00 | 1,016.48 | 8.79 | |||||||||||
Inverse Dow 2x Strategy Fund | 1.73 | % | 1,000.00 | 1,016.48 | 8.79 | |||||||||||
S&P 500 Pure Growth Fund | 1.54 | % | 1,000.00 | 1,017.44 | 7.83 | |||||||||||
S&P 500 Pure Value Fund | 1.53 | % | 1,000.00 | 1,017.49 | 7.78 | |||||||||||
S&P MidCap 400 Pure Growth Fund | 1.54 | % | 1,000.00 | 1,017.44 | 7.83 | |||||||||||
S&P MidCap 400 Pure Value Fund | 1.54 | % | 1,000.00 | 1,017.44 | 7.83 | |||||||||||
S&P SmallCap 600 Pure Growth Fund | 1.55 | % | 1,000.00 | 1,017.39 | 7.88 | |||||||||||
S&P SmallCap 600 Pure Value Fund | 1.55 | % | 1,000.00 | 1,017.39 | 7.88 | |||||||||||
Europe 1.25x Strategy Fund | 1.71 | % | 1,000.00 | 1,016.59 | 8.69 | |||||||||||
Japan 2x Strategy Fund | 1.55 | % | 1,000.00 | 1,017.39 | 7.88 | |||||||||||
Strengthening Dollar 2x Strategy Fund | 1.70 | % | 1,000.00 | 1,016.64 | 8.64 | |||||||||||
Weakening Dollar 2x Strategy Fund | 1.70 | % | 1,000.00 | 1,016.64 | 8.64 | |||||||||||
Real Estate Fund | 1.65 | % | 1,000.00 | 1,016.89 | 8.39 | |||||||||||
Government Long Bond 1.2x Strategy Fund | 1.25 | % | 1,000.00 | 1,018.90 | 6.36 | |||||||||||
Inverse Government Long Bond Strategy Fund | 2.73 | % | 1,000.00 | 1,011.44 | 13.84 | |||||||||||
U.S. Government Money Market Fund | 0.34 | % | 1,000.00 | 1,023.49 | 1.73 |
* | 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 number of days in the current fiscal year. Expenses shown do not include fees charged by insurance companies. | |
† | This ratio represents annualized Total Expenses, which include interest and dividend expense from securities sold short. Excluding short interest expense, the operating expense ratio of the Inverse Government Long Bond Strategy Fund would be 1.03% lower. |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 7 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited)
NOVA FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P 500® Index (the “underlying index”).
Inception: May 7, 1997
For the one-year period ended December 31, 2009, Nova Fund maintained a daily correlation of over 99% to its benchmark of 150% of the daily price movement of the S&P 500 Index. Nova Fund returned 35.51%, while the S&P 500 Index returned 26.47% over the same time period. Information Technology (10.79%), Consumer Discretionary (3.84%) and Financials (2.97%) were among the sectors which provided the most performance to the Index during the year. Utilities (0.19%), Telecommunication Services (0.33%) and Energy (1.48%) were among the sectors which provided the least performance to the Index during the year. Apple, Inc., Microsoft Corp. and International Business Machines Corp. were among the stocks which provided the most performance to the Index during the year. Exxon Mobil Corp., Citigroup, Inc. and General Electric Co. were among the stocks which provided the least performance to the Index during the year.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will
Cumulative Fund Performance:
December 31, 1999 – December 31, 2009
December 31, 1999 – December 31, 2009
likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. 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 4 of this report.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Ten | ||||||||||
Year | Year | Year | ||||||||||
NOVA FUND | 35.51 | % | -5.00 | % | -7.02 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | -0.95 | % | ||||||
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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Exxon Mobil Corp. | 2.5 | % | ||
Microsoft Corp. | 1.8 | % | ||
Apple, Inc. | 1.5 | % | ||
Johnson & Johnson | 1.4 | % | ||
Procter & Gamble Co. | 1.4 | % | ||
International Business Machines Corp. | 1.3 | % | ||
AT&T, Inc. | 1.3 | % | ||
JPMorgan Chase & Co. | 1.3 | % | ||
General Electric Co. | 1.3 | % | ||
Chevron Corp. | 1.2 | % | ||
Top Ten Total | 15.0 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
8 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
INVERSE S&P 500 STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the per- formance of the S&P 500 Index (the “underlying index”).
Inception: June 9, 1997
For the one-year period ended December 31, 2009, Inverse S&P 500 Strategy Fund maintained a daily correlation of over 99% to its benchmark of - -100% of the daily price movement $ of the S&P 500 Index. Inverse S&P 500 Strategy Fund returned - -27.55%, while the S&P 500 Index returned 26.47% over $ the same time period. Information Technology (10.79%), Consumer Discretionary (3.84%) and Financials (2.97%) were among the sectors which provided the most performance to the Index during the year. Utilities (0.19%), Telecommunication Services (0.33%) and Energy (1.48%) were among the sectors which provided the least performance to the Index during the year. Apple, Inc., Microsoft Corp. and International Business Machines Corp. were among the stocks which provided the most performance to the Index during the year. Exxon Mobil Corp., Citigroup, Inc. and General Electric Co. were among the stocks which provided the least performance to the Index during the year.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will
Cumulative Fund Performance:
December 31, 1999 – December 31, 2009
December 31, 1999 – December 31, 2009
likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. 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 4 of this report.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Ten | ||||||||||
Year | Year | Year | ||||||||||
INVERSE S&P 500 STRATEGY FUND | -27.55 | % | -1.36 | % | 0.38 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | -0.95 | % | ||||||
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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
The Fund invests principally in derivative instruments such as equity index swap agreements, futures contracts, and options on index futures.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 9 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
NASDAQ-100® FUND
OBJECTIVE: Seeks to provide investment results that correspond to a benchmark for over-the-counter securities on a daily basis. The Fund’s current benchmark is the NASDAQ-100 Index® (the “underlying index”).
Inception: May 7, 1997
For the one-year period ended December 31, 2009, NASDAQ-100® Fund maintained a daily correlation of over 99% to its benchmark of 100% of the daily price movement of the NASDAQ-100 Index. The Fund returned 52.00%, while the NASDAQ-100 Index returned 54.63% over the same time period. Information Technology (44.01%) and Consumer Discretionary (7.84%) were among the sectors which contributed most to the performance of the Index during the year, while Consumer Staples (0.11%), Materials (0.19%) and Telecommunication Services (0.47%) were among the sectors which contributed the least to performance to the Index. Apple, Inc., Google, Inc. and Microsoft Corp. were among the stocks which provided the most performance to the Index,
Cumulative Fund Performance:
December 31, 1999 – December 31, 2009
December 31, 1999 – December 31, 2009
while Gilead Sciences, Inc., Genzyme Corp. and Celgene Corp. were among the stocks which provided the least performance to the Index during the year.
* | 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 12/31/09
One | Five | Ten | ||||||||||
Year | Year | Year | ||||||||||
NASDAQ-100® FUND | 52.00 | % | 2.16 | % | -8.02 | % | ||||||
NASDAQ-100 INDEX | 54.63 | % | 3.32 | % | -6.35 | % | ||||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The NASDAQ-100 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Apple, Inc. | 14.0 | % | ||
Qualcomm, Inc. | 4.9 | % | ||
Microsoft Corp. | 4.9 | % | ||
Google, Inc. — Class A | 4.9 | % | ||
Oracle Corp. | 2.7 | % | ||
Cisco Systems, Inc. | 2.6 | % | ||
Teva Pharmaceutical Industries Ltd. — SP ADR | 2.2 | % | ||
Intel Corp. | 2.1 | % | ||
Amazon.com, Inc. | 2.0 | % | ||
Research In Motion Ltd. | 2.0 | % | ||
Top Ten Total | 42.3 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
10 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
INVERSE NASDAQ-100® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the NASDAQ-100 Index® (the “underlying index”).
Inception: May 21, 2001
For the one-year period ended December 31, 2009, with the NASDAQ-100 Index up 54.63%, the Inverse NASDAQ-100® Fund returned -40.05% over the same time period. For the one-year period ended December 31, 2009, Inverse NASDAQ-100® Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the NASDAQ-100 Index. Information Technology (44.01%) and Consumer Discretionary (7.84%) were among the sectors which contributed most to the performance of the Index during the year, while Consumer Staples (0.11%), Materials (0.19%) and Telecommunication Services (0.47%) were among the sectors which contributed the least to performance to the Index. Apple, Inc., Google, Inc. and Microsoft Corp. were among the stocks which provided the most performance to the Index, while Gilead Sciences, Inc., Genzyme Corp. and Celgene Corp. were among the stocks which provided the least performance to the Index during the year.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ
Cumulative Fund Performance:
May 21, 2001 – December 31, 2009
May 21, 2001 – December 31, 2009
in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. 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 4 of this report.
* | 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 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (05/21/01) | ||||||||||
INVERSE NASDAQ-100® STRATEGY FUND | -40.05 | % | -4.71 | % | -4.30 | % | ||||||
NASDAQ-100 INDEX | 54.63 | % | 3.32 | % | -0.76 | % | ||||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The NASDAQ-100 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
The Fund invests principally in derivative instruments such as equity index swap agreements, futures contracts, and options on index futures.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 11 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
S&P 500 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the S&P 500 Index (the “underlying index”).
Inception: October 1, 2001
For the one-year period ended December 31, 2009, S&P 500 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the S&P 500 Index. S&P 500 2x Strategy Fund returned 46.40%, while the S&P 500 Index returned 26.47% over the same time period. Information Technology (10.79%), Consumer Discretionary (3.84%) and Financials (2.97%) were among the sectors which provided the most performance to the Index during the year. Utilities (0.19%), Telecommunication Services (0.33%) and Energy (1.48%) were among the sectors which provided the least performance to the Index during the year. Apple, Inc., Microsoft Corp. and International Business Machines Corp. were among the stocks which provided the most performance to the Index during the year. Exxon Mobil Corp., Citigroup, Inc. and General Electric Co. were among the stocks which provided the least performance to the Index during the year.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will
Cumulative Fund Performance:
October 1, 2001 – December 31, 2009
October 1, 2001 – December 31, 2009
likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. 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 4 of this report.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (10/01/01) | ||||||||||
S&P 500 2x STRATEGY FUND | 46.40 | % | -9.62 | % | -4.16 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 2.83 | % | ||||||
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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Exxon Mobil Corp. | 1.3 | % | ||
Microsoft Corp. | 0.9 | % | ||
Apple, Inc. | 0.7 | % | ||
Johnson & Johnson | 0.7 | % | ||
Procter & Gamble Co. | 0.7 | % | ||
International Business Machines Corp. | 0.7 | % | ||
AT&T, Inc. | 0.7 | % | ||
JPMorgan Chase & Co. | 0.7 | % | ||
General Electric Co. | 0.6 | % | ||
Chevron Corp. | 0.6 | % | ||
Top Ten Total | 7.6 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
12 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
NASDAQ-100® 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the NASDAQ-100 Index® (the “underlying index”).
Inception: October 1, 2001
For the one-year period ended December 31, 2009, with the NASDAQ-100 Index up 54.63%, the NASDAQ-100® 2x Strategy Fund returned 117.80% over the same time period. For the one-year period ending December 31, 2009, the Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the NASDAQ-100 Index. Information Technology (44.01%) and Consumer Discretionary (7.84%) were among the sectors which contributed most to the performance of the index during the year, while Consumer Staples (0.11%), Materials (0.19%) and Telecommunication Services (0.47%) were among the sectors which contributed the least performance to the Index. Apple, Inc., Google, Inc. and Microsoft Corp. were among the stocks which provided the most performance to the Index, while Gilead Sciences, Inc., Genzyme Corp. and Celgene Corp. were among the stocks which provided the least performance to the Index during the year.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will
Cumulative Fund Performance:
October 1, 2001 – December 31, 2009
October 1, 2001 – December 31, 2009
likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. 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 4 of this report.
* | 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 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (10/01/01) | ||||||||||
NASDAQ-100® 2x STRATEGY FUND | 117.80 | % | -4.90 | % | -2.09 | % | ||||||
NASDAQ-100 INDEX | 54.63 | % | 3.32 | % | 6.40 | % | ||||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The NASDAQ-100 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Apple, Inc. | 11.0 | % | ||
Qualcomm, Inc. | 3.9 | % | ||
Microsoft Corp. | 3.9 | % | ||
Google, Inc. — Class A | 3.8 | % | ||
Oracle Corp. | 2.1 | % | ||
Cisco Systems, Inc. | 2.1 | % | ||
Teva Pharmaceutical Industries Ltd. — SP ADR | 1.7 | % | ||
Intel Corp. | 1.6 | % | ||
Amazon.com, Inc. | 1.6 | % | ||
Research In Motion Ltd. | 1.6 | % | ||
Top Ten Total | 33.3 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 13 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
MID-CAP 1.5x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate to the performance of a specific benchmark for mid-cap securities on a daily basis. The Fund’s current benchmark is 150% of the S&P MidCap 400® Index (the “underlying index”).
Inception: October 1, 2001
For the year ended December 31, 2009, Rydex Mid-Cap 1.5x Strategy Fund returned 52.40%. Over the year, its benchmark, the S&P MidCap 400 Index turned in a 37.38% return. The Fund had a correlation of more than 99% to its benchmark of 150% of the daily price movement of the S&P MidCap 400 Index. Consumer Discretionary (8.92%), Information Technology (8.61%) and Industrials (5.10%) were among the sectors which provided the most performance to the Index during the year. The telecommunications sector (0.02%) was the smallest contributor to performance. Western Digital Corp., Newfield Exploration Co. and priceline.com, Inc. were among the stocks which provided the most performance to the Index during the year. Synovus Financial Corp., Associated Banc-Corp. and Pharmaceutical Product Development, Inc. were among the stocks which provided the least performance to the Index during the year.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will
Cumulative Fund Performance:
October 1, 2001 – December 31, 2009
October 1, 2001 – December 31, 2009
likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. 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 4 of this report.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (10/01/01) | ||||||||||
MID-CAP 1.5x STRATEGY FUND | 52.40 | % | -2.12 | % | 5.87 | % | ||||||
S&P MIDCAP 400 INDEX | 37.38 | % | 3.27 | % | 8.13 | % | ||||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P MidCap 400 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Vertex Pharmaceuticals, Inc. | 0.6 | % | ||
Newfield Exploration Co. | 0.5 | % | ||
New York Community Bancorp, Inc. | 0.5 | % | ||
Cree, Inc. | 0.5 | % | ||
Cerner Corp. | 0.4 | % | ||
Pride International, Inc. | 0.4 | % | ||
CarMax, Inc. | 0.4 | % | ||
Joy Global, Inc. | 0.4 | % | ||
Everest Re Group Ltd. | 0.4 | % | ||
Lam Research Corp. | 0.4 | % | ||
Top Ten Total | 4.5 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
14 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
INVERSE MID-CAP STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P MidCap 400 Index (the “underlying index”).
Inception: May 3, 2004
For the year ended December 31, 2009, Rydex Inverse Mid-Cap Strategy Fund returned -35.28%. Over the year, its benchmark, the S&P MidCap 400 Index turned in a 37.38% return. Rydex Inverse Mid-Cap Strategy Fund achieved a daily correlation of 99% to its benchmark of -100% of the daily price movement of the S&P MidCap 400 Index. Consumer Discretionary (8.92%), Information Technology (8.61%) and Industrials (5.10%) were among the sectors which provided the most performance to the Index during the year. The telecommunications sector (0.02%) was the smallest contributor to performance. Western Digital Corp., Newfield Exploration Co. and priceline.com, Inc. were among the stocks which provided the most performance to the Index during the year. Synovus Financial Corp., Associated Banc-Corp. and Pharmaceutical Product Development, Inc. were among the stocks which provided the least performance to the Index during the year.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in
Cumulative Fund Performance:
May 3, 2004 – December 31, 2009
May 3, 2004 – December 31, 2009
amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. 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 4 of this report.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (05/03/04) | ||||||||||
INVERSE MID-CAP STRATEGY FUND | -35.28 | % | -5.51 | % | -6.99 | % | ||||||
S&P MIDCAP 400 INDEX | 37.38 | % | 3.27 | % | 5.22 | % | ||||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P MidCap 400 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
The Fund invests principally in derivative instruments such as equity index swap agreements, futures contracts, and options on index futures.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 15 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
RUSSELL 2000® 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the Russell 2000® Index (the “underlying index”).
Inception: October 27, 2006
For the one-year period ended December 31, 2009, Russell 2000® 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the Russell 2000 Index. Russell 2000® 2x Strategy Fund returned 35.85% while the Russell 2000 Index returned 27.17% over the same time year. The biggest performance contributors to the Index during the period were Information Technology (11.90%), Consumer Discretionary (8.58%) and Health Care (2.86%). Financials (-1.09%) and Utilities (-0.07%) were among the sectors which provided the least performance to the Index during the year. Human Genome Sciences, Inc., Dendreon Corp. and 3Com Corp. were among the stocks which provided the most performance to the Index during the year. Sequenom, Inc., Energy Conversion Devices, Inc. and Susquehanna Bancshares, Inc. were among the stocks which provided the least performance to the Index during the year.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will
Cumulative Fund Performance:
October 27, 2006 – December 31, 2009
October 27, 2006 – December 31, 2009
likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. 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 4 of this report.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Since Inception | |||||||
Year | (10/27/06) | |||||||
RUSSELL 2000® 2x STRATEGY FUND | 35.85 | % | -24.02 | % | ||||
RUSSELL 2000 INDEX | 27.17 | % | -4.81 | % | ||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Russell 2000 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Human Genome Sciences, Inc. | 0.3 | % | ||
Tupperware Brands Corp. | 0.2 | % | ||
3Com Corp. | 0.2 | % | ||
E*Trade Financial Corp. | 0.2 | % | ||
Assured Guaranty Ltd. | 0.2 | % | ||
Solera Holdings, Inc. | 0.1 | % | ||
Domtar Corp. | 0.1 | % | ||
Bally Technologies, Inc. | 0.1 | % | ||
Highwoods Properties, Inc. | 0.1 | % | ||
J. Crew Group, Inc. | 0.1 | % | ||
Top Ten Total | 1.6 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
16 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
RUSSELL 2000® 1.5x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate to the performance of a specific benchmark for small-cap securities on a daily basis. The Fund’s current benchmark is 150% of the Russell 2000 Index (the “underlying index”).
Inception: October 1, 2001
For the one-year period ended December 31, 2009, Russell 2000® 1.5x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 150% of the daily price movement of the Russell 2000® Index. Russell 2000® 1.5x Strategy Fund returned 33.31%, while the Russell 2000 Index returned 27.17% over the same time period. The biggest performance contributors to the Index during the period were Information Technology (11.90%), Consumer Discretionary (8.58%) and Health Care (2.86%). Financials (-1.09%) and Utilities (-0.07%) were among the sectors which provided the least performance to the Index during the year. Human Genome Sciences, Inc., Dendreon Corp. and 3Com Corp. were among the stocks which provided the most performance to the Index during the year. Sequenom, Inc., Energy Conversion Devices, Inc. and Susquehanna Bancshares, Inc. were among the stocks which provided the least performance to the Index during the year.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will
Cumulative Fund Performance:
October 1, 2001 – December 31, 2009
October 1, 2001 – December 31, 2009
likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. 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 4 of this report.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (10/01/01) | ||||||||||
RUSSELL 2000® 1.5x STRATEGY FUND | 33.31 | % | -5.36 | % | 3.23 | % | ||||||
RUSSELL 2000 INDEX | 27.17 | % | 0.54 | % | 7.07 | % | ||||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Russell 2000 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Human Genome Sciences, Inc. | 0.4 | % | ||
Tupperware Brands Corp. | 0.2 | % | ||
3Com Corp. | 0.2 | % | ||
E*Trade Financial Corp. | 0.2 | % | ||
Assured Guaranty Ltd. | 0.2 | % | ||
Solera Holdings, Inc. | 0.2 | % | ||
Highwoods Properties, Inc. | 0.2 | % | ||
Skyworks Solutions, Inc. | 0.2 | % | ||
Domtar Corp. | 0.2 | % | ||
Bally Technologies, Inc. | 0.2 | % | ||
Top Ten Total | 2.2 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 17 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
INVERSE RUSSELL 2000® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the Russell 2000® Index (the “underlying index”).
Inception: May 3, 2004
For the one-year period ended December 31, 2009, Inverse Russell 2000® Strategy Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the Russell 2000 Index. Inverse Russell 2000® Strategy Fund returned -32.86% while the Russell 2000 Index returned 27.17% over the same time period. The biggest performance contributors to the Index during the period were Information Technology (11.90%), Consumer Discretionary (8.58%) and Health Care (2.86%). Financials (-1.09%) and Utilities (-0.07%) were among the sectors which provided the least performance to the Index during the year. Human Genome Sciences, Inc., Dendreon Corp. and 3Com Corp. were among the stocks which provided the most performance to the index during the year. Sequenom, Inc., Energy Conversion Devices, Inc. and Susquehanna Bancshares, Inc. were among the stocks which provided the least performance to the Index during the year.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will
Cumulative Fund Performance:
May 3, 2004 – December 31, 2009
May 3, 2004 – December 31, 2009
likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. 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 4 of this report.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (05/03/04) | ||||||||||
INVERSE RUSSELL 2000® STRATEGY FUND | -32.86 | % | -5.52 | % | -7.45 | % | ||||||
RUSSELL 2000 INDEX | 27.17 | % | 0.54 | % | 3.18 | % | ||||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Russell 2000 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
The Fund invests principally in derivative instruments such as equity index swap agreements, futures contracts, and options on index futures.
18 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
DOW 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the Dow Jones Industrial AverageSM (the “underlying index”).
Inception: May 3, 2004
For the one-year period ended December 31, 2009, Dow 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the Dow Jones Industrial AverageSM. Dow 2x Strategy Fund returned 36.90% while the Dow Jones Industrial AverageSM returned 22.68% over the same time period. Information Technology (9.03%), Industrials (6.08%) and Financials (4.22%) were among the sectors which provided the most performance to the Index during the year. Energy (-1.07%), Telecommunication Services (0.09%) and Consumer Staples (0.69%) were among the sectors which provided the least performance to the Index during the year. International Business Machines Corp., 3M Co. and American Express Co. were among the stocks which provided the most performance to the Index during the year. Exxon Mobil Corp., Procter & Gamble Co. and Citigroup, Inc. were among the stocks which provided the least performance to the Index during the year.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will
Cumulative Fund Performance:
May 3, 2004 – December 31, 2009
May 3, 2004 – December 31, 2009
likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. 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 4 of this report.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (05/03/04) | ||||||||||
DOW 2x STRATEGY FUND | 36.90 | % | -6.58 | % | -4.44 | % | ||||||
DOW JONES INDUSTRIAL AVERAGE INDEX | 22.68 | % | 1.94 | % | 2.78 | % | ||||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Dow Jones Industrial Average 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
International Business Machines Corp. | 4.4 | % | ||
3M Co. | 2.8 | % | ||
Chevron Corp. | 2.6 | % | ||
United Technologies Corp. | 2.3 | % | ||
Exxon Mobil Corp. | 2.3 | % | ||
Johnson & Johnson | 2.2 | % | ||
McDonald’s Corp. | 2.1 | % | ||
Procter & Gamble Co. | 2.0 | % | ||
Coca-Cola Co. | 1.9 | % | ||
Caterpillar, Inc. | 1.9 | % | ||
Top Ten Total | 24.5 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 19 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
INVERSE DOW 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the Dow Jones Industrial AverageSM (the “underlying index”).
Inception: May 3, 2004
For the one-year period ended December 31, 2009, Inverse Dow 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of -200% of the daily price movement of the Dow Jones Industrial AverageSM. Inverse Dow 2x Strategy Fund returned -44.65% while the Dow Jones Industrial AverageSM returned 22.68% over the same time period. Information Technology (9.03%), Industrials (6.08%) and Financials (4.22%) were among the sectors which provided the most performance to the Index during the year. Energy (-1.07%), Telecommunication Services (0.09%) and Consumer Staples (0.69%) were among the sectors which provided the least performance to the Index during the year. International Business Machines Corp., 3M Co. and American Express Co. were among the stocks which provided the most performance to the Index during the year. Exxon Mobil Corp., Procter & Gamble Co. and Citigroup Inc. were among the stocks which provided the least performance to the Index during the year.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will
Cumulative Fund Performance:
May 3, 2004 – December 31, 2009
May 3, 2004 – December 31, 2009
likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. 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 4 of this report.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (05/03/04) | ||||||||||
INVERSE DOW 2x STRATEGY FUND | -44.65 | % | -8.42 | % | -9.44 | % | ||||||
DOW JONES INDUSTRIAL AVERAGE INDEX | 22.68 | % | 1.94 | % | 2.78 | % | ||||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Dow Jones Industrial Average 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
The Fund invests principally in derivative instruments such as equity index swap agreements, futures contracts, and options on index futures.
20 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
S&P 500 PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a benchmark for large-cap growth securities. The Fund’s current benchmark is the S&P 500 Pure Growth Index (the “underlying index”).
Inception: May 3, 2004
For the year ended December 31, 2009, S&P 500 Pure Growth Fund returned 47.24%, compared with 50.92% for the S&P 500 Pure Growth Index. The large-cap growth stocks that comprise the Index underperformed their large-cap value stock counterparts. The Information Technology sector was the biggest contributor to returns, adding 20.95% to Index performance for the year, followed by the Consumer Discretionary sector, which added 8.56%. The strongest performers in the Index included Freeport-McMoRan Copper & Gold, Inc., CB Richard Ellis Group, Inc. (Cl A) and Intuitive Surgical, Inc. The weakest performers in the Index included Sunoco Inc., Apollo Group Inc. (Cl A) and Celgene Corp.
Cumulative Fund Performance:
May 3, 2004 – December 31, 2009
May 3, 2004 – December 31, 2009
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (05/03/04) | ||||||||||
S&P 500 PURE GROWTH FUND | 47.24 | % | -0.06 | % | 0.69 | % | ||||||
S&P 500 PURE GROWTH INDEX | 50.92 | % | 2.51 | % | 4.04 | % | ||||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Pure Growth Index is and 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Red Hat, Inc. | 2.1 | % | ||
Amazon.com, Inc. | 1.9 | % | ||
Salesforce.com, Inc. | 1.8 | % | ||
Priceline.com, Inc. | 1.8 | % | ||
Cognizant Technology Solutions Corp. — Class A | 1.8 | % | ||
Western Digital Corp. | 1.6 | % | ||
Intuitive Surgical, Inc. | 1.6 | % | ||
NetApp, Inc. | 1.6 | % | ||
ProLogis | 1.6 | % | ||
Cameron International Corp. | 1.6 | % | ||
Top Ten Total | 17.4 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments. | ||||
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 21 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
S&P 500 PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a benchmark for large-cap value securities. The Fund’s current benchmark is the S&P 500 Pure Value Index (the “underlying index”).
Inception: May 3, 2004
For the year ended December 31, 2009, S&P 500 Pure Value Fund returned 51.22%, compared with 55.14% for the S&P 500 Pure Value Index. The large-cap value stocks that comprise the Index outperformed their large-cap growth stock counterparts, reflecting strong contributions from the Financial, Consumer Discretionary and Materials sectors. The strongest contributors to Index performance for the year included XL Capital Ltd. (Cl A), Genworth Financial, Inc. (Cl A) and Ford Motor Co. American Capital Ltd., CIT Group and Jones Apparel Group, Inc. were among the stocks which added the least to Index performance during the year.
Cumulative Fund Performance:
May 3, 2004 – December 31, 2009
May 3, 2004 – December 31, 2009
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (05/03/04) | ||||||||||
S&P 500 PURE VALUE FUND | 51.22 | % | -2.06 | % | 0.24 | % | ||||||
S&P 500 PURE VALUE INDEX | 55.14 | % | 0.99 | % | 4.03 | % | ||||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Pure Value 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Tesoro Corp. | 3.3 | % | ||
Valero Energy Corp. | 2.6 | % | ||
Sears Holdings Corp. | 2.4 | % | ||
United States Steel Corp. | 2.4 | % | ||
Sunoco, Inc. | 2.2 | % | ||
Integrys Energy Group, Inc. | 2.1 | % | ||
Cardinal Health, Inc. | 2.0 | % | ||
Coventry Health Care, Inc. | 1.8 | % | ||
Huntington Bancshares, Inc. | 1.8 | % | ||
Safeway, Inc. | 1.7 | % | ||
Top Ten Total | 22.3 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
22 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
S&P MIDCAP 400 PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a benchmark for mid-cap growth securities. The Fund’s current benchmark is the S&P MidCap 400 Pure Growth Index (the “underlying index”).
Inception: May 3, 2004
For the year ended December 31, 2009, S&P MidCap 400 Pure Growth Fund returned 56.82%, compared with 60.37% for the S&P MidCap 400 Pure Growth Index. Mid-cap growth stocks modestly outperformed their mid-cap value stock counterparts, paced by strong performances of Consumer Discretionary and Information Technology holdings, which contributed 24.75% and 12.67% to Fund returns, respectively. Materials, Health Care and Industrials made modest contributions to overall returns. J. Crew Group Inc., Sotheby’s and Chico’s FAS, Inc. were among the stocks which added the most to the Index during the year. Hovnanian Enterprises, Inc. (Cl A), Immucor, Inc. and Corporate Executive
Cumulative Fund Performance:
May 3, 2004 – December 31, 2009
May 3, 2004 – December 31, 2009
Board Co. were among the stocks which provided the least performance to the Index during the year.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (05/03/04) | ||||||||||
S&P MIDCAP 400 PURE GROWTH FUND | 56.82 | % | 4.54 | % | 5.51 | % | ||||||
S&P MIDCAP 400 PURE GROWTH INDEX | 60.37 | % | 6.16 | % | 7.91 | % | ||||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P MidCap 400 Pure Growth 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Green Mountain Coffee Roasters, Inc. | 2.7 | % | ||
Bucyrus International, Inc. | 2.3 | % | ||
Community Health Systems, Inc. | 2.2 | % | ||
Guess?, Inc. | 2.1 | % | ||
WellCare Health Plans, Inc. | 1.9 | % | ||
Atwood Oceanics, Inc. | 1.8 | % | ||
Equinix, Inc. | 1.8 | % | ||
Reliance Steel & Aluminum Co. | 1.8 | % | ||
Oceaneering International, Inc. | 1.7 | % | ||
Aeropostale, Inc. | 1.7 | % | ||
Top Ten Total | 20.0 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 23 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
S&P MIDCAP 400 PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a benchmark for mid-cap value securities. The Fund’s current benchmark is the S&P MidCap 400 Pure Value Index (the “underlying index”).
Inception: May 3, 2004
For the year ended December 31, 2009, S&P MidCap 400 Pure Value Fund returned 55.22%, compared with 59.02% for the S&P MidCap 400 Pure Value Index. Mid-cap value stocks modestly underperformed their mid-cap growth stock counterparts. Materials stocks, which comprised 17.97% of the portfolio, rose 165.91%, and contributed 25.81% to returns. Industrials and Information Technology holdings also were significant contributors to performance, with all sectors but Telecommunications Services (0.03% of the portfolio) contributing to fund returns. The best performing holdings included Temple-Inland Inc., Oshkosh Corp. and Ashland Inc. ArvinMeritor Inc., Modine Manufacturing Co. and Chemtura
Cumulative Fund Performance:
May 3, 2004 – December 31, 2009
May 3, 2004 – December 31, 2009
Corp. were among the stocks which provided the least performance to the Index during the year.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (05/03/04) | ||||||||||
S&P MIDCAP 400 PURE VALUE FUND | 55.22 | % | 1.10 | % | 3.52 | % | ||||||
S&P MIDCAP 400 PURE VALUE INDEX | 59.02 | % | 2.71 | % | 5.24 | % | ||||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P MidCap 400 Pure Value 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Kindred Healthcare, Inc. | 3.7 | % | ||
Terex Corp. | 2.4 | % | ||
Frontier Oil Corp. | 2.3 | % | ||
Tech Data Corp. | 2.2 | % | ||
Dynegy, Inc. | 2.2 | % | ||
Cathay General Bancorp | 2.1 | % | ||
Foot Locker, Inc. | 2.1 | % | ||
Health Net, Inc. | 2.1 | % | ||
Federal Signal Corp. | 2.0 | % | ||
Ashland, Inc. | 1.9 | % | ||
Top Ten Total | 23.0 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
24 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
S&P SMALLCAP 600 PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a benchmark for small-cap growth securities. The Fund’s current benchmark is the S&P SmallCap 600 Pure Growth Index (the “underlying index”).
Inception: May 3, 2004
For the year ended December 31, 2009, S&P SmallCap 600 Pure Growth Fund returned 33.97%, compared with 37.67% for the S&P SmallCap 600 Pure Growth Index. Small-cap growth stocks sharply underperformed their value stock counterparts. Consumer Discretionary stocks, which comprised 21.64% of the portfolio, climbed 65.66%, adding 14.77% to the Fund’s return, while Information Technology holdings, accounting for 29.58% of the portfolio, rose 55.85% and contributed 19.54% to the Fund’s returns. The best performing stocks in the S&P SmallCap 600 Pure Growth Index included Crocs, Inc., Kulicke & Soffa Industries, Inc. and Intevac, Inc. The weakest performers included ViroPharma, Inc., Heartland Payment Systems, Inc. and Basic Energy Services, Inc.
Cumulative Fund Performance:
May 3, 2004 – December 31, 2009
May 3, 2004 – December 31, 2009
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (05/03/04) | ||||||||||
S&P SMALLCAP 600 PURE GROWTH FUND | 33.97 | % | 0.11 | % | 2.73 | % | ||||||
S&P SMALLCAP 600 PURE GROWTH INDEX | 37.67 | % | 1.97 | % | 5.13 | % | ||||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P SmallCap 600 Pure Growth 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Blue Coat Systems, Inc. | 1.4 | % | ||
Lumber Liquidators Holdings, Inc. | 1.4 | % | ||
Wright Express Corp. | 1.3 | % | ||
Perficient, Inc. | 1.2 | % | ||
Diodes, Inc. | 1.1 | % | ||
NewMarket Corp. | 1.1 | % | ||
Blue Nile, Inc. | 1.1 | % | ||
Compellent Technologies, Inc. | 1.1 | % | ||
Ebix, Inc. | 1.1 | % | ||
Cybersource Corp. | 1.1 | % | ||
Top Ten Total | 11.9 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 25 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
S&P SMALLCAP 600 PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a benchmark for small-cap value securities. The Fund’s current benchmark is the S&P SmallCap 600 Pure Value Index (the “underlying index”).
Inception: May 3, 2004
For the year ended December 31, 2009, S&P SmallCap 600 Pure Value Fund returned 62.33%, compared with 63.53% for the S&P SmallCap 600 Pure Value Index. Small-cap value stocks sharply outperformed their small-cap growth stock counterparts, as investors favored defensive, more conservatively priced issues in an uncertain, recessionary environment. Consumer Discretionary stocks, which comprised 51.8% of the portfolio, climbed 134.8%, adding 62.8% to the Fund’s return, while Information Technology holdings, accounting for 13.03% of the portfolio, rose 84.59% and contributed 17.05% to the Fund’s returns. Financial stocks, which comprised 19.75% of the portfolio, declined 10.36%, reducing Fund returns by 10.92%. Large-cap value also outperformed its growth-stock brethren, but by a much smaller margin. The best performing stocks in
Cumulative Fund Performance:
May 3, 2004 – December 31, 2009
May 3, 2004 – December 31, 2009
the S&P SmallCap 600 Pure Value Index included Ruby Tuesday, Inc., Stein Mart, Inc. and Gevity HR. Champion Enterprises, Inc., A. H. Belo Corp. and BankAtlantic Bancorp, Inc. were among the stocks which provided the least performance to the Index during the year.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (05/03/04) | ||||||||||
S&P SMALLCAP 600 PURE VALUE FUND | 62.33 | % | -2.04 | % | 1.11 | % | ||||||
S&P SMALLCAP 600 PURE VALUE INDEX | 63.53 | % | 0.85 | % | 4.05 | % | ||||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P SmallCap 600 Pure Value Index is and 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Quiksilver, Inc. | 2.0 | % | ||
Ciber, Inc. | 1.8 | % | ||
Basic Energy Services, Inc. | 1.7 | % | ||
NCI Building Systems, Inc. | 1.7 | % | ||
First Bancorp Puerto Rico | 1.6 | % | ||
Tuesday Morning Corp. | 1.5 | % | ||
Volt Information Sciences, Inc. | 1.5 | % | ||
Seahawk Drilling, Inc. | 1.4 | % | ||
Arctic Cat, Inc. | 1.3 | % | ||
Jakks Pacific, Inc. | 1.3 | % | ||
Top Ten Total | 15.8 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
26 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
EUROPE 1.25x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate to the performance of a specific benchmark. The Fund’s current benchmark is the STOXX 50® Index (the “underlying index”).
Inception: October 1, 2001
For the one-year period ended December 31, 2009, Rydex Europe 1.25x Strategy Fund maintained a daily correlation of over 95% to its benchmark of 125% of the daily price movement of the STOXX 50 Index. Rydex Europe 1.25x Strategy Fund returned 35.01% while the STOXX 50 Index returned 33.37% over the same time period. The Financials segment, up 49.9% during the year, contributed 14.3% to Fund performance, followed by the Materials segment, which climbed 103.14%, and contributed 6.50% to the Fund’s return. Rising European currencies during the year helped improve the Fund’s returns in U.S. dollar terms as the Fund does not hedge out its foreign currency exposure.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are
Cumulative Fund Performance:
October 1, 2001 – December 31, 2009
October 1, 2001 – December 31, 2009
consistent with their strategies, as frequently as daily. 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 4 of this report.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (10/01/01) | ||||||||||
EUROPE 1.25x STRATEGY FUND | 35.01 | % | -0.95 | % | 2.96 | % | ||||||
STOXX 50 INDEX | 33.37 | % | 3.58 | % | 6.40 | % | ||||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The STOXX 50 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
HSBC Holdings PLC — SP ADR | 4.6 | % | ||
Novartis AG — SP ADR | 4.3 | % | ||
BP PLC — SP ADR | 4.1 | % | ||
Telefonica SA — SP ADR | 3.7 | % | ||
GlaxoSmithKline PLC — SP ADR | 3.7 | % | ||
Total SA — SP ADR | 3.4 | % | ||
Sanofi-Aventis — SP ADR | 3.1 | % | ||
Vodafone Group PLC — SP ADR | 3.1 | % | ||
Banco Santander Central Hispano SA — SP ADR | 2.7 | % | ||
Royal Dutch Shell PLC — SP ADR | 2.6 | % | ||
Top Ten Total | 35.3 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 27 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
JAPAN 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate to the performance of a specific benchmark. The Fund’s current benchmark is 200% of the fair value of the Nikkei-225 Stock Average Index (the “underlying index”).
Inception: October 1, 2001
For the one-year period ended December 31, 2009, Rydex Japan 2x Strategy Fund maintained a daily correlation of over 97% to its benchmark of 200% of the daily price movement of the fair value of the Nikkei-225 Stock Average Index. Rydex Japan 2x Strategy Fund returned 23.68% while the Nikkei-225 Stock Average Index returned 18.31% over the same time period. The Consumer Discretionary and Information Technology segments were the biggest contributors to Fund performance, both rising just over 34% for the year, and contributing 8.28% and 7.3% to the Fund’s return, respectively. The Japanese yen slightly depreciated during the year which hurt the Fund’s performance as the Fund does not hedge out its foreign currency exposure.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their
Cumulative Fund Performance:
October 1, 2001 – December 31, 2009
October 1, 2001 – December 31, 2009
leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. 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 4 of this report.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (10/01/01) | ||||||||||
JAPAN 2x STRATEGY FUND | 23.68 | % | -1.42 | % | 0.46 | % | ||||||
TOPIX 100 INDEX | 6.65 | % | -1.78 | % | 1.09 | % | ||||||
NIKKEI-225 STOCK AVERAGE INDEX | 18.31 | % | 1.73 | % | 5.10 | % | ||||||
Effective May 1, 2009 the Fund changed is comparative benchmark to the Nikkei-225 Stock Average Index. The comparative benchmark was changed because the Advisor believes that the Nikkei-225 Stock Average Index more appropriately reflects the Fund’s investment universe.
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Topix 100 Index and the Nikkei-225 Stock Average 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
The Fund invests principally in derivative instruments such as equity index swap agreements, futures contracts, and options on index futures.
28 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
STRENGTHENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the U.S. Dollar Index® (the “underlying index”).
Inception: September 30, 2005
For the one-year period ended December 31, 2009, Strengthening Dollar 2x Strategy Fund returned - -15.84%, compared with a decline of 4.24% for its benchmark, the U.S. Dollar Index. The Canadian dollar, the euro and the Swedish krona were among the currencies that contributed the most to Index performance during the year, while the Japanese yen was the only currency that detracted from the performance of the Index for the year. The Dollar Index rallied over 10% to start the year, but fell around 15% to close the year. These movements were largely on the back of rising federal deficits and the Fed’s purchase of mortgage securities. Uncertainty about the end of the Fed’s easy money cycle added to the greenback’s weakness. The dollar managed a year-end rally, but many traders thought this was related to short covering by already-bearish traders. The decline of the dollar against its major rivals has been a theme for much of the year, but the greenback began to strengthen in the latter weeks of 2009, partly reflecting weakness in the euro and component European economies in recent days and few real signs of sustainable recovery in Japan, as the relatively strong yen depressed demand for the country’s exports.
Cumulative Fund Performance:
September 30, 2005 – December 31, 2009
September 30, 2005 – December 31, 2009
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. 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 4 of this report.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Since Inception | |||||||
Year | (09/30/05) | |||||||
STRENGTHENING DOLLAR 2x STRATEGY FUND | -15.84 | % | -7.14 | % | ||||
U.S. DOLLAR INDEX | -4.24 | % | -3.23 | % | ||||
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 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
The Fund invests principally in derivative instruments such as index swap agreements, futures contracts, and options on index futures.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 29 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
WEAKENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the U.S. Dollar Index® (the “underlying index”).
Inception: September 30, 2005
For the one-year period ended December 31, 2009, Weakening Dollar 2x Strategy Fund returned 6.61%, compared with a decline of 4.24% for its benchmark, the U.S. Dollar Index. The Canadian dollar, the euro and the Swedish krona were among the currencies that contributed the most to Index performance during the year, while the Japanese yen was the only currency that detracted from the performance of the Index for the year. The Dollar Index rallied over 10% to start the year, but fell around 15% to close the year. These movements were largely on the back of rising federal deficits and the Fed’s purchase of mortgage securities. Uncertainty about the end of the Fed’s easy money cycle added to the green-back’s weakness. The dollar managed a year-end rally, but many traders thought this was related to short covering by already-bearish traders. The decline of the dollar against its major rivals has been a theme for much of the year, but the greenback began to strengthen in the latter weeks of 2009, partly reflecting weakness in the euro and component European economies in recent days and few real signs of sustainable recovery in Japan, as the relatively strong yen depressed demand for the country’s exports.
Cumulative Fund Performance:
September 30, 2005 – December 31, 2009
September 30, 2005 – December 31, 2009
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. 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 4 of this report.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Since Inception | |||||||
Year | (09/30/05) | |||||||
WEAKENING DOLLAR 2x STRATEGY FUND | 6.61 | % | 5.53 | % | ||||
U.S. DOLLAR INDEX | -4.24 | % | -3.23 | % | ||||
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 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
The Fund invests principally in derivative instruments such as index swap agreements, futures contracts, and options on index futures.
30 | | | THE RYDEX | SGI 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 real estate industry, including real estate investment trusts (“REITs”), (collectively, “Real Estate Companies”).
Inception: October 1, 2001
Real Estate Fund returned 25.27%, compared to a gain of 26.47% for the S&P 500 Index. Within the sector, Real Estate Investment Trusts (REITs), which comprise 92.19% of the portfolio, rose 26.16% for the year, contributing 24.56% to the Fund’s return, while the Real Estate Management & Development segment, which comprised 7.76% of the portfolio, climbed 64.84% and contributed 4.55% to Fund performance. Commercial Banks, which comprised just 0.05% of the portfolio, were the weakest segment, declining 14.29% and reducing Fund performance by 0.16%. The strongest performing stocks included Simon Property Group, Inc., Host Hotels & Resorts, Inc. and Brookfield Asset Management, Inc. (Cl A), while Kimco Realty Corp., Inland Real Estate Corp. and
Cumulative Fund Performance
October 1, 2001 – December 31, 2009
October 1, 2001 – December 31, 2009
CBL & Associates Properties, Inc. were among the stocks that contributed the least to Fund performance during the year.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (10/01/01) | ||||||||||
REAL ESTATE FUND | 25.27 | % | -3.70 | % | 4.51 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 2.83 | % | ||||||
MSCI U.S. REIT INDEX | 28.61 | % | 0.23 | % | 8.63 | % | ||||||
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 MSCI U.S. REIT 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
The Fund invests principally in derivative instruments such as equity index swap agreements, futures contracts, and options on index futures.
Ten Largest Holdings (% of Total Net Assets) | ||||
Simon Property Group, Inc. | 3.8 | % | ||
Public Storage | 3.0 | % | ||
Vornado Realty Trust | 2.8 | % | ||
Equity Residential | 2.5 | % | ||
Boston Properties, Inc. | 2.3 | % | ||
HCP, Inc. | 2.3 | % | ||
Annaly Capital Management, Inc. | 2.3 | % | ||
Host Hotels & Resorts, Inc. | 2.2 | % | ||
Ventas, Inc. | 2.1 | % | ||
AvalonBay Communities, Inc. | 2.1 | % | ||
Top Ten Total | 25.4 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 31 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
GOVERNMENT LONG BOND 1.2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correspond to a benchmark for U.S. Government securities. The Fund’s current benchmark is 120% of the price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S.Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond.
Inception: August 18, 1997
The 30-year bond began 2009 with a yield of 2.68%. As the U. S. Treasury issued new debt to continue its fiscal stimulus policy, the Long Bond yield moved higher and averaged 3.81% for the first and second quarters. As increasing Treasury supply flooded the market, the Bond yield continued a gradual increase and closed higher for the year at 4.64%. In response to underperforming Treasuries throughout 2009, Government Long Bond 1.25x Strategy Fund reflected the falling prices of the 30-year bond, which resulted in the Fund closing down 31.54% for the year. For the one-year period ended December 31, 2009, Government Long Bond 1.2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 120% of the daily price movement of the U.S. Government Long Bond.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ
Cumulative Fund Performance:
December 31, 1998 – December 31, 2009
December 31, 1998 – December 31, 2009
in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. 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 4 of this report.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Ten | ||||||||||
Year | Year | Year | ||||||||||
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | -31.54 | % | 2.58 | % | 5.73 | % | ||||||
PRICE MOVEMENT OF LONG TREASURY BOND | -30.55 | % | -2.42 | % | 0.78 | % | ||||||
BARCLAYS CAPITAL LONG TREASURY BOND INDEX | -12.92 | % | 5.17 | % | 7.59 | % | ||||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Barclays Capital Long Treasury Bond Index is an unmanaged bond index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported return. The price movement of the Long Treasury Bond represents a cumulative percentage change in its closing price. Returns are historical and include changes in principal and reinvested dividends and capital gains.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
The Fund invests principally in U.S. Government securities and in derivative instruments such as futures and options contracts.
32 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
OBJECTIVE: Seeks to provide total returns that inversely correlate to the price movements of a benchmark for U.S.Treasury debt instruments or futures contract on a specified debt instrument. The Fund’s current benchmark is the inverse (opposite) of the daily price movement of the Long Treasury Bond.The Long Treasury Bond is the U.S.Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond.
Inception: May 1, 2003
Although unprecedented monetary and fiscal stimulus policy succeeded in improving economic growth in the second half of the year, an increasing supply of Treasury debt pushed the 30-year bond yield to move to 4.64% from 2.68% during 2009. When some investors expressed a concern for rising inflation, Federal Reserve Chairman, Ben Bernanke insisted that there was none.
As Treasuries underperformed throughout the year, the Inverse Government Long Bond Strategy Fund moved positively in the lower price / higher yield environment, allowing the Fund to close up 19.41% for the year. For the one-year period ended December 31, 2009, Inverse Government Long Bond Strategy Fund maintained a daily correlation of over 96% to its benchmark of -100% of the daily price movement of the U.S. Government Long Bond.
Cumulative Fund Performance:
May 1, 2003 – December 31, 2009
May 1, 2003 – December 31, 2009
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. 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 4 of this report.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Since Inception | ||||||||||
Year | Year | (05/01/03) | ||||||||||
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | 19.41 | % | -4.00 | % | -4.75 | % | ||||||
PRICE MOVEMENT OF LONG TREASURY BOND | -30.55 | % | -2.42 | % | -1.95 | % | ||||||
BARCLAYS CAPITAL LONG TREASURY BOND INDEX | -12.92 | % | 5.17 | % | 5.02 | % | ||||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Barclays Capital Long Treasury Bond Index is an unmanaged bond index and, unlike the Fund, has no management fees or other operating expenses to reduce its reported return. The price movement of the Long Treasury Bond represents a cumulative percentage change in its closing price. Returns are historical and include changes in principal and reinvested dividends and capital gains.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
The Fund invests principally in short sales and derivative instruments such as futures contracts, and options on index futures.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 33 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (concluded)
U.S. GOVERNMENT MONEY MARKET FUND
OBJECTIVE: Seeks to provide security of principal, high current income, and liquidity.
Inception: May 7, 1997
For the year ended December 31, 2009, U.S. Government Money Market Fund had a total return of 0.06%. Money flowed into government money market funds following the collapse of the Reserve Primary Fund in mid-2008. In 2009, the economy continued to contract and Federal Reserve held short-term interest rates at 0.0% to 0.25%. Mid-year, government-only money fund balances drifted lower due to lower yields, which remained essentially flat along the money market curve out to six months. The regulatory climate has shifted toward greater control over risk, liquidity levels and investments, with many reforms still in the drafting stage. According to the Investment Company Institute, money market fund assets slid $500 billion in 2009 from $3.832 trillion in January to $3.317 at the end of November 2009.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
One | Five | Ten | ||||||||||
Year | Year | Year | ||||||||||
U.S. GOVERNMENT MONEY MARKET FUND | 0.06 | % | 2.17 | % | 1.95 | % | ||||||
Holdings Diversification (Market Exposure as % of Net Assets)
FAB — Federal Agency Bonds
FADN — Federal Agency Discount Notes
The Fund invests primarily in money market instruments issued or guaranteed as to principal and interest by the U.S. Government, its agencies or instrumentalities.
34 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
SCHEDULE OF INVESTMENTS
December 31, 2009
NOVA FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 77.6%(a) | ||||||||
INFORMATION TECHNOLOGY 15.4% | ||||||||
Microsoft Corp. | 30,550 | $ | 931,469 | |||||
Apple, Inc.* | 3,560 | 750,662 | ||||||
International Business Machines Corp. | 5,190 | 679,371 | ||||||
Google, Inc. — Class A* | 950 | 588,981 | ||||||
Cisco Systems, Inc.* | 22,750 | 544,635 | ||||||
Hewlett-Packard Co. | 9,380 | 483,164 | ||||||
Intel Corp. | 21,840 | 445,536 | ||||||
Oracle Corp. | 15,460 | 379,388 | ||||||
Qualcomm, Inc. | 6,610 | 305,779 | ||||||
Visa, Inc. | 1,770 | 154,804 | ||||||
EMC Corp.* | 8,070 | 140,983 | ||||||
Texas Instruments, Inc. | 4,950 | 128,997 | ||||||
Corning, Inc. | 6,150 | 118,757 | ||||||
eBay, Inc.* | 4,450 | 104,753 | ||||||
Dell, Inc.* | 6,810 | 97,792 | ||||||
MasterCard, Inc. | 380 | 97,272 | ||||||
Automatic Data Processing, Inc. | 2,000 | 85,640 | ||||||
Yahoo!, Inc.* | 4,710 | 79,034 | ||||||
Adobe Systems, Inc.* | 2,070 | 76,135 | ||||||
Applied Materials, Inc. | 5,270 | 73,464 | ||||||
Motorola, Inc.* | 9,140 | 70,926 | ||||||
Symantec Corp.* | 3,210 | 57,427 | ||||||
Juniper Networks, Inc.* | 2,080 | 55,474 | ||||||
Broadcom Corp. — Class A* | 1,700 | 53,465 | ||||||
Cognizant Technology Solutions Corp. — Class A* | 1,170 | 53,001 | ||||||
Western Union Co. | 2,740 | 51,649 | ||||||
NetApp, Inc.* | 1,339 | 46,048 | ||||||
Agilent Technologies, Inc.* | 1,360 | 42,255 | ||||||
NVIDIA Corp.* | 2,190 | 40,909 | ||||||
Western Digital Corp.* | 887 | 39,161 | ||||||
Paychex, Inc. | 1,270 | 38,913 | ||||||
Intuit, Inc.* | 1,250 | 38,388 | ||||||
Analog Devices, Inc. | 1,150 | 36,317 | ||||||
Micron Technology, Inc.* | 3,360 | 35,482 | ||||||
CA, Inc. | 1,570 | 35,262 | ||||||
Computer Sciences Corp.* | 600 | 34,518 | ||||||
Salesforce.com, Inc.* | 427 | 31,500 | ||||||
Amphenol Corp. | 677 | 31,264 | ||||||
Fidelity National Information Services, Inc. | 1,300 | 30,472 | ||||||
Citrix Systems, Inc.* | 720 | 29,959 | ||||||
Fiserv, Inc.* | 610 | 29,573 | ||||||
BMC Software, Inc.* | 730 | 29,273 | ||||||
Xerox Corp. | 3,440 | 29,102 | ||||||
Sun Microsystems, Inc.* | 2,980 | 27,923 | ||||||
Xilinx, Inc. | 1,090 | 27,315 | ||||||
Linear Technology Corp. | 880 | 26,875 | ||||||
Altera Corp. | 1,170 | 26,477 | ||||||
SanDisk Corp.* | 900 | 26,091 | ||||||
McAfee, Inc.* | 620 | 25,153 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Harris Corp. | 517 | $ | 24,583 | |||||
KLA-Tencor Corp. | 678 | 24,516 | ||||||
Affiliated Computer Services, Inc. — Class A* | 388 | 23,160 | ||||||
Autodesk, Inc.* | 906 | 23,021 | ||||||
SAIC, Inc.* | 1,210 | 22,917 | ||||||
Electronic Arts, Inc.* | 1,290 | 22,898 | ||||||
Red Hat, Inc.* | 740 | 22,866 | ||||||
Advanced Micro Devices, Inc.* | 2,230 | 21,586 | ||||||
Teradata Corp.* | 680 | 21,372 | ||||||
Microchip Technology, Inc. | 730 | 21,214 | ||||||
Flir Systems, Inc.* | 599 | 19,599 | ||||||
VeriSign, Inc.* | 760 | 18,422 | ||||||
Akamai Technologies, Inc.* | 680 | 17,224 | ||||||
LSI Logic Corp.* | 2,580 | 15,506 | ||||||
National Semiconductor Corp. | 944 | 14,500 | ||||||
Total System Services, Inc. | 780 | 13,471 | ||||||
Jabil Circuit, Inc. | 748 | 12,993 | ||||||
MEMC Electronic Materials, Inc.* | 880 | 11,986 | ||||||
Molex, Inc. | 540 | 11,637 | ||||||
Novellus Systems, Inc.* | 380 | 8,869 | ||||||
Tellabs, Inc.* | 1,530 | 8,690 | ||||||
QLogic Corp.* | 450 | 8,492 | ||||||
Lexmark International, Inc.* | 308 | 8,002 | ||||||
Teradyne, Inc.* | 689 | 7,393 | ||||||
JDS Uniphase Corp.* | 876 | 7,227 | ||||||
Compuware Corp.* | 910 | 6,579 | ||||||
Novell, Inc.* | 1,370 | 5,686 | ||||||
Total Information Technology | 7,791,197 | |||||||
FINANCIALS 11.2% | ||||||||
JPMorgan Chase & Co. | 15,580 | 649,219 | ||||||
Bank of America Corp. | 39,300 | 591,858 | ||||||
Wells Fargo & Co. | 20,206 | 545,360 | ||||||
Goldman Sachs Group, Inc. | 2,027 | 342,239 | ||||||
Citigroup, Inc. | 77,106 | 255,221 | ||||||
American Express Co. | 4,700 | 190,444 | ||||||
U.S. Bancorp | 7,560 | 170,176 | ||||||
Morgan Stanley | 5,380 | 159,248 | ||||||
Bank of New York Mellon Corp. | 4,760 | 133,137 | ||||||
MetLife, Inc. | 3,240 | 114,534 | ||||||
The Travelers Companies, Inc. | 2,160 | 107,698 | ||||||
PNC Financial Services Group, Inc. | 1,820 | 96,078 | ||||||
Prudential Financial, Inc. | 1,830 | 91,061 | ||||||
Simon Property Group, Inc. | 1,133 | 90,426 | ||||||
CME Group, Inc. | 260 | 87,347 | ||||||
AFLAC, Inc. | 1,850 | 85,562 | ||||||
State Street Corp. | 1,960 | 85,338 | ||||||
Charles Schwab Corp. | 3,770 | 70,951 | ||||||
BB&T Corp. | 2,720 | 69,006 | ||||||
Capital One Financial Corp. | 1,780 | 68,245 | ||||||
Chubb Corp. | 1,350 | 66,393 | ||||||
Allstate Corp. | 2,120 | 63,685 | ||||||
Franklin Resources, Inc. | 590 | 62,156 | ||||||
T. Rowe Price Group, Inc. | 1,020 | 54,315 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 35 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
NOVA FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Loews Corp. | 1,430 | $ | 51,980 | |||||
Northern Trust Corp. | 960 | 50,304 | ||||||
Progressive Corp.* | 2,670 | 48,033 | ||||||
Marsh & McLennan Companies, Inc. | 2,090 | 46,147 | ||||||
Public Storage | 540 | 43,983 | ||||||
Vornado Realty Trust | 620 | 43,394 | ||||||
Aon Corp. | 1,080 | 41,407 | ||||||
Invesco Ltd. | 1,705 | 40,050 | ||||||
SunTrust Banks, Inc. | 1,970 | 39,971 | ||||||
Ameriprise Financial, Inc. | 1,006 | 39,053 | ||||||
Boston Properties, Inc. | 550 | 36,889 | ||||||
Equity Residential | 1,090 | 36,820 | ||||||
HCP, Inc. | 1,160 | 35,426 | ||||||
Hartford Financial Services Group, Inc. | 1,510 | 35,123 | ||||||
IntercontinentalExchange, Inc.* | 290 | 32,567 | ||||||
Discover Financial Services | 2,147 | 31,582 | ||||||
Fifth Third Bancorp | 3,150 | 30,713 | ||||||
Principal Financial Group, Inc. | 1,260 | 30,290 | ||||||
Lincoln National Corp. | 1,190 | 29,607 | ||||||
Host Hotels & Resorts, Inc.* | 2,498 | 29,156 | ||||||
Ventas, Inc. | 620 | 27,119 | ||||||
AvalonBay Communities, Inc. | 319 | 26,193 | ||||||
NYSE Euronext | 1,030 | 26,059 | ||||||
Hudson City Bancorp, Inc. | 1,870 | 25,675 | ||||||
ProLogis | 1,870 | 25,600 | ||||||
Unum Group | 1,310 | 25,571 | ||||||
Regions Financial Corp. | 4,700 | 24,863 | ||||||
XL Capital Ltd. | 1,350 | 24,746 | ||||||
Plum Creek Timber Company, Inc. (REIT) | 640 | 24,166 | ||||||
People’s United Financial, Inc. | 1,380 | 23,046 | ||||||
M&T Bank Corp. | 328 | 21,940 | ||||||
Health Care REIT, Inc. | 495 | 21,938 | ||||||
Genworth Financial, Inc. — Class A* | 1,930 | 21,906 | ||||||
KIMCO Realty Corp. | 1,590 | 21,513 | ||||||
SLM Corp.* | 1,883 | 21,221 | ||||||
Moody’s Corp. | 780 | 20,904 | ||||||
Legg Mason, Inc. | 640 | 19,302 | ||||||
KeyCorp | 3,470 | 19,259 | ||||||
Leucadia National Corp.* | 750 | 17,843 | ||||||
Comerica, Inc. | 600 | 17,742 | ||||||
Cincinnati Financial Corp. | 640 | 16,794 | ||||||
American International Group, Inc.* | 530 | 15,889 | ||||||
CB Richard Ellis Group, Inc. — Class A* | 1,070 | 14,520 | ||||||
Torchmark Corp. | 330 | 14,504 | ||||||
Assurant, Inc. | 460 | 13,561 | ||||||
First Horizon National Corp.* | 880 | 11,795 | ||||||
NASDAQ OMX Group, Inc.* | 578 | 11,456 | ||||||
Marshall & Ilsley Corp. | 2,070 | 11,282 |
MARKET | ||||||||
SHARES | VALUE | |||||||
E*Trade Financial Corp.* | 6,120 | $ | 10,710 | |||||
Huntington Bancshares, Inc. | 2,830 | 10,330 | ||||||
Janus Capital Group, Inc. | 716 | 9,630 | ||||||
Federated Investors, Inc. — Class B | 350 | 9,625 | ||||||
Apartment Investment & Management Co. — Class A | 460 | 7,323 | ||||||
Zions Bancorporation | 550 | 7,057 | ||||||
Total Financials | 5,643,274 | |||||||
HEALTH CARE 9.8% | ||||||||
Johnson & Johnson | 10,910 | 702,713 | ||||||
Pfizer, Inc. | 31,910 | 580,443 | ||||||
Merck & Company, Inc. | 12,080 | 441,403 | ||||||
Abbott Laboratories | 6,120 | 330,419 | ||||||
Amgen, Inc.* | 4,000 | 226,280 | ||||||
Medtronic, Inc. | 4,380 | 192,632 | ||||||
Bristol-Myers Squibb Co. | 6,770 | 170,943 | ||||||
Gilead Sciences, Inc.* | 3,560 | 154,077 | ||||||
Eli Lilly & Co. | 4,000 | 142,840 | ||||||
UnitedHealth Group, Inc. | 4,600 | 140,208 | ||||||
Baxter International, Inc. | 2,380 | 139,658 | ||||||
Medco Health Solutions, Inc.* | 1,888 | 120,662 | ||||||
WellPoint, Inc.* | 1,810 | 105,505 | ||||||
Celgene Corp.* | 1,820 | 101,338 | ||||||
Express Scripts, Inc.* | 1,090 | 94,231 | ||||||
Thermo Fisher Scientific, Inc.* | 1,610 | 76,781 | ||||||
Allergan, Inc. | 1,218 | 76,746 | ||||||
Becton, Dickinson & Co. | 940 | 74,128 | ||||||
McKesson Corp. | 1,060 | 66,250 | ||||||
Biogen Idec, Inc.* | 1,140 | 60,990 | ||||||
Stryker Corp. | 1,120 | 56,414 | ||||||
Aetna, Inc. | 1,710 | 54,207 | ||||||
Boston Scientific Corp.* | 5,970 | 53,730 | ||||||
Genzyme Corp.* | 1,050 | 51,461 | ||||||
Zimmer Holdings, Inc.* | 840 | 49,652 | ||||||
St. Jude Medical, Inc.* | 1,320 | 48,550 | ||||||
Cardinal Health, Inc. | 1,430 | 46,103 | ||||||
Intuitive Surgical, Inc.* | 148 | 44,891 | ||||||
Forest Laboratories, Inc.* | 1,190 | 38,211 | ||||||
CIGNA Corp. | 1,080 | 38,092 | ||||||
Life Technologies Corp.* | 710 | 37,083 | ||||||
Quest Diagnostics, Inc. | 610 | 36,832 | ||||||
Hospira, Inc.* | 640 | 32,640 | ||||||
Laboratory Corporation of America Holdings* | 420 | 31,433 | ||||||
AmerisourceBergen Corp. | 1,140 | 29,720 | ||||||
C.R. Bard, Inc. | 380 | 29,602 | ||||||
Humana, Inc.* | 668 | 29,319 | ||||||
DaVita, Inc.* | 400 | 23,496 | ||||||
Varian Medical Systems, Inc.* | 490 | 22,957 | ||||||
Waters Corp.* | 370 | 22,925 | ||||||
Mylan Laboratories, Inc.* | 1,210 | 22,300 | ||||||
DENTSPLY International, Inc. | 602 | 21,172 |
36 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
NOVA FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Cephalon, Inc.* | 300 | $ | 18,723 | |||||
CareFusion Corp.* | 700 | 17,507 | ||||||
Watson Pharmaceuticals, Inc.* | 417 | 16,517 | ||||||
Millipore Corp.* | 220 | 15,917 | ||||||
IMS Health, Inc. | 720 | 15,163 | ||||||
Coventry Health Care, Inc.* | 590 | 14,331 | ||||||
King Pharmaceuticals, Inc.* | 980 | 12,025 | ||||||
Patterson Companies, Inc.* | 370 | 10,353 | ||||||
PerkinElmer, Inc. | 460 | 9,471 | ||||||
Tenet Healthcare Corp.* | 1,710 | 9,217 | ||||||
Total Health Care | 4,958,261 | |||||||
ENERGY 8.9% | ||||||||
Exxon Mobil Corp. | 18,770 | 1,279,926 | ||||||
Chevron Corp. | 7,930 | 610,531 | ||||||
Schlumberger Ltd. | 4,750 | 309,177 | ||||||
ConocoPhillips | 5,870 | 299,781 | ||||||
Occidental Petroleum Corp. | 3,210 | 261,133 | ||||||
Apache Corp. | 1,330 | 137,216 | ||||||
Devon Energy Corp. | 1,760 | 129,360 | ||||||
Anadarko Petroleum Corp. | 1,940 | 121,095 | ||||||
Halliburton Co. | 3,570 | 107,421 | ||||||
XTO Energy, Inc. | 2,290 | 106,554 | ||||||
EOG Resources, Inc. | 1,000 | 97,300 | ||||||
Marathon Oil Corp. | 2,800 | 87,416 | ||||||
National-Oilwell Varco, Inc. | 1,650 | 72,748 | ||||||
Hess Corp. | 1,150 | 69,575 | ||||||
Chesapeake Energy Corp. | 2,560 | 66,253 | ||||||
Southwestern Energy Co.* | 1,370 | 66,034 | ||||||
Spectra Energy Corp. | 2,560 | 52,506 | ||||||
Baker Hughes, Inc. | 1,230 | 49,790 | ||||||
Noble Energy, Inc. | 690 | 49,142 | ||||||
Williams Companies, Inc. | 2,310 | 48,695 | ||||||
Peabody Energy Corp. | 1,060 | 47,923 | ||||||
Murphy Oil Corp. | 760 | 41,192 | ||||||
Cameron International Corp.* | 970 | 40,546 | ||||||
Valero Energy Corp. | 2,230 | 37,353 | ||||||
Consol Energy, Inc. | 720 | 35,856 | ||||||
Range Resources Corp. | 620 | 30,907 | ||||||
FMC Technologies, Inc.* | 480 | 27,763 | ||||||
El Paso Corp. | 2,770 | 27,229 | ||||||
Smith International, Inc. | 980 | 26,627 | ||||||
Diamond Offshore Drilling, Inc. | 270 | 26,573 | ||||||
Nabors Industries Ltd.* | 1,120 | 24,517 | ||||||
Pioneer Natural Resources Co. | 460 | 22,158 | ||||||
BJ Services Co. | 1,160 | 21,576 | ||||||
Cabot Oil & Gas Corp. | 410 | 17,872 | ||||||
Denbury Resources, Inc.* | 990 | 14,652 | ||||||
Massey Energy Co. | 339 | 14,241 | ||||||
Sunoco, Inc. | 460 | 12,006 | ||||||
Rowan Companies, Inc.* | 449 | 10,165 | ||||||
Tesoro Corp. | 550 | 7,453 | ||||||
Total Energy | 4,508,262 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
CONSUMER STAPLES 8.8% | ||||||||
Procter & Gamble Co. | 11,550 | $ | 700,276 | |||||
Coca-Cola Co. | 9,160 | 522,120 | ||||||
Wal-Mart Stores, Inc. | 8,440 | 451,118 | ||||||
PepsiCo, Inc. | 6,170 | 375,136 | ||||||
Philip Morris International, Inc. | 7,530 | 362,871 | ||||||
CVS Caremark Corp. | 5,580 | 179,732 | ||||||
Colgate-Palmolive Co. | 1,970 | 161,835 | ||||||
Altria Group, Inc. | 8,190 | 160,770 | ||||||
Kraft Foods, Inc. | 5,840 | 158,731 | ||||||
Walgreen Co. | 3,910 | 143,575 | ||||||
Kimberly-Clark Corp. | 1,640 | 104,484 | ||||||
Costco Wholesale Corp. | 1,720 | 101,772 | ||||||
General Mills, Inc. | 1,286 | 91,062 | ||||||
Archer-Daniels-Midland Co. | 2,540 | 79,527 | ||||||
Sysco Corp. | 2,340 | 65,380 | ||||||
Kellogg Co. | 1,010 | 53,732 | ||||||
H.J. Heinz Co. | 1,247 | 53,322 | ||||||
Avon Products, Inc. | 1,690 | 53,235 | ||||||
Kroger Co. | 2,570 | 52,762 | ||||||
Lorillard, Inc. | 640 | 51,347 | ||||||
ConAgra Foods, Inc. | 1,750 | 40,338 | ||||||
Mead Johnson Nutrition Co. — Class A | 810 | 35,397 | ||||||
Reynolds American, Inc. | 666 | 35,278 | ||||||
Safeway, Inc. | 1,610 | 34,277 | ||||||
Sara Lee Corp. | 2,760 | 33,617 | ||||||
Clorox Co. | 546 | 33,306 | ||||||
J.M. Smucker Co. | 470 | 29,023 | ||||||
Dr Pepper Snapple Group, Inc. | 1,000 | 28,300 | ||||||
Molson Coors Brewing Co. — Class B | 617 | 27,864 | ||||||
Coca-Cola Enterprises, Inc. | 1,260 | 26,712 | ||||||
Campbell Soup Co. | 750 | 25,350 | ||||||
Hershey Co. | 660 | 23,621 | ||||||
Brown-Forman Corp. — Class B | 430 | 23,035 | ||||||
Estee Lauder Companies, Inc. — Class A | 470 | 22,729 | ||||||
Pepsi Bottling Group, Inc. | 570 | 21,375 | ||||||
McCormick & Company, Inc. | 520 | 18,788 | ||||||
Whole Foods Market, Inc.* | 560 | 15,372 | ||||||
Tyson Foods, Inc. — Class A | 1,210 | 14,847 | ||||||
Dean Foods Co.* | 710 | 12,808 | ||||||
Constellation Brands, Inc. — Class A* | 786 | 12,521 | ||||||
Hormel Foods Corp. | 280 | 10,766 | ||||||
SUPERVALU, Inc. | 840 | 10,676 | ||||||
Total Consumer Staples | 4,458,787 | |||||||
INDUSTRIALS 7.9% | ||||||||
General Electric Co. | 42,110 | 637,124 | ||||||
United Technologies Corp. | 3,710 | 257,511 | ||||||
3M Co. | 2,797 | 231,228 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 37 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
NOVA FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
United Parcel Service, Inc. — Class B | 3,930 | $ | 225,464 | |||||
Boeing Co. | 2,870 | 155,353 | ||||||
Caterpillar, Inc. | 2,460 | 140,195 | ||||||
Union Pacific Corp. | 2,000 | 127,800 | ||||||
Emerson Electric Co. | 2,970 | 126,522 | ||||||
Honeywell International, Inc. | 3,019 | 118,345 | ||||||
General Dynamics Corp. | 1,530 | 104,300 | ||||||
FedEx Corp. | 1,238 | 103,311 | ||||||
Burlington Northern Santa Fe Corp. | 1,040 | 102,565 | ||||||
Lockheed Martin Corp. | 1,260 | 94,941 | ||||||
Deere & Co. | 1,670 | 90,330 | ||||||
Raytheon Co. | 1,520 | 78,310 | ||||||
Danaher Corp. | 1,030 | 77,456 | ||||||
Norfolk Southern Corp. | 1,450 | 76,009 | ||||||
CSX Corp. | 1,550 | 75,160 | ||||||
Illinois Tool Works, Inc. | 1,530 | 73,425 | ||||||
Northrop Grumman Corp. | 1,240 | 69,254 | ||||||
Waste Management, Inc. | 1,940 | 65,591 | ||||||
Precision Castparts Corp. | 560 | 61,796 | ||||||
Paccar, Inc. | 1,440 | 52,229 | ||||||
Eaton Corp. | 660 | 41,989 | ||||||
L-3 Communications Holdings, Inc. | 458 | 39,823 | ||||||
CH Robinson Worldwide, Inc. | 660 | 38,762 | ||||||
Cummins, Inc. | 800 | 36,688 | ||||||
Republic Services, Inc. | 1,280 | 36,237 | ||||||
ITT Corp. | 720 | 35,813 | ||||||
Parker Hannifin Corp. | 638 | 34,375 | ||||||
Rockwell Collins, Inc. | 620 | 34,323 | ||||||
Southwest Airlines Co. | 2,930 | 33,490 | ||||||
Fluor Corp. | 710 | 31,978 | ||||||
Goodrich Corp. | 490 | 31,483 | ||||||
Dover Corp. | 738 | 30,708 | ||||||
Expeditors International of Washington, Inc. | 840 | 29,173 | ||||||
Rockwell Automation, Inc. | 560 | 26,309 | ||||||
First Solar, Inc.* | 190 | 25,726 | ||||||
W.W. Grainger, Inc. | 250 | 24,208 | ||||||
Fastenal Co. | 520 | 21,653 | ||||||
Flowserve Corp. | 217 | 20,513 | ||||||
Textron, Inc. | 1,070 | 20,127 | ||||||
Masco Corp. | 1,420 | 19,610 | ||||||
Roper Industries, Inc. | 361 | 18,906 | ||||||
Pitney Bowes, Inc. | 820 | 18,663 | ||||||
Jacobs Engineering Group, Inc.* | 487 | 18,316 | ||||||
Stericycle, Inc.* | 330 | 18,206 | ||||||
RR Donnelley & Sons Co. | 810 | 18,039 | ||||||
Dun & Bradstreet Corp. | 210 | 17,718 | ||||||
Quanta Services, Inc.* | 830 | 17,297 | ||||||
Pall Corp. | 460 | 16,652 | ||||||
Avery Dennison Corp. | 450 | 16,421 | ||||||
Iron Mountain, Inc.* | 720 | 16,387 | ||||||
Stanley Works | 318 | 16,380 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Robert Half International, Inc. | 600 | $ | 16,038 | |||||
Equifax, Inc. | 498 | 15,383 | ||||||
Cintas Corp. | 520 | 13,546 | ||||||
Snap-On, Inc. | 230 | 9,720 | ||||||
Ryder System, Inc. | 220 | 9,057 | ||||||
Monster Worldwide, Inc.* | 500 | 8,700 | ||||||
Total Industrials | 4,022,636 | |||||||
CONSUMER DISCRETIONARY 7.4% | ||||||||
McDonald’s Corp. | 4,270 | 266,619 | ||||||
Walt Disney Co. | 7,600 | 245,100 | ||||||
Home Depot, Inc. | 6,720 | 194,410 | ||||||
Comcast Corp. — Class A | 11,290 | 190,349 | ||||||
Amazon.com, Inc.* | 1,320 | 177,566 | ||||||
Target Corp. | 2,980 | 144,143 | ||||||
Lowe’s Companies, Inc. | 5,820 | 136,130 | ||||||
Time Warner, Inc. | 4,620 | 134,627 | ||||||
Ford Motor Co.* | 13,083 | 130,830 | ||||||
DIRECTV* | 3,780 | 126,063 | ||||||
News Corp. | 8,910 | 121,978 | ||||||
Nike, Inc. — Class B | 1,540 | 101,748 | ||||||
Johnson Controls, Inc. | 2,650 | 72,186 | ||||||
Viacom, Inc. — Class B* | 2,400 | 71,352 | ||||||
Staples, Inc. | 2,860 | 70,327 | ||||||
Starbucks Corp.* | 2,945 | 67,912 | ||||||
Kohl’s Corp.* | 1,210 | 65,255 | ||||||
Yum! Brands, Inc. | 1,850 | 64,694 | ||||||
TJX Companies, Inc. | 1,660 | 60,673 | ||||||
Time Warner Cable, Inc. | 1,390 | 57,532 | ||||||
Carnival Corp.* | 1,730 | 54,824 | ||||||
Best Buy Company, Inc. | 1,350 | 53,271 | ||||||
Omnicom Group, Inc. | 1,230 | 48,154 | ||||||
Coach, Inc. | 1,260 | 46,028 | ||||||
McGraw-Hill Companies, Inc. | 1,250 | 41,887 | ||||||
Bed Bath & Beyond, Inc.* | 1,040 | 40,175 | ||||||
The Gap, Inc. | 1,880 | 39,386 | ||||||
CBS Corp. | 2,680 | 37,654 | ||||||
Priceline.com, Inc.* | 170 | 37,145 | ||||||
Apollo Group, Inc. — Class A* | 509 | 30,835 | ||||||
H&R Block, Inc. | 1,330 | 30,085 | ||||||
Mattel, Inc. | 1,430 | 28,571 | ||||||
Macy’s, Inc. | 1,660 | 27,822 | ||||||
Marriott International, Inc. — Class A | 1,000 | 27,250 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 740 | 27,062 | ||||||
Fortune Brands, Inc. | 590 | 25,488 | ||||||
VF Corp. | 346 | 25,341 | ||||||
J.C. Penney Company, Inc. | 930 | 24,747 | ||||||
Nordstrom, Inc. | 650 | 24,427 | ||||||
Genuine Parts Co. | 627 | 23,801 | ||||||
Harley-Davidson, Inc. | 930 | 23,436 | ||||||
Sherwin-Williams Co. | 380 | 23,427 | ||||||
Whirlpool Corp. | 290 | 23,391 | ||||||
International Game Technology, Inc. | 1,170 | 21,961 |
38 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
NOVA FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Expedia, Inc.* | 830 | $ | 21,339 | |||||
Tiffany & Co. | 490 | 21,070 | ||||||
Ross Stores, Inc. | 490 | 20,928 | ||||||
O’Reilly Automotive, Inc.* | 537 | 20,470 | ||||||
Limited Brands, Inc. | 1,060 | 20,394 | ||||||
Darden Restaurants, Inc. | 546 | 19,148 | ||||||
AutoZone, Inc.* | 120 | 18,968 | ||||||
Polo Ralph Lauren Corp. | 230 | 18,625 | ||||||
Newell Rubbermaid, Inc. | 1,100 | 16,511 | ||||||
Sears Holdings Corp.* | 190 | 15,856 | ||||||
Hasbro, Inc. | 490 | 15,709 | ||||||
Wynn Resorts Ltd. | 269 | 15,664 | ||||||
Black & Decker Corp. | 239 | 15,494 | ||||||
Family Dollar Stores, Inc. | 550 | 15,307 | ||||||
Scripps Networks Interactive, Inc. | 347 | 14,401 | ||||||
Wyndham Worldwide Corp. | 710 | 14,321 | ||||||
GameStop Corp.* | 650 | 14,261 | ||||||
Interpublic Group of Companies, Inc.* | 1,920 | 14,170 | ||||||
Gannett Company, Inc. | 930 | 13,811 | ||||||
DeVry, Inc. | 240 | 13,615 | ||||||
Goodyear Tire & Rubber Co.* | 960 | 13,536 | ||||||
Pulte Homes, Inc.* | 1,250 | 12,500 | ||||||
Leggett & Platt, Inc. | 600 | 12,240 | ||||||
Abercrombie & Fitch Co. — Class A | 349 | 12,163 | ||||||
D.R. Horton, Inc. | 1,090 | 11,848 | ||||||
RadioShack Corp. | 499 | 9,731 | ||||||
Big Lots, Inc.* | 330 | 9,563 | ||||||
Harman International Industries, Inc. | 270 | 9,526 | ||||||
Washington Post Co. — Class B | 20 | 8,792 | ||||||
Lennar Corp. — Class A | 637 | 8,134 | ||||||
AutoNation, Inc.* | 370 | 7,086 | ||||||
Office Depot, Inc.* | 1,090 | 7,031 | ||||||
New York Times Co. — Class A* | 458 | 5,661 | ||||||
Meredith Corp. | 150 | 4,628 | ||||||
Eastman Kodak Co.* | 1,060 | 4,473 | ||||||
Total Consumer Discretionary | 3,762,636 | |||||||
UTILITIES 2.9% | ||||||||
Exelon Corp. | 2,610 | 127,551 | ||||||
Southern Co. | 3,160 | 105,291 | ||||||
Dominion Resources, Inc. | 2,360 | 91,851 | ||||||
Duke Energy Corp. | 5,160 | 88,804 | ||||||
FPL Group, Inc. | 1,630 | 86,097 | ||||||
Public Service Enterprise Group, Inc. | 2,000 | 66,500 | ||||||
American Electric Power Company, Inc. | 1,890 | 65,753 | ||||||
PG&E Corp. | 1,470 | 65,635 | ||||||
Entergy Corp. | 750 | 61,380 | ||||||
FirstEnergy Corp. | 1,210 | 56,205 | ||||||
Sempra Energy | 970 | 54,301 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Consolidated Edison, Inc. | 1,114 | $ | 50,609 | |||||
PPL Corp. | 1,490 | 48,142 | ||||||
Progress Energy, Inc. | 1,110 | 45,521 | ||||||
Edison International | 1,290 | 44,866 | ||||||
Xcel Energy, Inc. | 1,810 | 38,426 | ||||||
AES Corp.* | 2,640 | 35,138 | ||||||
Questar Corp. | 690 | 28,683 | ||||||
DTE Energy Co. | 650 | 28,334 | ||||||
Constellation Energy Group, Inc. | 790 | 27,784 | ||||||
Ameren Corp. | 941 | 26,301 | ||||||
Wisconsin Energy Corp. | 460 | 22,922 | ||||||
EQT Corp. | 520 | 22,838 | ||||||
CenterPoint Energy, Inc. | 1,540 | 22,345 | ||||||
Northeast Utilities | 690 | 17,795 | ||||||
NiSource, Inc. | 1,090 | 16,764 | ||||||
SCANA Corp. | 440 | 16,579 | ||||||
Allegheny Energy, Inc. | 670 | 15,732 | ||||||
Pepco Holdings, Inc. | 880 | 14,828 | ||||||
Pinnacle West Capital Corp. | 400 | 14,632 | ||||||
CMS Energy Corp. | 907 | 14,204 | ||||||
TECO Energy, Inc. | 850 | 13,787 | ||||||
Integrys Energy Group, Inc. | 300 | 12,597 | ||||||
Nicor, Inc. | 180 | 7,578 | ||||||
Total Utilities | 1,455,773 | |||||||
MATERIALS 2.8% | ||||||||
Monsanto Co. | 2,160 | 176,580 | ||||||
Freeport-McMoRan Copper & Gold, Inc.* | 1,697 | 136,252 | ||||||
Dow Chemical Co. | 4,520 | 124,888 | ||||||
E.I. du Pont de Nemours and Co. | 3,570 | 120,202 | ||||||
Praxair, Inc. | 1,210 | 97,175 | ||||||
Newmont Mining Corp. | 1,940 | 91,781 | ||||||
Air Products & Chemicals, Inc. | 840 | 68,090 | ||||||
Alcoa, Inc. | 3,850 | 62,062 | ||||||
Nucor Corp. | 1,240 | 57,846 | ||||||
International Paper Co. | 1,710 | 45,794 | ||||||
Ecolab, Inc. | 938 | 41,826 | ||||||
PPG Industries, Inc. | 657 | 38,461 | ||||||
Weyerhaeuser Co. | 836 | 36,065 | ||||||
United States Steel Corp. | 570 | 31,418 | ||||||
Vulcan Materials Co. | 497 | 26,177 | ||||||
Sigma-Aldrich Corp. | 480 | 24,254 | ||||||
Cliffs Natural Resources, Inc. | 520 | 23,967 | ||||||
Owens-Illinois, Inc.* | 667 | 21,924 | ||||||
MeadWestvaco Corp. | 680 | 19,468 | ||||||
Ball Corp. | 368 | 19,026 | ||||||
Eastman Chemical Co. | 290 | 17,470 | ||||||
Allegheny Technologies, Inc. | 390 | 17,460 | ||||||
CF Industries Holdings, Inc. | 190 | 17,248 | ||||||
FMC Corp. | 290 | 16,170 | ||||||
Airgas, Inc. | 320 | 15,232 | ||||||
Sealed Air Corp. | 630 | 13,772 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 39 |
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
NOVA FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
International Flavors & | ||||||||
Fragrances, Inc. | 310 | $ | 12,753 | |||||
Bemis Co. | 430 | 12,750 | ||||||
Pactiv Corp.* | 520 | 12,553 | ||||||
AK Steel Holding Corp. | 430 | 9,181 | ||||||
Titanium Metals Corp.* | 330 | 4,132 | ||||||
Total Materials | 1,411,977 | |||||||
TELECOMMUNICATION SERVICES 2.5% | ||||||||
AT&T, Inc. | 23,340 | 654,220 | ||||||
Verizon Communications, Inc. | 11,230 | 372,050 | ||||||
American Tower | ||||||||
Corp. — Class A* | 1,590 | 68,704 | ||||||
Sprint Nextel Corp.* | 11,740 | 42,968 | ||||||
CenturyTel, Inc. | 1,180 | 42,728 | ||||||
Qwest Communications | ||||||||
International, Inc. | 5,870 | 24,713 | ||||||
Windstream Corp. | 1,730 | 19,013 | ||||||
Frontier Communications Corp. | 1,240 | 9,684 | ||||||
MetroPCS Communications, Inc.* | 1,030 | 7,859 | ||||||
Total Telecommunication Services | 1,241,939 | |||||||
Total Common Stocks | ||||||||
(Cost $29,877,232) | 39,254,742 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENTS† 20.8%(b) | ||||||||
Credit Suisse Group | ||||||||
issued 12/31/09 at (0.02)% | ||||||||
due 01/04/10†† | $ | 4,734,323 | 4,734,323 | |||||
Mizuho Financial Group, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,567,292 | 1,567,292 | ||||||
UBS Financial Services, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,555,336 | 1,555,336 | ||||||
HSBC Group | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,555,336 | 1,555,336 | ||||||
Morgan Stanley | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,097,886 | 1,097,886 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $10,510,173) | 10,510,173 | |||||||
Total Investments 98.4% | ||||||||
(Cost $40,387,405) | $ | 49,764,915 | ||||||
Other Assets in Excess of | ||||||||
Liabilities – 1.6% | $ | 795,740 | ||||||
Net Assets – 100.0% | $ | 50,560,655 | ||||||
UNREALIZED | ||||||||
CONTRACTS | GAIN | |||||||
FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 S&P 500 Index | ||||||||
Mini Futures Contracts | ||||||||
(Aggregate Market Value of | ||||||||
Contracts $2,720,725) | 49 | $ | 46,893 | |||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS(b) | ||||||||
Goldman Sachs International | ||||||||
January 2010 S&P 500 Index | ||||||||
Swap, Terminating 01/04/10††† | ||||||||
(Notional Market Value | ||||||||
$18,593,980) | 16,675 | $ | 333,952 | |||||
Credit Suisse Capital, LLC | ||||||||
January 2010 S&P 500 Index | ||||||||
Swap, Terminating 01/04/10††† | ||||||||
(Notional Market Value | ||||||||
$15,466,193) | 13,870 | 234,444 | ||||||
(Total Notional Market | ||||||||
Value $34,060,172) | $ | 568,396 | ||||||
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 6. | |
†† | All or a portion of this security is pledged as equity index swap collateral at December 31, 2009. | |
††† | Total Return based on S&P 500 Index +/- financing at a variable rate. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. | |
REIT — Real Estate Investment Trust. |
40 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
INVERSE S&P 500 STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
FEDERAL AGENCY DISCOUNT NOTES 21.8%(b) | ||||||||
Farmer Mac* | ||||||||
0.05% due 01/05/10 | $ | 2,000,000 | $ | 1,999,997 | ||||
Federal Home Loan Bank* | ||||||||
0.02% due 01/15/10 | 2,000,000 | 1,999,988 | ||||||
Freddie Mac** | ||||||||
0.02% due 02/08/10 | 1,000,000 | 999,981 | ||||||
Total Federal Agency | ||||||||
Discount Notes | ||||||||
(Cost $4,999,966) | 4,999,966 | |||||||
REPURCHASE AGREEMENTS† 83.5%(b) | ||||||||
Mizuho Financial Group, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 4,368,148 | 4,368,148 | ||||||
HSBC Group | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 4,334,828 | 4,334,828 | ||||||
UBS Financial Services, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 4,334,828 | 4,334,828 | ||||||
Credit Suisse Group | ||||||||
issued 12/31/09 at (0.02)% | ||||||||
due 01/04/10†† | 3,088,624 | 3,088,624 | ||||||
Morgan Stanley | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 3,059,878 | 3,059,878 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $19,186,306) | 19,186,306 | |||||||
Total Investments 105.3% | ||||||||
(Cost $24,186,272) | $ | 24,186,272 | ||||||
Liabilities in Excess of Other | ||||||||
Assets – (5.3)% | $ | (1,222,040 | ) | |||||
Net Assets – 100.0% | $ | 22,964,232 | ||||||
UNREALIZED | ||||||||
CONTRACTS | LOSS | |||||||
FUTURES CONTRACTS SOLD SHORT(a) | ||||||||
March 2010 S&P 500 Index | ||||||||
Mini Futures Contracts | ||||||||
(Aggregate Market Value of | ||||||||
Contracts $4,108,850) | 74 | $ | (34,687 | ) | ||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS | ||||||||
SOLD SHORT(b) | ||||||||
Goldman Sachs International | ||||||||
January 2010 S&P 500 Index | ||||||||
Swap, Terminating 01/04/10††† | ||||||||
(Notional Market Value | ||||||||
$2,561,915) | 2,297 | $ | (28,945 | ) | ||||
Credit Suisse Capital, LLC | ||||||||
January 2010 S&P 500 Index | ||||||||
Swap, Terminating 01/04/10††† | ||||||||
(Notional Market Value | ||||||||
$16,318,347) | 14,634 | (275,353 | ) | |||||
(Total Notional Market | ||||||||
Value $18,880,262) | $ | (304,298 | ) | |||||
* | 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. | |
** | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. | |
† | Repurchase Agreements — See Note 6. | |
†† | All or a portion of this security is pledged as equity index swap collateral at December 31, 2009. | |
††† | Total Return based on S&P 500 Index +/- financing at a variable rate. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 41 |
SCHEDULE OF INVESTMENTS
December 31, 2009
NASDAQ-100® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 90.5%(a) | ||||||||
INFORMATION TECHNOLOGY 57.2% | ||||||||
Apple, Inc.* | 38,280 | $ | 8,071,721 | |||||
Qualcomm, Inc. | 61,390 | 2,839,901 | ||||||
Microsoft Corp. | 93,120 | 2,839,229 | ||||||
Google, Inc. — Class A* | 4,510 | 2,796,110 | ||||||
Oracle Corp. | 63,700 | 1,563,198 | ||||||
Cisco Systems, Inc.* | 62,630 | 1,499,362 | ||||||
Intel Corp. | 58,930 | 1,202,172 | ||||||
Research In Motion Ltd.* | 17,320 | 1,169,793 | ||||||
eBay, Inc.* | 29,390 | 691,841 | ||||||
Adobe Systems, Inc.* | 15,640 | 575,239 | ||||||
Automatic Data Processing, Inc. | 10,870 | 465,453 | ||||||
Symantec Corp.* | 25,830 | 462,099 | ||||||
Cognizant Technology Solutions | ||||||||
Corp. — Class A* | 8,750 | 396,375 | ||||||
Activision Blizzard, Inc.* | 34,510 | 383,406 | ||||||
Broadcom Corp. — Class A* | 12,140 | 381,803 | ||||||
Marvell Technology Group Ltd.* | 18,110 | 375,782 | ||||||
Intuit, Inc.* | 12,150 | 373,126 | ||||||
NetApp, Inc.* | 10,720 | 368,661 | ||||||
Yahoo!, Inc.* | 20,520 | 344,326 | ||||||
CA, Inc. | 15,270 | 342,964 | ||||||
Baidu, Inc. — SP ADR* | 820 | 337,209 | ||||||
Paychex, Inc. | 10,450 | 320,188 | ||||||
Dell, Inc.* | 21,920 | 314,771 | ||||||
NVIDIA Corp.* | 16,610 | 310,275 | ||||||
Applied Materials, Inc. | 21,020 | 293,019 | ||||||
Altera Corp. | 12,660 | 286,496 | ||||||
Fiserv, Inc.* | 5,870 | 284,578 | ||||||
Xilinx, Inc. | 11,190 | 280,421 | ||||||
Linear Technology Corp. | 9,090 | 277,609 | ||||||
Citrix Systems, Inc.* | 6,620 | 275,458 | ||||||
Seagate Technology | 15,130 | 275,215 | ||||||
BMC Software, Inc.* | 6,500 | 260,650 | ||||||
KLA-Tencor Corp. | 6,310 | 228,170 | ||||||
Check Point Software | ||||||||
Technologies Ltd.* | 6,280 | 212,766 | ||||||
SanDisk Corp.* | 7,070 | 204,959 | ||||||
Flextronics International Ltd.* | 26,850 | 196,273 | ||||||
Maxim Integrated Products, Inc. | 9,150 | 185,745 | ||||||
Autodesk, Inc.* | 7,290 | 185,239 | ||||||
Infosys Technologies | ||||||||
Ltd. — SP ADR | 3,320 | 183,496 | ||||||
Electronic Arts, Inc.* | 10,000 | 177,500 | ||||||
Flir Systems, Inc.* | 4,840 | 158,365 | ||||||
Lam Research Corp.* | 4,000 | 156,840 | ||||||
Microchip Technology, Inc. | 4,650 | 135,129 | ||||||
VeriSign, Inc.* | 5,530 | 134,047 | ||||||
Logitech International S.A.* | 5,220 | 89,262 | ||||||
Total Information Technology | 32,906,241 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
HEALTH CARE 14.1% | ||||||||
Teva Pharmaceutical Industries | ||||||||
Ltd. — SP ADR | 22,510 | $ | 1,264,612 | |||||
Gilead Sciences, Inc.* | 27,010 | 1,168,993 | ||||||
Amgen, Inc.* | 14,380 | 813,477 | ||||||
Celgene Corp.* | 13,890 | 773,395 | ||||||
Express Scripts, Inc.* | 7,470 | 645,781 | ||||||
Biogen Idec, Inc.* | 9,580 | 512,530 | ||||||
Genzyme Corp.* | 10,140 | 496,961 | ||||||
Intuitive Surgical, Inc.* | 1,160 | 351,851 | ||||||
Life Technologies Corp.* | 5,500 | 287,265 | ||||||
Vertex Pharmaceuticals, Inc.* | 6,340 | 271,669 | ||||||
Warner Chilcott PLC* | 7,640 | 217,511 | ||||||
Cerner Corp.* | 2,480 | 204,451 | ||||||
Mylan Laboratories, Inc.* | 9,460 | 174,348 | ||||||
Qiagen N.V.* | 7,130 | 159,142 | ||||||
DENTSPLY International, Inc. | 4,450 | 156,506 | ||||||
Henry Schein, Inc.* | 2,750 | 144,650 | ||||||
Cephalon, Inc.* | 2,220 | 138,550 | ||||||
Hologic, Inc.* | 8,270 | 119,915 | ||||||
Illumina, Inc.* | 3,740 | 114,631 | ||||||
Patterson Companies, Inc.* | 3,570 | 99,889 | ||||||
Total Health Care | 8,116,127 | |||||||
CONSUMER DISCRETIONARY 13.1% | ||||||||
Amazon.com, Inc.* | 8,760 | 1,178,395 | ||||||
Comcast Corp. — Class A | 44,000 | 741,840 | ||||||
Starbucks Corp.* | 31,360 | 723,162 | ||||||
DIRECTV* | 21,230 | 708,020 | ||||||
News Corp. | 43,390 | 594,009 | ||||||
Bed Bath & Beyond, Inc.* | 10,770 | 416,045 | ||||||
Staples, Inc. | 14,790 | 363,686 | ||||||
Priceline.com, Inc.* | 1,421 | 310,489 | ||||||
Sears Holdings Corp.* | 3,680 | 307,096 | ||||||
Apollo Group, Inc. — Class A* | 4,770 | 288,967 | ||||||
Mattel, Inc. | 12,600 | 251,748 | ||||||
Wynn Resorts Ltd. | 4,090 | 238,161 | ||||||
Expedia, Inc.* | 8,660 | 222,649 | ||||||
Liberty Media Corp — Interactive* | 16,660 | 180,594 | ||||||
Urban Outfitters, Inc.* | 5,080 | 177,749 | ||||||
Garmin Ltd. | 5,670 | 174,069 | ||||||
Virgin Media, Inc. | 10,260 | 172,676 | ||||||
Ross Stores, Inc. | 3,860 | 164,861 | ||||||
O’Reilly Automotive, Inc.* | 4,170 | 158,960 | ||||||
DISH Network Corp. — Class A | 6,560 | 136,251 | ||||||
Total Consumer Discretionary | 7,509,427 | |||||||
INDUSTRIALS 3.7% | ||||||||
Paccar, Inc. | 12,420 | 450,473 | ||||||
First Solar, Inc.* | 2,270 | 307,358 | ||||||
CH Robinson Worldwide, Inc. | 5,050 | 296,586 | ||||||
Expeditors International of | ||||||||
Washington, Inc. | 6,340 | 220,188 |
42 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
NASDAQ-100® FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Fastenal Co. | 4,320 | $ | 179,885 | |||||
Joy Global, Inc. | 3,060 | 157,865 | ||||||
Stericycle, Inc.* | 2,700 | 148,959 | ||||||
Cintas Corp. | 5,590 | 145,620 | ||||||
J.B. Hunt Transport Services, Inc. | 3,870 | 124,885 | ||||||
Foster Wheeler AG* | 4,040 | 118,938 | ||||||
Total Industrials | 2,150,757 | |||||||
TELECOMMUNICATION SERVICES 1.4% | ||||||||
Vodafone Group PLC — SP ADR | 17,790 | 410,771 | ||||||
Millicom International Cellular | ||||||||
S.A. | 3,200 | 236,064 | ||||||
NII Holdings, Inc. — Class B* | 4,920 | 165,214 | ||||||
Total Telecommunication Services | 812,049 | |||||||
CONSUMER STAPLES 0.7% | ||||||||
Costco Wholesale Corp. | 7,000 | 414,190 | ||||||
Total Consumer Staples | 414,190 | |||||||
MATERIALS 0.3% | ||||||||
Sigma-Aldrich Corp. | 3,560 | 179,887 | ||||||
Total Materials | 179,887 | |||||||
Total Common Stocks | ||||||||
(Cost $26,679,741) | $ | 52,088,678 | ||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENTS† 10.7%(b) | ||||||||
Mizuho Financial Group, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | $ | 1,597,284 | 1,597,284 | |||||
HSBC Group | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,585,100 | 1,585,100 | ||||||
UBS Financial Services, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,585,100 | 1,585,100 | ||||||
Morgan Stanley | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,118,894 | 1,118,894 | ||||||
Credit Suisse Group | ||||||||
issued 12/31/09 at (0.02)% | ||||||||
due 01/04/10†† | 267,560 | 267,560 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $6,153,938) | 6,153,938 | |||||||
Total Investments 101.2% | ||||||||
(Cost $32,833,679) | $ | 58,242,616 | ||||||
Liabilities in Excess of | ||||||||
Other Assets – (1.2)% | $ | (700,507 | ) | |||||
Net Assets – 100.0% | $ | 57,542,109 | ||||||
UNREALIZED | ||||||||
CONTRACTS | GAIN | |||||||
FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 NASDAQ-100 | ||||||||
Index Mini Futures Contracts | ||||||||
(Aggregate Market Value of | ||||||||
Contracts $4,318,100) | 116 | $ | 39,433 | |||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS(b) | ||||||||
Goldman Sachs International | ||||||||
January 2010 NASDAQ-100 Index | ||||||||
Swap, Terminating 01/04/10††† | ||||||||
(Notional Market Value | ||||||||
$785,945) | 422 | $ | 23,838 | |||||
Credit Suisse Capital, LLC | ||||||||
January 2010 NASDAQ-100 Index | ||||||||
Swap, Terminating 01/04/10††† | ||||||||
(Notional Market Value | ||||||||
$75,439) | 41 | 3,726 | ||||||
(Total Notional Market | ||||||||
Value $861,384) | $ | 27,564 | ||||||
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 6. | |
†† | All or a portion of this security is pledged as equity index swap collateral at December 31, 2009. | |
††† | Total Return based on NASDAQ-100 Index +/- financing at a variable rate. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. | |
ADR—American Depository Receipt. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 43 |
SCHEDULE OF INVESTMENTS
December 31, 2009
INVERSE NASDAQ-100® STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS† 87.2%(b) | ||||||||
Mizuho Financial Group, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | $ | 2,769,252 | $ | 2,769,252 | ||||
HSBC Group | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 2,748,127 | 2,748,127 | ||||||
UBS Financial Services, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 2,748,127 | 2,748,127 | ||||||
Credit Suisse Group | ||||||||
issued 12/31/09 at (0.02)% | ||||||||
due 01/04/10†† | 2,277,664 | 2,277,664 | ||||||
Morgan Stanley | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,939,855 | 1,939,855 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $12,483,025) | 12,483,025 | |||||||
Total Investments 87.2% | ||||||||
(Cost $12,483,025) | $ | 12,483,025 | ||||||
Other Assets in Excess | ||||||||
of Liabilities – 12.8% | $ | 1,825,634 | ||||||
Net Assets – 100.0% | $ | 14,308,659 | ||||||
UNREALIZED | ||||||||
CONTRACTS | GAIN (LOSS) | |||||||
FUTURES CONTRACTS SOLD SHORT(a) | ||||||||
March 2010 NASDAQ-100 | ||||||||
Index Mini Futures Contracts | ||||||||
(Aggregate Market Value of | ||||||||
Contracts $707,275) | 19 | $ | 3,532 | |||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS | ||||||||
SOLD SHORT(b) | ||||||||
Credit Suisse Capital, LLC | ||||||||
January 2010 NASDAQ-100 Index | ||||||||
Swap, Terminating 01/04/10††† | ||||||||
(Notional Market | ||||||||
Value $6,506,526) | 3,498 | $ | (180,359 | ) | ||||
Goldman Sachs International | ||||||||
January 2010 NASDAQ-100 Index | ||||||||
Swap, Terminating 01/04/10††† | ||||||||
(Notional Market | ||||||||
Value $7,150,413) | 3,844 | (293,844 | ) | |||||
(Total Notional Market | ||||||||
Value $13,656,939) | $ | (474,203 | ) | |||||
† | Repurchase Agreements — See Note 6. | |
†† | All or a portion of this security is pledged as equity index swap collateral at December 31, 2009. | |
††† | Total Return based on NASDAQ-100 Index +/- financing at a variable rate. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
44 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
S&P 500 2X STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 39.3%(a) | ||||||||
INFORMATION TECHNOLOGY 7.8% | ||||||||
Microsoft Corp. | 8,840 | $ | 269,532 | |||||
Apple, Inc.* | 1,026 | 216,342 | ||||||
International Business Machines Corp. | 1,500 | 196,350 | ||||||
Google, Inc. — Class A* | 278 | 172,354 | ||||||
Cisco Systems, Inc.* | 6,580 | 157,525 | ||||||
Hewlett-Packard Co. | 2,710 | 139,592 | ||||||
Intel Corp. | 6,320 | 128,928 | ||||||
Oracle Corp. | 4,480 | 109,939 | ||||||
Qualcomm, Inc. | 1,910 | 88,357 | ||||||
Visa, Inc. | 510 | 44,605 | ||||||
EMC Corp.* | 2,330 | 40,705 | ||||||
Texas Instruments, Inc. | 1,430 | 37,266 | ||||||
Corning, Inc. | 1,780 | 34,372 | ||||||
eBay, Inc.* | 1,290 | 30,367 | ||||||
Dell, Inc.* | 1,970 | 28,289 | ||||||
MasterCard, Inc. | 110 | 28,158 | ||||||
Automatic Data Processing, Inc. | 580 | 24,836 | ||||||
Yahoo!, Inc.* | 1,360 | 22,821 | ||||||
Adobe Systems, Inc.* | 600 | 22,068 | ||||||
Applied Materials, Inc. | 1,530 | 21,328 | ||||||
Motorola, Inc.* | 2,650 | 20,564 | ||||||
Symantec Corp.* | 930 | 16,638 | ||||||
Juniper Networks, Inc.* | 600 | 16,002 | ||||||
Broadcom Corp. — Class A* | 490 | 15,410 | ||||||
Cognizant Technology Solutions Corp. — Class A* | 340 | 15,402 | ||||||
Western Union Co. | 790 | 14,891 | ||||||
NetApp, Inc.* | 388 | 13,343 | ||||||
Agilent Technologies, Inc.* | 400 | 12,428 | ||||||
NVIDIA Corp.* | 638 | 11,918 | ||||||
Western Digital Corp.* | 257 | 11,347 | ||||||
Paychex, Inc. | 367 | 11,245 | ||||||
Intuit, Inc.* | 360 | 11,056 | ||||||
Analog Devices, Inc. | 330 | 10,421 | ||||||
Micron Technology, Inc.* | 970 | 10,243 | ||||||
CA, Inc. | 450 | 10,107 | ||||||
Salesforce.com, Inc.* | 135 | 9,959 | ||||||
Computer Sciences Corp.* | 170 | 9,780 | ||||||
Amphenol Corp. | 198 | 9,144 | ||||||
Fidelity National Information Services, Inc. | 380 | 8,907 | ||||||
Citrix Systems, Inc.* | 210 | 8,738 | ||||||
Fiserv, Inc.* | 180 | 8,726 | ||||||
BMC Software, Inc.* | 210 | 8,421 | ||||||
Xerox Corp. | 990 | 8,375 | ||||||
Sun Microsystems, Inc.* | 860 | 8,058 | ||||||
Xilinx, Inc. | 316 | 7,919 | ||||||
Linear Technology Corp. | 257 | 7,849 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Altera Corp. | 339 | $ | 7,672 | |||||
SanDisk Corp.* | 260 | 7,537 | ||||||
McAfee, Inc.* | 179 | 7,262 | ||||||
KLA-Tencor Corp. | 196 | 7,087 | ||||||
Harris Corp. | 146 | 6,942 | ||||||
Electronic Arts, Inc.* | 375 | 6,656 | ||||||
SAIC, Inc.* | 350 | 6,629 | ||||||
Autodesk, Inc.* | 260 | 6,607 | ||||||
Affiliated Computer Services, Inc. — Class A* | 109 | 6,506 | ||||||
Red Hat, Inc.* | 210 | 6,489 | ||||||
Advanced Micro Devices, Inc.* | 640 | 6,195 | ||||||
Teradata Corp.* | 197 | 6,192 | ||||||
Microchip Technology, Inc. | 210 | 6,103 | ||||||
Flir Systems, Inc.* | 169 | 5,530 | ||||||
VeriSign, Inc.* | 220 | 5,333 | ||||||
Akamai Technologies, Inc.* | 199 | 5,041 | ||||||
LSI Logic Corp.* | 750 | 4,508 | ||||||
National Semiconductor Corp. | 270 | 4,147 | ||||||
Total System Services, Inc. | 230 | 3,972 | ||||||
Jabil Circuit, Inc. | 220 | 3,821 | ||||||
MEMC Electronic Materials, Inc.* | 257 | 3,500 | ||||||
Molex, Inc. | 159 | 3,426 | ||||||
Novellus Systems, Inc.* | 110 | 2,567 | ||||||
Tellabs, Inc.* | 440 | 2,499 | ||||||
QLogic Corp.* | 130 | 2,453 | ||||||
Lexmark International, Inc.* | 87 | 2,260 | ||||||
Teradyne, Inc.* | 200 | 2,146 | ||||||
JDS Uniphase Corp.* | 250 | 2,063 | ||||||
Compuware Corp.* | 260 | 1,880 | ||||||
Novell, Inc.* | 397 | 1,648 | ||||||
Total Information Technology | 2,255,296 | |||||||
FINANCIALS 5.7% | ||||||||
JPMorgan Chase & Co. | 4,510 | 187,932 | ||||||
Bank of America Corp. | 11,370 | 171,232 | ||||||
Wells Fargo & Co. | 5,853 | 157,972 | ||||||
Goldman Sachs Group, Inc. | 590 | 99,616 | ||||||
Citigroup, Inc. | 22,323 | 73,889 | ||||||
American Express Co. | 1,360 | 55,107 | ||||||
U.S. Bancorp | 2,190 | 49,297 | ||||||
Morgan Stanley | 1,560 | 46,176 | ||||||
Bank of New York Mellon Corp. | 1,380 | 38,599 | ||||||
MetLife, Inc. | 940 | 33,229 | ||||||
The Travelers Companies, Inc. | 630 | 31,412 | ||||||
PNC Financial Services Group, Inc. | 530 | 27,979 | ||||||
Simon Property Group, Inc. | 332 | 26,503 | ||||||
Prudential Financial, Inc. | 526 | 26,174 | ||||||
CME Group, Inc. | 77 | 25,868 | ||||||
AFLAC, Inc. | 540 | 24,975 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 45 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
S&P 500 2X STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
State Street Corp. | 568 | $ | 24,731 | |||||
Charles Schwab Corp. | 1,090 | 20,514 | ||||||
BB&T Corp. | 788 | 19,992 | ||||||
Capital One Financial Corp. | 510 | 19,553 | ||||||
Chubb Corp. | 390 | 19,180 | ||||||
Allstate Corp. | 610 | 18,324 | ||||||
Franklin Resources, Inc. | 169 | 17,804 | ||||||
T. Rowe Price Group, Inc. | 290 | 15,442 | ||||||
Loews Corp. | 410 | 14,903 | ||||||
Northern Trust Corp. | 280 | 14,672 | ||||||
Progressive Corp.* | 770 | 13,852 | ||||||
Marsh & McLennan Companies, Inc. | 600 | 13,248 | ||||||
Public Storage | 160 | 13,032 | ||||||
Vornado Realty Trust | 186 | 12,987 | ||||||
Aon Corp. | 310 | 11,885 | ||||||
SunTrust Banks, Inc. | 570 | 11,565 | ||||||
Invesco Ltd. | 486 | 11,416 | ||||||
Ameriprise Financial, Inc. | 290 | 11,258 | ||||||
Equity Residential | 320 | 10,810 | ||||||
Boston Properties, Inc. | 160 | 10,731 | ||||||
HCP, Inc. | 339 | 10,353 | ||||||
Hartford Financial Services Group, Inc. | 440 | 10,234 | ||||||
Discover Financial Services | 625 | 9,194 | ||||||
Fifth Third Bancorp | 910 | 8,872 | ||||||
Principal Financial Group, Inc. | 369 | 8,871 | ||||||
Lincoln National Corp. | 350 | 8,708 | ||||||
Host Hotels & Resorts, Inc.* | 732 | 8,538 | ||||||
IntercontinentalExchange, Inc.* | 76 | 8,535 | ||||||
Ventas, Inc. | 177 | 7,742 | ||||||
NYSE Euronext | 299 | 7,565 | ||||||
Unum Group | 380 | 7,418 | ||||||
Hudson City Bancorp, Inc. | 539 | 7,400 | ||||||
ProLogis | 540 | 7,393 | ||||||
AvalonBay Communities, Inc. | 89 | 7,308 | ||||||
Regions Financial Corp. | 1,360 | 7,194 | ||||||
XL Capital Ltd. | 390 | 7,149 | ||||||
Plum Creek Timber Company, Inc. (REIT) | 186 | 7,023 | ||||||
People’s United Financial, Inc. | 400 | 6,680 | ||||||
Genworth Financial, Inc. — Class A* | 560 | 6,356 | ||||||
KIMCO Realty Corp. | 460 | 6,224 | ||||||
Health Care REIT, Inc. | 138 | 6,116 | ||||||
SLM Corp.* | 537 | 6,052 | ||||||
M&T Bank Corp. | 90 | 6,020 | ||||||
Moody’s Corp. | 220 | 5,896 | ||||||
Legg Mason, Inc. | 189 | 5,700 | ||||||
KeyCorp | 1,006 | 5,583 | ||||||
Leucadia National Corp.* | 225 | 5,353 | ||||||
Comerica, Inc. | 170 | 5,027 | ||||||
Cincinnati Financial Corp. | 186 | 4,881 | ||||||
American International Group, Inc.* | 150 | 4,497 |
MARKET | ||||||||
SHARES | VALUE | |||||||
CB Richard Ellis Group, Inc. — Class A* | 310 | $ | 4,207 | |||||
Torchmark Corp. | 90 | 3,955 | ||||||
Assurant, Inc. | 130 | 3,832 | ||||||
NASDAQ OMX Group, Inc.* | 174 | 3,449 | ||||||
First Horizon National Corp.* | 251 | 3,360 | ||||||
Marshall & Ilsley Corp. | 600 | 3,270 | ||||||
E*Trade Financial Corp.* | 1,770 | 3,097 | ||||||
Huntington Bancshares, Inc. | 820 | 2,993 | ||||||
Federated Investors, Inc. — Class B | 105 | 2,888 | ||||||
Janus Capital Group, Inc. | 210 | 2,825 | ||||||
Apartment Investment & Management Co. — Class A | 130 | 2,070 | ||||||
Zions Bancorporation | 160 | 2,053 | ||||||
Total Financials | 1,633,740 | |||||||
HEALTH CARE 5.0% | ||||||||
Johnson & Johnson | 3,160 | 203,536 | ||||||
Pfizer, Inc. | 9,240 | 168,076 | ||||||
Merck & Company, Inc. | 3,500 | 127,890 | ||||||
Abbott Laboratories | 1,770 | 95,562 | ||||||
Amgen, Inc.* | 1,160 | 65,621 | ||||||
Medtronic, Inc. | 1,270 | 55,855 | ||||||
Bristol-Myers Squibb Co. | 1,960 | 49,490 | ||||||
Gilead Sciences, Inc.* | 1,030 | 44,578 | ||||||
Eli Lilly & Co. | 1,160 | 41,424 | ||||||
UnitedHealth Group, Inc. | 1,330 | 40,538 | ||||||
Baxter International, Inc. | 690 | 40,489 | ||||||
Medco Health Solutions, Inc.* | 546 | 34,895 | ||||||
WellPoint, Inc.* | 520 | 30,311 | ||||||
Celgene Corp.* | 530 | 29,510 | ||||||
Express Scripts, Inc.* | 310 | 26,799 | ||||||
Thermo Fisher Scientific, Inc.* | 470 | 22,414 | ||||||
Allergan, Inc. | 350 | 22,054 | ||||||
Becton, Dickinson & Co. | 270 | 21,292 | ||||||
McKesson Corp. | 310 | 19,375 | ||||||
Biogen Idec, Inc.* | 328 | 17,548 | ||||||
Stryker Corp. | 320 | 16,118 | ||||||
Aetna, Inc. | 498 | 15,787 | ||||||
Boston Scientific Corp.* | 1,730 | 15,570 | ||||||
Genzyme Corp.* | 300 | 14,703 | ||||||
Zimmer Holdings, Inc.* | 240 | 14,186 | ||||||
St. Jude Medical, Inc.* | 380 | 13,976 | ||||||
Cardinal Health, Inc. | 419 | 13,509 | ||||||
Intuitive Surgical, Inc.* | 40 | 12,133 | ||||||
Forest Laboratories, Inc.* | 350 | 11,239 | ||||||
CIGNA Corp. | 310 | 10,934 | ||||||
Quest Diagnostics, Inc. | 177 | 10,687 | ||||||
Life Technologies Corp.* | 200 | 10,446 | ||||||
Hospira, Inc.* | 190 | 9,690 | ||||||
Laboratory Corporation of America Holdings* | 120 | 8,981 | ||||||
AmerisourceBergen Corp. | 330 | 8,603 | ||||||
C.R. Bard, Inc. | 109 | 8,491 |
46 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
S&P 500 2X STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Humana, Inc.* | 190 | $ | 8,339 | |||||
DaVita, Inc.* | 118 | 6,931 | ||||||
Waters Corp.* | 106 | 6,568 | ||||||
Varian Medical Systems, Inc.* | 140 | 6,559 | ||||||
Mylan Laboratories, Inc.* | 350 | 6,451 | ||||||
DENTSPLY International, Inc. | 169 | 5,944 | ||||||
Cephalon, Inc.* | 87 | 5,430 | ||||||
CareFusion Corp.* | 200 | 5,002 | ||||||
Watson Pharmaceuticals, Inc.* | 120 | 4,753 | ||||||
IMS Health, Inc. | 207 | 4,359 | ||||||
Millipore Corp.* | 60 | 4,341 | ||||||
Coventry Health Care, Inc.* | 174 | 4,226 | ||||||
King Pharmaceuticals, Inc.* | 280 | 3,436 | ||||||
Patterson Companies, Inc.* | 109 | 3,050 | ||||||
Tenet Healthcare Corp.* | 500 | 2,695 | ||||||
PerkinElmer, Inc. | 127 | 2,615 | ||||||
Total Health Care | 1,433,009 | |||||||
ENERGY 4.5% | ||||||||
Exxon Mobil Corp. | 5,430 | 370,272 | ||||||
Chevron Corp. | 2,300 | 177,077 | ||||||
Schlumberger Ltd. | 1,370 | 89,173 | ||||||
ConocoPhillips | 1,700 | 86,819 | ||||||
Occidental Petroleum Corp. | 930 | 75,655 | ||||||
Apache Corp. | 380 | 39,205 | ||||||
Devon Energy Corp. | 510 | 37,485 | ||||||
Anadarko Petroleum Corp. | 560 | 34,955 | ||||||
Halliburton Co. | 1,030 | 30,993 | ||||||
XTO Energy, Inc. | 660 | 30,710 | ||||||
EOG Resources, Inc. | 290 | 28,217 | ||||||
Marathon Oil Corp. | 810 | 25,288 | ||||||
National-Oilwell Varco, Inc. | 480 | 21,163 | ||||||
Hess Corp. | 330 | 19,965 | ||||||
Southwestern Energy Co.* | 405 | 19,521 | ||||||
Chesapeake Energy Corp. | 739 | 19,125 | ||||||
Spectra Energy Corp. | 740 | 15,177 | ||||||
Baker Hughes, Inc. | 350 | 14,168 | ||||||
Williams Companies, Inc. | 670 | 14,124 | ||||||
Peabody Energy Corp. | 310 | 14,015 | ||||||
Noble Energy, Inc. | 196 | 13,959 | ||||||
Murphy Oil Corp. | 220 | 11,924 | ||||||
Cameron International Corp.* | 280 | 11,704 | ||||||
Valero Energy Corp. | 654 | 10,954 | ||||||
Consol Energy, Inc. | 210 | 10,458 | ||||||
Range Resources Corp. | 179 | 8,923 | ||||||
FMC Technologies, Inc.* | 145 | 8,387 | ||||||
Diamond Offshore Drilling, Inc. | 80 | 7,874 | ||||||
El Paso Corp. | 800 | 7,864 | ||||||
Smith International, Inc. | 280 | 7,608 | ||||||
Nabors Industries Ltd.* | 320 | 7,005 | ||||||
BJ Services Co. | 345 | 6,417 | ||||||
Pioneer Natural Resources Co. | 130 | 6,262 | ||||||
Cabot Oil & Gas Corp. | 118 | 5,144 | ||||||
Denbury Resources, Inc.* | 290 | 4,292 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Massey Energy Co. | 100 | $ | 4,201 | |||||
Sunoco, Inc. | 130 | 3,393 | ||||||
Rowan Companies, Inc.* | 128 | 2,898 | ||||||
Tesoro Corp. | 165 | 2,236 | ||||||
Total Energy | 1,304,610 | |||||||
CONSUMER STAPLES 4.5% | ||||||||
Procter & Gamble Co. | 3,340 | 202,504 | ||||||
Coca-Cola Co. | 2,650 | 151,050 | ||||||
Wal-Mart Stores, Inc. | 2,440 | 130,418 | ||||||
PepsiCo, Inc. | 1,790 | 108,832 | ||||||
Philip Morris International, Inc. | 2,180 | 105,054 | ||||||
CVS Caremark Corp. | 1,610 | 51,858 | ||||||
Colgate-Palmolive Co. | 570 | 46,826 | ||||||
Altria Group, Inc. | 2,370 | 46,523 | ||||||
Kraft Foods, Inc. | 1,690 | 45,934 | ||||||
Walgreen Co. | 1,130 | 41,494 | ||||||
Kimberly-Clark Corp. | 479 | 30,517 | ||||||
Costco Wholesale Corp. | 497 | 29,408 | ||||||
General Mills, Inc. | 370 | 26,200 | ||||||
Archer-Daniels-Midland Co. | 740 | 23,169 | ||||||
Sysco Corp. | 680 | 18,999 | ||||||
Avon Products, Inc. | 490 | 15,435 | ||||||
Kellogg Co. | 290 | 15,428 | ||||||
H.J. Heinz Co. | 360 | 15,394 | ||||||
Kroger Co. | 740 | 15,192 | ||||||
Lorillard, Inc. | 180 | 14,441 | ||||||
ConAgra Foods, Inc. | 510 | 11,756 | ||||||
Clorox Co. | 165 | 10,065 | ||||||
Reynolds American, Inc. | 190 | 10,064 | ||||||
Mead Johnson Nutrition Co. — Class A | 230 | 10,051 | ||||||
Safeway, Inc. | 470 | 10,006 | ||||||
Sara Lee Corp. | 800 | 9,744 | ||||||
J.M. Smucker Co. | 139 | 8,583 | ||||||
Dr Pepper Snapple Group, Inc. | 290 | 8,207 | ||||||
Molson Coors Brewing Co. — Class B | 179 | 8,084 | ||||||
Coca-Cola Enterprises, Inc. | 360 | 7,632 | ||||||
Campbell Soup Co. | 224 | 7,571 | ||||||
Brown-Forman Corp. — Class B | 130 | 6,964 | ||||||
Hershey Co. | 189 | 6,764 | ||||||
Estee Lauder Companies, Inc. — Class A | 136 | 6,577 | ||||||
Pepsi Bottling Group, Inc. | 160 | 6,000 | ||||||
McCormick & Company, Inc. | 147 | 5,311 | ||||||
Whole Foods Market, Inc.* | 165 | 4,529 | ||||||
Tyson Foods, Inc. — Class A | 350 | 4,295 | ||||||
Dean Foods Co.* | 215 | 3,879 | ||||||
Constellation Brands, Inc. — Class A* | 230 | 3,664 | ||||||
SUPERVALU, Inc. | 240 | 3,050 | ||||||
Hormel Foods Corp. | 76 | 2,922 | ||||||
Total Consumer Staples | 1,290,394 | |||||||
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 47 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
S&P 500 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
INDUSTRIALS 4.0% | ||||||||
General Electric Co. | 12,190 | $ | 184,435 | |||||
United Technologies Corp. | 1,070 | 74,269 | ||||||
3M Co. | 807 | 66,715 | ||||||
United Parcel Service, Inc. — Class B | 1,140 | 65,402 | ||||||
Boeing Co. | 830 | 44,928 | ||||||
Caterpillar, Inc. | 710 | 40,463 | ||||||
Union Pacific Corp. | 580 | 37,062 | ||||||
Emerson Electric Co. | 860 | 36,636 | ||||||
Honeywell International, Inc. | 869 | 34,065 | ||||||
FedEx Corp. | 360 | 30,042 | ||||||
General Dynamics Corp. | 439 | 29,927 | ||||||
Burlington Northern Santa Fe Corp. | 300 | 29,586 | ||||||
Lockheed Martin Corp. | 375 | 28,256 | ||||||
Deere & Co. | 480 | 25,963 | ||||||
Raytheon Co. | 440 | 22,669 | ||||||
Danaher Corp. | 300 | 22,560 | ||||||
Norfolk Southern Corp. | 420 | 22,016 | ||||||
CSX Corp. | 450 | 21,820 | ||||||
Illinois Tool Works, Inc. | 439 | 21,068 | ||||||
Northrop Grumman Corp. | 360 | 20,106 | ||||||
Waste Management, Inc. | 560 | 18,934 | ||||||
Precision Castparts Corp. | 159 | 17,546 | ||||||
Paccar, Inc. | 419 | 15,197 | ||||||
Eaton Corp. | 190 | 12,088 | ||||||
L-3 Communications Holdings, Inc. | 130 | 11,303 | ||||||
CH Robinson Worldwide, Inc. | 190 | 11,159 | ||||||
Republic Services, Inc. | 370 | 10,475 | ||||||
Cummins, Inc. | 227 | 10,410 | ||||||
ITT Corp. | 207 | 10,296 | ||||||
Rockwell Collins, Inc. | 179 | 9,909 | ||||||
Southwest Airlines Co. | 850 | 9,715 | ||||||
Parker Hannifin Corp. | 180 | 9,698 | ||||||
Fluor Corp. | 200 | 9,008 | ||||||
Goodrich Corp. | 140 | 8,995 | ||||||
Dover Corp. | 210 | 8,738 | ||||||
Expeditors International of Washington, Inc. | 240 | 8,335 | ||||||
First Solar, Inc.* | 60 | 8,124 | ||||||
Rockwell Automation, Inc. | 165 | 7,752 | ||||||
W.W. Grainger, Inc. | 66 | 6,391 | ||||||
Fastenal Co. | 148 | 6,163 | ||||||
Textron, Inc. | 310 | 5,831 | ||||||
Masco Corp. | 410 | 5,662 | ||||||
Stericycle, Inc.* | 100 | 5,517 | ||||||
Flowserve Corp. | 58 | 5,483 | ||||||
Pitney Bowes, Inc. | 240 | 5,462 | ||||||
Jacobs Engineering Group, Inc.* | 140 | 5,265 | ||||||
Roper Industries, Inc. | 99 | 5,185 | ||||||
RR Donnelley & Sons Co. | 230 | 5,122 | ||||||
Dun & Bradstreet Corp. | 60 | 5,062 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Quanta Services, Inc.* | 239 | $ | 4,981 | |||||
Iron Mountain, Inc.* | 215 | 4,893 | ||||||
Pall Corp. | 130 | 4,706 | ||||||
Avery Dennison Corp. | 127 | 4,634 | ||||||
Robert Half International, Inc. | 170 | 4,544 | ||||||
Stanley Works | 87 | 4,481 | ||||||
Equifax, Inc. | 140 | 4,325 | ||||||
Cintas Corp. | 150 | 3,908 | ||||||
Snap-On, Inc. | 70 | 2,958 | ||||||
Ryder System, Inc. | 60 | 2,470 | ||||||
Monster Worldwide, Inc.* | 140 | 2,436 | ||||||
Total Industrials | 1,161,149 | |||||||
CONSUMER DISCRETIONARY 3.8% | ||||||||
McDonald’s Corp. | 1,240 | 77,426 | ||||||
Walt Disney Co. | 2,200 | 70,950 | ||||||
Home Depot, Inc. | 1,950 | 56,413 | ||||||
Comcast Corp. — Class A | 3,270 | 55,132 | ||||||
Amazon.com, Inc.* | 380 | 51,118 | ||||||
Target Corp. | 860 | 41,598 | ||||||
Lowe’s Companies, Inc. | 1,680 | 39,295 | ||||||
Time Warner, Inc. | 1,340 | 39,048 | ||||||
Ford Motor Co.* | 3,786 | 37,860 | ||||||
DIRECTV* | 1,100 | 36,685 | ||||||
News Corp. | 2,580 | 35,320 | ||||||
Nike, Inc. — Class B | 450 | 29,731 | ||||||
Johnson Controls, Inc. | 769 | 20,948 | ||||||
Viacom, Inc. — Class B* | 690 | 20,514 | ||||||
Staples, Inc. | 830 | 20,410 | ||||||
Starbucks Corp.* | 849 | 19,578 | ||||||
Yum! Brands, Inc. | 545 | 19,059 | ||||||
Kohl’s Corp.* | 350 | 18,875 | ||||||
TJX Companies, Inc. | 480 | 17,544 | ||||||
Time Warner Cable, Inc. | 400 | 16,556 | ||||||
Carnival Corp.* | 500 | 15,845 | ||||||
Best Buy Company, Inc. | 390 | 15,389 | ||||||
Omnicom Group, Inc. | 357 | 13,977 | ||||||
Coach, Inc. | 369 | 13,480 | ||||||
McGraw-Hill Companies, Inc. | 358 | 11,997 | ||||||
Bed Bath & Beyond, Inc.* | 300 | 11,589 | ||||||
The Gap, Inc. | 540 | 11,313 | ||||||
Priceline.com, Inc.* | 50 | 10,925 | ||||||
CBS Corp. | 777 | 10,917 | ||||||
Apollo Group, Inc. — Class A* | 150 | 9,087 | ||||||
H&R Block, Inc. | 380 | 8,596 | ||||||
Mattel, Inc. | 410 | 8,192 | ||||||
Macy’s, Inc. | 480 | 8,045 | ||||||
Marriott International, Inc. — Class A | 290 | 7,902 | ||||||
Starwood Hotels & Resorts | ||||||||
Worldwide, Inc. | 210 | 7,680 | ||||||
Fortune Brands, Inc. | 170 | 7,344 | ||||||
Whirlpool Corp. | 90 | 7,259 | ||||||
J.C. Penney Company, Inc. | 270 | 7,185 | ||||||
Nordstrom, Inc. | 190 | 7,140 |
48 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
S&P 500 2X STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
VF Corp. | 97 | $ | 7,104 | |||||
Harley-Davidson, Inc. | 275 | 6,930 | ||||||
Genuine Parts Co. | 180 | 6,833 | ||||||
Sherwin-Williams Co. | 109 | 6,720 | ||||||
International Game Technology, Inc. | 338 | 6,344 | ||||||
Expedia, Inc.* | 240 | 6,170 | ||||||
O’Reilly Automotive, Inc.* | 160 | 6,099 | ||||||
Polo Ralph Lauren Corp. | 75 | 6,073 | ||||||
Ross Stores, Inc. | 140 | 5,979 | ||||||
Limited Brands, Inc. | 310 | 5,964 | ||||||
Tiffany & Co. | 136 | 5,848 | ||||||
Darden Restaurants, Inc. | 158 | 5,541 | ||||||
Sears Holdings Corp.* | 58 | 4,840 | ||||||
Newell Rubbermaid, Inc. | 320 | 4,803 | ||||||
AutoZone, Inc.* | 30 | 4,742 | ||||||
Wynn Resorts Ltd. | 80 | 4,658 | ||||||
Hasbro, Inc. | 140 | 4,488 | ||||||
Family Dollar Stores, Inc. | 159 | 4,425 | ||||||
Washington Post Co. — Class B | 10 | 4,396 | ||||||
Black & Decker Corp. | 66 | 4,279 | ||||||
GameStop Corp.* | 189 | 4,147 | ||||||
Interpublic Group of | ||||||||
Companies, Inc.* | 560 | 4,133 | ||||||
Wyndham Worldwide Corp. | 200 | 4,034 | ||||||
Scripps Networks Interactive, Inc. | 97 | 4,025 | ||||||
Gannett Company, Inc. | 270 | 4,010 | ||||||
Goodyear Tire & Rubber Co.* | 280 | 3,948 | ||||||
DeVry, Inc. | 68 | 3,858 | ||||||
Pulte Homes, Inc.* | 360 | 3,600 | ||||||
Leggett & Platt, Inc. | 170 | 3,468 | ||||||
D.R. Horton, Inc. | 319 | 3,468 | ||||||
Abercrombie & Fitch Co. — Class A | 97 | 3,380 | ||||||
RadioShack Corp. | 145 | 2,828 | ||||||
Harman International Industries, Inc. | 80 | 2,822 | ||||||
Big Lots, Inc.* | 90 | 2,608 | ||||||
Lennar Corp. — Class A | 180 | 2,299 | ||||||
AutoNation, Inc.* | 110 | 2,107 | ||||||
Office Depot, Inc.* | 310 | 2,000 | ||||||
New York Times Co. — Class A* | 128 | 1,582 | ||||||
Eastman Kodak Co.* | 315 | 1,329 | ||||||
Meredith Corp. | 40 | 1,234 | ||||||
Total Consumer Discretionary | 1,091,038 | |||||||
UTILITIES 1.4% | ||||||||
Exelon Corp. | 750 | 36,652 | ||||||
Southern Co. | 918 | 30,588 | ||||||
Dominion Resources, Inc. | 680 | 26,466 | ||||||
Duke Energy Corp. | 1,490 | 25,643 | ||||||
FPL Group, Inc. | 470 | 24,825 | ||||||
Public Service Enterprise Group, Inc. | 580 | 19,285 | ||||||
American Electric Power Company, Inc. | 550 | 19,134 |
MARKET | ||||||||
SHARES | VALUE | |||||||
PG&E Corp. | 420 | $ | 18,753 | |||||
Entergy Corp. | 220 | 18,005 | ||||||
FirstEnergy Corp. | 347 | 16,118 | ||||||
Sempra Energy | 280 | 15,674 | ||||||
Consolidated Edison, Inc. | 320 | 14,538 | ||||||
PPL Corp. | 430 | 13,893 | ||||||
Progress Energy, Inc. | 320 | 13,123 | ||||||
Edison International | 370 | 12,869 | ||||||
Xcel Energy, Inc. | 520 | 11,040 | ||||||
AES Corp.* | 760 | 10,116 | ||||||
Questar Corp. | 200 | 8,314 | ||||||
DTE Energy Co. | 189 | 8,239 | ||||||
Constellation Energy Group, Inc. | 234 | 8,230 | ||||||
Ameren Corp. | 267 | 7,463 | ||||||
EQT Corp. | 150 | 6,588 | ||||||
CenterPoint Energy, Inc. | 450 | 6,529 | ||||||
Wisconsin Energy Corp. | 130 | 6,478 | ||||||
Northeast Utilities | 200 | 5,158 | ||||||
SCANA Corp. | 130 | 4,898 | ||||||
NiSource, Inc. | 317 | 4,875 | ||||||
Allegheny Energy, Inc. | 190 | 4,461 | ||||||
Pinnacle West Capital Corp. | 119 | 4,353 | ||||||
Pepco Holdings, Inc. | 250 | 4,212 | ||||||
CMS Energy Corp. | 257 | 4,025 | ||||||
TECO Energy, Inc. | 240 | 3,893 | ||||||
Integrys Energy Group, Inc. | 88 | 3,695 | ||||||
Nicor, Inc. | 50 | 2,105 | ||||||
Total Utilities | 420,238 | |||||||
MATERIALS 1.4% | ||||||||
Monsanto Co. | 620 | 50,685 | ||||||
Freeport-McMoRan Copper & Gold, Inc.* | 490 | 39,342 | ||||||
Dow Chemical Co. | 1,310 | 36,195 | ||||||
E.I. du Pont de Nemours and Co. | 1,030 | 34,680 | ||||||
Praxair, Inc. | 347 | 27,868 | ||||||
Newmont Mining Corp. | 560 | 26,494 | ||||||
Air Products & Chemicals, Inc. | 240 | 19,454 | ||||||
Alcoa, Inc. | 1,120 | 18,054 | ||||||
Nucor Corp. | 360 | 16,794 | ||||||
International Paper Co. | 500 | 13,390 | ||||||
Ecolab, Inc. | 270 | 12,039 | ||||||
PPG Industries, Inc. | 190 | 11,123 | ||||||
Weyerhaeuser Co. | 240 | 10,354 | ||||||
United States Steel Corp. | 160 | 8,819 | ||||||
Vulcan Materials Co. | 145 | 7,637 | ||||||
Sigma-Aldrich Corp. | 140 | 7,074 | ||||||
Cliffs Natural Resources, Inc | 150 | 6,914 | ||||||
Owens-Illinois, Inc.* | 190 | 6,245 | ||||||
MeadWestvaco Corp. | 200 | 5,726 | ||||||
Ball Corp. | 110 | 5,687 | ||||||
CF Industries Holdings, Inc. | 60 | 5,447 | ||||||
Allegheny Technologies, Inc. | 110 | 4,925 | ||||||
Eastman Chemical Co. | 80 | 4,819 | ||||||
FMC Corp. | 79 | 4,405 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 49 |
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
S&P 500 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Airgas, Inc. | 90 | $ | 4,284 | |||||
Sealed Air Corp. | 185 | 4,044 | ||||||
International Flavors & | ||||||||
Fragrances, Inc. | 89 | 3,661 | ||||||
Pactiv Corp.* | 150 | 3,621 | ||||||
Bemis Co. | 120 | 3,558 | ||||||
AK Steel Holding Corp. | 130 | 2,776 | ||||||
Titanium Metals Corp.* | 98 | 1,227 | ||||||
Total Materials | 407,341 | |||||||
TELECOMMUNICATION SERVICES 1.2% | ||||||||
AT&T, Inc. | 6,750 | 189,202 | ||||||
Verizon Communications, Inc. | 3,250 | 107,673 | ||||||
American Tower | ||||||||
Corp. — Class A* | 460 | 19,877 | ||||||
Sprint Nextel Corp.* | 3,400 | 12,444 | ||||||
CenturyTel, Inc. | 339 | 12,275 | ||||||
Qwest Communications | ||||||||
International, Inc. | 1,700 | 7,157 | ||||||
Windstream Corp. | 500 | 5,495 | ||||||
Frontier Communications Corp. | 360 | 2,812 | ||||||
MetroPCS Communications, Inc.* | 305 | 2,327 | ||||||
Total Telecommunication Services | 359,262 | |||||||
Total Common Stocks | ||||||||
(Cost $7,549,466) | 11,356,077 | |||||||
WARRANTS 0.0%(a) | ||||||||
CONSUMER DISCRETIONARY 0.0% | ||||||||
Krispy Kreme Doughnuts, Inc.* | ||||||||
$12.21, 03/02/12 | 4 | — | ||||||
Total Consumer Discretionary | — | |||||||
Total Warrants | ||||||||
(Cost $—) | — | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENTS† 50.2%(b) | ||||||||
Credit Suisse Group | ||||||||
issued 12/31/09 at (0.02)% due 01/04/10†† | $ | 4,568,312 | 4,568,312 | |||||
Mizuho Financial Group, Inc. issued 12/31/09 at 0.00% due 01/04/10 | 2,692,836 | 2,692,836 | ||||||
HSBC Group | ||||||||
issued 12/31/09 at 0.00% due 01/04/10 | 2,672,295 | 2,672,295 |
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
UBS Financial Services, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | $ | 2,672,295 | $ | 2,672,295 | ||||
Morgan Stanley | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,886,326 | 1,886,326 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $14,492,064) | 14,492,064 | |||||||
Total Investments 89.5% | ||||||||
(Cost $22,041,530) | $ | 25,848,141 | ||||||
Other Assets in Excess of | ||||||||
Liabilities – 10.5% | $ | 3,023,801 | ||||||
Net Assets – 100.0% | $ | 28,871,942 | ||||||
Unrealized | ||||||||
Contracts | Gain (Loss) | |||||||
FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 S&P500 Index | ||||||||
Mini Futures Contracts | ||||||||
(Aggregate Market Value of | ||||||||
Contracts $9,439,250) | 170 | $ | (36,174 | ) | ||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS(b) | ||||||||
Goldman Sachs International | ||||||||
January 2010 S&P500 Index | ||||||||
Swap, Terminating 01/04/10††† | ||||||||
(Notional Market Value | ||||||||
$12,473,482) | 11,186 | $ | 198,213 | |||||
Credit Suisse Capital, LLC | ||||||||
January 2010 S&P500 Index | ||||||||
Swap, Terminating 01/04/10††† | ||||||||
(Notional Market Value | ||||||||
$24,423,651) | 21,903 | 49,669 | ||||||
(Total Notional Market Value $36,897,133) | $ | 247,882 | ||||||
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 6. | |
†† | All or a portion of this security is pledged as equity index swap collateral at December 31, 2009. | |
††† | Total Return based on S&P 500 Index +/- financing at a variable rate. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
50 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
NASDAQ-100® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 71.3%(a) | ||||||||
INFORMATION TECHNOLOGY 45.0% | ||||||||
Apple, Inc.* | 18,920 | $ | 3,989,471 | |||||
Qualcomm, Inc. | 30,340 | 1,403,529 | ||||||
Microsoft Corp. | 46,030 | 1,403,455 | ||||||
Google, Inc. — Class A* | 2,230 | 1,382,555 | ||||||
Oracle Corp. | 31,480 | 772,519 | ||||||
Cisco Systems, Inc.* | 30,950 | 740,943 | ||||||
Intel Corp. | 29,120 | 594,048 | ||||||
Research In Motion Ltd.* | 8,560 | 578,142 | ||||||
eBay, Inc.* | 14,520 | 341,801 | ||||||
Adobe Systems, Inc.* | 7,730 | 284,309 | ||||||
Automatic Data Processing, Inc. | 5,370 | 229,943 | ||||||
Symantec Corp.* | 12,770 | 228,455 | ||||||
Cognizant Technology Solutions Corp. — Class A* | 4,330 | 196,149 | ||||||
Activision Blizzard, Inc.* | 17,060 | 189,537 | ||||||
Broadcom Corp. — Class A* | 6,000 | 188,700 | ||||||
Marvell Technology Group Ltd.* | 8,950 | 185,713 | ||||||
Intuit, Inc.* | 6,000 | 184,260 | ||||||
NetApp, Inc.* | 5,300 | 182,267 | ||||||
Yahoo!, Inc.* | 10,140 | 170,149 | ||||||
CA, Inc. | 7,550 | 169,573 | ||||||
Baidu, Inc. — SP ADR* | 406 | 166,959 | ||||||
Paychex, Inc. | 5,160 | 158,102 | ||||||
Dell, Inc.* | 10,840 | 155,662 | ||||||
NVIDIA Corp.* | 8,210 | 153,363 | ||||||
Applied Materials, Inc. | 10,390 | 144,837 | ||||||
Altera Corp. | 6,260 | 141,664 | ||||||
Fiserv, Inc.* | 2,900 | 140,592 | ||||||
Xilinx, Inc. | 5,530 | 138,582 | ||||||
Linear Technology Corp. | 4,490 | 137,125 | ||||||
Citrix Systems, Inc.* | 3,270 | 136,065 | ||||||
Seagate Technology | 7,480 | 136,061 | ||||||
BMC Software, Inc.* | 3,210 | 128,721 | ||||||
KLA-Tencor Corp. | 3,120 | 112,819 | ||||||
Check Point Software Technologies Ltd.* | 3,110 | 105,367 | ||||||
SanDisk Corp.* | 3,480 | 100,885 | ||||||
Flextronics International Ltd.* | 13,270 | 97,004 | ||||||
Maxim Integrated Products, Inc. | 4,520 | 91,756 | ||||||
Autodesk, Inc.* | 3,610 | 91,730 | ||||||
Infosys Technologies Ltd. — SP ADR | 1,640 | 90,643 | ||||||
Electronic Arts, Inc.* | 4,940 | 87,685 | ||||||
Flir Systems, Inc.* | 2,390 | 78,201 | ||||||
Lam Research Corp.* | 1,980 | 77,636 | ||||||
Microchip Technology, Inc. | 2,300 | 66,838 | ||||||
VeriSign, Inc.* | 2,730 | 66,175 | ||||||
Logitech International S.A.* | 2,580 | 44,118 | ||||||
Total Information Technology | 16,264,108 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
HEALTH CARE 11.1% | ||||||||
Teva Pharmaceutical Industries Ltd. — SP ADR | 11,130 | $ | 625,283 | |||||
Gilead Sciences, Inc.* | 13,350 | 577,788 | ||||||
Amgen, Inc.* | 7,110 | 402,213 | ||||||
Celgene Corp.* | 6,860 | 381,965 | ||||||
Express Scripts, Inc.* | 3,690 | 319,000 | ||||||
Biogen Idec, Inc.* | 4,740 | 253,590 | ||||||
Genzyme Corp.* | 5,010 | 245,540 | ||||||
Intuitive Surgical, Inc.* | 570 | 172,892 | ||||||
Life Technologies Corp.* | 2,720 | 142,066 | ||||||
Vertex Pharmaceuticals, Inc.* | 3,130 | 134,120 | ||||||
Warner Chilcott PLC* | 3,770 | 107,332 | ||||||
Cerner Corp.* | 1,220 | 100,577 | ||||||
Mylan Laboratories, Inc.* | 4,670 | 86,068 | ||||||
QIAGEN N.V.* | 3,510 | 78,343 | ||||||
DENTSPLY International, Inc. | 2,200 | 77,374 | ||||||
Henry Schein, Inc.* | 1,360 | 71,536 | ||||||
Cephalon, Inc.* | 1,100 | 68,651 | ||||||
Hologic, Inc.* | 4,090 | 59,305 | ||||||
Illumina, Inc.* | 1,850 | 56,703 | ||||||
Patterson Companies, Inc.* | 1,770 | 49,525 | ||||||
Total Health Care | 4,009,871 | |||||||
CONSUMER DISCRETIONARY 10.3% | ||||||||
Amazon.com, Inc.* | 4,330 | 582,471 | ||||||
Comcast Corp. — Class A | 21,750 | 366,705 | ||||||
Starbucks Corp.* | 15,500 | 357,430 | ||||||
DIRECTV* | 10,490 | 349,841 | ||||||
News Corp. | 21,450 | 293,650 | ||||||
Bed Bath & Beyond, Inc.* | 5,320 | 205,512 | ||||||
Staples, Inc. | 7,310 | 179,753 | ||||||
Priceline.com, Inc.* | 700 | 152,950 | ||||||
Sears Holdings Corp.* | 1,820 | 151,879 | ||||||
Apollo Group, Inc. — Class A* | 2,360 | 142,969 | ||||||
Mattel, Inc. | 6,220 | 124,276 | ||||||
Wynn Resorts Ltd. | 2,020 | 117,625 | ||||||
Expedia, Inc.* | 4,280 | 110,039 | ||||||
Liberty Media | ||||||||
Corp-Interactive* | 8,230 | 89,213 | ||||||
Urban Outfitters, Inc.* | 2,510 | 87,825 | ||||||
Garmin Ltd. | 2,800 | 85,960 | ||||||
Virgin Media, Inc. | 5,060 | 85,160 | ||||||
Ross Stores, Inc. | 1,910 | 81,576 | ||||||
O’Reilly Automotive, Inc.* | 2,060 | 78,527 | ||||||
DISH Network Corp. — Class A | 3,240 | 67,295 | ||||||
Total Consumer Discretionary | 3,710,656 | |||||||
INDUSTRIALS 2.9% | ||||||||
Paccar, Inc. | 6,140 | 222,698 | ||||||
First Solar, Inc.* | 1,120 | 151,648 | ||||||
CH Robinson Worldwide, Inc. | 2,500 | 146,825 | ||||||
Expeditors International of Washington, Inc. | 3,140 | 109,052 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 51 |
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
NASDAQ-100® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Fastenal Co. | 2,140 | $ | 89,109 | |||||
Joy Global, Inc. | 1,510 | 77,901 | ||||||
Stericycle, Inc.* | 1,330 | 73,376 | ||||||
Cintas Corp. | 2,760 | 71,898 | ||||||
J.B. Hunt Transport Services, | ||||||||
Inc. | 1,910 | 61,636 | ||||||
Foster Wheeler AG* | 2,000 | 58,880 | ||||||
Total Industrials | 1,063,023 | |||||||
TELECOMMUNICATION SERVICES 1.1% | ||||||||
Vodafone Group PLC — SP ADR | 8,790 | 202,961 | ||||||
Millicom International | ||||||||
Cellular SA | 1,580 | 116,557 | ||||||
NII Holdings, Inc. — Class B* | 2,430 | 81,599 | ||||||
Total Telecommunication Services | 401,117 | |||||||
CONSUMER STAPLES 0.6% | ||||||||
Costco Wholesale Corp. | 3,460 | 204,728 | ||||||
Total Consumer Staples | 204,728 | |||||||
MATERIALS 0.3% | ||||||||
Sigma-Aldrich Corp. | 1,760 | 88,933 | ||||||
Total Materials | 88,933 | |||||||
Total Common Stocks | ||||||||
(Cost $15,582,501) | 25,742,436 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENTS† 18.3%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10†† | $ | 2,757,100 | 2,757,100 | |||||
Mizuho Financial Group, Inc. issued 12/31/09 at 0.00% due 01/04/10 | 1,051,159 | 1,051,159 | ||||||
HSBC Group issued 12/31/09 at 0.00% due 01/04/10 | 1,043,141 | 1,043,141 | ||||||
UBS Financial Services, Inc. issued 12/31/09 at 0.00% due 01/04/10 | 1,043,141 | 1,043,141 | ||||||
Morgan Stanley issued 12/31/09 at 0.00% due 01/04/10 | 736,335 | 736,335 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $6,630,876) | 6,630,876 | |||||||
Total Investments 89.6% | ||||||||
(Cost $22,213,377) | $ | 32,373,312 | ||||||
Other Assets in Excess of | ||||||||
Liabilities – 10.4% | $ | 3,738,868 | ||||||
Net Assets – 100.0% | $ | 36,112,180 | ||||||
UNREALIZED | ||||||||
CONTRACTS | GAIN | |||||||
FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 NASDAQ-100 Index Mini Futures Contracts (Aggregate Market Value of Contracts $24,345,150) | 654 | $ | 547,691 | |||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS(b) | ||||||||
Credit Suisse Capital, LLC January 2010 NASDAQ-100 Index Swap, Terminating 01/04/10††† (Notional Market Value $18,343,504) | 9,860 | $ | 929,784 | |||||
Goldman Sachs International January 2010 NASDAQ-100 Index Swap, Terminating 01/04/10††† (Notional Market Value $3,483,046) | 1,872 | 126,697 | ||||||
(Total Notional Market | ||||||||
Value $21,826,550) | $ | 1,056,481 | ||||||
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 6. | |
†† | All or a portion of this security is pledged as equity index swap collateral at December 31, 2009. | |
††† | Total Return based on NASDAQ-100 Index +/- financing at a variable rate. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. ADR — American Depository Receipt. |
52 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
MID-CAP 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 70.9%(a) | ||||||||
FINANCIALS 13.6% | ||||||||
New York Community Bancorp, Inc. | 4,690 | $ | 68,052 | |||||
Everest Re Group Ltd. | 680 | 58,262 | ||||||
Federal Realty Investment Trust | 689 | 46,659 | ||||||
Nationwide Health Properties, Inc. | 1,270 | 44,679 | ||||||
SL Green Realty Corp. | 880 | 44,211 | ||||||
AMB Property Corp. | 1,660 | 42,413 | ||||||
Liberty Property Trust | 1,280 | 40,973 | ||||||
Eaton Vance Corp. | 1,329 | 40,415 | ||||||
Macerich Co. | 1,092 | 39,270 | ||||||
Reinsurance Group of America, Inc. | 820 | 39,073 | ||||||
Rayonier, Inc. | 900 | 37,944 | ||||||
W.R. Berkley Corp. | 1,530 | 37,699 | ||||||
First American Corp. | 1,130 | 37,414 | ||||||
MSCI, Inc. — Class A* | 1,170 | 37,206 | ||||||
HCC Insurance Holdings, Inc. | 1,279 | 35,774 | ||||||
Fidelity National Financial, Inc. — Class A | 2,610 | 35,131 | ||||||
Cullen/Frost Bankers, Inc. | 680 | 34,000 | ||||||
Hospitality Properties Trust | 1,389 | 32,933 | ||||||
Commerce Bancshares, Inc. | 834 | 32,292 | ||||||
Alexandria Real Estate Equities, Inc. | 500 | 32,145 | ||||||
Jefferies Group, Inc.* | 1,350 | 32,036 | ||||||
Regency Centers Corp. | 910 | 31,905 | ||||||
Affiliated Managers Group, Inc.* | 470 | 31,655 | ||||||
Senior Housing Properties Trust | 1,440 | 31,493 | ||||||
Duke Realty Corp. | 2,539 | 30,900 | ||||||
Mack-Cali Realty Corp. | 890 | 30,767 | ||||||
Realty Income Corp. | 1,180 | 30,574 | ||||||
Camden Property Trust | 720 | 30,506 | ||||||
Waddell & Reed Financial, Inc. — Class A | 969 | 29,593 | ||||||
First Niagara Financial Group, Inc. | 2,120 | 29,489 | ||||||
Jones Lang LaSalle, Inc. | 470 | 28,388 | ||||||
UDR, Inc. | 1,720 | 28,277 | ||||||
Essex Property Trust, Inc. | 330 | 27,605 | ||||||
Old Republic International Corp. | 2,729 | 27,399 | ||||||
Highwoods Properties, Inc. | 800 | 26,680 | ||||||
Raymond James Financial, Inc. | 1,120 | 26,622 | ||||||
Arthur J. Gallagher & Co. | 1,149 | 25,864 | ||||||
SEI Investments Co. | 1,459 | 25,562 | ||||||
Bank of Hawaii Corp. | 540 | 25,412 | ||||||
Hanover Insurance Group, Inc. | 559 | 24,836 | ||||||
Washington Federal, Inc. | 1,270 | 24,562 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Corporate Office Properties Trust SBI | 659 | $ | 24,139 | |||||
Brown & Brown, Inc. | 1,329 | 23,882 | ||||||
Valley National Bancorp | 1,667 | 23,555 | ||||||
Weingarten Realty Investors | 1,180 | 23,352 | ||||||
Stancorp Financial Group, Inc. | 559 | 22,371 | ||||||
City National Corp. | 490 | 22,344 | ||||||
American Financial Group, Inc. | 880 | 21,956 | ||||||
AmeriCredit Corp.* | 1,090 | 20,754 | ||||||
BRE Properties, Inc. — Class A | 620 | 20,510 | ||||||
FirstMerit Corp. | 965 | 19,435 | ||||||
BancorpSouth, Inc. | 819 | 19,214 | ||||||
SVB Financial Group* | 460 | 19,177 | ||||||
Apollo Investment Corp. | 1,970 | 18,774 | ||||||
Omega Healthcare Investors, Inc. | 960 | 18,672 | ||||||
Westamerica Bancorporation | 330 | 18,272 | ||||||
Fulton Financial Corp. | 2,000 | 17,440 | ||||||
TCF Financial Corp. | 1,260 | 17,161 | ||||||
Protective Life Corp. | 970 | 16,054 | ||||||
Associated Banc-Corp. | 1,449 | 15,954 | ||||||
Mercury General Corp. | 400 | 15,704 | ||||||
NewAlliance Bancshares, Inc. | 1,200 | 14,412 | ||||||
Trustmark Corp. | 630 | 14,200 | ||||||
Potlatch Corp. | 440 | 14,027 | ||||||
Unitrin, Inc. | 559 | 12,326 | ||||||
Astoria Financial Corp. | 920 | 11,436 | ||||||
Synovus Financial Corp. | 5,429 | 11,129 | ||||||
International Bancshares Corp. | 580 | 10,979 | ||||||
Wilmington Trust Corp. | 790 | 9,749 | ||||||
Cousins Properties, Inc. | 1,126 | 8,591 | ||||||
Webster Financial Corp. | 720 | 8,546 | ||||||
PacWest Bancorp | 340 | 6,851 | ||||||
Equity One, Inc. | 370 | 5,983 | ||||||
Horace Mann Educators Corp. | 440 | 5,500 | ||||||
Cathay General Bancorp | 700 | 5,285 | ||||||
Total Financials | 1,954,404 | |||||||
INFORMATION TECHNOLOGY 10.8% | ||||||||
Cree, Inc.* | 1,170 | 65,953 | ||||||
Lam Research Corp.* | 1,440 | 56,462 | ||||||
Avnet, Inc.* | 1,700 | 51,272 | ||||||
Global Payments, Inc. | 910 | 49,013 | ||||||
F5 Networks, Inc.* | 900 | 47,682 | ||||||
Equinix, Inc.* | 437 | 46,388 | ||||||
Lender Processing Services, Inc. | 1,090 | 44,319 | ||||||
ANSYS, Inc.* | 1,000 | 43,460 | ||||||
Arrow Electronics, Inc.* | 1,349 | 39,944 | ||||||
Sybase, Inc.* | 919 | 39,885 | ||||||
Hewitt Associates, Inc.* | 940 | 39,724 | ||||||
Alliance Data Systems Corp.* | 590 | 38,108 | ||||||
Rovi Corp.* | 1,170 | 37,288 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 53 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
MID-CAP 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Synopsys, Inc.* | 1,640 | $ | 36,539 | |||||
Broadridge Financial Solutions, Inc. | 1,540 | 34,742 | ||||||
Trimble Navigation Ltd.* | 1,359 | 34,247 | ||||||
3Com Corp.* | 4,430 | 33,225 | ||||||
Ingram Micro, Inc. — Class A* | 1,850 | 32,282 | ||||||
FactSet Research Systems, Inc. | 469 | 30,893 | ||||||
Itron, Inc.* | 450 | 30,406 | ||||||
AOL, Inc.* | 1,220 | 28,402 | ||||||
CommScope, Inc.* | 1,060 | 28,122 | ||||||
Solera Holdings, Inc. | 780 | 28,088 | ||||||
Micros Systems, Inc.* | 900 | 27,927 | ||||||
Tech Data Corp.* | 570 | 26,596 | ||||||
Informatica Corp.* | 1,009 | 26,093 | ||||||
Silicon Laboratories, Inc.* | 520 | 25,137 | ||||||
Polycom, Inc.* | 960 | 23,971 | ||||||
Atmel Corp.* | 5,117 | 23,589 | ||||||
Jack Henry & Associates, Inc. | 960 | 22,195 | ||||||
Parametric Technology Corp.* | 1,329 | 21,716 | ||||||
Diebold, Inc. | 750 | 21,337 | ||||||
Intersil Corp. — Class A | 1,390 | 21,323 | ||||||
NCR Corp.* | 1,799 | 20,023 | ||||||
NeuStar, Inc.* | 840 | 19,354 | ||||||
DST Systems, Inc.* | 440 | 19,162 | ||||||
National Instruments Corp. | 639 | 18,819 | ||||||
Zebra Technologies Corp. — Class A* | 660 | 18,718 | ||||||
Palm, Inc.* | 1,859 | 18,664 | ||||||
Cadence Design Systems, Inc.* | 3,040 | 18,210 | ||||||
International Rectifier Corp.* | 800 | 17,696 | ||||||
Vishay Intertechnology, Inc.* | 2,110 | 17,618 | ||||||
Convergys Corp.* | 1,390 | 14,942 | ||||||
Plantronics, Inc. | 560 | 14,549 | ||||||
RF Micro Devices, Inc.* | 3,019 | 14,401 | ||||||
ADTRAN, Inc. | 630 | 14,206 | ||||||
Fairchild Semiconductor International, Inc.* | 1,400 | 13,986 | ||||||
Quest Software, Inc.* | 710 | 13,064 | ||||||
Integrated Device Technology, Inc.* | 1,880 | 12,164 | ||||||
Gartner, Inc. — Class A* | 670 | 12,087 | ||||||
Mantech International Corp. — Class A* | 249 | 12,022 | ||||||
Acxiom Corp.* | 890 | 11,944 | ||||||
Semtech Corp.* | 700 | 11,907 | ||||||
Fair Isaac Corp. | 550 | 11,720 | ||||||
Digital River, Inc.* | 430 | 11,606 | ||||||
Ciena Corp.* | 1,030 | 11,165 | ||||||
ValueClick, Inc.* | 970 | 9,816 | ||||||
Mentor Graphics Corp.* | 1,110 | 9,801 | ||||||
SRA International, Inc. — Class A* | 490 | 9,359 | ||||||
Advent Software, Inc.* | 169 | 6,883 |
MARKET | ||||||||
SHARES | VALUE | |||||||
ADC Telecommunications, Inc.* | 1,090 | $ | 6,769 | |||||
ACI Worldwide, Inc.* | 390 | 6,689 | ||||||
Total Information Technology | 1,553,672 | |||||||
INDUSTRIALS 10.4% | ||||||||
Joy Global, Inc. | 1,160 | 59,844 | ||||||
Manpower, Inc. | 890 | 48,576 | ||||||
Bucyrus International, Inc. | 850 | 47,915 | ||||||
AMETEK, Inc. | 1,220 | 46,653 | ||||||
URS Corp.* | 939 | 41,804 | ||||||
Donaldson Company, Inc. | 879 | 37,393 | ||||||
Oshkosh Corp. | 1,009 | 37,363 | ||||||
Kansas City Southern* | 1,090 | 36,286 | ||||||
Pentair, Inc. | 1,110 | 35,853 | ||||||
Aecom Technology Corp.* | 1,280 | 35,200 | ||||||
KBR, Inc. | 1,809 | 34,371 | ||||||
AGCO Corp.* | 1,039 | 33,601 | ||||||
Alliant Techsystems, Inc.* | 370 | 32,660 | ||||||
Corrections Corporation of America* | 1,310 | 32,161 | ||||||
J.B. Hunt Transport Services, Inc. | 990 | 31,947 | ||||||
Hubbell, Inc. — Class B | 670 | 31,691 | ||||||
SPX Corp. | 560 | 30,632 | ||||||
Waste Connections, Inc.* | 890 | 29,655 | ||||||
Harsco Corp. | 910 | 29,329 | ||||||
IDEX Corp. | 909 | 28,315 | ||||||
Copart, Inc.* | 760 | 27,839 | ||||||
FTI Consulting, Inc.* | 580 | 27,353 | ||||||
Shaw Group, Inc.* | 939 | 26,996 | ||||||
BE Aerospace, Inc.* | 1,139 | 26,767 | ||||||
Lincoln Electric Holdings, Inc. | 480 | 25,661 | ||||||
Terex Corp.* | 1,220 | 24,168 | ||||||
Kennametal, Inc. | 919 | 23,820 | ||||||
Carlisle Companies, Inc. | 690 | 23,639 | ||||||
MSC Industrial Direct Co. | 500 | 23,500 | ||||||
Nordson Corp. | 380 | 23,248 | ||||||
Watson Wyatt Worldwide, Inc.* | 480 | 22,810 | ||||||
Landstar System, Inc. | 570 | 22,099 | ||||||
Regal-Beloit Corp. | 420 | 21,815 | ||||||
Wabtec Corp. | 530 | 21,645 | ||||||
Lennox International, Inc. | 549 | 21,433 | ||||||
Timken Co. | 900 | 21,339 | ||||||
Thomas & Betts Corp.* | 590 | 21,116 | ||||||
Kirby Corp.* | 599 | 20,863 | ||||||
Con-way, Inc. | 560 | 19,550 | ||||||
Graco, Inc. | 680 | 19,428 | ||||||
Valmont Industries, Inc. | 230 | 18,044 | ||||||
Woodward Governor Co. | 639 | 16,467 | ||||||
Alexander & Baldwin, Inc. | 470 | 16,088 | ||||||
Crane Co. | 520 | 15,922 | ||||||
Trinity Industries, Inc. | 900 | 15,696 | ||||||
Clean Harbors, Inc.* | 259 | 15,439 | ||||||
GATX Corp. | 519 | 14,921 |
54 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
MID-CAP 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
MPS Group, Inc.* | 1,049 | $ | 14,413 | |||||
HNI Corp. | 510 | 14,091 | ||||||
Alaska Air Group, Inc.* | 400 | 13,824 | ||||||
The Brink’s Co. | 540 | 13,144 | ||||||
Granite Construction, Inc. | 380 | 12,791 | ||||||
JetBlue Airways Corp.* | 2,320 | 12,644 | ||||||
Herman Miller, Inc. | 630 | 10,067 | ||||||
Werner Enterprises, Inc. | 490 | 9,697 | ||||||
Rollins, Inc. | 490 | 9,447 | ||||||
Mine Safety Appliances Co. | 340 | 9,020 | ||||||
Corporate Executive Board Co. | 390 | 8,900 | ||||||
Deluxe Corp. | 580 | 8,578 | ||||||
Korn/Ferry International* | 519 | 8,564 | ||||||
Navigant Consulting, Inc.* | 559 | 8,307 | ||||||
AirTran Holdings, Inc.* | 1,519 | 7,929 | ||||||
United Rentals, Inc.* | 670 | 6,573 | ||||||
Federal Signal Corp. | 550 | 3,311 | ||||||
Total Industrials | 1,490,215 | |||||||
CONSUMER DISCRETIONARY 9.9% | ||||||||
CarMax, Inc.* | 2,499 | 60,601 | ||||||
Urban Outfitters, Inc.* | 1,460 | 51,085 | ||||||
NVR, Inc.* | 69 | 49,039 | ||||||
Dollar Tree, Inc.* | 1,000 | 48,300 | ||||||
BorgWarner, Inc. | 1,320 | 43,850 | ||||||
Advance Auto Parts, Inc. | 1,070 | 43,314 | ||||||
American Eagle Outfitters, Inc. | 2,340 | 39,733 | ||||||
Petsmart, Inc. | 1,399 | 37,339 | ||||||
DreamWorks Animation SKG, Inc. — Class A* | 850 | 33,957 | ||||||
Strayer Education, Inc. | 159 | 33,786 | ||||||
ITT Educational Services, Inc.* | 350 | 33,586 | ||||||
Tupperware Brands Corp. | 720 | 33,530 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 360 | 31,738 | ||||||
LKQ Corp.* | 1,600 | 31,344 | ||||||
Mohawk Industries, Inc.* | 630 | 29,988 | ||||||
Toll Brothers, Inc.* | 1,550 | 29,155 | ||||||
Chico’s FAS, Inc.* | 2,010 | 28,241 | ||||||
J. Crew Group, Inc.* | 629 | 28,141 | ||||||
Gentex Corp. | 1,550 | 27,668 | ||||||
Guess?, Inc. | 649 | 27,453 | ||||||
Netflix, Inc.* | 490 | 27,019 | ||||||
Hanesbrands, Inc.* | 1,080 | 26,039 | ||||||
Aeropostale, Inc.* | 750 | 25,538 | ||||||
Dick’s Sporting Goods, Inc.* | 1,000 | 24,870 | ||||||
Williams-Sonoma, Inc. | 1,190 | 24,728 | ||||||
WMS Industries, Inc.* | 600 | 24,000 | ||||||
Phillips-Van Heusen Corp. | 579 | 23,554 | ||||||
Panera Bread Co.* | 350 | 23,440 | ||||||
Service Corporation International | 2,860 | 23,423 | ||||||
The Warnaco Group, Inc.* | 510 | 21,517 | ||||||
John Wiley & Sons, Inc. — Class A | 480 | 20,102 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Foot Locker, Inc. | 1,769 | $ | 19,707 | |||||
Wendy’s/Arby’s Group, Inc. — Class A | 4,070 | 19,088 | ||||||
Lamar Advertising Co.* | 599 | 18,623 | ||||||
Career Education Corp.* | 790 | 18,415 | ||||||
Fossil, Inc.* | 540 | 18,122 | ||||||
Aaron’s, Inc. | 619 | 17,165 | ||||||
Brinker International, Inc. | 1,149 | 17,143 | ||||||
Sotheby’s | 760 | 17,085 | ||||||
Brink’s Home Security Holdings, Inc.* | 519 | �� | 16,940 | |||||
Collective Brands, Inc.* | 720 | 16,394 | ||||||
Cheesecake Factory, Inc.* | 670 | 14,465 | ||||||
Corinthian Colleges, Inc.* | 990 | 13,632 | ||||||
Rent-A-Center, Inc.* | 749 | 13,272 | ||||||
M.D.C. Holdings, Inc. | 420 | 13,037 | ||||||
Thor Industries, Inc. | 400 | 12,560 | ||||||
Matthews International Corp. — Class A | 340 | 12,046 | ||||||
Saks, Inc.* | 1,800 | 11,808 | ||||||
KB HOME | 840 | 11,491 | ||||||
Life Time Fitness, Inc.* | 460 | 11,468 | ||||||
Under Armour, Inc.* | 420 | 11,453 | ||||||
Scientific Games Corp. — Class A* | 730 | 10,622 | ||||||
Bob Evans Farms, Inc. | 350 | 10,133 | ||||||
Regis Corp. | 639 | 9,949 | ||||||
International Speedway Corp. — Class A | 349 | 9,929 | ||||||
American Greetings Corp. — Class A | 450 | 9,806 | ||||||
Ryland Group, Inc. | 487 | 9,594 | ||||||
AnnTaylor Stores Corp.* | 659 | 8,989 | ||||||
Timberland Co. — Class A* | 500 | 8,965 | ||||||
Scholastic Corp. | 289 | 8,621 | ||||||
Barnes & Noble, Inc. | 450 | 8,582 | ||||||
99 Cents Only Stores* | 510 | 6,666 | ||||||
Boyd Gaming Corp.* | 620 | 5,189 | ||||||
Harte-Hanks, Inc. | 430 | 4,635 | ||||||
Coldwater Creek, Inc.* | 650 | 2,899 | ||||||
Total Consumer Discretionary | 1,424,571 | |||||||
HEALTH CARE 8.7% | ||||||||
Vertex Pharmaceuticals, Inc.* | 2,180 | 93,413 | ||||||
Cerner Corp.* | 770 | 63,479 | ||||||
Edwards Lifesciences Corp.* | 640 | 55,584 | ||||||
Henry Schein, Inc.* | 1,030 | 54,178 | ||||||
Beckman Coulter, Inc. | 790 | 51,698 | ||||||
ResMed, Inc.* | 850 | 44,430 | ||||||
Hologic, Inc.* | 2,910 | 42,195 | ||||||
Mettler-Toledo International, Inc.* | 380 | 39,896 | ||||||
Covance, Inc.* | 720 | 39,290 | ||||||
Community Health Systems, Inc.* | 1,049 | 37,344 | ||||||
Perrigo Co. | 910 | 36,254 | ||||||
IDEXX Laboratories, Inc.* | 660 | 35,270 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 55 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
MID-CAP 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Universal Health Services, Inc. — Class B | 1,110 | $ | 33,855 | |||||
Omnicare, Inc. | 1,340 | 32,415 | ||||||
Pharmaceutical Product Development, Inc. | 1,340 | 31,410 | ||||||
Techne Corp. | 420 | 28,795 | ||||||
Lincare Holdings, Inc.* | 770 | 28,582 | ||||||
United Therapeutics Corp.* | 540 | 28,431 | ||||||
Health Net, Inc.* | 1,180 | 27,482 | ||||||
Endo Pharmaceuticals Holdings, Inc.* | 1,319 | 27,053 | ||||||
Kinetic Concepts, Inc.* | 699 | 26,317 | ||||||
Charles River Laboratories International, Inc.* | 749 | 25,234 | ||||||
Valeant Pharmaceuticals International* | 760 | 24,160 | ||||||
VCA Antech, Inc.* | 969 | 24,148 | ||||||
Teleflex, Inc. | 440 | 23,712 | ||||||
Gen-Probe, Inc.* | 540 | 23,166 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 220 | 21,221 | ||||||
Health Management Associates, Inc. — Class A* | 2,809 | 20,421 | ||||||
Owens & Minor, Inc. | 470 | 20,177 | ||||||
OSI Pharmaceuticals, Inc.* | 649 | 20,139 | ||||||
LifePoint Hospitals, Inc.* | 619 | 20,124 | ||||||
Steris Corp. | 660 | 18,460 | ||||||
Medicis Pharmaceutical Corp. — Class A | 669 | 18,096 | ||||||
Masimo Corp.* | 590 | 17,948 | ||||||
WellCare Health Plans, Inc.* | 479 | 17,608 | ||||||
Thoratec Corp.* | 640 | 17,229 | ||||||
Hill-Rom Holdings, Inc. | 710 | 17,033 | ||||||
Varian, Inc.* | 320 | 16,493 | ||||||
Immucor, Inc.* | 800 | 16,192 | ||||||
Psychiatric Solutions, Inc.* | 629 | 13,297 | ||||||
Kindred Healthcare, Inc.* | 440 | 8,122 | ||||||
Affymetrix, Inc.* | 800 | 4,672 | ||||||
Total Health Care | 1,245,023 | |||||||
ENERGY 4.8% | ||||||||
Newfield Exploration Co.* | 1,509 | 72,779 | ||||||
Pride International, Inc.* | 1,980 | 63,182 | ||||||
Cimarex Energy Co. | 950 | 50,322 | ||||||
Helmerich & Payne, Inc. | 1,200 | 47,856 | ||||||
Plains Exploration & Production Co.* | 1,578 | 43,648 | ||||||
Arch Coal, Inc. | 1,830 | 40,718 | ||||||
Oceaneering International, Inc.* | 619 | 36,224 | ||||||
Southern Union Co. | 1,400 | 31,780 | ||||||
Encore Acquisition Co.* | 630 | 30,253 | ||||||
Forest Oil Corp.* | 1,269 | 28,235 | ||||||
Tidewater, Inc. | 580 | 27,811 | ||||||
Patterson-UTI Energy, Inc. | 1,740 | 26,709 | ||||||
Atwood Oceanics, Inc.* | 640 | 22,944 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Comstock Resources, Inc.* | 530 | $ | 21,502 | |||||
Superior Energy Services* | 880 | 21,375 | ||||||
Quicksilver Resources, Inc.* | 1,340 | 20,113 | ||||||
Unit Corp.* | 460 | 19,550 | ||||||
Exterran Holdings, Inc.* | 700 | 15,015 | ||||||
Frontier Oil Corp. | 1,180 | 14,207 | ||||||
Bill Barrett Corp.* | 430 | 13,377 | ||||||
Mariner Energy, Inc.* | 1,140 | 13,235 | ||||||
Patriot Coal Corp.* | 850 | 13,141 | ||||||
Helix Energy Solutions Group, Inc.* | 1,040 | 12,220 | ||||||
Overseas Shipholding Group, Inc. | 260 | 11,427 | ||||||
Total Energy | 697,623 | |||||||
UTILITIES 4.8% | ||||||||
Oneok, Inc. | 1,190 | 53,038 | ||||||
MDU Resources Group, Inc. | 2,130 | 50,268 | ||||||
National Fuel Gas Co. | 910 | 45,500 | ||||||
NSTAR | 1,200 | 44,160 | ||||||
OGE Energy Corp. | 1,100 | 40,590 | ||||||
Energen Corp. | 810 | 37,908 | ||||||
Alliant Energy Corp. | 1,250 | 37,825 | ||||||
DPL, Inc. | 1,350 | 37,260 | ||||||
NV Energy, Inc. | 2,650 | 32,807 | ||||||
AGL Resources, Inc. | 869 | 31,692 | ||||||
Atmos Energy Corp. | 1,049 | 30,841 | ||||||
Great Plains Energy, Inc. | 1,530 | 29,667 | ||||||
UGI Corp. | 1,220 | 29,512 | ||||||
Aqua America, Inc. | 1,540 | 26,965 | ||||||
Westar Energy, Inc. | 1,240 | 26,945 | ||||||
Vectren Corp. | 919 | 22,681 | ||||||
Hawaiian Electric Industries, Inc. | 1,039 | 21,715 | ||||||
WGL Holdings, Inc. | 570 | 19,118 | ||||||
Cleco Corp. | 690 | 18,858 | ||||||
IDACORP, Inc. | 530 | 16,934 | ||||||
PNM Resources, Inc. | 980 | 12,397 | ||||||
Black Hills Corp. | 440 | 11,717 | ||||||
Dynegy, Inc.* | 5,700 | 10,317 | ||||||
Total Utilities | 688,715 | |||||||
MATERIALS 4.5% | ||||||||
Lubrizol Corp. | 770 | 56,171 | ||||||
Martin Marietta Materials, Inc. | 499 | 44,616 | ||||||
Steel Dynamics, Inc. | 2,440 | 43,237 | ||||||
Albemarle Corp. | 1,040 | 37,825 | ||||||
Terra Industries, Inc. | 1,129 | 36,342 | ||||||
Ashland, Inc. | 850 | 33,677 | ||||||
Sonoco Products Co. | 1,130 | 33,052 | ||||||
Reliance Steel & Aluminum Co. | 730 | 31,551 | ||||||
Valspar Corp. | 1,140 | 30,940 | ||||||
RPM International, Inc. | 1,459 | 29,661 | ||||||
AptarGroup, Inc. | 760 | 27,162 | ||||||
Packaging Corporation of America | 1,170 | 26,922 | ||||||
Temple-Inland, Inc. | 1,200 | 25,332 |
56 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (conclued)
December 31, 2009
MID-CAP 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Greif, Inc. — Class A | 380 | $ | 20,512 | |||||
Scotts Miracle-Gro Co. — Class A | 510 | 20,048 | ||||||
Commercial Metals Co. | 1,280 | 20,032 | ||||||
Cytec Industries, Inc. | 549 | 19,995 | ||||||
Cabot Corp. | 740 | 19,410 | ||||||
Silgan Holdings, Inc. | 300 | 17,364 | ||||||
Olin Corp. | 890 | 15,593 | ||||||
Sensient Technologies Corp. | 550 | 14,465 | ||||||
Carpenter Technology Corp. | 500 | 13,475 | ||||||
Minerals Technologies, Inc. | 209 | 11,384 | ||||||
Louisiana-Pacific Corp.* | 1,410 | 9,842 | ||||||
Worthington Industries, Inc. | 679 | 8,875 | ||||||
Total Materials | 647,483 | |||||||
CONSUMER STAPLES 2.8% | ||||||||
Energizer Holdings, Inc.* | 790 | 48,411 | ||||||
Church & Dwight Company, Inc. | 790 | 47,756 | ||||||
Ralcorp Holdings, Inc.* | 639 | 38,155 | ||||||
Green Mountain Coffee Roasters, Inc.* | 400 | 32,588 | ||||||
Hansen Natural Corp.* | 800 | 30,720 | ||||||
NBTY, Inc.* | 699 | 30,434 | ||||||
Alberto-Culver Co. | 970 | 28,411 | ||||||
Corn Products International, Inc. | 840 | 24,553 | ||||||
Smithfield Foods, Inc.* | 1,590 | 24,152 | ||||||
Flowers Foods, Inc. | 880 | 20,909 | ||||||
BJ’s Wholesale Club, Inc.* | 630 | 20,607 | ||||||
PepsiAmericas, Inc. | 630 | 18,434 | ||||||
Universal Corp. | 278 | 12,680 | ||||||
Ruddick Corp. | 460 | 11,836 | ||||||
Lancaster Colony Corp. | 220 | 10,934 | ||||||
Tootsie Roll Industries, Inc. | 296 | 8,104 | ||||||
Total Consumer Staples | 408,684 | |||||||
TELECOMMUNICATION SERVICES 0.6% | ||||||||
Telephone & Data Systems, Inc. | 1,060 | 35,955 | ||||||
tw telecom Inc.* | 1,690 | 28,967 | ||||||
Syniverse Holdings, Inc.* | 790 | 13,809 | ||||||
Cincinnati Bell, Inc.* | 2,280 | 7,866 | ||||||
Total Telecommunication Services | 86,597 | |||||||
Total Common Stocks (Cost $9,490,032) | 10,196,987 | |||||||
WARRANTS 0.0%(a) | ||||||||
CONSUMER DISCRETIONARY 0.0% | ||||||||
Krispy Kreme Doughnuts, Inc.* $12.21, 03/02/12 | 155 | 9 | ||||||
Total Consumer Discretionary | 9 | |||||||
Total Warrants (Cost $—) | 9 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS† 40.0%(b) | ||||||||
Mizuho Financial Group, Inc. issued 12/31/09 at 0.00% due 01/04/10 | $ | 1,234,511 | $ | 1,234,511 | ||||
HSBC Group issued 12/31/09 at 0.00% due 01/04/10 | 1,225,094 | 1,225,094 | ||||||
UBS Financial Services, Inc. issued 12/31/09 at 0.00% due 01/04/10 | 1,225,094 | 1,225,094 | ||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10†† | 1,198,086 | 1,198,086 | ||||||
Morgan Stanley issued 12/31/09 at 0.00% due 01/04/10 | 864,773 | 864,773 | ||||||
Total Repurchase Agreements (Cost $5,747,558) | 5,747,558 | |||||||
Total Investments 110.9% (Cost $15,237,590) | $ | 15,944,554 | ||||||
Liabilities in Excess of Other | ||||||||
Assets – (10.9)% | $ | (1,568,354 | ) | |||||
Net Assets – 100.0% | $ | 14,376,200 | ||||||
Unrealized | ||||||||
Contracts | Gain | |||||||
FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Market Value of Contracts $2,743,600) | 38 | $ | 21,407 | |||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS(b) | ||||||||
Credit Suisse Capital, LLC January 2010 S&P MidCap 400 Index | ||||||||
Swap, Terminating 01/04/10††† | ||||||||
(Notional Market Value $5,003,907) | 6,886 | $ | 302,592 | |||||
Goldman Sachs International January 2010 S&P MidCap 400 Index Swap, Terminating 01/04/10††† | ||||||||
(Notional Market Value $3,498,768) | 4,815 | 178,513 | ||||||
(Total Notional Market Value $8,502,675) | $ | 481,105 | ||||||
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 6. | |
†† | All or a portion of this security is pledged as equity index swap collateral at December 31, 2009. | |
††† | Total Return based on S&P MidCap 400 Index +/- financing at a variable rate. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 57 |
SCHEDULE OF INVESTMENTS
December 31, 2009
INVERSE MID-CAP STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS† 103.4%(b) | ||||||||
Mizuho Financial Group, Inc. issued 12/31/09 at 0.00% due 01/04/10 | $ | 1,114,103 | $ | 1,114,103 | ||||
HSBC Group issued 12/31/09 at 0.00% due 01/04/10 | 1,105,605 | 1,105,605 | ||||||
UBS Financial Services, Inc. issued 12/31/09 at 0.00% due 01/04/10 | 1,105,605 | 1,105,605 | ||||||
Morgan Stanley issued 12/31/09 at 0.00% due 01/04/10 | 780,427 | 780,427 | ||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10†† | 730,511 | 730,511 | ||||||
Total Repurchase Agreements (Cost $4,836,251) | 4,836,251 | |||||||
Total Investments 103.4% (Cost $4,836,251) | $ | 4,836,251 | ||||||
Liabilities in Excess of Other Assets – (3.4)% | $ | (159,122 | ) | |||||
Net Assets – 100.0% | $ | 4,677,129 | ||||||
UNREALIZED | ||||||||
CONTRACT | GAIN (LOSS) | |||||||
FUTURES CONTRACT SOLD SHORT(a) | ||||||||
March 2010 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Market Value of Contracts $72,200) | 1 | $ | 279 | |||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT(b) | ||||||||
Goldman Sachs International January 2010 S&P MidCap 400 Index Swap, Terminating 01/04/10††† (Notional Market Value $1,841,370) | 2,534 | $ | (17,408 | ) | ||||
Credit Suisse Capital, LLC January 2010 S&P MidCap 400 Index Swap, Terminating 01/04/10††† (Notional Market Value $2,780,775) | 3,827 | (122,777 | ) | |||||
(Total Notional Market Value $4,622,145) | $ | (140,185 | ) | |||||
† | Repurchase Agreements — See Note 6. | |
†† | All or a portion of this security is pledged as equity index swap collateral at December 31, 2009. | |
††† | Total Return based on S&P MidCap 400 Index +/- financing at a variable rate. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
58 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 54.9%(a) | ||||||||
FINANCIALS 11.1% | ||||||||
E*Trade Financial Corp.* | 3,410 | $ | 5,967 | |||||
Assured Guaranty Ltd. | 270 | 5,875 | ||||||
Highwoods Properties, Inc. | 152 | 5,069 | ||||||
MFA Mortgage Investments, Inc. | 612 | 4,498 | ||||||
Platinum Underwriters | ||||||||
Holdings Ltd. | 111 | 4,250 | ||||||
Prosperity Bancshares, Inc. | 104 | 4,209 | ||||||
Stifel Financial Corp.* | 67 | 3,969 | ||||||
ProAssurance Corp.* | 73 | 3,921 | ||||||
FirstMerit Corp. | 182 | 3,665 | ||||||
National Retail Properties, Inc. | 171 | 3,629 | ||||||
Washington Real Estate | ||||||||
Investment Trust | 130 | 3,581 | ||||||
Omega Healthcare Investors, Inc. | 183 | 3,559 | ||||||
SVB Financial Group* | 85 | 3,544 | ||||||
Tanger Factory Outlet Centers, Inc. | 90 | 3,509 | ||||||
Westamerica Bancorporation | 63 | 3,488 | ||||||
Home Properties, Inc. | 72 | 3,435 | ||||||
Apollo Investment Corp. | 351 | 3,345 | ||||||
Montpelier Re Holdings Ltd. | 193 | 3,343 | ||||||
BioMed Realty Trust, Inc. | 206 | 3,251 | ||||||
Developers Diversified Realty Corp. | 351 | 3,250 | ||||||
American Campus Communities, Inc. | 111 | 3,119 | ||||||
East West Bancorp, Inc. | 196 | 3,097 | ||||||
Entertainment Properties Trust | 87 | 3,068 | ||||||
Trustmark Corp. | 136 | 3,065 | ||||||
Knight Capital Group, Inc. — Class A* | 197 | 3,034 | ||||||
Potlatch Corp. | 92 | 2,933 | ||||||
Ares Capital Corp. | 235 | 2,926 | ||||||
LaSalle Hotel Properties | 137 | 2,909 | ||||||
Signature Bank* | 91 | 2,903 | ||||||
CBL & Associates Properties, Inc. | 300 | 2,901 | ||||||
UMB Financial Corp. | 73 | 2,873 | ||||||
NewAlliance Bancshares, Inc. | 231 | 2,774 | ||||||
Mid-America Apartment Communities, Inc. | 57 | 2,752 | ||||||
Equity Lifestyle Properties, Inc. | 54 | 2,725 | ||||||
Healthcare Realty Trust, Inc. | 126 | 2,704 | ||||||
Kilroy Realty Corp. | 85 | 2,607 | ||||||
First Financial Bankshares, Inc. | 47 | 2,549 | ||||||
Umpqua Holding Corp. | 190 | 2,548 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Redwood Trust, Inc. | 170 | $ | 2,458 | |||||
Hancock Holding Co. | 55 | 2,408 | ||||||
Old National Bancorp | 192 | 2,387 | ||||||
IBERIABANK Corp. | 44 | 2,368 | ||||||
Tower Group, Inc. | 100 | 2,341 | ||||||
KBW, Inc.* | 83 | 2,271 | ||||||
National Health Investors, Inc. | 61 | 2,256 | ||||||
Max Capital Group Ltd. | 101 | 2,252 | ||||||
Astoria Financial Corp. | 181 | 2,250 | ||||||
Zenith National Insurance Corp. | 75 | 2,233 | ||||||
DCT Industrial Trust, Inc. | 443 | 2,224 | ||||||
Delphi Financial Group, Inc. — Class A | 98 | 2,192 | ||||||
Conseco, Inc.* | 438 | 2,190 | ||||||
Extra Space Storage, Inc. | 189 | 2,183 | ||||||
RLI Corp. | 40 | 2,130 | ||||||
Piper Jaffray Companies, Inc.* | 42 | 2,126 | ||||||
Hatteras Financial Corp. | 76 | 2,125 | ||||||
MB Financial, Inc. | 107 | 2,110 | ||||||
Sovran Self Storage, Inc. | 59 | 2,108 | ||||||
International Bancshares Corp. | 111 | 2,101 | ||||||
Cash America International, Inc. | 60 | 2,098 | ||||||
Franklin Street Properties Corp. | 143 | 2,089 | ||||||
DiamondRock Hospitality Co. | 245 | 2,075 | ||||||
Capstead Mortgage Corp. | 151 | 2,061 | ||||||
Argo Group International | ||||||||
Holdings Ltd.* | 70 | 2,040 | ||||||
Post Properties, Inc. | 100 | 1,960 | ||||||
PHH Corp.* | 121 | 1,949 | ||||||
PS Business Parks, Inc. | 38 | 1,902 | ||||||
Starwood Property Trust, Inc. | 100 | 1,889 | ||||||
Eastgroup Properties, Inc. | 49 | 1,876 | ||||||
Sunstone Hotel Investors, Inc.* | 208 | 1,847 | ||||||
Selective Insurance Group, Inc. | 112 | 1,842 | ||||||
Webster Financial Corp. | 151 | 1,792 | ||||||
Forestar Real Estate Group, Inc.* | 81 | 1,780 | ||||||
Anworth Mortgage Asset Corp. | 252 | 1,764 | ||||||
Glacier Bancorp, Inc. | 128 | 1,756 | ||||||
Ezcorp, Inc.* | 101 | 1,738 | ||||||
Financial Federal Corp. | 62 | 1,705 | ||||||
FNB Corp. | 250 | 1,697 | ||||||
Colonial Properties Trust | 143 | 1,677 | ||||||
Medical Properties Trust, Inc. | 165 | 1,650 | ||||||
United Bankshares, Inc. | 81 | 1,618 | ||||||
Prospect Capital Corp. | 136 | 1,606 | ||||||
Acadia Realty Trust | 92 | 1,552 | ||||||
First Financial Bancorp | 106 | 1,543 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 59 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
National Penn Bancshares, Inc. | 266 | $ | 1,540 | |||||
CVB Financial Corp. | 178 | 1,538 | ||||||
MGIC Investment Corp.* | 265 | 1,532 | ||||||
Artio Global Investors, Inc.* | 60 | 1,529 | ||||||
Pico Holdings, Inc.* | 46 | 1,506 | ||||||
American Capital Ltd.* | 613 | 1,496 | ||||||
NBT Bancorp, Inc. | 72 | 1,467 | ||||||
MF Global Holdings Ltd.* | 211 | 1,466 | ||||||
Investors Real Estate Trust | 162 | 1,458 | ||||||
Employers Holdings, Inc. | 95 | 1,457 | ||||||
optionsXpress Holdings, Inc. | 92 | 1,421 | ||||||
Greenlight Capital Re Ltd. — Class A* | 60 | 1,414 | ||||||
Provident Financial Services, Inc. | 131 | 1,395 | ||||||
Allied Capital Corp.* | 385 | 1,390 | ||||||
Wintrust Financial Corp. | 45 | 1,386 | ||||||
Navigators Group, Inc.* | 29 | 1,366 | ||||||
Brookline Bancorp, Inc. | 132 | 1,308 | ||||||
First Midwest Bancorp, Inc. | 120 | 1,307 | ||||||
Portfolio Recovery Associates, Inc.* | 29 | 1,302 | ||||||
Radian Group, Inc. | 178 | 1,301 | ||||||
Community Bank System, Inc. | 66 | 1,274 | ||||||
World Acceptance Corp.* | 35 | 1,254 | ||||||
Lexington Realty Trust | 206 | 1,252 | ||||||
Inland Real Estate Corp. | 153 | 1,247 | ||||||
U-Store-It Trust | 169 | 1,237 | ||||||
Cousins Properties, Inc. | 160 | 1,221 | ||||||
Infinity Property & Casualty Corp. | 30 | 1,219 | ||||||
LTC Properties, Inc. | 45 | 1,204 | ||||||
Chemical Financial Corp. | 50 | 1,179 | ||||||
DuPont Fabros Technology, Inc. | 64 | 1,151 | ||||||
Dollar Financial Corp.* | 48 | 1,136 | ||||||
Equity One, Inc. | 70 | 1,132 | ||||||
Susquehanna Bancshares, Inc. | 192 | 1,131 | ||||||
Texas Capital Bancshares, Inc.* | 81 | 1,131 | ||||||
Ocwen Financial Corp.* | 118 | 1,129 | ||||||
First Cash Financial Services, Inc.* | 50 | 1,110 | ||||||
PacWest Bancorp | 55 | 1,108 | ||||||
Investors Bancorp, Inc.* | 100 | 1,094 | ||||||
Safety Insurance Group, Inc. | 30 | 1,087 | ||||||
City Holding Co. | 33 | 1,067 | ||||||
Independent Bank Corp. | 51 | 1,065 | ||||||
GAMCO Investors, Inc. — Class A | 22 | 1,062 | ||||||
American Capital Agency Corp. | 40 | 1,062 | ||||||
Hilltop Holdings, Inc.* | 90 | 1,048 | ||||||
Horace Mann Educators Corp. | 82 | 1,025 | ||||||
PrivateBancorp, Inc. | 113 | 1,014 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Parkway Properties, Inc. | 48 | $ | 999 | |||||
Pinnacle Financial Partners, Inc.* | 70 | 995 | ||||||
TrustCo Bank Corp. | 156 | 983 | ||||||
Cathay General Bancorp | 130 | 982 | ||||||
MarketAxess Holdings, Inc. | 70 | 973 | ||||||
Simmons First National Corp. | 35 | 973 | ||||||
Columbia Banking Systems, Inc. | 60 | 971 | ||||||
Harleysville Group, Inc. | 30 | 954 | ||||||
Enstar Group* | 13 | 949 | ||||||
Sterling Bancshares, Inc. | 184 | 944 | ||||||
Getty Realty Corp. | 40 | 941 | ||||||
American Equity Investment Life Holding Co. | 125 | 930 | ||||||
S&T Bancorp, Inc. | 52 | 885 | ||||||
Park National Corp. | 15 | 883 | ||||||
Evercore Partners, Inc. — Class A | 29 | 882 | ||||||
Northwest Bancshares, Inc. | 77 | 872 | ||||||
Sun Communities, Inc. | 44 | 869 | ||||||
Boston Private Financial Holdings, Inc. | 149 | 860 | ||||||
Meadowbrook Insurance Group, Inc. | 116 | 858 | ||||||
United Fire & Casualty Co. | 47 | 857 | ||||||
eHealth, Inc.* | 52 | 854 | ||||||
Home Bancshares, Inc. | 35 | 842 | ||||||
Flagstone Reinsurance Holdings | 77 | 842 | ||||||
First Commonwealth Financial Corp. | 179 | 832 | ||||||
Hercules Technology Growth Capital, Inc. | 80 | 831 | ||||||
Maiden Holdings Ltd. | 111 | 813 | ||||||
Cohen & Steers, Inc. | 35 | 799 | ||||||
Riskmetrics Group, Inc.* | 50 | 796 | ||||||
Banco Latinoamericano de Comercio Exterior SA | 55 | 765 | ||||||
First Financial Corp. | 25 | 763 | ||||||
Fifth Street Finance Corp. | 71 | 763 | ||||||
Bank of the Ozarks, Inc. | 26 | 761 | ||||||
Nara Bancorp, Inc.* | 66 | 748 | ||||||
Renasant Corp. | 54 | 734 | ||||||
Community Trust Bancorp, Inc. | 30 | 734 | ||||||
Flushing Financial Corp. | 65 | 732 | ||||||
Walter Investment | ||||||||
Management Corp. | 51 | 731 | ||||||
National Financial Partners Corp.* | 90 | 728 | ||||||
SWS Group, Inc. | 60 | 726 | ||||||
SCBT Financial Corp. | 26 | 720 | ||||||
Amerisafe, Inc.* | 40 | 719 |
60 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
First Potomac Realty Trust | 57 | $ | 716 | |||||
Univest Corporation of | ||||||||
Pennsylvania | 40 | 701 | ||||||
Phoenix Companies, Inc.* | 251 | 698 | ||||||
Pennsylvania Real Estate | ||||||||
Investment Trust | 82 | 694 | ||||||
Nelnet, Inc. — Class A | 40 | 689 | ||||||
Bank Mutual Corp. | 99 | 685 | ||||||
Oppenheimer Holdings, Inc. — Class A | 20 | 664 | ||||||
Duff & Phelps Corp. — Class A | 36 | 657 | ||||||
Danvers Bancorp, Inc. | 50 | 650 | ||||||
Beneficial Mutual Bancorp, Inc.* | 66 | 649 | ||||||
Dime Community Bancshares | 55 | 645 | ||||||
GFI Group, Inc. | 137 | 626 | ||||||
Berkshire Hills Bancorp, Inc. | 30 | 620 | ||||||
WesBanco, Inc. | 50 | 617 | ||||||
Colony Financial, Inc. | 30 | 611 | ||||||
CNA Surety Corp.* | 41 | 610 | ||||||
United Community Banks, Inc.* | 180 | 610 | ||||||
SeaBright Insurance Holdings, Inc.* | 53 | 609 | ||||||
Tompkins Financial Corp. | 15 | 608 | ||||||
MCG Capital Corp.* | 140 | 605 | ||||||
Provident New York Bancorp | 71 | 599 | ||||||
United America Indemnity Ltd. — Class A* | 75 | 594 | ||||||
Education Realty Trust, Inc. | 122 | 590 | ||||||
Southside Bancshares, Inc. | 30 | 589 | ||||||
Citizens Banking Corp.* | 849 | 586 | ||||||
Westfield Financial, Inc. | 71 | 586 | ||||||
TradeStation Group, Inc.* | 74 | 584 | ||||||
FPIC Insurance Group, Inc.* | 15 | 579 | ||||||
Amtrust Financial Services, Inc. | 49 | 579 | ||||||
First Industrial Realty Trust, Inc.* | 110 | 575 | ||||||
Compass Diversified Trust | 45 | 574 | ||||||
Harleysville National Corp. | 89 | 573 | ||||||
Advance America Cash | ||||||||
Advance Centers, Inc. | 103 | 573 | ||||||
iStar Financial, Inc.* | 221 | 566 | ||||||
FBL Financial Group, Inc. — Class A | 30 | 556 | ||||||
Bancfirst Corp. | 15 | 556 | ||||||
State Auto Financial Corp. | 30 | 555 | ||||||
Ramco-Gershenson Properties Trust | 58 | 553 | ||||||
Capital Southwest Corp. | 7 | 552 | ||||||
Arrow Financial Corp. | 22 | 550 | ||||||
TowneBank | 47 | 549 | ||||||
Cedar Shopping Centers, Inc. | 80 | 544 |
MARKET | ||||||||
SHARES | VALUE | |||||||
MVC Capital, Inc. | 46 | $ | 543 | |||||
Territorial Bancorp, Inc.* | 30 | 542 | ||||||
Northfield Bancorp, Inc. | 40 | 541 | ||||||
Cypress Sharpridge | ||||||||
Investments, Inc. | 40 | 540 | ||||||
Urstadt Biddle Properties | 35 | 534 | ||||||
Cardinal Financial Corp. | 61 | 533 | ||||||
Ashford Hospitality Trust, Inc.* | 113 | 524 | ||||||
Oriental Financial Group | 48 | 518 | ||||||
American Physicians Capital, Inc. | 17 | 515 | ||||||
Ambac Financial Group, Inc.* | 621 | 515 | ||||||
Pennymac Mortgage | ||||||||
Investment Trust* | 30 | 515 | ||||||
Donegal Group, Inc. — Class A | 33 | 513 | ||||||
United Financial Bancorp, Inc. | 39 | 511 | ||||||
TriCo Bancshares | 30 | 500 | ||||||
Union Bankshares Corp. | 40 | 496 | ||||||
International Assets Holding Corp.* | 34 | 494 | ||||||
Camden National Corp. | 15 | 491 | ||||||
NorthStar Realty Finance Corp. | 143 | 490 | ||||||
Agree Realty Corp. | 21 | 489 | ||||||
Broadpoint Gleacher Securities, Inc.* | 109 | 486 | ||||||
FelCor Lodging Trust, Inc.* | 135 | 486 | ||||||
BGC Partners, Inc. — Class A | 104 | 480 | ||||||
Universal Health Realty Income Trust | 15 | 480 | ||||||
Home Federal Bancorp, Inc. | 36 | 479 | ||||||
CapLease, Inc. | 107 | 469 | ||||||
StellarOne Corp. | 47 | 468 | ||||||
Government Properties Income Trust | 20 | 460 | ||||||
Invesco Mortgage Capital, Inc. | 20 | 455 | ||||||
Safeguard Scientifics, Inc.* | 44 | 454 | ||||||
1st Source Corp. | 28 | 451 | ||||||
Lakeland Financial Corp. | 26 | 449 | ||||||
Suffolk Bancorp | 15 | 446 | ||||||
BankFinancial Corp. | 45 | 446 | ||||||
Citizens, Inc.* | 68 | 444 | ||||||
Capital City Bank Group, Inc. | 32 | 443 | ||||||
PMA Capital Corp.* | 70 | 441 | ||||||
Tejon Ranch Co.* | 15 | 438 | ||||||
WSFS Financial Corp. | 17 | 436 | ||||||
Encore Capital Group, Inc.* | 25 | 435 | ||||||
Heartland Financial USA, Inc. | 30 | 431 | ||||||
Great Southern Bancorp, Inc. | 20 | 427 | ||||||
Centerstate Banks of Florida, Inc. | 42 | 424 | ||||||
Credit Acceptance Corp.* | 10 | 421 | ||||||
CreXus Investment Corp.* | 30 | 419 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 61 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Kite Realty Group Trust | 102 | $ | 415 | |||||
Calamos Asset Management, Inc. — Class A | 36 | 415 | ||||||
First Mercury Financial Corp. | 30 | 411 | ||||||
Stewart Information Services Corp. | 36 | 406 | ||||||
SY Bancorp, Inc. | 19 | 406 | ||||||
First Bancorp | 29 | 405 | ||||||
Kearny Financial Corp. | 40 | 403 | ||||||
The PMI Group, Inc.* | 160 | 403 | ||||||
PennantPark Investment Corp. | 45 | 401 | ||||||
First Busey Corp. | 103 | 401 | ||||||
Pacific Continental Corp. | 35 | 400 | ||||||
First Community Bancshares, Inc. | 33 | 398 | ||||||
Monmouth Real Estate | ||||||||
Investment Corp. — Class A | 53 | 394 | ||||||
Gladstone Capital Corp. | 51 | 393 | ||||||
First Bancorp Puerto Rico | 170 | 391 | ||||||
NGP Capital Resources Co. | 48 | 390 | ||||||
Penson Worldwide Company, Inc.* | 43 | 390 | ||||||
Washington Trust Bancorp, Inc. | 25 | 390 | ||||||
Presidential Life Corp. | 42 | 384 | ||||||
Sandy Spring Bancorp, Inc. | 43 | 382 | ||||||
Republic Bancorp, Inc. | 18 | 371 | ||||||
Baldwind & Lyons, Inc. — Class B | 15 | 369 | ||||||
Westwood Holdings Group, Inc. | 10 | 363 | ||||||
Western Alliance Bancorp* | 96 | 363 | ||||||
Oceanfirst Financial Corp. | 32 | 362 | ||||||
Apollo Commercial Real | ||||||||
Estate Finance, Inc.* | 20 | 360 | ||||||
TICC Capital Corp. | 59 | 357 | ||||||
Main Street Capital Corp. | 22 | 355 | ||||||
Abington Bancorp, Inc. | 51 | 351 | ||||||
Consolidated-Tomoka Land Co. | 10 | 349 | ||||||
Orrstown Financial | ||||||||
Services, Inc. | 10 | 349 | ||||||
Glimcher Realty Trust | 128 | 346 | ||||||
Wilshire Bancorp, Inc. | 42 | 344 | ||||||
LaBranche & Company, Inc.* | 121 | 344 | ||||||
Cardtronics, Inc.* | 31 | 343 | ||||||
Avatar Holdings, Inc.* | 20 | 340 | ||||||
Eagle Bancorp, Inc.* | 32 | 335 | ||||||
Washington Banking Co. | 28 | 334 | ||||||
Cogdell Spencer, Inc. | 59 | 334 | ||||||
Hersha Hospitality Trust | 105 | 330 | ||||||
Saul Centers, Inc. | 10 | 328 | ||||||
Alliance Financial Corp. | 12 | 326 | ||||||
Bank of Marin Bancorp | 10 | 326 |
MARKET | ||||||||
SHARES | VALUE | |||||||
First Financial Holdings, Inc. | 25 | $ | 325 | |||||
Harris & Harris Group, Inc.* | 71 | 324 | ||||||
Penns Woods Bancorp, Inc. | 10 | 324 | ||||||
Tower Bancorp, Inc. | 14 | 320 | ||||||
CNB Financial Corp. | 20 | 320 | ||||||
Life Partners Holdings, Inc. | 15 | 318 | ||||||
ESSA Bancorp, Inc. | 27 | 316 | ||||||
Epoch Holding Corp. | 30 | 314 | ||||||
Century Bancorp, Inc. | 14 | 308 | ||||||
First Bancorp, Inc. | 20 | 308 | ||||||
US Global Investors, Inc. — Class A | 25 | 308 | ||||||
South Financial Group, Inc. | 469 | 302 | ||||||
Bryn Mawr Bank Corp. | 20 | 302 | ||||||
Kansas City Life Insurance Co. | 10 | 298 | ||||||
Strategic Hotels & Resorts, Inc.* | 159 | 296 | ||||||
JMP Group, Inc. | 30 | 292 | ||||||
ESB Financial Corp. | 22 | 291 | ||||||
American Safety Insurance | ||||||||
Holdings Ltd.* | 20 | 289 | ||||||
Citizens & Northern Corp. | 30 | 286 | ||||||
CoBiz Financial, Inc. | 60 | 285 | ||||||
First Marblehead Corp.* | 133 | 283 | ||||||
National Bankshares, Inc. | 10 | 283 | ||||||
Associated Estates Realty Corp. | 25 | 282 | ||||||
Sterling Bancorp | 39 | 278 | ||||||
Heritage Financial Corp. | 20 | 276 | ||||||
Bar Harbor Bankshares | 10 | 275 | ||||||
ViewPoint Financial Group | 19 | 274 | ||||||
First Merchants Corp. | 46 | 273 | ||||||
Winthrop Realty Trust | 25 | 272 | ||||||
Gladstone Commercial Corp. | 20 | 268 | ||||||
First Financial Northwest, Inc. | 40 | 262 | ||||||
Bancorp Rhode Island, Inc. | 10 | 257 | ||||||
BlackRock Kelso Capital Corp. | 30 | 256 | ||||||
First of Long Island Corp. | 10 | 253 | ||||||
Mission West Properties | 35 | 252 | ||||||
Care Investment Trust, Inc. | 32 | 249 | ||||||
NYMAGIC, Inc. | 15 | 249 | ||||||
China Housing & Land Development, Inc.* | 60 | 248 | ||||||
FBR Capital Markets Corp.* | 40 | 247 | ||||||
Medallion Financial Corp. | 30 | 245 | ||||||
Home Bancorp, Inc.* | 20 | 244 | ||||||
German American Bancorp | 15 | 244 | ||||||
Lakeland Bancorp, Inc. | 38 | 243 | ||||||
Triangle Capital Corp. | 20 | 242 | ||||||
Bridge Bancorp, Inc. | 10 | 240 | ||||||
Bancorp, Inc.* | 35 | 240 | ||||||
Metro Bancorp, Inc.* | 19 | 239 | ||||||
Gramercy Capital Corp.* | 91 | 236 | ||||||
NewStar Financial, Inc.* | 60 | 235 |
62 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Oritani Financial Corp. | 17 | $ | 233 | |||||
Ames National Corp. | 11 | 232 | ||||||
Sanders Morris Harris Group, Inc. | 42 | 231 | ||||||
American Physicians Service Group, Inc. | 10 | 231 | ||||||
Merchants Bancshares, Inc. | 10 | 226 | ||||||
First Defiance Financial Corp. | 20 | 226 | ||||||
Citizens Holding Co. | 10 | 224 | ||||||
Center Bancorp, Inc. | 25 | 223 | ||||||
Ohio Valley Banc Corp. | 10 | 220 | ||||||
American National Bankshares, Inc. | 10 | 219 | ||||||
Kayne Anderson Energy | ||||||||
Development Co. | 15 | 218 | ||||||
Shore Bancshares, Inc. | 15 | 217 | ||||||
Ameris Bancorp | 30 | 216 | ||||||
Southwest Bancorp, Inc. | 31 | 215 | ||||||
EMC Insurance Group, Inc. | 10 | 215 | ||||||
State Bancorp, Inc. | 30 | 213 | ||||||
Gladstone Investment Corp. | 46 | 210 | ||||||
Peoples Financial Corp. | 10 | 203 | ||||||
Auburn National Bancorporation, Inc. | 10 | 197 | ||||||
Peapack Gladstone Financial Corp. | 15 | 190 | ||||||
Bank of Kentucky Financial Corp. | 10 | 188 | ||||||
Clifton Savings Bancorp, Inc. | 20 | 187 | ||||||
Chicopee Bancorp, Inc.* | 15 | 187 | ||||||
NASB Financial, Inc. | 8 | 186 | ||||||
Roma Financial Corp. | 15 | 185 | ||||||
Santander BanCorp* | 15 | 184 | ||||||
Asset Acceptance Capital Corp.* | 27 | 183 | ||||||
Resource Capital Corp. | 37 | 182 | ||||||
Mercer Insurance Group, Inc. | 10 | 182 | ||||||
Cowen Group, Inc.* | 30 | 178 | ||||||
RAIT Financial Trust* | 135 | 177 | ||||||
Financial Institutions, Inc. | 15 | 177 | ||||||
Universal Insurance Holdings, Inc. | 30 | 176 | ||||||
Eastern Insurance Holdings, Inc. | 20 | 172 | ||||||
MainSource Financial Group, Inc. | 36 | 172 | ||||||
United Security Bancshares | 10 | 171 | ||||||
Enterprise Financial Services Corp. | 22 | 170 | ||||||
UMH Properties, Inc. | 20 | 170 | ||||||
Northrim BanCorp, Inc. | 10 | 169 | ||||||
Cape Bancorp, Inc.* | 25 | 168 | ||||||
Crawford & Co. — Class B* | 42 | 165 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Meridian Interstate Bancorp, Inc.* | 19 | $ | 165 | |||||
Peoples Bancorp, Inc. | 17 | 165 | ||||||
Kohlberg Capital Corp. | 36 | 164 | ||||||
Hallmark Financial Services, Inc.* | 20 | 159 | ||||||
Rockville Financial, Inc. | 15 | 158 | ||||||
First South Bancorp, Inc. | 15 | 155 | ||||||
Kentucky First Federal Bancorp | 14 | 154 | ||||||
Porter Bancorp, Inc. | 10 | 150 | ||||||
Smithtown Bancorp, Inc. | 25 | 149 | ||||||
West Bancorporation | 30 | 148 | ||||||
Legacy Bancorp, Inc. | 15 | 148 | ||||||
Guaranty Bancorp* | 110 | 145 | ||||||
Thomas Weisel Partners Group, Inc.* | 38 | 144 | ||||||
Virtus Investment Partners, Inc.* | 9 | 143 | ||||||
Midsouth Bancorp, Inc. | 10 | 139 | ||||||
Dynex Capital, Inc. | 15 | 131 | ||||||
CompuCredit Holdings Corp. | 39 | 130 | ||||||
Rewards Network, Inc. | 10 | 126 | ||||||
Primus Guaranty Ltd.* | 41 | 125 | ||||||
Pzena Investment Management, Inc. — Class A* | 15 | 122 | ||||||
National Interstate Corp. | 7 | 119 | ||||||
Old Second Bancorp, Inc. | 17 | 117 | ||||||
Yadkin Valley Financial Corp. | 32 | 117 | ||||||
Sun Bancorp, Inc.* | 31 | 116 | ||||||
Sierra Bancorp | 15 | 114 | ||||||
Banner Corp. | 41 | 110 | ||||||
Enterprise Bancorp, Inc. | 10 | 110 | ||||||
Resource America, Inc. — Class A | 27 | 109 | ||||||
Prudential Bancorp of | ||||||||
Pennsylvania, Inc. | 10 | 95 | ||||||
Republic First Bancorp, Inc.* | 22 | 94 | ||||||
Tree.com, Inc.* | 10 | 92 | ||||||
Pacific Capital Bancorp | 95 | 91 | ||||||
First Financial Service Corp. | 10 | 91 | ||||||
Central Pacific Financial Corp.* | 69 | 90 | ||||||
K-Fed Bancorp | 10 | 88 | ||||||
Flagstar Bancorp, Inc.* | 141 | 85 | ||||||
Farmers Capital Bank Corp. | 8 | 82 | ||||||
Fox Chase Bancorp, Inc.* | 8 | 76 | ||||||
Cheviot Financial Corp. | 10 | 74 | ||||||
First Acceptance Corp.* | 37 | 72 | ||||||
Wilber Corp. | 10 | 72 | ||||||
Sterling Savings Bank* | 106 | 66 | ||||||
Northeast Community Bancorp, Inc. | 10 | 66 | ||||||
Premierwest Bancorp | 45 | 64 | ||||||
Independence Holding Co. | 11 | 64 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 63 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
American Realty Investors, Inc.* | 5 | $ | 61 | |||||
Hampton Roads Bankshares, Inc. | 35 | 61 | ||||||
QC Holdings, Inc. | 12 | 58 | ||||||
Brooklyn Federal Bancorp, Inc. | 5 | 50 | ||||||
Waterstone Financial, Inc.* | 22 | 45 | ||||||
Doral Financial Corp.* | 10 | 36 | ||||||
First California Financial Group, Inc.* | 10 | 27 | ||||||
Total Financials | 403,820 | |||||||
INFORMATION TECHNOLOGY 10.1% | ||||||||
3Com Corp.* | 842 | 6,315 | ||||||
Solera Holdings, Inc. | 146 | 5,257 | ||||||
Skyworks Solutions, Inc.* | 356 | 5,052 | ||||||
Atheros Communications, Inc.* | 143 | 4,896 | ||||||
Informatica Corp.* | 186 | 4,810 | ||||||
Polycom, Inc.* | 175 | 4,370 | ||||||
Parametric Technology Corp.* | 253 | 4,134 | ||||||
Jack Henry & Associates, Inc. | 176 | 4,069 | ||||||
Concur Technologies, Inc.* | 88 | 3,762 | ||||||
TIBCO Software, Inc.* | 384 | 3,698 | ||||||
Palm, Inc.* | 358 | 3,594 | ||||||
Unisys Corp.* | 92 | 3,548 | ||||||
MercadoLibre, Inc.* | 60 | 3,112 | ||||||
Microsemi Corp.* | 175 | 3,106 | ||||||
Arris Group, Inc.* | 269 | 3,075 | ||||||
Blackboard, Inc.* | 66 | 2,996 | ||||||
Cybersource Corp.* | 148 | 2,976 | ||||||
CACI International, Inc. — Class A* | 60 | 2,931 | ||||||
Plantronics, Inc. | 111 | 2,884 | ||||||
Anixter International, Inc.* | 60 | 2,826 | ||||||
Riverbed Technology, Inc.* | 123 | 2,825 | ||||||
Rackspace Hosting, Inc.* | 135 | 2,815 | ||||||
ADTRAN, Inc. | 124 | 2,796 | ||||||
RF Micro Devices, Inc.* | 583 | 2,781 | ||||||
Veeco Instruments, Inc.* | 82 | 2,709 | ||||||
VeriFone Holdings, Inc.* | 163 | 2,670 | ||||||
Benchmark Electronics, Inc.* | 140 | 2,647 | ||||||
Plexus Corp.* | 91 | 2,594 | ||||||
Progress Software Corp.* | 88 | 2,571 | ||||||
Blue Coat Systems, Inc.* | 90 | 2,569 | ||||||
Wright Express Corp.* | 80 | 2,549 | ||||||
Tessera Technologies, Inc.* | 108 | 2,513 | ||||||
Mantech International Corp. — Class A* | 52 | 2,511 | ||||||
TiVo, Inc.* | 239 | 2,433 | ||||||
Quest Software, Inc.* | 131 | 2,410 | ||||||
Euronet Worldwide, Inc.* | 108 | 2,371 | ||||||
Ariba, Inc.* | 189 | 2,366 | ||||||
Fair Isaac Corp. | 111 | 2,365 | ||||||
Gartner, Inc. — Class A* | 131 | 2,363 | ||||||
Cymer, Inc.* | 60 | 2,303 | ||||||
Formfactor, Inc.* | 105 | 2,285 |
MARKET | ||||||||
SHARES | VALUE | |||||||
InterDigital, Inc.* | 85 | $ | 2,256 | |||||
AsiaInfo Holdings, Inc.* | 73 | 2,224 | ||||||
Commvault Systems, Inc.* | 93 | 2,203 | ||||||
Tekelec* | 141 | 2,154 | ||||||
Blackbaud, Inc. | 91 | 2,150 | ||||||
Comtech Telecommunications Corp.* | 61 | 2,138 | ||||||
Semtech Corp.* | 125 | 2,126 | ||||||
Digital River, Inc.* | 78 | 2,105 | ||||||
Synaptics, Inc.* | 68 | 2,084 | ||||||
Taleo Corp.* | 88 | 2,070 | ||||||
Acxiom Corp.* | 153 | 2,053 | ||||||
Lawson Software, Inc.* | 304 | 2,022 | ||||||
MAXIMUS, Inc. | 40 | 2,000 | ||||||
j2 Global Communications, Inc.* | 98 | 1,994 | ||||||
ViaSat, Inc.* | 62 | 1,970 | ||||||
Cavium Networks, Inc.* | 82 | 1,954 | ||||||
Triquint Semiconductor, Inc.* | 322 | 1,932 | ||||||
EarthLink, Inc. | 231 | 1,920 | ||||||
Emulex Corp.* | 176 | 1,918 | ||||||
Hittite Microwave Corp.* | 47 | 1,915 | ||||||
MKS Instruments, Inc.* | 110 | 1,915 | ||||||
ValueClick, Inc.* | 189 | 1,913 | ||||||
FEI Co.* | 81 | 1,892 | ||||||
Netlogic Microsystems, Inc.* | 40 | 1,850 | ||||||
GSI Commerce, Inc.* | 71 | 1,803 | ||||||
SRA International, Inc. — Class A* | 93 | 1,776 | ||||||
Mentor Graphics Corp.* | 199 | 1,757 | ||||||
Websense, Inc.* | 100 | 1,746 | ||||||
Take-Two Interactive Software, Inc.* | 171 | 1,719 | ||||||
Cabot Microelectronics Corp.* | 52 | 1,714 | ||||||
Monolithic Power | ||||||||
Systems, Inc.* | 71 | 1,702 | ||||||
Intermec, Inc.* | 132 | 1,698 | ||||||
Amkor Technology, Inc.* | 235 | 1,683 | ||||||
SuccessFactors, Inc.* | 100 | 1,658 | ||||||
Power Integrations, Inc. | 45 | 1,636 | ||||||
Littelfuse, Inc.* | 50 | 1,608 | ||||||
Infinera Corp.* | 181 | 1,605 | ||||||
Scansource, Inc.* | 60 | 1,602 | ||||||
DealerTrack Holdings, Inc.* | 84 | 1,578 | ||||||
Netgear, Inc.* | 72 | 1,562 | ||||||
OmniVision Technologies, Inc.* | 106 | 1,540 | ||||||
CSG Systems International, Inc.* | 80 | 1,527 | ||||||
Diodes, Inc.* | 74 | 1,513 | ||||||
Cognex Corp. | 85 | 1,506 | ||||||
Ultimate Software Group, Inc.* | 51 | 1,498 | ||||||
Sapient Corp.* | 181 | 1,497 | ||||||
Entegris, Inc.* | 282 | 1,489 |
64 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
JDA Software Group, Inc.* | 58 | $ | 1,477 | |||||
TeleTech Holdings, Inc.* | 72 | 1,442 | ||||||
Rofin-Sinar Technologies, Inc.* | 60 | 1,417 | ||||||
MicroStrategy, Inc. — Class A* | 15 | 1,410 | ||||||
Tyler Technologies, Inc.* | 69 | 1,374 | ||||||
DTS, Inc. — Class A* | 40 | 1,368 | ||||||
Coherent, Inc.* | 46 | 1,368 | ||||||
Electronics for Imaging, Inc.* | 105 | 1,366 | ||||||
Net 1 UEPS Technologies, Inc.* | 70 | 1,359 | ||||||
Sourcefire, Inc.* | 50 | 1,338 | ||||||
Aruba Networks, Inc.* | 125 | 1,333 | ||||||
Quantum Corp.* | 452 | 1,324 | ||||||
ADC Telecommunications, Inc.* | 213 | 1,323 | ||||||
United Online, Inc. | 182 | 1,309 | ||||||
ACI Worldwide, Inc.* | 76 | 1,303 | ||||||
Harmonic, Inc.* | 205 | 1,298 | ||||||
TNS, Inc.* | 50 | 1,285 | ||||||
Zoran Corp.* | 114 | 1,260 | ||||||
ATMI, Inc.* | 67 | 1,248 | ||||||
Art Technology Group, Inc.* | 273 | 1,231 | ||||||
SYNNEX Corp.* | 40 | 1,226 | ||||||
Ceckpoint Systems, Inc.* | 79 | 1,205 | ||||||
L-1 Identity Solutions, Inc.* | 159 | 1,191 | ||||||
Brooks Automation, Inc.* | 136 | 1,167 | ||||||
SAVVIS, Inc.* | 83 | 1,166 | ||||||
Insight Enterprises, Inc.* | 101 | 1,153 | ||||||
DG FastChannel, Inc.* | 41 | 1,145 | ||||||
Black Box Corp. | 40 | 1,134 | ||||||
Advent Software, Inc.* | 27 | 1,100 | ||||||
Heartland Payment | ||||||||
Systems, Inc. | 83 | 1,090 | ||||||
Manhattan Associates, Inc.* | 45 | 1,081 | ||||||
TTM Technologies, Inc.* | 92 | 1,061 | ||||||
Park Electrochemical Corp. | 38 | 1,050 | ||||||
Standard Microsystems Corp.* | 50 | 1,039 | ||||||
Applied Micro Circuits Corp.* | 139 | 1,038 | ||||||
MTS Systems Corp. | 36 | 1,035 | ||||||
EPIQ Systems, Inc.* | 73 | 1,021 | ||||||
Pegasystems, Inc. | 30 | 1,020 | ||||||
NIC, Inc. | 111 | 1,015 | ||||||
Advanced Energy Industries, | ||||||||
Inc.* | 67 | 1,010 | ||||||
ArcSight, Inc.* | 39 | 998 | ||||||
Netezza Corp.* | 101 | 980 | ||||||
ModusLink Global Solutions, | ||||||||
Inc.* | 103 | 969 | ||||||
Cirrus Logic, Inc.* | 140 | 955 | ||||||
Syntel, Inc. | 25 | 951 | ||||||
Sonus Networks, Inc.* | 447 | 943 | ||||||
Volterra Semiconductor Corp.* | 49 | 937 | ||||||
Acme Packet, Inc.* | 84 | 924 | ||||||
Harris Stratex Networks, | ||||||||
Inc. — Class A* | 133 | 919 | ||||||
Rogers Corp.* | 30 | 909 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Compellent Technologies, | ||||||||
Inc.* | 40 | $ | 907 | |||||
RightNow Technologies, Inc.* | 51 | 886 | ||||||
Cogent, Inc.* | 85 | 883 | ||||||
SonicWALL, Inc.* | 116 | 883 | ||||||
Sycamore Networks, Inc. | 42 | 878 | ||||||
Terremark Worldwide, Inc.* | 128 | 876 | ||||||
Adaptec, Inc.* | 255 | 854 | ||||||
TeleCommunication Systems, | ||||||||
Inc. — Class A* | 88 | 852 | ||||||
Micrel, Inc. | 103 | 845 | ||||||
Echelon Corp.* | 73 | 844 | ||||||
Bottomline Technologies, Inc.* | 48 | 843 | ||||||
IPG Photonics Corp.* | 50 | 837 | ||||||
Forrester Research, Inc.* | 32 | 830 | ||||||
Maxwell Technologies, Inc.* | 46 | 821 | ||||||
OSI Systems, Inc.* | 30 | 818 | ||||||
Avid Technology, Inc.* | 63 | 804 | ||||||
Brightpoint, Inc.* | 108 | 794 | ||||||
Kulicke & Soffa Industries, Inc.* | 147 | 792 | ||||||
comScore, Inc.* | 45 | 790 | ||||||
Universal Display Corp.* | 63 | 779 | ||||||
FARO Technologies, Inc.* | 36 | 772 | ||||||
Epicor Software Corp.* | 101 | 770 | ||||||
Newport Corp.* | 83 | 763 | ||||||
Netscout Systems, Inc.* | 52 | 761 | ||||||
THQ, Inc.* | 151 | 761 | ||||||
Stratasys, Inc.* | 44 | 760 | ||||||
SolarWinds, Inc.* | 33 | 759 | ||||||
Sigma Designs, Inc.* | 70 | 749 | ||||||
Vocus, Inc.* | 41 | 738 | ||||||
STEC, Inc.* | 45 | 735 | ||||||
Ebix, Inc.* | 15 | 732 | ||||||
S1 Corp.* | 112 | 730 | ||||||
Constant Contact, Inc.* | 45 | 720 | ||||||
CTS Corp. | 74 | 712 | ||||||
Switch and Data Facilities.* | 35 | 707 | ||||||
Oplink Communications, Inc.* | 43 | 705 | ||||||
Cass Information Systems, Inc. | 23 | 699 | ||||||
Methode Electronics, | ||||||||
Inc. — Class A | 80 | 694 | ||||||
InfoSpace, Inc.* | 81 | 694 | ||||||
Lattice Semiconductor Corp.* | 253 | 683 | ||||||
RealNetworks, Inc.* | 184 | 683 | ||||||
3PAR, Inc.* | 57 | 675 | ||||||
Ultratech, Inc.* | 45 | 669 | ||||||
China Security & Surveillance | ||||||||
Technology, Inc.* | 87 | 665 | ||||||
The Knot, Inc.* | 66 | 665 | ||||||
Cohu, Inc. | 47 | 656 | ||||||
Actel Corp.* | 55 | 653 | ||||||
Daktronics, Inc. | 70 | 645 | ||||||
NetSuite, Inc.* | 40 | 639 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 65 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Synchronoss Technologies, | ||||||||
Inc.* | 40 | $ | 632 | |||||
LivePerson, Inc.* | 90 | 627 | ||||||
Kenexa Corp. — Class A* | 47 | 613 | ||||||
Pericom Semiconductor | ||||||||
Corp.* | 53 | 611 | ||||||
Rubicon Technology, Inc.* | 30 | 609 | ||||||
Intevac, Inc.* | 53 | 608 | ||||||
Kopin Corp.* | 145 | 606 | ||||||
Radiant Systems, Inc.* | 58 | 603 | ||||||
Supertex, Inc.* | 20 | 596 | ||||||
Electro Scientific Industries, | ||||||||
Inc.* | 55 | 595 | ||||||
Global Cash Access Holdings, | ||||||||
Inc.* | 79 | 592 | ||||||
Anadigics, Inc.* | 140 | 591 | ||||||
ShoreTel, Inc.* | 102 | 590 | ||||||
infoGROUP, Inc.* | 73 | 585 | ||||||
Exar Corp.* | 81 | 576 | ||||||
i2 Technologies, Inc.* | 30 | 574 | ||||||
Smith Micro Software, Inc.* | 62 | 567 | ||||||
Novatel Wireless, Inc.* | 71 | 566 | ||||||
Ceva, Inc.* | 44 | 566 | ||||||
Comverge, Inc.* | 50 | 562 | ||||||
Extreme Networks, Inc.* | 193 | 554 | ||||||
Move, Inc.* | 333 | 553 | ||||||
Multi-Fineline Electronix, Inc.* | 19 | 539 | ||||||
Loral Space & Communications, | ||||||||
Inc.* | 17 | 537 | ||||||
Super Micro Computer, Inc.* | 48 | 534 | ||||||
Fortinet, Inc.* | 30 | 527 | ||||||
Ixia* | 70 | 521 | ||||||
Hughes Communications, Inc.* | 20 | 521 | ||||||
MoneyGram International, Inc.* | 181 | 519 | ||||||
Internap Network Services | ||||||||
Corp.* | 110 | 517 | ||||||
Utstarcom, Inc.* | 235 | 515 | ||||||
Perficient, Inc.* | 60 | 506 | ||||||
Ciber, Inc.* | 146 | 504 | ||||||
Internet Capital Group, Inc.* | 75 | 499 | ||||||
Interactive Intelligence, Inc.* | 27 | 498 | ||||||
Radisys Corp.* | 52 | 497 | ||||||
Mercury Computer Systems, | ||||||||
Inc.* | 45 | 495 | ||||||
iGate Corp. | 49 | 490 | ||||||
Seachange International, Inc.* | 74 | 486 | ||||||
Electro Rent Corp. | 42 | 485 | ||||||
Symmetricom, Inc.* | 93 | 484 | ||||||
Imation Corp.* | 55 | 480 | ||||||
Digi International, Inc.* | 52 | 474 | ||||||
Smart Modular Technologies, | ||||||||
Inc.* | 75 | 472 | ||||||
Rudolph Technologies, Inc.* | 70 | 470 | ||||||
Photronics, Inc.* | 105 | 467 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Internet Brands, Inc. — Class A* | 58 | $ | 454 | |||||
Exlservice Holdings, Inc.* | 25 | 454 | ||||||
Silicon Storage Technology, | ||||||||
Inc.* | 173 | 443 | ||||||
Actuate Corp.* | 103 | 441 | ||||||
Cray, Inc.* | 68 | 437 | ||||||
MIPS Technology, Inc.* | 99 | 433 | ||||||
Monotype Imaging Holdings, | ||||||||
Inc.* | 47 | 424 | ||||||
Silicon Graphics International | ||||||||
Corp.* | 60 | 421 | ||||||
Silicon Image, Inc.* | 162 | 418 | ||||||
Openwave Systems, Inc.* | 182 | 415 | ||||||
PROS Holdings, Inc.* | 40 | 414 | ||||||
Archipelago Learning, Inc.* | 20 | 414 | ||||||
Techwell, Inc.* | 31 | 409 | ||||||
Symyx Technologies, Inc.* | 74 | 407 | ||||||
Double-Take Software, Inc.* | 40 | 400 | ||||||
LogMeIn, Inc.* | 20 | 399 | ||||||
IXYS Corp.* | 53 | 393 | ||||||
Anaren, Inc.* | 26 | 391 | ||||||
Globecomm Systems, Inc.* | 50 | 391 | ||||||
Web.com Group, Inc.* | 59 | 385 | ||||||
DivX, Inc.* | 68 | 384 | ||||||
Isilon Systems, Inc.* | 55 | 377 | ||||||
EMS Technologies, Inc.* | 26 | 377 | ||||||
Technitrol, Inc. | 85 | 372 | ||||||
NVE Corp.* | 9 | 372 | ||||||
China Information Security | ||||||||
Technology, Inc.* | 60 | 370 | ||||||
KVH Industries, Inc.* | 25 | 369 | ||||||
Ness Technologies, Inc.* | 75 | 368 | ||||||
Powerwave Technologies, Inc.* | 289 | 364 | ||||||
Advanced Analogic | ||||||||
Technologies, Inc.* | 92 | 362 | ||||||
DemandTec, Inc.* | 41 | 360 | ||||||
LoopNet, Inc.* | 36 | 358 | ||||||
Airvana, Inc.* | 47 | 357 | ||||||
Cogo Group, Inc.* | 48 | 354 | ||||||
Vasco Data Security | ||||||||
International* | 56 | 351 | ||||||
Keynote Systems, Inc. | 32 | 349 | ||||||
Liquidity Services, Inc.* | 34 | 342 | ||||||
Opnet Technologies, Inc. | 27 | 329 | ||||||
Integral Systems, Inc.* | 38 | 329 | ||||||
Bel Fuse, Inc. — Class B | 15 | 322 | ||||||
Entropic Communications, | ||||||||
Inc.* | 105 | 322 | ||||||
Tier Technologies, | ||||||||
Inc. — Class B* | 40 | 320 | ||||||
Deltek, Inc.* | 41 | 319 | ||||||
NCI, Inc.* | 11 | 304 | ||||||
Measurement Specialties, Inc.* | 30 | 302 | ||||||
Rimage Corp.* | 17 | 295 |
66 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
FalconStor Software, Inc.* | 71 | $ | 288 | |||||
Spectrum Control, Inc.* | 30 | 284 | ||||||
Immersion Corp.* | 62 | 283 | ||||||
Agilysys, Inc. | 31 | 282 | ||||||
American Software, | ||||||||
Inc. — Class A | 47 | 282 | ||||||
Ancestry.com, Inc.* | 20 | 280 | ||||||
Limelight Networks, Inc.* | 71 | 279 | ||||||
Innodata Isogen, Inc.* | 50 | 277 | ||||||
Support.com, Inc.* | 104 | 275 | ||||||
Virtusa Corp.* | 30 | 272 | ||||||
Lionbridge Technologies, Inc.* | 116 | 267 | ||||||
BigBand Networks, Inc.* | 77 | 265 | ||||||
Trident Microsystems, Inc.* | 140 | 260 | ||||||
PLX Technology, Inc.* | 80 | 258 | ||||||
Network Equipment Technologies, | ||||||||
Inc.* | 63 | 255 | ||||||
OpenTable, Inc.* | 10 | 255 | ||||||
DSP Group, Inc.* | 45 | 253 | ||||||
Microtune, Inc.* | 111 | 251 | ||||||
Zix Corp.* | 142 | 243 | ||||||
ActivIdentity Corp.* | 103 | 242 | ||||||
Startek, Inc.* | 32 | 239 | ||||||
PC-Tel, Inc.* | 40 | 237 | ||||||
Online Resources Corp.* | 45 | 237 | ||||||
White Electronics Designs | ||||||||
Corp.* | 50 | 234 | ||||||
Unica Corp.* | 30 | 233 | ||||||
Computer Task Group, Inc.* | 29 | 232 | ||||||
Phoenix Technologies Ltd.* | 84 | 231 | ||||||
GSE Systems, Inc.* | 42 | 230 | ||||||
Virage Logic Corp.* | 41 | 226 | ||||||
Hackett Group, Inc.* | 81 | 225 | ||||||
ICx Technologies, Inc.* | 23 | 219 | ||||||
Saba Software, Inc.* | 52 | 215 | ||||||
Marchex, Inc. | 42 | 213 | ||||||
Dynamics Research Corp.* | 20 | 212 | ||||||
CPI International, Inc.* | 15 | 199 | ||||||
Zygo Corp.* | 28 | 188 | ||||||
Dice Holdings, Inc.* | 28 | 183 | ||||||
QAD, Inc. | 30 | 183 | ||||||
SRS Labs, Inc.* | 25 | 183 | ||||||
Callidus Software, Inc.* | 60 | 181 | ||||||
Rosetta Stone, Inc.* | 10 | 180 | ||||||
Chordiant Software, Inc.* | 65 | 179 | ||||||
Emcore Corp.* | 164 | 175 | ||||||
Renaissance Learning, Inc. | 15 | 170 | ||||||
ePlus, Inc.* | 10 | 165 | ||||||
Pervasive Software, Inc.* | 34 | 164 | ||||||
China TransInfo Technology | ||||||||
Corp.* | 20 | 163 | ||||||
GSI Technology, Inc.* | 35 | 157 | ||||||
DDi Corp.* | 30 | 147 | ||||||
Parkervision, Inc.* | 80 | 146 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Information Services Group, | ||||||||
Inc.* | 45 | $ | 143 | |||||
TechTarget, Inc.* | 25 | 141 | ||||||
X-Rite, Inc.* | 63 | 137 | ||||||
Echo Global Logistics, Inc.* | 10 | 127 | ||||||
Communications Systems, Inc. | 10 | 124 | ||||||
Travelzoo, Inc.* | 10 | 123 | ||||||
Opnext, Inc.* | 64 | 122 | ||||||
Imergent, Inc. | 20 | 121 | ||||||
Ipass, Inc.* | 112 | 116 | ||||||
PAR Technology Corp.* | 20 | 116 | ||||||
PC Connection, Inc.* | 17 | 115 | ||||||
eLoyalty Corp.* | 15 | 103 | ||||||
RAE Systems, Inc.* | 93 | 102 | ||||||
MEMSIC, Inc.* | 31 | 102 | ||||||
PC Mall, Inc.* | 19 | 99 | ||||||
Total Information Technology | 368,179 | |||||||
INDUSTRIALS 8.6% | ||||||||
UAL Corp.* | 360 | 4,648 | ||||||
Watson Wyatt Worldwide, Co.* | 92 | 4,372 | ||||||
Regal-Beloit Corp. | 84 | 4,363 | ||||||
Nordson Corp. | 68 | 4,160 | ||||||
GrafTech International Ltd.* | 257 | 3,996 | ||||||
American Superconductor | ||||||||
Corp.* | 94 | 3,845 | ||||||
EMCOR Group, Inc.* | 141 | 3,793 | ||||||
Clarcor, Inc. | 107 | 3,471 | ||||||
Tetra Tech, Inc.* | 126 | 3,423 | ||||||
Woodward Governor Co. | 128 | 3,299 | ||||||
Acuity Brands, Inc. | 92 | 3,279 | ||||||
Curtiss-Wright Corp. | 101 | 3,163 | ||||||
Watsco, Inc. | 63 | 3,086 | ||||||
Teledyne Technologies, Inc.* | 80 | 3,069 | ||||||
Clean Harbors, Inc.* | 51 | 3,040 | ||||||
Brady Corp. — Class A | 101 | 3,031 | ||||||
JetBlue Airways Corp.* | 549 | 2,992 | ||||||
Avis Budget Group, Inc.* | 222 | 2,913 | ||||||
Baldor Electric Co. | 101 | 2,837 | ||||||
Alaska Air Group, Inc.* | 82 | 2,834 | ||||||
HNI Corp. | 102 | 2,818 | ||||||
Actuant Corp. — Class A | 150 | 2,779 | ||||||
Moog, Inc. — Class A* | 95 | 2,777 | ||||||
Hexcel Corp.* | 209 | 2,713 | ||||||
MPS Group, Inc.* | 196 | 2,693 | ||||||
Kaydon Corp. | 72 | 2,575 | ||||||
United Stationers, Inc.* | 45 | 2,558 | ||||||
Genesee & Wyoming, | ||||||||
Inc. — Class A* | 76 | 2,481 | ||||||
Geo Group, Inc.* | 111 | 2,429 | ||||||
Granite Construction, Inc. | 72 | 2,424 | ||||||
Esterline Technologies Corp.* | 57 | 2,324 | ||||||
Knight Transportation, Inc. | 118 | 2,276 | ||||||
HUB Group, Inc. — Class A* | 84 | 2,254 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 67 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
A.O. Smith Corp. | 51 | $ | 2,213 | |||||
Resources Connection, Inc.* | 102 | 2,164 | ||||||
ESCO Technologies, Inc. | 60 | 2,151 | ||||||
ABM Industries, Inc. | 103 | 2,128 | ||||||
Heico Corp. | 48 | 2,128 | ||||||
Simpson Manufacturing | ||||||||
Company, Inc. | 79 | 2,124 | ||||||
Briggs & Stratton Corp. | 113 | 2,114 | ||||||
Mueller Industries, Inc. | 84 | 2,087 | ||||||
Belden, Inc. | 95 | 2,082 | ||||||
Applied Industrial Technologies, Inc. | 92 | 2,030 | ||||||
SkyWest, Inc. | 118 | 1,997 | ||||||
Healthcare Services Group, | ||||||||
Inc. | 91 | 1,953 | ||||||
Watts Industries, | ||||||||
Inc. — Class A | 63 | 1,948 | ||||||
Triumph Group, Inc. | 40 | 1,930 | ||||||
Otter Tail Power Co. | 77 | 1,910 | ||||||
Insituform Technologies, | ||||||||
Inc. — Class A* | 83 | 1,886 | ||||||
Orbital Sciences Corp.* | 123 | 1,877 | ||||||
Herman Miller, Inc. | 117 | 1,870 | ||||||
Middleby Corp.* | 38 | 1,863 | ||||||
Atlas Air Worldwide Holdings, | ||||||||
Inc.* | 50 | 1,862 | ||||||
EnerSys* | 85 | 1,859 | ||||||
AAR Corp.* | 80 | 1,838 | ||||||
Old Dominion Freight Line, | ||||||||
Inc.* | 58 | 1,781 | ||||||
SYKES Enterprises, Inc.* | 68 | 1,732 | ||||||
Mueller Water Products, | ||||||||
Inc. — Class A | 331 | 1,721 | ||||||
Heartland Express, Inc. | 112 | 1,710 | ||||||
Barnes Group, Inc. | 101 | 1,707 | ||||||
US Airways Group, Inc.* | 352 | 1,704 | ||||||
Werner Enterprises, Inc. | 85 | 1,682 | ||||||
Rollins, Inc. | 87 | 1,677 | ||||||
CoStar Group, Inc.* | 40 | 1,671 | ||||||
American Science & | ||||||||
Engineering, Inc. | 22 | 1,668 | ||||||
Korn/Ferry International* | 101 | 1,666 | ||||||
II-VI, Inc.* | 52 | 1,654 | ||||||
Navigant Consulting, Inc.* | 111 | 1,649 | ||||||
Mine Safety Appliances Co. | 62 | 1,645 | ||||||
Corporate Executive Board Co. | 71 | 1,620 | ||||||
Deluxe Corp. | 109 | 1,612 | ||||||
Beacon Roofing Supply, Inc.* | 100 | 1,600 | ||||||
Forward Air Corp. | 62 | 1,553 | ||||||
Arkansas Best Corp. | 52 | 1,530 | ||||||
AirTran Holdings, Inc.* | 289 | 1,509 | ||||||
Franklin Electric Company, Inc. | 50 | 1,454 | ||||||
Dollar Thrifty Automotive | ||||||||
Group, Inc.* | 56 | 1,434 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Allegiant Travel Co.* | 30 | $ | 1,415 | |||||
Kaman Corp. — Class A | 61 | 1,408 | ||||||
Robbins & Myers, Inc. | 59 | 1,388 | ||||||
EnergySolutions, Inc. | 162 | 1,375 | ||||||
Quanex Building Products | ||||||||
Corp. | 81 | 1,375 | ||||||
Universal Forest Products, Inc. | 37 | 1,362 | ||||||
TrueBlue, Inc.* | 90 | 1,333 | ||||||
Mastec, Inc.* | 106 | 1,325 | ||||||
United Rentals, Inc.* | 133 | 1,305 | ||||||
Orion Marine Group, Inc.* | 61 | 1,285 | ||||||
Heidrick & Struggles | ||||||||
International, Inc. | 41 | 1,281 | ||||||
Lindsay Manufacturing Co. | 32 | 1,275 | ||||||
Ameron International Corp. | 20 | 1,269 | ||||||
Genco Shipping & Trading | ||||||||
Ltd.* | 56 | 1,253 | ||||||
Albany International | ||||||||
Corp. — Class A | 55 | 1,235 | ||||||
Cubic Corp. | 33 | 1,231 | ||||||
RBC Bearings, Inc.* | 50 | 1,216 | ||||||
Interline Brands, Inc.* | 70 | 1,209 | ||||||
Layne Christensen Co.* | 41 | 1,177 | ||||||
Ceradyne, Inc.* | 60 | 1,153 | ||||||
McGrath Rentcorp | 51 | 1,140 | ||||||
EnPro Industries, Inc.* | 43 | 1,136 | ||||||
GeoEye, Inc.* | 40 | 1,115 | ||||||
Griffon Corp.* | 91 | 1,112 | ||||||
Energy Conversion Devices, | ||||||||
Inc.* | 103 | 1,089 | ||||||
K-Tron International, Inc.* | 10 | 1,087 | ||||||
Administaff, Inc. | 46 | 1,085 | ||||||
Mobile Mini, Inc.* | 77 | 1,085 | ||||||
Tutor Perini Corp.* | 60 | 1,085 | ||||||
Astec Industries, Inc.* | 40 | 1,078 | ||||||
John Bean Technologies Corp. | 63 | 1,072 | ||||||
Ennis, Inc. | 63 | 1,058 | ||||||
Cenveo, Inc.* | 120 | 1,050 | ||||||
Huron Consulting Group, Inc.* | 45 | 1,037 | ||||||
Knoll, Inc. | 100 | 1,033 | ||||||
G & K Services, Inc. — Class A | 41 | 1,030 | ||||||
Chart Industries, Inc.* | 62 | 1,026 | ||||||
Tredegar Corp. | 64 | 1,012 | ||||||
Gibraltar Industries, Inc.* | 64 | 1,007 | ||||||
Aircastle Ltd. | 102 | 1,005 | ||||||
ATC Technology Corp.* | 42 | 1,002 | ||||||
Badger Meter, Inc. | 25 | 995 | ||||||
AZZ, Inc.* | 30 | 981 | ||||||
Steelcase, Inc. — Class A | 151 | 960 | ||||||
Advisory Board Co.* | 31 | 950 | ||||||
Comfort Systems USA, Inc. | 77 | 950 | ||||||
Tennant Co. | 36 | 943 | ||||||
School Specialty, Inc.* | 40 | 936 | ||||||
Circor International, Inc. | 37 | 932 |
68 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Interface, Inc. — Class A | 111 | $ | 922 | |||||
Apogee Enterprises, Inc. | 63 | 882 | ||||||
M&F Worldwide Corp.* | 22 | 869 | ||||||
Rush Enterprises, | ||||||||
Inc. — Class A* | 73 | 868 | ||||||
Encore Wire Corp. | 41 | 864 | ||||||
Raven Industries, Inc. | 27 | 858 | ||||||
ACCO Brands Corp.* | 115 | 837 | ||||||
Exponent, Inc.* | 30 | 835 | ||||||
Gorman-Rupp Co. | 30 | 829 | ||||||
Michael Baker Corp.* | 20 | 828 | ||||||
Aerovironment, Inc.* | 28 | 814 | ||||||
Force Protection, Inc.* | 154 | 802 | ||||||
Amerco, Inc.* | 16 | 796 | ||||||
Sun Hydraulics Corp. | 30 | 787 | ||||||
Blount International, Inc.* | 76 | 768 | ||||||
RSC Holdings, Inc.* | 109 | 767 | ||||||
EnerNOC, Inc.* | 25 | 760 | ||||||
Gencorp, Inc.* | 108 | 756 | ||||||
Hawaiian Holdings, Inc.* | 108 | 756 | ||||||
Altra Holdings, Inc.* | 61 | 753 | ||||||
Power-One, Inc.* | 173 | 753 | ||||||
Kforce, Inc.* | 60 | 750 | ||||||
Kelly Services, Inc. — Class A* | 61 | 728 | ||||||
MYR Group, Inc.* | 40 | 723 | ||||||
Viad Corp. | 35 | 722 | ||||||
DynCorp International, | ||||||||
Inc. — Class A* | 50 | 717 | ||||||
DigitalGlobe, Inc.* | 29 | 702 | ||||||
American Ecology Corp. | 40 | 682 | ||||||
Ener1, Inc.* | 107 | 678 | ||||||
Team, Inc.* | 36 | 677 | ||||||
CBIZ, Inc.* | 87 | 670 | ||||||
Federal Signal Corp. | 111 | 668 | ||||||
Consolidated Graphics, Inc.* | 19 | 665 | ||||||
Acacia Research* | 73 | 665 | ||||||
Dynamic Materials Corp. | 33 | 662 | ||||||
Eagle Bulk Shipping, Inc.* | 133 | 658 | ||||||
Titan International, Inc. | 81 | 657 | ||||||
LB Foster Co. — Class A* | 22 | 656 | ||||||
Argon ST, Inc.* | 30 | 652 | ||||||
Standex International Corp. | 32 | 643 | ||||||
Freightcar America, Inc. | 32 | 635 | ||||||
Powell Industries, Inc.* | 20 | 631 | ||||||
Kimball International, | ||||||||
Inc. — Class B | 74 | 630 | ||||||
Dycom Industries, Inc.* | 78 | 626 | ||||||
Evergreen Solar, Inc.* | 411 | 621 | ||||||
Spherion Corp.* | 110 | 618 | ||||||
Microvision, Inc.* | 194 | 615 | ||||||
CRA International, Inc.* | 23 | 613 | ||||||
RailAmerica, Inc.* | 50 | 610 | ||||||
FuelCell Energy, Inc.* | 160 | 602 |
MARKET | ||||||||
SHARES | VALUE | |||||||
H&E Equipment Services, Inc.* | 57 | $ | 598 | |||||
Sterling Construction | ||||||||
Company, Inc.* | 30 | 575 | ||||||
Broadwind Energy, Inc.* | 71 | 574 | ||||||
On Assignment, Inc.* | 80 | 572 | ||||||
Great Lakes Dredge & | ||||||||
Dock Co. | 86 | 557 | ||||||
American Reprographics Co.* | 79 | 554 | ||||||
Taser International, Inc.* | 125 | 547 | ||||||
Polypore International, Inc.* | 46 | 547 | ||||||
Columbus McKinnon | ||||||||
Corp. — Class A* | 40 | 546 | ||||||
AAON, Inc. | 28 | 546 | ||||||
Colfax Corp.* | 45 | 542 | ||||||
Bowne & Company, Inc. | 81 | 541 | ||||||
Applied Signal Technology, | ||||||||
Inc. | 28 | 540 | ||||||
Republic Airways Holdings, | ||||||||
Inc.* | 73 | 539 | ||||||
Northwest Pipe Co.* | 20 | 537 | ||||||
Marten Transport Ltd.* | 29 | 521 | ||||||
Insteel Industries, Inc. | 40 | 520 | ||||||
Harbin Electric, Inc.* | 25 | 513 | ||||||
Kadant, Inc.* | 32 | 511 | ||||||
Celadon Group, Inc.* | 46 | 499 | ||||||
NACCO Industries, | ||||||||
Inc. — Class A | 10 | 498 | ||||||
Advanced Battery | ||||||||
Technologies, Inc.* | 123 | 492 | ||||||
Trex Company, Inc.* | 25 | 490 | ||||||
Tecumseh Products | ||||||||
Co. — Class A* | 41 | 479 | ||||||
Ampco-Pittsburgh Corp. | 15 | 473 | ||||||
Energy Recovery, Inc.* | 66 | 454 | ||||||
3D Systems Corp.* | 40 | 452 | ||||||
VSE Corp. | 10 | 451 | ||||||
China Fire & Security | ||||||||
Group, Inc.* | 32 | 433 | ||||||
ICF International, Inc.* | 16 | 429 | ||||||
TAL International Group, Inc. | 32 | 423 | ||||||
Satcon Technology Corp.* | 150 | 423 | ||||||
PMFG, Inc.* | 26 | 421 | ||||||
Herley Industries, Inc.* | 30 | 417 | ||||||
Houston Wire & Cable Co. | 35 | 416 | ||||||
Cascade Corp. | 15 | 412 | ||||||
Stanley, Inc.* | 15 | 411 | ||||||
American Commercial Lines, | ||||||||
Inc.* | 22 | 403 | ||||||
Vicor Corp.* | 42 | 391 | ||||||
GT Solar International, Inc.* | 70 | 389 | ||||||
Saia, Inc.* | 26 | 385 | ||||||
Pike Electric Corp.* | 41 | 380 | ||||||
Ladish Company, Inc.* | 25 | 377 | ||||||
Waste Services, Inc.* | 41 | 374 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 69 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Horizon Lines, Inc. — Class A | 67 | $ | 373 | |||||
NCI Building Systems, Inc.* | 204 | 369 | ||||||
Metalico, Inc.* | 74 | 364 | ||||||
Greenbrier Companies, Inc. | 35 | 363 | ||||||
LaBarge, Inc.* | 30 | 361 | ||||||
Schawk, Inc. | 26 | 354 | ||||||
Graham Corp. | 17 | 352 | ||||||
Builders FirstSource, Inc.* | 90 | 347 | ||||||
Cornell Companies, Inc.* | 15 | 341 | ||||||
Textainer Group Holdings Ltd. | 20 | 338 | ||||||
Diamond Management & | ||||||||
Technology Consultants, Inc. | 45 | 332 | ||||||
ICT Group, Inc.* | 20 | 327 | ||||||
CDI Corp. | 25 | 324 | ||||||
Air Transport Services Group, | ||||||||
Inc.* | 121 | 319 | ||||||
Ducommun, Inc. | 17 | 318 | ||||||
LSI Industries, Inc. | 40 | 315 | ||||||
International Shipholding | ||||||||
Corp. | 10 | 311 | ||||||
Alamo Group, Inc. | 18 | 309 | ||||||
Flow International Corp.* | 100 | 308 | ||||||
Dynamex, Inc.* | 17 | 308 | ||||||
Innerworkings, Inc.* | 52 | 307 | ||||||
Furmanite Corp.* | 80 | 305 | ||||||
Mistras Group, Inc.* | 20 | 301 | ||||||
American Woodmark Corp. | 15 | 295 | ||||||
Fushi Copperweld, Inc.* | 29 | 293 | ||||||
Titan Machinery, Inc.* | 25 | 289 | ||||||
PowerSecure International, | ||||||||
Inc.* | 40 | 288 | ||||||
Fuel Tech, Inc.* | 35 | 286 | ||||||
Hill International, Inc.* | 45 | 281 | ||||||
Met-Pro Corp. | 26 | 276 | ||||||
Perma-Fix Environmental | ||||||||
Services* | 121 | 275 | ||||||
Aceto Corp. | 53 | 273 | ||||||
APAC Teleservices, Inc.* | 45 | 268 | ||||||
COMSYS IT Partners, Inc.* | 30 | 267 | ||||||
LMI Aerospace, Inc.* | 20 | 266 | ||||||
DXP Enterprises, Inc.* | 20 | 261 | ||||||
Courier Corp. | 18 | 257 | ||||||
USA Truck, Inc.* | 20 | 250 | ||||||
China BAK Battery, Inc.* | 90 | 250 | ||||||
Volt Information Sciences, Inc.* | 25 | 250 | ||||||
Pacer International, Inc.* | 77 | 243 | ||||||
Standard Parking Corp.* | 15 | 238 | ||||||
Ultrapetrol Bahamas Ltd.* | 48 | 228 | ||||||
Ascent Solar Technologies, | ||||||||
Inc.* | 43 | 228 | ||||||
Miller Industries, | ||||||||
Inc. — Class A* | 20 | 227 | ||||||
GP Strategies Corp.* | 30 | 226 | ||||||
SmartHeat, Inc.* | 15 | 218 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Argan, Inc.* | 15 | $ | 216 | |||||
Standard Register Co. | 40 | 204 | ||||||
Trimas Corp.* | 28 | 190 | ||||||
Franklin Covey Co.* | 30 | 189 | ||||||
American Railcar Industries, | ||||||||
Inc. | 17 | 187 | ||||||
Barrett Business Services, Inc. | 15 | 184 | ||||||
TBS International | ||||||||
Ltd. — Class A* | 25 | 184 | ||||||
Multi-Color Corp. | 15 | 183 | ||||||
Odyssey Marine Exploration, | ||||||||
Inc.* | 129 | 182 | ||||||
Universal Truckload Services, | ||||||||
Inc. | 10 | 181 | ||||||
Sauer, Inc.* | 15 | 180 | ||||||
Orion Energy Systems, Inc.* | 40 | 176 | ||||||
Flanders Corp.* | 39 | 174 | ||||||
Astronics Corp.* | 20 | 171 | ||||||
Todd Shipyards Corp. | 10 | 168 | ||||||
Global Defense Technology & | ||||||||
Systems, Inc.* | 10 | 165 | ||||||
Duoyuan Printing, Inc.* | 20 | 161 | ||||||
Portec Rail Products, Inc. | 15 | 161 | ||||||
Twin Disc, Inc. | 15 | 157 | ||||||
Willis Lease Finance Corp.* | 10 | 150 | ||||||
North American Galvanizing & | ||||||||
Coating, Inc.* | 30 | 146 | ||||||
Lawson Products, Inc. | 8 | 141 | ||||||
Omega Flex, Inc. | 10 | 140 | ||||||
CAI International, Inc.* | 15 | 135 | ||||||
Eastern Co. | 10 | 134 | ||||||
Primoris Services Corp. | 15 | 120 | ||||||
Chase Corp. | 10 | 118 | ||||||
Ultralife Batteries, Inc.* | 25 | 108 | ||||||
YRC Worldwide, Inc.* | 126 | 106 | ||||||
Heritage-Crystal Clean, Inc.* | 10 | 105 | ||||||
Lihua International, Inc.* | 10 | 105 | ||||||
Valence Technology, Inc.* | 112 | 102 | ||||||
Hurco Companies, Inc.* | 6 | 89 | ||||||
BlueLinx Holdings, Inc.* | 25 | 69 | ||||||
Integrated Electrical Services, | ||||||||
Inc.* | 10 | 59 | ||||||
Total Industrials | 315,120 | |||||||
HEALTH CARE 7.9% | ||||||||
Human Genome Sciences, | ||||||||
Inc.* | 400 | 12,240 | ||||||
Healthsouth Corp.* | 202 | 3,792 | ||||||
Onyx Pharmaceuticals, Inc.* | 125 | 3,667 | ||||||
Owens & Minor, Inc. | 85 | 3,649 | ||||||
Steris Corp. | 128 | 3,580 | ||||||
Medicis Pharmaceutical | ||||||||
Corp. — Class A | 128 | 3,462 | ||||||
Regeneron Pharmaceuticals, | ||||||||
Inc.* | 140 | 3,385 |
70 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
WellCare Health Plans, Inc.* | 92 | $ | 3,382 | |||||
Haemonetics Corp.* | 61 | 3,364 | ||||||
Masimo Corp.* | 110 | 3,346 | ||||||
Varian, Inc.* | 64 | 3,299 | ||||||
Quality Systems, Inc. | 52 | 3,265 | ||||||
Magellan Health Services, Inc.* | 80 | 3,258 | ||||||
Emergency Medical Services | ||||||||
Corp.* | 60 | 3,249 | ||||||
American Medical Systems | ||||||||
Holdings, Inc.* | 162 | 3,125 | ||||||
Salix Pharmaceuticals Ltd.* | 122 | 3,099 | ||||||
Thoratec Corp.* | 115 | 3,096 | ||||||
athenahealth, Inc.* | 68 | 3,076 | ||||||
Immucor, Inc.* | 149 | 3,016 | ||||||
PSS World Medical, Inc.* | 133 | 3,002 | ||||||
Catalyst Health Solutions, Inc.* | 82 | 2,991 | ||||||
Amedisys, Inc.* | 60 | 2,914 | ||||||
AMERIGROUP Corp.* | 107 | 2,885 | ||||||
HMS Holdings Corp.* | 59 | 2,873 | ||||||
Auxilium Pharmaceuticals, Inc.* | 95 | 2,848 | ||||||
West Pharmaceutical Services, | ||||||||
Inc. | 67 | 2,626 | ||||||
Dionex Corp.* | 35 | 2,585 | ||||||
Psychiatric Solutions, Inc.* | 116 | 2,452 | ||||||
Chemed Corp. | 50 | 2,398 | ||||||
NuVasive, Inc.* | 75 | 2,398 | ||||||
Align Technology, Inc.* | 132 | 2,352 | ||||||
Cubist Pharmaceuticals, Inc.* | 122 | 2,314 | ||||||
Medivation, Inc.* | 61 | 2,297 | ||||||
Par Pharmaceutical Companies, | ||||||||
Inc.* | 84 | 2,273 | ||||||
Eclipsys Corp.* | 121 | 2,241 | ||||||
Isis Pharmaceuticals, Inc.* | 198 | 2,198 | ||||||
ev3, Inc.* | 162 | 2,161 | ||||||
Acorda Therapeutics, Inc.* | 80 | 2,018 | ||||||
Meridian Bioscience, Inc. | 92 | 1,983 | ||||||
Healthspring, Inc.* | 111 | 1,955 | ||||||
Savient Pharmaceuticals, Inc.* | 142 | 1,933 | ||||||
Centene Corp.* | 91 | 1,926 | ||||||
Alkermes, Inc.* | 203 | 1,910 | ||||||
MedAssets, Inc.* | 90 | 1,909 | ||||||
Nektar Therapeutics* | 204 | 1,901 | ||||||
Seattle Genetics, Inc.* | 184 | 1,869 | ||||||
Impax Laboratories, Inc.* | 133 | 1,809 | ||||||
PDL BioPharma, Inc. | 259 | 1,777 | ||||||
Incyte Corp.* | 193 | 1,758 | ||||||
Volcano Corp.* | 99 | 1,721 | ||||||
Exelixis, Inc.* | 231 | 1,702 | ||||||
Parexel International Corp.* | 116 | 1,636 | ||||||
Cepheid, Inc.* | 128 | 1,597 | ||||||
Gentiva Health Services, Inc.* | 58 | 1,567 | ||||||
Genoptix, Inc.* | 44 | 1,563 | ||||||
Vivus, Inc.* | 169 | 1,553 | ||||||
AmSurg Corp.* | 70 | 1,541 |
MARKET | ||||||||
SHARES | VALUE | |||||||
AMAG Pharmaceuticals, Inc.* | 40 | $ | 1,521 | |||||
Theravance, Inc.* | 116 | 1,516 | ||||||
Wright Medical Group, Inc.* | 80 | 1,516 | ||||||
Kindred Healthcare, Inc.* | 81 | 1,495 | ||||||
Alnylam Pharmaceuticals, Inc.* | 84 | 1,480 | ||||||
Integra LifeSciences Holdings | ||||||||
Corp.* | 40 | 1,471 | ||||||
RehabCare Group, Inc.* | 48 | 1,461 | ||||||
Viropharma, Inc.* | 173 | 1,451 | ||||||
Invacare Corp. | 57 | 1,422 | ||||||
Phase Forward, Inc.* | 92 | 1,412 | ||||||
Cell Therapeutics, Inc.* | 1,234 | 1,407 | ||||||
Conmed Corp.* | 60 | 1,368 | ||||||
Luminex Corp.* | 88 | 1,314 | ||||||
Zoll Medical Corp.* | 49 | 1,309 | ||||||
Bruker Corp.* | 108 | 1,302 | ||||||
Sirona Dental Systems, Inc.* | 41 | 1,301 | ||||||
Cyberonics, Inc.* | 63 | 1,288 | ||||||
Abaxis, Inc.* | 50 | 1,277 | ||||||
Conceptus, Inc.* | 68 | 1,276 | ||||||
Celera Corp.* | 181 | 1,251 | ||||||
Orthofix International NV* | 40 | 1,239 | ||||||
Merit Medical Systems, Inc.* | 64 | 1,235 | ||||||
Martek Biosciences Corp.* | 65 | 1,231 | ||||||
Healthways, Inc.* | 67 | 1,229 | ||||||
Analogic Corp. | 31 | 1,194 | ||||||
Insulet Corp.* | 83 | 1,185 | ||||||
inVentiv Health, Inc.* | 72 | 1,164 | ||||||
LHC Group, Inc.* | 34 | 1,143 | ||||||
IPC The Hospitalist Co.* | 34 | 1,130 | ||||||
PharMerica Corp.* | 71 | 1,127 | ||||||
MannKind Corp.* | 127 | 1,113 | ||||||
ICU Medical, Inc.* | 30 | 1,093 | ||||||
Rigel Pharmaceuticals, Inc.* | 114 | 1,084 | ||||||
Geron Corp.* | 190 | 1,054 | ||||||
Enzon Pharmaceuticals, Inc.* | 100 | 1,053 | ||||||
Allos Therapeutics, Inc.* | 159 | 1,045 | ||||||
Odyssey HealthCare, Inc.* | 67 | 1,044 | ||||||
XenoPort, Inc.* | 55 | 1,021 | ||||||
InterMune, Inc.* | 76 | 991 | ||||||
Affymax, Inc.* | 40 | 990 | ||||||
Momenta Pharmaceuticals, | ||||||||
Inc.* | 78 | 984 | ||||||
Landauer, Inc. | 16 | 982 | ||||||
Bio-Reference Labs, Inc.* | 25 | 980 | ||||||
Greatbatch, Inc.* | 50 | 961 | ||||||
Pharmasset, Inc.* | 46 | 952 | ||||||
Neogen Corp.* | 40 | 944 | ||||||
Medicines Co.* | 111 | 926 | ||||||
ImmunoGen, Inc.* | 116 | 912 | ||||||
Affymetrix, Inc.* | 154 | 899 | ||||||
Halozyme Therapeutics, Inc.* | 153 | 898 | ||||||
Natus Medical, Inc.* | 60 | 887 | ||||||
Facet Biotech Corp.* | 50 | 879 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 71 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Computer Programs & | ||||||||
Systems, Inc. | 19 | $ | 875 | |||||
Almost Family, Inc.* | 22 | 870 | ||||||
MWI Veterinary Supply, Inc.* | 23 | 867 | ||||||
Sun Healthcare Group, Inc.* | 92 | 844 | ||||||
DexCom, Inc.* | 104 | 840 | ||||||
SonoSite, Inc.* | 35 | 827 | ||||||
Quidel Corp.* | 60 | 827 | ||||||
Micromet, Inc.* | 124 | 826 | ||||||
Omnicell, Inc.* | 70 | 818 | ||||||
Emeritus Corp.* | 43 | 806 | ||||||
Select Medical Holdings | ||||||||
Corp.* | 70 | 743 | ||||||
Arena Pharmaceuticals, Inc.* | 204 | 724 | ||||||
Angiodynamics, Inc.* | 45 | 724 | ||||||
Optimer Pharmaceuticals, Inc.* | 63 | 711 | ||||||
Cross Country Healthcare, | ||||||||
Inc.* | 71 | 704 | ||||||
Universal American Financial | ||||||||
Corp.* | 60 | 702 | ||||||
Inspire Pharmaceuticals, Inc.* | 127 | 701 | ||||||
Vanda Pharmaceuticals, Inc.* | 62 | 697 | ||||||
Hanger Orthopedic Group, | ||||||||
Inc.* | 50 | 691 | ||||||
Molina Healthcare, Inc.* | 30 | 686 | ||||||
BioScrip, Inc.* | 82 | 686 | ||||||
Air Methods Corp.* | 20 | 672 | ||||||
Corvel Corp.* | 20 | 671 | ||||||
Triple-S Management | ||||||||
Corp. — Class B* | 37 | 651 | ||||||
Cantel Medical Corp.* | 32 | 646 | ||||||
Symmetry Medical, Inc.* | 80 | 645 | ||||||
SurModics, Inc.* | 27 | 612 | ||||||
ABIOMED, Inc.* | 70 | 612 | ||||||
Clinical Data, Inc.* | 33 | 603 | ||||||
AMN Healthcare Services, | ||||||||
Inc.* | 66 | 598 | ||||||
Sangamo Biosciences, Inc.* | 100 | 592 | ||||||
Genomic Health, Inc.* | 30 | 587 | ||||||
National Healthcare Corp. | 16 | 578 | ||||||
Metabolix, Inc.* | 51 | 565 | ||||||
Somanetics Corp.* | 32 | 562 | ||||||
Hi-Tech Pharmacal Company, | ||||||||
Inc.* | 20 | 561 | ||||||
Dyax Corp.* | 164 | 556 | ||||||
Ariad Pharmaceuticals, Inc.* | 243 | 554 | ||||||
eResearch Technology, Inc.* | 92 | 553 | ||||||
Ligand Pharmaceuticals, | ||||||||
Inc. — Class B* | 252 | 547 | ||||||
Questcor Pharmaceuticals, | ||||||||
Inc.* | 115 | 546 | ||||||
Sequenom, Inc.* | 129 | 534 | ||||||
Endologix, Inc.* | 101 | 533 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Assisted Living Concepts, | ||||||||
Inc. — Class A* | 20 | $ | 527 | |||||
Santarus, Inc.* | 113 | 522 | ||||||
IRIS International, Inc.* | 42 | 519 | ||||||
Electro-Optical Sciences, Inc.* | 50 | 518 | ||||||
Emergent Biosolutions, Inc.* | 38 | 516 | ||||||
Res-Care, Inc.* | 46 | 515 | ||||||
Nabi Biopharmaceuticals* | 105 | 514 | ||||||
OraSure Technologies, Inc.* | 101 | 513 | ||||||
Kendle International, Inc.* | 28 | 513 | ||||||
Orthovita, Inc.* | 141 | 495 | ||||||
Zymogenetics, Inc.* | 77 | 492 | ||||||
Medical Action Industries, | ||||||||
Inc.* | 30 | 482 | ||||||
Micrus Endovascular Corp.* | 32 | 480 | ||||||
Obagi Medical Products, | ||||||||
Inc.* | 40 | 480 | ||||||
Accuray, Inc.* | 85 | 477 | ||||||
Durect Corp.* | 192 | 474 | ||||||
Albany Molecular Research, | ||||||||
Inc.* | 52 | 472 | ||||||
Orexigen Therapeutics, Inc.* | 63 | 469 | ||||||
Cadence Pharmaceuticals, | ||||||||
Inc.* | 48 | 464 | ||||||
Cypress Bioscience, Inc.* | 80 | 461 | ||||||
Curis, Inc.* | 140 | 455 | ||||||
RTI Biologics, Inc.* | 118 | 453 | ||||||
Spectranetics Corp.* | 65 | 452 | ||||||
Immunomedics, Inc.* | 139 | 446 | ||||||
MAKO Surgical Corp.* | 40 | 444 | ||||||
AGA Medical Holdings, Inc.* | 30 | 443 | ||||||
AMICAS, Inc.* | 81 | 441 | ||||||
Pain Therapeutics, Inc.* | 82 | 440 | ||||||
Protalix BioTherapeutics, Inc.* | 66 | 437 | ||||||
Chindex International, Inc.* | 30 | 424 | ||||||
SIGA Technologies, Inc.* | 73 | 423 | ||||||
US Physical Therapy, Inc.* | 25 | 423 | ||||||
Ardea Biosciences, Inc.* | 30 | 420 | ||||||
Palomar Medical | ||||||||
Technologies, Inc.* | 40 | 403 | ||||||
Novavax, Inc.* | 148 | 394 | ||||||
BMP Sunstone Corp.* | 69 | 393 | ||||||
NxStage Medical, Inc.* | 47 | 392 | ||||||
Spectrum Pharmaceuticals, | ||||||||
Inc.* | 88 | 391 | ||||||
Cytori Therapeutics, Inc.* | 64 | 390 | ||||||
American Dental Partners, | ||||||||
Inc.* | 30 | 387 | ||||||
Kensey Nash Corp.* | 15 | 382 | ||||||
Vital Images, Inc.* | 30 | 381 | ||||||
TomoTherapy, Inc.* | 97 | 378 | ||||||
Lexicon Genetics, Inc.* | 219 | 372 | ||||||
Depomed, Inc.* | 111 | 372 | ||||||
Alphatec Holdings, Inc.* | 69 | 368 |
72 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
CryoLife, Inc.* | 56 | $ | 360 | |||||
BioMimetic Therapeutics, Inc.* | 30 | 358 | ||||||
Enzo Biochem, Inc.* | 66 | 355 | ||||||
HeartWare International, Inc.* | 10 | 355 | ||||||
Delcath Systems, Inc.* | 69 | 355 | ||||||
Accelrys, Inc.* | 61 | 350 | ||||||
Exactech, Inc.* | 20 | 346 | ||||||
Cambrex Corp.* | 62 | 346 | ||||||
Vascular Solutions, Inc.* | 41 | 344 | ||||||
Alliance Imaging, Inc.* | 60 | 343 | ||||||
Allion Healthcare, Inc.* | 51 | 335 | ||||||
Arqule, Inc.* | 90 | 332 | ||||||
Sunrise Senior Living, Inc.* | 103 | 332 | ||||||
SuperGen, Inc.* | 126 | 330 | ||||||
StemCells, Inc.* | 262 | 330 | ||||||
NPS Pharmaceuticals, Inc.* | 97 | 330 | ||||||
Pozen, Inc.* | 55 | 329 | ||||||
BioCryst Pharmaceuticals, Inc.* | 50 | 323 | ||||||
ATS Medical, Inc.* | 100 | 323 | ||||||
Maxygen, Inc.* | 53 | 323 | ||||||
Bovie Medical Corp.* | 41 | 320 | ||||||
Ista Pharmaceuticals, Inc.* | 70 | 319 | ||||||
Providence Service Corp.* | 20 | 316 | ||||||
Osiris Therapeutics, Inc.* | 44 | 314 | ||||||
Medidata Solutions, Inc.* | 20 | 312 | ||||||
AVI BioPharma, Inc.* | 213 | 311 | ||||||
Rockwell Medical Technologies, | ||||||||
Inc.* | 40 | 308 | ||||||
Allied Healthcare International, | ||||||||
Inc.* | 103 | 300 | ||||||
Skilled Healthcare Group, | ||||||||
Inc. — Class A* | 40 | 298 | ||||||
KV Pharmaceutical Co.* | 81 | 297 | ||||||
Vical, Inc.* | 90 | 296 | ||||||
Biospecifics Technologies | ||||||||
Corp.* | 10 | 293 | ||||||
Utah Medical Products, Inc. | 10 | 293 | ||||||
Repligen Corp.* | 71 | 292 | ||||||
Synovis Life Technologies, | ||||||||
Inc.* | 22 | 284 | ||||||
Stereotaxis, Inc.* | 72 | 283 | ||||||
Array Biopharma, Inc.* | 97 | 273 | ||||||
Cumberland Pharmaceuticals, | ||||||||
Inc.* | 20 | 272 | ||||||
AVANIR Pharmaceuticals, | ||||||||
Inc. — Class A* | 143 | 272 | ||||||
CardioNet, Inc.* | 45 | 267 | ||||||
Continucare Corp.* | 60 | 262 | ||||||
Progenics Pharmaceuticals, | ||||||||
Inc.* | 59 | 262 | ||||||
Myriad Pharmaceuticals, Inc.* | 52 | 262 | ||||||
Ensign Group, Inc. | 17 | 261 | ||||||
Infinity Pharmaceuticals, Inc.* | 42 | 260 | ||||||
Cutera, Inc.* | 30 | 255 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Idera Pharmaceuticals, Inc.* | 48 | $ | 248 | |||||
Young Innovations, Inc. | 10 | 248 | ||||||
Cytokinetics, Inc.* | 85 | 247 | ||||||
Merge Healthcare, Inc.* | 73 | 245 | ||||||
America Service Group, Inc. | 15 | 238 | ||||||
Celldex Therapeutics, Inc.* | 50 | 234 | ||||||
MAP Pharmaceuticals, Inc.* | 24 | 229 | ||||||
Capital Senior Living Corp.* | 45 | 226 | ||||||
OncoGenex Pharmaceutical, | ||||||||
Inc.* | 10 | 223 | ||||||
Rochester Medical Corp.* | 20 | 223 | ||||||
Medcath Corp.* | 28 | 221 | ||||||
Neurocrine Biosciences, Inc.* | 79 | 215 | ||||||
Transcend Services, Inc.* | 10 | 214 | ||||||
Insmed, Inc.* | 274 | 211 | ||||||
Akorn, Inc.* | 117 | 209 | ||||||
LCA-Vision, Inc.* | 40 | 205 | ||||||
Synta Pharmaceuticals Corp.* | 40 | 202 | ||||||
Cynosure, Inc.* | 17 | 195 | ||||||
Health Grades, Inc.* | 45 | 193 | ||||||
SciClone Pharmaceuticals, | ||||||||
Inc.* | 81 | 189 | ||||||
Nanosphere, Inc.* | 29 | 187 | ||||||
Harvard Bioscience, Inc.* | 52 | 186 | ||||||
Discovery Laboratories, Inc.* | 273 | 172 | ||||||
NovaMed, Inc.* | 44 | 171 | ||||||
Opko Health, Inc.* | 90 | 165 | ||||||
Clarient, Inc.* | 62 | 164 | ||||||
GTx, Inc.* | 39 | 164 | ||||||
Metropolitan Health | ||||||||
Networks, Inc.* | 81 | 161 | ||||||
Nighthawk Radiology | ||||||||
Holdings, Inc.* | 35 | 159 | ||||||
MedQuist, Inc. | 23 | 154 | ||||||
Hemispherx Biopharma, Inc.* | 270 | 151 | ||||||
Chelsea Therapeutics | ||||||||
International, Inc.* | 55 | 149 | ||||||
Javelin Pharmaceuticals, Inc.* | 114 | 148 | ||||||
NeurogesX, Inc.* | 19 | 146 | ||||||
Idenix Pharmaceuticals, Inc.* | 68 | 146 | ||||||
Adolor Corp.* | 96 | 140 | ||||||
Hansen Medical, Inc.* | 45 | 136 | ||||||
ARYx Therapeutics, Inc.* | 42 | 135 | ||||||
Virtual Radiologic Corp.* | 10 | 128 | ||||||
Amicus Therapeutics, Inc.* | 31 | 123 | ||||||
Acura Pharmaceuticals, Inc.* | 23 | 123 | ||||||
TranS1, Inc.* | 30 | 119 | ||||||
RadNet, Inc.* | 58 | 118 | ||||||
Lannet Company, Inc.* | 20 | 118 | ||||||
Biodel, Inc.* | 27 | 117 | ||||||
Caraco Pharmaceutical | ||||||||
Laboratories Ltd.* | 19 | 115 | ||||||
Poniard Pharmaceuticals, Inc.* | 60 | 110 | ||||||
Cardiovascular Systems, Inc.* | 22 | 101 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 73 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
OXiGENE, Inc.* | 83 | $ | 95 | |||||
Molecular Insight | ||||||||
Pharmaceuticals, Inc.* | 41 | 92 | ||||||
Cornerstone Therapeutics, | ||||||||
Inc.* | 15 | 92 | ||||||
Home Diagnostics, Inc.* | 15 | 92 | ||||||
Cardiac Science Corp.* | 41 | 91 | ||||||
Matrixx Initiatives, Inc.* | 20 | 84 | ||||||
Omeros Corp.* | 10 | 70 | ||||||
Cardium Therapeutics, Inc.* | 100 | 68 | ||||||
BioDelivery Sciences International, | ||||||||
Inc.* | 16 | 63 | ||||||
Sucampo Pharmaceuticals, | ||||||||
Inc. — Class A* | 15 | 61 | ||||||
American Caresource | ||||||||
Holdings, Inc.* | 20 | 48 | ||||||
MiddleBrook Pharmaceuticals, | ||||||||
Inc.* | 83 | 42 | ||||||
Repros Therapeutics, Inc.* | 30 | 24 | ||||||
EnteroMedics, Inc.* | 41 | 23 | ||||||
Total Health Care | 288,594 | |||||||
CONSUMER DISCRETIONARY 7.6% | ||||||||
Tupperware Brands Corp. | 137 | 6,380 | ||||||
Bally Technologies, Inc.* | 123 | 5,079 | ||||||
J. Crew Group, Inc.* | 113 | 5,056 | ||||||
The Warnaco Group, Inc.* | 101 | 4,261 | ||||||
Tractor Supply Co.* | 80 | 4,237 | ||||||
Tempur-Pedic International, | ||||||||
Inc.* | 162 | 3,828 | ||||||
Fossil, Inc.* | 101 | 3,390 | ||||||
Collective Brands, Inc.* | 141 | 3,211 | ||||||
Dana Holding Corp.* | 296 | 3,209 | ||||||
Carter’s, Inc.* | 121 | 3,176 | ||||||
Sotheby’s | 137 | 3,080 | ||||||
Deckers Outdoor Corp.* | 30 | 3,052 | ||||||
Jones Apparel Group, Inc. | 183 | 2,939 | ||||||
Polaris Industries, Inc. | 67 | 2,923 | ||||||
Cheesecake Factory, Inc.* | 133 | 2,871 | ||||||
Wolverine World Wide, Inc. | 105 | 2,858 | ||||||
Dress Barn, Inc.* | 122 | 2,818 | ||||||
Lululemon Athletica, Inc.* | 90 | 2,709 | ||||||
Cooper Tire & Rubber Co. | 127 | 2,546 | ||||||
Matthews International | ||||||||
Corp. — Class A | 71 | 2,516 | ||||||
Rent-A-Center, Inc.* | 141 | 2,499 | ||||||
Gymboree Corp.* | 56 | 2,435 | ||||||
Eastman Kodak Co.* | 577 | 2,435 | ||||||
Brunswick Corp. | 190 | 2,415 | ||||||
Corinthian Colleges, Inc.* | 171 | 2,355 | ||||||
Tenneco, Inc.* | 131 | 2,323 | ||||||
Jack in the Box, Inc.* | 118 | 2,321 | ||||||
Life Time Fitness, Inc.* | 92 | 2,294 | ||||||
Men’s Wearhouse, Inc. | 108 | 2,274 | ||||||
Vail Resorts, Inc.* | 60 | 2,268 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Capella Education Co.* | 30 | $ | 2,259 | |||||
NutriSystem, Inc. | 71 | 2,213 | ||||||
Jo-Ann Stores, Inc.* | 61 | 2,211 | ||||||
OfficeMax, Inc.* | 170 | 2,157 | ||||||
Dillard’s, Inc. — Class A | 113 | 2,085 | ||||||
American Greetings | ||||||||
Corp. — Class A | 91 | 1,983 | ||||||
Skechers U.S.A., | ||||||||
Inc. — Class A* | 67 | 1,970 | ||||||
Coinstar, Inc.* | 70 | 1,945 | ||||||
Bob Evans Farms, Inc. | 66 | 1,911 | ||||||
Pool Corp. | 100 | 1,908 | ||||||
Cracker Barrel Old Country | ||||||||
Store, Inc. | 50 | 1,899 | ||||||
Iconix Brand Group, Inc.* | 147 | 1,860 | ||||||
Under Armour, Inc.* | 68 | 1,854 | ||||||
HSN, Inc.* | 90 | 1,817 | ||||||
AnnTaylor Stores Corp.* | 133 | 1,814 | ||||||
Ryland Group, Inc. | 92 | 1,812 | ||||||
ArvinMeritor, Inc.* | 161 | 1,800 | ||||||
Gaylord Entertainment Co.* | 91 | 1,797 | ||||||
Regis Corp. | 115 | 1,791 | ||||||
Saks, Inc.* | 272 | 1,784 | ||||||
Valassis Communications, Inc.* | 97 | 1,771 | ||||||
Buckle, Inc. | 60 | 1,757 | ||||||
Orient-Express Hotels | ||||||||
Ltd. — Class A* | 173 | 1,754 | ||||||
Blue Nile, Inc.* | 27 | 1,710 | ||||||
P.F. Chang’s China Bistro, Inc.* | 45 | 1,706 | ||||||
Timberland Co. — Class A* | 92 | 1,650 | ||||||
Jos. A. Bank Clothiers, Inc.* | 39 | 1,645 | ||||||
Buffalo Wild Wings, Inc.* | 40 | 1,611 | ||||||
Charming Shoppes, Inc.* | 248 | 1,605 | ||||||
CEC Entertainment, Inc.* | 49 | 1,564 | ||||||
Live Nation, Inc.* | 182 | 1,549 | ||||||
Children’s Place Retail Stores, | ||||||||
Inc.* | 46 | 1,518 | ||||||
Sally Beauty Holdings, Inc.* | 198 | 1,515 | ||||||
Scholastic Corp. | 50 | 1,491 | ||||||
National CineMedia, Inc. | 90 | 1,491 | ||||||
Unifirst Corp. | 30 | 1,443 | ||||||
Genesco, Inc.* | 52 | 1,428 | ||||||
Helen of Troy Ltd.* | 58 | 1,419 | ||||||
Group 1 Automotive, Inc.* | 50 | 1,417 | ||||||
American Public Education, | ||||||||
Inc.* | 40 | 1,374 | ||||||
Meritage Homes Corp.* | 71 | 1,372 | ||||||
Sonic Corp.* | 134 | 1,349 | ||||||
99 Cents Only Stores* | 101 | 1,320 | ||||||
Hibbett Sports, Inc.* | 60 | 1,319 | ||||||
Monro Muffler Brake, Inc. | 39 | 1,304 | ||||||
Cabela’s, Inc. — Class A* | 91 | 1,298 | ||||||
Arbitron, Inc. | 55 | 1,288 | ||||||
Pier 1 Imports, Inc.* | 249 | 1,267 |
74 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statemnts. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Steven Madden Ltd.* | 30 | $ | 1,237 | |||||
Fuel Systems Solutions, Inc.* | 30 | 1,237 | ||||||
Texas Roadhouse, Inc.* | 110 | 1,235 | ||||||
Cato Corp. — Class A | 61 | 1,224 | ||||||
Liz Claiborne, Inc.* | 213 | 1,199 | ||||||
Pinnacle Entertainment, Inc.* | 133 | 1,194 | ||||||
Modine Manufacturing Co.* | 96 | 1,137 | ||||||
Finish Line, Inc. — Class A | 90 | 1,129 | ||||||
Interval Leisure Group, Inc.* | 90 | 1,122 | ||||||
Papa John’s International, Inc.* | 47 | 1,098 | ||||||
National Presto Industries, Inc. | 10 | 1,092 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.* | 60 | 1,090 | ||||||
K12, Inc.* | 53 | 1,074 | ||||||
La-Z-Boy, Inc.* | 111 | 1,058 | ||||||
Cinemark Holdings, Inc. | 73 | 1,049 | ||||||
Callaway Golf Co. | 139 | 1,048 | ||||||
CROCS, Inc.* | 177 | 1,018 | ||||||
Belo Corp. — Class A | 186 | 1,012 | ||||||
Ruby Tuesday, Inc.* | 140 | 1,008 | ||||||
Shuffle Master, Inc.* | 122 | 1,005 | ||||||
Steiner Leisure Ltd.* | 25 | 994 | ||||||
Ticketmaster Entertainment, Inc.* | 80 | 978 | ||||||
Stage Stores, Inc. | 77 | 952 | ||||||
CKE Restaurants, Inc. | 111 | 939 | ||||||
The Pep Boys-Manny Moe & Jack | 106 | 897 | ||||||
Fred’s, Inc. | 86 | 877 | ||||||
Stewart Enterprises, Inc. — Class A | 170 | 875 | ||||||
Harte-Hanks, Inc. | 80 | 862 | ||||||
Big 5 Sporting Goods Corp. | 50 | 859 | ||||||
Citi Trends, Inc.* | 31 | 856 | ||||||
DineEquity, Inc.* | 35 | 850 | ||||||
Universal Technical Institute, Inc.* | 42 | 848 | ||||||
PetMed Express, Inc. | 48 | 846 | ||||||
Brown Shoe Company, Inc. | 85 | 839 | ||||||
Ameristar Casinos, Inc. | 55 | 838 | ||||||
True Religion Apparel, Inc.* | 45 | 832 | ||||||
Asbury Automotive Group, Inc.* | 72 | 830 | ||||||
Standard-Pacific Corp.* | 221 | 827 | ||||||
Drew Industries, Inc.* | 40 | 826 | ||||||
Columbia Sportswear Co. | 21 | 820 | ||||||
RCN Corp.* | 75 | 814 | ||||||
Jakks Pacific, Inc.* | 64 | 776 | ||||||
BJ’s Restaurants, Inc.* | 41 | 772 | ||||||
Ascent Media Corp. — Class A* | 30 | 766 | ||||||
Superior Industries International, Inc. | 50 | 765 | ||||||
Exide Technologies* | 106 | 754 | ||||||
DSW, Inc.* | 29 | 751 |
MARKET | ||||||||
SHARES | VALUE | |||||||
American Axle & Manufacturing Holdings, Inc.* | 92 | $ | 738 | |||||
RC2 Corp.* | 50 | 738 | ||||||
Peet’s Coffee & Tea, Inc.* | 22 | 733 | ||||||
The Wet Seal, Inc. — Class A* | 212 | 731 | ||||||
Sonic Automotive, Inc.* | 70 | 727 | ||||||
Ethan Allen Interiors, Inc. | 53 | 711 | ||||||
Lumber Liquidators Holdings, Inc.* | 26 | 697 | ||||||
Universal Electronics, Inc.* | 30 | 697 | ||||||
World Wrestling Entertainment, Inc. | 45 | 690 | ||||||
Domino’s Pizza, Inc.* | 82 | 687 | ||||||
Knology, Inc.* | 62 | 679 | ||||||
CKX, Inc.* | 128 | 675 | ||||||
Winnebago Industries, Inc.* | 55 | 671 | ||||||
iRobot Corp.* | 38 | 669 | ||||||
Maidenform Brands, Inc.* | 40 | 668 | ||||||
hhgregg, Inc.* | 30 | 661 | ||||||
Volcom, Inc.* | 39 | 653 | ||||||
G-III Apparel Group Ltd.* | 30 | 650 | ||||||
Steak N Shake Co.* | 2 | 648 | ||||||
Hot Topic, Inc.* | 101 | 642 | ||||||
Christopher & Banks Corp. | 84 | 640 | ||||||
Stein Mart, Inc.* | 60 | 640 | ||||||
Shutterfly, Inc.* | 35 | 623 | ||||||
Oxford Industries, Inc. | 30 | 620 | ||||||
Pre-Paid Legal Services, Inc.* | 15 | 616 | ||||||
Dolan Media Co.* | 58 | 592 | ||||||
drugstore.com, Inc.* | 191 | 590 | ||||||
America’s Car Mart, Inc.* | 22 | 579 | ||||||
K-Swiss, Inc. — Class A* | 57 | 567 | ||||||
Quiksilver, Inc.* | 278 | 562 | ||||||
Churchill Downs, Inc. | 15 | 560 | ||||||
Zumiez, Inc.* | 44 | 560 | ||||||
Red Robin Gourmet Burgers, Inc.* | 31 | 555 | ||||||
Coldwater Creek, Inc.* | 124 | 553 | ||||||
Grand Canyon Education, Inc.* | 29 | 551 | ||||||
Orbitz Worldwide, Inc.* | 75 | 551 | ||||||
Pacific Sunwear of California, Inc.* | 138 | 549 | ||||||
Smith & Wesson Holding Corp.* | 134 | 548 | ||||||
California Pizza Kitchen, Inc.* | 40 | 538 | ||||||
Ambassadors Group, Inc. | 40 | 532 | ||||||
ChinaCast Education Corp.* | 70 | 529 | ||||||
Speedway Motorsports, Inc. | 30 | 529 | ||||||
Kirkland’s, Inc.* | 30 | 521 | ||||||
Haverty Furniture Companies, Inc. | 37 | 508 | ||||||
Furniture Brands International, Inc.* | 93 | 508 | ||||||
Fuqi International, Inc.* | 28 | 503 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 75 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Marcus Corp. | 39 | $ | 500 | |||||
Core-Mark Holding Company, Inc.* | 15 | 494 | ||||||
FGX International Holdings Ltd.* | 25 | 490 | ||||||
Weyco Group, Inc. | 20 | 473 | ||||||
Denny’s Corp.* | 212 | 464 | ||||||
Talbots, Inc.* | 52 | 463 | ||||||
Bridgepoint Education, Inc.* | 30 | 451 | ||||||
Vitamin Shoppe, Inc.* | 20 | 445 | ||||||
AFC Enterprises, Inc.* | 53 | 432 | ||||||
Hovnanian Enterprises, Inc. — Class A* | 111 | 426 | ||||||
EW Scripps Co. — Class A* | 60 | 418 | ||||||
Wonder Auto Technology, Inc.* | 35 | 412 | ||||||
Shoe Carnival, Inc.* | 20 | 409 | ||||||
M/I Homes, Inc.* | 39 | 405 | ||||||
Retail Ventures, Inc.* | 45 | 400 | ||||||
Amerigon, Inc.* | 50 | 397 | ||||||
Cavco Industries, Inc.* | 11 | 395 | ||||||
Sturm Ruger & Company, Inc. | 40 | 388 | ||||||
Unifi, Inc.* | 98 | 380 | ||||||
Movado Group, Inc. | 39 | 379 | ||||||
Krispy Kreme Doughnuts, Inc.* | 126 | 372 | ||||||
Spartan Motors, Inc. | 66 | 372 | ||||||
Mediacom Communications Corp.* | 83 | 371 | ||||||
Sinclair Broadcast Group, Inc. — Class A* | 92 | 371 | ||||||
Multimedia Games, Inc.* | 61 | 367 | ||||||
Beazer Homes USA, Inc.* | 75 | 363 | ||||||
Journal Communications, Inc. — Class A | 91 | 354 | ||||||
Rentrak Corp.* | 20 | 353 | ||||||
Dorman Products, Inc.* | 22 | 345 | ||||||
Standard Motor Products, Inc.* | 40 | 341 | ||||||
Overstock.com, Inc.* | 25 | 339 | ||||||
Blyth, Inc. | 10 | 337 | ||||||
Lithia Motors, Inc. — Class A* | 40 | 329 | ||||||
Lincoln Educational Services Corp.* | 15 | 325 | ||||||
Sealy Corp.* | 102 | 322 | ||||||
Landry’s Restaurants, Inc.* | 15 | 319 | ||||||
Martha Stewart Omnimedia, Inc.* | 64 | 316 | ||||||
Perry Ellis International, Inc.* | 20 | 301 | ||||||
Systemax, Inc. | 19 | 298 | ||||||
CSS Industries, Inc. | 15 | 292 | ||||||
Hooker Furniture Corp. | 23 | 285 | ||||||
Audiovox Corp. — Class A* | 40 | 284 | ||||||
Bebe Stores, Inc. | 45 | 282 | ||||||
Rue21, Inc.* | 10 | 281 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Sport Supply Group, Inc. | 22 | $ | 277 | |||||
LIN TV Corp. — Class A* | 60 | 268 | ||||||
Cherokee, Inc. | 15 | 267 | ||||||
Jackson Hewitt Tax Service, Inc.* | 60 | 264 | ||||||
O’Charleys, Inc.* | 40 | 262 | ||||||
Leapfrog Enterprises, Inc.* | 66 | 258 | ||||||
West Marine, Inc.* | 30 | 242 | ||||||
Rex Stores Corp.* | 17 | 239 | ||||||
Learning Tree International, Inc.* | 20 | 239 | ||||||
Steinway Musical Instruments, Inc.* | 15 | 239 | ||||||
Mac-Gray Corp.* | 23 | 237 | ||||||
Stoneridge, Inc.* | 26 | 234 | ||||||
Gaiam, Inc.* | 30 | 231 | ||||||
Morgans Hotel Group Co.* | 50 | 227 | ||||||
American Apparel, Inc.* | 71 | 220 | ||||||
Midas, Inc.* | 25 | 211 | ||||||
McCormick & Schmick’s Seafood Restaurants, Inc.* | 30 | 209 | ||||||
Vitacost.com, Inc.* | 20 | 208 | ||||||
Stamps.com, Inc.* | 23 | 207 | ||||||
Universal Travel Group* | 20 | 203 | ||||||
LodgeNet Interactive Corp.* | 36 | 199 | ||||||
Isle of Capri Casinos, Inc.* | 26 | 194 | ||||||
New York & Company, Inc.* | 45 | 193 | ||||||
Stanley Furniture Co.* | 19 | 193 | ||||||
Destination Maternity Corp.* | 10 | 190 | ||||||
China Automotive Systems, Inc.* | 10 | 187 | ||||||
Build-A-Bear Workshop, Inc.* | 37 | 181 | ||||||
Hawk Corp.* | 10 | 176 | ||||||
Raser Technologies, Inc.* | 142 | 176 | ||||||
Carmike Cinemas, Inc.* | 23 | 174 | ||||||
Youbet.com, Inc.* | 60 | 172 | ||||||
Fisher Communications, Inc.* | 10 | 163 | ||||||
Monarch Casino & Resort, Inc.* | 20 | 162 | ||||||
Reading International, Inc. — Class A* | 40 | 162 | ||||||
Outdoor Channel Holdings, Inc.* | 27 | 157 | ||||||
Global Sources Ltd.* | 25 | 156 | ||||||
Tuesday Morning Corp.* | 60 | 155 | ||||||
1-800-FLOWERS.com, Inc.* | 58 | 154 | ||||||
Brookfield Homes Corp.* | 19 | 152 | ||||||
Red Lion Hotels Corp.* | 30 | 148 | ||||||
Einstein Noah Restaurant Group, Inc.* | 15 | 147 | ||||||
Skyline Corp. | 8 | 147 | ||||||
Kenneth Cole Productions, Inc. — Class A* | 15 | 145 | ||||||
Primedia, Inc. | 40 | 144 |
76 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Playboy Enterprises, Inc. — Class B* | 45 | $ | 144 | |||||
Great Wolf Resorts, Inc.* | 58 | 137 | ||||||
Books-A-Million, Inc. | 20 | 134 | ||||||
Luby’s, Inc.* | 36 | 132 | ||||||
Borders Group, Inc.* | 112 | 132 | ||||||
Conn’s, Inc.* | 22 | 128 | ||||||
CPI Corp. | 10 | 123 | ||||||
Zale Corp.* | 45 | 122 | ||||||
US Auto Parts Network, Inc.* | 22 | 114 | ||||||
Benihana, Inc.* | 30 | 114 | ||||||
Dover Downs Gaming & Entertainment, Inc. | 30 | 113 | ||||||
Carrols Restaurant Group, Inc.* | 15 | 106 | ||||||
Marine Products Corp. | 21 | 104 | ||||||
Princeton Review, Inc.* | 25 | 102 | ||||||
Lakes Entertainment, Inc.* | 40 | 100 | ||||||
Town Sports International Holdings, Inc.* | 41 | 96 | ||||||
Nobel Learning Communities, Inc.* | 12 | 91 | ||||||
Ruth’s Hospitality Group, Inc.* | 43 | 90 | ||||||
Syms Corp.* | 12 | 87 | ||||||
Caribou Coffee Company, Inc.* | 10 | 77 | ||||||
Bluegreen Corp.* | 30 | 73 | ||||||
Gander Mountain Co.* | 10 | 51 | ||||||
NIVS IntelliMedia Technology Group, Inc.* | 15 | 39 | ||||||
Crown Media Holdings, Inc. — Class A* | 23 | 33 | ||||||
Total Consumer Discretionary | 275,812 | |||||||
ENERGY 2.9% | ||||||||
Atlas Energy, Inc. | 150 | 4,526 | ||||||
Dril-Quip, Inc.* | 63 | 3,558 | ||||||
World Fuel Services Corp. | 130 | 3,483 | ||||||
Arena Resources, Inc.* | 80 | 3,450 | ||||||
Bristow Group, Inc.* | 83 | 3,191 | ||||||
Brigham Exploration Co.* | 213 | 2,886 | ||||||
Nordic American Tanker Shipping Ltd. | 92 | 2,760 | ||||||
Berry Petroleum Co. — Class A | 90 | 2,624 | ||||||
Gran Tierra Energy, Inc.* | 436 | 2,498 | ||||||
Bill Barrett Corp.* | 79 | 2,458 | ||||||
Patriot Coal Corp.* | 155 | 2,396 | ||||||
Key Energy Services, Inc.* | 272 | 2,391 | ||||||
CARBO Ceramics, Inc. | 35 | 2,386 | ||||||
Lufkin Industries, Inc. | 30 | 2,196 | ||||||
Penn Virginia Corp. | 103 | 2,193 | ||||||
Rosetta Resources, Inc.* | 108 | 2,152 | ||||||
Swift Energy Co.* | 81 | 1,941 | ||||||
BPZ Resources, Inc.* | 203 | 1,929 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Tetra Technologies, Inc.* | 163 | $ | 1,806 | |||||
Complete Production Services, Inc.* | 127 | 1,651 | ||||||
Global Industries Ltd.* | 222 | 1,583 | ||||||
ATP Oil & Gas Corp.* | 86 | 1,572 | ||||||
Stone Energy Corp.* | 86 | 1,552 | ||||||
Contango Oil & Gas Co.* | 33 | 1,551 | ||||||
Carrizo Oil & Gas, Inc.* | 57 | 1,510 | ||||||
Willbros Group, Inc.* | 85 | 1,434 | ||||||
Ship Finance International Ltd. | 100 | 1,363 | ||||||
ION Geophysical Corp.* | 225 | 1,332 | ||||||
GulfMark Offshore, Inc.* | 47 | 1,331 | ||||||
McMoRan Exploration Co.* | 162 | 1,299 | ||||||
Goodrich Petroleum Corp.* | 52 | 1,266 | ||||||
Parker Drilling Co.* | 250 | 1,238 | ||||||
Hercules Offshore, Inc.* | 250 | 1,195 | ||||||
Clean Energy Fuels Corp.* | 77 | 1,187 | ||||||
Hornbeck Offshore Services, Inc.* | 50 | 1,164 | ||||||
James River Coal Co.* | 62 | 1,149 | ||||||
Cloud Peak Energy, Inc.* | 70 | 1,019 | ||||||
GMX Resources, Inc.* | 74 | 1,017 | ||||||
Northern Oil And Gas, Inc.* | 77 | 912 | ||||||
USEC, Inc.* | 235 | 905 | ||||||
Golar LNG Ltd.* | 66 | 846 | ||||||
Newpark Resources, Inc.* | 194 | 821 | ||||||
W&T Offshore, Inc. | 70 | 819 | ||||||
Pioneer Drilling Co.* | 102 | 806 | ||||||
Cal Dive International, Inc.* | 104 | 786 | ||||||
International Coal Group, Inc.* | 201 | 776 | ||||||
T-3 Energy Services, Inc. — Class A* | 30 | 765 | ||||||
General Maritime Corp. | 107 | 748 | ||||||
Petroleum Development Corp.* | 40 | 728 | ||||||
Gulfport Energy Corp.* | 60 | 687 | ||||||
Petroquest Energy, Inc.* | 108 | 662 | ||||||
RPC, Inc. | 62 | 645 | ||||||
Rex Energy Corp.* | 52 | 624 | ||||||
PHI, Inc.* | 30 | 621 | ||||||
VAALCO Energy, Inc. | 133 | 605 | ||||||
Matrix Service Co.* | 55 | 586 | ||||||
Superior Well Services, Inc.* | 40 | 570 | ||||||
Panhandle Oil and Gas, Inc. — Class A | 22 | 570 | ||||||
Oilsands Quest, Inc.* | 478 | 550 | ||||||
Crosstex Energy, Inc. | 88 | 532 | ||||||
Knightsbridge Tankers Ltd. | 40 | 530 | ||||||
Gulf Island Fabrication, Inc. | 25 | 526 | ||||||
Toreador Resources Corp. | 52 | 515 | ||||||
Natural Gas Services Group, Inc.* | 27 | 509 | ||||||
Allis-Chalmers Energy, Inc.* | 133 | 501 | ||||||
Venoco, Inc.* | 36 | 469 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 77 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Dawson Geophysical Co.* | 20 | $ | 462 | |||||
Uranium Energy Corp.* | 121 | 457 | ||||||
Basic Energy Services, Inc.* | 50 | 445 | ||||||
OYO Geospace Corp.* | 10 | 429 | ||||||
Western Refining, Inc.* | 90 | 424 | ||||||
Apco Oil and Gas International, Inc. | 19 | 420 | ||||||
Delta Petroleum Corp.* | 384 | 399 | ||||||
DHT Maritime, Inc. | 107 | 394 | ||||||
Syntroleum Corp.* | 142 | 378 | ||||||
Warren Resources, Inc.* | 150 | 368 | ||||||
Harvest Natural Resources, Inc.* | 69 | 365 | ||||||
Clayton Williams Energy, Inc.* | 10 | 350 | ||||||
CVR Energy, Inc.* | 50 | 343 | ||||||
Cheniere Energy, Inc.* | 124 | 300 | ||||||
Green Plains Renewable Energy, Inc.* | 20 | 297 | ||||||
Boots & Coots, Inc.* | 172 | 284 | ||||||
GeoResources, Inc.* | 20 | 273 | ||||||
Endeavour International Corp.* | 251 | 271 | ||||||
FX Energy, Inc.* | 94 | 268 | ||||||
Approach Resources, Inc.* | 32 | 247 | ||||||
Vantage Drilling Co.* | 152 | 245 | ||||||
Zion Oil & Gas, Inc.* | 32 | 229 | ||||||
Bronco Drilling Company, Inc.* | 45 | 228 | ||||||
Bolt Technology Corp.* | 20 | 220 | ||||||
Delek US Holdings, Inc. | 30 | 204 | ||||||
CREDO Petroleum Corp.* | 20 | 186 | ||||||
Teekay Tankers Ltd. | 20 | 171 | ||||||
Westmoreland Coal Co.* | 17 | 151 | ||||||
Uranerz Energy Corp.* | 114 | 148 | ||||||
Geokinetics, Inc.* | 15 | 144 | ||||||
Union Drilling, Inc.* | 22 | 138 | ||||||
ENGlobal Corp.* | 42 | 131 | ||||||
TGC Industries, Inc.* | 30 | 117 | ||||||
Alon USA Energy, Inc. | 15 | 103 | ||||||
Sulphco, Inc.* | 153 | 103 | ||||||
Evergreen Energy, Inc.* | 279 | 96 | ||||||
Cubic Energy, Inc.* | 60 | 89 | ||||||
Total Energy | 104,728 | |||||||
MATERIALS 2.6% | ||||||||
Domtar Corp.* | 92 | 5,098 | ||||||
W.R. Grace & Co.* | 163 | 4,132 | ||||||
Rock-Tenn Co. — Class A | 79 | 3,982 | ||||||
Silgan Holdings, Inc. | 58 | 3,357 | ||||||
Solutia, Inc.* | 263 | 3,340 | ||||||
Hecla Mining Co.* | 507 | 3,133 | ||||||
Olin Corp. | 173 | 3,031 | ||||||
Coeur d’Alene Mines Corp.* | 159 | 2,872 | ||||||
Sensient Technologies Corp. | 107 | 2,814 | ||||||
Schweitzer-Mauduit International, Inc. | 40 | 2,814 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Rockwood Holdings, Inc.* | 112 | $ | 2,639 | |||||
H.B. Fuller Co. | 111 | 2,525 | ||||||
NewMarket Corp. | 20 | 2,295 | ||||||
OM Group, Inc.* | 72 | 2,260 | ||||||
Minerals Technologies, Inc. | 40 | 2,179 | ||||||
Louisiana-Pacific Corp.* | 274 | 1,913 | ||||||
Century Aluminum Co.* | 117 | 1,894 | ||||||
Allied Nevada Gold Corp.* | 121 | 1,825 | ||||||
Texas Industries, Inc. | 50 | 1,750 | ||||||
Worthington Industries, Inc. | 131 | 1,712 | ||||||
Calgon Carbon Corp.* | 121 | 1,682 | ||||||
Ferro Corp. | 192 | 1,582 | ||||||
Arch Chemicals, Inc. | 49 | 1,513 | ||||||
RTI International Metals, Inc.* | 60 | 1,510 | ||||||
PolyOne Corp.* | 201 | 1,501 | ||||||
Balchem Corp. | 40 | 1,340 | ||||||
Amcol International Corp. | 46 | 1,307 | ||||||
Kaiser Aluminum Corp. | 31 | 1,290 | ||||||
Clearwater Paper Corp.* | 22 | 1,209 | ||||||
Horsehead Holding Corp.* | 93 | 1,186 | ||||||
Glatfelter | 96 | 1,166 | ||||||
Stepan Co. | 17 | 1,102 | ||||||
Westlake Chemical Corp. | 44 | 1,097 | ||||||
Koppers Holdings, Inc. | 35 | 1,065 | ||||||
A. Schulman, Inc. | 52 | 1,049 | ||||||
Deltic Timber Corp. | 22 | 1,016 | ||||||
Wausau Paper Corp. | 87 | 1,009 | ||||||
Innophos Holdings, Inc. | 43 | 989 | ||||||
Stillwater Mining Co.* | 94 | 891 | ||||||
Haynes International, Inc. | 27 | 890 | ||||||
Graphic Packaging Holding Co.* | 242 | 840 | ||||||
Headwaters, Inc.* | 126 | 822 | ||||||
Zep, Inc. | 46 | 797 | ||||||
Buckeye Technologies, Inc.* | 78 | 761 | ||||||
Spartech Corp. | 72 | 739 | ||||||
Brush Engineered Materials, Inc.* | 36 | 667 | ||||||
KapStone Paper and Packaging Corp.* | 65 | 640 | ||||||
Myers Industries, Inc. | 70 | 637 | ||||||
Olympic Steel, Inc. | 18 | 586 | ||||||
LSB Industries, Inc.* | 40 | 564 | ||||||
Omnova Solutions, Inc.* | 91 | 558 | ||||||
A.M. Castle & Co. | 40 | 548 | ||||||
Zoltek Companies, Inc.* | 56 | 532 | ||||||
STR Holdings, Inc.* | 30 | 471 | ||||||
Innospec, Inc. | 45 | 454 | ||||||
Hawkins, Inc. | 20 | 437 | ||||||
US Gold Corp.* | 171 | 424 | ||||||
ICO, Inc. | 57 | 417 | ||||||
Quaker Chemical Corp. | 20 | 413 | ||||||
ShengdaTech, Inc.* | 63 | 386 | ||||||
AEP Industries, Inc.* | 10 | 383 |
78 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
American Vanguard Corp. | 44 | $ | 365 | |||||
Landec Corp.* | 56 | 349 | ||||||
Neenah Paper, Inc. | 25 | 349 | ||||||
Boise, Inc.* | 63 | 335 | ||||||
General Moly, Inc.* | 139 | 289 | ||||||
Bway Holding Co.* | 15 | 288 | ||||||
Universal Stainless & Alloy Products, Inc.* | 15 | 283 | ||||||
Paramount Gold and Silver Corp.* | 171 | 248 | ||||||
China Green Agriculture, Inc.* | 15 | 221 | ||||||
General Steel Holdings, Inc.* | 37 | 163 | ||||||
China Precision Steel, Inc.* | 72 | 148 | ||||||
Ampal American Israel Corp. — Class A* | 45 | 122 | ||||||
NL Industries, Inc. | 10 | 69 | ||||||
U.S. Concrete, Inc.* | 70 | 64 | ||||||
Sutor Technology Group Ltd.* | 15 | 40 | ||||||
Total Materials | 95,368 | |||||||
CONSUMER STAPLES 1.9% | ||||||||
Chattem, Inc.* | 40 | 3,732 | ||||||
Casey’s General Stores, Inc. | 111 | 3,543 | ||||||
Nu Skin Enterprises, Inc. | 113 | 3,036 | ||||||
TreeHouse Foods, Inc.* | 70 | 2,720 | ||||||
United Natural Foods, Inc.* | 92 | 2,460 | ||||||
Ruddick Corp. | 89 | 2,290 | ||||||
Universal Corp. | 50 | 2,281 | ||||||
Fresh Del Monte Produce, Inc.* | 93 | 2,055 | ||||||
Lancaster Colony Corp. | 40 | 1,988 | ||||||
Chiquita Brands International, Inc.* | 102 | 1,840 | ||||||
American Italian Pasta Co.* | 50 | 1,740 | ||||||
Bare Escentuals, Inc.* | 142 | 1,737 | ||||||
Hain Celestial Group, Inc.* | 93 | 1,582 | ||||||
Darling International, Inc.* | 180 | 1,508 | ||||||
Sanderson Farms, Inc. | 35 | 1,476 | ||||||
Lance, Inc. | 56 | 1,473 | ||||||
Diamond Foods, Inc. | 41 | 1,457 | ||||||
WD-40 Co. | 44 | 1,424 | ||||||
Tootsie Roll Industries, Inc. | 51 | 1,396 | ||||||
Central Garden and Pet Co. — Class A* | 131 | 1,302 | ||||||
Winn-Dixie Stores, Inc.* | 123 | 1,235 | ||||||
J&J Snack Foods Corp. | 30 | 1,199 | ||||||
Vector Group Ltd. | 83 | 1,162 | ||||||
Andersons, Inc. | 41 | 1,059 | ||||||
Dole Food Company, Inc.* | 80 | 993 | ||||||
Heckmann Corp.* | 191 | 953 | ||||||
Nash Finch Co. | 25 | 927 | ||||||
Alliance One International, Inc.* | 189 | 922 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Medifast, Inc.* | 30 | $ | 917 | |||||
Cal-Maine Foods, Inc. | 26 | 886 | ||||||
The Boston Beer Company, Inc. — Class A* | 19 | 885 | ||||||
Great Atlantic & Pacific Tea Company, Inc.* | 73 | 861 | ||||||
Smart Balance, Inc.* | 141 | 846 | ||||||
Zhongpin, Inc.* | 48 | 749 | ||||||
Elizabeth Arden, Inc.* | 49 | 708 | ||||||
Spartan Stores, Inc. | 49 | 700 | ||||||
Revlon, Inc.* | 41 | 697 | ||||||
Pantry, Inc.* | 50 | 680 | ||||||
Pricesmart, Inc. | 32 | 654 | ||||||
American Oriental Bioengineering, Inc.* | 126 | 586 | ||||||
B&G Foods, Inc. | 61 | 560 | ||||||
Prestige Brands Holdings, Inc. — Class A* | 70 | 550 | ||||||
Weis Markets, Inc. | 15 | 545 | ||||||
Coca-Cola Bottling Co. Consolidated | 10 | 540 | ||||||
Imperial Sugar Company, Inc. | 30 | 523 | ||||||
Synutra International, Inc.* | 38 | 513 | ||||||
American Dairy, Inc.* | 20 | 434 | ||||||
China Sky One Medical, Inc.* | 19 | 432 | ||||||
Ingles Markets, Inc. — Class A | 28 | 424 | ||||||
Alico, Inc. | 14 | 399 | ||||||
Inter Parfums, Inc. | 30 | 365 | ||||||
Seneca Foods Corp. — Class A* | 15 | 358 | ||||||
Diedrich Coffee, Inc.* | 10 | 349 | ||||||
Calavo Growers, Inc. | 19 | 323 | ||||||
USANA Health Sciences, Inc.* | 10 | 319 | ||||||
AgFeed Industries, Inc.* | 63 | 315 | ||||||
Farmer Brothers Co. | 15 | 296 | ||||||
Griffin Land & Nurseries, Inc. | 10 | 291 | ||||||
Nutraceutical International Corp.* | 23 | 285 | ||||||
Village Super Market, Inc. | 10 | 273 | ||||||
China-Biotics, Inc.* | 15 | 232 | ||||||
National Beverage Corp. | 15 | 208 | ||||||
Orchids Paper Products Co.* | 10 | 200 | ||||||
Lifeway Foods, Inc.* | 15 | 178 | ||||||
Omega Protein Corp.* | 40 | 174 | ||||||
Oil-Dri Corporation of America | 10 | 155 | ||||||
HQ Sustainable Maritime Industries, Inc.* | 22 | 155 | ||||||
Harbinger Group, Inc.* | 22 | 155 | ||||||
Female Health Co.* | 31 | 147 | ||||||
Overhill Farms, Inc.* | 29 | 141 | ||||||
Schiff Nutrition International, Inc. | 17 | 133 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 79 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Susser Holdings Corp.* | 15 | $ | 129 | |||||
Star Scientific, Inc.* | 172 | 120 | ||||||
Mannatech, Inc. | 30 | 94 | ||||||
Total Consumer Staples | 68,974 | |||||||
UTILITIES 1.7% | ||||||||
Piedmont Natural Gas Co. | 162 | 4,333 | ||||||
Nicor, Inc. | 99 | 4,168 | ||||||
WGL Holdings, Inc. | 106 | 3,555 | ||||||
Cleco Corp. | 128 | 3,498 | ||||||
New Jersey Resources Corp. | 93 | 3,478 | ||||||
Portland General Electric Co. | 156 | 3,184 | ||||||
IDACORP, Inc. | 96 | 3,067 | ||||||
Southwest Gas Corp. | 95 | 2,710 | ||||||
Avista Corp. | 120 | 2,591 | ||||||
Unisource Energy Corp. | 77 | 2,479 | ||||||
Northwest Natural Gas Co. | 55 | 2,477 | ||||||
PNM Resources, Inc. | 187 | 2,366 | ||||||
South Jersey Industries, Inc. | 57 | 2,176 | ||||||
Black Hills Corp. | 80 | 2,130 | ||||||
NorthWestern Corp. | 80 | 2,082 | ||||||
El Paso Electric Co.* | 99 | 2,008 | ||||||
Allete, Inc. | 59 | 1,928 | ||||||
MGE Energy, Inc. | 50 | 1,787 | ||||||
Laclede Group, Inc. | 50 | 1,689 | ||||||
Empire District Electric Co. | 84 | 1,573 | ||||||
UIL Holding Corp. | 55 | 1,544 | ||||||
California Water Service Group | 40 | 1,473 | ||||||
American States Water Co. | 37 | 1,310 | ||||||
CH Energy Group, Inc. | 28 | 1,191 | ||||||
Chesapeake Utilities Corp. | 22 | 705 | ||||||
SJW Corp. | 25 | 564 | ||||||
Central Vermont Public Service Corp. | 25 | 520 | ||||||
York Water Co. | 33 | 479 | ||||||
Unitil Corp. | 20 | 460 | ||||||
Middlesex Water Co. | 25 | 441 | ||||||
Cadiz, Inc.* | 32 | 383 | ||||||
Connecticut Water Service, Inc. | 15 | 372 | ||||||
Consolidated Water Company Ltd. | 26 | 372 | ||||||
Southwest Water Co. | 52 | 306 | ||||||
Pennichuck Corp. | 10 | 211 | ||||||
US Geothermal, Inc.* | 133 | 203 | ||||||
Artesian Resources Corp. — Class A | 10 | 183 | ||||||
Total Utilities | 63,996 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
TELECOMMUNICATION SERVICES 0.5% | ||||||||
Syniverse Holdings, Inc.* | 154 | $ | 2,692 | |||||
AboveNet, Inc.* | 30 | 1,951 | ||||||
Neutral Tandem, Inc.* | 67 | 1,524 | ||||||
Cincinnati Bell, Inc.* | 436 | 1,504 | ||||||
NTELOS Holdings Corp. | 66 | 1,176 | ||||||
Iowa Telecommunications Services, Inc. | 68 | 1,140 | ||||||
PAETEC Holding Corp.* | 272 | 1,129 | ||||||
Premiere Global Services, Inc.* | 133 | 1,097 | ||||||
Cogent Communications Group, Inc.* | 97 | 956 | ||||||
Shenandoah Telecommunications Co. | 45 | 916 | ||||||
Atlantic Tele-Network, Inc. | 16 | 880 | ||||||
Global Crossing Ltd.* | 61 | 869 | ||||||
Alaska Communications Systems Group, Inc. | 101 | 806 | ||||||
Consolidated Communications Holdings, Inc. | 45 | 788 | ||||||
Cbeyond, Inc.* | 47 | 740 | ||||||
USA Mobility, Inc. | 50 | 551 | ||||||
General Communication, Inc. — Class A* | 85 | 542 | ||||||
SureWest Communications* | 30 | 299 | ||||||
HickoryTech Corp. | 30 | 265 | ||||||
inContact, Inc.* | 60 | 176 | ||||||
Total Telecommunication Services | 20,001 | |||||||
Total Common Stocks (Cost $1,595,854) | 2,004,592 | |||||||
RIGHTS 0.0%(a) | ||||||||
Builders FirstSource, Inc.* Expires 01/14/10 | 45 | 11 | ||||||
Flagstar Bancorp, Inc. * Expires 01/25/10 | 167 | — | ||||||
Total Rights | ||||||||
(Cost $9) | 11 | |||||||
80 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 2x STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS† 35.5%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10†† | $ | 406,478 | $ | 406,478 | ||||
Mizuho Financial Group, Inc. issued 12/31/09 at 0.00% due 01/04/10 | 241,499 | 241,499 | ||||||
HSBC Group issued 12/31/09 at 0.00% due 01/04/10 | 239,657 | 239,657 | ||||||
UBS Financial Services, Inc. issued 12/31/09 at 0.00% due 01/04/10 | 239,657 | 239,657 | ||||||
Morgan Stanley issued 12/31/09 at 0.00% due 01/04/10 | 169,169 | 169,169 | ||||||
Total Repurchase Agreements (Cost $1,296,460) | 1,296,460 | |||||||
Total Investments 90.4% (Cost $2,892,324) | $ | 3,301,063 | ||||||
Other Assets in Excess of Liabilities – 9.6% | $ | 350,224 | ||||||
Net Assets – 100.0% | $ | 3,651,287 |
UNREALIZED | ||||||||
CONTRACTS | GAIN | |||||||
FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 Russell 2000 | ||||||||
Index Mini Futures Contracts | ||||||||
(Aggregate Market Value of | ||||||||
Contracts $1,926,650) | 31 | $ | 34,349 | |||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS(b) | ||||||||
Goldman Sachs International | ||||||||
January 2010 Russell 2000 Index Swap, Terminating 01/04/10††† | ||||||||
(Notional Market | ||||||||
Value $1,480,037) | 2,367 | $ | 81,230 | |||||
Credit Suisse Capital, LLC | ||||||||
January 2010 Russell 2000 Index Swap, Terminating 01/04/10††† | ||||||||
(Notional Market Value | ||||||||
$1,848,243) | 2,955 | 22,584 | ||||||
(Total Notional Market | ||||||||
Value $3,328,280) | $ | 103,814 | ||||||
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 6. | |
†† | All or a portion of this security is pledged as equity index swap collateral at December 31, 2009. | |
††† | Total Return based on Russell 2000 Index +/- financing at a variable rate. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 81 |
SCHEDULE OF INVESTMENTS
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 74.2%(a) | ||||||||
FINANCIALS 15.0% | ||||||||
E*Trade Financial Corp.* | 13,245 | $ | 23,179 | |||||
Assured Guaranty Ltd. | 1,040 | 22,630 | ||||||
Highwoods Properties, Inc. | 599 | 19,977 | ||||||
MFA Mortgage Investments, Inc. | 2,359 | 17,339 | ||||||
Platinum Underwriters Holdings Ltd. | 430 | 16,465 | ||||||
Prosperity Bancshares, Inc. | 390 | 15,783 | ||||||
ProAssurance Corp.* | 277 | 14,878 | ||||||
Stifel Financial Corp.* | 251 | 14,869 | ||||||
SVB Financial Group* | 352 | 14,675 | ||||||
National Retail Properties, Inc. | 674 | 14,302 | ||||||
FirstMerit Corp. | 686 | 13,816 | ||||||
Westamerica Bancorporation | 249 | 13,787 | ||||||
Omega Healthcare Investors, Inc. | 692 | 13,459 | ||||||
Home Properties, Inc. | 282 | 13,454 | ||||||
Washington Real Estate Investment Trust | 486 | 13,389 | ||||||
Tanger Factory Outlet Centers, Inc. | 342 | 13,335 | ||||||
BioMed Realty Trust, Inc. | 833 | 13,145 | ||||||
Apollo Investment Corp. | 1,368 | 13,037 | ||||||
Montpelier Re Holdings Ltd. | 733 | 12,696 | ||||||
Developers Diversified Realty Corp. | 1,355 | 12,547 | ||||||
Entertainment Properties Trust | 350 | 12,344 | ||||||
American Campus Communities, Inc. | 436 | 12,252 | ||||||
East West Bancorp, Inc. | 771 | 12,182 | ||||||
Trustmark Corp. | 537 | 12,104 | ||||||
Knight Capital Group, Inc. — Class A* | 777 | 11,966 | ||||||
Ares Capital Corp. | 922 | 11,479 | ||||||
Mid-America Apartment Communities, Inc. | 235 | 11,346 | ||||||
CBL & Associates Properties, Inc. | 1,159 | 11,208 | ||||||
LaSalle Hotel Properties | 526 | 11,167 | ||||||
Kilroy Realty Corp. | 356 | 10,919 | ||||||
Signature Bank* | 340 | 10,846 | ||||||
NewAlliance Bancshares, Inc. | 901 | 10,821 | ||||||
Healthcare Realty Trust, Inc. | 497 | 10,666 | ||||||
Potlatch Corp. | 331 | 10,552 | ||||||
Equity Lifestyle Properties, Inc. | 209 | 10,548 | ||||||
UMB Financial Corp. | 266 | 10,467 | ||||||
Hancock Holding Co. | 235 | 10,291 | ||||||
Umpqua Holding Corp. | 733 | 9,830 | ||||||
First Financial Bankshares, Inc. | 178 | 9,653 | ||||||
Redwood Trust, Inc. | 651 | 9,413 | ||||||
Zenith National Insurance Corp. | 312 | 9,291 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Old National Bancorp | 728 | $ | 9,049 | |||||
Astoria Financial Corp. | 719 | 8,937 | ||||||
IBERIABANK Corp. | 165 | 8,879 | ||||||
Delphi Financial Group, Inc. — Class A | 394 | 8,814 | ||||||
Cash America International, Inc. | 252 | 8,810 | ||||||
Piper Jaffray Companies, Inc.* | 174 | 8,806 | ||||||
Tower Group, Inc. | 370 | 8,662 | ||||||
DCT Industrial Trust, Inc. | 1,723 | 8,649 | ||||||
Max Capital Group Ltd. | 386 | 8,608 | ||||||
Conseco, Inc.* | 1,703 | 8,515 | ||||||
Hatteras Financial Corp. | 303 | 8,472 | ||||||
Extra Space Storage, Inc. | 732 | 8,455 | ||||||
RLI Corp. | 158 | 8,413 | ||||||
MB Financial, Inc. | 423 | 8,342 | ||||||
DiamondRock Hospitality Co. | 979 | 8,292 | ||||||
International Bancshares Corp. | 438 | 8,291 | ||||||
Sovran Self Storage, Inc. | 230 | 8,218 | ||||||
Franklin Street Properties Corp. | 560 | 8,182 | ||||||
Eastgroup Properties, Inc. | 212 | 8,115 | ||||||
National Health Investors, Inc. | 218 | 8,064 | ||||||
Post Properties, Inc. | 406 | 7,958 | ||||||
KBW, Inc.* | 290 | 7,934 | ||||||
Capstead Mortgage Corp. | 578 | 7,890 | ||||||
PS Business Parks, Inc. | 152 | 7,608 | ||||||
Argo Group International Holdings Ltd.* | 258 | 7,518 | ||||||
Starwood Property Trust, Inc. | 390 | 7,367 | ||||||
Sunstone Hotel Investors, Inc.* | 828 | 7,353 | ||||||
PHH Corp.* | 455 | 7,330 | ||||||
Selective Insurance Group, Inc. | 436 | 7,172 | ||||||
Glacier Bancorp, Inc. | 521 | 7,148 | ||||||
Webster Financial Corp. | 566 | 6,718 | ||||||
Medical Properties Trust, Inc. | 668 | 6,680 | ||||||
Anworth Mortgage Asset Corp. | 950 | 6,650 | ||||||
Forestar Real Estate Group, Inc.* | 298 | 6,550 | ||||||
Colonial Properties Trust | 558 | 6,545 | ||||||
FNB Corp. | 957 | 6,498 | ||||||
Ezcorp, Inc.* | 376 | 6,471 | ||||||
United Bankshares, Inc. | 318 | 6,350 | ||||||
Pico Holdings, Inc.* | 194 | 6,350 | ||||||
First Financial Bancorp | 428 | 6,232 | ||||||
Prospect Capital Corp. | 527 | 6,224 | ||||||
Wintrust Financial Corp. | 200 | 6,158 | ||||||
CVB Financial Corp. | 708 | 6,117 | ||||||
National Penn Bancshares, Inc. | 1,056 | 6,114 | ||||||
MGIC Investment Corp.* | 1,051 | 6,075 | ||||||
Financial Federal Corp. | 220 | 6,050 | ||||||
NBT Bancorp, Inc. | 293 | 5,968 | ||||||
Portfolio Recovery Associates, Inc.* | 132 | 5,924 | ||||||
Artio Global Investors, Inc.* | 230 | 5,863 |
82 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
American Capital Ltd.* | 2,360 | $ | 5,758 | |||||
MF Global Holdings Ltd.* | 809 | 5,623 | ||||||
Acadia Realty Trust | 332 | 5,601 | ||||||
Employers Holdings, Inc. | 365 | 5,599 | ||||||
Greenlight Capital Re Ltd. — Class A* | 235 | 5,539 | ||||||
Park National Corp. | 94 | 5,535 | ||||||
optionsXpress Holdings, Inc. | 355 | 5,485 | ||||||
Investors Real Estate Trust | 609 | 5,481 | ||||||
Community Bank System, Inc. | 282 | 5,445 | ||||||
Allied Capital Corp.* | 1,496 | 5,401 | ||||||
Provident Financial Services, Inc. | 497 | 5,293 | ||||||
LTC Properties, Inc. | 196 | 5,243 | ||||||
Radian Group, Inc. | 694 | 5,073 | ||||||
Navigators Group, Inc.* | 106 | 4,994 | ||||||
Lexington Realty Trust | 820 | 4,986 | ||||||
First Midwest Bancorp, Inc. | 456 | 4,966 | ||||||
U-Store-It Trust | 673 | 4,926 | ||||||
Brookline Bancorp, Inc. | 495 | 4,905 | ||||||
World Acceptance Corp.* | 136 | 4,873 | ||||||
Alexander’s, Inc.* | 16 | 4,871 | ||||||
Dollar Financial Corp.* | 204 | 4,827 | ||||||
Inland Real Estate Corp. | 589 | 4,800 | ||||||
Cousins Properties, Inc. | 622 | 4,746 | ||||||
Infinity Property & Casualty Corp. | 116 | 4,714 | ||||||
Ocwen Financial Corp.* | 475 | 4,546 | ||||||
Equity One, Inc. | 276 | 4,463 | ||||||
Investors Bancorp, Inc.* | 402 | 4,398 | ||||||
PacWest Bancorp | 215 | 4,332 | ||||||
City Holding Co. | 134 | 4,332 | ||||||
First Cash Financial Services, Inc.* | 193 | 4,283 | ||||||
Susquehanna Bancshares, Inc. | 726 | 4,276 | ||||||
National Western Life Insurance Co. — Class A | 24 | 4,167 | ||||||
Horace Mann Educators Corp. | 333 | 4,162 | ||||||
Chemical Financial Corp. | 176 | 4,150 | ||||||
Texas Capital Bancshares, Inc.* | 295 | 4,118 | ||||||
TrustCo Bank Corp. | 640 | 4,032 | ||||||
PrivateBancorp, Inc. | 448 | 4,019 | ||||||
Enstar Group* | 55 | 4,016 | ||||||
Safety Insurance Group, Inc. | 110 | 3,985 | ||||||
DuPont Fabros Technology, Inc. | 220 | 3,958 | ||||||
Cathay General Bancorp | 524 | 3,956 | ||||||
Pinnacle Financial Partners, Inc.* | 278 | 3,953 | ||||||
Columbia Banking Systems, Inc. | 238 | 3,851 | ||||||
Simmons First National Corp. | 137 | 3,809 | ||||||
Independent Bank Corp. | 182 | 3,802 | ||||||
Hilltop Holdings, Inc.* | 326 | 3,795 | ||||||
Northwest Bancshares, Inc. | 332 | 3,758 | ||||||
Market Axess Holdings, Inc. | 265 | 3,683 | ||||||
Home Bancshares, Inc. | 153 | 3,683 | ||||||
Parkway Properties, Inc. | 175 | 3,643 |
MARKET | ||||||||
SHARES | VALUE | |||||||
American Capital Agency Corp. | 136 | $ | 3,609 | |||||
American Equity Investment Life Holding Co. | 485 | 3,608 | ||||||
Flagstone Reinsurance Holdings | 326 | 3,566 | ||||||
Evercore Partners, Inc. — Class A | 117 | 3,557 | ||||||
Getty Realty Corp. | 150 | 3,529 | ||||||
Sterling Bancshares, Inc. | 686 | 3,519 | ||||||
Meadowbrook Insurance Group, Inc. | 475 | 3,515 | ||||||
United Fire & Casualty Co. | 190 | 3,464 | ||||||
S&T Bancorp, Inc. | 197 | 3,351 | ||||||
Harleysville Group, Inc. | 105 | 3,338 | ||||||
First Commonwealth Financial Corp. | 716 | 3,329 | ||||||
Bank of the Ozarks, Inc. | 113 | 3,308 | ||||||
eHealth, Inc.* | 199 | 3,270 | ||||||
Boston Private Financial Holdings, Inc. | 566 | 3,266 | ||||||
Banco Latinoamericano de Comercio Exterior SA | 233 | 3,239 | ||||||
Cohen & Steers, Inc. | 141 | 3,220 | ||||||
Community Trust Bancorp, Inc. | 130 | 3,178 | ||||||
Nara Bancorp, Inc.* | 280 | 3,175 | ||||||
SCBT Financial Corp. | 113 | 3,129 | ||||||
Hercules Technology Growth Capital, Inc. | 299 | 3,107 | ||||||
First Potomac Realty Trust | 246 | 3,092 | ||||||
Maiden Holdings Ltd. | 419 | 3,067 | ||||||
Riskmetrics Group, Inc.* | 192 | 3,055 | ||||||
Fifth Street Finance Corp. | 283 | 3,039 | ||||||
Universal Health Realty Income Trust | 91 | 2,915 | ||||||
First Financial Corp. | 95 | 2,899 | ||||||
GAMCO Investors, Inc. — Class A | 60 | 2,897 | ||||||
Amerisafe, Inc.* | 161 | 2,893 | ||||||
National Financial Partners Corp.* | 350 | 2,831 | ||||||
Nelnet, Inc. — Class A | 164 | 2,826 | ||||||
Flushing Financial Corp. | 249 | 2,804 | ||||||
Sun Communities, Inc. | 140 | 2,765 | ||||||
Walter Investment Management Corp. | 190 | 2,723 | ||||||
SWS Group, Inc. | 225 | 2,722 | ||||||
Beneficial Mutual Bancorp, Inc.* | 274 | 2,696 | ||||||
Phoenix Companies, Inc.* | 968 | 2,691 | ||||||
Pennsylvania Real Estate Investment Trust | 316 | 2,673 | ||||||
Tompkins Financial Corp. | 66 | 2,673 | ||||||
Bank Mutual Corp. | 386 | 2,671 | ||||||
Oppenheimer Holdings, Inc. — Class A | 80 | 2,658 | ||||||
Tejon Ranch Co.* | 90 | 2,630 | ||||||
Dime Community Bancshares | 222 | 2,602 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 83 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Urstadt Biddle Properties | 165 | $ | 2,520 | |||||
Duff & Phelps Corp. — Class A | 137 | 2,502 | ||||||
GFI Group, Inc. | 545 | 2,491 | ||||||
Renasant Corp. | 183 | 2,489 | ||||||
Compass Diversified Trust | 195 | 2,488 | ||||||
Colony Financial, Inc. | 120 | 2,444 | ||||||
Camden National Corp. | 74 | 2,420 | ||||||
United America Indemnity Ltd. — Class A* | 305 | 2,416 | ||||||
Provident New York Bancorp | 286 | 2,414 | ||||||
Berkshire Hills Bancorp, Inc. | 116 | 2,399 | ||||||
Univest Corporation of Pennsylvania | 136 | 2,384 | ||||||
MCG Capital Corp.* | 546 | 2,359 | ||||||
FPIC Insurance Group, Inc.* | 61 | 2,356 | ||||||
WesBanco, Inc. | 190 | 2,345 | ||||||
Danvers Bancorp, Inc. | 180 | 2,338 | ||||||
Education Realty Trust, Inc. | 480 | 2,323 | ||||||
United Community Banks, Inc.* | 685 | 2,322 | ||||||
Government Properties Income Trust | 100 | 2,298 | ||||||
Harleysville National Corp. | 356 | 2,293 | ||||||
Citizens Banking Corp.* | 3,317 | 2,289 | ||||||
First Industrial Realty Trust, Inc.* | 436 | 2,280 | ||||||
Amtrust Financial Services, Inc. | 192 | 2,269 | ||||||
Cedar Shopping Centers, Inc. | 333 | 2,264 | ||||||
State Auto Financial Corp. | 121 | 2,238 | ||||||
Suffolk Bancorp | 75 | 2,227 | ||||||
Lakeland Financial Corp. | 129 | 2,225 | ||||||
TradeStation Group, Inc.* | 281 | 2,217 | ||||||
Advance America Cash Advance Centers, Inc. | 393 | 2,185 | ||||||
American Physicians Capital, Inc. | 72 | 2,183 | ||||||
iStar Financial, Inc.* | 839 | 2,148 | ||||||
Credit Acceptance Corp.* | 51 | 2,147 | ||||||
Westfield Financial, Inc. | 260 | 2,145 | ||||||
Ramco-Gershenson Properties Trust | 224 | 2,137 | ||||||
Northfield Bancorp, Inc. | 158 | 2,136 | ||||||
Oriental Financial Group | 197 | 2,128 | ||||||
1st Source Corp. | 131 | 2,108 | ||||||
Cardinal Financial Corp. | 241 | 2,106 | ||||||
MVC Capital, Inc. | 177 | 2,089 | ||||||
Southside Bancshares, Inc. | 106 | 2,080 | ||||||
CNA Surety Corp.* | 139 | 2,070 | ||||||
Pennymac Mortgage Investment Trust* | 120 | 2,062 | ||||||
Ashford Hospitality Trust, Inc.* | 443 | 2,056 | ||||||
Arrow Financial Corp. | 82 | 2,050 | ||||||
SY Bancorp, Inc. | 96 | 2,050 | ||||||
TowneBank | 175 | 2,044 | ||||||
SeaBright Insurance Holdings, Inc.* | 175 | 2,011 | ||||||
Ambac Financial Group, Inc.* | 2,417 | 2,006 |
MARKET | ||||||||
SHARES | VALUE | |||||||
TriCo Bancshares | 120 | $ | 1,998 | |||||
Broadpoint Gleacher Securities, Inc.* | 442 | 1,971 | ||||||
FBL Financial Group, Inc. — Class A | 105 | 1,945 | ||||||
FelCor Lodging Trust, Inc.* | 538 | 1,937 | ||||||
Calamos Asset Management, Inc. — Class A | 166 | 1,914 | ||||||
NorthStar Realty Finance Corp. | 556 | 1,907 | ||||||
Cypress Sharpridge Investments, Inc. | 140 | 1,891 | ||||||
PennantPark Investment Corp. | 212 | 1,891 | ||||||
Bancfirst Corp. | 51 | 1,889 | ||||||
StellarOne Corp. | 189 | 1,882 | ||||||
CapLease, Inc. | 426 | 1,866 | ||||||
Home Federal Bancorp, Inc. | 140 | 1,863 | ||||||
United Financial Bancorp, Inc. | 141 | 1,849 | ||||||
Citizens, Inc.* | 283 | 1,848 | ||||||
Encore Capital Group, Inc.* | 105 | 1,827 | ||||||
Washington Trust Bancorp, Inc. | 117 | 1,823 | ||||||
BGC Partners, Inc. — Class A | 394 | 1,820 | ||||||
Westwood Holdings Group, Inc. | 50 | 1,817 | ||||||
Union Bankshares Corp. | 146 | 1,809 | ||||||
Territorial Bancorp, Inc.* | 100 | 1,805 | ||||||
Safeguard Scientifics, Inc.* | 172 | 1,773 | ||||||
BankFinancial Corp. | 178 | 1,762 | ||||||
Baldwind & Lyons, Inc. — Class B | 71 | 1,747 | ||||||
PMA Capital Corp.* | 273 | 1,720 | ||||||
First Bancorp | 123 | 1,718 | ||||||
Pacific Continental Corp. | 149 | 1,705 | ||||||
First Mercury Financial Corp. | 123 | 1,686 | ||||||
Republic Bancorp, Inc. | 80 | 1,648 | ||||||
International Assets Holding Corp.* | 113 | 1,643 | ||||||
Consolidated-Tomoka Land Co. | 47 | 1,642 | ||||||
Orrstown Financial Services, Inc. | 47 | 1,639 | ||||||
Saul Centers, Inc. | 50 | 1,638 | ||||||
First Financial Holdings, Inc. | 125 | 1,624 | ||||||
Great Southern Bancorp, Inc. | 76 | 1,623 | ||||||
Centerstate Banks of Florida, Inc. | 160 | 1,614 | ||||||
Donegal Group, Inc. — Class A | 103 | 1,601 | ||||||
Washington Banking Co. | 134 | 1,600 | ||||||
Kite Realty Group Trust | 392 | 1,595 | ||||||
Invesco Mortgage Capital, Inc. | 70 | 1,593 | ||||||
WSFS Financial Corp. | 62 | 1,589 | ||||||
National Bankshares, Inc. | 56 | 1,584 | ||||||
Heartland Financial USA, Inc. | 110 | 1,578 | ||||||
First Bancorp Puerto Rico | 675 | 1,552 | ||||||
First Busey Corp. | 397 | 1,544 | ||||||
Kearny Financial Corp. | 153 | 1,542 | ||||||
CreXus Investment Corp.* | 110 | 1,536 | ||||||
The PMI Group, Inc.* | 609 | 1,535 |
84 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Stewart Information Services Corp. | 136 | $ | 1,534 | |||||
Presidential Life Corp. | 167 | 1,528 | ||||||
Capital Southwest Corp. | 19 | 1,497 | ||||||
German American Bancorp | 91 | 1,479 | ||||||
Penson Worldwide Company, Inc.* | 162 | 1,468 | ||||||
Western Alliance Bancorp* | 388 | 1,467 | ||||||
ESSA Bancorp, Inc. | 125 | 1,462 | ||||||
First Community Bancshares, Inc. | 121 | 1,458 | ||||||
Apollo Commercial Real Estate Finance, Inc.* | 80 | 1,439 | ||||||
NGP Capital Resources Co. | 175 | 1,423 | ||||||
Associated Estates Realty Corp. | 125 | 1,409 | ||||||
Agree Realty Corp. | 60 | 1,397 | ||||||
Glimcher Realty Trust | 516 | 1,393 | ||||||
Cogdell Spencer, Inc. | 245 | 1,387 | ||||||
Gladstone Capital Corp. | 178 | 1,371 | ||||||
Capital City Bank Group, Inc. | 99 | 1,370 | ||||||
US Global Investors, Inc. — Class A | 111 | 1,366 | ||||||
TICC Capital Corp. | 224 | 1,355 | ||||||
Monmouth Real Estate Investment Corp. — Class A | 182 | 1,354 | ||||||
LaBranche & Company, Inc.* | 473 | 1,343 | ||||||
Eagle Bancorp, Inc.* | 126 | 1,319 | ||||||
Wilshire Bancorp, Inc. | 160 | 1,310 | ||||||
Kansas City Life Insurance Co. | 44 | 1,309 | ||||||
Hersha Hospitality Trust | 415 | 1,303 | ||||||
Bank of Marin Bancorp | 40 | 1,302 | ||||||
Life Partners Holdings, Inc. | 61 | 1,293 | ||||||
Ames National Corp. | 61 | 1,288 | ||||||
ViewPoint Financial Group | 88 | 1,268 | ||||||
Avatar Holdings, Inc.* | 73 | 1,242 | ||||||
Abington Bancorp, Inc. | 180 | 1,240 | ||||||
Kayne Anderson Energy Development Co. | 85 | 1,237 | ||||||
Cardtronics, Inc.* | 111 | 1,229 | ||||||
First of Long Island Corp. | 48 | 1,212 | ||||||
Sandy Spring Bancorp, Inc. | 136 | 1,209 | ||||||
CoBiz Financial, Inc. | 254 | 1,206 | ||||||
Bridge Bancorp, Inc. | 50 | 1,202 | ||||||
Oceanfirst Financial Corp. | 106 | 1,198 | ||||||
Epoch Holding Corp. | 113 | 1,181 | ||||||
Bancorp/DE, Inc.* | 171 | 1,173 | ||||||
Harris & Harris Group, Inc.* | 256 | 1,170 | ||||||
South Financial Group, Inc. | 1,813 | 1,169 | ||||||
Oritani Financial Corp. | 85 | 1,167 | ||||||
Strategic Hotels & Resorts, Inc.* | 625 | 1,162 | ||||||
American National Bankshares, Inc. | 53 | 1,161 | ||||||
American Physicians Service Group, Inc. | 50 | 1,153 |
MARKET | ||||||||
SHARES | VALUE | |||||||
First Bancorp, Inc. | 74 | $ | 1,141 | |||||
Winthrop Realty Trust | 104 | 1,129 | ||||||
JMP Group, Inc. | 116 | 1,128 | ||||||
First Marblehead Corp.* | 523 | 1,114 | ||||||
Heritage Financial Corp. | 80 | 1,102 | ||||||
Mission West Properties | 152 | 1,093 | ||||||
First Merchants Corp. | 182 | 1,081 | ||||||
Lakeland Bancorp, Inc. | 169 | 1,080 | ||||||
Medallion Financial Corp. | 130 | 1,062 | ||||||
Financial Institutions, Inc. | 90 | 1,060 | ||||||
ESB Financial Corp. | 80 | 1,058 | ||||||
CNB Financial Corp. | 66 | 1,055 | ||||||
Sterling Bancorp | 147 | 1,050 | ||||||
Triangle Capital Corp. | 86 | 1,040 | ||||||
Metro Bancorp, Inc.* | 82 | 1,031 | ||||||
Diamond Hill Investment Group, Inc. | 16 | 1,028 | ||||||
Bancorp Rhode Island, Inc. | 40 | 1,027 | ||||||
First Financial Northwest, Inc. | 150 | 982 | ||||||
Home Bancorp, Inc.* | 80 | 975 | ||||||
Penns Woods Bancorp, Inc. | 30 | 973 | ||||||
Shore Bancshares, Inc. | 67 | 969 | ||||||
Main Street Capital Corp. | 60 | 967 | ||||||
Citizens & Northern Corp. | 100 | 954 | ||||||
American Safety Insurance Holdings Ltd.* | 66 | 954 | ||||||
Gramercy Capital Corp.* | 362 | 938 | ||||||
BlackRock Kelso Capital Corp. | 109 | 929 | ||||||
FBR Capital Markets Corp.* | 150 | 927 | ||||||
China Housing & Land Development, Inc.* | 222 | 917 | ||||||
Mercer Insurance Group, Inc. | 50 | 908 | ||||||
Peoples Bancorp, Inc. | 92 | 891 | ||||||
Bryn Mawr Bank Corp. | 59 | 890 | ||||||
NewStar Financial, Inc.* | 227 | 890 | ||||||
National Interstate Corp. | 52 | 882 | ||||||
Sanders Morris Harris Group, Inc. | 160 | 880 | ||||||
Gladstone Commercial Corp. | 65 | 872 | ||||||
Asset Acceptance Capital Corp.* | 128 | 868 | ||||||
Peapack Gladstone Financial Corp. | 67 | 850 | ||||||
Gladstone Investment Corp. | 186 | 848 | ||||||
Center Bancorp, Inc. | 95 | 847 | ||||||
Tower Bancorp, Inc. | 37 | 845 | ||||||
Northrim BanCorp, Inc. | 50 | 844 | ||||||
Merchants Bancshares, Inc. | 37 | 838 | ||||||
Ameris Bancorp | 117 | 837 | ||||||
State Bancorp, Inc. | 116 | 825 | ||||||
Resource Capital Corp. | 167 | 822 | ||||||
EMC Insurance Group, Inc. | 38 | 817 | ||||||
Southwest Bancorp, Inc. | 116 | 805 | ||||||
Roma Financial Corp. | 65 | 803 | ||||||
MainSource Financial Group, Inc. | 165 | 789 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 85 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
United Security Bancshares | 46 | $ | 788 | |||||
Enterprise Financial Services Corp. | 101 | 779 | ||||||
Care Investment Trust, Inc. | 99 | 770 | ||||||
Cowen Group, Inc.* | 130 | 770 | ||||||
Clifton Savings Bancorp, Inc. | 80 | 750 | ||||||
Virtus Investment Partners, Inc.* | 47 | 747 | ||||||
First Defiance Financial Corp. | 66 | 745 | ||||||
Dynex Capital, Inc. | 85 | 742 | ||||||
First South Bancorp, Inc. | 72 | 742 | ||||||
Alliance Financial Corp. | 27 | 733 | ||||||
RAIT Financial Trust* | 550 | 720 | ||||||
Smithtown Bancorp, Inc. | 120 | 714 | ||||||
NASB Financial, Inc. | 30 | 699 | ||||||
Kohlberg Capital Corp. | 152 | 693 | ||||||
Rockville Financial, Inc. | 65 | 682 | ||||||
UMH Properties, Inc. | 80 | 678 | ||||||
Citizens Holding Co. | 30 | 672 | ||||||
Crawford & Co. — Class B* | 170 | 670 | ||||||
Meridian Interstate Bancorp, Inc.* | 77 | 669 | ||||||
Ohio Valley Banc Corp. | 30 | 661 | ||||||
Century Bancorp, Inc. | 30 | 661 | ||||||
Universal Insurance Holdings, Inc. | 110 | 646 | ||||||
Thomas Weisel Partners Group, Inc.* | 170 | 643 | ||||||
West Bancorporation | 130 | 641 | ||||||
Cape Bancorp, Inc.* | 95 | 638 | ||||||
Rewards Network, Inc. | 50 | 632 | ||||||
Midsouth Bancorp, Inc. | 45 | 625 | ||||||
Hallmark Financial Services, Inc.* | 78 | 621 | ||||||
NYMAGIC, Inc. | 37 | 614 | ||||||
Peoples Financial Corp. | 30 | 610 | ||||||
Eastern Insurance Holdings, Inc. | 70 | 603 | ||||||
Legacy Bancorp, Inc. | 61 | 601 | ||||||
Old Second Bancorp, Inc. | 85 | 586 | ||||||
Guaranty Bancorp* | 443 | 585 | ||||||
Norwood Financial Corp. | 20 | 572 | ||||||
Sierra Bancorp | 74 | 565 | ||||||
Bank of Kentucky Financial Corp. | 30 | 563 | ||||||
Chicopee Bancorp, Inc.* | 45 | 562 | ||||||
Bar Harbor Bankshares | 20 | 549 | ||||||
Farmers Capital Bank Corp. | 50 | 511 | ||||||
Enterprise Bancorp, Inc. | 46 | 504 | ||||||
Yadkin Valley Financial Corp. | 137 | 501 | ||||||
Santander BanCorp* | 40 | 491 | ||||||
Primus Guaranty Ltd.* | 160 | 488 | ||||||
Pzena Investment Management, Inc. — Class A* | 59 | 480 | ||||||
Tree.com, Inc.* | 50 | 458 | ||||||
Fox Chase Bancorp, Inc.* | 48 | 457 | ||||||
CompuCredit Holdings Corp. | 136 | 453 | ||||||
Banner Corp. | 160 | 429 | ||||||
Sun Bancorp, Inc.* | 111 | 416 | ||||||
Resource America, Inc. — Class A | 103 | 416 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Pacific Capital Bancorp | 394 | $ | 378 | |||||
American Realty Investors, Inc.* | 30 | 368 | ||||||
Central Pacific Financial Corp.* | 264 | 346 | ||||||
Wilber Corp. | 47 | 338 | ||||||
Flagstar Bancorp, Inc.* | 563 | 338 | ||||||
Kentucky First Federal Bancorp | 30 | 330 | ||||||
Northeast Community Bancorp, Inc. | 50 | 329 | ||||||
Porter Bancorp, Inc. | 21 | 316 | ||||||
Auburn National Bancorporation, Inc. | 16 | 315 | ||||||
Brooklyn Federal Bancorp, Inc. | 30 | 301 | ||||||
Independence Holding Co. | 51 | 296 | ||||||
Prudential Bancorp of Pennsylvania, Inc. | 30 | 286 | ||||||
Hampton Roads Bankshares, Inc. | 162 | 280 | ||||||
First Financial Service Corp. | 30 | 272 | ||||||
Sterling Savings Bank* | 435 | 270 | ||||||
First Acceptance Corp.* | 136 | 265 | ||||||
K-Fed Bancorp | 30 | 264 | ||||||
California First National Bancorp | 20 | 261 | ||||||
Premierwest Bancorp | 176 | 250 | ||||||
Old Point Financial Corp. | 16 | 249 | ||||||
Republic First Bancorp, Inc.* | 57 | 243 | ||||||
Doral Financial Corp.* | 48 | 174 | ||||||
Cheviot Financial Corp. | 20 | 148 | ||||||
First California Financial Group, Inc.* | 50 | 137 | ||||||
QC Holdings, Inc. | 27 | 130 | ||||||
Waterstone Financial, Inc.* | 63 | 129 | ||||||
Transcontinental Realty Investors, Inc.* | 10 | 119 | ||||||
Heritage Financial Group | 16 | 116 | ||||||
Total Financials | 1,592,193 | |||||||
INFORMATION TECHNOLOGY 13.6% | ||||||||
3Com Corp.* | 3,262 | 24,465 | ||||||
Solera Holdings, Inc. | 587 | 21,138 | ||||||
Skyworks Solutions, Inc.* | 1,405 | 19,937 | ||||||
Informatica Corp.* | 728 | 18,826 | ||||||
Atheros Communications, Inc.* | 535 | 18,318 | ||||||
Polycom, Inc.* | 714 | 17,829 | ||||||
Jack Henry & Associates, Inc. | 714 | 16,508 | ||||||
Parametric Technology Corp.* | 982 | 16,046 | ||||||
TIBCO Software, Inc.* | 1,481 | 14,262 | ||||||
Palm, Inc.* | 1,391 | 13,966 | ||||||
Concur Technologies, Inc.* | 326 | 13,936 | ||||||
Unisys Corp.* | 356 | 13,727 | ||||||
CACI International, Inc. — Class A* | 250 | 12,212 | ||||||
Microsemi Corp.* | 681 | 12,088 | ||||||
Blackboard, Inc.* | 265 | 12,028 | ||||||
Anixter International, Inc.* | 254 | 11,963 | ||||||
Arris Group, Inc.* | 1,044 | 11,933 | ||||||
Cybersource Corp.* | 582 | 11,704 |
86 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Rackspace Hosting, Inc.* | 561 | $ | 11,697 | |||||
MercadoLibre, Inc.* | 216 | 11,204 | ||||||
RF Micro Devices, Inc.* | 2,242 | 10,694 | ||||||
Plantronics, Inc. | 407 | 10,574 | ||||||
Veeco Instruments, Inc.* | 320 | 10,573 | ||||||
ADTRAN, Inc. | 464 | 10,463 | ||||||
Benchmark Electronics, Inc.* | 553 | 10,457 | ||||||
Riverbed Technology, Inc.* | 455 | 10,451 | ||||||
Wright Express Corp.* | 323 | 10,291 | ||||||
VeriFone Holdings, Inc.* | 607 | 9,943 | ||||||
Progress Software Corp.* | 340 | 9,931 | ||||||
Cymer, Inc.* | 254 | 9,749 | ||||||
InterDigital, Inc.* | 365 | 9,687 | ||||||
Tessera Technologies, Inc.* | 410 | 9,541 | ||||||
Blue Coat Systems, Inc.* | 333 | 9,504 | ||||||
Plexus Corp.* | 333 | 9,490 | ||||||
TiVo, Inc.* | 922 | 9,386 | ||||||
Quest Software, Inc.* | 508 | 9,347 | ||||||
Ariba, Inc.* | 742 | 9,290 | ||||||
Formfactor, Inc.* | 418 | 9,096 | ||||||
Euronet Worldwide, Inc.* | 409 | 8,978 | ||||||
Gartner, Inc. — Class A* | 497 | 8,966 | ||||||
Synaptics, Inc.* | 289 | 8,858 | ||||||
Blackbaud, Inc. | 373 | 8,814 | ||||||
Mantech International Corp. — Class A* | 180 | 8,690 | ||||||
Fair Isaac Corp. | 406 | 8,652 | ||||||
Tekelec* | 564 | 8,618 | ||||||
Digital River, Inc.* | 319 | 8,610 | ||||||
Semtech Corp.* | 506 | 8,607 | ||||||
Comtech Telecommunications Corp.* | 237 | 8,307 | ||||||
Commvault Systems, Inc.* | 346 | 8,197 | ||||||
AsiaInfo Holdings, Inc.* | 260 | 7,922 | ||||||
j2 Global Communications, Inc.* | 384 | 7,814 | ||||||
Lawson Software, Inc.* | 1,164 | 7,741 | ||||||
Taleo Corp.* | 325 | 7,644 | ||||||
Emulex Corp.* | 701 | 7,641 | ||||||
Acxiom Corp.* | 569 | 7,636 | ||||||
MicroStrategy, Inc. — Class A* | 80 | 7,522 | ||||||
MAXIMUS, Inc. | 150 | 7,500 | ||||||
Cavium Networks, Inc.* | 312 | 7,435 | ||||||
Triquint Semiconductor, Inc.* | 1,237 | 7,422 | ||||||
EarthLink, Inc. | 889 | 7,388 | ||||||
ValueClick, Inc.* | 725 | 7,337 | ||||||
FEI Co.* | 313 | 7,312 | ||||||
MKS Instruments, Inc.* | 411 | 7,156 | ||||||
Hittite Microwave Corp.* | 175 | 7,131 | ||||||
ViaSat, Inc.* | 224 | 7,119 | ||||||
Power Integrations, Inc. | 195 | 7,090 | ||||||
Monolithic Power Systems, Inc.* | 292 | 6,999 | ||||||
Mentor Graphics Corp.* | 792 | 6,993 | ||||||
Take-Two Interactive Software, Inc.* | 676 | 6,794 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Netlogic Microsystems, Inc.* | 146 | $ | 6,754 | |||||
Intermec, Inc.* | 515 | 6,623 | ||||||
SRA International, Inc. — Class A* | 346 | 6,609 | ||||||
Amkor Technology, Inc.* | 920 | 6,587 | ||||||
SuccessFactors, Inc.* | 393 | 6,516 | ||||||
Websense, Inc.* | 373 | 6,513 | ||||||
GSI Commerce, Inc.* | 256 | 6,500 | ||||||
Cabot Microelectronics Corp.* | 196 | 6,460 | ||||||
JDA Software Group, Inc.* | 253 | 6,444 | ||||||
Netgear, Inc.* | 291 | 6,312 | ||||||
Infinera Corp.* | 709 | 6,289 | ||||||
OmniVision Technologies, Inc.* | 416 | 6,044 | ||||||
Scansource, Inc.* | 222 | 5,927 | ||||||
DealerTrack Holdings, Inc.* | 315 | 5,919 | ||||||
Cognex Corp. | 333 | 5,901 | ||||||
Sapient Corp.* | 713 | 5,897 | ||||||
Diodes, Inc.* | 284 | 5,808 | ||||||
Ultimate Software Group, Inc.* | 196 | 5,757 | ||||||
Littelfuse, Inc.* | 179 | 5,755 | ||||||
Entegris, Inc.* | 1,085 | 5,729 | ||||||
Rofin-Sinar Technologies, Inc.* | 241 | 5,690 | ||||||
CSG Systems International, Inc.* | 295 | 5,632 | ||||||
TeleTech Holdings, Inc.* | 270 | 5,408 | ||||||
Electronics for Imaging, Inc.* | 411 | 5,347 | ||||||
TNS, Inc.* | 206 | 5,292 | ||||||
Aruba Networks, Inc.* | 495 | 5,277 | ||||||
Coherent, Inc.* | 177 | 5,262 | ||||||
Tyler Technologies, Inc.* | 264 | 5,256 | ||||||
Quantum Corp.* | 1,771 | 5,189 | ||||||
Harmonic, Inc.* | 808 | 5,115 | ||||||
Advent Software, Inc.* | 125 | 5,091 | ||||||
Net 1 UEPS Technologies, Inc.* | 262 | 5,088 | ||||||
Sourcefire, Inc.* | 189 | 5,056 | ||||||
ADC Telecommunications, Inc.* | 813 | 5,049 | ||||||
United Online, Inc. | 697 | 5,011 | ||||||
Checkpoint Systems, Inc.* | 327 | 4,987 | ||||||
DTS, Inc. — Class A* | 145 | 4,960 | ||||||
SYNNEX Corp.* | 160 | 4,906 | ||||||
ACI Worldwide, Inc.* | 285 | 4,888 | ||||||
ATMI, Inc.* | 260 | 4,841 | ||||||
Art Technology Group, Inc.* | 1,068 | 4,817 | ||||||
DG FastChannel, Inc.* | 172 | 4,804 | ||||||
Zoran Corp.* | 426 | 4,707 | ||||||
Park Electrochemical Corp. | 170 | 4,699 | ||||||
L-1 Identity Solutions, Inc.* | 626 | 4,689 | ||||||
Brooks Automation, Inc.* | 535 | 4,590 | ||||||
Manhattan Associates, Inc.* | 186 | 4,470 | ||||||
Insight Enterprises, Inc.* | 387 | 4,420 | ||||||
Pegasystems, Inc. | 127 | 4,318 | ||||||
Heartland Payment Systems, Inc. | 324 | 4,254 | ||||||
SAVVIS, Inc.* | 300 | 4,215 | ||||||
Advanced Energy Industries, Inc.* | 279 | 4,207 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 87 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Black Box Corp. | 148 | $ | 4,194 | |||||
Applied Micro Circuits Corp.* | 554 | 4,138 | ||||||
TTM Technologies, Inc.* | 358 | 4,128 | ||||||
MTS Systems Corp. | 140 | 4,024 | ||||||
Syntel, Inc. | 105 | 3,993 | ||||||
Rogers Corp.* | 130 | 3,940 | ||||||
Netezza Corp.* | 401 | 3,890 | ||||||
NIC, Inc. | 424 | 3,875 | ||||||
ArcSight, Inc.* | 151 | 3,863 | ||||||
EPIQ Systems, Inc.* | 270 | 3,777 | ||||||
Standard Microsystems Corp.* | 180 | 3,740 | ||||||
Cirrus Logic, Inc.* | 546 | 3,724 | ||||||
Cogent, Inc.* | 357 | 3,709 | ||||||
Bottomline Technologies, Inc.* | 210 | 3,690 | ||||||
Sonus Networks, Inc.* | 1,742 | 3,676 | ||||||
Acme Packet, Inc.* | 326 | 3,586 | ||||||
Volterra Semiconductor Corp.* | 186 | 3,556 | ||||||
OSI Systems, Inc.* | 130 | 3,546 | ||||||
ModusLink Global Solutions, Inc.* | 376 | 3,538 | ||||||
STEC, Inc.* | 212 | 3,464 | ||||||
Adaptec, Inc.* | 1,027 | 3,440 | ||||||
Harris Stratex Networks, Inc. — Class A* | 496 | 3,427 | ||||||
SonicWALL, Inc.* | 449 | 3,417 | ||||||
Maxwell Technologies, Inc.* | 191 | 3,407 | ||||||
Forrester Research, Inc.* | 130 | 3,373 | ||||||
Switch and Data Facilities Co.* | 165 | 3,335 | ||||||
Terremark Worldwide, Inc.* | 486 | 3,324 | ||||||
TeleCommunication Systems, Inc. — Class A* | 337 | 3,262 | ||||||
Compellent Technologies, Inc.* | 143 | 3,243 | ||||||
Sycamore Networks, Inc. | 155 | 3,241 | ||||||
IPG Photonics Corp.* | 193 | 3,231 | ||||||
Echelon Corp.* | 272 | 3,144 | ||||||
Micrel, Inc. | 383 | 3,141 | ||||||
Constant Contact, Inc.* | 196 | 3,136 | ||||||
RightNow Technologies, Inc.* | 180 | 3,127 | ||||||
Brightpoint, Inc.* | 420 | 3,087 | ||||||
Ebix, Inc.* | 63 | 3,076 | ||||||
comScore, Inc.* | 175 | 3,071 | ||||||
Universal Display Corp.* | 248 | 3,065 | ||||||
Kulicke & Soffa Industries, Inc.* | 566 | 3,051 | ||||||
Epicor Software Corp.* | 396 | 3,018 | ||||||
Netscout Systems, Inc.* | 206 | 3,016 | ||||||
Avid Technology, Inc.* | 235 | 2,999 | ||||||
FARO Technologies, Inc.* | 139 | 2,980 | ||||||
Stratasys, Inc.* | 172 | 2,972 | ||||||
Ultratech, Inc.* | 195 | 2,898 | ||||||
THQ, Inc.* | 569 | 2,868 | ||||||
S1 Corp.* | 439 | 2,862 | ||||||
China Security & Surveillance Technology, Inc.* | 368 | 2,812 | ||||||
Oplink Communications, Inc.* | 170 | 2,786 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Methode Electronics, Inc. — Class A | 320 | $ | 2,778 | |||||
Newport Corp.* | 299 | 2,748 | ||||||
Sigma Designs, Inc.* | 256 | 2,739 | ||||||
Cohu, Inc. | 196 | 2,734 | ||||||
Loral Space & Communications, Inc.* | 85 | 2,687 | ||||||
CTS Corp. | 279 | 2,684 | ||||||
Supertex, Inc.* | 90 | 2,682 | ||||||
3PAR, Inc.* | 225 | 2,666 | ||||||
Lattice Semiconductor Corp.* | 968 | 2,614 | ||||||
RealNetworks, Inc.* | 701 | 2,601 | ||||||
i2 Technologies, Inc.* | 135 | 2,581 | ||||||
Actel Corp.* | 215 | 2,554 | ||||||
Daktronics, Inc. | 275 | 2,533 | ||||||
Electro Scientific Industries, Inc.* | 234 | 2,532 | ||||||
Kenexa Corp. — Class A* | 193 | 2,519 | ||||||
The Knot, Inc.* | 246 | 2,477 | ||||||
Synchronoss Technologies, Inc.* | 156 | 2,466 | ||||||
Vocus, Inc.* | 136 | 2,448 | ||||||
InfoSpace, Inc.* | 285 | 2,442 | ||||||
LivePerson, Inc.* | 346 | 2,412 | ||||||
Pericom Semiconductor Corp.* | 208 | 2,398 | ||||||
Kopin Corp.* | 571 | 2,387 | ||||||
Global Cash Access Holdings, Inc.* | 317 | 2,374 | ||||||
Radiant Systems, Inc.* | 226 | 2,350 | ||||||
infoGROUP, Inc.* | 288 | 2,310 | ||||||
SolarWinds, Inc.* | 100 | 2,301 | ||||||
Multi-Fineline Electronix, Inc.* | 81 | 2,298 | ||||||
Exlservice Holdings, Inc.* | 125 | 2,270 | ||||||
Rubicon Technology, Inc.* | 110 | 2,234 | ||||||
Anadigics, Inc.* | 526 | 2,220 | ||||||
Imation Corp.* | 254 | 2,215 | ||||||
NetSuite, Inc.* | 135 | 2,157 | ||||||
Smith Micro Software, Inc.* | 236 | 2,157 | ||||||
Extreme Networks, Inc.* | 751 | 2,155 | ||||||
Exar Corp.* | 303 | 2,154 | ||||||
Move, Inc.* | 1,296 | 2,151 | ||||||
ShoreTel, Inc.* | 367 | 2,121 | ||||||
Super Micro Computer, Inc.* | 190 | 2,113 | ||||||
Cass Information Systems, Inc. | 69 | 2,098 | ||||||
Intevac, Inc.* | 182 | 2,088 | ||||||
Utstarcom, Inc.* | 953 | 2,087 | ||||||
Ceva, Inc.* | 162 | 2,083 | ||||||
Mercury Computer Systems, Inc.* | 187 | 2,059 | ||||||
Novatel Wireless, Inc.* | 256 | 2,040 | ||||||
Internap Network Services Corp.* | 434 | 2,040 | ||||||
Interactive Intelligence, Inc.* | 110 | 2,028 | ||||||
Internet Capital Group, Inc.* | 305 | 2,028 | ||||||
Comverge, Inc.* | 180 | 2,023 | ||||||
Ciber, Inc.* | 580 | 2,001 | ||||||
Photronics, Inc.* | 449 | 1,998 | ||||||
Perficient, Inc.* | 236 | 1,989 |
88 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
MoneyGram International, Inc.* | 693 | $ | 1,989 | |||||
Fortinet, Inc.* | 110 | 1,933 | ||||||
iGate Corp. | 193 | 1,930 | ||||||
Radisys Corp.* | 202 | 1,929 | ||||||
Ixia* | 259 | 1,927 | ||||||
Smart Modular Technologies (WWH), Inc.* | 305 | 1,918 | ||||||
Symmetricom, Inc.* | 366 | 1,903 | ||||||
Hughes Communications, Inc.* | 73 | 1,900 | ||||||
Digi International, Inc.* | 206 | 1,879 | ||||||
Cray, Inc.* | 292 | 1,875 | ||||||
Bel Fuse, Inc. — Class B | 87 | 1,870 | ||||||
EMS Technologies, Inc.* | 126 | 1,827 | ||||||
Seachange International, Inc.* | 274 | 1,800 | ||||||
Internet Brands, Inc. — Class A* | 227 | 1,777 | ||||||
Anaren, Inc.* | 116 | 1,746 | ||||||
KVH Industries, Inc.* | 118 | 1,740 | ||||||
Silicon Graphics International Corp.* | 248 | 1,738 | ||||||
NVE Corp.* | 42 | 1,735 | ||||||
Electro Rent Corp. | 150 | 1,731 | ||||||
Silicon Storage Technology, Inc.* | 674 | 1,725 | ||||||
Rudolph Technologies, Inc.* | 255 | 1,714 | ||||||
PROS Holdings, Inc.* | 161 | 1,666 | ||||||
Techwell, Inc.* | 126 | 1,663 | ||||||
LoopNet, Inc.* | 165 | 1,640 | ||||||
MIPS Technology, Inc.* | 375 | 1,639 | ||||||
Actuate Corp.* | 382 | 1,635 | ||||||
Silicon Image, Inc.* | 632 | 1,631 | ||||||
Symyx Technologies, Inc.* | 294 | 1,617 | ||||||
Airvana, Inc.* | 212 | 1,611 | ||||||
Openwave Systems, Inc.* | 703 | 1,603 | ||||||
Ness Technologies, Inc.* | 326 | 1,597 | ||||||
Monotype Imaging Holdings, Inc.* | 175 | 1,580 | ||||||
DivX, Inc.* | 272 | 1,534 | ||||||
DemandTec, Inc.* | 174 | 1,526 | ||||||
Technitrol, Inc. | 344 | 1,507 | ||||||
Isilon Systems, Inc.* | 219 | 1,502 | ||||||
Web.com Group, Inc.* | 224 | 1,463 | ||||||
IXYS Corp.* | 195 | 1,447 | ||||||
China Information Security Technology, Inc.* | 233 | 1,435 | ||||||
Advanced Analogic Technologies, Inc.* | 364 | 1,434 | ||||||
Globecomm Systems, Inc.* | 183 | 1,431 | ||||||
NCI, Inc.* | 51 | 1,410 | ||||||
Double-Take Software, Inc.* | 140 | 1,399 | ||||||
Powerwave Technologies, Inc.* | 1,109 | 1,397 | ||||||
Opnet Technologies, Inc. | 112 | 1,365 | ||||||
Cogo Group, Inc.* | 185 | 1,363 | ||||||
Vasco Data Security International* | 216 | 1,354 | ||||||
Entropic Communications, Inc.* | 440 | 1,351 | ||||||
Rimage Corp.* | 76 | 1,318 | ||||||
Integral Systems, Inc.* | 152 | 1,316 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Liquidity Services, Inc.* | 128 | $ | 1,289 | |||||
Archipelago Learning, Inc.* | 60 | 1,242 | ||||||
LogMeIn, Inc.* | 60 | 1,197 | ||||||
FalconStor Software, Inc.* | 292 | 1,186 | ||||||
Measurement Specialties, Inc.* | 116 | 1,166 | ||||||
Agilysys, Inc. | 126 | 1,147 | ||||||
American Software, Inc. — Class A | 190 | 1,140 | ||||||
Deltek, Inc.* | 145 | 1,128 | ||||||
Tier Technologies, Inc. — Class B* | 140 | 1,120 | ||||||
Online Resources Corp.* | 211 | 1,110 | ||||||
Limelight Networks, Inc.* | 280 | 1,100 | ||||||
Lionbridge Technologies, Inc.* | 475 | 1,092 | ||||||
Keynote Systems, Inc. | 100 | 1,091 | ||||||
DSP Group, Inc.* | 193 | 1,087 | ||||||
Immersion Corp.* | 236 | 1,079 | ||||||
Spectrum Control, Inc.* | 110 | 1,042 | ||||||
Support.com, Inc.* | 387 | 1,022 | ||||||
Computer Task Group, Inc.* | 127 | 1,017 | ||||||
BigBand Networks, Inc.* | 295 | 1,015 | ||||||
Network Equipment Technologies, Inc.* | 250 | 1,012 | ||||||
PLX Technology, Inc.* | 313 | 1,011 | ||||||
Microtune, Inc.* | 436 | 985 | ||||||
Trident Microsystems, Inc.* | 525 | 977 | ||||||
Innodata Isogen, Inc.* | 176 | 975 | ||||||
PC-Tel, Inc.* | 163 | 965 | ||||||
Virtusa Corp.* | 106 | 960 | ||||||
ActivIdentity Corp.* | 393 | 924 | ||||||
ICx Technologies, Inc.* | 96 | 914 | ||||||
Zix Corp.* | 533 | 911 | ||||||
Unica Corp.* | 117 | 907 | ||||||
Rosetta Stone, Inc.* | 50 | 898 | ||||||
Hackett Group, Inc.* | 320 | 890 | ||||||
White Electronics Designs Corp.* | 190 | 887 | ||||||
Zygo Corp.* | 130 | 875 | ||||||
Dice Holdings, Inc.* | 133 | 871 | ||||||
GSE Systems, Inc.* | 156 | 855 | ||||||
Saba Software, Inc.* | 206 | 853 | ||||||
Marchex, Inc. | 166 | 843 | ||||||
Ancestry.com, Inc.* | 60 | 841 | ||||||
Phoenix Technologies Ltd.* | 294 | 809 | ||||||
OpenTable, Inc.* | 30 | 764 | ||||||
Virage Logic Corp.* | 136 | 748 | ||||||
Startek, Inc.* | 100 | 748 | ||||||
CPI International, Inc.* | 56 | 741 | ||||||
GSI Technology, Inc.* | 162 | 726 | ||||||
Dynamics Research Corp.* | 66 | 700 | ||||||
SRS Labs, Inc.* | 95 | 696 | ||||||
Chordiant Software, Inc.* | 250 | 688 | ||||||
Emcore Corp.* | 634 | 678 | ||||||
ePlus, Inc.* | 40 | 660 | ||||||
Callidus Software, Inc.* | 216 | 652 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 89 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
QAD, Inc. | 105 | $ | 642 | |||||
Echo Global Logistics, Inc.* | 50 | 635 | ||||||
Pervasive Software, Inc.* | 130 | 627 | ||||||
Information Services Group, Inc.* | 195 | 618 | ||||||
Travelzoo, Inc.* | 50 | 615 | ||||||
DDi Corp.* | 124 | 606 | ||||||
Renaissance Learning, Inc. | 51 | 579 | ||||||
Communications Systems, Inc. | 46 | 572 | ||||||
China TransInfo Technology Corp.* | 70 | 572 | ||||||
Parkervision, Inc.* | 308 | 564 | ||||||
PC Connection, Inc.* | 80 | 540 | ||||||
TechTarget, Inc.* | 95 | 535 | ||||||
X-Rite, Inc.* | 220 | 480 | ||||||
PC Mall, Inc.* | 87 | 454 | ||||||
Ipass, Inc.* | 423 | 440 | ||||||
Opnext, Inc.* | 230 | 437 | ||||||
MEMSIC, Inc.* | 130 | 426 | ||||||
Imergent, Inc. | 70 | 425 | ||||||
eLoyalty Corp.* | 61 | 419 | ||||||
PAR Technology Corp.* | 66 | 381 | ||||||
RAE Systems, Inc.* | 343 | 377 | ||||||
Total Information Technology | 1,436,908 | |||||||
INDUSTRIALS 11.7% | ||||||||
UAL Corp.* | 1,407 | 18,164 | ||||||
Watson Wyatt Worldwide, Co.* | 360 | 17,107 | ||||||
Nordson Corp. | 279 | 17,069 | ||||||
GrafTech International Ltd.* | 1,006 | 15,643 | ||||||
Regal-Beloit Corp. | 295 | 15,322 | ||||||
American Superconductor Corp.* | 372 | 15,215 | ||||||
EMCOR Group, Inc.* | 550 | 14,795 | ||||||
Clarcor, Inc. | 428 | 13,884 | ||||||
Tetra Tech, Inc.* | 507 | 13,775 | ||||||
Woodward Governor Co. | 506 | 13,040 | ||||||
Acuity Brands, Inc. | 363 | 12,937 | ||||||
Brady Corp. — Class A | 396 | 11,884 | ||||||
Curtiss-Wright Corp. | 378 | 11,839 | ||||||
JetBlue Airways Corp.* | 2,129 | 11,603 | ||||||
Teledyne Technologies, Inc.* | 302 | 11,585 | ||||||
United Stationers, Inc.* | 202 | 11,484 | ||||||
Avis Budget Group, Inc.* | 859 | 11,270 | ||||||
Moog, Inc. — Class A* | 377 | 11,020 | ||||||
Baldor Electric Co. | 390 | 10,955 | ||||||
Watsco, Inc. | 222 | 10,874 | ||||||
Clean Harbors, Inc.* | 180 | 10,730 | ||||||
Alaska Air Group, Inc.* | 309 | 10,679 | ||||||
MPS Group, Inc.* | 776 | 10,662 | ||||||
Actuant Corp. — Class A | 574 | 10,636 | ||||||
Hexcel Corp.* | 810 | 10,514 | ||||||
HNI Corp. | 380 | 10,499 | ||||||
Genesee & Wyoming, Inc. — Class A* | 308 | 10,053 | ||||||
Esterline Technologies Corp.* | 246 | 10,029 | ||||||
Kaydon Corp. | 276 | 9,870 | ||||||
Granite Construction, Inc. | 288 | 9,694 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Geo Group, Inc.* | 430 | $ | 9,408 | |||||
Knight Transportation, Inc. | 476 | 9,182 | ||||||
Simpson Manufacturing Company, Inc. | 323 | 8,685 | ||||||
Belden, Inc. | 385 | 8,439 | ||||||
Heico Corp. | 187 | 8,290 | ||||||
HUB Group, Inc. — Class A* | 308 | 8,264 | ||||||
Resources Connection, Inc.* | 379 | 8,042 | ||||||
ESCO Technologies, Inc. | 224 | 8,030 | ||||||
SkyWest, Inc. | 473 | 8,003 | ||||||
ABM Industries, Inc. | 387 | 7,995 | ||||||
Applied Industrial Technologies, Inc. | 360 | 7,945 | ||||||
Briggs & Stratton Corp. | 419 | 7,840 | ||||||
Healthcare Services Group, Inc. | 363 | 7,790 | ||||||
Watts Industries, Inc. — Class A | 250 | 7,730 | ||||||
A.O. Smith Corp. | 177 | 7,680 | ||||||
Mueller Industries, Inc. | 308 | 7,651 | ||||||
AAR Corp.* | 327 | 7,514 | ||||||
SYKES Enterprises, Inc.* | 292 | 7,437 | ||||||
Insituform Technologies, Inc. — Class A* | 327 | 7,429 | ||||||
EnerSys* | 335 | 7,326 | ||||||
Otter Tail Power Co. | 295 | 7,316 | ||||||
Orbital Sciences Corp.* | 470 | 7,172 | ||||||
Rollins, Inc. | 372 | 7,172 | ||||||
Herman Miller, Inc. | 448 | 7,159 | ||||||
Werner Enterprises, Inc. | 356 | 7,045 | ||||||
Old Dominion Freight Line, Inc.* | 229 | 7,030 | ||||||
CoStar Group, Inc.* | 165 | 6,892 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 183 | 6,817 | ||||||
II-VI, Inc.* | 214 | 6,805 | ||||||
Triumph Group, Inc. | 140 | 6,755 | ||||||
Mueller Water Products, Inc. — Class A | 1,289 | 6,703 | ||||||
Middleby Corp.* | 136 | 6,667 | ||||||
US Airways Group, Inc.* | 1,358 | 6,573 | ||||||
Corporate Executive Board Co. | 286 | 6,527 | ||||||
Barnes Group, Inc. | 386 | 6,523 | ||||||
Heartland Express, Inc. | 423 | 6,459 | ||||||
Korn/Ferry International* | 382 | 6,303 | ||||||
Deluxe Corp. | 426 | 6,301 | ||||||
Arkansas Best Corp. | 214 | 6,298 | ||||||
Navigant Consulting, Inc.* | 418 | 6,211 | ||||||
Dollar Thrifty Automotive Group, Inc.* | 239 | 6,121 | ||||||
Beacon Roofing Supply, Inc.* | 382 | 6,112 | ||||||
Forward Air Corp. | 243 | 6,087 | ||||||
American Science & Engineering, Inc. | 80 | 6,067 | ||||||
Allegiant Travel Co.* | 127 | 5,991 | ||||||
AirTran Holdings, Inc.* | 1,133 | 5,914 | ||||||
Universal Forest Products, Inc. | 156 | 5,742 |
90 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Mine Safety Appliances Co. | 216 | $ | 5,730 | |||||
Franklin Electric Company, Inc. | 193 | 5,612 | ||||||
Mastec, Inc.* | 440 | 5,500 | ||||||
EnergySolutions, Inc. | 643 | 5,459 | ||||||
TrueBlue, Inc.* | 366 | 5,420 | ||||||
Quanex Building Products Corp. | 315 | 5,346 | ||||||
Robbins & Myers, Inc. | 224 | 5,268 | ||||||
Kaman Corp. — Class A | 220 | 5,080 | ||||||
Ameron International Corp. | 80 | 5,077 | ||||||
Albany International Corp. — Class A | 226 | 5,076 | ||||||
United Rentals, Inc.* | 513 | 5,033 | ||||||
Genco Shipping & Trading Ltd.* | 220 | 4,924 | ||||||
Orion Marine Group, Inc.* | 229 | 4,823 | ||||||
Cubic Corp. | 126 | 4,700 | ||||||
Interline Brands, Inc.* | 272 | 4,697 | ||||||
Badger Meter, Inc. | 117 | 4,659 | ||||||
Layne Christensen Co.* | 160 | 4,594 | ||||||
EnPro Industries, Inc.* | 172 | 4,543 | ||||||
Griffon Corp.* | 370 | 4,521 | ||||||
RBC Bearings, Inc.* | 184 | 4,477 | ||||||
GeoEye, Inc.* | 157 | 4,377 | ||||||
McGrath Rentcorp | 195 | 4,360 | ||||||
Mobile Mini, Inc.* | 303 | 4,269 | ||||||
Heidrick & Struggles International, Inc. | 136 | 4,249 | ||||||
Administaff, Inc. | 178 | 4,199 | ||||||
Ceradyne, Inc.* | 216 | 4,149 | ||||||
Huron Consulting Group, Inc.* | 179 | 4,124 | ||||||
Knoll, Inc. | 396 | 4,091 | ||||||
Tennant Co. | 156 | 4,086 | ||||||
Raven Industries, Inc. | 128 | 4,067 | ||||||
Comfort Systems USA, Inc. | 326 | 4,023 | ||||||
Chart Industries, Inc.* | 243 | 4,022 | ||||||
G & K Services, Inc. — Class A | 160 | 4,021 | ||||||
Advisory Board Co.* | 130 | 3,986 | ||||||
Amerco, Inc.* | 80 | 3,978 | ||||||
Energy Conversion Devices, Inc.* | 376 | 3,974 | ||||||
Cenveo, Inc.* | 450 | 3,938 | ||||||
ATC Technology Corp.* | 165 | 3,935 | ||||||
Astec Industries, Inc.* | 146 | 3,933 | ||||||
Tredegar Corp. | 248 | 3,923 | ||||||
Tutor Perini Corp.* | 216 | 3,905 | ||||||
John Bean Technologies Corp. | 226 | 3,844 | ||||||
Steelcase, Inc. — Class A | 603 | 3,835 | ||||||
Aircastle Ltd. | 389 | 3,832 | ||||||
Lindsay Manufacturing Co. | 95 | 3,786 | ||||||
School Specialty, Inc.* | 161 | 3,766 | ||||||
Ennis, Inc. | 224 | 3,761 | ||||||
M&F Worldwide Corp.* | 91 | 3,595 | ||||||
Gibraltar Industries, Inc.* | 228 | 3,586 | ||||||
EnerNOC, Inc.* | 115 | 3,495 | ||||||
Interface, Inc. — Class A | 413 | 3,432 | ||||||
Gorman-Rupp Co. | 124 | 3,427 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Circor International, Inc. | 136 | $ | 3,424 | |||||
Viad Corp. | 165 | 3,404 | ||||||
ACCO Brands Corp.* | 458 | 3,334 | ||||||
AZZ, Inc.* | 100 | 3,270 | ||||||
Blount International, Inc.* | 321 | 3,242 | ||||||
Rush Enterprises, Inc. — Class A* | 270 | 3,210 | ||||||
Apogee Enterprises, Inc. | 228 | 3,192 | ||||||
Encore Wire Corp. | 150 | 3,161 | ||||||
Exponent, Inc.* | 113 | 3,146 | ||||||
Michael Baker Corp.* | 74 | 3,064 | ||||||
Force Protection, Inc.* | 587 | 3,058 | ||||||
Aerovironment, Inc.* | 105 | 3,053 | ||||||
DynCorp International, Inc. — Class A* | 212 | 3,042 | ||||||
Hawaiian Holdings, Inc.* | 433 | 3,031 | ||||||
DigitalGlobe, Inc.* | 123 | 2,977 | ||||||
Gencorp, Inc.* | 423 | 2,961 | ||||||
Team, Inc.* | 157 | 2,953 | ||||||
Kforce, Inc.* | 236 | 2,950 | ||||||
RSC Holdings, Inc.* | 412 | 2,900 | ||||||
CBIZ, Inc.* | 373 | 2,872 | ||||||
Power-One, Inc.* | 652 | 2,836 | ||||||
Altra Holdings, Inc.* | 222 | 2,742 | ||||||
Ener1, Inc.* | 430 | 2,726 | ||||||
MYR Group, Inc.* | 150 | 2,712 | ||||||
Consolidated Graphics, Inc.* | 77 | 2,697 | ||||||
Sun Hydraulics Corp. | 101 | 2,651 | ||||||
Stanley, Inc.* | 96 | 2,631 | ||||||
Dycom Industries, Inc.* | 326 | 2,618 | ||||||
Kelly Services, Inc. — Class A* | 219 | 2,613 | ||||||
Harbin Electric, Inc.* | 125 | 2,568 | ||||||
Eagle Bulk Shipping, Inc.* | 517 | 2,559 | ||||||
LB Foster Co. — Class A* | 85 | 2,534 | ||||||
American Ecology Corp. | 146 | 2,488 | ||||||
Federal Signal Corp. | 413 | 2,486 | ||||||
Spherion Corp.* | 440 | 2,473 | ||||||
Acacia Research* | 270 | 2,460 | ||||||
Trex Company, Inc.* | 125 | 2,450 | ||||||
Colfax Corp.* | 203 | 2,444 | ||||||
Titan International, Inc. | 299 | 2,425 | ||||||
H&E Equipment Services, Inc.* | 230 | 2,413 | ||||||
NACCO Industries, Inc. — Class A | 48 | 2,390 | ||||||
Argon ST, Inc.* | 110 | 2,389 | ||||||
Evergreen Solar, Inc.* | 1,581 | 2,387 | ||||||
Microvision, Inc.* | 752 | 2,384 | ||||||
CRA International, Inc.* | 89 | 2,372 | ||||||
Marten Transport Ltd.* | 132 | 2,369 | ||||||
Kimball International, Inc. — Class B | 274 | 2,334 | ||||||
RailAmerica, Inc.* | 190 | 2,318 | ||||||
Taser International, Inc.* | 523 | 2,291 | ||||||
FuelCell Energy, Inc.* | 606 | 2,279 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 91 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Great Lakes Dredge & Dock Co. | 344 | $ | 2,229 | |||||
Dynamic Materials Corp. | 111 | 2,226 | ||||||
Polypore International, Inc.* | 186 | 2,213 | ||||||
Cascade Corp. | 80 | 2,199 | ||||||
American Reprographics Co.* | 312 | 2,187 | ||||||
K-Tron International, Inc.* | 20 | 2,175 | ||||||
On Assignment, Inc.* | 302 | 2,159 | ||||||
Northwest Pipe Co.* | 80 | 2,149 | ||||||
Sterling Construction Company, Inc.* | 112 | 2,148 | ||||||
Powell Industries, Inc.* | 68 | 2,144 | ||||||
Republic Airways Holdings, Inc.* | 289 | 2,136 | ||||||
Columbus McKinnon Corp. — Class A* | 156 | 2,131 | ||||||
Bowne & Company, Inc. | 317 | 2,118 | ||||||
Broadwind Energy, Inc.* | 259 | 2,095 | ||||||
Celadon Group, Inc.* | 189 | 2,051 | ||||||
Ampco-Pittsburgh Corp. | 65 | 2,049 | ||||||
Standex International Corp. | 102 | 2,049 | ||||||
Applied Signal Technology, Inc. | 106 | 2,045 | ||||||
Cornell Companies, Inc.* | 88 | 1,998 | ||||||
Freightcar America, Inc. | 100 | 1,983 | ||||||
Ladish Company, Inc.* | 130 | 1,960 | ||||||
AAON, Inc. | 100 | 1,949 | ||||||
Energy Recovery, Inc.* | 279 | 1,920 | ||||||
Tecumseh Products Co. — Class A* | 164 | 1,917 | ||||||
Insteel Industries, Inc. | 147 | 1,911 | ||||||
Graham Corp. | 92 | 1,904 | ||||||
Advanced Battery Technologies, Inc.* | 467 | 1,868 | ||||||
ICF International, Inc.* | 69 | 1,849 | ||||||
VSE Corp. | 40 | 1,803 | ||||||
Schawk, Inc. | 132 | 1,795 | ||||||
Houston Wire & Cable Co. | 149 | 1,773 | ||||||
American Woodmark Corp. | 90 | 1,771 | ||||||
Ducommun, Inc. | 92 | 1,721 | ||||||
PMFG, Inc.* | 106 | 1,718 | ||||||
3D Systems Corp.* | 150 | 1,695 | ||||||
Saia, Inc.* | 113 | 1,675 | ||||||
TAL International Group, Inc. | 125 | 1,654 | ||||||
Satcon Technology Corp.* | 586 | 1,653 | ||||||
China Fire & Security Group, Inc.* | 118 | 1,597 | ||||||
Kadant, Inc.* | 99 | 1,580 | ||||||
International Shipholding Corp. | 50 | 1,554 | ||||||
Greenbrier Companies, Inc. | 144 | 1,495 | ||||||
Herley Industries, Inc.* | 107 | 1,486 | ||||||
American Commercial Lines, Inc.* | 80 | 1,466 | ||||||
GT Solar International, Inc.* | 263 | 1,462 | ||||||
Dynamex, Inc.* | 80 | 1,448 | ||||||
Vicor Corp.* | 155 | 1,442 | ||||||
Diamond Management & Technology Consultants, Inc. | 195 | 1,437 | ||||||
Metalico, Inc.* | 284 | 1,397 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Builders FirstSource, Inc.* | 360 | $ | 1,386 | |||||
Horizon Lines, Inc. — Class A | 248 | 1,381 | ||||||
NCI Building Systems, Inc.* | 755 | 1,367 | ||||||
Waste Services, Inc.* | 150 | 1,367 | ||||||
Textainer Group Holdings Ltd. | 80 | 1,352 | ||||||
Hill International, Inc.* | 213 | 1,329 | ||||||
LaBarge, Inc.* | 110 | 1,326 | ||||||
Pike Electric Corp.* | 140 | 1,299 | ||||||
Fushi Copperweld, Inc.* | 128 | 1,295 | ||||||
Met-Pro Corp. | 121 | 1,285 | ||||||
LSI Industries, Inc. | 160 | 1,261 | ||||||
Air Transport Services Group, Inc.* | 473 | 1,249 | ||||||
Fuel Tech, Inc.* | 152 | 1,242 | ||||||
ICT Group, Inc.* | 76 | 1,241 | ||||||
CDI Corp. | 95 | 1,230 | ||||||
APAC Teleservices, Inc.* | 205 | 1,222 | ||||||
Innerworkings, Inc.* | 206 | 1,215 | ||||||
Titan Machinery, Inc.* | 105 | 1,212 | ||||||
Mistras Group, Inc.* | 80 | 1,205 | ||||||
Furmanite Corp.* | 309 | 1,177 | ||||||
Flow International Corp.* | 381 | 1,173 | ||||||
Multi-Color Corp. | 90 | 1,099 | ||||||
SmartHeat, Inc.* | 75 | 1,089 | ||||||
Courier Corp. | 76 | 1,083 | ||||||
Aceto Corp. | 207 | 1,066 | ||||||
COMSYS IT Partners, Inc.* | 117 | 1,040 | ||||||
Volt Information Sciences, Inc.* | 103 | 1,030 | ||||||
Perma-Fix Environmental Services* | 453 | 1,028 | ||||||
Sauer, Inc.* | 85 | 1,021 | ||||||
Alamo Group, Inc. | 59 | 1,012 | ||||||
PowerSecure International, Inc.* | 140 | 1,009 | ||||||
Standard Parking Corp.* | 61 | 969 | ||||||
China BAK Battery, Inc.* | 346 | 962 | ||||||
GP Strategies Corp.* | 126 | 949 | ||||||
Patriot Transportation Holding, Inc.* | 10 | 945 | ||||||
DXP Enterprises, Inc.* | 72 | 941 | ||||||
Pacer International, Inc.* | 293 | 926 | ||||||
Trimas Corp.* | 131 | 887 | ||||||
LMI Aerospace, Inc.* | 66 | 878 | ||||||
Argan, Inc.* | 61 | 878 | ||||||
USA Truck, Inc.* | 70 | 876 | ||||||
Preformed Line Products Co. | 20 | 876 | ||||||
American Railcar Industries, Inc. | 79 | 871 | ||||||
Universal Truckload Services, Inc. | 48 | 869 | ||||||
Miller Industries, Inc. — Class A* | 76 | 863 | ||||||
Ultrapetrol Bahamas Ltd.* | 176 | 838 | ||||||
Ascent Solar Technologies, Inc.* | 155 | 822 | ||||||
TBS International Ltd. — Class A* | 109 | 801 | ||||||
Todd Shipyards Corp. | 46 | 771 | ||||||
Standard Register Co. | 150 | 765 | ||||||
Twin Disc, Inc. | 71 | 741 | ||||||
Hurco Companies, Inc.* | 50 | 740 |
92 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Barrett Business Services, Inc. | 59 | $ | 725 | |||||
Franklin Covey Co.* | 110 | 693 | ||||||
Odyssey Marine Exploration, Inc.* | 487 | 687 | ||||||
Astronics Corp.* | 80 | 684 | ||||||
CAI International, Inc.* | 75 | 677 | ||||||
Orion Energy Systems, Inc.* | 153 | 672 | ||||||
Eastern Co. | 50 | 672 | ||||||
Global Defense Technology & Systems, Inc.* | 40 | 658 | ||||||
Flanders Corp.* | 142 | 633 | ||||||
Chase Corp. | 53 | 626 | ||||||
Portec Rail Products, Inc. | 55 | 589 | ||||||
Duoyuan Printing, Inc.* | 70 | 564 | ||||||
Willis Lease Finance Corp.* | 37 | 555 | ||||||
United Capital Corp.* | 22 | 524 | ||||||
North American Galvanizing & Coating, Inc.* | 107 | 519 | ||||||
Primoris Services Corp. | 65 | 518 | ||||||
Lawson Products, Inc. | 27 | 477 | ||||||
Ultralife Batteries, Inc.* | 107 | 462 | ||||||
YRC Worldwide, Inc.* | 496 | 417 | ||||||
Valence Technology, Inc.* | 418 | 380 | ||||||
Omega Flex, Inc. | 25 | 350 | ||||||
Heritage-Crystal Clean, Inc.* | 30 | 314 | ||||||
Lihua International, Inc.* | 30 | 314 | ||||||
Integrated Electrical Services, Inc.* | 50 | 293 | ||||||
BlueLinx Holdings, Inc.* | 95 | 263 | ||||||
AMREP Corp.* | 10 | 137 | ||||||
Total Industrials | 1,234,309 | |||||||
HEALTH CARE 10.6% | ||||||||
Human Genome Sciences, Inc.* | 1,540 | 47,124 | ||||||
Onyx Pharmaceuticals, Inc.* | 516 | 15,139 | ||||||
Owens & Minor, Inc. | 348 | 14,940 | ||||||
Healthsouth Corp.* | 785 | 14,734 | ||||||
Steris Corp. | 489 | 13,677 | ||||||
Medicis Pharmaceutical Corp. — Class A | 503 | 13,606 | ||||||
WellCare Health Plans, Inc.* | 356 | 13,087 | ||||||
Masimo Corp.* | 428 | 13,020 | ||||||
Emergency Medical Services Corp.* | 240 | 12,996 | ||||||
Thoratec Corp.* | 480 | 12,922 | ||||||
Regeneron Pharmaceuticals, Inc.* | 532 | 12,864 | ||||||
athenahealth, Inc.* | 283 | 12,803 | ||||||
Quality Systems, Inc. | 203 | 12,746 | ||||||
Varian, Inc.* | 242 | 12,473 | ||||||
Haemonetics Corp.* | 221 | 12,188 | ||||||
Magellan Health Services, Inc.* | 296 | 12,056 | ||||||
AMERIGROUP Corp.* | 446 | 12,024 | ||||||
American Medical Systems Holdings, Inc.* | 623 | 12,018 | ||||||
Salix Pharmaceuticals Ltd.* | 470 | 11,938 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Immucor, Inc.* | 588 | $ | 11,901 | |||||
Auxilium Pharmaceuticals, Inc.* | 392 | 11,752 | ||||||
Amedisys, Inc.* | 234 | 11,363 | ||||||
Catalyst Health Solutions, Inc.* | 311 | 11,342 | ||||||
Dionex Corp.* | 152 | 11,228 | ||||||
PSS World Medical, Inc.* | 496 | 11,195 | ||||||
West Pharmaceutical Services, Inc. | 279 | 10,937 | ||||||
HMS Holdings Corp.* | 217 | 10,566 | ||||||
NuVasive, Inc.* | 314 | 10,042 | ||||||
Psychiatric Solutions, Inc.* | 471 | 9,957 | ||||||
Cubist Pharmaceuticals, Inc.* | 491 | 9,314 | ||||||
Chemed Corp. | 192 | 9,210 | ||||||
Medivation, Inc.* | 241 | 9,074 | ||||||
Align Technology, Inc.* | 493 | 8,785 | ||||||
Eclipsys Corp.* | 471 | 8,723 | ||||||
Isis Pharmaceuticals, Inc.* | 783 | 8,691 | ||||||
ev3, Inc.* | 626 | 8,351 | ||||||
Acorda Therapeutics, Inc.* | 320 | 8,070 | ||||||
Par Pharmaceutical Companies, Inc.* | 294 | 7,956 | ||||||
Savient Pharmaceuticals, Inc.* | 555 | 7,554 | ||||||
Centene Corp.* | 355 | 7,515 | ||||||
Alkermes, Inc.* | 798 | 7,509 | ||||||
Nektar Therapeutics* | 778 | 7,251 | ||||||
Meridian Bioscience, Inc. | 336 | 7,241 | ||||||
Healthspring, Inc.* | 405 | 7,132 | ||||||
Volcano Corp.* | 409 | 7,108 | ||||||
Seattle Genetics, Inc.* | 696 | 7,071 | ||||||
PDL BioPharma, Inc. | 1,006 | 6,901 | ||||||
MedAssets, Inc.* | 325 | 6,893 | ||||||
Impax Laboratories, Inc.* | 506 | 6,882 | ||||||
Parexel International Corp.* | 475 | 6,697 | ||||||
Incyte Corp.* | 733 | 6,678 | ||||||
Exelixis, Inc.* | 895 | 6,596 | ||||||
Gentiva Health Services, Inc.* | 237 | 6,401 | ||||||
RehabCare Group, Inc.* | 210 | 6,390 | ||||||
Vivus, Inc.* | 676 | 6,212 | ||||||
Cepheid, Inc.* | 493 | 6,153 | ||||||
Kindred Healthcare, Inc.* | 331 | 6,110 | ||||||
Wright Medical Group, Inc.* | 316 | 5,988 | ||||||
Theravance, Inc.* | 449 | 5,868 | ||||||
Invacare Corp. | 235 | 5,861 | ||||||
Integra LifeSciences Holdings Corp.* | 159 | 5,848 | ||||||
AmSurg Corp.* | 263 | 5,791 | ||||||
Cell Therapeutics, Inc.* | 4,827 | 5,503 | ||||||
Viropharma, Inc.* | 653 | 5,479 | ||||||
Phase Forward, Inc.* | 356 | 5,465 | ||||||
Conmed Corp.* | 235 | 5,358 | ||||||
AMAG Pharmaceuticals, Inc.* | 139 | 5,286 | ||||||
Alnylam Pharmaceuticals, Inc.* | 300 | 5,286 | ||||||
Luminex Corp.* | 350 | 5,225 | ||||||
Martek Biosciences Corp.* | 275 | 5,208 | ||||||
Healthways, Inc.* | 276 | 5,062 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 93 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Bruker Corp.* | 413 | $ | 4,981 | |||||
Conceptus, Inc.* | 263 | 4,934 | ||||||
Landauer, Inc. | 80 | 4,912 | ||||||
Genoptix, Inc.* | 136 | 4,832 | ||||||
Zoll Medical Corp.* | 180 | 4,810 | ||||||
Celera Corp.* | 694 | 4,796 | ||||||
IPC The Hospitalist Co.* | 143 | 4,755 | ||||||
Cyberonics, Inc.* | 228 | 4,660 | ||||||
Abaxis, Inc.* | 182 | 4,650 | ||||||
XenoPort, Inc.* | 245 | 4,547 | ||||||
inVentiv Health, Inc.* | 278 | 4,495 | ||||||
Merit Medical Systems, Inc.* | 229 | 4,417 | ||||||
Odyssey HealthCare, Inc.* | 278 | 4,331 | ||||||
Insulet Corp.* | 301 | 4,298 | ||||||
Sirona Dental Systems, Inc.* | 135 | 4,285 | ||||||
MannKind Corp.* | 488 | 4,275 | ||||||
Analogic Corp. | 111 | 4,275 | ||||||
LHC Group, Inc.* | 127 | 4,268 | ||||||
Orthofix International NV* | 136 | 4,212 | ||||||
Momenta Pharmaceuticals, Inc.* | 332 | 4,187 | ||||||
Geron Corp.* | 747 | 4,146 | ||||||
InterMune, Inc.* | 316 | 4,121 | ||||||
ICU Medical, Inc.* | 113 | 4,118 | ||||||
PharMerica Corp.* | 255 | 4,049 | ||||||
Enzon Pharmaceuticals, Inc.* | 384 | 4,044 | ||||||
Bio-Reference Labs, Inc.* | 103 | 4,037 | ||||||
Allos Therapeutics, Inc.* | 614 | 4,034 | ||||||
Rigel Pharmaceuticals, Inc.* | 421 | 4,004 | ||||||
Neogen Corp.* | 165 | 3,896 | ||||||
ImmunoGen, Inc.* | 484 | 3,804 | ||||||
Greatbatch, Inc.* | 197 | 3,788 | ||||||
Affymax, Inc.* | 152 | 3,760 | ||||||
Medicines Co.* | 438 | 3,653 | ||||||
Pharmasset, Inc.* | 176 | 3,643 | ||||||
Facet Biotech Corp.* | 207 | 3,639 | ||||||
Computer Programs & Systems, Inc. | 78 | 3,592 | ||||||
Natus Medical, Inc.* | 242 | 3,579 | ||||||
Affymetrix, Inc.* | 589 | 3,440 | ||||||
Sun Healthcare Group, Inc.* | 368 | 3,375 | ||||||
Angiodynamics, Inc.* | 208 | 3,345 | ||||||
Halozyme Therapeutics, Inc.* | 567 | 3,328 | ||||||
MWI Veterinary Supply, Inc.* | 88 | 3,318 | ||||||
SonoSite, Inc.* | 140 | 3,308 | ||||||
Micromet, Inc.* | 483 | 3,217 | ||||||
Emeritus Corp.* | 168 | 3,150 | ||||||
DexCom, Inc.* | 388 | 3,135 | ||||||
Omnicell, Inc.* | 266 | 3,110 | ||||||
Air Methods Corp.* | 90 | 3,026 | ||||||
Quidel Corp.* | 216 | 2,976 | ||||||
Select Medical Holdings Corp.* | 280 | 2,974 | ||||||
Triple-S Management Corp. — Class B* | 165 | 2,904 | ||||||
SurModics, Inc.* | 128 | 2,900 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Inspire Pharmaceuticals, Inc.* | 521 | $ | 2,876 | |||||
Hanger Orthopedic Group, Inc.* | 206 | 2,849 | ||||||
Almost Family, Inc.* | 71 | 2,807 | ||||||
Arena Pharmaceuticals, Inc.* | 780 | 2,769 | ||||||
BioScrip, Inc.* | 330 | 2,759 | ||||||
Optimer Pharmaceuticals, Inc.* | 240 | 2,707 | ||||||
Universal American Financial Corp.* | 226 | 2,644 | ||||||
Cross Country Healthcare, Inc.* | 260 | 2,577 | ||||||
National Healthcare Corp. | 70 | 2,528 | ||||||
Molina Healthcare, Inc.* | 110 | 2,516 | ||||||
Vanda Pharmaceuticals, Inc.* | 216 | 2,428 | ||||||
AMN Healthcare Services, Inc.* | 266 | 2,410 | ||||||
Symmetry Medical, Inc.* | 299 | 2,410 | ||||||
Res-Care, Inc.* | 209 | 2,341 | ||||||
Questcor Pharmaceuticals, Inc.* | 484 | 2,299 | ||||||
Genomic Health, Inc.* | 117 | 2,289 | ||||||
Assisted Living Concepts, Inc. — Class A* | 86 | 2,268 | ||||||
Cantel Medical Corp.* | 112 | 2,260 | ||||||
ABIOMED, Inc.* | 256 | 2,237 | ||||||
eResearch Technology, Inc.* | 363 | 2,182 | ||||||
Endologix, Inc.* | 413 | 2,181 | ||||||
Kendle International, Inc.* | 119 | 2,179 | ||||||
Sangamo Biosciences, Inc.* | 365 | 2,161 | ||||||
Nabi Biopharmaceuticals* | 430 | 2,107 | ||||||
Ariad Pharmaceuticals, Inc.* | 922 | 2,102 | ||||||
Sequenom, Inc.* | 507 | 2,099 | ||||||
Metabolix, Inc.* | 187 | 2,070 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 950 | 2,061 | ||||||
Dyax Corp.* | 596 | 2,020 | ||||||
Santarus, Inc.* | 436 | 2,014 | ||||||
Zymogenetics, Inc.* | 315 | 2,013 | ||||||
Cadence Pharmaceuticals, Inc.* | 208 | 2,011 | ||||||
Electro-Optical Sciences, Inc.* | 194 | 2,010 | ||||||
Clinical Data, Inc.* | 110 | 2,009 | ||||||
Orthovita, Inc.* | 563 | 1,976 | ||||||
OraSure Technologies, Inc.* | 387 | 1,966 | ||||||
Hi-Tech Pharmacal Company, Inc.* | 70 | 1,963 | ||||||
Protalix BioTherapeutics, Inc.* | 289 | 1,913 | ||||||
Emergent Biosolutions, Inc.* | 140 | 1,903 | ||||||
Micrus Endovascular Corp.* | 126 | 1,891 | ||||||
Spectranetics Corp.* | 271 | 1,886 | ||||||
Medical Action Industries, Inc.* | 117 | 1,879 | ||||||
Corvel Corp.* | 56 | 1,878 | ||||||
Accuray, Inc.* | 333 | 1,868 | ||||||
Cypress Bioscience, Inc.* | 322 | 1,855 | ||||||
IRIS International, Inc.* | 150 | 1,854 | ||||||
HeartWare International, Inc.* | 52 | 1,844 | ||||||
Albany Molecular Research, Inc.* | 201 | 1,825 | ||||||
Durect Corp.* | 731 | 1,806 | ||||||
Obagi Medical Products, Inc.* | 150 | 1,800 |
94 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
RTI Biologics, Inc.* | 464 | $ | 1,782 | |||||
AGA Medical Holdings, Inc.* | 120 | 1,772 | ||||||
Immunomedics, Inc.* | 545 | 1,749 | ||||||
Curis, Inc.* | 536 | 1,742 | ||||||
Kensey Nash Corp.* | 67 | 1,708 | ||||||
Somanetics Corp.* | 97 | 1,702 | ||||||
Ardea Biosciences, Inc.* | 120 | 1,680 | ||||||
AMICAS, Inc.* | 303 | 1,648 | ||||||
Orexigen Therapeutics, Inc.* | 220 | 1,637 | ||||||
American Dental Partners, Inc.* | 126 | 1,625 | ||||||
MAKO Surgical Corp.* | 146 | 1,621 | ||||||
US Physical Therapy, Inc.* | 95 | 1,608 | ||||||
Novavax, Inc.* | 602 | 1,601 | ||||||
Spectrum Pharmaceuticals, Inc.* | 360 | 1,598 | ||||||
NxStage Medical, Inc.* | 190 | 1,587 | ||||||
Vital Images, Inc.* | 124 | 1,574 | ||||||
Pain Therapeutics, Inc.* | 292 | 1,565 | ||||||
CryoLife, Inc.* | 243 | 1,560 | ||||||
Atrion Corp. | 10 | 1,557 | ||||||
Cytori Therapeutics, Inc.* | 253 | 1,543 | ||||||
Enzo Biochem, Inc.* | 284 | 1,528 | ||||||
BMP Sunstone Corp.* | 267 | 1,519 | ||||||
SIGA Technologies, Inc.* | 260 | 1,508 | ||||||
Alphatec Holdings, Inc.* | 282 | 1,506 | ||||||
TomoTherapy, Inc.* | 385 | 1,502 | ||||||
Lexicon Genetics, Inc.* | 880 | 1,496 | ||||||
Chindex International, Inc.* | 105 | 1,484 | ||||||
Palomar Medical Technologies, Inc.* | 146 | 1,472 | ||||||
Depomed, Inc.* | 425 | 1,424 | ||||||
Providence Service Corp.* | 90 | 1,422 | ||||||
Delcath Systems, Inc.* | 268 | 1,378 | ||||||
Cambrex Corp.* | 245 | 1,367 | ||||||
NPS Pharmaceuticals, Inc.* | 402 | 1,367 | ||||||
BioCryst Pharmaceuticals, Inc.* | 206 | 1,331 | ||||||
SuperGen, Inc.* | 501 | 1,313 | ||||||
Ensign Group, Inc. | 85 | 1,306 | ||||||
Accelrys, Inc.* | 226 | 1,295 | ||||||
Pozen, Inc.* | 216 | 1,294 | ||||||
Synovis Life Technologies, Inc.* | 100 | 1,291 | ||||||
Arqule, Inc.* | 348 | 1,284 | ||||||
ATS Medical, Inc.* | 396 | 1,279 | ||||||
Maxygen, Inc.* | 208 | 1,267 | ||||||
BioMimetic Therapeutics, Inc.* | 106 | 1,265 | ||||||
Alliance Imaging, Inc.* | 221 | 1,262 | ||||||
StemCells, Inc.* | 999 | 1,259 | ||||||
Ista Pharmaceuticals, Inc.* | 276 | 1,259 | ||||||
Sunrise Senior Living, Inc.* | 381 | 1,227 | ||||||
Skilled Healthcare Group, Inc. — Class A* | 164 | 1,222 | ||||||
Exactech, Inc.* | 69 | 1,194 | ||||||
Young Innovations, Inc. | 48 | 1,189 | ||||||
AVI BioPharma, Inc.* | 809 | 1,181 | ||||||
Allion Healthcare, Inc.* | 180 | 1,181 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Vical, Inc.* | 356 | $ | 1,171 | |||||
CardioNet, Inc.* | 195 | 1,158 | ||||||
Vascular Solutions, Inc.* | 136 | 1,141 | ||||||
Array Biopharma, Inc.* | 402 | 1,130 | ||||||
KV Pharmaceutical Co.* | 305 | 1,119 | ||||||
Allied Healthcare International, Inc.* | 376 | 1,094 | ||||||
Bovie Medical Corp.* | 140 | 1,093 | ||||||
Repligen Corp.* | 263 | 1,081 | ||||||
Rockwell Medical Technologies, Inc.* | 140 | 1,077 | ||||||
Continucare Corp.* | 246 | 1,075 | ||||||
Transcend Services, Inc.* | 50 | 1,068 | ||||||
Cytokinetics, Inc.* | 365 | 1,062 | ||||||
America Service Group, Inc. | 65 | 1,032 | ||||||
Medcath Corp.* | 130 | 1,028 | ||||||
Osiris Therapeutics, Inc.* | 144 | 1,028 | ||||||
Stereotaxis, Inc.* | 260 | 1,022 | ||||||
AVANIR Pharmaceuticals, Inc. — Class A* | 536 | 1,018 | ||||||
Progenics Pharmaceuticals, Inc.* | 226 | 1,003 | ||||||
Celldex Therapeutics, Inc.* | 210 | 983 | ||||||
Myriad Pharmaceuticals, Inc.* | 195 | 981 | ||||||
Merge Healthcare, Inc.* | 290 | 974 | ||||||
Capital Senior Living Corp.* | 192 | 964 | ||||||
Cumberland Pharmaceuticals, Inc.* | 70 | 951 | ||||||
Medidata Solutions, Inc.* | 60 | 936 | ||||||
OncoGenex Pharmaceutical, Inc.* | 42 | 936 | ||||||
Infinity Pharmaceuticals, Inc.* | 150 | 927 | ||||||
Idera Pharmaceuticals, Inc.* | 179 | 925 | ||||||
Cutera, Inc.* | 106 | 902 | ||||||
Neurocrine Biosciences, Inc.* | 328 | 892 | ||||||
Biospecifics Technologies Corp.* | 30 | 881 | ||||||
Utah Medical Products, Inc. | 30 | 880 | ||||||
Cynosure, Inc.* | 76 | 873 | ||||||
Rochester Medical Corp.* | 76 | 846 | ||||||
Akorn, Inc.* | 470 | 841 | ||||||
Health Grades, Inc.* | 195 | 837 | ||||||
Insmed, Inc.* | 1,049 | 808 | ||||||
MAP Pharmaceuticals, Inc.* | 79 | 753 | ||||||
Harvard Bioscience, Inc.* | 206 | 735 | ||||||
Nighthawk Radiology Holdings, Inc.* | 162 | 734 | ||||||
LCA-Vision, Inc.* | 136 | 696 | ||||||
SciClone Pharmaceuticals, Inc.* | 296 | 690 | ||||||
Nanosphere, Inc.* | 107 | 689 | ||||||
Synta Pharmaceuticals Corp.* | 136 | 688 | ||||||
Opko Health, Inc.* | 372 | 681 | ||||||
GTx, Inc.* | 162 | 680 | ||||||
NeurogesX, Inc.* | 87 | 671 | ||||||
Discovery Laboratories, Inc.* | 1,057 | 664 | ||||||
Clarient, Inc.* | 246 | 652 | ||||||
NovaMed, Inc.* | 166 | 644 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 95 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Virtual Radiologic Corp.* | 50 | $ | 638 | |||||
Hansen Medical, Inc.* | 210 | 636 | ||||||
Home Diagnostics, Inc.* | 100 | 610 | ||||||
Metropolitan Health Networks, Inc.* | 306 | 609 | ||||||
Chelsea Therapeutics International, Inc.* | 218 | 589 | ||||||
Javelin Pharmaceuticals, Inc.* | 449 | 584 | ||||||
Hemispherx Biopharma, Inc.* | 1,036 | 580 | ||||||
ARYx Therapeutics, Inc.* | 180 | 578 | ||||||
Adolor Corp.* | 392 | 572 | ||||||
Idenix Pharmaceuticals, Inc.* | 264 | 568 | ||||||
Biodel, Inc.* | 126 | 547 | ||||||
MedQuist, Inc. | 80 | 535 | ||||||
Caraco Pharmaceutical Laboratories Ltd.* | 87 | 525 | ||||||
Amicus Therapeutics, Inc.* | 132 | 524 | ||||||
RadNet, Inc.* | 247 | 504 | ||||||
Lannet Company, Inc.* | 85 | 502 | ||||||
TranS1, Inc.* | 110 | 435 | ||||||
Omeros Corp.* | 60 | 421 | ||||||
Poniard Pharmaceuticals, Inc.* | 216 | 395 | ||||||
Cardiac Science Corp.* | 166 | 370 | ||||||
Cardiovascular Systems, Inc.* | 80 | 367 | ||||||
BioDelivery Sciences International, Inc.* | 92 | 362 | ||||||
OXiGENE, Inc.* | 314 | 358 | ||||||
Acura Pharmaceuticals, Inc.* | 65 | 346 | ||||||
Sucampo Pharmaceuticals, Inc. — Class A* | 85 | 343 | ||||||
Matrixx Initiatives, Inc.* | 80 | 338 | ||||||
Cornerstone Therapeutics, Inc.* | 51 | 311 | ||||||
National Research Corp. | 15 | 311 | ||||||
Molecular Insight Pharmaceuticals, Inc.* | 136 | 306 | ||||||
Cardium Therapeutics, Inc.* | 380 | 258 | ||||||
American Caresource Holdings, Inc.* | 90 | 216 | ||||||
MiddleBrook Pharmaceuticals, Inc.* | 305 | 156 | ||||||
Repros Therapeutics, Inc.* | 130 | 104 | ||||||
EnteroMedics, Inc.* | 146 | 82 | ||||||
Total Health Care | 1,126,992 | |||||||
CONSUMER DISCRETIONARY 10.2% | ||||||||
Tupperware Brands Corp. | 534 | 24,868 | ||||||
Bally Technologies, Inc.* | 461 | 19,035 | ||||||
J. Crew Group, Inc.* | 418 | 18,701 | ||||||
The Warnaco Group, Inc.* | 386 | 16,285 | ||||||
Tractor Supply Co.* | 296 | 15,676 | ||||||
Tempur-Pedic International, Inc.* | 631 | 14,911 | ||||||
Fossil, Inc.* | 390 | 13,088 | ||||||
Sotheby’s | 564 | 12,679 | ||||||
Dana Holding Corp.* | 1,168 | 12,661 | ||||||
Carter’s, Inc.* | 480 | 12,600 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Collective Brands, Inc.* | 540 | $ | 12,296 | |||||
Jones Apparel Group, Inc. | 719 | 11,547 | ||||||
Polaris Industries, Inc. | 260 | 11,344 | ||||||
Dress Barn, Inc.* | 482 | 11,134 | ||||||
Wolverine World Wide, Inc. | 405 | 11,024 | ||||||
Gymboree Corp.* | 252 | 10,960 | ||||||
Cheesecake Factory, Inc.* | 507 | 10,946 | ||||||
Deckers Outdoor Corp.* | 106 | 10,782 | ||||||
Lululemon Athletica, Inc.* | 340 | 10,234 | ||||||
Cooper Tire & Rubber Co. | 497 | 9,965 | ||||||
Rent-A-Center, Inc.* | 562 | 9,959 | ||||||
Eastman Kodak Co.* | 2,256 | 9,520 | ||||||
Jack in the Box, Inc.* | 483 | 9,501 | ||||||
Brunswick Corp. | 740 | 9,405 | ||||||
Vail Resorts, Inc.* | 245 | 9,261 | ||||||
Men’s Wearhouse, Inc. | 437 | 9,203 | ||||||
Corinthian Colleges, Inc.* | 666 | 9,171 | ||||||
Capella Education Co.* | 121 | 9,111 | ||||||
Matthews International Corp. — Class A | 256 | 9,070 | ||||||
Tenneco, Inc.* | 503 | 8,918 | ||||||
Life Time Fitness, Inc.* | 344 | 8,576 | ||||||
Skechers U.S.A., Inc. — Class A* | 284 | 8,352 | ||||||
NutriSystem, Inc. | 262 | 8,167 | ||||||
OfficeMax, Inc.* | 640 | 8,122 | ||||||
Jo-Ann Stores, Inc.* | 221 | 8,009 | ||||||
Dillard’s, Inc. — Class A | 430 | 7,934 | ||||||
Pool Corp. | 408 | 7,785 | ||||||
Under Armour, Inc.* | 282 | 7,690 | ||||||
Iconix Brand Group, Inc.* | 597 | 7,552 | ||||||
Regis Corp. | 484 | 7,536 | ||||||
Bob Evans Farms, Inc. | 256 | 7,411 | ||||||
P.F. Chang’s China Bistro, Inc.* | 195 | 7,392 | ||||||
Valassis Communications, Inc.* | 402 | 7,341 | ||||||
Cracker Barrel Old Country Store, Inc. | 192 | 7,294 | ||||||
American Greetings Corp. — Class A | 330 | 7,191 | ||||||
Coinstar, Inc.* | 252 | 7,001 | ||||||
Ryland Group, Inc. | 355 | 6,994 | ||||||
Saks, Inc.* | 1,056 | 6,927 | ||||||
ArvinMeritor, Inc.* | 617 | 6,898 | ||||||
AnnTaylor Stores Corp.* | 493 | 6,725 | ||||||
Blue Nile, Inc.* | 106 | 6,713 | ||||||
HSN, Inc.* | 330 | 6,663 | ||||||
Orient-Express Hotels Ltd. — Class A* | 653 | 6,621 | ||||||
Timberland Co. — Class A* | 366 | 6,562 | ||||||
Gaylord Entertainment Co.* | 330 | 6,518 | ||||||
Charming Shoppes, Inc.* | 970 | 6,276 | ||||||
Jos. A. Bank Clothiers, Inc.* | 148 | 6,244 | ||||||
Buckle, Inc. | 213 | 6,237 | ||||||
Buffalo Wild Wings, Inc.* | 152 | 6,121 |
96 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Children’s Place Retail Stores, Inc.* | 185 | $ | 6,107 | |||||
CEC Entertainment, Inc.* | 191 | 6,097 | ||||||
Sally Beauty Holdings, Inc.* | 788 | 6,028 | ||||||
Helen of Troy Ltd.* | 246 | 6,017 | ||||||
Live Nation, Inc.* | 698 | 5,940 | ||||||
Unifirst Corp. | 120 | 5,773 | ||||||
National CineMedia, Inc. | 348 | 5,766 | ||||||
Group 1 Automotive, Inc.* | 200 | 5,670 | ||||||
Scholastic Corp. | 190 | 5,668 | ||||||
Steven Madden Ltd.* | 130 | 5,361 | ||||||
Genesco, Inc.* | 190 | 5,217 | ||||||
Hibbett Sports, Inc.* | 235 | 5,168 | ||||||
American Public Education, Inc.* | 149 | 5,120 | ||||||
Sonic Corp.* | 508 | 5,116 | ||||||
99 Cents Only Stores* | 388 | 5,071 | ||||||
Arbitron, Inc. | 216 | 5,059 | ||||||
Fuel Systems Solutions, Inc.* | 122 | 5,031 | ||||||
Meritage Homes Corp.* | 258 | 4,987 | ||||||
Pier 1 Imports, Inc.* | 965 | 4,912 | ||||||
Cabela’s, Inc. — Class A* | 338 | 4,820 | ||||||
Monro Muffler Brake, Inc. | 142 | 4,749 | ||||||
Texas Roadhouse, Inc.* | 419 | 4,705 | ||||||
Cato Corp. — Class A | 234 | 4,694 | ||||||
Steiner Leisure Ltd.* | 116 | 4,612 | ||||||
Modine Manufacturing Co.* | 389 | 4,606 | ||||||
Pinnacle Entertainment, Inc.* | 512 | 4,598 | ||||||
Liz Claiborne, Inc.* | 803 | 4,521 | ||||||
Finish Line, Inc. — Class A | 358 | 4,493 | ||||||
Papa John’s International, Inc.* | 180 | 4,205 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.* | 227 | 4,122 | ||||||
Callaway Golf Co. | 543 | 4,094 | ||||||
CROCS, Inc.* | 708 | 4,071 | ||||||
Interval Leisure Group, Inc.* | 326 | 4,065 | ||||||
Belo Corp. — Class A | 746 | 4,058 | ||||||
La-Z-Boy, Inc.* | 425 | 4,050 | ||||||
National Presto Industries, Inc. | 37 | 4,042 | ||||||
Ruby Tuesday, Inc.* | 550 | 3,960 | ||||||
K12, Inc.* | 195 | 3,953 | ||||||
Stage Stores, Inc. | 316 | 3,906 | ||||||
True Religion Apparel, Inc.* | 210 | 3,883 | ||||||
Ticketmaster Entertainment, Inc.* | 316 | 3,862 | ||||||
Cinemark Holdings, Inc. | 268 | 3,851 | ||||||
Columbia Sportswear Co. | 97 | 3,787 | ||||||
DineEquity, Inc.* | 154 | 3,741 | ||||||
Shuffle Master, Inc.* | 450 | 3,708 | ||||||
PetMed Express, Inc. | 199 | 3,508 | ||||||
Stewart Enterprises, Inc. — Class A | 679 | 3,497 | ||||||
Fred’s, Inc. | 342 | 3,488 | ||||||
Peet’s Coffee & Tea, Inc.* | 104 | 3,466 | ||||||
Brown Shoe Company, Inc. | 351 | 3,464 | ||||||
CKE Restaurants, Inc. | 406 | 3,435 |
MARKET | ||||||||
SHARES | VALUE | |||||||
The Pep Boys-Manny Moe & Jack | 405 | $ | 3,426 | |||||
Harte-Hanks, Inc. | 316 | 3,406 | ||||||
Citi Trends, Inc.* | 123 | 3,397 | ||||||
Universal Technical Institute, Inc.* | 166 | 3,353 | ||||||
RCN Corp.* | 305 | 3,309 | ||||||
Lumber Liquidators Holdings, Inc.* | 123 | 3,296 | ||||||
Ameristar Casinos, Inc. | 216 | 3,290 | ||||||
Standard-Pacific Corp.* | 847 | 3,168 | ||||||
Drew Industries, Inc.* | 150 | 3,098 | ||||||
Big 5 Sporting Goods Corp. | 180 | 3,092 | ||||||
Asbury Automotive Group, Inc.* | 268 | 3,090 | ||||||
Ascent Media Corp. — Class A* | 120 | 3,064 | ||||||
BJ’s Restaurants, Inc.* | 160 | 3,011 | ||||||
Churchill Downs, Inc. | 80 | 2,988 | ||||||
Exide Technologies* | 418 | 2,972 | ||||||
Shutterfly, Inc.* | 166 | 2,956 | ||||||
Jakks Pacific, Inc.* | 242 | 2,933 | ||||||
Superior Industries International, Inc. | 190 | 2,907 | ||||||
Winnebago Industries, Inc.* | 237 | 2,891 | ||||||
Ethan Allen Interiors, Inc. | 213 | 2,858 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 356 | 2,855 | ||||||
The Wet Seal, Inc. — Class A* | 824 | 2,843 | ||||||
iRobot Corp.* | 159 | 2,798 | ||||||
Volcom, Inc.* | 162 | 2,712 | ||||||
Sonic Automotive, Inc.* | 260 | 2,701 | ||||||
Knology, Inc.* | 246 | 2,694 | ||||||
World Wrestling Entertainment, Inc. | 175 | 2,683 | ||||||
Maidenform Brands, Inc.* | 160 | 2,670 | ||||||
RC2 Corp.* | 179 | 2,640 | ||||||
Universal Electronics, Inc.* | 113 | 2,624 | ||||||
Core-Mark Holding Company, Inc.* | 79 | 2,604 | ||||||
DSW, Inc.* | 100 | 2,588 | ||||||
CKX, Inc.* | 490 | 2,582 | ||||||
Dolan Media Co.* | 252 | 2,573 | ||||||
Domino’s Pizza, Inc.* | 306 | 2,564 | ||||||
Pre-Paid Legal Services, Inc.* | 61 | 2,506 | ||||||
G-III Apparel Group Ltd.* | 113 | 2,449 | ||||||
hhgregg, Inc.* | 111 | 2,445 | ||||||
Grand Canyon Education, Inc.* | 127 | 2,414 | ||||||
Hot Topic, Inc.* | 370 | 2,353 | ||||||
Stein Mart, Inc.* | 220 | 2,345 | ||||||
Red Robin Gourmet Burgers, Inc.* | 130 | 2,327 | ||||||
Christopher & Banks Corp. | 303 | 2,309 | ||||||
FGX International Holdings Ltd.* | 117 | 2,292 | ||||||
Oxford Industries, Inc. | 110 | 2,275 | ||||||
Steak N Shake Co.* | 7 | 2,269 | ||||||
drugstore.com, Inc.* | 728 | 2,250 | ||||||
Orbitz Worldwide, Inc.* | 305 | 2,239 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 97 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Marcus Corp. | 174 | $ | 2,231 | |||||
K-Swiss, Inc. — Class A* | 221 | 2,197 | ||||||
Pacific Sunwear of California, Inc.* | 548 | 2,181 | ||||||
Quiksilver, Inc.* | 1,078 | 2,178 | ||||||
ChinaCast Education Corp.* | 286 | 2,162 | ||||||
Zumiez, Inc.* | 169 | 2,150 | ||||||
California Pizza Kitchen, Inc.* | 159 | 2,139 | ||||||
Ambassadors Group, Inc. | 160 | 2,126 | ||||||
Coldwater Creek, Inc.* | 475 | 2,119 | ||||||
Smith & Wesson Holding Corp.* | 500 | 2,045 | ||||||
Haverty Furniture Companies, Inc. | 148 | 2,032 | ||||||
America’s Car Mart, Inc.* | 76 | 2,001 | ||||||
Furniture Brands International, Inc.* | 345 | 1,884 | ||||||
Speedway Motorsports, Inc. | 106 | 1,868 | ||||||
Fuqi International, Inc.* | 104 | 1,867 | ||||||
Cavco Industries, Inc.* | 51 | 1,832 | ||||||
Retail Ventures, Inc.* | 205 | 1,822 | ||||||
Bridgepoint Education, Inc.* | 120 | 1,802 | ||||||
Talbots, Inc.* | 202 | 1,800 | ||||||
Wonder Auto Technology, Inc.* | 153 | 1,799 | ||||||
Vitamin Shoppe, Inc.* | 80 | 1,779 | ||||||
Denny’s Corp.* | 809 | 1,772 | ||||||
Kirkland’s, Inc.* | 100 | 1,737 | ||||||
Overstock.com, Inc.* | 128 | 1,736 | ||||||
AFC Enterprises, Inc.* | 212 | 1,730 | ||||||
Hovnanian Enterprises, Inc. — Class A* | 444 | 1,705 | ||||||
Blyth, Inc. | 50 | 1,686 | ||||||
Rue21, Inc.* | 60 | 1,685 | ||||||
EW Scripps Co. — Class A* | 240 | 1,670 | ||||||
Shoe Carnival, Inc.* | 80 | 1,638 | ||||||
Dorman Products, Inc.* | 104 | 1,629 | ||||||
Lincoln Educational Services Corp.* | 75 | 1,625 | ||||||
Beazer Homes USA, Inc.* | 333 | 1,612 | ||||||
M/I Homes, Inc.* | 150 | 1,559 | ||||||
Sturm Ruger & Company, Inc. | 160 | 1,552 | ||||||
Spartan Motors, Inc. | 273 | 1,537 | ||||||
Unifi, Inc.* | 380 | 1,474 | ||||||
Mediacom Communications Corp.* | 327 | 1,462 | ||||||
Krispy Kreme Doughnuts, Inc.* | 490 | 1,446 | ||||||
Sinclair Broadcast Group, Inc. — Class A* | 356 | 1,435 | ||||||
Rentrak Corp.* | 80 | 1,414 | ||||||
Amerigon, Inc.* | 176 | 1,397 | ||||||
Lithia Motors, Inc. — Class A* | 170 | 1,397 | ||||||
Systemax, Inc. | 88 | 1,382 | ||||||
Movado Group, Inc. | 142 | 1,380 | ||||||
Journal Communications, Inc. — Class A | 346 | 1,346 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Weyco Group, Inc. | 56 | $ | 1,324 | |||||
Multimedia Games, Inc.* | 218 | 1,310 | ||||||
Standard Motor Products, Inc.* | 150 | 1,278 | ||||||
Bebe Stores, Inc. | 202 | 1,267 | ||||||
Perry Ellis International, Inc.* | 80 | 1,205 | ||||||
Sealy Corp.* | 381 | 1,204 | ||||||
Landry’s Restaurants, Inc.* | 56 | 1,192 | ||||||
CSS Industries, Inc. | 61 | 1,186 | ||||||
Stoneridge, Inc.* | 128 | 1,153 | ||||||
Skyline Corp. | 61 | 1,122 | ||||||
Leapfrog Enterprises, Inc.* | 286 | 1,118 | ||||||
Hooker Furniture Corp. | 90 | 1,113 | ||||||
Martha Stewart Omnimedia, Inc.* | 224 | 1,107 | ||||||
Gaiam, Inc.* | 142 | 1,092 | ||||||
Cherokee, Inc. | 59 | 1,051 | ||||||
Jackson Hewitt Tax Service, Inc.* | 235 | 1,034 | ||||||
LIN TV Corp. — Class A* | 226 | 1,008 | ||||||
Sport Supply Group, Inc. | 80 | 1,007 | ||||||
Midas, Inc.* | 118 | 997 | ||||||
Audiovox Corp. — Class A* | 140 | 993 | ||||||
West Marine, Inc.* | 123 | 991 | ||||||
Mac-Gray Corp.* | 96 | 989 | ||||||
O’Charleys, Inc.* | 150 | 983 | ||||||
Isle of Capri Casinos, Inc.* | 130 | 972 | ||||||
Vitacost.com, Inc.* | 90 | 938 | ||||||
LodgeNet Interactive Corp.* | 165 | 912 | ||||||
New York & Company, Inc.* | 208 | 892 | ||||||
Stanley Furniture Co.* | 87 | 883 | ||||||
Hawk Corp.* | 50 | 881 | ||||||
Steinway Musical Instruments, Inc.* | 55 | 875 | ||||||
Global Sources Ltd.* | 135 | 844 | ||||||
McCormick & Schmick’s Seafood Restaurants, Inc.* | 120 | 835 | ||||||
American Apparel, Inc.* | 266 | 825 | ||||||
Stamps.com, Inc.* | 90 | 810 | ||||||
Morgans Hotel Group Co.* | 177 | 802 | ||||||
Rex Stores Corp.* | 57 | 801 | ||||||
Universal Travel Group* | 76 | 771 | ||||||
Fisher Communications, Inc.* | 47 | 764 | ||||||
China Automotive Systems, Inc.* | 40 | 748 | ||||||
Youbet.com, Inc.* | 252 | 723 | ||||||
Learning Tree International, Inc.* | 60 | 716 | ||||||
Build-A-Bear Workshop, Inc.* | 142 | 694 | ||||||
Outdoor Channel Holdings, Inc.* | 119 | 690 | ||||||
Destination Maternity Corp.* | 36 | 684 | ||||||
Raser Technologies, Inc.* | 550 | 682 | ||||||
Carmike Cinemas, Inc.* | 90 | 680 | ||||||
Tuesday Morning Corp.* | 252 | 650 | ||||||
Monarch Casino & Resort, Inc.* | 80 | 648 | ||||||
Brookfield Homes Corp.* | 81 | 648 | ||||||
Reading International, Inc. — Class A* | 150 | 608 | ||||||
Luby’s, Inc.* | 165 | 607 |
98 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Carrols Restaurant Group, Inc.* | 85 | $ | 601 | |||||
1-800-FLOWERS.com, Inc.* | 223 | 591 | ||||||
Playboy Enterprises, Inc. — Class B* | 183 | 586 | ||||||
Kenneth Cole Productions, Inc. — Class A* | 59 | 569 | ||||||
Great Wolf Resorts, Inc.* | 232 | 550 | ||||||
Zale Corp.* | 195 | 530 | ||||||
Red Lion Hotels Corp.* | 106 | 524 | ||||||
Princeton Review, Inc.* | 124 | 503 | ||||||
CPI Corp. | 40 | 491 | ||||||
Primedia, Inc. | 136 | 491 | ||||||
Borders Group, Inc.* | 413 | 487 | ||||||
Conn’s, Inc.* | 82 | 479 | ||||||
Frisch’s Restaurants, Inc. | 20 | 477 | ||||||
Syms Corp.* | 62 | 448 | ||||||
Caribou Coffee Company, Inc.* | 58 | 448 | ||||||
Dover Downs Gaming & Entertainment, Inc. | 115 | 435 | ||||||
Benihana, Inc.* | 110 | 417 | ||||||
US Auto Parts Network, Inc.* | 80 | 416 | ||||||
Marine Products Corp. | 80 | 394 | ||||||
Lakes Entertainment, Inc.* | 156 | 392 | ||||||
Town Sports International Holdings, Inc.* | 164 | 382 | ||||||
Books-A-Million, Inc. | 56 | 376 | ||||||
Einstein Noah Restaurant Group, Inc.* | 37 | 364 | ||||||
Ruth’s Hospitality Group, Inc.* | 168 | 351 | ||||||
Bluegreen Corp.* | 121 | 293 | ||||||
Value Line, Inc. | 10 | 251 | ||||||
Nobel Learning Communities, Inc.* | 27 | 205 | ||||||
Gander Mountain Co.* | 40 | 204 | ||||||
NIVS IntelliMedia Technology Group, Inc.* | 65 | 168 | ||||||
Crown Media Holdings, Inc. — Class A* | 87 | 126 | ||||||
Total Consumer Discretionary | 1,080,814 | |||||||
ENERGY 3.8% | ||||||||
Atlas Energy, Inc. | 570 | 17,197 | ||||||
Arena Resources, Inc.* | 321 | 13,845 | ||||||
World Fuel Services Corp. | 502 | 13,448 | ||||||
Dril-Quip, Inc.* | 236 | 13,329 | ||||||
Bristow Group, Inc.* | 302 | 11,612 | ||||||
Brigham Exploration Co.* | 832 | 11,274 | ||||||
Nordic American Tanker Shipping Ltd. | 355 | 10,650 | ||||||
Berry Petroleum Co. — Class A | 363 | 10,581 | ||||||
CARBO Ceramics, Inc. | 155 | 10,566 | ||||||
Bill Barrett Corp.* | 324 | 10,080 | ||||||
Gran Tierra Energy, Inc.* | 1,712 | 9,810 | ||||||
Patriot Coal Corp.* | 621 | 9,601 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Lufkin Industries, Inc. | 130 | $ | 9,516 | |||||
Key Energy Services, Inc.* | 1,036 | 9,106 | ||||||
Rosetta Resources, Inc.* | 435 | 8,669 | ||||||
Penn Virginia Corp. | 375 | 7,984 | ||||||
BPZ Resources, Inc.* | 783 | 7,438 | ||||||
Swift Energy Co.* | 308 | 7,380 | ||||||
Tetra Technologies, Inc.* | 633 | 7,014 | ||||||
Stone Energy Corp.* | 354 | 6,390 | ||||||
Complete Production Services, Inc.* | 486 | 6,318 | ||||||
Carrizo Oil & Gas, Inc.* | 227 | 6,013 | ||||||
Global Industries Ltd.* | 843 | 6,011 | ||||||
ATP Oil & Gas Corp.* | 327 | 5,977 | ||||||
Willbros Group, Inc.* | 332 | 5,601 | ||||||
GulfMark Offshore, Inc.* | 189 | 5,351 | ||||||
ION Geophysical Corp.* | 892 | 5,281 | ||||||
Goodrich Petroleum Corp.* | 214 | 5,211 | ||||||
McMoRan Exploration Co.* | 641 | 5,141 | ||||||
Ship Finance International Ltd. | 365 | 4,975 | ||||||
Parker Drilling Co.* | 984 | 4,871 | ||||||
Clean Energy Fuels Corp.* | 301 | 4,638 | ||||||
Hercules Offshore, Inc.* | 959 | 4,584 | ||||||
Contango Oil & Gas Co.* | 97 | 4,560 | ||||||
Hornbeck Offshore Services, Inc.* | 190 | 4,423 | ||||||
James River Coal Co.* | 226 | 4,188 | ||||||
Cloud Peak Energy, Inc.* | 260 | 3,786 | ||||||
USEC, Inc.* | 949 | 3,654 | ||||||
GMX Resources, Inc.* | 264 | 3,627 | ||||||
Northern Oil And Gas, Inc.* | 303 | 3,587 | ||||||
Golar LNG Ltd.* | 270 | 3,461 | ||||||
W&T Offshore, Inc. | 286 | 3,346 | ||||||
Newpark Resources, Inc.* | 752 | 3,181 | ||||||
Pioneer Drilling Co.* | 386 | 3,049 | ||||||
International Coal Group, Inc.* | 759 | 2,930 | ||||||
Petroleum Development Corp.* | 160 | 2,914 | ||||||
Cal Dive International, Inc.* | 381 | 2,880 | ||||||
General Maritime Corp. | 406 | 2,838 | ||||||
T-3 Energy Services, Inc. — Class A* | 110 | 2,805 | ||||||
Petroquest Energy, Inc.* | 430 | 2,636 | ||||||
Rex Energy Corp.* | 208 | 2,496 | ||||||
Gulfport Energy Corp.* | 216 | 2,473 | ||||||
RPC, Inc. | 235 | 2,444 | ||||||
Matrix Service Co.* | 224 | 2,386 | ||||||
PHI, Inc.* | 110 | 2,277 | ||||||
VAALCO Energy, Inc. | 493 | 2,243 | ||||||
Oilsands Quest, Inc.* | 1,872 | 2,153 | ||||||
Superior Well Services, Inc.* | 150 | 2,139 | ||||||
Gulf Island Fabrication, Inc. | 101 | 2,124 | ||||||
Crosstex Energy, Inc. | 338 | 2,045 | ||||||
Natural Gas Services Group, Inc.* | 104 | 1,960 | ||||||
Venoco, Inc.* | 146 | 1,904 | ||||||
Allis-Chalmers Energy, Inc.* | 504 | 1,900 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 99 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Apco Oil and Gas International, | ||||||||
Inc. | 82 | $ | 1,812 | |||||
Knightsbridge Tankers Ltd. | 136 | 1,803 | ||||||
Uranium Energy Corp.* | 466 | 1,761 | ||||||
Clayton Williams Energy, Inc.* | 50 | 1,752 | ||||||
Toreador Resources Corp. | 175 | 1,732 | ||||||
Basic Energy Services, Inc.* | 190 | 1,691 | ||||||
Dawson Geophysical Co.* | 70 | 1,618 | ||||||
Western Refining, Inc.* | 341 | 1,606 | ||||||
Delta Petroleum Corp.* | 1,500 | 1,560 | ||||||
DHT Maritime, Inc. | 423 | 1,557 | ||||||
Panhandle Oil and Gas, Inc. — | ||||||||
Class A | 60 | 1,554 | ||||||
Harvest Natural Resources, Inc.* | 278 | 1,471 | ||||||
Warren Resources, Inc.* | 593 | 1,453 | ||||||
Syntroleum Corp.* | 532 | 1,415 | ||||||
CVR Energy, Inc.* | 194 | 1,331 | ||||||
Green Plains Renewable Energy, Inc.* | 80 | 1,190 | ||||||
OYO Geospace Corp.* | 27 | 1,158 | ||||||
Cheniere Energy, Inc.* | 465 | 1,125 | ||||||
Boots & Coots, Inc.* | 663 | 1,094 | ||||||
Isramco, Inc.* | 15 | 1,072 | ||||||
Endeavour International Corp.* | 955 | 1,031 | ||||||
FX Energy, Inc.* | 358 | 1,020 | ||||||
GeoResources, Inc.* | 74 | 1,011 | ||||||
Bronco Drilling Company, Inc.* | 195 | 989 | ||||||
Vantage Drilling Co.* | 566 | 911 | ||||||
Zion Oil & Gas, Inc.* | 120 | 858 | ||||||
Westmoreland Coal Co.* | 93 | 829 | ||||||
Approach Resources, Inc.* | 103 | 795 | ||||||
Teekay Tankers Ltd. | 90 | 768 | ||||||
Bolt Technology Corp.* | 66 | 727 | ||||||
Delek US Holdings, Inc. | 105 | 715 | ||||||
Uranerz Energy Corp.* | 436 | 567 | ||||||
CREDO Petroleum Corp.* | 56 | 521 | ||||||
ENGlobal Corp.* | 160 | 501 | ||||||
Geokinetics, Inc.* | 51 | 491 | ||||||
Union Drilling, Inc.* | 76 | 475 | ||||||
Alon USA Energy, Inc. | 65 | 445 | ||||||
TGC Industries, Inc.* | 110 | 430 | ||||||
Sulphco, Inc.* | 571 | 382 | ||||||
Evergreen Energy, Inc.* | 1,097 | 376 | ||||||
Cubic Energy, Inc.* | 226 | 337 | ||||||
PrimeEnergy Corp.* | 5 | 182 | ||||||
Total Energy | 405,987 | |||||||
MATERIALS 3.5% | ||||||||
Domtar Corp.* | 346 | 19,172 | ||||||
Rock-Tenn Co. — Class A | 316 | 15,930 | ||||||
W.R. Grace & Co.* | 605 | 15,337 | ||||||
Silgan Holdings, Inc. | 222 | 12,849 | ||||||
Solutia, Inc.* | 1,003 | 12,738 | ||||||
Hecla Mining Co.* | 1,994 | 12,323 | ||||||
Olin Corp. | 657 | 11,511 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Coeur d’Alene Mines Corp.* | 625 | $ | 11,287 | |||||
Sensient Technologies Corp. | 410 | 10,783 | ||||||
Schweitzer-Mauduit International, Inc. | 146 | 10,271 | ||||||
Rockwood Holdings, Inc.* | 408 | 9,612 | ||||||
H.B. Fuller Co. | 409 | 9,305 | ||||||
NewMarket Corp. | 76 | 8,722 | ||||||
Minerals Technologies, Inc. | 159 | 8,661 | ||||||
OM Group, Inc.* | 264 | 8,287 | ||||||
Century Aluminum Co.* | 475 | 7,690 | ||||||
Louisiana-Pacific Corp.* | 1,064 | 7,427 | ||||||
Texas Industries, Inc. | 203 | 7,103 | ||||||
Allied Nevada Gold Corp.* | 463 | 6,982 | ||||||
Worthington Industries, Inc. | 509 | 6,653 | ||||||
Arch Chemicals, Inc. | 209 | 6,454 | ||||||
Calgon Carbon Corp.* | 461 | 6,408 | ||||||
RTI International Metals, Inc.* | 247 | 6,217 | ||||||
Ferro Corp. | 724 | 5,966 | ||||||
PolyOne Corp.* | 784 | 5,856 | ||||||
Amcol International Corp. | 195 | 5,542 | ||||||
Kaiser Aluminum Corp. | 130 | 5,411 | ||||||
Clearwater Paper Corp.* | 96 | 5,277 | ||||||
Koppers Holdings, Inc. | 169 | 5,144 | ||||||
Balchem Corp. | 150 | 5,026 | ||||||
Glatfelter | 382 | 4,641 | ||||||
Horsehead Holding Corp.* | 357 | 4,552 | ||||||
Wausau Paper Corp. | 374 | 4,338 | ||||||
Westlake Chemical Corp. | 164 | 4,088 | ||||||
Deltic Timber Corp. | 88 | 4,064 | ||||||
A. Schulman, Inc. | 200 | 4,036 | ||||||
Stepan Co. | 55 | 3,565 | ||||||
Haynes International, Inc. | 104 | 3,429 | ||||||
Innophos Holdings, Inc. | 144 | 3,311 | ||||||
Headwaters, Inc.* | 505 | 3,293 | ||||||
Graphic Packaging Holding Co.* | 939 | 3,258 | ||||||
Buckeye Technologies, Inc.* | 330 | 3,221 | ||||||
Stillwater Mining Co.* | 339 | 3,214 | ||||||
Zep, Inc. | 179 | 3,100 | ||||||
Brush Engineered Materials, Inc.* | 165 | 3,059 | ||||||
KapStone Paper and Packaging | ||||||||
Corp.* | 276 | 2,719 | ||||||
Spartech Corp. | 263 | 2,698 | ||||||
Olympic Steel, Inc. | 80 | 2,606 | ||||||
Myers Industries, Inc. | 267 | 2,430 | ||||||
Omnova Solutions, Inc.* | 373 | 2,286 | ||||||
Zoltek Companies, Inc.* | 232 | 2,204 | ||||||
LSB Industries, Inc.* | 147 | 2,073 | ||||||
Innospec, Inc. | 195 | 1,968 | ||||||
Quaker Chemical Corp. | 93 | 1,920 | ||||||
A.M. Castle & Co. | 140 | 1,917 | ||||||
AEP Industries, Inc.* | 47 | 1,799 | ||||||
Neenah Paper, Inc. | 123 | 1,716 | ||||||
US Gold Corp.* | 669 | 1,659 | ||||||
ICO, Inc. | 226 | 1,652 |
100 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
1
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
STR Holdings, Inc.* | 100 | $ | 1,571 | |||||
Hawkins, Inc. | 70 | 1,528 | ||||||
ShengdaTech, Inc.* | 240 | 1,471 | ||||||
Landec Corp.* | 218 | 1,360 | ||||||
China Green Agriculture, Inc.* | 91 | 1,338 | ||||||
Boise, Inc.* | 250 | 1,327 | ||||||
American Vanguard Corp. | 155 | 1,286 | ||||||
Bway Holding Co.* | 61 | 1,172 | ||||||
General Moly, Inc.* | 539 | 1,121 | ||||||
Universal Stainless & Alloy | ||||||||
Products, Inc.* | 55 | 1,037 | ||||||
Paramount Gold and Silver | ||||||||
Corp.* | 659 | 956 | ||||||
United States Lime & Minerals, | ||||||||
Inc.* | 20 | 691 | ||||||
General Steel Holdings, Inc.* | 153 | 675 | ||||||
China Precision Steel, Inc.* | 255 | 523 | ||||||
Ampal American Israel Corp. — | ||||||||
Class A* | 181 | 489 | ||||||
NL Industries, Inc. | 60 | 416 | ||||||
U.S. Concrete, Inc.* | 276 | 251 | ||||||
Sutor Technology Group Ltd.* | 59 | 157 | ||||||
Total Materials | 372,129 | |||||||
CONSUMER STAPLES 2.6% | ||||||||
Chattem, Inc.* | 156 | 14,555 | ||||||
Casey’s General Stores, Inc. | 427 | 13,630 | ||||||
Nu Skin Enterprises, Inc. | 420 | 11,285 | ||||||
TreeHouse Foods, Inc.* | 265 | 10,298 | ||||||
Universal Corp. | 210 | 9,578 | ||||||
United Natural Foods, Inc.* | 357 | 9,546 | ||||||
Ruddick Corp. | 360 | 9,263 | ||||||
Lancaster Colony Corp. | 160 | 7,952 | ||||||
Fresh Del Monte Produce, Inc.* | 335 | 7,404 | ||||||
Sanderson Farms, Inc. | 165 | 6,956 | ||||||
Bare Escentuals, Inc.* | 556 | 6,800 | ||||||
Chiquita Brands International, | ||||||||
Inc.* | 367 | 6,621 | ||||||
Lance, Inc. | 234 | 6,154 | ||||||
American Italian Pasta Co.* | 176 | 6,123 | ||||||
Darling International, Inc.* | 689 | 5,774 | ||||||
Hain Celestial Group, Inc.* | 337 | 5,732 | ||||||
Tootsie Roll Industries, Inc. | 203 | 5,558 | ||||||
Central Garden and Pet Co. — | ||||||||
Class A* | 523 | 5,199 | ||||||
Diamond Foods, Inc. | 138 | 4,905 | ||||||
J&J Snack Foods Corp. | 121 | 4,835 | ||||||
Vector Group Ltd. | 333 | 4,662 | ||||||
Winn-Dixie Stores, Inc.* | 461 | 4,628 | ||||||
WD-40 Co. | 140 | 4,530 | ||||||
Nash Finch Co. | 111 | 4,117 | ||||||
Andersons, Inc. | 148 | 3,821 | ||||||
Cal-Maine Foods, Inc. | 112 | 3,817 | ||||||
Heckmann Corp.* | 753 | 3,757 | ||||||
Dole Food Company, Inc.* | 300 | 3,723 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Alliance One International, Inc.* | 752 | $ | 3,670 | |||||
The Boston Beer Company, | ||||||||
Inc. — Class A* | 74 | 3,448 | ||||||
Weis Markets, Inc. | 94 | 3,418 | ||||||
Great Atlantic & Pacific Tea | ||||||||
Company, Inc* | 276 | 3,254 | ||||||
Medifast, Inc.* | 106 | 3,241 | ||||||
Smart Balance, Inc.* | 533 | 3,198 | ||||||
Zhongpin, Inc.* | 197 | 3,075 | ||||||
Elizabeth Arden, Inc.* | 199 | 2,874 | ||||||
Revlon, Inc.* | 160 | 2,722 | ||||||
Spartan Stores, Inc. | 187 | 2,672 | ||||||
Pricesmart, Inc. | 126 | 2,575 | ||||||
Pantry, Inc.* | 189 | 2,569 | ||||||
American Oriental Bioengineering, Inc.* | 524 | 2,437 | ||||||
B&G Foods, Inc. | 248 | 2,277 | ||||||
Prestige Brands Holdings, Inc. | ||||||||
— Class A* | 283 | 2,224 | ||||||
Coca-Cola Bottling Co. | ||||||||
Consolidated | 39 | 2,107 | ||||||
China Sky One Medical, Inc.* | 90 | 2,048 | ||||||
Synutra International, Inc.* | 149 | 2,013 | ||||||
Seneca Foods Corp. — Class A* | 83 | 1,981 | ||||||
Arden Group, Inc. | 20 | 1,912 | ||||||
Imperial Sugar Co. | 101 | 1,761 | ||||||
American Dairy, Inc.* | 75 | 1,626 | ||||||
Ingles Markets, Inc. — Class A | 107 | 1,619 | ||||||
USANA Health Sciences, Inc.* | 49 | 1,563 | ||||||
Calavo Growers, Inc. | 87 | 1,479 | ||||||
Inter Parfums, Inc. | 116 | 1,412 | ||||||
Village Super Market, Inc. | 50 | 1,366 | ||||||
National Beverage Corp. | 90 | 1,247 | ||||||
China-Biotics, Inc.* | 76 | 1,176 | ||||||
AgFeed Industries, Inc.* | 233 | 1,165 | ||||||
Nutraceutical International Corp.* | 90 | 1,113 | ||||||
Farmer Brothers Co. | 55 | 1,086 | ||||||
Diedrich Coffee, Inc.* | 30 | 1,046 | ||||||
Orchids Paper Products Co.* | 48 | 961 | ||||||
Griffin Land & Nurseries, Inc. | 30 | 874 | ||||||
Alico, Inc. | 30 | 854 | ||||||
Schiff Nutrition International, Inc. | 89 | 696 | ||||||
Omega Protein Corp.* | 159 | 693 | ||||||
HQ Sustainable Maritime | ||||||||
Industries, Inc.* | 92 | 648 | ||||||
Female Health Co.* | 133 | 629 | ||||||
Overhill Farms, Inc.* | 128 | 622 | ||||||
Harbinger Group, Inc.* | 80 | 562 | ||||||
Oil-Dri Corporation of America | 36 | 558 | ||||||
Susser Holdings Corp.* | 59 | 507 | ||||||
Star Scientific, Inc.* | 675 | 473 | ||||||
Lifeway Foods, Inc.* | 38 | 451 | ||||||
Mannatech, Inc. | 126 | 393 | ||||||
Total Consumer Staples | 271,518 | |||||||
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 101 |
2
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
UTILITIES 2.4% | ||||||||
Piedmont Natural Gas Co. | 618 | $ | 16,532 | |||||
Nicor, Inc. | 381 | 16,040 | ||||||
WGL Holdings, Inc. | 421 | 14,120 | ||||||
Cleco Corp. | 505 | 13,802 | ||||||
New Jersey Resources Corp. | 352 | 13,165 | ||||||
Portland General Electric Co. | 626 | 12,777 | ||||||
IDACORP, Inc. | 395 | 12,620 | ||||||
Southwest Gas Corp. | 376 | 10,727 | ||||||
Avista Corp. | 455 | 9,823 | ||||||
Northwest Natural Gas Co. | 215 | 9,684 | ||||||
South Jersey Industries, Inc. | 250 | 9,545 | ||||||
Unisource Energy Corp. | 296 | 9,528 | ||||||
PNM Resources, Inc. | 725 | 9,171 | ||||||
Black Hills Corp. | 332 | 8,841 | ||||||
Allete, Inc. | 254 | 8,301 | ||||||
NorthWestern Corp. | 296 | 7,702 | ||||||
El Paso Electric Co.* | 377 | 7,646 | ||||||
UIL Holding Corp. | 250 | 7,020 | ||||||
MGE Energy, Inc. | 192 | 6,862 | ||||||
California Water Service Group | 174 | 6,407 | ||||||
Laclede Group, Inc. | 187 | 6,315 | ||||||
Empire District Electric Co. | 304 | 5,694 | ||||||
American States Water Co. | 156 | 5,524 | ||||||
CH Energy Group, Inc. | 128 | �� | 5,443 | |||||
Chesapeake Utilities Corp. | 82 | 2,628 | ||||||
SJW Corp. | 105 | 2,370 | ||||||
Central Vermont Public Service | ||||||||
Corp. | 103 | 2,142 | ||||||
Unitil Corp. | 90 | 2,068 | ||||||
Middlesex Water Co. | 106 | 1,869 | ||||||
Consolidated Water Company | ||||||||
Ltd. | 116 | 1,658 | ||||||
Connecticut Water Service, Inc. | 65 | 1,610 | ||||||
York Water Co. | 106 | 1,538 | ||||||
Cadiz, Inc.* | 110 | 1,317 | ||||||
Southwest Water Co. | 206 | 1,213 | ||||||
Pennichuck Corp. | 40 | 845 | ||||||
Artesian Resources Corp. — | ||||||||
Class A | 46 | 842 | ||||||
US Geothermal, Inc.* | 516 | 789 | ||||||
Total Utilities | 254,178 | |||||||
TELECOMMUNICATION SERVICES 0.8% | ||||||||
Syniverse Holdings, Inc.* | 576 | 10,068 | ||||||
AboveNet, Inc.* | 112 | 7,284 | ||||||
Neutral Tandem, Inc.* | 278 | 6,324 | ||||||
Cincinnati Bell, Inc.* | 1,709 | 5,896 | ||||||
Iowa Telecommunications | ||||||||
Services, Inc. | 283 | 4,743 | ||||||
NTELOS Holdings Corp. | 250 | 4,455 | ||||||
Atlantic Tele-Network, Inc. | 79 | 4,346 |
MARKET | ||||||||
SHARES | VALUE | |||||||
PAETEC Holding Corp.* | 1,030 | $ | 4,275 | |||||
Premiere Global Services, Inc.* | 514 | 4,241 | ||||||
Shenandoah | ||||||||
Telecommunications Co. | 203 | 4,131 | ||||||
Cogent Communications | ||||||||
Group, Inc.* | 374 | 3,688 | ||||||
Consolidated Communications | ||||||||
Holdings, Inc. | 202 | 3,535 | ||||||
Global Crossing Ltd.* | 239 | 3,406 | ||||||
Cbeyond, Inc.* | 188 | 2,961 | ||||||
Alaska Communications Systems | ||||||||
Group, Inc. | 368 | 2,937 | ||||||
General Communication, Inc. — | ||||||||
Class A* | 345 | 2,201 | ||||||
USA Mobility, Inc. | 189 | 2,081 | ||||||
SureWest Communications* | 116 | 1,155 | ||||||
HickoryTech Corp. | 106 | 936 | ||||||
inContact, Inc.* | 226 | 662 | ||||||
Total Telecommunication Services | 79,325 | |||||||
Total Common Stocks | ||||||||
(Cost $6,559,991) | 7,854,353 | |||||||
RIGHTS 0.0%(a) | ||||||||
Builders FirstSource, Inc.* | ||||||||
Expires 01/14/10 | 196 | 48 | ||||||
Flagstar Bancorp Inc. | ||||||||
Expires 01/25/10 | 710 | — | ||||||
Total Rights | ||||||||
(Cost $40) | 48 | |||||||
WARRANTS 0.0%(a) | ||||||||
CONSUMER DISCRETIONARY 0.0% | ||||||||
Krispy Kreme Doughnuts, Inc.* | ||||||||
$12.21, 03/02/12 | 52 | 3 | ||||||
Total Consumer Discretionary | 3 | |||||||
Total Warrants | ||||||||
(Cost $—) | 3 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENTS† 46.0%(b) | ||||||||
Mizuho Financial Group, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | $ | 1,104,412 | 1,104,412 | |||||
HSBC Group | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,095,989 | 1,095,989 | ||||||
UBS Financial Services, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,095,989 | 1,095,989 |
102 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
3
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
RUSSELL 2000® 1.5x STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
Credit Suisse Group | ||||||||
issued 12/31/09 at (0.02)% | ||||||||
due 01/04/10†† | $ | 801,114 | $ | 801,114 | ||||
Morgan Stanley | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 773,639 | 773,639 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $4,871,143) | 4,871,143 | |||||||
Total Investments 120.2% | ||||||||
(Cost $11,431,174) | $ | 12,725,547 | ||||||
Liabilities in Excess of Other | ||||||||
Assets – (20.2)% | $ | (2,138,452 | ) | |||||
Net Assets – 100.0% | $ | 10,587,095 | ||||||
UNREALIZED | ||||||||
CONTRACTS | GAIN | |||||||
FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 Russell 2000 Index | ||||||||
Mini Futures Contracts | ||||||||
(Aggregate Market Value of | ||||||||
Contracts $497,200) | 8 | $ | 21,617 | |||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS(b) | ||||||||
Credit Suisse Capital, LLC | ||||||||
January 2010 Russell 2000 Index Swap, | ||||||||
Terminating 01/04/10††† | ||||||||
(Notional Market Value | ||||||||
$6,404,229) | 10,240 | $ | 67,910 | |||||
Goldman Sachs International | ||||||||
January 2010 Russell 2000 Index | ||||||||
Swap, Terminating 01/04/10††† | ||||||||
(Notional Market Value | ||||||||
$1,071,187) | 1,713 | 54,681 | ||||||
(Total Notional Market Value | ||||||||
$7,475,416) | $ | 122,591 | ||||||
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 6. | |
†† | All or a portion of this security is pledged as equity index swap collateral at December 31, 2009. | |
††† | Total Return based on Russell 2000 Index +/- financing at a variable rate. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 103 |
4
SCHEDULE OF INVESTMENTS
December 31, 2009
INVERSE RUSSELL 2000® STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
FEDERAL AGENCY DISCOUNT NOTES 17.5%(b) | ||||||||
Farmer Mac* | ||||||||
0.05% due 01/05/10 | $ | 1,000,000 | $ | 999,998 | ||||
Federal Home Loan Bank* | ||||||||
0.02% due 01/15/10 | 1,000,000 | 999,994 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $1,999,992) | 1,999,992 | |||||||
REPURCHASE AGREEMENTS† 77.3%(b) | ||||||||
Mizuho Financial Group, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,908,955 | 1,908,955 | ||||||
HSBC Group | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,894,395 | 1,894,395 | ||||||
UBS Financial Services, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,894,395 | 1,894,395 | ||||||
Credit Suisse Group | ||||||||
issued 12/31/09 at (0.02)% | ||||||||
due 01/04/10†† | 1,808,899 | 1,808,899 | ||||||
Morgan Stanley | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,337,220 | 1,337,220 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $8,843,864) | 8,843,864 | |||||||
Total Investments 94.8% | ||||||||
(Cost $10,843,856) | $ | 10,843,856 | ||||||
Other Assets in Excess | ||||||||
of Liabilities – 5.2% | $ | 589,490 | ||||||
Net Assets – 100.0% | $ | 11,433,346 | ||||||
UNREALIZED | ||||||||
CONTRACTS | LOSS | |||||||
FUTURES CONTRACTS SOLD SHORT(a) | ||||||||
March 2010 Russell 2000 Index | ||||||||
Mini Futures Contracts | ||||||||
(Aggregate Market Value of | ||||||||
Contracts $4,661,250) | 75 | $ | (40,797 | ) | ||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS | ||||||||
SOLD SHORT(b) | ||||||||
Credit Suisse Capital, LLC | ||||||||
January 2010 Russell 2000 Index | ||||||||
Swap, Terminating 01/04/10††† | ||||||||
(Notional Market Value | ||||||||
$1,620,762) | 2,592 | $ | (58,652 | ) | ||||
Goldman Sachs International | ||||||||
January 2010 Russell 2000 Index Swap, | ||||||||
Terminating 01/04/10††† | ||||||||
(Notional Market Value | ||||||||
$5,117,271) | 8,183 | (67,236 | ) | |||||
(Total Notional Market | ||||||||
Value $6,738,033) | $ | (125,888 | ) | |||||
* | 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. | |
† | Repurchase Agreements — See Note 6. | |
†† | All or a portion of this security is pledged as equity index swap collateral at December 31, 2009. | |
††† | Total Return based on Russell 2000 Index +/- financing at a variable rate. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
104 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
5
SCHEDULE OF INVESTMENTS
December 31, 2009
DOW 2x STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 46.2%(a) | ||||||||
INDUSTRIALS 9.3% | ||||||||
3M Co. | 6,650 | $ | 549,755 | |||||
United Technologies Corp. | 6,652 | 461,715 | ||||||
Caterpillar, Inc. | 6,650 | 378,983 | ||||||
Boeing Co. | 6,650 | 359,965 | ||||||
General Electric Co. | 6,650 | 100,615 | ||||||
Total Industrials | 1,851,033 | |||||||
INFORMATION TECHNOLOGY 8.6% | ||||||||
International Business Machines Corp. | 6,650 | 870,485 | ||||||
Hewlett-Packard Co. | 6,650 | 342,541 | ||||||
Microsoft Corp. | 6,650 | 202,759 | ||||||
Cisco Systems, Inc.* | 6,650 | 159,201 | ||||||
Intel Corp. | 6,649 | 135,640 | ||||||
Total Information Technology | 1,710,626 | |||||||
CONSUMER STAPLES 6.6% | ||||||||
Procter & Gamble Co. | 6,648 | 403,068 | ||||||
Coca-Cola Co. | 6,650 | 379,050 | ||||||
Wal-Mart Stores, Inc. | 6,650 | 355,443 | ||||||
Kraft Foods, Inc. | 6,650 | 180,747 | ||||||
Total Consumer Staples | 1,318,308 | |||||||
FINANCIALS 4.9% | ||||||||
The Travelers Companies, Inc. | 6,650 | 331,569 | ||||||
JPMorgan Chase & Co. | 6,649 | 277,064 | ||||||
American Express Co. | 6,650 | 269,458 | ||||||
Bank of America Corp. | 6,650 | 100,149 | ||||||
Total Financials | 978,240 | |||||||
ENERGY 4.9% | ||||||||
Chevron Corp. | 6,650 | 511,983 | ||||||
Exxon Mobil Corp. | 6,650 | 453,464 | ||||||
Total Energy | 965,447 | |||||||
CONSUMER DISCRETIONARY 4.1% | ||||||||
McDonald’s Corp. | 6,650 | 415,226 | ||||||
Walt Disney Co. | 6,650 | 214,462 | ||||||
Home Depot, Inc. | 6,650 | 192,385 | ||||||
Total Consumer Discretionary | 822,073 | |||||||
HEALTH CARE 4.0% | ||||||||
Johnson & Johnson | 6,649 | 428,262 | ||||||
Merck & Company, Inc. | 6,650 | 242,991 | ||||||
Pfizer, Inc. | 6,650 | 120,964 | ||||||
Total Health Care | 792,217 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
TELECOMMUNICATION SERVICES 2.1% | ||||||||
Verizon Communications, Inc. | 6,646 | $ | 220,182 | |||||
AT&T, Inc. | 6,650 | 186,399 | ||||||
Total Telecommunication Services | 406,581 | |||||||
MATERIALS 1.7% | ||||||||
E.I. du Pont de Nemours and | ||||||||
Co. | 6,650 | 223,905 | ||||||
Alcoa, Inc. | 6,650 | 107,198 | ||||||
Total Materials | 331,103 | |||||||
Total Common Stocks | ||||||||
(Cost $7,244,322) | 9,175,628 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENTS† 43.4%(b) | ||||||||
Credit Suisse Group | ||||||||
issued 12/31/09 at (0.02)% | ||||||||
due 01/04/10†† | $ | 2,015,654 | 2,015,654 | |||||
Mizuho Financial Group, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,789,062 | 1,789,062 | ||||||
UBS Financial Services, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,775,416 | 1,775,416 | ||||||
HSBC Group | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,775,416 | 1,775,416 | ||||||
Morgan Stanley | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,253,235 | 1,253,235 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $8,608,783) | 8,608,783 | |||||||
Total Investments 89.6% | ||||||||
(Cost $15,853,105) | $ | 17,784,411 | ||||||
Other Assets in Excess of | ||||||||
Liabilities — 10.4% | $ | 2,074,900 | ||||||
Net Assets – 100.0% | $ | 19,859,311 | ||||||
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 105 |
6
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
DOW 2x STRATEGY FUND
UNREALIZED | ||||||||
CONTRACTS | GAIN | |||||||
FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 Dow Jones | ||||||||
Industrial Average Index | ||||||||
Mini Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $13,578,150) | 262 | $ | 57,060 | |||||
UNITS | ||||||||
EQUITY INDEX SWAP AGREEMENTS(b) | ||||||||
Credit Suisse Capital, LLC | ||||||||
January 2010 Dow Jones | ||||||||
Industrial Average Index | ||||||||
Swap, Terminating | ||||||||
01/04/10††† | ||||||||
(Notional Market Value | ||||||||
$14,953,840) | 1,434 | $ | 130,397 | |||||
Goldman Sachs International | ||||||||
January 2010 Dow Jones | ||||||||
Industrial Average Index | ||||||||
Swap, Terminating | ||||||||
01/04/10††† | ||||||||
(Notional Market Value | ||||||||
$1,936,538) | 186 | 14,343 | ||||||
(Total Notional Market Value $16,890,378) | $ | 144,740 | ||||||
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 6. | |
†† | All or a portion of this security is pledged as equity index swap collateral at December 31, 2009. | |
††† | Total Return based on Dow Jones Industrial Average Index +/- financing at a variable rate. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
106 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
7
SCHEDULE OF INVESTMENTS
December 31, 2009
INVERSE DOW 2x STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
FEDERAL AGENCY DISCOUNT NOTES 11.1%(b) | ||||||||
Farmer Mac* | ||||||||
0.02% due 01/12/10 | $ | 1,000,000 | $ | 999,996 | ||||
Federal Home Loan Bank* | ||||||||
0.02% due 01/15/10 | 1,000,000 | 999,994 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $1,999,990) | 1,999,990 | |||||||
REPURCHASE AGREEMENTS† 72.2%(b) | ||||||||
Credit Suisse Group | ||||||||
issued 12/31/09 at (0.02)% | ||||||||
due 01/04/10†† | 2,784,123 | 2,784,123 | ||||||
Mizuho Financial Group, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 2,777,644 | 2,777,644 | ||||||
HSBC Group | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 2,756,456 | 2,756,456 | ||||||
UBS Financial Services, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 2,756,456 | 2,756,456 | ||||||
Morgan Stanley | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 1,945,734 | 1,945,734 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $13,020,413) | 13,020,413 | |||||||
Total Investments 83.3% | ||||||||
(Cost $15,020,403) | $ | 15,020,403 | ||||||
Other Assets in Excess of | ||||||||
Liabilities – 16.7% | $ | 3,000,605 | ||||||
Net Assets – 100.0% | $ | 18,021,008 | ||||||
Unrealized | ||||||||
Contracts | Gain | |||||||
FUTURES CONTRACTS | ||||||||
SOLD SHORT(a) | ||||||||
March 2010 Dow Jones | ||||||||
Industrial Average Index | ||||||||
Mini Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $14,925,600) | 288 | $ | 29,025 | |||||
UNREALIZED | ||||||||
UNITS | GAIN | |||||||
EQUITY INDEX SWAP AGREEMENTS | ||||||||
SOLD SHORT(b) | ||||||||
Credit Suisse Capital, LLC | ||||||||
January 2010 Dow Jones | ||||||||
Industrial Average index | ||||||||
Swap, Terminating 01/04/10††† | ||||||||
(Notional Market Value | ||||||||
of Contracts $13,182,363) | 1,264 | $ | 48,041 | |||||
Goldman Sachs International | ||||||||
January 2010 Dow Jones | ||||||||
Industrial Average Index | ||||||||
Swap, Terminating 01/04/10††† | ||||||||
(Notional Market Value | ||||||||
$7,859,429) | 754 | 41,924 | ||||||
(Total Notional Market Value | ||||||||
$21,041,792) | $ | 89,965 | ||||||
* | 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. | |
† | Repurchase Agreements — See Note 6. | |
†† | All or a portion of this security is pledged as equity index swap collateral at December 31, 2009. | |
††† | Total Return based on Dow Jones Industrial Average Index +/- financing at a variable rate. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 107 |
8
SCHEDULE OF INVESTMENTS
December 31, 2009
S&P 500 PURE GROWTH FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.5%(a) | ||||||||
INFORMATION TECHNOLOGY 27.8% | ||||||||
Red Hat, Inc.* | 23,490 | $ | 725,841 | |||||
Salesforce.com, Inc.* | 8,631 | 636,709 | ||||||
Cognizant Technology | ||||||||
Solutions Corp. — Class A* | 13,344 | 604,483 | ||||||
Western Digital Corp.* | 12,800 | 565,120 | ||||||
NetApp, Inc.* | 15,796 | 543,225 | ||||||
Google, Inc. — Class A* | 853 | 528,843 | ||||||
Apple, Inc.* | 2,355 | 496,575 | ||||||
eBay, Inc.* | 20,143 | 474,166 | ||||||
Akamai Technologies, Inc.* | 17,604 | 445,909 | ||||||
Visa, Inc. | 4,810 | 420,683 | ||||||
Amphenol Corp. | 8,501 | 392,576 | ||||||
Broadcom Corp. — Class A* | 11,380 | 357,901 | ||||||
EMC Corp.* | 18,220 | 318,303 | ||||||
QLogic Corp.* | 16,290 | 307,392 | ||||||
Juniper Networks, Inc.* | 10,700 | 285,369 | ||||||
Teradata Corp.* | 7,850 | 246,726 | ||||||
Flir Systems, Inc.* | 7,440 | 243,437 | ||||||
Oracle Corp. | 9,140 | 224,296 | ||||||
Corning, Inc. | 11,290 | 218,010 | ||||||
Citrix Systems, Inc.* | 5,120 | 213,043 | ||||||
McAfee, Inc.* | 4,880 | 197,982 | ||||||
Adobe Systems, Inc.* | 5,289 | 194,529 | ||||||
Microsoft Corp. | 5,797 | 176,751 | ||||||
BMC Software, Inc.* | 4,282 | 171,708 | ||||||
NVIDIA Corp.* | 8,380 | 156,538 | ||||||
Altera Corp. | 6,768 | 153,160 | ||||||
Autodesk, Inc.* | 5,749 | 146,082 | ||||||
International Business | ||||||||
Machines Corp. | 1,000 | 130,900 | ||||||
Total Information Technology | 9,576,257 | |||||||
CONSUMER DISCRETIONARY 18.7% | ||||||||
Amazon.com, Inc.* | 4,889 | 657,668 | ||||||
Priceline.com, Inc.* | 2,830 | 618,355 | ||||||
Viacom, Inc. — Class B* | 14,453 | 429,688 | ||||||
Coach, Inc. | 11,615 | 424,296 | ||||||
Nordstrom, Inc. | 10,850 | 407,743 | ||||||
Wynn Resorts Ltd. | 6,711 | 390,782 | ||||||
Best Buy Company, Inc. | 9,510 | 375,265 | ||||||
Starbucks Corp.* | 15,595 | 359,621 | ||||||
DIRECTV* | 9,526 | 317,692 | ||||||
Tiffany & Co. | 7,050 | 303,150 | ||||||
Expedia, Inc.* | 10,020 | 257,614 | ||||||
Bed Bath & Beyond, Inc.* | 5,682 | 219,496 | ||||||
Abercrombie & Fitch Co. — | ||||||||
Class A | 6,124 | 213,421 | ||||||
Polo Ralph Lauren Corp. | 2,620 | 212,168 | ||||||
Ross Stores, Inc. | 4,730 | 202,018 | ||||||
O’Reilly Automotive, Inc.* | 4,860 | 185,263 |
MARKET | ||||||||
SHARES | VALUE | |||||||
AutoZone, Inc.* | 1,032 | $ | 163,128 | |||||
Kohl’s Corp.* | 2,780 | 149,925 | ||||||
TJX Companies, Inc. | 3,966 | 144,957 | ||||||
Starwood Hotels & Resorts | ||||||||
Worldwide, Inc. | 3,915 | 143,172 | ||||||
Hasbro, Inc. | 4,406 | 141,256 | ||||||
Wyndham Worldwide Corp. | 6,901 | 139,193 | ||||||
Total Consumer Discretionary | 6,455,871 | |||||||
ENERGY 17.2% | ||||||||
Cameron International Corp.* | 12,884 | 538,551 | ||||||
National-Oilwell Varco, Inc. | 10,220 | 450,600 | ||||||
Denbury Resources, Inc.* | 28,956 | 428,549 | ||||||
Massey Energy Co. | 9,980 | 419,260 | ||||||
Anadarko Petroleum Corp. | 6,395 | 399,176 | ||||||
Diamond Offshore Drilling, Inc. | 3,830 | 376,949 | ||||||
Southwestern Energy Co.* | 7,820 | 376,924 | ||||||
Rowan Companies, Inc.* | 16,560 | 374,918 | ||||||
FMC Technologies, Inc.* | 6,079 | 351,609 | ||||||
Range Resources Corp. | 6,426 | 320,336 | ||||||
Schlumberger Ltd. | 4,473 | 291,148 | ||||||
Peabody Energy Corp. | 5,910 | 267,191 | ||||||
Baker Hughes, Inc. | 6,329 | 256,198 | ||||||
EOG Resources, Inc. | 2,501 | 243,347 | ||||||
XTO Energy, Inc. | 5,136 | 238,978 | ||||||
Occidental Petroleum Corp. | 2,600 | 211,510 | ||||||
Pioneer Natural Resources Co. | 4,330 | 208,576 | ||||||
Noble Energy, Inc. | 2,410 | 171,640 | ||||||
Total Energy | 5,925,460 | |||||||
HEALTH CARE 13.5% | ||||||||
Intuitive Surgical, Inc.* | 1,859 | 563,872 | ||||||
CIGNA Corp. | 13,120 | 462,742 | ||||||
Mylan Laboratories, Inc.* | 22,330 | 411,542 | ||||||
Biogen Idec, Inc.* | 5,392 | 288,472 | ||||||
IMS Health, Inc. | 12,703 | 267,525 | ||||||
Allergan, Inc. | 3,870 | 243,849 | ||||||
Life Technologies Corp.* | 4,550 | 237,646 | ||||||
Gilead Sciences, Inc.* | 5,463 | 236,439 | ||||||
Watson Pharmaceuticals, Inc.* | 5,900 | 233,699 | ||||||
DaVita, Inc.* | 3,729 | 219,041 | ||||||
Express Scripts, Inc.* | 2,420 | 209,209 | ||||||
Celgene Corp.* | 3,749 | 208,744 | ||||||
Waters Corp.* | 3,035 | 188,049 | ||||||
Medco Health Solutions, Inc.* | 2,870 | 183,422 | ||||||
Hospira, Inc.* | 2,880 | 146,880 | ||||||
St. Jude Medical, Inc.* | 3,911 | 143,847 | ||||||
Laboratory Corporation of | ||||||||
America Holdings* | 1,873 | 140,175 | ||||||
Zimmer Holdings, Inc.* | 2,356 | 139,263 | ||||||
Millipore Corp.* | 1,800 | 130,230 | ||||||
Total Health Care | 4,654,646 | |||||||
108 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
S&P 500 PURE GROWTH FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
FINANCIALS 8.0% | ||||||||
ProLogis | 39,380 | $ | 539,112 | |||||
Ventas, Inc. | 9,600 | 419,904 | ||||||
IntercontinentalExchange, Inc.* | 3,505 | 393,612 | ||||||
Invesco Ltd. | 13,000 | 305,370 | ||||||
CB Richard Ellis Group, Inc. — | ||||||||
Class A* | 21,355 | 289,787 | ||||||
Janus Capital Group, Inc. | 16,480 | 221,656 | ||||||
CME Group, Inc. | 650 | 218,368 | ||||||
Hudson City Bancorp, Inc. | 14,600 | 200,458 | ||||||
American Express Co. | 4,350 | 176,262 | ||||||
Total Financials | 2,764,529 | |||||||
INDUSTRIALS 6.4% | ||||||||
Flowserve Corp. | 4,020 | 380,011 | ||||||
Precision Castparts Corp. | 3,350 | 369,672 | ||||||
First Solar, Inc.* | 1,750 | 236,950 | ||||||
Goodrich Corp. | 2,940 | 188,895 | ||||||
Caterpillar, Inc. | 3,282 | 187,041 | ||||||
Honeywell International, Inc. | 4,170 | 163,464 | ||||||
ITT Corp. | 3,190 | 158,671 | ||||||
Stericycle, Inc.* | 2,690 | 148,407 | ||||||
United Technologies Corp. | 1,870 | 129,797 | ||||||
Danaher Corp. | 1,722 | 129,494 | ||||||
W.W. Grainger, Inc. | 1,260 | 122,006 | ||||||
Total Industrials | 2,214,408 | |||||||
MATERIALS 5.6% | ||||||||
CF Industries Holdings, Inc. | 5,270 | 478,411 | ||||||
Cliffs Natural Resources, Inc. | 9,140 | 421,263 | ||||||
Freeport-McMoRan Copper | ||||||||
& Gold, Inc.* | 4,750 | 381,378 | ||||||
MeadWestvaco Corp. | 9,423 | 269,780 | ||||||
Newmont Mining Corp. | 2,885 | 136,489 | ||||||
FMC Corp. | 2,245 | 125,181 | ||||||
Praxair, Inc. | 1,520 | 122,071 | ||||||
Total Materials | 1,934,573 | |||||||
CONSUMER STAPLES 2.3% | ||||||||
Whole Foods Market, Inc.* | 14,070 | 386,222 | ||||||
Pepsi Bottling Group, Inc. | 5,970 | 223,875 | ||||||
Avon Products, Inc. | 5,212 | 164,178 | ||||||
Total Consumer Staples | 774,275 | |||||||
Total Common Stocks | ||||||||
(Cost $28,683,345) | 34,300,019 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT† 0.6%(b) | ||||||||
Credit Suisse Group | ||||||||
issued 12/31/09 at (0.02)% | ||||||||
due 01/04/10 | $ | 202,347 | $ | 202,347 | ||||
Total Repurchase Agreement | ||||||||
(Cost $202,347) | 202,347 | |||||||
Total Investment 100.1% | ||||||||
(Cost $28,885,692) | $ | 34,502,366 | ||||||
Liabilities in Excess of | ||||||||
Other Assets — (0.1)% | $ | (21,717 | ) | |||||
Net Assets – 100.0% | $ | 34,480,649 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 6. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 109 |
SCHEDULE OF INVESTMENTS
December 31, 2009
S&P 500 PURE VALUE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 100.3%(a) | ||||||||
FINANCIALS 24.8% | ||||||||
Huntington Bancshares, Inc. | 135,557 | $ | 494,783 | |||||
SunTrust Banks, Inc. | 23,357 | 473,914 | ||||||
Genworth Financial, Inc. — | ||||||||
Class A* | 40,054 | 454,613 | ||||||
Bank of America Corp. | 27,169 | 409,165 | ||||||
Zions Bancorporation | 30,368 | 389,621 | ||||||
Assurant, Inc. | 12,096 | 356,590 | ||||||
Lincoln National Corp. | 13,771 | 342,622 | ||||||
Citigroup, Inc. | 99,346 | 328,835 | ||||||
Capital One Financial Corp. | 8,150 | 312,471 | ||||||
E*Trade Financial Corp.* | 174,850 | 305,987 | ||||||
American International Group, | ||||||||
Inc.* | 9,345 | 280,163 | ||||||
MetLife, Inc. | 7,540 | 266,539 | ||||||
Unum Group | 13,170 | 257,078 | ||||||
Morgan Stanley | 7,808 | 231,117 | ||||||
NASDAQ OMX Group, Inc.* | 11,430 | 226,543 | ||||||
KeyCorp | 40,627 | 225,480 | ||||||
Comerica, Inc. | 7,084 | 209,474 | ||||||
Cincinnati Financial Corp. | 7,424 | 194,806 | ||||||
Host Hotels & Resorts, Inc.* | 16,363 | 190,958 | ||||||
KIMCO Realty Corp. | 12,156 | 164,471 | ||||||
BB&T Corp. | 5,930 | 150,444 | ||||||
Marshall & Ilsley Corp. | 26,512 | 144,490 | ||||||
Allstate Corp. | 4,494 | 135,000 | ||||||
The Travelers Companies, Inc. | 2,380 | 118,667 | ||||||
Discover Financial Services | 8,060 | 118,563 | ||||||
Regions Financial Corp. | 22,175 | 117,306 | ||||||
Simon Property Group, Inc. | 1 | 47 | ||||||
Vornado Realty Trust | 1 | 9 | ||||||
Total Financials | 6,899,756 | |||||||
UTILITIES 15.4% | ||||||||
Integrys Energy Group, Inc. | 13,784 | 578,790 | ||||||
Pepco Holdings, Inc. | 28,002 | 471,834 | ||||||
NiSource, Inc. | 25,301 | 389,129 | ||||||
Ameren Corp. | 11,714 | 327,406 | ||||||
CMS Energy Corp. | 16,230 | 254,162 | ||||||
CenterPoint Energy, Inc. | 14,790 | 214,603 | ||||||
DTE Energy Co. | 4,817 | 209,973 | ||||||
Northeast Utilities | 7,360 | 189,814 | ||||||
Edison International | 5,360 | 186,421 | ||||||
Nicor, Inc. | 4,130 | 173,873 | ||||||
American Electric Power Company, Inc. | 4,607 | 160,278 | ||||||
Pinnacle West Capital Corp. | 4,305 | 157,477 | ||||||
Consolidated Edison, Inc. | 3,417 | 155,234 | ||||||
SCANA Corp. | 3,923 | 147,819 | ||||||
Constellation Energy Group, Inc. | 4,035 | 141,911 | ||||||
Xcel Energy, Inc. | 6,648 | 141,137 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Allegheny Energy, Inc. | 5,600 | $ | 131,488 | |||||
Duke Energy Corp. | 7,377 | 126,958 | ||||||
Progress Energy, Inc. | 3,072 | 125,983 | ||||||
Total Utilities | 4,284,290 | |||||||
ENERGY 13.6% | ||||||||
Tesoro Corp. | 67,204 | 910,614 | ||||||
Valero Energy Corp. | 43,925 | 735,744 | ||||||
Sunoco, Inc. | 23,280 | 607,608 | ||||||
Marathon Oil Corp. | 12,903 | 402,832 | ||||||
Hess Corp. | 4,230 | 255,915 | ||||||
Smith International, Inc. | 8,780 | 238,552 | ||||||
Chesapeake Energy Corp. | 7,932 | 205,280 | ||||||
Williams Companies, Inc. | 6,860 | 144,609 | ||||||
Chevron Corp. | 1,820 | 140,122 | ||||||
ConocoPhillips | 2,690 | 137,378 | ||||||
Total Energy | 3,778,654 | |||||||
HEALTH CARE 11.9% | ||||||||
Cardinal Health, Inc. | 16,890 | 544,534 | ||||||
Coventry Health Care, Inc.* | 21,090 | 512,276 | ||||||
Humana, Inc.* | 10,420 | 457,334 | ||||||
AmerisourceBergen Corp. | 17,154 | 447,205 | ||||||
McKesson Corp. | 6,655 | 415,937 | ||||||
Tenet Healthcare Corp.* | 50,086 | 269,963 | ||||||
WellPoint, Inc.* | 4,600 | 268,134 | ||||||
Aetna, Inc. | 7,230 | 229,191 | ||||||
CareFusion Corp.* | 6,320 | 158,063 | ||||||
Total Health Care | 3,302,637 | |||||||
CONSUMER DISCRETIONARY 9.7% | ||||||||
Sears Holdings Corp.* | 8,040 | 670,938 | ||||||
Goodyear Tire & Rubber Co.* | 24,646 | 347,508 | ||||||
Whirlpool Corp. | 4,120 | 332,319 | ||||||
J.C. Penney Company, Inc. | 10,688 | 284,408 | ||||||
Interpublic Group of Companies, Inc.* | 34,390 | 253,798 | ||||||
AutoNation, Inc.* | 11,378 | 217,889 | ||||||
Big Lots, Inc.* | 6,397 | 185,385 | ||||||
Eastman Kodak Co.* | 35,793 | 151,046 | ||||||
Fortune Brands, Inc. | 3,149 | 136,037 | ||||||
Comcast Corp. — Class A | 7,830 | 132,014 | ||||||
Total Consumer Discretionary | 2,711,342 | |||||||
CONSUMER STAPLES 9.2% | ||||||||
Safeway, Inc. | 22,869 | 486,881 | ||||||
Tyson Foods, Inc. — Class A | 37,476 | 459,830 | ||||||
Kroger Co. | 20,990 | 430,925 | ||||||
Dean Foods Co.* | 22,380 | 403,735 | ||||||
Archer-Daniels-Midland Co. | 11,910 | 372,902 | ||||||
CVS Caremark Corp. | 7,080 | 228,047 | ||||||
Costco Wholesale Corp. | 3,040 | 179,877 | ||||||
Total Consumer Staples | 2,562,197 | |||||||
110 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
1
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
S&P 500 PURE VALUE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
INDUSTRIALS 6.8% | ||||||||
Jacobs Engineering Group, Inc.* | 7,480 | $ | 281,323 | |||||
Ryder System, Inc. | 6,230 | 256,489 | ||||||
Fluor Corp. | 5,440 | 245,017 | ||||||
Textron, Inc. | 12,103 | 227,657 | ||||||
RR Donnelley & Sons Co. | 7,766 | 172,949 | ||||||
L-3 Communications Holdings, Inc. | 1,870 | 162,596 | ||||||
Southwest Airlines Co. | 14,120 | 161,392 | ||||||
Eaton Corp. | 2,180 | 138,692 | ||||||
Snap-On, Inc. | 3,260 | 137,768 | ||||||
Avery Dennison Corp. | 3,220 | 117,498 | ||||||
Total Industrials | 1,901,381 | |||||||
MATERIALS 4.5% | ||||||||
United States Steel Corp. | 11,885 | 655,101 | ||||||
Alcoa, Inc. | 28,154 | 453,843 | ||||||
Dow Chemical Co. | 5,511 | 152,269 | ||||||
Total Materials | 1,261,213 | |||||||
TELECOMMUNICATION SERVICES 2.7% | ||||||||
Sprint Nextel Corp.* | 112,780 | 412,775 | ||||||
MetroPCS Communications, Inc.* | 26,940 | 205,552 | ||||||
CenturyTel, Inc. | 3,704 | 134,122 | ||||||
Total Telecommunication Services | 752,449 | |||||||
INFORMATION TECHNOLOGY 1.7% | ||||||||
Xerox Corp. | 38,700 | 327,402 | ||||||
Lexmark International, Inc.* | 5,838 | 151,671 | ||||||
Total Information Technology | 479,073 | |||||||
Total Common Stocks | ||||||||
(Cost $25,258,549) | 27,932,992 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT† 0.4%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 118,280 | $ | 118,280 | ||||
Total Repurchase Agreement | ||||||||
(Cost $118,280) | 118,280 | |||||||
Total Investments 100.7% | ||||||||
(Cost $25,376,829) | $ | 28,051,272 | ||||||
Liabilities in Excess of Other Assets – (0.7)% | $ | (200,153 | ) | |||||
Net Assets – 100.0% | $ | 27,851,119 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 6. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 111 |
2
SCHEDULE OF INVESTMENTS
December 31, 2009
S&P MIDCAP 400 PURE GROWTH FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.3%(a) | ||||||||
CONSUMER DISCRETIONARY 26.5% | ||||||||
Guess?, Inc. | 21,852 | $ | 924,340 | |||||
Aeropostale, Inc.* | 22,964 | 781,924 | ||||||
Cheesecake Factory, Inc.* | 35,420 | 764,718 | ||||||
Netflix, Inc.* | 13,714 | 756,190 | ||||||
Tupperware Brands Corp. | 13,650 | 635,680 | ||||||
LKQ Corp.* | 32,300 | 632,757 | ||||||
Fossil, Inc.* | 16,210 | 544,008 | ||||||
J. Crew Group, Inc.* | 12,032 | 538,312 | ||||||
Panera Bread Co.* | 7,664 | 513,258 | ||||||
The Warnaco Group, Inc.* | 11,062 | 466,706 | ||||||
Collective Brands, Inc.* | 20,230 | 460,637 | ||||||
Urban Outfitters, Inc.* | 12,984 | 454,310 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 4,970 | 438,155 | ||||||
Life Time Fitness, Inc.* | 17,370 | 433,034 | ||||||
CarMax, Inc.* | 17,440 | 422,920 | ||||||
Under Armour, Inc.* | 14,105 | 384,643 | ||||||
Chico’s FAS, Inc.* | 25,422 | 357,179 | ||||||
Lamar Advertising Co.* | 10,180 | 316,496 | ||||||
DreamWorks Animation SKG, | ||||||||
Inc. — Class A* | 7,878 | 314,726 | ||||||
WMS Industries, Inc.* | 7,449 | 297,960 | ||||||
Williams-Sonoma, Inc. | 14,075 | 292,478 | ||||||
Sotheby’s | 11,843 | 266,231 | ||||||
Gentex Corp. | 13,930 | 248,651 | ||||||
ITT Educational Services, Inc.* | 2,446 | 234,718 | ||||||
Dollar Tree, Inc.* | 4,253 | 205,420 | ||||||
Strayer Education, Inc. | 943 | 200,378 | ||||||
Total Consumer Discretionary | 11,885,829 | |||||||
INFORMATION TECHNOLOGY 20.5% | ||||||||
Equinix, Inc.* | 7,670 | 814,170 | ||||||
3Com Corp.* | 102,500 | 768,750 | ||||||
Solera Holdings, Inc. | 18,100 | 651,781 | ||||||
CommScope, Inc.* | 24,547 | 651,232 | ||||||
Advent Software, Inc.* | 12,390 | 504,645 | ||||||
ANSYS, Inc.* | 11,269 | 489,751 | ||||||
F5 Networks, Inc.* | 9,104 | 482,330 | ||||||
Cree, Inc.* | 8,108 | 457,048 | ||||||
Itron, Inc.* | 6,720 | 454,070 | ||||||
Polycom, Inc.* | 17,850 | 445,714 | ||||||
Informatica Corp.* | 16,580 | 428,759 | ||||||
FactSet Research Systems, Inc. | 6,174 | 406,681 | ||||||
Global Payments, Inc. | 6,331 | 340,988 | ||||||
Rovi Corp.* | 10,440 | 332,723 | ||||||
Sybase, Inc.* | 7,600 | 329,840 | ||||||
ValueClick, Inc.* | 24,213 | 245,036 | ||||||
Alliance Data Systems Corp.* | 3,676 | 237,433 | ||||||
Micros Systems, Inc.* | 6,860 | 212,866 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Silicon Laboratories, Inc.* | 4,321 | $ | 208,877 | |||||
Semtech Corp.* | 11,610 | 197,486 | ||||||
Gartner, Inc. — Class A* | 10,799 | 194,814 | ||||||
Broadridge Financial Solutions, | ||||||||
Inc. | 7,924 | 178,765 | ||||||
NeuStar, Inc.* | 7,555 | 174,067 | ||||||
Total Information Technology | 9,207,826 | |||||||
HEALTH CARE 13.1% | ||||||||
Community Health Systems, Inc.* | 27,860 | 991,816 | ||||||
WellCare Health Plans, Inc.* | 23,720 | 871,947 | ||||||
United Therapeutics Corp.* | 11,678 | 614,847 | ||||||
IDEXX Laboratories, Inc.* | 8,257 | 441,254 | ||||||
Lincare Holdings, Inc.* | 11,606 | 430,815 | ||||||
Cerner Corp.* | 5,009 | 412,942 | ||||||
Masimo Corp.* | 11,480 | 349,222 | ||||||
OSI Pharmaceuticals, Inc.* | 10,250 | 318,057 | ||||||
Kinetic Concepts, Inc.* | 8,041 | 302,744 | ||||||
Medicis Pharmaceutical Corp. — Class A | 11,100 | 300,255 | ||||||
Mettler-Toledo International, | ||||||||
Inc.* | 2,411 | 253,131 | ||||||
Edwards Lifesciences Corp.* | 2,510 | 217,993 | ||||||
Covance, Inc.* | 3,510 | 191,541 | ||||||
ResMed, Inc.* | 3,438 | 179,704 | ||||||
Total Health Care | 5,876,268 | |||||||
ENERGY 10.3% | ||||||||
Atwood Oceanics, Inc.* | 22,892 | 820,678 | ||||||
Oceaneering International, Inc.* | 13,362 | 781,944 | ||||||
Encore Acquisition Co.* | 15,036 | 722,029 | ||||||
Quicksilver Resources, Inc.* | 44,636 | 669,986 | ||||||
Superior Energy Services* | 25,016 | 607,639 | ||||||
Bill Barrett Corp.* | 17,800 | 553,758 | ||||||
Helmerich & Payne, Inc. | 7,120 | 283,946 | ||||||
Plains Exploration & Production Co.* | 6,700 | 185,322 | ||||||
Total Energy | 4,625,302 | |||||||
INDUSTRIALS 9.6% | ||||||||
Bucyrus International, Inc. | 18,290 | 1,031,007 | ||||||
Joy Global, Inc. | 11,420 | 589,158 | ||||||
BE Aerospace, Inc.* | 21,510 | 505,485 | ||||||
Thomas & Betts Corp.* | 13,460 | 481,734 | ||||||
FTI Consulting, Inc.* | 6,370 | 300,409 | ||||||
Valmont Industries, Inc. | 3,720 | 291,834 | ||||||
Kirby Corp.* | 8,010 | 278,988 | ||||||
MPS Group, Inc.* | 17,110 | 235,091 | ||||||
AMETEK, Inc. | 5,698 | 217,892 | ||||||
Oshkosh Corp. | 5,175 | 191,630 | ||||||
Nordson Corp. | 3,000 | 183,540 | ||||||
Total Industrials | 4,306,768 | |||||||
112 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
3
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
S&P MIDCAP 400 PURE GROWTH FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
FINANCIALS 6.3% | ||||||||
Jones Lang LaSalle, Inc. | 12,123 | $ | 732,229 | |||||
SL Green Realty Corp. | 12,560 | 631,014 | ||||||
Waddell & Reed Financial, Inc. — Class A | 15,975 | 487,877 | ||||||
AmeriCredit Corp.* | 17,795 | 338,817 | ||||||
MSCI, Inc. — Class A* | 10,275 | 326,745 | ||||||
Affiliated Managers Group, Inc.* | 4,629 | 311,763 | ||||||
Total Financials | 2,828,445 | |||||||
MATERIALS 5.8% | ||||||||
Reliance Steel & Aluminum Co. | 18,358 | 793,433 | ||||||
Steel Dynamics, Inc. | 42,289 | 749,361 | ||||||
Terra Industries, Inc. | 16,370 | 526,950 | ||||||
Greif, Inc. — Class A | 5,080 | 274,218 | ||||||
Lubrizol Corp. | 3,670 | 267,727 | ||||||
Total Materials | 2,611,689 | |||||||
CONSUMER STAPLES 5.7% | ||||||||
Green Mountain Coffee Roasters, Inc.* | 14,694 | 1,197,120 | ||||||
NBTY, Inc.* | 14,530 | 632,637 | ||||||
Hansen Natural Corp.* | 11,542 | 443,213 | ||||||
PepsiAmericas, Inc. | 10,380 | 303,719 | ||||||
Total Consumer Staples | 2,576,689 | |||||||
TELECOMMUNICATION SERVICES 1.5% | ||||||||
tw telecom Inc.* | 23,600 | 404,504 | ||||||
Syniverse Holdings, Inc.* | 15,900 | 277,932 | ||||||
Total Telecommunication Services | 682,436 | |||||||
Total Common Stocks | ||||||||
(Cost $36,864,064) | 44,601,252 | |||||||
WARRANTS 0.0%(a) | ||||||||
CONSUMER DISCRETIONARY 0.0% | ||||||||
Krispy Kreme Doughnuts, Inc. | ||||||||
$12.21, 03/02/12 | 6 | — | ||||||
Total Consumer Discretionary | — | |||||||
Total Warrants | ||||||||
(Cost $—) | — | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT† 0.4%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 173,907 | $ | 173,907 | ||||
Total Repurchase Agreement | ||||||||
(Cost $173,907) | 173,907 | |||||||
Total Investments 99.7%(a) | ||||||||
(Cost $37,037,971) | $ | 44,775,159 | ||||||
Other Assets in Excess of Liabilities – 0.3% | $ | 142,783 | ||||||
Net Assets – 100.0% | $ | 44,917,942 |
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 6. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 113 |
4
SCHEDULE OF INVESTMENTS
December 31, 2009
S&P MIDCAP 400 PURE VALUE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.5%(a) | ||||||||
INDUSTRIALS 21.1% | ||||||||
Terex Corp.* | 35,552 | $ | 704,285 | |||||
Federal Signal Corp. | 96,310 | 579,786 | ||||||
Manpower, Inc. | 10,263 | 560,155 | ||||||
Trinity Industries, Inc. | 28,148 | 490,901 | ||||||
KBR, Inc. | 25,670 | 487,730 | ||||||
URS Corp.* | 10,830 | 482,152 | ||||||
AGCO Corp.* | 12,380 | 400,369 | ||||||
Con-way, Inc. | 9,120 | 318,379 | ||||||
Granite Construction, Inc. | 9,120 | 306,979 | ||||||
Timken Co. | 11,912 | 282,434 | ||||||
Shaw Group, Inc.* | 9,740 | 280,025 | ||||||
JetBlue Airways Corp.* | 47,110 | 256,749 | ||||||
Aecom Technology Corp.* | 8,900 | 244,750 | ||||||
Alaska Air Group, Inc.* | 6,920 | 239,155 | ||||||
The Brink’s Co. | 9,200 | 223,928 | ||||||
Alexander & Baldwin, Inc. | 6,518 | 223,111 | ||||||
GATX Corp. | 5,040 | 144,900 | ||||||
Total Industrials | 6,225,788 | |||||||
FINANCIALS 14.4% | ||||||||
Cathay General Bancorp | 83,520 | 630,576 | ||||||
Associated Banc-Corp. | 40,510 | 446,015 | ||||||
Astoria Financial Corp. | 26,876 | 334,069 | ||||||
Unitrin, Inc. | 14,149 | 311,985 | ||||||
First American Corp. | 7,812 | 258,655 | ||||||
Horace Mann Educators Corp. | 20,328 | 254,100 | ||||||
Synovus Financial Corp. | 123,620 | 253,421 | ||||||
Hospitality Properties Trust | 10,209 | 242,055 | ||||||
American Financial Group, Inc. | 9,570 | 238,772 | ||||||
Reinsurance Group of America, | ||||||||
Inc. | 4,960 | 236,344 | ||||||
Wilmington Trust Corp. | 16,891 | 208,435 | ||||||
Stancorp Financial Group, Inc. | 4,730 | 189,295 | ||||||
Hanover Insurance Group, Inc. | 3,893 | 172,966 | ||||||
Old Republic International Corp. | 17,040 | 171,082 | ||||||
HCC Insurance Holdings, Inc. | 5,520 | 154,394 | ||||||
Protective Life Corp. | 9,203 | 152,310 | ||||||
Macerich Co. | — | 16 | ||||||
Total Financials | 4,254,490 | |||||||
CONSUMER DISCRETIONARY 13.2% | ||||||||
Foot Locker, Inc. | 56,501 | 629,421 | ||||||
Regis Corp. | 34,947 | 544,125 | ||||||
Barnes & Noble, Inc. | 24,244 | 462,333 | ||||||
Saks, Inc.* | 67,620 | 443,587 | ||||||
Rent-A-Center, Inc.* | 20,960 | 371,411 | ||||||
Boyd Gaming Corp.* | 37,700 | 315,549 | ||||||
Scholastic Corp. | 8,520 | 254,152 | ||||||
Bob Evans Farms, Inc. | 8,353 | 241,819 | ||||||
Brinker International, Inc. | 14,975 | 223,427 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Coldwater Creek, Inc.* | 49,620 | $ | 221,305 | |||||
Harte-Hanks, Inc. | 16,629 | 179,261 | ||||||
Total Consumer Discretionary | 3,886,390 | |||||||
UTILITIES 11.8% | ||||||||
Dynegy, Inc.* | 361,403 | 654,139 | ||||||
Oneok, Inc. | 9,663 | 430,680 | ||||||
PNM Resources, Inc. | 24,706 | 312,531 | ||||||
NV Energy, Inc. | 23,664 | 292,960 | ||||||
Atmos Energy Corp. | 9,770 | 287,238 | ||||||
Great Plains Energy, Inc. | 13,212 | 256,181 | ||||||
UGI Corp. | 10,490 | 253,753 | ||||||
Hawaiian Electric Industries, Inc. | 11,120 | 232,408 | ||||||
Alliant Energy Corp. | 7,130 | 215,754 | ||||||
WGL Holdings, Inc. | 5,740 | 192,520 | ||||||
Westar Energy, Inc. | 8,187 | 177,903 | ||||||
Black Hills Corp. | 6,627 | 176,477 | ||||||
Total Utilities | 3,482,544 | |||||||
HEALTH CARE 10.3% | ||||||||
Kindred Healthcare, Inc.* | 59,447 | 1,097,392 | ||||||
Health Net, Inc.* | 26,610 | 619,747 | ||||||
Owens & Minor, Inc. | 11,810 | 507,003 | ||||||
Omnicare, Inc. | 18,980 | 459,126 | ||||||
LifePoint Hospitals, Inc.* | 10,680 | 347,207 | ||||||
Total Health Care | 3,030,475 | |||||||
INFORMATION TECHNOLOGY 9.5% | ||||||||
Tech Data Corp.* | 14,143 | 659,912 | ||||||
Ingram Micro, Inc. — Class A* | 31,263 | 545,539 | ||||||
Arrow Electronics, Inc.* | 16,791 | 497,182 | ||||||
NCR Corp.* | 31,690 | 352,710 | ||||||
Avnet, Inc.* | 7,855 | 236,907 | ||||||
Diebold, Inc. | 6,210 | 176,674 | ||||||
Convergys Corp.* | 15,600 | 167,700 | ||||||
SRA International, Inc. — Class A* | 8,710 | 166,361 | ||||||
Total Information Technology | 2,802,985 | |||||||
CONSUMER STAPLES 7.3% | ||||||||
Smithfield Foods, Inc.* | 36,571 | 555,514 | ||||||
BJ’s Wholesale Club, Inc.* | 16,330 | 534,154 | ||||||
Ruddick Corp. | 13,070 | 336,291 | ||||||
Universal Corp. | 6,666 | 304,036 | ||||||
Corn Products International, Inc. | 8,470 | 247,578 | ||||||
Ralcorp Holdings, Inc.* | 2,950 | 176,145 | ||||||
Total Consumer Staples | 2,153,718 | |||||||
ENERGY 6.2% | ||||||||
Frontier Oil Corp. | 56,839 | 684,342 | ||||||
Overseas Shipholding Group, | ||||||||
Inc. | 12,830 | 563,878 | ||||||
Patriot Coal Corp.* | 25,093 | 387,938 | ||||||
Patterson-UTI Energy, Inc. | 12,120 | 186,042 | ||||||
Total Energy | 1,822,200 | |||||||
114 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
S&P MIDCAP 400 PURE VALUE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
MATERIALS 4.8% | ||||||||
Ashland, Inc. | 14,390 | $ | 570,132 | |||||
Commercial Metals Co. | 27,230 | 426,149 | ||||||
Worthington Industries, Inc. | 18,716 | 244,618 | ||||||
Cytec Industries, Inc. | 5,254 | 191,351 | ||||||
Total Materials | 1,432,250 | |||||||
TELECOMMUNICATION SERVICES 0.9% | ||||||||
Telephone & Data Systems, Inc. | 7,840 | 265,933 | ||||||
Total Telecommunication Services | 265,933 | |||||||
Total Common Stocks | ||||||||
(Cost $26,897,105) | 29,356,773 | |||||||
WARRANTS 0.0%(a) | ||||||||
CONSUMER DISCRETIONARY 0.0% | ||||||||
Krispy Kreme Doughnuts, Inc.* $12.21, 03/02/12 | 27 | 2 | ||||||
Total Consumer Discretionary | 2 | |||||||
Total Warrants (Cost $—) | 2 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT† 0.1%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 21,771 | $ | 21,771 | ||||
Total Repurchase Agreement (Cost $21,771) | 21,771 | |||||||
Total Investments 99.6% (Cost $26,918,876) | $ | 29,378,546 | ||||||
Other Assets in Excess of Liabilities – 0.4% | $ | 127,794 | ||||||
Net Assets – 100.0% | $ | 29,506,340 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 6. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 115 |
SCHEDULE OF INVESTMENTS
December 31, 2009
S&P SMALLCAP 600 PURE GROWTH FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.4%(a) | ||||||||
INFORMATION TECHNOLOGY 29.0% | ||||||||
Blue Coat Systems, Inc.* | 6,630 | $ | 189,220 | |||||
Wright Express Corp.* | 5,421 | 172,713 | ||||||
Perficient, Inc.* | 18,741 | 157,987 | ||||||
Diodes, Inc.* | 7,585 | 155,113 | ||||||
Compellent Technologies, Inc.* | 6,580 | 149,234 | ||||||
Ebix, Inc.* | 2,997 | 146,344 | ||||||
Cybersource Corp.* | 7,173 | 144,249 | ||||||
comScore, Inc.* | 8,207 | 144,033 | ||||||
Triquint Semiconductor, Inc.* | 22,640 | 135,840 | ||||||
Netscout Systems, Inc.* | 9,160 | 134,102 | ||||||
Novatel Wireless, Inc.* | 16,270 | 129,672 | ||||||
Commvault Systems, Inc.* | 5,408 | 128,116 | ||||||
TTM Technologies, Inc.* | 11,056 | 127,476 | ||||||
Blackbaud, Inc. | 4,693 | 110,896 | ||||||
Synaptics, Inc.* | 3,586 | 109,911 | ||||||
Radiant Systems, Inc.* | 10,057 | 104,593 | ||||||
Smith Micro Software, Inc.* | 11,063 | 101,116 | ||||||
Hittite Microwave Corp.* | 2,448 | 99,756 | ||||||
Sigma Designs, Inc.* | 9,250 | 98,975 | ||||||
TeleTech Holdings, Inc.* | 4,870 | 97,546 | ||||||
Concur Technologies, Inc.* | 1,997 | 85,372 | ||||||
JDA Software Group, Inc.* | 3,140 | 79,976 | ||||||
Taleo Corp.* | 3,370 | 79,262 | ||||||
Tyler Technologies, Inc.* | 3,869 | 77,032 | ||||||
CSG Systems International, Inc.* | 3,770 | 71,969 | ||||||
Manhattan Associates, Inc.* | 2,980 | 71,609 | ||||||
Skyworks Solutions, Inc.* | 4,990 | 70,808 | ||||||
DealerTrack Holdings, Inc.* | 3,664 | 68,847 | ||||||
Epicor Software Corp.* | 8,757 | 66,728 | ||||||
Veeco Instruments, Inc.* | 1,960 | 64,758 | ||||||
Mercury Computer Systems, Inc.* | 5,792 | 63,770 | ||||||
Kopin Corp.* | 15,240 | 63,703 | ||||||
Netgear, Inc.* | 2,857 | 61,968 | ||||||
Pericom Semiconductor Corp.* | 5,229 | 60,290 | ||||||
j2 Global Communications, Inc.* | 2,853 | 58,059 | ||||||
Websense, Inc.* | 3,090 | 53,951 | ||||||
Stratasys, Inc.* | 2,937 | 50,751 | ||||||
Cymer, Inc.* | 1,120 | 42,986 | ||||||
MAXIMUS, Inc. | 770 | 38,500 | ||||||
FARO Technologies, Inc.* | 1,732 | 37,134 | ||||||
The Knot, Inc.* | 3,145 | 31,670 | ||||||
Global Payments, Inc. | 1 | 54 | ||||||
Total Information Technology | 3,936,089 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
CONSUMER DISCRETIONARY 23.2% | ||||||||
Lumber Liquidators Holdings, Inc.* | 6,940 | $ | 185,992 | |||||
Blue Nile, Inc.* | 2,370 | 150,092 | ||||||
NutriSystem, Inc. | 4,547 | 141,730 | ||||||
National Presto Industries, Inc. | 1,125 | 122,884 | ||||||
Deckers Outdoor Corp.* | 1,178 | 119,826 | ||||||
Texas Roadhouse, Inc.* | 10,630 | 119,375 | ||||||
True Religion Apparel, Inc.* | 6,430 | 118,891 | ||||||
Buffalo Wild Wings, Inc.* | 2,950 | 118,797 | ||||||
Iconix Brand Group, Inc.* | 9,160 | 115,874 | ||||||
Cracker Barrel Old Country Store, Inc. | 2,906 | 110,399 | ||||||
BJ’s Restaurants, Inc.* | 5,570 | 104,827 | ||||||
CROCS, Inc.* | 17,578 | 101,074 | ||||||
Dress Barn, Inc.* | 4,370 | 100,947 | ||||||
Jos. A. Bank Clothiers, Inc.* | 2,276 | 96,024 | ||||||
Coinstar, Inc.* | 3,419 | 94,980 | ||||||
Volcom, Inc.* | 5,666 | 94,849 | ||||||
CEC Entertainment, Inc.* | 2,948 | 94,100 | ||||||
Gymboree Corp.* | 2,138 | 92,982 | ||||||
P.F. Chang’s China Bistro, Inc.* | 2,388 | 90,529 | ||||||
Sturm Ruger & Company, Inc. | 8,651 | 83,915 | ||||||
Big 5 Sporting Goods Corp. | 4,840 | 83,151 | ||||||
HSN, Inc.* | 4,091 | 82,597 | ||||||
Ticketmaster Entertainment, Inc.* | 6,560 | 80,163 | ||||||
California Pizza Kitchen, Inc.* | 5,640 | 75,858 | ||||||
Zumiez, Inc.* | 5,600 | 71,232 | ||||||
Peet’s Coffee & Tea, Inc.* | 2,020 | 67,327 | ||||||
Buckle, Inc. | 2,230 | 65,294 | ||||||
Capella Education Co.* | 700 | 52,710 | ||||||
Interval Leisure Group, Inc.* | 3,940 | 49,132 | ||||||
Monro Muffler Brake, Inc. | 1,440 | 48,154 | ||||||
Hibbett Sports, Inc.* | 2,172 | 47,762 | ||||||
Universal Electronics, Inc.* | 1,970 | 45,743 | ||||||
Polaris Industries, Inc. | 1,010 | 44,066 | ||||||
Arbitron, Inc. | 1,670 | 39,111 | ||||||
Stamps.com, Inc.* | 3,721 | 33,489 | ||||||
Total Consumer Discretionary | 3,143,876 | |||||||
116 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
S&P SMALLCAP 600 PURE GROWTH FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
HEALTH CARE 18.8% | ||||||||
Quality Systems, Inc. | 2,289 | $ | 143,726 | |||||
Healthways, Inc.* | 7,565 | 138,742 | ||||||
IPC The Hospitalist Co.* | 4,150 | 137,988 | ||||||
American Medical Systems Holdings, Inc.* | 6,770 | 130,593 | ||||||
Catalyst Health Solutions, Inc.* | 3,191 | 116,376 | ||||||
HMS Holdings Corp.* | 2,380 | 115,882 | ||||||
Regeneron Pharmaceuticals, Inc.* | 4,750 | 114,855 | ||||||
RehabCare Group, Inc.* | 3,650 | 111,070 | ||||||
Align Technology, Inc.* | 6,210 | 110,662 | ||||||
Odyssey HealthCare, Inc.* | 6,440 | 100,335 | ||||||
Cooper Companies, Inc. | 2,620 | 99,874 | ||||||
Genoptix, Inc.* | 2,560 | 90,957 | ||||||
Mednax, Inc.* | 1,507 | 90,601 | ||||||
Amedisys, Inc.* | 1,836 | 89,156 | ||||||
Air Methods Corp.* | 2,610 | 87,748 | ||||||
Natus Medical, Inc.* | 5,711 | 84,466 | ||||||
Integra LifeSciences Holdings Corp.* | 2,177 | 80,070 | ||||||
Salix Pharmaceuticals Ltd.* | 3,104 | 78,842 | ||||||
Par Pharmaceutical Companies, Inc.* | 2,670 | 72,250 | ||||||
Cubist Pharmaceuticals, Inc.* | 3,554 | 67,419 | ||||||
Cantel Medical Corp.* | 3,280 | 66,190 | ||||||
LHC Group, Inc.* | 1,963 | 65,976 | ||||||
Abaxis, Inc.* | 2,494 | 63,722 | ||||||
Bio-Reference Labs, Inc.* | 1,540 | 60,353 | ||||||
Enzo Biochem, Inc.* | 10,775 | 57,970 | ||||||
Dionex Corp.* | 617 | 45,578 | ||||||
Almost Family, Inc.* | 1,110 | 43,878 | ||||||
Neogen Corp.* | 1,770 | 41,790 | ||||||
Zoll Medical Corp.* | 1,360 | 36,339 | ||||||
Total Health Care | 2,543,408 | |||||||
FINANCIALS 8.1% | ||||||||
World Acceptance Corp.* | 3,065 | 109,819 | ||||||
eHealth, Inc.* | 6,273 | 103,065 | ||||||
Stifel Financial Corp.* | 1,700 | 100,708 | ||||||
DiamondRock Hospitality Co. | 11,130 | 94,271 | ||||||
optionsXpress Holdings, Inc. | 5,785 | 89,378 | ||||||
Medical Properties Trust, Inc. | 8,850 | 88,500 | ||||||
Forestar Real Estate Group, Inc.* | 3,550 | 78,029 | ||||||
Portfolio Recovery Associates, Inc.* | 1,691 | 75,892 | ||||||
Tower Group, Inc. | 3,000 | 70,230 | ||||||
Cash America International, Inc. | 1,920 | 67,123 | ||||||
First Cash Financial Services, Inc.* | 2,967 | 65,838 | ||||||
Signature Bank* | 2,060 | 65,714 | ||||||
Acadia Realty Trust | 2,788 | 47,034 | ||||||
TradeStation Group, Inc.* | 5,211 | 41,115 | ||||||
Total Financials | 1,096,716 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
ENERGY 6.6% | ||||||||
Tetra Technologies, Inc.* | 12,767 | $ | 141,458 | |||||
Oil States International, Inc.* | 3,382 | 132,879 | ||||||
Dril-Quip, Inc.* | 2,321 | 131,090 | ||||||
Hornbeck Offshore Services, Inc.* | 5,105 | 118,844 | ||||||
Superior Well Services, Inc.* | 7,795 | 111,157 | ||||||
Gulf Island Fabrication, Inc. | 4,927 | 103,615 | ||||||
St. Mary Land & Exploration Co. | 1,869 | 63,995 | ||||||
CARBO Ceramics, Inc. | 646 | 44,038 | ||||||
Lufkin Industries, Inc. | 600 | 43,920 | ||||||
Total Energy | 890,996 | |||||||
INDUSTRIALS 5.2% | ||||||||
Baldor Electric Co. | 4,122 | 115,787 | ||||||
AZZ, Inc.* | 3,205 | 104,803 | ||||||
Gencorp, Inc.* | 12,500 | 87,500 | ||||||
Allegiant Travel Co.* | 1,540 | 72,642 | ||||||
Stanley, Inc.* | 2,534 | 69,457 | ||||||
Gardner Denver, Inc. | 1,617 | 68,803 | ||||||
Heidrick & Struggles International, Inc. | 2,120 | 66,229 | ||||||
SYKES Enterprises, Inc.* | 2,234 | 56,900 | ||||||
AAON, Inc. | 1,920 | 37,421 | ||||||
Tetra Tech, Inc.* | 1,240 | 33,691 | ||||||
Total Industrials | 713,233 | |||||||
CONSUMER STAPLES 5.2% | ||||||||
Andersons, Inc. | 5,499 | 141,984 | ||||||
Darling International, Inc.* | 15,748 | 131,968 | ||||||
TreeHouse Foods, Inc.* | 3,110 | 120,855 | ||||||
Cal-Maine Foods, Inc. | 2,960 | 100,877 | ||||||
Sanderson Farms, Inc. | 1,710 | 72,094 | ||||||
Boston Beer Company, Inc. — Class A* | 1,515 | 70,599 | ||||||
Calavo Growers, Inc. | 3,770 | 64,090 | ||||||
Total Consumer Staples | 702,467 | |||||||
MATERIALS 2.8% | ||||||||
NewMarket Corp. | 1,320 | 151,496 | ||||||
Balchem Corp. | 2,745 | 91,985 | ||||||
Schweitzer-Mauduit International, Inc. | 1,260 | 88,641 | ||||||
Amcol International Corp. | 1,850 | 52,577 | ||||||
Total Materials | 384,699 | |||||||
TELECOMMUNICATION SERVICES 0.5% | ||||||||
Cbeyond, Inc.* | 4,211 | 66,323 | ||||||
Total Telecommunication Services | 66,323 | |||||||
Total Common Stocks (Cost $10,846,104) | 13,477,807 | |||||||
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 117 |
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
S&P SMALLCAP 600 PURE GROWTH FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT† 0.6%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 75,959 | $ | 75,959 | ||||
Total Repurchase Agreement (Cost $75,959) | 75,959 | |||||||
Total Investments 100.0% (Cost $10,922,063) | $ | 13,553,766 | ||||||
Other Assets in Excess of Liabilities – 0.0% | $ | 2,312 | ||||||
Net Assets – 100.0% | $ | 13,556,078 |
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 6. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
118 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
S&P SMALLCAP 600 PURE VALUE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.5%(a) | ||||||||
CONSUMER DISCRETIONARY 23.6% | ||||||||
Quiksilver, Inc.* | 131,673 | $ | 265,980 | |||||
Tuesday Morning Corp.* | 81,460 | 210,167 | ||||||
Arctic Cat, Inc.* | 19,171 | 175,606 | ||||||
Jakks Pacific, Inc.* | 14,214 | 172,274 | ||||||
Fred’s, Inc. | 14,028 | 143,086 | ||||||
Perry Ellis International, Inc.* | 8,943 | 134,682 | ||||||
Group 1 Automotive, Inc.* | 4,620 | 130,977 | ||||||
Red Robin Gourmet Burgers, Inc.* | 7,260 | 129,954 | ||||||
Cabela’s, Inc. — Class A* | 8,521 | 121,509 | ||||||
Ruby Tuesday, Inc.* | 16,143 | 116,230 | ||||||
PEP Boys-Manny Moe & Jack | 13,078 | 110,640 | ||||||
Audiovox Corp. — Class A* | 14,357 | 101,791 | ||||||
Callaway Golf Co. | 13,462 | 101,504 | ||||||
Hot Topic, Inc.* | 15,488 | 98,504 | ||||||
Standard Motor Products, Inc.* | 10,588 | 90,210 | ||||||
Landry’s Restaurants, Inc.* | 4,080 | 86,863 | ||||||
Movado Group, Inc. | 8,920 | 86,702 | ||||||
Finish Line, Inc. — Class A | 6,288 | 78,914 | ||||||
Blyth, Inc. | 2,296 | 77,421 | ||||||
Brown Shoe Company, Inc. | 6,937 | 68,468 | ||||||
Zale Corp.* | 25,167 | 68,454 | ||||||
Christopher & Banks Corp. | 8,936 | 68,092 | ||||||
Nautilus, Inc.* | 31,931 | 64,820 | ||||||
Lithia Motors, Inc. — Class A* | 7,864 | 64,642 | ||||||
MarineMax, Inc.* | 6,802 | 62,510 | ||||||
Haverty Furniture Companies, Inc. | 4,436 | 60,906 | ||||||
Stage Stores, Inc. | 4,833 | 59,736 | ||||||
CKE Restaurants, Inc. | 6,419 | 54,305 | ||||||
O’Charleys, Inc.* | 7,926 | 51,915 | ||||||
Live Nation, Inc.* | 5,973 | 50,830 | ||||||
Superior Industries International, Inc. | 3,235 | 49,496 | ||||||
K-Swiss, Inc. — Class A* | 3,743 | 37,205 | ||||||
Total Consumer Discretionary | 3,194,393 | |||||||
INDUSTRIALS 22.1% | ||||||||
NCI Building Systems, Inc.* | 127,908 | 231,514 | ||||||
Volt Information Sciences, Inc.* | 19,694 | 196,940 | ||||||
SkyWest, Inc. | 9,957 | 168,472 | ||||||
Kelly Services, Inc. — Class A* | 13,442 | 160,363 | ||||||
CDI Corp. | 12,113 | 156,863 | ||||||
Lydall, Inc.* | 23,229 | 121,023 | ||||||
Viad Corp. | 5,675 | 117,075 | ||||||
EMCOR Group, Inc.* | 4,230 | 113,787 | ||||||
Bowne & Company, Inc. | 15,888 | 106,132 | ||||||
Gibraltar Industries, Inc.* | 6,120 | 96,268 | ||||||
ABM Industries, Inc. | 4,317 | 89,189 | ||||||
Ceradyne, Inc.* | 4,454 | 85,561 | ||||||
Standard Register Co. | 16,571 | 84,512 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Arkansas Best Corp. | 2,870 | $ | 84,464 | |||||
United Stationers, Inc.* | 1,480 | 84,138 | ||||||
Dycom Industries, Inc.* | 10,431 | 83,761 | ||||||
Lawson Products, Inc. | 4,625 | 81,631 | ||||||
Spherion Corp.* | 14,384 | 80,838 | ||||||
School Specialty, Inc.* | 3,451 | 80,719 | ||||||
EnPro Industries, Inc.* | 2,900 | 76,589 | ||||||
Mueller Industries, Inc. | 2,938 | 72,980 | ||||||
Comfort Systems USA, Inc. | 5,322 | 65,674 | ||||||
AAR Corp.* | 2,741 | 62,988 | ||||||
Universal Forest Products, Inc. | 1,710 | 62,945 | ||||||
Apogee Enterprises, Inc. | 4,371 | 61,194 | ||||||
Encore Wire Corp. | 2,780 | 58,575 | ||||||
Griffon Corp.* | 4,689 | 57,300 | ||||||
Cascade Corp. | 1,838 | 50,527 | ||||||
Standex International Corp. | 2,324 | 46,689 | ||||||
Moog, Inc. — Class A* | 1,540 | 45,014 | ||||||
Astec Industries, Inc.* | 1,514 | 40,787 | ||||||
Tredegar Corp. | 2,487 | 39,344 | ||||||
Briggs & Stratton Corp. | 1,966 | 36,784 | ||||||
Total Industrials | 3,000,640 | |||||||
FINANCIALS 18.7% | ||||||||
First Bancorp Puerto Rico | 91,743 | 211,009 | ||||||
National Financial Partners Corp.* | 20,142 | 162,949 | ||||||
Kite Realty Group Trust | 35,100 | 142,857 | ||||||
Susquehanna Bancshares, Inc. | 23,134 | 136,259 | ||||||
Whitney Holding Corp. | 14,307 | 130,337 | ||||||
National Penn Bancshares, Inc. | 20,065 | 116,176 | ||||||
Pennsylvania Real Estate Investment Trust | 13,580 | 114,887 | ||||||
Pinnacle Financial Partners, Inc.* | 7,916 | 112,566 | ||||||
Lexington Realty Trust | 18,121 | 110,176 | ||||||
First Commonwealth Financial Corp. | 22,282 | 103,611 | ||||||
South Financial Group, Inc. | 147,338 | 94,989 | ||||||
Stewart Information Services Corp. | 7,847 | 88,514 | ||||||
Umpqua Holding Corp. | 6,438 | 86,334 | ||||||
Hanmi Financial Corp.* | 70,131 | 84,157 | ||||||
LaBranche & Company, Inc.* | 28,894 | 82,059 | ||||||
United Community Banks, Inc.* | 23,199 | 78,645 | ||||||
Cedar Shopping Centers, Inc. | 10,469 | 71,189 | ||||||
Sterling Bancshares, Inc. | 12,965 | 66,510 | ||||||
Selective Insurance Group, Inc. | 3,910 | 64,319 | ||||||
Rewards Network, Inc. | 4,938 | 62,416 | ||||||
First Midwest Bancorp, Inc. | 5,249 | 57,162 | ||||||
East West Bancorp, Inc. | 3,190 | 50,402 | ||||||
Presidential Life Corp. | 5,490 | 50,234 | ||||||
United Fire & Casualty Co. | 2,690 | 49,039 | ||||||
Wintrust Financial Corp. | 1,500 | 46,185 | ||||||
Colonial Properties Trust | 3,813 | 44,726 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 119 |
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
S&P SMALLCAP 600 PURE VALUE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
SWS Group, Inc. | 3,480 | $ | 42,108 | |||||
Sterling Bancorp | 5,722 | 40,855 | ||||||
Safety Insurance Group, Inc. | 1,062 | 38,476 | ||||||
Total Financials | 2,539,146 | |||||||
HEALTH CARE 8.9% | ||||||||
AMN Healthcare Services, Inc.* | 17,337 | 157,073 | ||||||
Molina Healthcare, Inc.* | 6,823 | 156,042 | ||||||
Medcath Corp.* | 17,344 | 137,191 | ||||||
Osteotech, Inc.* | 41,107 | 131,543 | ||||||
Res-Care, Inc.* | 11,179 | 125,205 | ||||||
Centene Corp.* | 4,988 | 105,596 | ||||||
PharMerica Corp.* | 6,164 | 97,884 | ||||||
Kendle International, Inc.* | 5,214 | 95,468 | ||||||
AMERIGROUP Corp.* | 2,547 | 68,667 | ||||||
Healthspring, Inc.* | 3,397 | 59,821 | ||||||
Gentiva Health Services, Inc.* | 1,590 | 42,946 | ||||||
Symmetry Medical, Inc.* | 4,409 | 35,537 | ||||||
Total Health Care | 1,212,973 | |||||||
INFORMATION TECHNOLOGY 7.3% | ||||||||
Ciber, Inc.* | 71,521 | 246,747 | ||||||
Gerber Scientific, Inc.* | 28,404 | 143,440 | ||||||
SYNNEX Corp.* | 4,401 | 134,935 | ||||||
Heartland Payment Systems, Inc. | 6,325 | 83,047 | ||||||
EMS Technologies, Inc.* | 5,701 | 82,665 | ||||||
Black Box Corp. | 2,850 | 80,769 | ||||||
Scansource, Inc.* | 2,654 | 70,862 | ||||||
CTS Corp. | 6,103 | 58,711 | ||||||
Insight Enterprises, Inc.* | 4,163 | 47,541 | ||||||
Digi International, Inc.* | 4,230 | 38,578 | ||||||
Total Information Technology | 987,295 | |||||||
ENERGY 6.8% | ||||||||
Basic Energy Services, Inc.* | 26,092 | 232,219 | ||||||
Seahawk Drilling, Inc.* | 8,225 | 185,391 | ||||||
Petroleum Development Corp.* | 8,209 | 149,486 | ||||||
World Fuel Services Corp. | 3,620 | 96,980 | ||||||
Matrix Service Co.* | 8,381 | 89,258 | ||||||
Penn Virginia Corp. | 4,144 | 88,226 | ||||||
Pioneer Drilling Co.* | 6,069 | 47,945 | ||||||
Bristow Group, Inc.* | 1,010 | 38,834 | ||||||
Total Energy | 928,339 | |||||||
CONSUMER STAPLES 5.5% | ||||||||
Nash Finch Co. | 3,790 | 140,571 | ||||||
Alliance One International, Inc.* | 28,216 | 137,694 | ||||||
Spartan Stores, Inc. | 9,266 | 132,411 | ||||||
Mannatech, Inc. | 32,481 | 101,341 | ||||||
Central Garden and Pet Co. — Class A* | 8,472 | 84,212 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Great Atlantic & Pacific Tea | ||||||||
Company, Inc* | 5,534 | $ | 65,246 | |||||
United Natural Foods, Inc.* | 1,870 | 50,004 | ||||||
Casey’s General Stores, Inc. | 1,120 | 35,750 | ||||||
Total Consumer Staples | 747,229 | |||||||
MATERIALS 4.9% | ||||||||
Olympic Steel, Inc. | 4,141 | 134,914 | ||||||
A.M. Castle & Co. | 9,685 | 132,588 | ||||||
Century Aluminum Co.* | 6,680 | 108,149 | ||||||
A. Schulman, Inc. | 3,872 | 78,137 | ||||||
OM Group, Inc.* | 2,340 | 73,453 | ||||||
Quaker Chemical Corp. | 2,318 | 47,843 | ||||||
Penford Corp. | 5,334 | 46,352 | ||||||
Myers Industries, Inc. | 4,127 | 37,556 | ||||||
Total Materials | 658,992 | |||||||
UTILITIES 1.7% | ||||||||
Laclede Group, Inc. | 1,865 | 62,981 | ||||||
Central Vermont Public Service | ||||||||
Corp. | 2,227 | 46,322 | ||||||
CH Energy Group, Inc. | 1,003 | 42,647 | ||||||
Southwest Gas Corp. | 1,470 | 41,939 | ||||||
New Jersey Resources Corp. | 950 | 35,530 | ||||||
Total Utilities | 229,419 | |||||||
Total Common Stocks (Cost $11,512,220) | 13,498,426 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT † 0.2%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 19,591 | 19,591 | |||||
Total Repurchase Agreement (Cost $19,591) | 19,591 | |||||||
Total Investments 99.7% (Cost $11,531,811) | $ | 13,518,017 | ||||||
Other Assets in Excess of Liabilities – 0.3% | $ | 43,956 | ||||||
Net Assets – 100.0% | $ | 13,561,973 |
* | Non-Income Producing Security | |
† | Repurchase Agreement — See Note 6. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
120 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
EUROPE 1.25X STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 76.4%(a) | ||||||||
FINANCIALS 19.6% | ||||||||
HSBC Holdings PLC — SP ADR | 18,001 | $ | 1,027,677 | |||||
Banco Santander Central Hispano SA — SP ADR | 36,652 | 602,559 | ||||||
Banco Bilbao Vizcaya Argentaria SA — SP ADR | 27,242 | 491,446 | ||||||
Credit Suisse Group AG — SP ADR | 8,281 | 407,094 | ||||||
Allianz SE — SP ADR | 29,810 | 371,134 | ||||||
Deutsche Bank AG — SP ADR | 4,800 | 340,368 | ||||||
AXA — SP ADR | 12,941 | 306,443 | ||||||
UBS AG- SP ADR* | 19,491 | 302,305 | ||||||
Barclays PLC — SP ADR | 14,171 | 249,410 | ||||||
ING Groep NV — SP ADR* | 12,451 | 122,144 | ||||||
Willis Group Holdings PLC | 3,120 | 82,306 | ||||||
Lloyds TSB Group PLC — SP ADR | 14,891 | 48,694 | ||||||
Allied Irish Banks PLC — SP ADR* | 6,710 | 23,552 | ||||||
Total Financials | 4,375,132 | |||||||
HEALTH CARE 15.0% | ||||||||
Novartis AG — SP ADR | 17,531 | 954,212 | ||||||
GlaxoSmithKline PLC — SP ADR | 19,651 | 830,255 | ||||||
Sanofi-Aventis — SP ADR | 17,591 | 690,799 | ||||||
AstraZeneca PLC — SP ADR | 9,551 | 448,324 | ||||||
Novo Nordisk A/S — SP ADR | 3,150 | 201,127 | ||||||
Teva Pharmaceutical Industries Ltd. — SP ADR | 2,320 | 130,338 | ||||||
Alcon, Inc. — SP ADR | 650 | 106,827 | ||||||
Total Health Care | 3,361,882 | |||||||
ENERGY 11.8% | ||||||||
BP PLC — SP ADR | 15,691 | 909,607 | ||||||
Total SA — SP ADR | 11,841 | 758,298 | ||||||
Royal Dutch Shell PLC — SP ADR | 9,551 | 574,111 | ||||||
Eni SpA — SP ADR | 7,090 | 358,825 | ||||||
Compagnie Generale de Geophysique-Veritas — SP ADR* | 2,210 | 46,962 | ||||||
Total Energy | 2,647,803 | |||||||
TELECOMMUNICATION SERVICES 11.8% | ||||||||
Telefonica SA — SP ADR | 9,981 | 833,613 | ||||||
Vodafone Group PLC — | ||||||||
SP ADR | 29,662 | 684,896 | ||||||
France Telecom SA — SP ADR | 20,271 | 511,640 | ||||||
Deutsche Telekom AG — | ||||||||
SP ADR | 23,311 | 342,672 | ||||||
BT Group PLC — SP ADR | 11,721 | 254,814 | ||||||
Total Telecommunication Services | 2,627,635 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
MATERIALS 5.3% | ||||||||
BHP Billiton Ltd. — SP ADR | 4,800 | $ | 367,584 | |||||
Anglo American PLC — SP ADR* | 13,357 | 289,580 | ||||||
Rio Tinto PLC — SP ADR | 1,220 | 262,776 | ||||||
ArcelorMittal | 3,750 | 171,562 | ||||||
Syngenta AG — SP ADR | 1,750 | 98,472 | ||||||
Total Materials | 1,189,974 | |||||||
CONSUMER STAPLES 4.9% | ||||||||
Unilever NV | 15,261 | 493,388 | ||||||
Diageo PLC — SP ADR | 5,960 | 413,684 | ||||||
British American Tobacco PLC — SP ADR | 2,740 | 177,168 | ||||||
Total Consumer Staples | 1,084,240 | |||||||
INFORMATION TECHNOLOGY 3.0% | ||||||||
SAP AG — SP ADR | 5,960 | 278,988 | ||||||
Nokia Oyj — SP ADR | 19,651 | 252,515 | ||||||
Telefonaktiebolaget LM Ericsson — SP ADR | 14,621 | 134,367 | ||||||
Total Information Technology | 665,870 | |||||||
INDUSTRIALS 2.9% | ||||||||
Siemens AG — SP ADR | 4,350 | 398,895 | ||||||
Koninklijke Philips Electronics NV — SP ADR | 5,660 | 166,630 | ||||||
Ryanair Holdings PLC — SP ADR* | 3,480 | 93,334 | ||||||
Total Industrials | 658,859 | |||||||
CONSUMER DISCRETIONARY 1.8% | ||||||||
Daimler AG— SP ADR | 5,670 | 302,211 | ||||||
Carnival PLC — SP ADR* | 3,050 | 102,663 | ||||||
Total Consumer Discretionary | 404,874 | |||||||
UTILITIES 0.3% | ||||||||
Veolia Environnement — SP ADR | 2,050 | 67,404 | ||||||
Total Utilities | 67,404 | |||||||
Total Common Stocks (Cost $13,853,317) | 17,083,673 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENTS† 14.8%(b) | ||||||||
Mizuho Financial Group, Inc. issued 12/31/09 at 0.00% due 01/04/10 | $ | 900,343 | 900,343 | |||||
HSBC Group issued 12/31/09 at 0.00% due 01/04/10 | 893,476 | 893,476 | ||||||
UBS Financial Services, Inc. issued 12/31/09 at 0.00% due 01/04/10 | 893,476 | 893,476 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 121 |
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
EUROPE 1.25X STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
Morgan Stanley issued 12/31/09 at 0.00% due 01/04/10 | $ | 630,689 | $ | 630,689 | ||||
Total Repurchase Agreements (Cost $3,317,984) | 3,317,984 | |||||||
Total Investments 91.2% (Cost $17,171,301) | $ | 20,401,657 | ||||||
Other Assets in Excess of Liabilities – 8.8% | $ | 1,956,509 | ||||||
Net Assets – 100.0% | $ | 22,358,166 | ||||||
Unrealized | ||||||||
Contracts | Gain (Loss) | |||||||
CURRENCY FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 EURO Currency Futures Contracts (Aggregate Market Value of Contracts $11,271,488) | 63 | $ | (247,218 | ) | ||||
FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 EURO STOXX 50 Index Futures Contracts (Aggregate Market Value of Contracts $11,169,866) | 265 | $ | 345,708 | |||||
March 2010 STOXX 50 Index Futures Contracts (Aggregate Market Value of Contracts $5,236,411) | 144 | 211,076 | ||||||
(Total Aggregate Market Value of Contracts $16,406,277) | $ | 556,784 | ||||||
Country Diversification
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 6. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. | |
ADR — American Depository Receipt. |
122 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
JAPAN 2X STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS† 77.0%(b) | ||||||||
Mizuho Financial Group, Inc. issued 12/31/09 at 0.00% due 01/04/10 | $ | 1,758,133 | $ | 1,758,133 | ||||
HSBC Group issued 12/31/09 at 0.00% due 01/04/10 | 1,744,723 | 1,744,723 | ||||||
UBS Financial Services, Inc. issued 12/31/09 at 0.00% due 01/04/10 | 1,744,723 | 1,744,723 | ||||||
Morgan Stanley issued 12/31/09 at 0.00% due 01/04/10 | 1,231,569 | 1,231,569 | ||||||
Total Repurchase Agreements (Cost $6,479,148) | 6,479,148 | |||||||
Total Investments 77.0% (Cost $6,479,148) | $ | 6,479,148 | ||||||
Other Assets in Excess of Liabilities – 23.0% | $ | 1,930,690 | ||||||
Net Assets – 100.0% | $ | 8,409,838 | ||||||
UNREALIZED | ||||||||
CONTRACTS | GAIN (LOSS) | |||||||
CURRENCY FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 Japanese Yen Currency Futures Contracts (Aggregate Market Value of Contracts $16,792,188) | 125 | $ | (409,090 | ) | ||||
FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 Nikkei-225 Stock Average Index Futures Contracts (Aggregate Market Value of Contracts $16,712,650) | 314 | $ | 578,211 | |||||
† | Repurchase Agreements — See Note 6. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 123 |
SCHEDULE OF INVESTMENTS
December 31, 2009
STRENGTHENING DOLLAR 2X STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS† 96.9%(b) | ||||||||
Mizuho Financial Group, Inc. issued 12/31/09 at 0.00% due 01/04/10 | $ | 1,794,434 | $ | 1,794,434 | ||||
HSBC Group issued 12/31/09 at 0.00% due 01/04/10 | 1,780,746 | 1,780,746 | ||||||
UBS Financial Services, Inc. issued 12/31/09 at 0.00% due 01/04/10 | 1,780,746 | 1,780,746 | ||||||
Morgan Stanley issued 12/31/09 at 0.00% due 01/04/10 | 1,256,997 | 1,256,997 | ||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10†† | 678,076 | 678,076 | ||||||
Total Repurchase Agreements (Cost $7,290,999) | 7,290,999 | |||||||
Total Investments 96.9% (Cost $7,290,999) | $ | 7,290,999 | ||||||
Other Assets in Excess of Liabilities – 3.1% | $ | 234,430 | ||||||
Net Assets – 100.0% | $ | 7,525,429 | ||||||
UNREALIZED | ||||||||
CONTRACTS | GAIN | |||||||
CURRENCY FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 U.S. Dollar Index Futures Contracts (Aggregate Market Value of Contracts $11,435,450) | 146 | $ | 141,600 | |||||
UNITS | ||||||||
CURRENCY INDEX SWAP AGREEMENTS(b) | ||||||||
Goldman Sachs International February 2010 U.S. Dollar Index Swap, Terminating 02/25/10††† (Notional Market Value $3,607,771) | 46,168 | $ | 79,906 | |||||
† | Repurchase Agreements — See Note 6. | |
†† | All or a portion of this security is pledged as currency index swap collateral at December 31, 2009. | |
††† | Total Return based on U.S. Dollar Index +/- financing at a variable rate. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
124 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
WEAKENING DOLLAR 2X STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS† 100.0%(b) | ||||||||
Mizuho Financial Group, Inc. issued 12/31/09 at 0.00% due 01/04/10 | $ | 1,254,846 | $ | 1,254,846 | ||||
UBS Financial Services, Inc. issued 12/31/09 at 0.00% due 01/04/10 | 1,245,273 | 1,245,273 | ||||||
HSBC Group issued 12/31/09 at 0.00% due 01/04/10 | 1,245,273 | 1,245,273 | ||||||
Morgan Stanley issued 12/31/09 at 0.00% due 01/04/10 | 879,017 | 879,017 | ||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10†† | 282,848 | 282,848 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $4,907,257) | 4,907,257 | |||||||
Total Investments 100.0% | ||||||||
(Cost $4,907,257) | $ | 4,907,257 | ||||||
Other Assets in Excess of | ||||||||
Liabilities – 0.0% | $ | 704 | ||||||
Net Assets – 100.0% | $ | 4,907,961 | ||||||
UNREALIZED | ||||||||
CONTRACTS | LOSS | |||||||
CURRENCY FUTURES CONTRACTS | ||||||||
SOLD SHORT(a) | ||||||||
March 2010 U.S. Dollar Index Futures Contracts (Aggregate Market Value of Contracts $7,832,500) | 100 | $ | (222,449 | ) | ||||
UNITS | ||||||||
CURRENCY INDEX SWAP AGREEMENT | ||||||||
SOLD SHORT(b) | ||||||||
Goldman Sachs International February 2010 U.S. Dollar Index Swap, Terminating 02/25/10††† (Notional Market Value $1,985,164) | 25,404 | $ | (3,639 | ) | ||||
† | Repurchase Agreements — See Note 6. | |
†† | All or a portion of this security is pledged as currency index swap collateral at December 31, 2009. | |
††† | Total Return based on U.S. Dollar Index +/— financing at a variable rate. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 125 |
SCHEDULE OF INVESTMENTS
December 31, 2009
REAL ESTATE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.2%(a) | ||||||||
REAL ESTATE INVESTMENT TRUST (REIT) 91.5% | ||||||||
SPECIALIZED REIT 25.4% | ||||||||
Public Storage | 12,320 | $ | 1,003,464 | |||||
HCP, Inc. | 25,989 | 793,704 | ||||||
Host Hotels & Resorts, Inc.* | 62,461 | 728,917 | ||||||
Ventas, Inc. | 16,040 | 701,590 | ||||||
Plum Creek Timber | ||||||||
Company, Inc. (REIT) | 17,800 | 672,128 | ||||||
Health Care REIT, Inc. | 13,904 | 616,225 | ||||||
Nationwide Health Properties, Inc. | 15,068 | 530,092 | ||||||
Rayonier, Inc. | 11,516 | 485,515 | ||||||
Hospitality Properties Trust | 19,901 | 471,853 | ||||||
Senior Housing Properties | ||||||||
Trust | 20,567 | 449,800 | ||||||
Omega Healthcare Investors, Inc. | 17,864 | 347,455 | ||||||
Entertainment Properties Trust | 9,324 | 328,857 | ||||||
LaSalle Hotel Properties | 14,870 | 315,690 | ||||||
Healthcare Realty Trust, Inc. | 13,882 | 297,908 | ||||||
DiamondRock Hospitality Co. | 31,328 | 265,348 | ||||||
Sunstone Hotel Investors, Inc.* | 28,300 | 251,304 | ||||||
Potlatch Corp. | 6,363 | 202,852 | ||||||
Extra Space Storage, Inc. | 14,269 | 164,807 | ||||||
Total Specialized REIT | 8,627,509 | |||||||
RETAIL REIT 17.9% | ||||||||
Simon Property Group, Inc. | 16,097 | 1,284,514 | ||||||
KIMCO Realty Corp. | 47,633 | 644,474 | ||||||
Federal Realty Investment | ||||||||
Trust | 8,224 | 556,929 | ||||||
Macerich Co. | 14,324 | 514,960 | ||||||
Regency Centers Corp. | 13,777 | 483,022 | ||||||
Realty Income Corp. | 16,362 | 423,939 | ||||||
Weingarten Realty Investors | 20,878 | 413,176 | ||||||
Taubman Centers, Inc. | 10,418 | 374,110 | ||||||
Developers Diversified Realty | ||||||||
Corp. | 39,600 | 366,696 | ||||||
National Retail Properties, Inc. | 16,682 | 353,992 | ||||||
Tanger Factory Outlet | ||||||||
Centers, Inc. | 8,433 | 328,803 | ||||||
CBL & Associates Properties, Inc. | 31,962 | 309,073 | ||||||
Total Retail REIT | 6,053,688 | |||||||
OFFICE REIT 16.6% | ||||||||
Boston Properties, Inc. | 11,857 | 795,249 | ||||||
Digital Realty Trust, Inc. | 10,549 | 530,404 | ||||||
SL Green Realty Corp. | 10,360 | 520,486 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Alexandria Real Estate | ||||||||
Equities, Inc. | 7,006 | $ | 450,416 | |||||
Duke Realty Corp. | 36,477 | 443,925 | ||||||
Mack-Cali Realty Corp. | 12,775 | 441,632 | ||||||
Highwoods Properties, Inc. | 12,494 | 416,675 | ||||||
Corporate Office Properties | ||||||||
Trust SBI | 10,634 | 389,523 | ||||||
Douglas Emmett, Inc. | 24,626 | 350,920 | ||||||
Brandywine Realty Trust | 28,877 | 329,198 | ||||||
BioMed Realty Trust, Inc. | 20,824 | 328,603 | ||||||
HRPT Properties Trust | 50,080 | 324,018 | ||||||
Kilroy Realty Corp. | 10,106 | 309,951 | ||||||
Total Office REIT | 5,631,000 | |||||||
RESIDENTIAL REIT 14.9% | ||||||||
Equity Residential | 24,863 | 839,872 | ||||||
AvalonBay Communities, Inc. | 8,520 | 699,577 | ||||||
Camden Property Trust | 10,713 | 453,910 | ||||||
UDR, Inc. | 26,364 | 433,424 | ||||||
Essex Property Trust, Inc. | 4,946 | 413,733 | ||||||
Apartment Investment & Management Co. — Class A | 23,366 | 371,987 | ||||||
BRE Properties, Inc. — Class A | 10,921 | 361,267 | ||||||
Home Properties, Inc. | 7,298 | 348,188 | ||||||
American Campus | ||||||||
Communities, Inc. | 11,520 | 323,712 | ||||||
Mid-America Apartment | ||||||||
Communities, Inc. | 6,530 | 315,268 | ||||||
Post Properties, Inc. | 13,344 | 261,542 | ||||||
Equity Lifestyle Properties, Inc. | 4,410 | 222,573 | ||||||
Total Residential REIT | 5,045,053 | |||||||
DIVERSIFIED REIT 6.7% | ||||||||
Vornado Realty Trust | 13,503 | 944,374 | ||||||
Liberty Property Trust | 15,690 | 502,237 | ||||||
Washington Real Estate Investment Trust | 12,501 | 344,403 | ||||||
Colonial Properties Trust | 20,250 | 237,532 | ||||||
Cousins Properties, Inc. | 30,327 | 231,395 | ||||||
Total Diversified REIT | 2,259,941 | |||||||
MORTGAGE REIT 5.9% | ||||||||
Annaly Capital Management, Inc. | 45,385 | 787,430 | ||||||
MFA Mortgage Investments, Inc. | 50,937 | 374,387 | ||||||
Hatteras Financial Corp. | 9,159 | 256,086 | ||||||
Anworth Mortgage Asset Corp. | 33,116 | 231,812 | ||||||
Redwood Trust, Inc. | 13,022 | 188,298 | ||||||
Capstead Mortgage Corp. | 12,705 | 173,423 | ||||||
Total Mortgage REIT | 2,011,436 | |||||||
126 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
REAL ESTATE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
INDUSTRIAL REIT 4.1% | ||||||||
ProLogis | 50,036 | $ | 684,993 | |||||
AMB Property Corp. | 20,287 | 518,333 | ||||||
Eastgroup Properties, Inc. | 4,610 | 176,470 | ||||||
Total Industrial REIT | 1,379,796 | |||||||
Total Real Estate Investment Trust (REIT) | 31,008,423 | |||||||
REAL ESTATE MANAGEMENT & DEVELOPMENT 7.7% | ||||||||
CB Richard Ellis Group, Inc. — Class A* | 40,596 | 550,888 | ||||||
Jones Lang LaSalle, Inc. | 7,128 | 430,531 | ||||||
The St. Joe Co.* | 14,815 | 428,005 | ||||||
Brookfield Asset | ||||||||
Management, Inc. — Class A | 14,545 | 322,608 | ||||||
Brookfield Properties Corp. | 26,480 | 320,938 | ||||||
E-House China Holdings Ltd.* | 17,150 | 310,758 | ||||||
Forest City Enterprises, Inc. — Class A* | 20,090 | 236,660 | ||||||
Total Real Estate Management & Developement | 2,600,388 | |||||||
Total Common Stocks | ||||||||
(Cost $24,542,938) | 33,608,811 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT† 0.2%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 43,343 | $ | 43,343 | ||||
Total Repurchase Agreement | ||||||||
(Cost $43,343) | 43,343 | |||||||
Total Investments 99.4% | ||||||||
(Cost $24,586,281) | $ | 33,652,154 | ||||||
Other Assets in Excess of Liabilities – 0.6% | $ | 219,873 | ||||||
Net Assets – 100.0% | $ | 33,872,027 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 6. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. | |
REIT — Real Estate Investment Trust. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 127 |
SCHEDULE OF INVESTMENTS
December 31, 2009
GOVERNMENT LONG BOND 1.2X STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
FEDERAL AGENCY DISCOUNT NOTES 41.3%(b) | ||||||||
Fannie Mae* | ||||||||
0.04% due 01/27/10 | $ | 2,950,000 | $ | 2,949,925 | ||||
0.14% due 04/30/10 | 1,000,000 | 999,678 | ||||||
Farmer Mac ** | ||||||||
0.01% due 01/15/10 | 3,000,000 | 2,999,991 | ||||||
Federal Home Loan Bank ** | ||||||||
0.02% due 01/15/10 | 2,000,000 | 1,999,988 | ||||||
Freddie Mac* | ||||||||
0.02% due 02/08/10 | 1,000,000 | 999,980 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $9,949,433) | 9,949,562 | |||||||
U.S. TREASURY OBLIGATIONS 35.4%(a) | ||||||||
U. S. Treasury Bond | ||||||||
4.38% due 11/15/39 | 8,910,000 | 8,525,756 | ||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $8,522,584) | 8,525,756 | |||||||
REPURCHASE AGREEMENTS† 39.9%(b) | ||||||||
Mizuho Financial Group, Inc. issued 12/31/09 at 0.00% due 01/04/10 | 2,608,872 | 2,608,872 | ||||||
HSBC Group issued 12/31/09 at 0.00% due 01/04/10 | 2,588,972 | 2,588,972 | ||||||
UBS Financial Services, Inc. issued 12/31/09 at 0.00% due 01/04/10 | 2,588,972 | 2,588,972 | ||||||
Morgan Stanley issued 12/31/09 at 0.00% due 01/04/10 | 1,827,509 | 1,827,509 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $9,614,325) | 9,614,325 | |||||||
Total Investments 116.6% | ||||||||
(Cost $28,086,342) | $ | 28,089,643 | ||||||
Liabilities in Excess of Other Assets – (16.6)% | $ | (3,997,953 | ) | |||||
Net Assets – 100.0% | $ | 24,091,690 | ||||||
UNREALIZED | ||||||||
CONTRACTS | LOSS | |||||||
FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 U.S. Treasury Bond Futures Contracts (Aggregate Market Value of Contracts $40,853,813) | 354 | $ | (316,022 | ) | ||||
* | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. | |
** | 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. | |
† | Repurchase Agreements — See Note 6. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
128 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
FEDERAL AGENCY DISCOUNT NOTES 21.5%(b) | ||||||||
Farmer Mac * | ||||||||
0.05% due 01/05/10 | $ | 2,000,000 | $ | 1,999,997 | ||||
Federal Home Loan Bank* | ||||||||
0.02% due 01/15/10 | 2,000,000 | 1,999,988 | ||||||
Freddie Mac** | ||||||||
0.02% due 02/08/10 | 2,000,000 | 1,999,961 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $5,999,946) | 5,999,946 | |||||||
REPURCHASE AGREEMENTS† 110.4%(b) | ||||||||
Joint Repurchase Agreements | ||||||||
Mizuho Financial Group, Inc. issued 12/31/09 at 0.00% due 01/04/10 | 4,124,778 | 4,124,778 | ||||||
HSBC Group issued 12/31/09 at 0.00% due 01/04/10 | 4,093,314 | 4,093,314 | ||||||
UBS Financial Services, Inc. issued 12/31/09 at 0.00% due 01/04/10 | 4,093,314 | 4,093,314 | ||||||
Morgan Stanley issued 12/31/09 at 0.00% due 01/04/10 | 2,889,398 | 2,889,398 | ||||||
Individual Repurchase Agreement†† | ||||||||
Barclays Capital | ||||||||
issued 12/31/09 at (0.10)% due 01/04/10 (Secured by a U.S. Treasury Bond, at a rate of 4.38% and maturing 11/15/39 as collateral, with a Market Value of $15,971,100) to be repurchased at $15,658,350 | 15,658,350 | 15,658,350 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $30,859,154) | 30,859,154 | |||||||
Total Long Securities 131.9% | ||||||||
(Cost $36,859,100) | 36,859,100 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
U.S. TREASURY OBLIGATIONS SOLD SHORT (57.5)%(a) | ||||||||
U.S. Treasury Bond 4.38% due 11/15/39 | $ | 16,800,000 | $ | (16,075,500 | ) | |||
Total U.S. Treasury Obligations Sold Short (Proceeds $16,907,002) | (16,075,500 | ) | ||||||
Other Assets in Excess of | ||||||||
Liabilities — 25.6% | $ | 7,156,226 | ||||||
Net Assets – 100.0% | $ | 27,939,826 | ||||||
Unrealized | ||||||||
Contracts | Gain | |||||||
FUTURES CONTRACTS SOLD SHORT(a) | ||||||||
March 2010 U.S. Treasury Bond Futures Contracts (Aggregate Market Value of Contracts $7,616,813) | 66 | $ | 275,782 | |||||
* | 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. | |
** | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. | |
† | Repurchase Agreements — See Note 6. | |
†† | All or portion of this security is pledged as short security collateral at December 31, 2009. | |
(a) | Value determined based on Level 1 inputs — See Note 7. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 129 |
SCHEDULE OF INVESTMENTS
December 31, 2009
U.S. GOVERNMENT MONEY MARKET FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
FEDERAL AGENCY DISCOUNT NOTES 45.4%(b) | ||||||||
Fannie Mae* | ||||||||
0.80% due 01/19/10 | $ | 25,000,000 | $ | 24,991,666 | ||||
0.15% due 05/03/10 | 25,000,000 | 24,987,604 | ||||||
Farmer Mac** | ||||||||
0.01% due 01/15/10 | 5,000,000 | 4,999,984 | ||||||
Federal Farm Credit** | ||||||||
0.23% due 02/12/10 | 25,000,000 | 24,993,771 | ||||||
Freddie Mac* | ||||||||
0.14% due 04/27/10 | 25,000,000 | 24,989,014 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $104,962,039) | 104,962,039 | |||||||
REPURCHASE AGREEMENTS† 58.3%(b) | ||||||||
Mizuho Financial Group, Inc. issued 12/31/09 at 0.00% due 01/04/10 | 36,624,329 | 36,624,329 | ||||||
HSBC Group issued 12/31/09 at 0.00% due 01/04/10 | 36,344,964 | 36,344,964 | ||||||
UBS Financial Services, Inc. issued 12/31/09 at 0.00% due 01/04/10 | 36,344,964 | 36,344,964 | ||||||
Morgan Stanley issued 12/31/09 at 0.00% due 01/04/10 | 25,655,269 | 25,655,269 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $134,969,526) | 134,969,526 | |||||||
Total Investments 103.7% | ||||||||
(Cost $239,931,565) | $ | 239,931,565 | ||||||
Liabilities in Excess of Other Assets – (3.7)% | $ | (8,480,250 | ) | |||||
Net Assets – 100.0% | $ | 231,451,315 |
* | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. | |
** | 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. | |
† | Repurchase Agreements — See Note 6. | |
(b) | Value determined based on Level 2 inputs — See Note 7. |
130 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
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STATEMENTS OF ASSETS AND LIABILITIES
Inverse | Inverse | |||||||||||||||
S&P 500 | NASDAQ-100® | |||||||||||||||
Nova | Strategy | NASDAQ-100® | Strategy | |||||||||||||
Fund | Fund | Fund | Fund | |||||||||||||
Assets | ||||||||||||||||
Investment Securities | $ | 39,254,742 | $ | 4,999,966 | $ | 52,088,678 | $ | — | ||||||||
Repurchase Agreements | 10,510,173 | 19,186,306 | 6,153,938 | 12,483,025 | ||||||||||||
Total Investments | 49,764,915 | 24,186,272 | 58,242,616 | 12,483,025 | ||||||||||||
Segregated Cash with Broker | 243,000 | 324,000 | 436,800 | 53,200 | ||||||||||||
Cash | 138 | — | — | — | ||||||||||||
Unrealized Appreciation on Swap Agreements | 568,396 | — | 27,564 | — | ||||||||||||
Receivable for Swap Settlement | 154,190 | — | 138,733 | — | ||||||||||||
Variation Margin on Futures Contracts | — | 41,832 | — | 5,890 | ||||||||||||
Receivable for Securities Sold | — | — | — | — | ||||||||||||
Receivable for Fund Shares Sold | 51,169 | 34,883 | 552,004 | 2,703,444 | ||||||||||||
Investment Income Receivable | 53,008 | — | 10,450 | — | ||||||||||||
Total Assets | 50,834,816 | 24,586,987 | 59,408,167 | 15,245,559 | ||||||||||||
Liabilities | ||||||||||||||||
Unrealized Depreciation on Swap Agreements | — | 304,298 | — | 474,203 | ||||||||||||
Payable for Swap Settlement | — | 88,404 | — | 271,900 | ||||||||||||
Variation Margin on Futures Contracts | 31,142 | — | 49,542 | — | ||||||||||||
Payable for Securities Purchased | 7,097 | — | — | — | ||||||||||||
Payable for Fund Shares Redeemed | 129,204 | 1,150,612 | 1,686,447 | 153,612 | ||||||||||||
Investment Advisory Fees Payable | 35,051 | 22,111 | 39,544 | 11,108 | ||||||||||||
Transfer Agent and Administrative Fees Payable | 11,684 | 6,142 | 13,181 | 3,086 | ||||||||||||
Distribution and Service Fees Payable | 11,684 | 6,142 | 13,181 | 3,086 | ||||||||||||
Portfolio Accounting Fees Payable | 4,673 | 2,457 | 5,273 | 1,234 | ||||||||||||
Custody Fees Payable | 1,542 | 811 | 1,740 | 407 | ||||||||||||
Other Accrued Fees | 42,084 | 41,778 | 57,150 | 18,264 | ||||||||||||
Total Liabilities | 274,161 | 1,622,755 | 1,866,058 | 936,900 | ||||||||||||
Net Assets | $ | 50,560,655 | $ | 22,964,232 | $ | 57,542,109 | $ | 14,308,659 | ||||||||
Net Assets Consist Of | ||||||||||||||||
Paid-In Capital | $ | 89,865,940 | $ | 43,382,746 | $ | 154,304,936 | $ | 33,050,624 | ||||||||
Undistributed Net Investment Income (Loss) | 74,019 | — | — | — | ||||||||||||
Accumulated Net Realized Loss on Investments | (49,372,103 | ) | (20,079,529 | ) | (122,238,761 | ) | (18,271,294 | ) | ||||||||
Net Unrealized Appreciation (Depreciation) on Investments | 9,992,799 | (338,985 | ) | 25,475,934 | (470,671 | ) | ||||||||||
Net Assets | $ | 50,560,655 | $ | 22,964,232 | $ | 57,542,109 | $ | 14,308,659 | ||||||||
Shares Outstanding | 826,633 | 542,365 | 3,605,300 | 953,758 | ||||||||||||
Net Asset Values | $61.16 | $42.34 | $15.96 | $15.00 | ||||||||||||
Cost of Investments | $ | 40,387,405 | $ | 24,186,272 | $ | 32,833,679 | $ | 12,483,025 |
132 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
December 31, 2009 | |||||||||||||||||||||||||||||||||
Inverse | Inverse | ||||||||||||||||||||||||||||||||
S&P 500 | NASDAQ-100® | Mid-Cap | Mid-Cap | Russell 2000® | Russell 2000® | Russell 2000® | Dow 2x | ||||||||||||||||||||||||||
2x Strategy | 2x Strategy | 1.5x Strategy | Strategy | 2x Strategy | 1.5x Strategy | Strategy | Strategy | ||||||||||||||||||||||||||
Fund | Fund | Fund | Fund | Fund | Fund | Fund | Fund | ||||||||||||||||||||||||||
$ | 11,356,077 | $ | 25,742,436 | $ | 10,196,996 | $ | — | $ | 2,004,603 | $ | 7,854,404 | $ | 1,999,992 | $ | 9,175,628 | ||||||||||||||||||
14,492,064 | 6,630,876 | 5,747,558 | 4,836,251 | 1,296,460 | 4,871,143 | 8,843,864 | 8,608,783 | ||||||||||||||||||||||||||
25,848,141 | 32,373,312 | 15,944,554 | 4,836,251 | 3,301,063 | 12,725,547 | 10,843,856 | 17,784,411 | ||||||||||||||||||||||||||
787,500 | 1,845,200 | 360,000 | 24,000 | 140,000 | 480,000 | 208,000 | 1,362,400 | ||||||||||||||||||||||||||
40 | — | — | — | 9 | 43 | — | — | ||||||||||||||||||||||||||
247,882 | 1,056,481 | 481,105 | — | 103,814 | 122,591 | — | 144,740 | ||||||||||||||||||||||||||
221,040 | 687,342 | 93,773 | — | 450,686 | 150,278 | — | 19,535 | ||||||||||||||||||||||||||
— | — | — | 479 | — | — | 51,037 | — | ||||||||||||||||||||||||||
— | — | 25,412 | — | 406 | 1,551 | — | — | ||||||||||||||||||||||||||
1,940,229 | 495,675 | — | 3,641 | 118,085 | — | 1,222,736 | 803,232 | ||||||||||||||||||||||||||
15,346 | 5,164 | 7,469 | — | 2,120 | 8,678 | — | 9,792 | ||||||||||||||||||||||||||
29,060,178 | 36,463,174 | 16,912,313 | 4,864,371 | 4,116,183 | 13,488,688 | 12,325,629 | 20,124,110 | ||||||||||||||||||||||||||
— | — | — | 140,185 | — | — | 125,888 | — | ||||||||||||||||||||||||||
— | — | — | 32,718 | — | — | 734,210 | — | ||||||||||||||||||||||||||
101,322 | 204,437 | 66,474 | 3,926 | 31,644 | 94,829 | — | 163,750 | ||||||||||||||||||||||||||
2,258 | — | 1,472,380 | — | — | — | — | — | ||||||||||||||||||||||||||
31,169 | 62,637 | 967,210 | 84 | 423,626 | 2,773,287 | — | 55,694 | ||||||||||||||||||||||||||
18,226 | 30,231 | 10,672 | 3,381 | 3,549 | 10,953 | 11,529 | 14,973 | ||||||||||||||||||||||||||
5,063 | 8,398 | 2,964 | 939 | 986 | 3,043 | 3,202 | 4,159 | ||||||||||||||||||||||||||
5,063 | 8,398 | 2,964 | 939 | 986 | 3,043 | 3,202 | 4,159 | ||||||||||||||||||||||||||
2,025 | 3,359 | 1,186 | 376 | 394 | 1,217 | 1,281 | 1,664 | ||||||||||||||||||||||||||
668 | 1,109 | 391 | 124 | 130 | 402 | 423 | 549 | ||||||||||||||||||||||||||
22,442 | 32,425 | 11,872 | 4,570 | 3,581 | 14,819 | 12,548 | 19,851 | ||||||||||||||||||||||||||
188,236 | 350,994 | 2,536,113 | 187,242 | 464,896 | 2,901,593 | 892,283 | 264,799 | ||||||||||||||||||||||||||
$ | 28,871,942 | $ | 36,112,180 | $ | 14,376,200 | $ | 4,677,129 | $ | 3,651,287 | $ | 10,587,095 | $ | 11,433,346 | $ | 19,859,311 | ||||||||||||||||||
$ | 53,239,638 | $ | 55,121,767 | $ | 23,538,549 | $ | 7,770,200 | $ | 8,727,316 | $ | 19,773,475 | $ | 23,326,484 | $ | 47,685,738 | ||||||||||||||||||
— | — | — | — | (454 | ) | (2,724 | ) | — | 74,124 | ||||||||||||||||||||||||
(28,386,015 | ) | (30,773,694 | ) | (10,371,825 | ) | (2,953,165 | ) | (5,622,477 | ) | (10,622,237 | ) | (11,726,453 | ) | (30,033,657 | ) | ||||||||||||||||||
4,018,319 | 11,764,107 | 1,209,476 | (139,906 | ) | 546,902 | 1,438,581 | (166,685 | ) | 2,133,106 | ||||||||||||||||||||||||
$ | 28,871,942 | $ | 36,112,180 | $ | 14,376,200 | $ | 4,677,129 | $ | 3,651,287 | $ | 10,587,095 | $ | 11,433,346 | $ | 19,859,311 | ||||||||||||||||||
322,055 | 2,022,065 | 961,940 | 154,392 | 36,487 | 479,398 | 398,750 | 300,725 | ||||||||||||||||||||||||||
$89.65 | $17.86 | $14.95 | $30.29 | $100.07 | $22.08 | $28.67 | $66.04 | ||||||||||||||||||||||||||
$ | 22,041,530 | $ | 22,213,377 | $ | 15,237,590 | $ | 4,836,251 | $ | 2,892,324 | $ | 11,431,174 | $ | 10,843,856 | $ | 15,853,105 |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 133 |
STATEMENTS OF ASSETS AND LIABILITIES (continued)
Inverse | S&P | |||||||||||||||
Dow 2x | S&P 500 | S&P 500 | MidCap 400 | |||||||||||||
Strategy | Pure Growth | Pure Value | Pure Growth | |||||||||||||
Fund | Fund | Fund | Fund | |||||||||||||
Assets | ||||||||||||||||
Investment Securities | $ | 1,999,990 | $ | 34,300,019 | $ | 27,932,992 | $ | 44,601,252 | ||||||||
Repurchase Agreements | 13,020,413 | 202,347 | 118,280 | 173,907 | ||||||||||||
Total Investments | 15,020,403 | 34,502,366 | 28,051,272 | 44,775,159 | ||||||||||||
Segregated Cash with Broker | 1,497,600 | — | — | — | ||||||||||||
Cash | — | — | — | — | ||||||||||||
Foreign Currency | — | — | — | — | ||||||||||||
Unrealized Appreciation on Swap Agreements | 89,965 | — | — | — | ||||||||||||
Receivable for Swap Settlement | — | — | — | — | ||||||||||||
Variation Margin on Futures Contracts | 180,000 | — | — | — | ||||||||||||
Receivable for Securities Sold | — | — | — | 615,679 | ||||||||||||
Receivable for Fund Shares Sold | 2,118,065 | 1,663,424 | 526,825 | 2,396,459 | ||||||||||||
Investment Income Receivable | — | 11,636 | 52,404 | 10,280 | ||||||||||||
Total Assets | 18,906,033 | 36,177,426 | 28,630,501 | 47,797,577 | ||||||||||||
Liabilities | ||||||||||||||||
Unrealized Depreciation on Swap Agreements | — | — | — | — | ||||||||||||
Payable for Swap Settlement | 363,373 | — | — | — | ||||||||||||
Variation Margin on Futures Contracts | — | — | — | — | ||||||||||||
Payable for Securities Purchased | — | 1,633,079 | 717,636 | 2,797,072 | ||||||||||||
Payable for Fund Shares Redeemed | 468,595 | 15 | 6,788 | — | ||||||||||||
Investment Advisory Fees Payable | 14,922 | 22,334 | 19,784 | 29,310 | ||||||||||||
Transfer Agent and Administrative Fees Payable | 4,145 | 7,445 | 6,595 | 9,770 | ||||||||||||
Distribution and Service Fees Payable | 4,145 | 7,445 | 6,595 | 9,770 | ||||||||||||
Portfolio Accounting Fees Payable | 1,658 | 2,978 | 2,638 | 3,908 | ||||||||||||
Custody Fees Payable | 547 | 983 | 874 | 1,292 | ||||||||||||
Payable to Broker | — | — | — | — | ||||||||||||
Other Accrued Fees | 27,640 | 22,498 | 18,472 | 28,513 | ||||||||||||
Total Liabilities | 885,025 | 1,696,777 | 779,382 | 2,879,635 | ||||||||||||
Net Assets | $ | 18,021,008 | $ | 34,480,649 | $ | 27,851,119 | $ | 44,917,942 | ||||||||
Net Assets Consist Of | ||||||||||||||||
Paid-In Capital | $ | 34,464,519 | $ | 37,403,827 | $ | 35,570,104 | $ | 44,042,816 | ||||||||
Undistributed Net Investment Income | — | — | 184,518 | — | ||||||||||||
Accumulated Net Realized Loss on Investments | (16,562,501 | ) | (8,539,852 | ) | (10,577,946 | ) | (6,862,062 | ) | ||||||||
Net Unrealized Appreciation (Depreciation) on Investments | 118,990 | 5,616,674 | 2,674,443 | 7,737,188 | ||||||||||||
Net Assets | $ | 18,021,008 | $ | 34,480,649 | $ | 27,851,119 | $ | 44,917,942 | ||||||||
Shares Outstanding | 914,411 | 1,421,876 | 408,621 | 1,519,468 | ||||||||||||
Net Asset Values | $19.71 | $24.25 | $68.16 | $29.56 | ||||||||||||
Cost of Investments | $ | 15,020,403 | $ | 28,885,692 | $ | 25,376,829 | $ | 37,037,971 | ||||||||
Cost of Foreign Currency | — | — | — | — |
134 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
December 31, 2009 | |||||||||||||||||||||||||||||||||
S&P | S&P | S&P | Strengthening | Weakening | |||||||||||||||||||||||||||||
MidCap 400 | SmallCap 600 | SmallCap 600 | Europe 1.25x | Japan 2x | Dollar 2x | Dollar 2x | |||||||||||||||||||||||||||
Pure Value | Pure Growth | Pure Value | Strategy | Strategy | Strategy | Strategy | Real Estate | ||||||||||||||||||||||||||
Fund | Fund | Fund | Fund | Fund | Fund | Fund | Fund | ||||||||||||||||||||||||||
$ | 29,356,775 | $ | 13,477,807 | $ | 13,498,426 | $ | 17,083,673 | $ | — | $ | — | $ | — | $ | 33,608,811 | ||||||||||||||||||
21,771 | 75,959 | 19,591 | 3,317,984 | 6,479,148 | 7,290,999 | 4,907,257 | 43,343 | ||||||||||||||||||||||||||
29,378,546 | 13,553,766 | 13,518,017 | 20,401,657 | 6,479,148 | 7,290,999 | 4,907,257 | 33,652,154 | ||||||||||||||||||||||||||
— | — | — | 1,687,147 | 1,957,000 | 164,400 | 120,000 | — | ||||||||||||||||||||||||||
— | — | — | — | 565 | — | — | 3,024 | ||||||||||||||||||||||||||
— | — | — | 2,680,691 | — | — | — | — | ||||||||||||||||||||||||||
— | — | — | — | — | 79,906 | — | — | ||||||||||||||||||||||||||
— | — | — | — | — | 7,329 | — | — | ||||||||||||||||||||||||||
— | — | — | — | — | 6,916 | — | — | ||||||||||||||||||||||||||
— | — | 620,139 | 952,121 | — | — | — | — | ||||||||||||||||||||||||||
646,160 | 1,075,516 | — | — | 160,992 | 12,230 | 3,259 | 116,073 | ||||||||||||||||||||||||||
21,958 | 5,839 | 7,236 | 36,688 | — | — | — | 192,254 | ||||||||||||||||||||||||||
30,046,664 | 14,635,121 | 14,145,392 | 25,758,304 | 8,597,705 | 7,561,780 | 5,030,516 | 33,963,505 | ||||||||||||||||||||||||||
— | — | — | — | — | — | 3,639 | — | ||||||||||||||||||||||||||
— | — | — | — | — | — | 95,837 | — | ||||||||||||||||||||||||||
— | — | — | 171,804 | 151,962 | — | 5,000 | — | ||||||||||||||||||||||||||
441,224 | 219,389 | — | — | — | — | — | — | ||||||||||||||||||||||||||
44,935 | 829,369 | 544,280 | 501,506 | 15,420 | 21,214 | 37 | 23,424 | ||||||||||||||||||||||||||
19,872 | 8,233 | 9,854 | 18,814 | 5,615 | 4,786 | 5,450 | 25,023 | ||||||||||||||||||||||||||
6,624 | 2,744 | 3,285 | 5,226 | 1,872 | 1,330 | 1,514 | 7,360 | ||||||||||||||||||||||||||
6,624 | 2,744 | 3,285 | 5,226 | 1,872 | 1,330 | 1,514 | 7,360 | ||||||||||||||||||||||||||
2,650 | 1,098 | 1,314 | 2,090 | 749 | 532 | 606 | 2,944 | ||||||||||||||||||||||||||
874 | 363 | 445 | 690 | 247 | 176 | 200 | 982 | ||||||||||||||||||||||||||
— | — | — | 2,675,769 | — | — | — | — | ||||||||||||||||||||||||||
17,521 | 15,103 | 20,956 | 19,013 | 10,130 | 6,983 | 8,758 | 24,385 | ||||||||||||||||||||||||||
540,324 | 1,079,043 | 583,419 | 3,400,138 | 187,867 | 36,351 | 122,555 | 91,478 | ||||||||||||||||||||||||||
$ | 29,506,340 | $ | 13,556,078 | $ | 13,561,973 | $ | 22,358,166 | $ | 8,409,838 | $ | 7,525,429 | $ | 4,907,961 | $ | 33,872,027 | ||||||||||||||||||
$ | 33,701,037 | $ | 19,869,133 | $ | 18,375,402 | $ | 36,433,053 | $ | 15,856,521 | $ | 10,305,067 | $ | 6,791,387 | $ | 44,543,369 | ||||||||||||||||||
141,796 | — | — | 169,255 | — | — | — | 575,245 | ||||||||||||||||||||||||||
(6,796,163 | ) | (8,944,758 | ) | (6,799,635 | ) | (17,715,863 | ) | (7,615,804 | ) | (3,001,144 | ) | (1,657,338 | ) | (20,312,460 | ) | ||||||||||||||||||
2,459,670 | 2,631,703 | 1,986,206 | 3,471,721 | 169,121 | 221,506 | (226,088 | ) | 9,065,873 | |||||||||||||||||||||||||
$ | 29,506,340 | $ | 13,556,078 | $ | 13,561,973 | $ | 22,358,166 | $ | 8,409,838 | $ | 7,525,429 | $ | 4,907,961 | $ | 33,872,027 | ||||||||||||||||||
441,541 | 569,000 | 166,367 | 1,336,358 | 452,843 | 1,093,374 | 183,484 | 1,580,186 | ||||||||||||||||||||||||||
$66.83 | $23.82 | $81.52 | $16.73 | $18.57 | $6.88 | $26.75 | $21.44 | ||||||||||||||||||||||||||
$ | 26,918,876 | $ | 10,922,063 | $ | 11,531,811 | $ | 17,171,301 | $ | 6,479,148 | $ | 7,290,999 | $ | 4,907,257 | $ | 24,586,281 | ||||||||||||||||||
— | — | — | 2,748,892 | — | — | — | — |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 135 |
STATEMENTS OF ASSETS AND LIABILITIES (concluded) December 31, 2009
Inverse | ||||||||||||
Government | Government | U.S. | ||||||||||
Long Bond 1.2x | Long Bond | Government | ||||||||||
Strategy | Strategy | Money Market | ||||||||||
Fund | Fund | Fund | ||||||||||
Assets | ||||||||||||
Investment Securities | $ | 18,475,318 | $ | 5,999,946 | $ | 104,962,039 | ||||||
Repurchase Agreements | 9,614,325 | 30,859,154 | 134,969,526 | |||||||||
Total Investments | 28,089,643 | 36,859,100 | 239,931,565 | |||||||||
Segregated Cash with Broker | 849,600 | 158,400 | — | |||||||||
Variation Margin on Futures Contracts | — | 30,938 | — | |||||||||
Receivable for Securities Sold | 114,825 | 114,825 | — | |||||||||
Receivable for Fund Shares Sold | 1,237,180 | 7,026,433 | 51,573 | |||||||||
Other Assets | 55,290 | 725 | 227 | |||||||||
Total Assets | 30,346,538 | 44,190,421 | 239,983,365 | |||||||||
Liabilities | ||||||||||||
Short Sales at Market Value* | — | 16,075,500 | — | |||||||||
Variation Margin on Futures Contracts | 165,937 | — | — | |||||||||
Payable for Fund Shares Redeemed | 6,013,050 | 24,728 | 8,179,678 | |||||||||
Investment Advisory Fees Payable | 14,823 | 16,832 | 185 | |||||||||
Transfer Agent and Administrative Fees Payable | 5,929 | 4,676 | 42,255 | |||||||||
Distribution and Service Fees Payable | 7,411 | 4,676 | 52,818 | |||||||||
Portfolio Accounting Fees Payable | 2,965 | 1,870 | 21,127 | |||||||||
Custody Fees Payable | 1,221 | 687 | 6,972 | |||||||||
Interest Payable | 723 | 724 | — | |||||||||
Short Sales Interest Payable | — | 100,794 | — | |||||||||
Other Accrued Fees | 42,789 | 20,108 | 229,015 | |||||||||
Total Liabilities | 6,254,848 | 16,250,595 | 8,532,050 | |||||||||
Net Assets | $ | 24,091,690 | $ | 27,939,826 | $ | 231,451,315 | ||||||
Net Assets Consist Of | ||||||||||||
Paid-In Capital | $ | 31,738,044 | $ | 39,322,286 | $ | 231,436,062 | ||||||
Undistributed Net Investment Income (Loss) | 7,398 | — | 7,493 | |||||||||
Accumulated Net Realized Gain (Loss) on Investments | (7,341,031 | ) | (12,489,744 | ) | 7,760 | |||||||
Net Unrealized Appreciation (Depreciation) on Investments | (312,721 | ) | 1,107,284 | — | ||||||||
Net Assets | $ | 24,091,690 | $ | 27,939,826 | $ | 231,451,315 | ||||||
Shares Outstanding | 3,655,136 | 1,720,687 | 231,455,663 | |||||||||
Net Asset Values | $ | 6.59 | $ | 16.24 | $ | 1.00 | ||||||
Cost of Investments | $ | 28,086,342 | $ | 36,859,100 | $ | 239,931,565 | ||||||
*Proceeds from Short Sales | — | 16,907,002 | — |
136 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
STATEMENTS OF OPERATIONS Year Ended December 31, 2009
Inverse | Inverse | |||||||||||||||
S&P 500 | NASDAQ-100® | |||||||||||||||
Nova | Strategy | NASDAQ-100® | Strategy | |||||||||||||
Fund | Fund | Fund | Fund | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 10,590 | $ | 63,249 | $ | 8,279 | $ | 22,656 | ||||||||
Dividends, Net of Foreign Tax Withheld | 666,827 | — | 313,238 | — | ||||||||||||
Other Income | — | — | — | — | ||||||||||||
Total Income | 677,417 | 63,249 | 321,517 | 22,656 | ||||||||||||
Expenses | ||||||||||||||||
Investment Advisory Fees | 292,811 | 365,060 | 369,751 | 145,277 | ||||||||||||
Transfer Agent and Administrative Fees | 97,604 | 101,406 | 123,251 | 40,355 | ||||||||||||
Audit and Outside Service Fees | 54,067 | 59,175 | 62,243 | 22,926 | ||||||||||||
Portfolio Accounting Fees | 39,041 | 40,562 | 49,300 | 16,142 | ||||||||||||
Short Sales Dividend Expense | — | — | — | 110 | ||||||||||||
Trustees’ Fees* | 4,592 | 5,573 | 5,369 | 2,086 | ||||||||||||
Shareholder Service Fees | 97,604 | 101,406 | 123,251 | 40,355 | ||||||||||||
Custody Fees | 10,716 | 11,249 | 13,488 | 4,431 | ||||||||||||
Miscellaneous | 6,963 | 11,388 | 33,662 | 9,407 | ||||||||||||
Total Expenses | 603,398 | 695,819 | 780,315 | 281,089 | ||||||||||||
Net Investment Income (Loss) | 74,019 | (632,570 | ) | (458,798 | ) | (258,433 | ) | |||||||||
Realized and Unrealized Gain (Loss) on Investments | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investment Securities | (5,291,526 | ) | — | (597,662 | ) | — | ||||||||||
Equity Index Swaps | 5,087,914 | (8,811,425 | ) | 1,115,672 | (7,125,122 | ) | ||||||||||
Futures Contracts | 2,082,412 | (4,380,173 | ) | 616,153 | (2,110,411 | ) | ||||||||||
Total Net Realized Gain (Loss) | 1,878,800 | (13,191,598 | ) | 1,134,163 | (9,235,533 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investment Securities | 11,195,512 | — | 19,813,901 | — | ||||||||||||
Equity Index Swaps | 332,459 | (358,375 | ) | 13,570 | (490,026 | ) | ||||||||||
Futures Contracts | (395,608 | ) | 34,445 | 14,216 | (56,854 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) | 11,132,363 | (323,930 | ) | 19,841,687 | (546,880 | ) | ||||||||||
Net Gain (Loss) on Investments | 13,011,163 | (13,515,528 | ) | 20,975,850 | (9,782,413 | ) | ||||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 13,085,182 | $ | (14,148,098 | ) | $ | 20,517,052 | $ | (10,040,846 | ) | ||||||
Foreign Tax Withheld | $ | — | $ | — | $ | 1,301 | $ | — |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 137 |
STATEMENTS OF OPERATIONS (continued)
Inverse | ||||||||||||||||
S&P 500 | NASDAQ-100® | Mid-Cap | Mid-Cap | |||||||||||||
2x Strategy | 2x Strategy | 1.5x Strategy | Strategy | |||||||||||||
Fund | Fund | Fund | Fund | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 10,084 | $ | 9,807 | $ | 3,752 | $ | 5,370 | ||||||||
Dividends, Net of Foreign Tax Withheld | 288,623 | 142,272 | 104,832 | — | ||||||||||||
Other Income | — | — | — | — | ||||||||||||
Total Income | 298,707 | 152,079 | 108,584 | 5,370 | ||||||||||||
Expenses | ||||||||||||||||
Investment Advisory Fees | 190,936 | 247,769 | 87,211 | 35,728 | ||||||||||||
Transfer Agent and Administrative Fees | 53,038 | 68,825 | 24,225 | 9,924 | ||||||||||||
Audit and Outside Service Fees | 30,373 | 36,863 | 18,371 | 6,100 | ||||||||||||
Portfolio Accounting Fees | 21,215 | 27,530 | 9,690 | 3,970 | ||||||||||||
Trustees’ Fees* | 2,707 | 3,170 | 1,557 | 531 | ||||||||||||
Shareholder Service Fees | 53,038 | 68,825 | 24,225 | 9,924 | ||||||||||||
Custody Fees | 6,177 | 8,683 | 2,777 | 1,091 | ||||||||||||
Miscellaneous | 3,947 | 16,970 | (3,130 | ) | 424 | |||||||||||
Total Expenses | 361,431 | 478,635 | 164,926 | 67,692 | ||||||||||||
Net Investment Income (Loss) | (62,724 | ) | (326,556 | ) | (56,342 | ) | (62,322 | ) | ||||||||
Realized and Unrealized Gain (Loss) on Investments | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investment Securities | (1,551,010 | ) | 63,901 | (1,455,306 | ) | (20 | ) | |||||||||
Equity Index Swaps | 3,724,324 | 5,079,314 | 707,346 | (1,325,600 | ) | |||||||||||
Futures Contracts | 745,929 | 5,197,505 | (266,662 | ) | (368,464 | ) | ||||||||||
Total Net Realized Gain (Loss) | 2,919,243 | 10,340,720 | (1,014,622 | ) | (1,694,084 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investment Securities | 2,869,013 | 7,989,421 | 2,878,487 | — | ||||||||||||
Equity Index Swaps | (129,754 | ) | 979,942 | 321,197 | (64,394 | ) | ||||||||||
Futures Contracts | (566,002 | ) | 349,193 | (331,414 | ) | 104,610 | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) | 2,173,257 | 9,318,556 | 2,868,270 | 40,216 | ||||||||||||
Net Gain (Loss) on Investments | 5,092,500 | 19,659,276 | 1,853,648 | (1,653,868 | ) | |||||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 5,029,776 | $ | 19,332,720 | $ | 1,797,306 | $ | (1,716,190 | ) | |||||||
Foreign Tax Withheld | $ | — | $ | 622 | $ | — | $ | — |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
138 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
Year Ended December 31, 2009
Inverse | Inverse | S&P | |||||||||||||||||||||||||||||||
Russell 2000® | Russell 2000® | Russell 2000® | Dow 2x | Dow 2x | S&P 500 | S&P 500 | MidCap 400 | ||||||||||||||||||||||||||
2x Strategy | 1.5x Strategy | Strategy | Strategy | Strategy | Pure Growth | Pure Value | Pure Growth | ||||||||||||||||||||||||||
Fund | Fund | Fund | Fund | Fund | Fund | Fund | Fund | ||||||||||||||||||||||||||
$ | 2,180 | $ | 5,018 | $ | 12,337 | $ | 5,380 | $ | 30,150 | $ | 151 | $ | 90 | $ | 344 | ||||||||||||||||||
21,764 | 100,729 | — | 337,947 | — | 210,540 | 425,560 | 141,980 | ||||||||||||||||||||||||||
— | — | — | — | — | (236 | ) | 337 | — | |||||||||||||||||||||||||
23,944 | 105,747 | 12,337 | 343,327 | 30,150 | 210,455 | 425,987 | 142,324 | ||||||||||||||||||||||||||
27,945 | 106,256 | 88,854 | 139,160 | 208,102 | 155,126 | 118,283 | 200,022 | ||||||||||||||||||||||||||
7,763 | 29,516 | 24,682 | 38,656 | 57,806 | 51,709 | 39,427 | 66,674 | ||||||||||||||||||||||||||
4,471 | 18,909 | 13,205 | 18,726 | 22,661 | 27,556 | 23,037 | 31,882 | ||||||||||||||||||||||||||
3,105 | 11,806 | 9,873 | 15,462 | 23,122 | 20,683 | 15,771 | 26,670 | ||||||||||||||||||||||||||
395 | 1,614 | 1,082 | 1,882 | 2,176 | 2,341 | 1,783 | 2,601 | ||||||||||||||||||||||||||
7,763 | 29,516 | 24,681 | 38,656 | 57,806 | 51,709 | 39,427 | 66,674 | ||||||||||||||||||||||||||
1,190 | 3,300 | 2,713 | 4,683 | 6,318 | 5,948 | 4,599 | 7,316 | ||||||||||||||||||||||||||
1,336 | 2,812 | 4,706 | 11,977 | 21,652 | 4,448 | (858 | ) | 8,460 | |||||||||||||||||||||||||
53,968 | 203,729 | 169,796 | 269,202 | 399,643 | 319,520 | 241,469 | 410,299 | ||||||||||||||||||||||||||
(30,024 | ) | (97,982 | ) | (157,459 | ) | 74,125 | (369,493 | ) | (109,065 | ) | 184,518 | (267,975 | ) | ||||||||||||||||||||
(760,717 | ) | (754,601 | ) | — | (4,103,159 | ) | — | 3,936,220 | 2,815,545 | 4,202,297 | |||||||||||||||||||||||
162,646 | 1,513,868 | (3,249,482 | ) | 1,805,810 | (13,069,543 | ) | — | — | — | ||||||||||||||||||||||||
38,362 | (41,556 | ) | (2,664,249 | ) | (2,398,558 | ) | (3,151,549 | ) | — | — | — | ||||||||||||||||||||||
(559,709 | ) | 717,711 | (5,913,731 | ) | (4,695,907 | ) | (16,221,092 | ) | 3,936,220 | 2,815,545 | 4,202,297 | ||||||||||||||||||||||
594,971 | 1,540,698 | — | 3,418,261 | — | 4,451,465 | 2,503,349 | 7,659,593 | ||||||||||||||||||||||||||
(164,374 | ) | (221,288 | ) | 39,232 | 162,016 | 72,754 | — | — | — | ||||||||||||||||||||||||
35,157 | (270,853 | ) | 61,600 | (720,892 | ) | 305,208 | — | — | — | ||||||||||||||||||||||||
465,754 | 1,048,557 | 100,832 | 2,859,385 | 377,962 | 4,451,465 | 2,503,349 | 7,659,593 | ||||||||||||||||||||||||||
(93,955 | ) | 1,766,268 | (5,812,899 | ) | (1,836,522 | ) | (15,843,130 | ) | 8,387,685 | 5,318,894 | 11,861,890 | ||||||||||||||||||||||
$ | (123,979 | ) | $ | 1,668,286 | $ | (5,970,358 | ) | $ | (1,762,397 | ) | $ | (16,212,623 | ) | $ | 8,278,620 | $ | 5,503,412 | $ | 11,593,915 | ||||||||||||||
$ | 3 | $ | 13 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 139 |
STATEMENTS OF OPERATIONS (concluded)
S&P | S&P | S&P | ||||||||||||||
MidCap 400 | SmallCap 600 | SmallCap 600 | Europe 1.25x | |||||||||||||
Pure Value | Pure Growth | Pure Value | Strategy | |||||||||||||
Fund | Fund | Fund | Fund | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 63 | $ | 148 | $ | 167 | $ | 2,796 | ||||||||
Dividends | 384,250 | 59,330 | 232,115 | 392,730 | ||||||||||||
Other Income | — | — | — | — | ||||||||||||
Total Income | 384,313 | 59,478 | 232,282 | 395,526 | ||||||||||||
Expenses | ||||||||||||||||
Investment Advisory Fees | 118,630 | 104,648 | 147,825 | 137,426 | ||||||||||||
Transfer Agent and Administrative Fees | 39,543 | 34,883 | 49,275 | 38,174 | ||||||||||||
Audit and Outside Service Fees | 19,517 | 19,434 | 23,190 | 24,066 | ||||||||||||
Portfolio Accounting Fees | 15,817 | 13,953 | 19,710 | 15,270 | ||||||||||||
Short Sales Interest Expense | — | — | — | — | ||||||||||||
Trustees’ Fees* | 1,490 | 1,699 | 1,919 | 1,890 | ||||||||||||
Shareholder Service Fees | 39,543 | 34,883 | 49,275 | 38,174 | ||||||||||||
Custody Fees | 4,359 | 3,919 | 5,421 | 4,172 | ||||||||||||
Miscellaneous | 3,618 | 2,943 | 7,690 | (29 | ) | |||||||||||
Total Expenses | 242,517 | 216,362 | 304,305 | 259,143 | ||||||||||||
Less Expenses Waived by Service Company | — | — | — | — | ||||||||||||
Less Expenses Waived by Distributor | — | — | — | — | ||||||||||||
Less Expenses Waived by Advisor | — | — | — | — | ||||||||||||
Total Waived Expenses | — | — | — | — | ||||||||||||
Net Expenses | — | — | — | — | ||||||||||||
Net Investment Income (Loss) | 141,796 | (156,884 | ) | (72,023 | ) | 136,383 | ||||||||||
Realized and Unrealized Gain (Loss) on Investments | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investment Securities | 2,805,164 | 1,103,692 | 6,577,669 | (1,091,550 | ) | |||||||||||
Currency Index Swaps | — | — | — | — | ||||||||||||
Futures Contracts | — | — | — | 2,689,542 | ||||||||||||
Foreign Currency | — | — | — | 32,873 | ||||||||||||
Total Net Realized Gain (Loss) | 2,805,164 | 1,103,692 | 6,577,669 | 1,630,865 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investment Securities | 3,258,696 | 1,459,565 | 1,753,036 | 2,510,925 | ||||||||||||
Currency Index Swaps | — | — | — | — | ||||||||||||
Futures Contracts | — | — | — | (179,106 | ) | |||||||||||
Foreign Currency | — | — | — | (68,201 | ) | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) | 3,258,696 | 1,459,565 | 1,753,036 | 2,263,618 | ||||||||||||
Net Gain (Loss) on Investments | 6,063,860 | 2,563,257 | 8,330,705 | 3,894,483 | ||||||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 6,205,656 | $ | 2,406,373 | $ | 8,258,682 | $ | 4,030,866 | ||||||||
Foreign Tax Withheld | $ | — | $ | — | $ | — | $ | 24,027 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
140 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
Year Ended December 31, 2009
Inverse | |||||||||||||||||||||||||||||
Strengthening | Weakening | Government | Government | U.S. | |||||||||||||||||||||||||
Japan 2x | Dollar 2x | Dollar 2x | Long Bond 1.2x | Long Bond | Government | ||||||||||||||||||||||||
Strategy | Strategy | Strategy | Real Estate | Strategy | Strategy | Money Market | |||||||||||||||||||||||
Fund | Fund | Fund | Fund | Fund | Fund | Fund | |||||||||||||||||||||||
$ | 9,432 | $ | 8,540 | $ | 9,752 | $ | 94 | $ | 1,270,878 | $ | 27,298 | $ | 1,692,905 | ||||||||||||||||
— | — | — | 910,715 | — | — | — | |||||||||||||||||||||||
— | — | — | — | — | — | — | |||||||||||||||||||||||
9,432 | 8,540 | 9,752 | 910,809 | 1,270,878 | 27,298 | 1,692,905 | |||||||||||||||||||||||
73,291 | 53,579 | 67,794 | 174,059 | 179,542 | 183,318 | 1,506,829 | |||||||||||||||||||||||
23,234 | 14,883 | 18,832 | 51,194 | 71,817 | 50,922 | 602,734 | |||||||||||||||||||||||
13,999 | 10,412 | 12,221 | 32,921 | 66,905 | 24,379 | 480,083 | |||||||||||||||||||||||
9,294 | 5,953 | 7,532 | 20,477 | 35,908 | 20,369 | 287,178 | |||||||||||||||||||||||
— | — | — | — | — | 105,620 | — | |||||||||||||||||||||||
1,211 | 925 | 1,047 | 2,630 | 5,885 | 2,265 | 44,278 | |||||||||||||||||||||||
23,234 | 14,883 | 18,832 | 51,194 | 89,771 | 50,922 | 753,415 | |||||||||||||||||||||||
2,527 | 1,653 | 2,051 | 5,742 | 11,015 | 5,665 | 81,747 | |||||||||||||||||||||||
739 | (703 | ) | (443 | ) | (2,654 | ) | (9,493 | ) | 7,880 | 66,709 | |||||||||||||||||||
147,529 | 101,585 | 127,866 | 335,563 | 451,350 | 451,340 | 3,822,973 | |||||||||||||||||||||||
— | — | — | — | — | — | (240,380 | ) | ||||||||||||||||||||||
— | — | — | — | — | — | (699,535 | ) | ||||||||||||||||||||||
— | — | — | — | — | — | (1,251,308 | ) | ||||||||||||||||||||||
— | — | — | — | — | — | (2,191,223 | ) | ||||||||||||||||||||||
— | — | — | — | 451,350 | 451,340 | (1,631,750 | ) | ||||||||||||||||||||||
(138,097 | ) | (93,045 | ) | (118,114 | ) | 575,246 | 819,528 | (424,042 | ) | 61,155 | |||||||||||||||||||
— | — | — | (3,131,780 | ) | (5,493,288 | ) | 232,656 | 7,951 | |||||||||||||||||||||
— | (1,046,763 | ) | (75,160 | ) | — | — | — | — | |||||||||||||||||||||
2,016,139 | (962,573 | ) | 1,040,647 | — | 489,336 | 2,529,421 | — | ||||||||||||||||||||||
— | — | — | — | — | — | — | |||||||||||||||||||||||
2,016,139 | (2,009,336 | ) | 965,487 | (3,131,780 | ) | (5,003,952 | ) | 2,762,077 | 7,951 | ||||||||||||||||||||
— | — | — | 8,199,313 | (7,934,323 | ) | 832,665 | — | ||||||||||||||||||||||
— | 181,738 | 47,105 | — | — | — | — | |||||||||||||||||||||||
(810,156 | ) | 590,562 | (806,123 | ) | — | (4,106,569 | ) | 102,192 | — | ||||||||||||||||||||
— | — | — | — | — | — | — | |||||||||||||||||||||||
(810,156 | ) | 772,300 | (759,018 | ) | 8,199,313 | (12,040,892 | ) | 934,857 | — | ||||||||||||||||||||
1,205,983 | (1,237,036 | ) | 206,469 | 5,067,533 | (17,044,844 | ) | 3,696,934 | 7,951 | |||||||||||||||||||||
$ | 1,067,886 | $ | (1,330,081 | ) | $ | 88,355 | $ | 5,642,779 | $ | (16,225,316 | ) | $ | 3,272,892 | $ | 69,106 | ||||||||||||||
$ | — | $ | — | $ | — | $ | 4,609 | $ | — | $ | — | $ | — |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 141 |
STATEMENTS OF CHANGES IN NET ASSETS
Inverse S&P 500 | ||||||||||||||||
Nova Fund | Strategy Fund | |||||||||||||||
Year | Year | Year | Year | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
December 31, | December 31, | December 31 | December 31, | |||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
From Operations | ||||||||||||||||
Net Investment Income (Loss) | $ | 74,019 | $ | 410,874 | $ | (632,570 | ) | $ | (73,398 | ) | ||||||
Net Realized Gain (Loss) on Investments | 1,878,800 | (28,900,452 | ) | (13,191,598 | ) | 23,820,454 | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 11,132,363 | (9,253,855 | ) | (323,930 | ) | (212,756 | ) | |||||||||
Net Increase (Decrease) in Net Assets from Operations | 13,085,182 | (37,743,433 | ) | (14,148,098 | ) | 23,534,300 | ||||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net Investment Income | (406,451 | ) | (223,114 | ) | — | (172,209 | ) | |||||||||
Total Distributions to Shareholders | (406,451 | ) | (223,114 | ) | — | (172,209 | ) | |||||||||
Share Transactions | ||||||||||||||||
Proceeds from Shares Purchased | 134,124,276 | 189,555,477 | 547,161,771 | 1,047,740,031 | ||||||||||||
Value of Shares Purchased through Dividend Reinvestment | 406,451 | 223,114 | — | 172,209 | ||||||||||||
Cost of Shares Redeemed | (131,735,686 | ) | (198,916,487 | ) | (533,926,936 | ) | (1,069,928,756 | ) | ||||||||
Net Increase (Decrease) in Net Assets From Share Transactions | 2,795,041 | (9,137,896 | ) | 13,234,835 | (22,016,516 | ) | ||||||||||
Capital Contribution from Advisor | — | — | — | 950,611 | ||||||||||||
Net Increase (Decrease) in Net Assets | 15,473,772 | (47,104,443 | ) | (913,263 | ) | 2,296,186 | ||||||||||
Net Assets—Beginning of Period | 35,086,883 | 82,191,326 | 23,877,495 | 21,581,309 | ||||||||||||
Net Assets—End of Period | $ | 50,560,655 | $ | 35,086,883 | $ | 22,964,232 | $ | 23,877,495 | ||||||||
Undistributed Net Investment Income (Loss)—End of Period | $ | 74,019 | $ | 410,874 | $ | — | $ | — | ||||||||
142 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
Inverse NASDAQ-100® | S&P 500 | NASDAQ-100® | |||||||||||||||||||||||||||||||
NASDAQ-100®Fund | Strategy Fund | 2x Strategy Fund | 2x Strategy Fund | ||||||||||||||||||||||||||||||
Year | Year | Year | Year | Year | Year | Year | Year | ||||||||||||||||||||||||||
Ended | Ended | Ended | Ended | Ended | Ended | Ended | Ended | ||||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | ||||||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | ||||||||||||||||||||||||||
$ | (458,798 | ) | $ | (342,309 | ) | $ | (258,433 | ) | $ | 16,229 | $ | (62,724 | ) | $ | 158,278 | $ | (326,556 | ) | $ | (188,405 | ) | ||||||||||||
1,134,163 | (10,909,643 | ) | (9,235,533 | ) | 8,517,408 | 2,919,243 | (30,556,220 | ) | 10,340,720 | (33,477,320 | ) | ||||||||||||||||||||||
19,841,687 | (17,937,578 | ) | (546,880 | ) | (105,566 | ) | 2,173,257 | (1,174,945 | ) | 9,318,556 | (7,713,199 | ) | |||||||||||||||||||||
20,517,052 | (29,189,530 | ) | (10,040,846 | ) | 8,428,071 | 5,029,776 | (31,572,887 | ) | 19,332,720 | (41,378,924 | ) | ||||||||||||||||||||||
— | (77,200 | ) | (16,229 | ) | (66,793 | ) | (155,985 | ) | — | — | (42,494 | ) | |||||||||||||||||||||
— | (77,200 | ) | (16,229 | ) | (66,793 | ) | (155,985 | ) | — | — | (42,494 | ) | |||||||||||||||||||||
202,045,190 | 235,783,846 | 380,006,882 | 350,204,615 | 637,340,527 | 359,293,713 | 321,577,003 | 379,346,745 | ||||||||||||||||||||||||||
— | 77,200 | 16,229 | 66,793 | 155,985 | — | — | 42,494 | ||||||||||||||||||||||||||
(198,006,463 | ) | (256,100,482 | ) | (367,784,743 | ) | (360,145,407 | ) | (640,011,548 | ) | (337,636,561 | ) | (328,145,035 | ) | (379,689,311 | ) | ||||||||||||||||||
4,038,727 | (20,239,436 | ) | 12,238,368 | (9,873,999 | ) | (2,515,036 | ) | 21,657,152 | (6,568,032 | ) | (300,072 | ) | |||||||||||||||||||||
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
24,555,779 | (49,506,166 | ) | 2,181,293 | (1,512,721 | ) | 2,358,755 | (9,915,735 | ) | 12,764,688 | (41,721,490 | ) | ||||||||||||||||||||||
32,986,330 | 82,492,496 | 12,127,366 | 13,640,087 | 26,513,187 | 36,428,922 | 23,347,492 | 65,068,982 | ||||||||||||||||||||||||||
$ | 57,542,109 | $ | 32,986,330 | $ | 14,308,659 | $ | 12,127,366 | $ | 28,871,942 | $ | 26,513,187 | $ | 36,112,180 | $ | 23,347,492 | ||||||||||||||||||
$ | — | $ | — | $ | — | $ | 16,229 | $ | — | $ | 158,278 | $ | — | $ | — | ||||||||||||||||||
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 143 |
STATEMENTS OF CHANGES IN NET ASSETS (continued)
Mid-Cap | Inverse Mid-Cap | |||||||||||||||
1.5x Strategy Fund | Strategy Fund | |||||||||||||||
Year | Year | Year | Year | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
FROM OPERATIONS | ||||||||||||||||
Net Investment Income (Loss) | $ | (56,342 | ) | $ | 13,700 | $ | (62,322 | ) | $ | 6,614 | ||||||
Net Realized Gain (Loss) on Investments | (1,014,622 | ) | (8,844,290 | ) | (1,694,084 | ) | 612,047 | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 2,868,270 | (1,351,147 | ) | 40,216 | (243,768 | ) | ||||||||||
Net Increase (Decrease) in Net Assets from Operations | 1,797,306 | (10,181,737 | ) | (1,716,190 | ) | 374,893 | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||||||||||
Net Investment Income | (7,999 | ) | — | — | (30,085 | ) | ||||||||||
Total Distributions to Shareholders | (7,999 | ) | — | — | (30,085 | ) | ||||||||||
SHARE TRANSACTIONS | ||||||||||||||||
Proceeds from Shares Purchased | 69,736,981 | 102,921,383 | 42,842,573 | 60,317,135 | ||||||||||||
Value of Shares Purchased through Dividend Reinvestment | 7,999 | — | — | 30,085 | ||||||||||||
Cost of Shares Redeemed | (70,308,441 | ) | (107,482,610 | ) | (41,261,796 | ) | (58,908,702 | ) | ||||||||
Net Increase (Decrease) in Net Assets From Share Transactions | (563,461 | ) | (4,561,227 | ) | 1,580,777 | 1,438,518 | ||||||||||
Net Increase (Decrease) in Net Assets | 1,225,846 | (14,742,964 | ) | (135,413 | ) | 1,783,326 | ||||||||||
NET ASSETS—BEGINNING OF PERIOD | 13,150,354 | 27,893,318 | 4,812,542 | 3,029,216 | ||||||||||||
NET ASSETS—END OF PERIOD | $ | 14,376,200 | $ | 13,150,354 | $ | 4,677,129 | $ | 4,812,542 | ||||||||
Undistributed Net Investment Income (Loss)—End of Period | $ | — | $ | 13,700 | $ | — | $ | — | ||||||||
144 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
Russell 2000® | Russell 2000® | Inverse Russell 2000® | Dow 2x | ||||||||||||||||||||||||||||||
2x Strategy Fund | 1.5x Strategy Fund | Strategy Fund | Strategy Fund | ||||||||||||||||||||||||||||||
Year | Year | Year | Year | Year | Year | Year | Year | ||||||||||||||||||||||||||
Ended | Ended | Ended | Ended | Ended | Ended | Ended | Ended | ||||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | ||||||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | ||||||||||||||||||||||||||
$ | (30,024 | ) | $ | 2,245 | $ | (97,982 | ) | $ | 7,455 | $ | (157,459 | ) | $ | 24,887 | $ | 74,125 | $ | 259,851 | |||||||||||||||
(559,709 | ) | (4,069,001 | ) | 717,711 | (10,189,988 | ) | (5,913,731 | ) | 1,985,466 | (4,695,907 | ) | (20,232,026 | ) | ||||||||||||||||||||
465,754 | 39,813 | 1,048,557 | (57,299 | ) | 100,832 | (258,727 | ) | 2,859,385 | (4,158,392 | ) | |||||||||||||||||||||||
(123,979 | ) | (4,026,943 | ) | 1,668,286 | (10,239,832 | ) | (5,970,358 | ) | 1,751,626 | (1,762,397 | ) | (24,130,567 | ) | ||||||||||||||||||||
(317 | ) | (54,736 | ) | — | (24,991 | ) | — | (77,668 | ) | — | (405,000 | ) | |||||||||||||||||||||
(317 | ) | (54,736 | ) | — | (24,991 | ) | — | (77,668 | ) | — | (405,000 | ) | |||||||||||||||||||||
85,843,610 | 66,696,125 | 221,255,826 | 228,443,245 | 263,134,201 | 245,228,300 | 117,150,942 | 216,705,153 | ||||||||||||||||||||||||||
317 | 54,736 | — | 24,991 | — | 77,668 | — | 405,000 | ||||||||||||||||||||||||||
(85,489,820 | ) | (65,452,310 | ) | (226,315,344 | ) | (226,104,575 | ) | (253,508,341 | ) | (250,736,749 | ) | (131,877,098 | ) | (201,051,518 | ) | ||||||||||||||||||
354,107 | 1,298,551 | (5,059,518 | ) | 2,363,661 | 9,625,860 | (5,430,781 | ) | (14,726,156 | ) | 16,058,635 | |||||||||||||||||||||||
229,811 | (2,783,128 | ) | (3,391,232 | ) | (7,901,162 | ) | 3,655,502 | (3,756,823 | ) | (16,488,553 | ) | (8,476,932 | ) | ||||||||||||||||||||
3,421,476 | 6,204,604 | 13,978,327 | 21,879,489 | 7,777,844 | 11,534,667 | 36,347,864 | 44,824,796 | ||||||||||||||||||||||||||
$ | 3,651,287 | $ | 3,421,476 | $ | 10,587,095 | $ | 13,978,327 | $ | 11,433,346 | $ | 7,777,844 | $ | 19,859,311 | $ | 36,347,864 | ||||||||||||||||||
$ | (454 | ) | $ | 2,386 | $ | (2,724 | ) | $ | 7,619 | $ | — | $ | — | $ | 74,124 | $ | — | ||||||||||||||||
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 145 |
STATEMENTS OF CHANGES IN NET ASSETS (continued)
Inverse Dow 2x | S&P 500 | |||||||||||||||
Strategy Fund | Pure Growth Fund | |||||||||||||||
Year | Year | Year | Year | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
FROM OPERATIONS | ||||||||||||||||
Net Investment Income (Loss) | $ | (369,493 | ) | $ | (6,737 | ) | $ | (109,065 | ) | $ | (93,835 | ) | ||||
Net Realized Gain (Loss) on Investments | (16,221,092 | ) | 10,429,174 | 3,936,220 | (9,182,357 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 377,962 | (766,102 | ) | 4,451,465 | (2,461,497 | ) | ||||||||||
Net Increase (Decrease) in Net Assets from Operations | (16,212,623 | ) | 9,656,335 | 8,278,620 | (11,737,689 | ) | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||||||||||
Net Investment Income | — | (65,614 | ) | — | — | |||||||||||
Net Realized Gain on Investments | — | (4,005,690 | ) | — | — | |||||||||||
Total Distributions to Shareholders | — | (4,071,304 | ) | — | — | |||||||||||
SHARE TRANSACTIONS | ||||||||||||||||
Proceeds from Shares Purchased | 551,385,484 | 387,121,913 | 111,506,565 | 96,181,370 | ||||||||||||
Value of Shares Purchased through Dividend Reinvestment | — | 4,071,304 | — | — | ||||||||||||
Cost of Shares Redeemed | (528,855,256 | ) | (396,959,455 | ) | (98,511,301 | ) | (107,512,062 | ) | ||||||||
Net Increase (Decrease) in Net Assets From Share Transactions | 22,530,228 | (5,766,238 | ) | 12,995,264 | (11,330,692 | ) | ||||||||||
Net Increase (Decrease) in Net Assets | 6,317,605 | (181,207 | ) | 21,273,884 | (23,068,381 | ) | ||||||||||
NET ASSETS—BEGINNING OF PERIOD | 11,703,403 | 11,884,610 | 13,206,765 | 36,275,146 | ||||||||||||
NET ASSETS—END OF PERIOD | $ | 18,021,008 | $ | 11,703,403 | $ | 34,480,649 | $ | 13,206,765 | ||||||||
Undistributed Net Investment Income (Loss)—End of Period | $ | — | $ | — | $ | — | $ | — | ||||||||
146 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
S&P 500 | S&P MidCap 400 | S&P MidCap 400 | S&P SmallCap 600 | ||||||||||||||||||||||||||||||
Pure Value Fund | Pure Growth Fund | Pure Value Fund | Pure Growth Fund | ||||||||||||||||||||||||||||||
Year | Year | Year | Year | Year | Year | Year | Year | ||||||||||||||||||||||||||
Ended | Ended | Ended | Ended | Ended | Ended | Ended | Ended | ||||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | ||||||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | ||||||||||||||||||||||||||
$ | 184,518 | $ | 438,407 | $ | (267,975 | ) | $ | (207,818 | ) | $ | 141,796 | $ | 266,722 | $ | (156,884 | ) | $ | (5,119 | ) | ||||||||||||||
2,815,545 | (11,659,693 | ) | 4,202,297 | (6,088,855 | ) | 2,805,164 | (7,541,970 | ) | 1,103,692 | (6,099,762 | ) | ||||||||||||||||||||||
2,503,349 | 4,873 | 7,659,593 | (3,409,958 | ) | 3,258,696 | (785,062 | ) | 1,459,565 | (281,627 | ) | |||||||||||||||||||||||
5,503,412 | (11,216,413 | ) | 11,593,915 | (9,706,631 | ) | 6,205,656 | (8,060,310 | ) | 2,406,373 | (6,386,508 | ) | ||||||||||||||||||||||
(438,407 | ) | (173,272 | ) | — | — | (254,108 | ) | — | — | — | |||||||||||||||||||||||
— | (2,551,427 | ) | — | — | — | (1,633,526 | ) | — | — | ||||||||||||||||||||||||
(438,407 | ) | (2,724,699 | ) | — | — | (254,108 | ) | (1,633,526 | ) | — | — | ||||||||||||||||||||||
71,165,035 | 79,752,005 | 69,247,787 | 93,243,235 | 59,187,577 | 37,059,547 | 94,056,239 | 80,629,274 | ||||||||||||||||||||||||||
438,407 | 2,724,699 | — | — | 254,108 | 1,633,526 | — | — | ||||||||||||||||||||||||||
(58,296,047 | ) | (83,856,157 | ) | (47,618,481 | ) | (97,781,591 | ) | (43,481,930 | ) | (37,401,992 | ) | (96,624,009 | ) | (72,953,255 | ) | ||||||||||||||||||
13,307,395 | (1,379,453 | ) | 21,629,306 | (4,538,356 | ) | 15,959,755 | 1,291,081 | (2,567,770 | ) | 7,676,019 | |||||||||||||||||||||||
18,372,400 | (15,320,565 | ) | 33,223,221 | (14,244,987 | ) | 21,911,303 | (8,402,755 | ) | (161,397 | ) | 1,289,511 | ||||||||||||||||||||||
9,478,719 | 24,799,284 | 11,694,721 | 25,939,708 | 7,595,037 | 15,997,792 | 13,717,475 | 12,427,964 | ||||||||||||||||||||||||||
$ | 27,851,119 | $ | 9,478,719 | $ | 44,917,942 | $ | 11,694,721 | $ | 29,506,340 | $ | 7,595,037 | $ | 13,556,078 | $ | 13,717,475 | ||||||||||||||||||
$ | 184,518 | $ | 438,407 | $ | — | $ | — | $ | 141,796 | $ | 266,722 | $ | — | $ | — | ||||||||||||||||||
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 147 |
STATEMENTS OF CHANGES IN NET ASSETS (continued)
S&P SmallCap 600 | Europe | |||||||||||||||
Pure Value Fund | 1.25x Strategy Fund | |||||||||||||||
Year | Year | Year | Year | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
From Operations | ||||||||||||||||
Net Investment Income (Loss) | $ | (72,023 | ) | $ | 198,801 | $ | 136,383 | $ | 714,958 | |||||||
Net Realized Gain (Loss) on Investments | 6,577,669 | (10,574,577 | ) | 1,630,865 | (16,143,193 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 1,753,036 | (66,716 | ) | 2,263,618 | (5,799,986 | ) | ||||||||||
Net Increase (Decrease) in Net Assets from Operations | 8,258,682 | (10,442,492 | ) | 4,030,866 | (21,228,221 | ) | ||||||||||
Distributions to Shareholders From: | ||||||||||||||||
Net Investment Income | (195,475 | ) | (117,535 | ) | (517,215 | ) | (154,314 | ) | ||||||||
Net Realized Gain on Investments | — | — | — | (496,316 | ) | |||||||||||
Total Distributions to Shareholders | (195,475 | ) | (117,535 | ) | (517,215 | ) | (650,630 | ) | ||||||||
Share Transactions | ||||||||||||||||
Proceeds from Shares Purchased | 82,652,502 | 61,739,467 | 87,899,479 | 79,201,238 | ||||||||||||
Value of Shares Purchased through Dividend Reinvestment | 195,475 | 117,535 | 517,215 | 650,630 | ||||||||||||
Cost of Shares Redeemed | (87,659,469 | ) | (50,696,367 | ) | (82,107,657 | ) | (128,270,198 | ) | ||||||||
Net Increase (Decrease) in Net Assets From Share Transactions | (4,811,492 | ) | 11,160,635 | 6,309,037 | (48,418,330 | ) | ||||||||||
Net Increase (Decrease) in Net Assets | 3,251,715 | 600,608 | 9,822,688 | (70,297,181 | ) | |||||||||||
Net Assets—Beginning of Period | 10,310,258 | 9,709,650 | 12,535,478 | 82,832,659 | ||||||||||||
Net Assets—End of Period | $ | 13,561,973 | $ | 10,310,258 | $ | 22,358,166 | $ | 12,535,478 | ||||||||
Undistributed Net Investment Income (Loss)—End of Period | $ | — | $ | 198,801 | $ | 169,255 | $ | 517,214 | ||||||||
148 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
Japan | Strengthening Dollar | Weakening Dollar | Real Estate | ||||||||||||||||||||||||||||||
2x Strategy Fund | 2x Strategy Fund | 2x Strategy Fund | Fund | ||||||||||||||||||||||||||||||
Year | Year | Year | Year | Year | Year | Year | Year | ||||||||||||||||||||||||||
Ended | Ended | Ended | Ended | Ended | Ended | Ended | Ended | ||||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | ||||||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | ||||||||||||||||||||||||||
$ | (138,097 | ) | $ | 31,969 | $ | (93,045 | ) | $ | (30,887 | ) | $ | (118,114 | ) | $ | 31,122 | $ | 575,246 | $ | 761,295 | ||||||||||||||
2,016,139 | (6,666,124 | ) | (2,009,336 | ) | 1,551,763 | 965,487 | (2,614,899 | ) | (3,131,780 | ) | (13,156,711 | ) | |||||||||||||||||||||
(810,156 | ) | 1,520,735 | 772,300 | (666,753 | ) | (759,018 | ) | 782,280 | 8,199,313 | (4,120,215 | ) | ||||||||||||||||||||||
1,067,886 | (5,113,420 | ) | (1,330,081 | ) | 854,123 | 88,355 | (1,801,497 | ) | 5,642,779 | (16,515,631 | ) | ||||||||||||||||||||||
(31,969 | ) | (76,368 | ) | — | — | (2,390 | ) | — | (674,166 | ) | (158,229 | ) | |||||||||||||||||||||
— | — | (2,363,329 | ) | — | — | — | — | (1,593,470 | ) | ||||||||||||||||||||||||
(31,969 | ) | (76,368 | ) | (2,363,329 | ) | — | (2,390 | ) | — | (674,166 | ) | (1,751,699 | ) | ||||||||||||||||||||
69,313,593 | 82,969,661 | 101,503,797 | 72,985,664 | 59,861,148 | 83,354,318 | 111,717,937 | 91,378,382 | ||||||||||||||||||||||||||
31,969 | 76,368 | 2,363,329 | — | 2,390 | — | 674,166 | 1,751,699 | ||||||||||||||||||||||||||
(75,075,537 | ) | (80,320,566 | ) | (99,671,863 | ) | (70,821,866 | ) | (66,006,661 | ) | (84,166,541 | ) | (98,925,973 | ) | (91,182,051 | ) | ||||||||||||||||||
(5,729,975 | ) | 2,725,463 | 4,195,263 | 2,163,798 | (6,143,123 | ) | (812,223 | ) | 13,466,130 | 1,948,030 | |||||||||||||||||||||||
(4,694,058 | ) | (2,464,325 | ) | 501,853 | 3,017,921 | (6,057,158 | ) | (2,613,720 | ) | 18,434,743 | (16,319,300 | ) | |||||||||||||||||||||
13,103,896 | 15,568,221 | 7,023,576 | 4,005,655 | 10,965,119 | 13,578,839 | 15,437,284 | 31,756,584 | ||||||||||||||||||||||||||
$ | 8,409,838 | $ | 13,103,896 | $ | 7,525,429 | $ | 7,023,576 | $ | 4,907,961 | $ | 10,965,119 | $ | 33,872,027 | $ | 15,437,284 | ||||||||||||||||||
$ | — | $ | 31,969 | $ | — | $ | — | $ | — | $ | 2,388 | $ | 575,245 | $ | 761,295 | ||||||||||||||||||
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 149 |
STATEMENTS OF CHANGES IN NET ASSETS (concluded)
Government Long Bond | Inverse Government | |||||||||||||||
1.25x Strategy Fund | Long Bond Strategy Fund | |||||||||||||||
Year | Year | Year | Year | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
From Operations | ||||||||||||||||
Net Investment Income (Loss) | $ | 819,528 | $ | 1,614,871 | $ | (424,042 | ) | $ | (181,920 | ) | ||||||
Net Realized Gain (Loss) on Investments | (5,003,952 | ) | 15,787,577 | 2,762,077 | (4,483,885 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | (12,040,892 | ) | 9,919,553 | 934,857 | 211,755 | |||||||||||
Net Increase (Decrease) in Net Assets from Operations | (16,225,316 | ) | 27,322,001 | 3,272,892 | (4,454,050 | ) | ||||||||||
Distributions To Shareholders From: | ||||||||||||||||
Net Investment Income | (812,130 | ) | (1,614,871 | ) | — | (57,414 | ) | |||||||||
Net Realized Gain on Investments | (14,815,101 | ) | — | — | — | |||||||||||
Total Distributions to Shareholders | (15,627,231 | ) | (1,614,871 | ) | — | (57,414 | ) | |||||||||
Share Transactions | ||||||||||||||||
Proceeds from Shares Purchased | 381,138,369 | 474,352,681 | 325,040,627 | 319,401,142 | ||||||||||||
Value of Shares Purchased through Dividend Reinvestment | 15,627,099 | 1,614,871 | — | 57,414 | ||||||||||||
Cost of Shares Redeemed | (404,415,440 | ) | (490,330,030 | ) | (310,998,588 | ) | (321,933,649 | ) | ||||||||
Net Increase (Decrease) in Net Assets From Share Transactions | (7,649,972 | ) | (14,362,478 | ) | 14,042,039 | (2,475,093 | ) | |||||||||
Net Increase (Decrease) in Net Assets | (39,502,519 | ) | 11,344,652 | 17,314,931 | (6,986,557 | ) | ||||||||||
Net Assets—Beginning of Period | 63,594,209 | 52,249,557 | 10,624,895 | 17,611,452 | ||||||||||||
Net Assets—End of Period | $ | 24,091,690 | $ | 63,594,209 | $ | 27,939,826 | $ | 10,624,895 | ||||||||
Undistributed Net Investment Income (Loss)—End of Period | $ | 7,398 | $ | — | $ | — | $ | — | ||||||||
150 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
U.S. Government | |||||||||
Money Market Fund | |||||||||
Year | Year | ||||||||
Ended | Ended | ||||||||
December 31, | December 31, | ||||||||
2009 | 2008 | ||||||||
$ | 61,155 | $ | 3,944,200 | ||||||
7,951 | 77,579 | ||||||||
— | — | ||||||||
69,106 | 4,021,779 | ||||||||
(61,159 | ) | (3,944,200 | ) | ||||||
(76,221 | ) | — | |||||||
(137,380 | ) | (3,944,200 | ) | ||||||
1,108,889,448 | 1,084,838,242 | ||||||||
137,380 | 3,944,200 | ||||||||
(1,238,453,140 | ) | (1,005,259,657 | ) | ||||||
(129,426,312 | ) | 83,522,785 | |||||||
(129,494,586 | ) | 83,600,364 | |||||||
360,945,901 | 277,345,537 | ||||||||
$ | 231,451,315 | $ | 360,945,901 | ||||||
$ | 7,493 | $ | 7,497 | ||||||
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 151 |
FINANCIAL HIGHLIGHTS
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 Realized | Net Increase | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
NET ASSET | Net | and | (Decrease) | Distributions | Distributions | NET ASSET | Net | Net Assets, | ||||||||||||||||||||||||||||||||||||||||||||||||
VALUE, | Investment | Unrealized | in Net Asset | from Net | from Net | Other | VALUE, | Total | Investment | Portfolio | End of | |||||||||||||||||||||||||||||||||||||||||||||
BEGINNING | Income | Gains (Losses) | Value Resulting | Investment | Realized | Total | Capital | END OF | Investment | Total | Income | Turnover | Period (000’s | |||||||||||||||||||||||||||||||||||||||||||
Year Ended | OF PERIOD | (Loss)† | on Investments | from Operations | Income | Gains | Distributions | Items | PERIOD | Return†† | Expenses | (Loss) | Rate | omitted) | ||||||||||||||||||||||||||||||||||||||||||
Nova Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009††† | $ | 45.50 | $ | .09 | $ | 16.06 | $ | 16.15 | $ | (.49) | $ | — | $ | (.49) | — | $ | 61.16 | 35.51% | 1.55% | 0.19% | 84% | $ | 50,561 | |||||||||||||||||||||||||||||||||
December 31, 2008††† | 100.60 | .60 | (55.40) | (54.80) | (.30) | — | (.30) | — | 45.50 | (54.47)% | 1.52% | 0.75% | 182% | 35,087 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2007††† | 100.90 | 1.20 | — | 1.20 | (1.50) | — | (1.50) | — | 100.60 | 1.13% | 1.46% | 1.12% | 94% | 82,191 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2006††† | 85.60 | 1.10 | 15.40 | 16.50 | (1.20) | — | (1.20) | — | 100.90 | 19.27% | 1.48% | 1.18% | 211% | 134,477 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2005††† | 82.60 | .50 | 2.80 | 3.30 | (.30) | — | (.30) | — | 85.60 | 3.97% | 1.53% | 0.60% | 381% | 132,018 | ||||||||||||||||||||||||||||||||||||||||||
Inverse S&P 500 Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 58.44 | (.84) | (15.26) | (16.10) | — | — | — | — | 42.34 | (27.55)% | 1.72% | (1.57)% | — | 22,964 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 42.21 | (.07) | 16.17 | 16.10 | (.36) | — | (.36) | .495 | 58.44 | 39.25% | 1.67% | (0.14)% | — | 23,877 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2007††† | 43.90 | 1.35 | (1.00) | .35 | (2.04) | — | (2.04) | — | 42.21 | 0.83% | 1.63% | 3.04% | — | 21,581 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2006††† | 51.50 | 1.70 | (5.60) | (3.90) | (3.70) | — | (3.70) | — | 43.90 | (7.50)% | 1.63% | 3.29% | — | 19,025 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2005††† | 51.90 | .80 | (1.20) | (.40) | — | — | — | — | 51.50 | (0.77)% | 1.70% | 1.46% | — | 32,505 | ||||||||||||||||||||||||||||||||||||||||||
NASDAQ-100® Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 10.50 | (.12) | 5.58 | 5.46 | — | — | — | — | 15.96 | 52.00% | 1.59% | (0.94)% | 59% | 57,542 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 18.12 | (.09) | (7.51) | (7.60) | (.02) | — | (.02) | — | 10.50 | (41.91)% | 1.55% | (0.62)% | 107% | 32,986 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 15.39 | .03 | 2.71 | 2.74 | (.01) | — | (.01) | — | 18.12 | 17.82% | 1.51% | 0.18% | 110% | 82,492 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 14.55 | (.07) | .91 | .84 | — | — | — | — | 15.39 | 5.77% | 1.49% | (0.50)% | 152% | 72,871 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 14.39 | (.09) | .25 | .16 | — | — | — | — | 14.55 | 1.11% | 1.50% | (0.68)% | 294% | 102,487 | ||||||||||||||||||||||||||||||||||||||||||
Inverse NASDAQ-100® Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 25.05 | (.31) | (9.72) | (10.03) | (.02) | — | (.02) | — | 15.00 | (40.05)% | 1.75% | (1.61)% | — | 14,309 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 16.99 | .02 | 8.13 | 8.15 | (.09) | — | (.09) | — | 25.05 | 47.96% | 1.70% | 0.08% | — | 12,127 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 19.79 | .64 | (2.87) | (2.23) | (.57) | — | (.57) | — | 16.99 | (11.28)% | 1.68% | 3.40% | — | 13,640 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 21.51 | .74 | (1.07) | (.33) | (1.39) | — | (1.39) | — | 19.79 | (1.40)% | 1.64% | 3.35% | — | 23,929 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 21.24 | .33 | (.06) | .27 | — | — | — | — | 21.51 | 1.27% | 1.63% | 1.49% | — | 19,648 | ||||||||||||||||||||||||||||||||||||||||||
S&P 500 2x Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009††† | 61.59 | (.19) | 28.76 | 28.57 | (.51) | — | (.51) | — | 89.65 | 46.40% | 1.71% | (0.30)% | 204% | 28,872 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2008††† | 192.40 | .70 | (131.50) | (130.80) | — | — | — | — | 61.59 | (67.98)% | 1.67% | 0.56% | 305% | 26,513 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2007††† | 217.10 | 2.60 | (.80) | 1.80 | (2.30) | (24.20) | 26.50 | — | 192.40 | 0.61% | 1.62% | 1.12% | 104% | 36,429 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2006††† | 183.70 | 2.30 | 41.20 | 43.50 | (2.00) | (8.10) | (10.10) | — | 217.10 | 23.70% | 1.64% | 1.13% | 168% | 37,663 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2005††† | 198.30 | 1.00 | 5.30 | 6.30 | (.20) | (20.70) | (20.90) | — | 183.70 | 3.38% | 1.65% | 0.55% | 585% | 25,397 | ||||||||||||||||||||||||||||||||||||||||||
NASDAQ-100® 2x Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 8.20 | (.14) | 9.80 | 9.66 | — | — | — | — | 17.86 | 117.80% | 1.75% | (1.19)% | 80% | 36,112 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 29.98 | (.10) | (21.66) | (21.76) | (.02) | — | (.02) | — | 8.20 | (72.60)% | 1.72% | (0.53)% | 175% | 23,347 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 23.46 | .13 | 6.49 | 6.62 | (.10) | — | (.10) | — | 29.98 | 28.20% | 1.66% | 0.45% | 203% | 65,069 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 22.39 | .03 | 1.06 | 1.09 | (.02) | — | (.02) | — | 23.46 | 4.86% | 1.65% | 0.14% | 250% | 29,673 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 23.09 | (.09) | (.61) | (.70) | — | — | — | — | 22.39 | (3.03)% | 1.65% | (0.42)% | 343% | 44,313 | ||||||||||||||||||||||||||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 9.81 | (.07) | 5.22 | 5.15 | (.01) | — | (.01) | — | 14.95 | 52.40% | 1.71% | (0.58)% | 61% | 14,376 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 21.72 | .01 | (11.92) | (11.91) | — | — | — | — | 9.81 | (54.83)% | 1.66% | 0.07% | 163% | 13,150 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 24.20 | .28 | .65 | .93 | (.40) | (3.01) | (3.41) | — | 21.72 | 3.60% | 1.64% | 1.05% | 368% | 27,893 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 30.15 | .11 | 3.23 | 3.34 | (.13) | (9.16) | (9.29) | — | 24.20 | 10.46% | 1.64% | 0.34% | 478% | 38,986 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 26.50 | (.02) | 3.75 | 3.73 | — | (.08) | (.08) | — | 30.15 | 14.07% | 1.65% | (0.05)% | 573% | 51,197 |
152 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
FINANCIAL HIGHLIGHTS (continued)
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 Realized | Net Increase | |||||||||||||||||||||||||||||||||||||||||||||||||||
NET ASSET | Net | and | (Decrease) | Distributions | Distributions | NET ASSET | Net | Net Assets, | ||||||||||||||||||||||||||||||||||||||||||||
VALUE, | Investment | Unrealized | in Net Asset | from Net | from Net | VALUE, | Total | Investment | Portfolio | End of | ||||||||||||||||||||||||||||||||||||||||||
BEGINNING | Income | Gains (Losses) | Value Resulting | Investment | Realized | Total | END OF | Investment | Total | Income | Turnover | Period (000’s | ||||||||||||||||||||||||||||||||||||||||
Year Ended | OF PERIOD | (Loss)† | on Investments | from Operations | Income | Gains | Distributions | PERIOD | Return†† | Expenses | (Loss) | Rate | omitted) | |||||||||||||||||||||||||||||||||||||||
Inverse Mid-Cap Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | $ | 46.80 | $ | (.61) | $ | (15.90) | $ | (16.51) | $ | — | $ | — | $ | — | $ | 30.29 | (35.28)% | 1.71% | (1.58)% | — | $ | 4,677 | ||||||||||||||||||||||||||||||
December 31, 2008 | 35.03 | .05 | 12.04 | 12.09 | (.32) | — | (.32) | 46.80 | 34.42% | 1.67% | 0.12% | — | 4,813 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 36.96 | 1.06 | (1.81) | (.75) | (1.18) | — | (1.18) | 35.03 | (1.98)% | 1.67% | 3.04% | — | 3,029 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 39.15 | 1.32 | (2.83) | (1.51) | (.68) | — | (.68) | 36.96 | (3.83)% | 1.65% | 3.49% | — | 5,959 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 44.03 | .70 | (4.31) | (3.61) | (1.27) | — | (1.27) | 39.15 | (8.16)% | 1.64% | 1.65% | — | 2,846 | |||||||||||||||||||||||||||||||||||||||
Russell 2000® 2x Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009††† | 73.67 | (.67) | 27.08 | 26.41 | (.01) | — | (.01) | 100.07 | 35.85% | 1.75% | (0.97)% | 493% | 3,651 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008††† | 224.30 | .10 | (148.93) | (148.83) | (1.80) | — | (1.80) | 73.67 | (66.18)% | 1.68% | 0.06% | 347% | 3,421 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007††† | 259.70 | 2.50 | (35.20) | (32.70) | (.10) | (2.60) | (2.70) | 224.30 | (12.59)% | 1.64% | 0.95% | 174% | 6,205 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006†††* | 250.00 | .50 | 9.60 | 10.10 | (.40) | — | (.40) | 259.70 | 4.06% | 1.64% | ** | 1.02% | ** | 60% | 4,584 | |||||||||||||||||||||||||||||||||||||
Russell 2000® 1.5x Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 16.57 | (.14) | 5.65 | 5.51 | — | — | — | 22.08 | 33.31% | 1.74% | (0.83)% | 376% | 10,587 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 34.20 | .01 | (17.58) | (17.57) | (.06) | — | (.06) | 16.57 | (51.36)% | 1.68% | 0.05% | 490% | 13,978 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 41.14 | .49 | (3.26) | (2.77) | (.96) | (3.21) | (4.17) | 34.20 | (6.74)% | 1.66% | 1.16% | 354% | 21,879 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 34.14 | .19 | 6.93 | 7.12 | (.12) | — | (.12) | 41.14 | 20.85% | 1.64% | 0.49% | 380% | 73,112 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 33.65 | .01 | 1.31 | 1.32 | (.83) | — | (.83) | 34.14 | 3.91% | 1.63% | 0.04% | 404% | 38,589 | |||||||||||||||||||||||||||||||||||||||
Inverse Russell 2000® Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 42.70 | (.56) | (13.47) | (14.03) | — | — | — | 28.67 | (32.86)% | 1.73% | (1.60)% | — | 11,433 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 34.66 | .08 | 8.54 | 8.62 | (.58) | — | (.58) | 42.70 | 24.69% | 1.69% | 0.22% | — | 7,778 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 34.61 | 1.10 | .76 | 1.86 | (1.81) | — | (1.81) | 34.66 | 5.37% | 1.67% | 3.19% | — | 11,535 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 40.60 | 1.30 | (6.16) | (4.86) | (1.13) | — | (1.13) | 34.61 | (11.95)% | 1.64% | 3.48% | — | 12,237 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 42.83 | .65 | (1.98) | (1.33) | (.90) | — | (.90) | 40.60 | (3.07)% | 1.63% | 1.49% | — | 11,850 | |||||||||||||||||||||||||||||||||||||||
Dow 2x Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009††† | 48.25 | .22 | 17.57 | 17.79 | — | — | — | 66.04 | 36.90% | 1.75% | 0.48% | 80% | 19,859 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008††† | 128.50 | .75 | (80.11) | (79.36) | (.90) | — | (.90) | 48.25 | (61.71)% | 1.68% | 0.90% | 78% | 36,348 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007††† | 134.45 | 1.80 | 9.65 | 11.45 | (1.50) | (15.90) | (17.40) | 128.50 | 8.15% | 1.63% | 1.22% | 105% | 44,825 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006††† | 115.50 | 2.00 | 32.90 | 34.90 | (.75) | (15.20) | (15.95) | 134.45 | 30.54% | 1.65% | 1.52% | 224% | 45,365 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005††† | 129.45 | 1.20 | (6.25) | (5.05) | (.85) | (8.05) | (8.90) | 115.50 | (3.81)% | 1.67% | 1.03% | 666% | 12,920 | |||||||||||||||||||||||||||||||||||||||
Inverse Dow 2x Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 35.61 | (.47) | (15.43) | (15.90) | — | — | — | 19.71 | (44.65)% | 1.74% | (1.61)% | — | 18,021 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 28.79 | (.01) | 18.12 | 18.11 | (.18) | (11.11) | (11.29) | 35.61 | 60.84% | 1.69% | (0.03)% | — | 11,703 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 33.34 | 1.02 | (4.06) | (3.04) | (1.51) | — | (1.51) | 28.79 | (8.99)% | 1.66% | 3.36% | — | 11,885 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 43.20 | 1.35 | (10.75) | (9.40) | (.46) | — | (.46) | 33.34 | (21.77)% | 1.64% | 3.61% | — | 17,053 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 43.22 | .74 | (.06) | .68 | (.70) | — | (.70) | 43.20 | 1.63% | 1.65% | 1.67% | — | 7,257 | |||||||||||||||||||||||||||||||||||||||
S&P 500 Pure Growth Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 16.47 | (.10) | 7.88 | 7.78 | — | — | — | 24.25 | 47.24% | 1.55% | (0.53)% | 497% | 34,481 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 27.36 | (.09) | (10.80) | (10.89) | — | — | — | 16.47 | (39.80)% | 1.51% | (0.40)% | 360% | 13,207 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 26.68 | (.16) | 1.46 | 1.30 | — | (.62) | (.62) | 27.36 | 4.87% | 1.48% | (0.57)% | 521% | 36,275 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 25.69 | (.17) | 1.56 | 1.39 | — | (.40) | (.40) | 26.68 | 5.40% | 1.49% | (0.66)% | 612% | 23,568 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 25.75 | (.01) | .47 | .46 | (.02) | (.50) | (.52) | 25.69 | 1.77% | 1.52% | (0.03)% | 1,111% | 22,538 |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 153 |
FINANCIAL HIGHLIGHTS (continued)
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 Realized | Net Increase | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
NET ASSET | Net | and | (Decrease) | Distributions | Distributions | NET ASSET | Net | Net Assets, | ||||||||||||||||||||||||||||||||||||||||||||||||
VALUE, | Investment | Unrealized | in Net Asset | from Net | from Net | Payments | VALUE, | Total | Investment | Portfolio | End of | |||||||||||||||||||||||||||||||||||||||||||||
BEGINNING | Income | Gains (Losses) | Value Resulting | Investment | Realized | Total | By | END OF | Investment | Total | Income | Turnover | Period (000’s | |||||||||||||||||||||||||||||||||||||||||||
Year Ended | OF PERIOD | (Loss)† | on Investments | from Operations | Income | Gains | Distributions | Affiliates | PERIOD | Return†† | Expenses | (Loss) | Rate | omitted) | ||||||||||||||||||||||||||||||||||||||||||
S&P 500 Pure Value Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009††† | $ | 45.81 | $ | .65 | $ | 22.78 | $ | 23.43 | $ | (1.08) | $ | — | $ | (1.08) | — | $ | 68.16 | 51.22% | 1.54% | 1.18% | 421% | $ | 27,851 | |||||||||||||||||||||||||||||||||
December 31, 2008††† | 126.85 | 2.35 | (65.04) | (62.69) | (1.15) | (17.20) | (18.35) | — | 45.81 | (48.65)% | 1.51% | 2.42% | 389% | 9,479 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2007††† | 158.90 | 2.10 | (10.15) | (8.05) | (2.85) | (21.15) | 24.00 | — | 126.85 | (5.37)% | 1.49% | 1.28% | 307% | 24,799 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2006††† | 139.50 | 1.95 | 22.65 | 24.60 | (1.25) | (3.95) | (5.20) | — | 158.90 | 17.66% | 1.50% | 1.29% | 401% | 83,323 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2005††† | 138.40 | 1.05 | 4.75 | 5.80 | (.75) | (3.95) | (4.70) | — | 139.50 | 4.19% | 1.50% | 0.77% | 493% | 24,547 | ||||||||||||||||||||||||||||||||||||||||||
S&P MidCap 400 Pure Growth Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 18.85 | (.25) | 10.96 | 10.71 | — | — | — | — | 29.56 | 56.82% | 1.55% | (1.01)% | 244% | 44,918 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 29.51 | (.24) | (10.42) | (10.66) | — | — | — | — | 18.85 | (36.12)% | 1.51% | (0.89)% | 381% | 11,695 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 29.33 | (.19) | 2.69 | 2.50 | — | (2.32) | (2.32) | — | 29.51 | 8.42% | 1.48% | (0.61)% | 591% | 25,940 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 30.24 | (.28) | 1.26 | .98 | — | (1.89) | (1.89) | — | 29.33 | 3.13% | 1.47% | (0.90)% | 462% | 15,440 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 27.13 | (.20) | 3.31 | 3.11 | — | — | — | — | 30.24 | 11.46% | 1.52% | (0.70)% | 1,178% | 53,035 | ||||||||||||||||||||||||||||||||||||||||||
S&P MidCap 400 Pure Value Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009††† | 43.46 | .50 | 23.46 | 23.96 | (.59) | — | (.59) | — | 66.83 | 55.22% | 1.54% | 0.90% | 321% | 29,506 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2008††† | 104.20 | 1.75 | (47.84) | (46.09) | — | (14.65) | (14.65) | — | 43.46 | (43.63)% | 1.51% | 2.06% | 255% | 7,595 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2007††† | 111.90 | 1.05 | (6.45) | (5.40) | (2.20) | (.10) | (2.30) | — | 104.20 | (4.85)% | 1.49% | 0.87% | 358% | 15,998 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2006††† | 96.35 | 1.40 | 15.05 | 16.45 | (.90) | — | (.90) | — | 111.90 | 17.08% | 1.49% | 1.37% | 307% | 28,254 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2005††† | 135.40 | .35 | 11.40 | 11.75 | (1.00) | (49.80) | (50.80) | — | 96.35 | 8.32% | 1.48% | 0.26% | 1,133% | 14,232 | ||||||||||||||||||||||||||||||||||||||||||
S&P SmallCap 600 Pure Growth Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 17.78 | (.23) | 6.27 | 6.04 | — | — | — | — | 23.82 | 33.97% | 1.56% | (1.13)% | 633% | 13,556 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 27.07 | (.01) | (9.28) | (9.29) | — | — | — | — | 17.78 | (34.32)% | 1.52% | (0.04)% | 465% | 13,717 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 29.92 | (.28) | .30 | .02 | — | (2.87) | (2.87) | — | 27.07 | (0.11)% | 1.49% | (0.90)% | 573% | 12,428 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 28.64 | (.31) | 2.54 | 2.23 | — | (.95) | (.95) | — | 29.92 | 7.73% | 1.49% | (1.01)% | 769% | 23,300 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 28.55 | (.21) | 2.00 | 1.79 | — | (1.70) | (1.70) | — | 28.64 | 6.20% | 1.50% | (0.72)% | 737% | 24,308 | ||||||||||||||||||||||||||||||||||||||||||
S&P SmallCap 600 Pure Value Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009††† | 50.83 | (.26) | 31.93 | 31.67 | (.98) | — | (.98) | — | 81.52 | 62.33% | 1.55% | (0.37)% | 380% | 13,562 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2008††† | 91.10 | 1.20 | (40.87) | (39.67) | (.60) | — | (.60) | — | 50.83 | (43.50)% | 1.52% | 1.60% | 391% | 10,310 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2007††† | 143.00 | .95 | (29.85) | (28.90) | (.30) | (22.70) | (23.00) | — | 91.10 | (20.36)% | 1.49% | 0.66% | 241% | 9,710 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2006††† | 128.35 | .90 | 23.70 | 24.60 | (.85) | (9.10) | (9.95) | — | 143.00 | 19.21% | 1.49% | 0.64% | 433% | 34,124 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2005††† | 144.20 | (.25) | 5.65 | 5.40 | — | (21.25) | (21.25) | — | 128.35 | 3.64% | 1.47% | (0.16)% | 825% | 19,035 | ||||||||||||||||||||||||||||||||||||||||||
Europe 1.25x Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 12.65 | .13 | 4.31 | 4.44 | (.36) | — | (.36) | — | 16.73 | 35.01% | 1.71% | 0.90% | 321% | 22,358 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 29.95 | .55 | (17.04) | (16.49) | (.19) | (.62) | (.81) | — | 12.65 | (54.86)% | 1.67% | 2.33% | 111% | 12,535 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 29.60 | .70 | 3.26 | 3.96 | (.71) | (2.90) | (3.61) | — | 29.95 | 13.06% | 1.63% | 2.18% | 220% | 82,833 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 23.84 | .70 | 6.31 | 7.01 | (.48) | (.77) | (1.25) | — | 29.60 | 29.51% | 1.65% | 2.55% | 219% | 89,490 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 22.62 | .21 | 1.23 | 1.44 | (.09) | (.13) | (.22) | — | 23.84 | 6.36% | 1.63% | 0.94% | 399% | 25,954 | ||||||||||||||||||||||||||||||||||||||||||
Japan 2x Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 15.08 | (.23) | 3.79 | 3.56 | (.07) | — | (.07) | — | 18.57 | 23.68% | 1.60% | (1.49)% | — | 8,410 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 22.73 | .05 | (7.86) | (7.81) | (.13) | — | (.13) | .29 | n | 15.08 | (32.97)% | 1.65% | 0.25% | — | 13,104 | |||||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 27.13 | .88 | (3.83) | (2.95) | (1.45) | — | (1.45) | — | 22.73 | (11.23)% | 1.64% | 3.32% | — | 15,568 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 33.42 | 1.02 | .50 | 1.52 | (1.29) | (6.52) | (7.81) | — | 27.13 | 5.14% | 1.63% | 2.99% | — | 30,510 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 27.77 | .48 | 5.17 | 5.65 | — | — | — | — | 33.42 | 20.35% | 1.70% | 1.72% | — | 55,219 |
154 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
FINANCIAL HIGHLIGHTS (continued)
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 Realized | Net Increase | |||||||||||||||||||||||||||||||||||||||||||||||||||
NET ASSET | Net | and | (Decrease) | Distributions | Distributions | NET ASSET | Net | Net Assets, | ||||||||||||||||||||||||||||||||||||||||||||
VALUE, | Investment | Unrealized | in Net Asset | from Net | from Net | VALUE, | Total | Investment | Portfolio | End of | ||||||||||||||||||||||||||||||||||||||||||
BEGINNING | Income | Gains (Losses) | Value Resulting | Investment | Realized | Total | END OF | Investment | Total | Income | Turnover | Period (000’s | ||||||||||||||||||||||||||||||||||||||||
Year Ended | OF PERIOD | (Loss)† | on Investments | from Operations | Income | Gains | Distributions | PERIOD | Return†† | Expenses | (Loss) | Rate | omitted) | |||||||||||||||||||||||||||||||||||||||
Strengthening Dollar 2x Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | $ | 21.25 | $ | (.27) | $ | (3.82) | $ | (4.09) | $ | — | $ | (10.28) | $ | (10.28) | $ | 6.88 | (15.84)% | 1.72% | (1.57)% | — | $ | 7,525 | ||||||||||||||||||||||||||||||
December 31, 2008 | 20.13 | (.08) | 1.20 | 1.12 | — | — | — | 21.25 | 5.56% | 1.69% | (0.41)% | — | 7,024 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 22.59 | .70 | (3.16) | (2.46) | — | — | — | 20.13 | (10.89)% | 1.61% | 3.26% | — | 4,006 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 25.62 | .79 | (3.51) | (2.72) | (.31) | — | (.31) | 22.59 | (10.63)% | 1.65% | 3.33% | — | 3,067 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005* | 25.00 | .14 | .65 | .79 | (.17) | — | (.17) | 25.62 | 3.16% | 1.78% | ** | 2.11% | ** | — | 1,250 | |||||||||||||||||||||||||||||||||||||
Weakening Dollar 2x Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 25.10 | (.40) | 2.06 | 1.66 | (.01) | — | (.01) | 26.75 | 6.61% | 1.71% | (1.58)% | — | 4,908 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 28.60 | .07 | (3.57) | (3.50) | — | — | — | 25.10 | (12.24)% | 1.68% | 0.23% | — | 10,965 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 27.51 | .89 | 4.15 | 5.04 | (3.95) | — | (3.95) | 28.60 | 18.12% | 1.64% | 3.02% | — | 13,579 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 24.31 | .93 | 3.14 | 4.07 | (.86) | (.01) | (.87) | 27.51 | 16.72% | 1.65% | 3.46% | — | 11,155 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005* | 25.00 | .15 | (.78) | (.63) | (.06) | — | (.06) | 24.31 | (2.53)% | 1.76% | ** | 2.28% | ** | — | 2,954 | |||||||||||||||||||||||||||||||||||||
Real Estate Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 17.51 | .50 | 3.90 | 4.40 | (.47) | — | (.47) | 21.44 | 25.27% | 1.65% | 2.83% | 450% | 33,872 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 34.35 | .79 | (15.47) | (14.68) | (.20) | (1.96) | (2.16) | 17.51 | (41.64)% | 1.62% | 2.61% | 288% | 15,437 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 50.25 | .63 | (10.02) | (9.39) | (1.09) | (5.42) | (6.51) | 34.35 | (19.12)% | 1.60% | 1.28% | 226% | 31,757 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 40.30 | .72 | 11.68 | 12.40 | (.83) | (1.62) | (2.45) | 50.25 | 30.72% | 1.60% | 1.54% | 532% | 83,181 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 38.02 | .71 | 2.01 | 2.72 | (.44) | — | (.44) | 40.30 | 7.15% | 1.59% | 1.84% | 774% | 29,074 |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 155 |
FINANCIAL HIGHLIGHTS (continued)
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 ASSET | Net | Net Assets, | ||||||||||||||||||||||||||||||||||||||||||||||||||||
VALUE, | Investment | Unrealized | Value | from Net | from Net | VALUE, | Total | Investment | Portfolio | End of | ||||||||||||||||||||||||||||||||||||||||||||||||||
BEGINNING | Income | Gains (Losses) | Resulting from | Investment | Realized | Total | END OF | Investment | Total | Net | Operating | Income | Turnover | Period (000’s | ||||||||||||||||||||||||||||||||||||||||||||||
Year Ended | OF PERIOD | (Loss)† | on Investments | Operations | Income | Gains | Distributions | PERIOD | Return†† | Expenses | Expenses | Expenses | (Loss) | Rate | omitted) | |||||||||||||||||||||||||||||||||||||||||||||
Government Long Bond 1.2x Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | $ | 17.24 | $ | .28 | $ | (5.33 | ) | $ | (5.05 | ) | $ | (.28) | $ | (5.32 | ) | $ | (5.60) | $ | 6.59 | (31.54)% | 1.26% | 1.26% | 1.26% | 2.29% | 1,694% | $ | 24,092 | |||||||||||||||||||||||||||||||||
December 31, 2008 | 12.24 | .35 | 5.00 | 5.35 | (.35) | — | (.35) | 17.24 | 44.87% | 1.22% | 1.22% | 1.22% | 2.75% | 1,372% | 63,594 | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 11.56 | .41 | .68 | 1.09 | (.41) | — | (.41) | 12.24 | 9.77% | 1.20% | 1.20% | 1.20% | 3.60% | 1,367% | 52,250 | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 12.38 | .42 | (.82 | ) | (.40 | ) | (.42) | — | (.42) | 11.56 | (3.14)% | 1.20% | 1.20% | 1.20% | 3.66% | 1,339% | 50,420 | |||||||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 11.88 | .41 | .50 | .91 | (.41) | — | (.41) | 12.38 | 7.71% | 1.18% | 1.18% | 1.18% | 3.30% | 1,284% | 60,160 | |||||||||||||||||||||||||||||||||||||||||||||
Inverse Government Long Bond Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 13.60 | (.33 | ) | 2.97 | 2.64 | — | — | — | 16.24 | 19.41% | 2.23% | 2.23% | 1.71% | ◊ | (2.09)% | — | 27,940 | |||||||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 19.58 | (.21 | ) | (5.68 | ) | (5.89 | ) | (.09) | — | (.09) | 13.60 | (30.21)% | 4.12% | 4.12% | 1.65% | ◊ | (1.12)% | 2,851% | 10,625 | |||||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 21.55 | .70 | (1.67 | ) | (.97 | ) | (1.00) | — | (1.00) | 19.58 | (4.51)% | 3.83% | 3.83% | 1.63% | ◊ | 3.17% | 1,123% | 17,611 | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 20.80 | .69 | .97 | 1.66 | (.91) | — | (.91) | 21.55 | 8.11% | 5.12% | 5.12% | 1.63% | ◊ | 3.08% | 597% | 29,246 | ||||||||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 21.95 | (.07 | ) | (1.08 | ) | (1.15 | ) | — | — | — | 20.80 | (5.24)% | 5.11% | 5.11% | 1.63% | ◊ | (0.33)% | 589% | 29,671 | |||||||||||||||||||||||||||||||||||||||||
U.S. Government Money Market Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 1.00 | — | § | — | — | § | (—) | § | (— | )§ | (—) | § | 1.00 | 0.06% | 1.28% | 0.54% | 0.54% | 0.02% | — | 231,451 | ||||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 1.00 | .01 | — | .01 | (.01) | — | (.01) | 1.00 | 1.14% | 1.22% | 1.22% | 1.22% | 1.09% | — | 360,946 | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 1.00 | .04 | — | .04 | (.04) | — | (.04) | 1.00 | 3.90% | 1.19% | 1.19% | 1.19% | 3.80% | — | 277,346 | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 1.00 | .04 | — | .04 | (.04) | — | (.04) | 1.00 | 3.82% | 1.19% | 1.19% | 1.19% | 3.78% | — | 208,148 | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 1.00 | .02 | — | .02 | (.02) | — | (.02) | 1.00 | 2.00% | 1.17% | 1.17% | 1.17% | 1.96% | — | 185,365 |
* | Since the commencement of operations: | |
September 30, 2005—Strengthening Dollar 2x Strategy Fund and Weakening Dollar 2x Strategy Fund; October 27, 2006—Russell 2000® 2x Strategy Fund. | ||
** | Annualized | |
† | Calculated using the average daily shares outstanding for the period. | |
†† | Total investment return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. | |
††† | Per share amounts for the period: | |
December 31, 2004—December 31, 2006 have been restated to reflect a 1:10 reverse stock split effective April 23, 2007—Inverse S&P 500 Strategy Fund; | ||
December 31, 2004—April 19, 2009 have been restated to reflect a 1:10 reverse stock split effective April 20, 2009—Nova Fund and S&P 500 2x Strategy Fund; | ||
December 31, 2004—April 19, 2009 have been restated to reflect a 1:5 reverse stock split effective April 20, 2009—Dow 2x Strategy Fund, S&P 500 Pure Value Fund, S&P MidCap 400 Pure Value Fund, and S&P SmallCap 600 Pure Value Fund; | ||
October 27, 2006—April 19, 2009 have been restated to reflect a 1:10 reverse stock split effective April 20, 2009—Russell 2000® 2x Strategy Fund. | ||
◊ | Operating Expenses exclude interest expense from securities sold short. | |
§ | Less than $.01 per share. | |
5 | Excluding the Capital Contribution, the Fund’s total return would have been 38.09%. | |
n | Excluding the reimbursement, the Fund’s total return would have been (34.25)%. |
156 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS
1. Organization and Significant Accounting
Policies Organization
Policies Organization
The Rydex Variable Trust (the “Trust”), a Delaware business trust, is registered with the SEC under the Investment Company Act of 1940 (the “1940 Act”) as a non-diversified, open-ended investment company and is authorized to issue an unlimited number of no par value shares. The Trust offers shares of the Funds to insurance companies for their variable annuity and variable life insurance contracts.
At December 31, 2009, the Trust consisted of fifty-seven separate funds. This report covers the Benchmark and the Money Market Funds (the “Funds”), while the other funds are contained in separate reports.
Rydex Investments provides advisory, transfer agent and administrative services, and accounting services to the Trust. Rydex Distributors, Inc. (the “Distributor”) acts as principal underwriter for the Trust. Both Rydex Investments and the Distributor are affiliated entities.
Significant Accounting Policies
The following significant accounting policies and the preparation of financial statements are in conformity with U.S. generally accepted accounting principles and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. The information contained in these notes may not apply to every Fund in the Trust.
A. Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. (Eastern Time) on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date.
Listed options held by the Trust are valued at the Official Settlement Price listed by the exchange, as of 4:00 p.m. Long options are valued using the bid price and short options are valued using the ask price. In the event that a settlement price is not available, fair valuation is enacted. Over-the-counter options held by the Trust are valued using the average bid price (for long options), or average ask price (for short options) obtained from one or more security dealers.
The value of futures contracts purchased and sold by the Trust is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to
determine if fair valuation would provide a more accurate valuation.
The U.S. Government Money Market Fund values debt securities at amortized cost pursuant to Rule 2a-7 of the 1940 Act.
Debt securities in a non 2a-7 money market fund with a maturity greater than 60 days are valued at the last traded fill price at the close of business, unless no trades were executed. If there are no trades, a debt security is valued at the reported bid price, at the close of business. Short-term debt securities with a maturity of 60 days or less and repurchase agreements are valued at amortized cost, which approximates market value.
Open-end investment companies (“Mutual Funds”) are valued at their NAV as of the close of business, on the valuation date. Exchange Traded Funds (“ETFs”) and closed-end investment companies are valued at the last quoted sales price.
The value of domestic equity index and credit default swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the last quoted value of the index that the swap pertains to at the close of the NYSE. The swap’s market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.
The value of currency index swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the broker quote.
The value of foreign equity agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the price at which orders are being filled at the close of the NYSE. In the event that no order is filled at 4:00 p.m., the security dealer provides a fair value quote at which the swap agreement is valued. The swap’s market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.
Investments for which market quotations are not readily available are fair valued as determined in good faith by Rydex Investments under the direction of the Board of Trustees using methods established or ratified by the Board of Trustees. These methods include, but are not limited to: (i) general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market; and (iii) other information and considerations, including current values in related-markets.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 157 |
NOTES TO FINANCIAL STATEMENTS (continued)
B. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. Distributions received from investments in REITs are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer.
C. Net investment income is computed and dividends are declared daily in the Government Long Bond 1.2x Strategy Fund and the U.S. Government Money Market Fund. Income dividends in these Funds are accrued daily. Dividends are reinvested in additional shares unless shareholders request payment in cash. Distributions of net investment income in the remaining Funds and distributions of net realized gains in all Funds are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles.
D. When a Fund engages in a short sale of an equity or fixed income security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales. The Fund is exposed to market risk based on the amount, if any, that the market value of the security exceeds the market value of the securities in the segregated account. Fees, if any, paid to brokers to borrow securities in connection with short sales are considered part of the cost of short sale transactions. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the treasury obligation to the lender and records this as an expense. Short dividends or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Funds may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
E. Upon the purchase of an option by a Fund, the premium paid is recorded as an investment, the value of which is marked-to-market daily. When a purchased option expires, that Fund will realize a loss in the amount of the cost of the option. When a Fund enters into a closing sale transaction, that Fund will realize a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. When a Fund exercises a put option, that Fund will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When a
Fund exercises a call option, the cost of the security purchased by that Fund upon exercise will be increased by the premium originally paid. When a Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if a Fund enters into a closing purchase transaction, that Fund realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).
F. The Trust may enter into stock and bond index futures contracts and options on such futures contracts. Futures contracts are contracts for delayed delivery of securities at a specified future delivery date and at a specific price. Upon entering into a contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
G. The Trust may enter into domestic equity index and domestic currency index swap agreements, which are over-the-counter contracts in which one party agrees to make periodic payments based on the change in market value of a specified equity security, basket of equity securities, equity index or domestic currency index, in return for periodic payments based on a fixed or variable interest rate or the change in market value of a different equity security, basket of equity securities, equity index or domestic currency index. Swap agreements are used to obtain exposure to an equity or market without owning or taking physical custody of securities. The swap agreements are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of an agreement or termination of the agreement are recognized as realized gains or losses.
The Trust may enter into credit default swap agreements where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. Upfront payments received or made by a Fund, are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. The credit default contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of a credit event or
158 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
H. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Trust does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain and loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
I. The Trust may enter into forward currency contracts primarily to hedge against foreign currency exchange rate risks on its non-U.S. dollar denominated investment securities. When entering into a forward currency contract, a Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily and the corresponding unrealized gain or loss on the contracts, as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statement of Assets and Liabilities. Realized and unrealized gains and losses are included in the Statement of Operations.
J. Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the discount rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity. The Funds may also purchase American Depository Receipts, U.S. Government securities, and enter into repurchase agreements.
K. The Funds may leave cash overnight in their cash account with the custodian, U.S. Bank. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate. Segregated cash with the broker is held as collateral for investments in derivative instruments such as futures contracts and index swap agreements.
L. Throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be
made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
2. Financial Instruments
As part of its investment strategy, the Trust may utilize short sales and a variety of derivative instruments, including options, futures, options on futures, and swap agreements. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities.
Short sales are transactions in which a Fund sells an equity or fixed income security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, that Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, that Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales
The risk associated with purchasing options is limited to the premium originally paid. The risk in writing a covered call option is that a Fund may forego the opportunity for profit if the market price of the underlying security increases and 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 the underlying security decreases and the option is exercised. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty’s inability to perform.
There are several risks in connection with the use of futures contracts. Risks may be caused by an imperfect correlation between movements in the price of the instruments and the price of the underlying securities. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
There are several risks associated with the use of swap agreements that are different from those associated with ordinary portfolio securities transactions, due to the fact they could be considered illiquid. Although the Trust will not enter into any swap agreement unless Rydex Investments believes that the other party to the transaction is creditworthy, the Funds bear the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of the agreement counterparty.
There are several risks associated with credit default swaps. Credit default swaps involve the exchange of a fixed-rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a “guarantor,” receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return, the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. A Fund may enter into credit default swaps in
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 159 |
NOTES TO FINANCIAL STATEMENTS (continued)
which that Fund or its counterparty acts as guarantor. By acting as the guarantor of a swap, that Fund assumes the market and credit risk of the underlying instrument, including liquidity and loss of value.
In conjunction with the use of short sales, options, futures, options on futures, and swap agreements, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes, or the repurchase agreements allocated to each Fund.
The risks inherent in the use of short sales, options, futures contracts, options on futures contracts, and swap agreements, include i) adverse changes in the value of such instruments; ii) imperfect correlation between the price of the instruments and movements in the price of the underlying securities, indices, or futures contracts; iii) the possible absence of a liquid secondary market for any particular instrument at any time; and iv) the potential of counterparty default. The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
3. Derivative Investment Holdings Categorized by Risk Exposure
U.S. generally accepted accounting principles require enhanced disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivatives instruments are accounted for and their effects on the Funds’ financial position and results of operations. None of the derivatives currently held by the Funds are being used as hedging instruments.
Certain Funds seek to gain exposure to their respective benchmarks by investing in commodity, currency, and financial-linked derivative instruments, including swap agreements, commodity options, futures and options on futures. The following table represents the notional amount of derivative instruments outstanding, as an approximate percentage of the Funds’ net assets on a daily basis, while the risk to the Fund is limited to the profit earned on such derivatives:
Approximate percentage of Fund’s | ||||
Fund | net assets on a daily basis | |||
Nova Fund | 70 | % | ||
Inverse S&P 500 Strategy Fund | 100 | % | ||
NASDAQ-100® Fund | 10 | % | ||
Inverse NASDAQ-100® Strategy Fund | 100 | % | ||
S&P500 2x Strategy Fund | 160 | % | ||
NASDAQ-100® 2x Strategy Fund | 125 | % | ||
Mid-Cap 1.5x Strategy Fund | 80 | % | ||
Inverse Mid-Cap Strategy Fund | 100 | % | ||
Russell 2000® 2x Strategy Fund | 145 | % | ||
Russell 2000® 1.5x Strategy Fund | 75 | % | ||
Inverse Russell 2000® Strategy Fund | 100 | % | ||
Dow 2x Strategy Fund | 150 | % | ||
Inverse Dow 2x Strategy Fund | 200 | % | ||
Europe 1.25x Strategy Fund | 125 | % | ||
Japan 2x Strategy Fund | 200 | % | ||
Strengthening Dollar 2x Strategy Fund | 200 | % | ||
Weakening Dollar 2x Strategy Fund | 200 | % | ||
Government Long Bond 1.2x Strategy Fund | 170 | % | ||
Inverse Government Long Bond Strategy Fund | 25 | % |
The following is a summary of the location of derivative investments on the Fund’s Statements of Assets and Liabilities as of December 31, 2009:
Location on the Statements of Assets and Liabilities
Derivative Investments Type | Asset Derivatives | Liability Derivatives | ||
Equity contracts | Variation Margin on Futures Contracts | Variation Margin on Futures Contracts | ||
Unrealized Appreciation on Swap Agreements | Unrealized Depreciation on Swap Agreements | |||
Currency contracts | Unrealized Appreciation on Swap Agreements | Unrealized Depreciation on Swap Agreements | ||
Variation Margin on Futures Contracts | Variation Margin on Futures Contracts | |||
Interest Rate contracts | Variation Margin on Futures Contracts | Variation Margin on Futures Contracts |
160 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
The following is a summary of the Fund’s derivative investments not accounted for as hedging investments under SFAS 133, categorized by primary risk exposure as of December 31, 2009:
Asset Derivative Investments Value | ||||||||||||||||||||||||
Futures | Swaps | Futures | Swaps | Futures | ||||||||||||||||||||
Equity | Equity | Currency | Currency | Interest Rate | Total Value at | |||||||||||||||||||
Fund | Contracts* | Contracts | Contracts* | Contracts | Contracts* | December 31, 2009 | ||||||||||||||||||
Nova Fund | $ | 46,893 | $ | 568,396 | $ | — | $ | — | $ | — | $ | 615,289 | ||||||||||||
Inverse S&P 500 Strategy Fund | — | — | — | — | — | — | ||||||||||||||||||
NASDAQ-100 Fund | 39,433 | 27,564 | — | — | — | 66,997 | ||||||||||||||||||
Inverse NASDAQ-100 Strategy Fund | 3,532 | — | — | — | — | 3,532 | ||||||||||||||||||
S&P 500 2x Strategy Fund | — | 247,882 | — | — | — | 247,882 | ||||||||||||||||||
NASDAQ-100® 2x Strategy Fund | 547,691 | 1,056,481 | — | — | — | 1,604,172 | ||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | 21,407 | 481,105 | — | — | — | 502,512 | ||||||||||||||||||
Inverse Mid-Cap Strategy Fund | 279 | — | — | — | — | 279 | ||||||||||||||||||
Russell 2000® 2x Strategy Fund | 34,349 | 103,814 | — | — | — | 138,163 | ||||||||||||||||||
Russell 2000® 1.5x Strategy Fund | 21,617 | 122,591 | — | — | — | 144,208 | ||||||||||||||||||
Inverse Russell 2000® Strategy Fund | — | — | — | — | — | — | ||||||||||||||||||
Dow 2x Strategy Fund | 57,060 | 144,740 | — | — | — | 201,800 | ||||||||||||||||||
Inverse Dow 2x Strategy Fund | 29,025 | 89,965 | — | — | — | 118,990 | ||||||||||||||||||
Europe 1.25x Strategy Fund | 556,784 | — | — | — | — | 556,784 | ||||||||||||||||||
Japan 2x Strategy Fund | 578,211 | — | — | — | — | 578,211 | ||||||||||||||||||
Strengthening Dollar 2x Strategy Fund | — | — | 141,600 | 79,906 | — | 221,506 | ||||||||||||||||||
Weakening Dollar 2x Strategy Fund | — | — | — | — | — | — | ||||||||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | — | — | — | — | ||||||||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | — | — | 275,782 | 275,782 |
Liability Derivative Investments Value | ||||||||||||||||||||||||
Futures | Swaps | Futures | Swaps | Futures | ||||||||||||||||||||
Equity | Equity | Currency | Currency | Interest Rate | Total Value at | |||||||||||||||||||
Fund | Contracts* | Contracts | Contracts* | Contracts | Contracts* | December 31, 2009 | ||||||||||||||||||
Nova Fund | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Inverse S&P 500 Strategy Fund | 34,687 | 304,298 | — | — | — | 338,985 | ||||||||||||||||||
NASDAQ-100 Fund | — | — | — | — | — | — | ||||||||||||||||||
Inverse NASDAQ-100 Strategy Fund | — | 474,203 | — | — | — | 474,203 | ||||||||||||||||||
S&P 500 2x Strategy Fund | 36,174 | — | — | — | — | 36,174 | ||||||||||||||||||
NASDAQ-100® 2x Strategy Fund | — | — | — | — | — | — | ||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | — | — | — | — | — | — | ||||||||||||||||||
Inverse Mid-Cap Strategy Fund | — | 140,185 | — | — | — | 140,185 | ||||||||||||||||||
Russell 2000® 2x Strategy Fund | — | — | — | — | — | — | ||||||||||||||||||
Russell 2000® 1.5x Strategy Fund | — | — | — | — | — | — | ||||||||||||||||||
Inverse Russell 2000® Strategy Fund | 40,797 | 125,888 | — | — | — | 166,685 | ||||||||||||||||||
Dow 2x Strategy Fund | — | — | — | — | — | — | ||||||||||||||||||
Inverse Dow 2x Strategy Fund | — | — | — | — | — | — | ||||||||||||||||||
Europe 1.25x Strategy Fund | — | — | 247,218 | — | — | 247,218 | ||||||||||||||||||
Japan 2x Strategy Fund | — | — | 409,090 | — | — | 409,090 | ||||||||||||||||||
Strengthening Dollar 2x Strategy Fund | — | — | — | — | — | — | ||||||||||||||||||
Weakening Dollar 2x Strategy Fund | — | — | 222,449 | 3,639 | — | 226,088 | ||||||||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | — | — | 316,022 | 316,022 | ||||||||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | — | — | — | — |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 161 |
NOTES TO FINANCIAL STATEMENTS (continued)
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations as of December 31, 2009:
Derivative Investment | Location of Gain (Loss) on Derivatives | |
Equity contracts | Net realized gain (loss) on futures contracts and equity index swaps | |
Change in net unrealized appreciation (depreciation) on futures contracts and equity index swaps | ||
Currency contracts | Net realized gain (loss) on futures contracts and currency index swaps | |
Change in net unrealized appreciation (depreciation) on futures contracts and currency index swaps | ||
Interest rate contracts | Net realized gain (loss) on futures contracts | |
Change in net unrealized appreciation (depreciation) on futures contracts |
The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure as of December 31, 2009:
Realized Gain (Loss) on Derivative Investments Recognized in the Statement of Operations | ||||||||||||||||||||||||
Futures | Swaps | Futures | Swaps | Futures | ||||||||||||||||||||
Equity | Equity | Currency | Currency | Interest Rate | ||||||||||||||||||||
Fund | Contracts | Contracts | Contracts | Contracts | Contracts* | Total | ||||||||||||||||||
Nova Fund | $ | 2,082,412 | $ | 5,087,914 | $ | — | $ | — | $ | — | $ | 7,170,326 | ||||||||||||
Inverse S&P 500 Strategy Fund | (4,380,173 | ) | (8,811,425 | ) | — | — | — | (13,191,598 | ) | |||||||||||||||
NASDAQ-100 Fund | 616,153 | 1,115,672 | — | — | — | 1,731,825 | ||||||||||||||||||
Inverse NASDAQ-100 Strategy Fund | (2,110,411 | ) | (7,125,122 | ) | — | — | — | (9,235,533 | ) | |||||||||||||||
S&P 500 2x Strategy Fund | 745,929 | 3,724,324 | — | — | — | 4,470,253 | ||||||||||||||||||
NASDAQ-100® 2x Strategy Fund | 5,197,505 | 5,079,314 | — | — | — | 10,276,819 | ||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | (266,662 | ) | 707,346 | — | — | — | 440,684 | |||||||||||||||||
Inverse Mid-Cap Strategy Fund | (368,464 | ) | (1,325,600 | ) | — | — | — | (1,694,064 | ) | |||||||||||||||
Russell 2000® 2x Strategy Fund | 38,362 | 162,646 | — | — | — | 201,008 | ||||||||||||||||||
Russell 2000® 1.5x Strategy Fund | (41,556 | ) | 1,513,868 | — | — | — | 1,472,312 | |||||||||||||||||
Inverse Russell 2000® Strategy Fund | (2,664,249 | ) | (3,249,482 | ) | — | — | — | (5,913,731 | ) | |||||||||||||||
Dow 2x Strategy Fund | (2,398,558 | ) | 1,805,810 | — | — | — | (592,748 | ) | ||||||||||||||||
Inverse Dow 2x Strategy Fund | (3,151,549 | ) | (13,069,543 | ) | — | — | — | (16,221,092 | ) | |||||||||||||||
Europe 1.25x Strategy Fund | 2,689,542 | — | — | — | — | 2,689,542 | ||||||||||||||||||
Japan 2x Strategy Fund | 2,016,139 | — | — | — | — | 2,016,139 | ||||||||||||||||||
Strengthening Dollar 2x Strategy Fund | — | — | (962,573 | ) | (1,046,763 | ) | — | (2,009,336 | ) | |||||||||||||||
Weakening Dollar 2x Strategy Fund | — | — | 1,040,647 | (75,160 | ) | — | 965,487 | |||||||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | — | — | 489,336 | 489,336 | ||||||||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | — | — | 2,529,421 | 2,529,421 |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized in the Statement of Operations | ||||||||||||||||||||||||
Futures | Swaps | Futures | Swaps | Futures | ||||||||||||||||||||
Equity | Equity | Currency | Currency | Interest Rate | ||||||||||||||||||||
Fund | Contracts | Contracts | Contracts | Contracts | Contracts* | Total | ||||||||||||||||||
Nova Fund | $ | (395,608 | ) | $ | 332,459 | $ | — | $ | — | $ | — | $ | (63,149 | ) | ||||||||||
Inverse S&P 500 Strategy Fund | 34,445 | (358,375 | ) | — | — | — | (323,930 | ) | ||||||||||||||||
NASDAQ-100 Fund | 14,216 | 13,570 | — | — | — | 27,786 | ||||||||||||||||||
Inverse NASDAQ-100 Strategy Fund | (56,854 | ) | (490,026 | ) | — | — | — | (546,880 | ) | |||||||||||||||
S&P 500 2x Strategy Fund | (566,002 | ) | (129,754 | ) | — | — | — | (695,756 | ) | |||||||||||||||
NASDAQ-100® 2x Strategy Fund | 349,193 | 979,942 | — | — | — | 1,329,135 | ||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | (331,414 | ) | 321,197 | — | — | — | (10,217 | ) | ||||||||||||||||
Inverse Mid-Cap Strategy Fund | 104,610 | (64,394 | ) | — | — | — | 40,216 | |||||||||||||||||
Russell 2000® 2x Strategy Fund | 35,157 | (164,374 | ) | — | — | — | (129,217 | ) | ||||||||||||||||
Russell 2000® 1.5x Strategy Fund | (270,853 | ) | (221,288 | ) | — | — | — | (492,141 | ) | |||||||||||||||
Inverse Russell 2000® Strategy Fund | 61,600 | 39,232 | — | — | — | 100,832 | ||||||||||||||||||
Dow 2x Strategy Fund | (720,892 | ) | 162,016 | — | — | — | (558,876 | ) | ||||||||||||||||
Inverse Dow 2x Strategy Fund | 305,208 | 72,754 | — | — | — | 377,962 | ||||||||||||||||||
Europe 1.25x Strategy Fund | 179,106 | — | — | — | — | 179,106 | ||||||||||||||||||
Japan 2x Strategy Fund | (810,156 | ) | — | — | — | — | (810,156 | ) | ||||||||||||||||
Strengthening Dollar 2x Strategy Fund | — | — | 590,562 | 181,738 | — | 772,300 | ||||||||||||||||||
Weakening Dollar 2x Strategy Fund | — | — | (806,123 | ) | 47,105 | — | (759,018 | ) | ||||||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | — | — | (4,106,569 | ) | (4,106,569 | ) | ||||||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | — | — | 102,192 | 102,192 |
162 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
4. Fees And Other Transactions With Affiliates
Under the terms of an investment advisory contract, the Trust pays Rydex Investments investment advisory fees calculated at an annualized rate of 0.50% of the average daily net assets of the Government Long Bond 1.2x Strategy Fund and the U.S. Government Money Market Fund; 0.75% of the average daily net assets of the Nova Fund, the NASDAQ-100® Fund, the S&P SmallCap 600 Pure Value Fund, the S&P MidCap 400 Pure Value Fund, the S&P 500 Pure Value Fund, the S&P SmallCap 600 Pure Growth Fund, the S&P MidCap 400 Pure Growth Fund, the S&P 500 Pure Growth Fund and the Japan 2x Strategy Fund; 0.85% of the average daily net assets of the Real Estate Fund; and 0.90% of the average daily net assets of the remaining Funds covered in this report. Prior to May 1, 2009, the Japan 2x Strategy Fund paid an investment advisory fee of 0.90% of average daily net assets.
Rydex Investments provides transfer agent and administrative services to the Funds calculated at an annualized rate of 0.20% of the average daily net assets of the Government Long Bond 1.2x Strategy Fund and the U.S. Government Money Market Fund; and 0.25% of the average daily net assets of the remaining Funds covered in this report.
Rydex Investments also provides accounting services to the Trust for fees 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.
Rydex Investments engages external service providers to perform other necessary services for the Trust, such as accounting and audit 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. Organizational and setup costs for new funds are paid by the Trust.
The Trust has adopted a Distribution 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.
During the year ended December 31, 2008, Rydex Investments reimbursed the Japan 2x Strategy Fund related to estimated losses on amounts receivable from Lehman Brothers Finance S.A. and certain of its affiliates
On July 29, 2008, the Advisor voluntarily made a capital contribution to Inverse S&P 500 Strategy Fund to eliminate the tracking deviation from the Index.
Rydex Investments and its affiliates have voluntarily agreed to waive their fees, including but not limited to, accounting, shareholder services and investment advisory fees in an attempt to maintain a positive net yield for the U.S. Government Money Market Fund. Rydex Investments or its affiliates may terminate this voluntary waiver at any time upon notice to the Fund. When shareholder services fees are waived, dealer compensation will be reduced to the extent of such waiver.
Certain officers and trustees of the Trust are also officers of Rydex Investments and the Distributor.
5. 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.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated 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. Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (fiscal years 2006 – 2009), and has concluded that no provision for income tax is required in the Funds’ financial statements.
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 losses deferred due to wash sales and losses deferred due to post-October losses.
Permanent book and tax basis differences, if any, will result in reclassifications. This may include net operating losses not utilized during the current period and capital loss carryforward expired. These reclassifications have no effect on net assets or net asset values per share. Any undistributed ordinary income or long-term capital gain remaining at fiscal year end is distributed in the following year.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 163 |
NOTES TO FINANCIAL STATEMENTS (continued)
Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. For the year ended December 31, 2009, the following Funds expired or offset net realized capital gains with capital losses from previous years:
Fund | Amount | |||
Nova Fund | $ | 40,390,472 | ||
NASDAQ-100® Fund | 180,736,125 | |||
NASDAQ-100® 2x Strategy Fund | 9,194,441 | |||
Japan 2x Strategy Fund | 1,205,984 | |||
Weakening Dollar 2x Strategy Fund | 493,038 | |||
Inverse Government Long Bond Strategy Fund | 2,865,433 |
The tax character of distributions paid during the year ended December 31, 2009 was as follows:
Ordinary | Long-Term | Total | ||||||||||
Fund | Income | Capital Gain | Distributions | |||||||||
Nova Fund | $ | 406,451 | $ | — | $ | 406,451 | ||||||
Inverse S&P 500 Strategy Fund | — | — | — | |||||||||
NASDAQ-100® Fund | — | — | — | |||||||||
Inverse NASDAQ-100® Strategy Fund | 16,229 | — | 16,229 | |||||||||
S&P 500 2x Strategy Fund | 155,985 | — | 155,985 | |||||||||
NASDAQ-100® 2x Strategy Fund | — | — | — | |||||||||
Mid-Cap 1.5x Strategy Fund | 7,999 | — | 7,999 | |||||||||
Inverse Mid-Cap Strategy Fund | — | — | — | |||||||||
Russell 2000® 2x Strategy Fund | 317 | — | 317 | |||||||||
Russell 2000® 1.5x Strategy Fund | — | — | — | |||||||||
Inverse Russell 2000® Strategy Fund | — | — | — | |||||||||
Dow 2x Strategy Fund | — | — | — | |||||||||
Inverse Dow 2x Strategy Fund | — | — | — | |||||||||
S&P 500 Pure Growth Fund | — | — | — | |||||||||
S&P 500 Pure Value Fund | 438,407 | — | 438,407 | |||||||||
S&P MidCap 400 Pure Growth Fund | — | — | — | |||||||||
S&P MidCap 400 Pure Value Fund | 254,108 | — | 254,108 | |||||||||
S&P SmallCap 600 Pure Growth Fund | — | — | — | |||||||||
S&P SmallCap 600 Pure Value Fund | 195,475 | — | 195,475 | |||||||||
Europe 1.25x Strategy Fund | 517,215 | — | 517,215 | |||||||||
Japan 2x Strategy Fund | 31,969 | — | 31,969 | |||||||||
Strengthening Dollar 2x Strategy Fund | 830,466 | 1,532,863 | 2,363,329 | |||||||||
Weakening Dollar 2x Strategy Fund | 2,390 | — | 2,390 | |||||||||
Real Estate Fund | 674,166 | — | 674,166 | |||||||||
Government Long Bond 1.2x Strategy Fund | 10,701,077 | 4,926,154 | 15,627,231 | |||||||||
Inverse Government Long Bond Strategy Fund | — | — | — | |||||||||
U.S. Government Money Market Fund | 137,380 | — | 137,380 |
The tax character of distributions paid during the year ended December 31, 2008 was as follows:
Ordinary | Long-Term | Total | ||||||||||
Fund | Income | Capital Gain | Distributions | |||||||||
Nova Fund | $ | 223,114 | $ | — | $ | 223,114 | ||||||
Inverse S&P 500 Strategy Fund | 172,209 | — | 172,209 | |||||||||
NASDAQ-100® Fund | 77,200 | — | 77,200 | |||||||||
Inverse NASDAQ-100® Strategy Fund | 66,793 | — | 66,793 | |||||||||
S&P 500 2x Strategy Fund | — | — | — | |||||||||
NASDAQ-100® 2x Strategy Fund | 42,494 | — | 42,494 | |||||||||
Mid-Cap 1.5x Strategy Fund | — | — | — | |||||||||
Inverse Mid-Cap Strategy Fund | 30,085 | — | 30,085 | |||||||||
Russell 2000® 2x Strategy Fund | 54,736 | — | 54,736 | |||||||||
Russell 2000® 1.5x Strategy Fund | 24,991 | — | 24,991 | |||||||||
Inverse Russell 2000® Strategy Fund | 77,668 | — | 77,668 | |||||||||
Dow 2x Strategy Fund | 405,000 | — | 405,000 | |||||||||
Inverse Dow 2x Strategy Fund | 834,289 | 3,237,015 | 4,071,304 | |||||||||
S&P 500 Pure Growth Fund | — | — | — | |||||||||
S&P500 Pure Value Fund | 173,272 | 2,551,427 | 2,724,699 | |||||||||
S&P MidCap 400 Pure Growth Fund | — | — | — | |||||||||
S&P MidCap 400 Pure Value Fund | 177,210 | 1,456,316 | 1,633,526 | |||||||||
S&P SmallCap 600 Pure Growth Fund | — | — | — |
164 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
Ordinary | Long-Term | Total | ||||||||||
Fund | Income | Capital Gain | Distributions | |||||||||
S&P SmallCap 600 Pure Value Fund | $ | 117,535 | $ | — | $ | 117,535 | ||||||
Europe 1.25x Strategy Fund | 396,212 | 254,418 | 650,630 | |||||||||
Japan 2x Strategy Fund | 76,368 | — | 76,368 | |||||||||
Strengthening Dollar 2x Strategy Fund | — | — | — | |||||||||
Weakening Dollar 2x Strategy Fund | — | — | — | |||||||||
Real Estate Fund | 566,262 | 1,185,437 | 1,751,699 | |||||||||
Government Long Bond 1.2x Strategy Fund | 1,614,871 | — | 1,614,871 | |||||||||
Inverse Government Long Bond Strategy Fund | 57,414 | — | 57,414 | |||||||||
U.S. Government Money Market Fund | 3,944,200 | — | 3,944,200 |
The tax character of distributable earnings/(accumulated losses) at December 31, 2009 was as follows:
Undistributed | Undistributed | Net Unrealized | ||||||||||||||
Ordinary | Long-Term | Appreciation/ | Capital Loss | |||||||||||||
Fund | Income | Capital Gain | (Depreciation) | Carryforward | ||||||||||||
Nova Fund | $ | 74,018 | $ | — | $ | 2,308,354 | $ | (41,687,657 | )1 | |||||||
Inverse S&P 500 Strategy Fund | — | — | (304,298 | ) | (20,114,216 | )1 | ||||||||||
NASDAQ-100® Fund | — | — | 23,063,446 | (119,826,273 | )1 | |||||||||||
Inverse NASDAQ-100® Strategy Fund | — | — | (474,203 | ) | (18,267,762 | )1 | ||||||||||
S&P 500 2x Strategy Fund | — | — | 1,657,696 | (26,025,392 | )1 | |||||||||||
NASDAQ-100® 2x Strategy Fund | — | — | 8,271,527 | (27,281,114 | )1 | |||||||||||
Mid-Cap 1.5x Strategy Fund | — | — | 257,110 | (9,419,459 | )1 | |||||||||||
Inverse Mid-Cap Strategy Fund | — | — | (140,185 | ) | (2,748,055 | )1 | ||||||||||
Russell 2000® 2x Strategy Fund | — | — | 230,641 | (5,306,670 | )1 | |||||||||||
Russell 2000® 1.5x Strategy Fund | — | — | (66,944 | ) | (9,119,436 | )1 | ||||||||||
Inverse Russell 2000® Strategy Fund | — | — | (125,888 | ) | (10,553,726 | )1 | ||||||||||
Dow 2x Strategy Fund | 74,124 | — | 1,384,069 | (29,284,620 | )1 | |||||||||||
Inverse Dow 2x Strategy Fund | — | — | 89,965 | (13,703,764 | )1 | |||||||||||
S&P 500 Pure Growth Fund | — | — | 2,425,445 | (4,926,336 | )1 | |||||||||||
S&P 500 Pure Value Fund | 184,518 | — | (663,849 | ) | (7,239,654 | )1 | ||||||||||
S&P MidCap 400 Pure Growth Fund | — | — | 5,275,688 | (4,400,562 | )1 | |||||||||||
S&P MidCap 400 Pure Value Fund | 141,796 | — | 377,355 | (4,713,848 | )1 | |||||||||||
S&P SmallCap 600 Pure Growth Fund | — | — | 1,407,963 | (7,721,018 | )1 | |||||||||||
S&P SmallCap 600 Pure Value Fund | — | — | 866,801 | (5,680,230 | )1 | |||||||||||
Europe 1.25x Strategy Fund | 169,255 | — | 229,163 | (14,473,305 | )1 | |||||||||||
Japan 2x Strategy Fund | — | — | — | (7,446,683 | )1 | |||||||||||
Strengthening Dollar 2x Strategy Fund | — | — | — | (2,779,638 | )1 | |||||||||||
Weakening Dollar 2x Strategy Fund | — | — | — | (1,596,857 | )1 | |||||||||||
Real Estate Fund | 575,245 | — | 347,730 | (11,594,317 | )1 | |||||||||||
Government Long Bond 1.2x Strategy Fund | 7,398 | — | (199,592 | ) | (7,454,160 | )1 | ||||||||||
Inverse Government Long Bond Strategy Fund | — | — | 831,502 | (12,213,962 | )1 | |||||||||||
U.S. Government Money Market Fund | 14,086 | 1,167 | — | — |
Capital Loss Carryforward amounts may be limited due to U.S. Treasury Regulations.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 165 |
NOTES TO FINANCIAL STATEMENTS (continued)
1 | A summary of the expiration of the aforementioned Capital Loss Carryforward is as follows: |
Total | ||||||||||||||||||||||||||||||||||||
Expires in | Expires in | Expires in | Expires in | Expires in | Expires in | Expires in | Expires in | Capital Loss | ||||||||||||||||||||||||||||
Fund | 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | Carryforward | |||||||||||||||||||||||||||
Nova Fund | $ | (16,542,228 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (25,145,429 | ) | $ | — | $ | (41,687,657 | ) | |||||||||||||||
Inverse S&P 500 | ||||||||||||||||||||||||||||||||||||
Strategy Fund | — | — | — | (180,774 | ) | (5,114,923 | ) | (1,661,366 | ) | — | (13,157,153 | ) | (20,114,216 | ) | ||||||||||||||||||||||
NASDAQ-100® Fund | (98,591,246 | ) | (10,118,266 | ) | (305,933 | ) | — | — | — | (10,810,828 | ) | — | (119,826,273 | ) | ||||||||||||||||||||||
Inverse NASDAQ-100® | ||||||||||||||||||||||||||||||||||||
Strategy Fund | — | — | — | (2,149,850 | ) | (1,494,971 | ) | (5,330,554 | ) | — | (9,292,387 | ) | (18,267,762 | ) | ||||||||||||||||||||||
S&P 500 2x Strategy Fund | — | — | — | — | — | — | (25,424,851 | ) | (600,541 | ) | (26,025,392 | ) | ||||||||||||||||||||||||
NASDAQ-100® 2x Strategy Fund | — | — | — | — | — | — | (27,281,114 | ) | — | (27,281,114 | ) | |||||||||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | — | — | — | — | — | (157,985 | ) | (8,289,890 | ) | (971,584 | ) | (9,419,459 | ) | |||||||||||||||||||||||
Inverse Mid-Cap Strategy Fund | — | — | — | — | (513,021 | ) | (340,570 | ) | — | (1,894,464 | ) | (2,748,055 | ) | |||||||||||||||||||||||
Russell 2000® 2x Strategy Fund | — | — | — | — | — | (683,805 | ) | (3,467,963 | ) | (1,154,902 | ) | (5,306,670 | ) | |||||||||||||||||||||||
Russell 2000® 1.5x Strategy Fund | — | — | — | — | — | (848,738 | ) | (8,068,379 | ) | (202,319 | ) | (9,119,436 | ) | |||||||||||||||||||||||
Inverse Russell 2000® | ||||||||||||||||||||||||||||||||||||
Strategy Fund | — | — | (295,607 | ) | (955,067 | ) | (3,912,378 | ) | (371,570 | ) | — | (5,019,104 | ) | (10,553,726 | ) | |||||||||||||||||||||
Dow 2x Strategy Fund | — | — | — | — | — | — | (21,135,557 | ) | (8,149,063 | ) | (29,284,620 | ) | ||||||||||||||||||||||||
Inverse Dow 2x Strategy Fund | — | — | — | — | — | — | — | (13,703,764 | ) | (13,703,764 | ) | |||||||||||||||||||||||||
S&P 500 Pure Growth Fund | — | — | — | — | — | — | (992,717 | ) | (3,933,619 | ) | (4,926,336 | ) | ||||||||||||||||||||||||
S&P 500 Pure Value Fund | — | — | — | — | — | — | (4,082,812 | ) | (3,156,842 | ) | (7,239,654 | ) | ||||||||||||||||||||||||
S&P MidCap 400 | ||||||||||||||||||||||||||||||||||||
Pure Growth Fund | — | — | — | — | — | — | (3,436,260 | ) | (964,302 | ) | (4,400,562 | ) | ||||||||||||||||||||||||
S&P MidCap 400 | ||||||||||||||||||||||||||||||||||||
Pure Value Fund | — | — | — | — | — | — | (1,798,278 | ) | (2,915,570 | ) | (4,713,848 | ) | ||||||||||||||||||||||||
S&P SmallCap 600 | ||||||||||||||||||||||||||||||||||||
Pure Growth Fund | — | — | — | — | — | — | (1,085,308 | ) | (6,635,710 | ) | (7,721,018 | ) | ||||||||||||||||||||||||
S&P SmallCap 600 | ||||||||||||||||||||||||||||||||||||
Pure Value Fund | — | — | — | — | — | (494,096 | ) | (1,438,380 | ) | (3,747,754 | ) | (5,680,230 | ) | |||||||||||||||||||||||
Europe 1.25x Strategy Fund | — | — | — | — | (14,473,305 | ) | — | (14,473,305 | ) | |||||||||||||||||||||||||||
Japan 2x Strategy Fund | — | — | — | — | — | (1,921,099 | ) | (5,525,584 | ) | — | (7,446,683 | ) | ||||||||||||||||||||||||
Strengthening Dollar 2x | ||||||||||||||||||||||||||||||||||||
Strategy Fund | — | — | — | — | — | — | — | (2,779,638 | ) | (2,779,638 | ) | |||||||||||||||||||||||||
Weakening Dollar 2x | ||||||||||||||||||||||||||||||||||||
Strategy Fund | — | — | — | — | — | — | (1,596,857 | ) | — | (1,596,857 | ) | |||||||||||||||||||||||||
Real Estate Fund | — | — | — | — | — | — | (4,258,273 | ) | (7,336,044 | ) | (11,594,317 | ) | ||||||||||||||||||||||||
Government Long Bond 1.2x | ||||||||||||||||||||||||||||||||||||
Strategy Fund | — | — | — | — | — | — | — | (7,454,160 | ) | (7,454,160 | ) | |||||||||||||||||||||||||
Inverse Government Long | ||||||||||||||||||||||||||||||||||||
Bond Strategy Fund | — | — | (2,139,642 | ) | (2,319,251 | ) | (986,005 | ) | (1,974,960 | ) | (4,794,104 | ) | — | (12,213,962 | ) |
166 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
1
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2009, 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) | ||||||||||||
Nova Fund | $ | 48,024,957 | $ | 2,104,047 | $ | (364,089 | ) | $ | 1,739,958 | |||||||
Inverse S&P 500 Strategy Fund | 24,186,272 | — | — | — | ||||||||||||
NASDAQ-100® Fund | 35,206,734 | 23,312,092 | (276,210 | ) | 23,035,882 | |||||||||||
Inverse NASDAQ-100® Strategy Fund | 12,483,025 | — | — | — | ||||||||||||
S&P 500 2x Strategy Fund | 24,438,327 | 1,464,503 | (54,689 | ) | 1,409,814 | |||||||||||
NASDAQ-100® 2x Strategy Fund | 25,158,266 | 7,286,111 | (71,065 | ) | 7,215,046 | |||||||||||
Mid-Cap 1.5x Strategy Fund | 16,168,549 | 571,365 | (795,360 | ) | (223,995 | ) | ||||||||||
Inverse Mid-Cap Strategy Fund | 4,836,251 | — | — | — | ||||||||||||
Russell 2000® 2x Strategy Fund | 3,174,236 | 192,310 | (65,483 | ) | 126,827 | |||||||||||
Russell 2000® 1.5x Strategy Fund | 12,915,082 | 85,705 | (275,240 | ) | (189,535 | ) | ||||||||||
Inverse Russell 2000® Strategy Fund | 10,843,856 | — | — | — | ||||||||||||
Dow 2x Strategy Fund | 16,545,082 | 1,291,770 | (52,441 | ) | 1,239,329 | |||||||||||
Inverse Dow 2x Strategy Fund | 15,020,403 | — | — | — | ||||||||||||
S&P 500 Pure Growth Fund | 32,076,921 | 2,566,885 | (141,440 | ) | 2,425,445 | |||||||||||
S&P 500 Pure Value Fund | 28,715,121 | — | (663,849 | ) | (663,849 | ) | ||||||||||
S&P MidCap 400 Pure Growth Fund | 39,499,471 | 5,381,355 | (105,667 | ) | 5,275,688 | |||||||||||
S&P MidCap 400 Pure Value Fund | 29,001,191 | 828,105 | (450,750 | ) | 377,355 | |||||||||||
S&P SmallCap 600 Pure Growth Fund | 12,145,803 | 1,478,044 | (70,081 | ) | 1,407,963 | |||||||||||
S&P SmallCap 600 Pure Value Fund | 12,651,216 | 1,057,180 | (190,379 | ) | 866,801 | |||||||||||
Europe 1.25x Strategy Fund | 20,661,077 | — | (259,420 | ) | (259,420 | ) | ||||||||||
Japan 2x Strategy Fund | 6,479,148 | — | — | — | ||||||||||||
Strengthening Dollar 2x Strategy Fund | 7,290,999 | — | — | — | ||||||||||||
Weakening Dollar 2x Strategy Fund | 4,907,257 | — | — | — | ||||||||||||
Real Estate Fund | 33,304,424 | 474,681 | (126,951 | ) | 347,730 | |||||||||||
Government Long Bond 1.2x Strategy Fund | 28,289,235 | — | (199,592 | ) | (199,592 | ) | ||||||||||
Inverse Government Long Bond Strategy Fund | 36,859,100 | — | — | — | ||||||||||||
U.S. Government Money Market Fund | 239,931,565 | — | — | — |
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, 2009, the following amounts of realized capital and currency losses reflected in the accompanying financial statements will not be recognized for Federal income tax purposes until January 1, 2010:
Fund | Capital | |||
Inverse Mid-Cap Strategy Fund | $ | (204,831 | ) | |
Inverse Russell 2000® Fund | (1,213,524 | ) | ||
Inverse Dow 2x Strategy Fund | (2,829,712 | ) | ||
S&P 500 Pure Growth Fund | (422,287 | ) | ||
Weakening Dollar 2x Strategy Fund | (286,569 | ) |
6. Repurchase Agreements
The Funds transfer 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 Funds’ custodian and is evaluated to ensure that its market value exceeds at a minimum, 102% of the original face amount of the repurchase agreements. 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 Funds transfer 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 Funds’ custodian and is evaluated to ensure that its market value exceeds at a minimum, 102% of the original face amount of the repurchase agreements. 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 RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 167 |
2
NOTES TO FINANCIAL STATEMENTS (continued)
The repurchase agreements executed by the joint account and outstanding as of December 31, 2009, were as follows:
Counterparty | Terms of Agreement | Face Value | Market Value | Repurchase Price | ||||||||||||
Mizuho Financial Group, Inc. | 0.00% due 01/04/10 | $85,653,352 | $85,653,352 | $85,653,352 | ||||||||||||
HSBC Group | 0.00% due 01/04/10 | 85,000,000 | 85,000,000 | 85,000,000 | ||||||||||||
UBS Financial Services, Inc. | 0.00% due 01/04/10 | 85,000,000 | 85,000,000 | 85,000,000 | ||||||||||||
Morgan Stanley | 0.00% due 01/04/10 | 60,000,000 | 60,000,000 | 60,000,000 | ||||||||||||
Credit Suisse Group | (0.02)% due 01/04/10 | 39,364,616 | 39,364,616 | 39,364,529 | ||||||||||||
$355,017,968 | $355,017,881 | |||||||||||||||
As of December 31, 2009, the collateral for the repurchase agreements was as follows:
Security Type | Maturity Dates | Range of Rates | Par Value | Market Value | ||||||||||||
U.S. Treasury Bills | 03/18/10-06/17/10 | 0.00% | $ | 127,650,000 | $ | 127,526,933 | ||||||||||
U.S. Treasury Bond | 08/15/23 | 6.25% | 70,916,500 | 86,700,067 | ||||||||||||
U.S. TIP Notes | 01/15/11-04/15/11 | 2.38% - 3.50% | 63,614,800 | 77,052,155 | ||||||||||||
U.S. Treasury Notes | 11/30/14-11/15/17 | 2.13% - 4.75% | 65,722,300 | 70,843,095 | ||||||||||||
$ | 362,122,250 | |||||||||||||||
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their 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 Funds seek to assert their rights. The Funds’ investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
7. Fair Value Measurement
In accordance with U.S. generally accepted accounting principles, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:
In accordance with U.S. generally accepted accounting principles, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:
Level 1—quoted prices in active markets for identical securities.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
168 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
The following table summarizes the inputs used to value the Funds’ net assets at December 31, 2009:
Level 1 | Level 1 | Level 2 | Level 2 | |||||||||||||||||
Investments | Other Financial | Investments | Other Financial | |||||||||||||||||
Fund | In Securities | Instruments* | In Securities | Instruments* | Total | |||||||||||||||
Assets | ||||||||||||||||||||
Nova Fund | $ | 39,254,742 | $ | 46,893 | $ | 10,510,173 | $ | 568,396 | $ | 50,380,204 | ||||||||||
Inverse S&P 500 Strategy Fund | — | — | 24,186,272 | — | 24,186,272 | |||||||||||||||
NASDAQ-100® Fund | 52,088,678 | 39,433 | 6,153,938 | 27,564 | 58,309,613 | |||||||||||||||
Inverse NASDAQ-100® Strategy Fund | — | 3,532 | 12,483,025 | — | 12,486,557 | |||||||||||||||
S&P 500 2x Strategy Fund | 11,356,077 | — | 14,492,064 | 247,882 | 26,096,023 | |||||||||||||||
NASDAQ-100® 2x Strategy Fund | 25,742,436 | 547,691 | 6,630,876 | 1,056,481 | 33,977,484 | |||||||||||||||
Mid-Cap 1.5x Strategy Fund | 10,196,996 | 21,407 | 5,747,558 | 481,105 | 16,447,066 | |||||||||||||||
Inverse Mid-Cap Strategy Fund | — | 279 | 4,836,251 | — | 4,836,530 | |||||||||||||||
Russell 2000® 2x Strategy Fund | 2,004,603 | 34,349 | 1,296,460 | 103,814 | 3,439,226 | |||||||||||||||
Russell 2000® 1.5x Strategy Fund | 7,854,404 | 21,617 | 4,871,143 | 122,591 | 12,869,755 | |||||||||||||||
Inverse Russell 2000® Strategy Fund | — | — | 10,843,856 | — | 10,843,856 | |||||||||||||||
Dow 2x Strategy Fund | 9,175,628 | 57,060 | 8,608,783 | 144,740 | 17,986,211 | |||||||||||||||
Inverse Dow 2x Strategy Fund | — | 29,025 | 15,020,403 | 89,965 | 15,139,393 | |||||||||||||||
S&P 500 Pure Growth Fund | 34,300,019 | — | 202,347 | — | 34,502,366 | |||||||||||||||
S&P 500 Pure Value Fund | 27,932,992 | — | 118,280 | — | 28,051,272 | |||||||||||||||
S&P MidCap 400 Pure Growth Fund | 44,601,252 | — | 173,907 | — | 44,775,159 | |||||||||||||||
S&P MidCap 400 Pure Value Fund | 29,356,775 | — | 21,771 | — | 29,378,546 | |||||||||||||||
S&P SmallCap 600 Pure Growth Fund | 13,477,807 | — | 75,959 | — | 13,553,766 | |||||||||||||||
S&P SmallCap 600 Pure Value Fund | 13,498,426 | — | 19,591 | — | 13,518,017 | |||||||||||||||
Europe 1.25x Strategy Fund | 17,083,673 | 309,566 | 3,317,984 | — | 20,711,223 | |||||||||||||||
Japan 2x Strategy Fund | — | 169,121 | 6,479,148 | — | 6,648,269 | |||||||||||||||
Strengthening Dollar 2x Strategy Fund | — | 141,600 | 7,290,999 | 79,906 | 7,512,505 | |||||||||||||||
Weakening Dollar 2x Strategy Fund | — | — | 4,907,257 | — | 4,907,257 | |||||||||||||||
Real Estate Fund | 33,608,811 | — | 43,343 | — | 33,652,154 | |||||||||||||||
Government Long Bond 1.2x Strategy Fund | 8,525,756 | — | 19,563,887 | — | 28,089,643 | |||||||||||||||
Inverse Government Long Bond Strategy Fund | — | 275,782 | 36,859,100 | — | 37,134,882 | |||||||||||||||
U.S. Government Money Market Fund | — | — | 239,931,565 | — | 239,931,565 | |||||||||||||||
Liabilities | ||||||||||||||||||||
Nova Fund | — | — | — | — | — | |||||||||||||||
Inverse S&P 500 Strategy Fund | — | 34,687 | — | 304,298 | 338,985 | |||||||||||||||
NASDAQ-100® Fund | — | — | — | — | — | |||||||||||||||
Inverse NASDAQ-100® Strategy Fund | — | — | — | 474,203 | 474,203 | |||||||||||||||
S&P 500 2x Strategy Fund | — | 36,174 | — | — | 36,174 | |||||||||||||||
NASDAQ-100® 2x Strategy Fund | — | — | — | — | — | |||||||||||||||
Mid-Cap 1.5x Strategy Fund | — | — | — | — | — | |||||||||||||||
Inverse Mid-Cap Strategy Fund | — | — | — | 140,185 | 140,185 | |||||||||||||||
Russell 2000® 2x Strategy Fund | — | — | — | — | — | |||||||||||||||
Russell 2000® 1.5x Strategy Fund | — | — | — | — | — | |||||||||||||||
Inverse Russell 2000® Strategy Fund | — | 40,797 | — | 125,888 | 166,685 | |||||||||||||||
Dow 2x Strategy Fund | — | — | — | — | — | |||||||||||||||
Inverse Dow 2x Strategy Fund | — | — | — | — | — | |||||||||||||||
S&P 500 Pure Growth Fund | — | — | — | — | — | |||||||||||||||
S&P 500 Pure Value Fund | — | — | — | — | — | |||||||||||||||
S&P MidCap 400 Pure Growth Fund | — | — | — | — | — | |||||||||||||||
S&P MidCap 400 Pure Value Fund | — | — | — | — | — | |||||||||||||||
S&P SmallCap 600 Pure Growth Fund | — | — | — | — | — | |||||||||||||||
S&P SmallCap 600 Pure Value Fund | — | — | — | — | — | |||||||||||||||
Europe 1.25x Strategy Fund | — | — | — | — | — | |||||||||||||||
Japan 2x Strategy Fund | — | — | — | — | — | |||||||||||||||
Strengthening Dollar 2x Strategy Fund | — | — | — | — | — | |||||||||||||||
Weakening Dollar 2x Strategy Fund | — | 222,449 | — | 3,639 | 226,088 | |||||||||||||||
Real Estate Fund | — | — | — | — | — | |||||||||||||||
Government Long Bond 1.2x Strategy Fund | — | 316,022 | — | — | 316,022 | |||||||||||||||
Inverse Government Long Bond Strategy Fund | 16,075,500 | — | — | — | 16,075,500 | |||||||||||||||
U.S. Government Money Market Fund | — | — | — | — | — |
* | Other financial instruments may include forward foreign currency contracts, futures and/or swaps, which are reported as unrealized gain/loss at period end. |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 169 |
1
NOTES TO FINANCIAL STATEMENTS (continued)
8. Securities Transactions
During the period ended December 31, 2009, the cost of purchases and proceeds from sales of investment securities, excluding short-term and temporary cash investments, were:
Inverse | ||||||||||||||||||||||||||||||||
Inverse | NASDAQ-100® | S&P 500 2x | NASDAQ-100® | Mid-Cap 1.5x | Inverse | |||||||||||||||||||||||||||
Nova | S&P 500 | NASDAQ-100® | Strategy | Strategy | 2x Strategy | Strategy | Mid-Cap | |||||||||||||||||||||||||
Fund | Strategy Fund | Fund | Fund | Fund | Fund | Fund | Strategy Fund | |||||||||||||||||||||||||
Purchases | $ | 33,847,332 | $ | — | $ | 29,780,452 | $ | — | $ | 24,400,549 | $ | 18,267,445 | $ | 5,799,760 | $ | — | ||||||||||||||||
Sales | $ | 24,550,084 | $ | — | $ | 25,119,289 | $ | — | $ | 30,844,242 | $ | 15,239,937 | $ | 3,991,245 | $ | — | ||||||||||||||||
Inverse | S&P | S&P | S&P | |||||||||||||||||||||||||||||
Russell 2000® | Russell 2000® | Inverse | Dow 2x | Dow 2x | 500 Pure | 500 Pure | 400 Pure | |||||||||||||||||||||||||
2x Strategy | 1.5x Strategy | Russell 2000® | Strategy | Strategy | Growth | Value | Growth | |||||||||||||||||||||||||
Fund | Fund | Strategy Fund | Fund | Fund | Fund | Fund | Fund | |||||||||||||||||||||||||
Purchases | $ | 7,774,983 | $ | 26,941,070 | $ | — | $ | 8,250,412 | $ | — | $ | 118,524,739 | $ | 77,367,383 | $ | 86,762,986 | ||||||||||||||||
Sales | $ | 6,925,525 | $ | 29,128,704 | $ | — | $ | 22,544,656 | $ | — | $ | 105,578,356 | $ | 64,041,776 | $ | 65,425,913 | ||||||||||||||||
S&P | S&P | S&P | Strengthening | Weakening | ||||||||||||||||||||||||||||
MidCap 400 | SmallCap 600 | SmallCap 600 | Europe 1.25x | Japan 2x | Dollar 2x | Dollar 2x | Real | |||||||||||||||||||||||||
Pure Value | Pure Growth | Pure Value | Strategy | Strategy | Strategy | Strategy | Estate | |||||||||||||||||||||||||
Fund | Fund | Fund | Fund | Fund | Fund | Fund | Fund | |||||||||||||||||||||||||
Purchases | $ | 67,023,938 | $ | 89,952,779 | $ | 71,955,723 | $ | 39,036,069 | $ | — | $ | — | $ | — | $ | 103,677,494 | ||||||||||||||||
Sales | $ | 51,078,595 | $ | 92,475,939 | $ | 77,070,107 | $ | 33,369,601 | $ | — | $ | — | $ | — | $ | 90,016,707 | ||||||||||||||||
Government | Inverse | U.S. | ||||||||||||||||||||||||||||||
Long Bond | Government | Government | ||||||||||||||||||||||||||||||
1.2x Strategy | Long Bond | Money Market | ||||||||||||||||||||||||||||||
Fund | Strategy Fund | Fund | ||||||||||||||||||||||||||||||
Purchases | $ | 470,972,848 | $ | — | $ | — | ||||||||||||||||||||||||||
Sales | $ | 479,992,209 | $ | — | $ | — |
170 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
2
NOTES TO FINANCIAL STATEMENTS (continued)
9. Share Transactions
The Trust is authorized to issue an unlimited number of shares (no par value). Transactions in shares for the periods presented were:
Shares | ||||||||||||||||||||||||||||||||
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, | |||||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | |||||||||||||||||||||||||
Nova Fund† | 2,782,480 | 2,626,742 | 6,730 | 5,094 | (2,733,641 | ) | (2,677,574 | ) | 55,569 | (45,738 | ) | |||||||||||||||||||||
Inverse S&P 500 Strategy Fund | 10,008,325 | 21,518,902 | — | 2,739 | (9,874,534 | ) | (21,624,298 | ) | 133,791 | (102,657 | ) | |||||||||||||||||||||
NASDAQ-100® Fund | 15,689,619 | 15,541,893 | — | 7,546 | (15,226,489 | ) | (16,959,483 | ) | 463,130 | (1,410,044 | ) | |||||||||||||||||||||
Inverse NASDAQ-100® Strategy Fund | 19,594,923 | 17,935,192 | 1,039 | 2,502 | (19,126,235 | ) | (18,256,560 | ) | 469,727 | (318,866 | ) | |||||||||||||||||||||
S&P 500 2x Strategy Fund† | 9,648,262 | 3,347,245 | 1,768 | — | (9,758,459 | ) | (3,106,068 | ) | (108,429 | ) | 241,177 | |||||||||||||||||||||
NASDAQ-100® 2x Strategy Fund | 29,248,186 | 20,970,855 | — | 5,285 | (30,071,865 | ) | (20,300,480 | ) | (823,679 | ) | 675,660 | |||||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | 6,229,476 | 5,902,564 | 572 | — | (6,608,555 | ) | (5,846,105 | ) | (378,507 | ) | 56,459 | |||||||||||||||||||||
Inverse Mid-Cap Strategy Fund | 1,105,078 | 1,570,980 | — | 585 | (1,053,510 | ) | (1,555,212 | ) | 51,568 | 16,353 | ||||||||||||||||||||||
Russell 2000® 2x Strategy Fund† | 1,241,567 | 434,385 | 3 | 903 | (1,251,526 | ) | (416,502 | ) | (9,956 | ) | 18,786 | |||||||||||||||||||||
Russell 2000®1.5x Strategy Fund | 12,705,572 | 8,537,378 | — | 1,695 | (13,069,897 | ) | (8,335,124 | ) | (364,325 | ) | 203,949 | |||||||||||||||||||||
Inverse Russell 2000® Strategy Fund | 7,526,813 | 6,499,337 | — | 1,622 | (7,310,215 | ) | (6,651,630 | ) | 216,598 | (150,671 | ) | |||||||||||||||||||||
Dow 2x Strategy Fund† | 2,497,178 | 2,761,219 | — | 8,738 | (2,949,955 | ) | (2,365,342 | ) | (452,777 | ) | 404,615 | |||||||||||||||||||||
Inverse Dow 2x Strategy Fund | 18,095,669 | 10,433,543 | — | 108,279 | (17,509,886 | ) | (10,625,926 | ) | 585,783 | (84,104 | ) | |||||||||||||||||||||
S&P s500 Pure Growth Fund | 5,918,829 | 4,488,552 | — | — | (5,298,909 | ) | (5,012,226 | ) | 619,920 | (523,674 | ) | |||||||||||||||||||||
S&P 500 Pure Value Fund† | 1,238,658 | 810,076 | 6,632 | 62,637 | (1,043,567 | ) | (861,316 | ) | 201,723 | 11,397 | ||||||||||||||||||||||
S&P MidCap 400 Pure Growth Fund | 2,971,794 | 3,431,308 | — | — | (2,072,658 | ) | (3,689,854 | ) | 899,136 | (258,546 | ) | |||||||||||||||||||||
S&P MidCap 400 Pure Value Fund† | 1,065,338 | 428,519 | 4,032 | 39,173 | (802,602 | ) | (446,448 | ) | 266,768 | 21,244 | ||||||||||||||||||||||
S&P SmallCap 600 Pure Growth Fund | 4,853,655 | 3,612,727 | — | — | (5,056,310 | ) | (3,300,132 | ) | (202,655 | ) | 312,595 | |||||||||||||||||||||
S&P SmallCap 600 Pure Value Fund† | 1,216,577 | 807,806 | 2,433 | 2,311 | (1,255,471 | ) | (713,852 | ) | (36,461 | ) | 96,265 | |||||||||||||||||||||
Europe 1.25x Strategy Fund | 6,090,427 | 3,814,283 | 29,811 | 54,998 | (5,775,119 | ) | (5,644,181 | ) | 345,119 | (1,774,900 | ) | |||||||||||||||||||||
Japan 2x Strategy Fund | 4,318,134 | 4,289,085 | 1,917 | 5,839 | (4,736,245 | ) | (4,110,880 | ) | (416,194 | ) | 184,044 | |||||||||||||||||||||
Strengthening Dollar 2x Strategy Fund | 6,089,566 | 3,732,267 | 367,547 | — | (5,694,228 | ) | (3,600,795 | ) | 762,885 | 131,472 | ||||||||||||||||||||||
Weakening Dollar 2x Strategy Fund | 2,482,978 | 2,983,339 | 83 | — | (2,736,491 | ) | (3,021,150 | ) | (253,430 | ) | (37,811 | ) | ||||||||||||||||||||
Real Estate Fund | 6,121,767 | 2,996,630 | 33,408 | 117,564 | (5,456,422 | ) | (3,157,297 | ) | 698,753 | (43,103 | ) | |||||||||||||||||||||
Government Long Bond 1.2x | ||||||||||||||||||||||||||||||||
Strategy Fund | 33,665,126 | 38,451,799 | 2,156,176 | 129,093 | (35,854,023 | ) | (39,162,852 | ) | (32,721 | ) | (581,960 | ) | ||||||||||||||||||||
Inverse Government Long Bond | ||||||||||||||||||||||||||||||||
Strategy Fund | 20,562,501 | 17,094,570 | — | 3,211 | (19,623,167 | ) | (17,215,791 | ) | 939,334 | (118,010 | ) | |||||||||||||||||||||
U.S. Government Money | ||||||||||||||||||||||||||||||||
Market Fund | 1,108,889,442 | 1,084,838,243 | 137,382 | 3,944,200 | (1,238,453,140 | ) | (1,005,259,658 | ) | (129,426,316 | ) | 83,522,785 |
† | Per Share amounts for year ended December 31, 2008 and the period January 1, 2009 through April 19, 2009 have been restated to reflect a: | |
1:5 reverse share split effective April 20, 2009—Dow 2x Strategy Fund, S&P SmallCap 600 Pure Value Fund, S&P MidCap 400 Pure Value Fund and S&P 500 Pure Value Fund. | ||
1:10 reverse share split effective April 20, 2009—Nova Fund, S&P 2x Strategy Fund and Russell 2000® 2x Strategy Fund. |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 171 |
NOTES TO FINANCIAL STATEMENTS (concluded)
10. Name Changes
Effective May 1, 2009, the Small-Cap Value Fund, Mid-Cap Value Fund, Large-Cap Value Fund, Small-Cap Growth Fund, Mid-Cap Growth Fund, and Large-Cap Growth Fund changed their Fund names to S&P SmallCap 600 Pure Value Fund, S&P MidCap 400 Pure Value Fund, S&P 500 Pure Value Fund, S&P SmallCap 600 Pure Growth Fund, S&P MidCap 400 Pure Growth Fund, and S&P 500 Pure Growth Fund, respectively. The name changes did not have any impact on the Funds’ investment objectives, tickers or CUSIPS.
Effective May 1, 2009, the Japan 1.25x Strategy Fund changed its name to the Japan 2x Strategy Fund, to provide investors with greater exposure (200% leveraged exposure) to a more widely recognized index tracking the Tokyo Stock Exchange. The index was changed to the Nikkei-225 Stock Average Index and the management fee reduced to 0.75%. The name change did not have any impact of the Fund’s CUSIP.
11. Reverse Share Splits
Effective April 20, 2009, Dow 2x Strategy Fund, S&P SmallCap 600 Pure Value Fund, S&P MidCap 400 Pure Value Fund, and S&P 500 Pure Value Fund underwent a 1-for-5 reverse share split, and Nova Fund, S&P 500 2x Strategy Fund, and Russell 2000® 2x Strategy Fund underwent a 1-for-10 reverse share split. The effect of these transactions was to divide the number of outstanding shares of each fund by the reverse split factor, resulting in a corresponding increase in the net asset value per share. The share transactions presented in Note 9 and the per share data in the financial highlights for periods presented prior to April 20, 2009 have been given retroactive effects to reflect these reverse share splits. There were no changes in net assets, results of operations or total return as a result of these transactions.
12. Line of Credit
The Trust has secured an uncommitted, $75,000,000 line of credit with U.S. Bank, N.A. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly. The maximum loan amount outstanding per Fund should be the lesser of: an amount which, when added to the total of other outstanding loan amounts under this agreement, exceeds the total line of credit, 33 1/3% of a Fund’s net assets, 33 1/3% of a Fund’s assets held by the Custodian or 33 1/3% of the sum of a Fund’s securities on any given day. This line of credit expires on June 15, 2010. As of and for the year ended December 31, 2009, the Funds did not have any outstanding borrowings under this agreement.
13. New Accounting Pronouncements
In January 2010, the Financial Accounting Standards Board issued an Accounting Standards Update, Improving Disclosures about Fair Value Measurements, which introduces new disclosure requirements and clarifies certain existing disclosure requirements around fair value measurements currently presented in Note 7. The new disclosures and clarifications of existing disclosures are generally effective for the Funds’ year ending December 31, 2010 and interim periods therein. Management is evaluating the impact of this update on its current disclosures.
14. Subsequent Events
Management has evaluated events or transactions that may have occurred since December 31, 2009, that would merit recognition or disclosure in the financial statements. This evaluation was completed through February 25, 2010, the date the financial statements were available to be issued.
On February 15, 2010, Security Benefit Mutual Holding Company (“SBMHC”), the parent company of Security Benefit Corporation (“SBC”) and the ultimate parent company of Rydex Investments, entered into a Purchase and Sale Agreement whereby Guggenheim SBC Holdings LLC (“Guggenheim Holdings”) will, subject to regulatory approval, policyholder approval and approval by the shareholders of the mutual funds and exchange traded funds sponsored by affiliates of SBMHC, purchase all of the issued and outstanding stock of SBC (the “SBC Purchase Transaction”). The SBC Purchase Transaction would result in a change of control of Rydex Investments whereby SBC and its subsidiaries would be wholly-owned by Guggenheim Holdings. If the SBC Purchase Transaction does not close, other than as a result of a breach by Guggenheim Holdings or for certain other reasons, then SBC will sell its asset management business to Guggenheim Holdings, which would include Rydex Investments and would result in a change of control of Rydex Investments. The sale of SBC’s asset management business, like the SBC Purchase Transaction, would be subject to regulatory approval and approval by the shareholders of the mutual funds and exchange traded funds sponsored by affiliates of SBMHC.
172 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders
of the Rydex Variable Trust:
of the Rydex Variable Trust:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Nova Fund, Inverse S&P 500 Strategy Fund, NASDAQ-100® Fund, Inverse NASDAQ-100® Strategy Fund, S&P 500 2x Strategy Fund, NASDAQ-100® 2x Strategy Fund, Mid-Cap 1.5x Strategy Fund, Inverse Mid-Cap Strategy Fund, Russell 2000® 2x Strategy Fund, Russell 2000® 1.5x Strategy Fund, Inverse Russell 2000® Strategy Fund, Dow 2x Strategy Fund, Inverse Dow 2x Strategy Fund, S&P 500 Pure Growth Fund, S&P 500 Pure Value Fund, S&P MidCap 400 Pure Growth Fund, S&P MidCap 400 Pure Value Fund, S&P SmallCap 600 Pure Growth Fund, S&P SmallCap 600 Pure Value Fund, Europe 1.25x Strategy Fund, Japan 2x Strategy Fund, Strengthening Dollar 2x Strategy Fund, Weakening Dollar 2x Strategy Fund, Real Estate Fund, Government Long Bond 1.2x Strategy Fund, Inverse Government Long Bond Strategy Fund, and U.S. Government Money Market Fund (twenty-seven of the series constituting the Rydex Variable Trust)(the “Funds”) as of December 31, 2009, and the related statements of operations for the year then ended, and the statements of changes in net assets and financial highlights for each of the two years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for each of the periods presented through December 31, 2007 were audited by other auditors, whose report dated February 26, 2008 expressed an unqualified opinion on those financial highlights.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2009, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above listed Funds at December 31, 2009, the results of their operations for the year then ended, and the changes in their net assets and their financial highlights for each of the two years in the period then ended, in conformity with U.S. generally accepted accounting principles.
McLean, Virginia
February 25, 2010
February 25, 2010
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 173 |
OTHER INFORMATION (Unaudited)
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 | |||
Nova Fund | 100.00 | % | ||
S&P 500 2x Strategy Fund | 100.00 | % | ||
Mid-Cap 1.5x Strategy Fund | 100.00 | % | ||
Russell 2000® 2x Strategy Fund | 100.00 | % | ||
S&P 500 Pure Value Fund | 100.00 | % | ||
S&P MidCap 400 Pure Value Fund | 100.00 | % | ||
S&P SmallCap 600 Pure Value Fund | 100.00 | % |
With respect to the taxable year ended December 31, 2009, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
Government | ||||||||
Strengthening | Long Bond 1.2x | |||||||
Dollar 2x Strategy | Strategy | |||||||
Fund | Fund | |||||||
From long-term capital gains, subject to the 15% rate gains category: | $ | 1,532,863 | $ | 4,926,154 |
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 December 31 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 are 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 Agreements
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 (including any sub-advisory agreement) be specifically approved (1) by the vote of the trustees or by a vote of the shareholders of the fund, and (2) by the vote of a majority of the trustees who are not parties to the investment advisory agreement (or sub-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 (or sub-advisory agreement). In addition, the U.S. 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 (or renew) an investment advisory agreement (or sub-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 (including sub-advisory agreements) between Rydex Variable Trust (the “Trust”) and PADCO Advisors II, Inc., which does business under the name Rydex Investments (“Rydex Investments”) (the “Advisory Agreements”), with respect to existing funds in the Trust (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
174 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
OTHER INFORMATION (Unaudited) (continued)
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. This information is 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 (including sub-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 an in-person meeting held on August 25, 2009, called for the purpose of among other things, voting on the renewal of the Advisory Agreements, the Board, including all of the Independent Trustees (the “Annual Renewal Meeting”), considered and approved the selection of Rydex Investments as the Funds’ investment advisor and the continuance of the Advisory Agreements for an additional one-year period, based on its review of qualitative and quantitative information provided by Rydex Investments.
Board Considerations in Approving the Continuation of the 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 and compliance procedures applicable to personal securities transactions; (j) Rydex Investments’ reputation, expertise and resources in the 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 Advisory Agreements are fair and reasonable; (b) concluded that Rydex Investments’ fees were reasonable in light of the services that Rydex Investments provides to each of the Funds; and (c) agreed to renew the Advisory Agreements for an additional one-year term.
In approving the continuation of the Advisory 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 the Adviser
At the Annual Renewal Meeting, the Board reviewed the scope of services to be provided by Rydex Investments under the Advisory Agreements 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 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 Advisory 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. In addition, the Board reviewed and considered certain of the Funds’ investment in wholly-owned and controlled Cayman Islands subsidiaries (each a “Subsidiary”), and noted that each Subsidiary has entered into a separate advisory agreement with Rydex Investments for the management of that Subsidiary’s portfolio pursuant to which the Subsidiary pays
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 175 |
OTHER INFORMATION (Unaudited) (continued)
Rydex Investments a management fee at the same rate that the Subsidiary’s corresponding Fund pays Rydex Investments. The Board noted that Rydex Investments has contractually agreed to waive the management fee it receives from each Fund in an amount equal to the management fee paid to Rydex Investments by each Fund’s Subsidiary and that the contractual fee waiver will continue in effect for so long as each Fund invests in its Subsidiary. The Board further noted that the contractual fee waiver may not be terminated by Rydex Investments unless the Board approves such termination. The Board 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. 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 Advisory 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 benchmark 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 lack of a sizeable peer group for certain 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 also noted that the investment advisory fees for the Funds generally 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 Advisory 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 Advisory 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 Advisory 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 the Advisory Agreements did not provide 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.
176 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
OTHER INFORMATION (Unaudited) (concluded)
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.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 177 |
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.
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 | 151 | ||
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 | 151 | ||
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 | 151 | ||
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 | 151 | ||
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) | ||||
Thomas F. Lydon, Jr. | Rydex Series Funds – 2005 | 151 | ||
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 | 151 | ||
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 | 151 | ||
Trustee (1944) | Rydex Variable Trust – 1998 | |||
Rydex Dynamic Funds – 1999 | ||||
Rydex ETF Trust – 2003 | ||||
Principal Occupations During Past Five Years: Owner, Arrow Limousine | ||||
178 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)
EXECUTIVE OFFICERS
Name, Position and | Principal Occupations | |
Year of Birth | During Past Five Years | |
Richard M. Goldman* President (1961) | President of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Chief Executive Officer and Director of Rydex Investments (2009 to present); President, Chief Executive Officer and Director of Rydex Distributors, Inc. (2009 to present); President and Chief Executive Officer of Rydex Holdings, LLC (2009 to present); Senior Vice President of Security Benefit Corp. (2007 to present); Director of First Security Benefit Life and Annuity Insurance Company of New York (2007 to present); Director of Security Distributors, Inc. (2007 to present); President of Security Investors, LLC (2007 to present); Manager and President of Security Global Investors, LLC (2007 to present); Managing Member of R.M. Goldman Partners, LLC (2006 to 2007); President and Chief Executive Officer of FortsmannLeff Associates (2003 to 2005) | |
Michael P. Byrum* Vice President (1970) | 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); President of Rydex Investments (2004 to present); Chief Investment Officer of Rydex Investments (2006 to present); Secretary of Rydex Investments (2002 to present); Director of Rydex Investments (2008 to present); Chief Investment Officer of Rydex Holdings, LLC (2008 to present); Vice President of Rydex Distributors, Inc. (2009 to present); Manager of Rydex Specialized Products, LLC (2005 to present); Secretary of Rydex Specialized Products, LLC (2005 to 2008); Trustee of Rydex Series Funds, Rydex Variable Trust and Rydex Dynamic Funds (2005 to 2009); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2007) | |
Nick Bonos* Vice President and Treasurer (1963) | 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 (2006 to present); Chief Executive Officer of Rydex Specialized Products, LLC (2009 to present); Chief Financial Officer of Rydex Specialized Products, LLC (2005 to 2009); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006) | |
Joanna M. Haigney* Chief Compliance Officer and Secretary (1966) | Chief Compliance Officer of Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2004 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Chief Compliance Officer of Rydex Investments (2005 to present) Vice President of Compliance of Rydex Investments (2006 to present); Director of Rydex Distributors, Inc. (2009 to present); Secretary of Rydex Capital Partners SPhinX Fund (2003 to 2006) |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 179 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)
EXECUTIVE OFFICERS
Name, Position and | Principal Occupations | |
Year of Birth | During Past Five Years | |
Keith Fletcher* Vice President (1958) | Vice President of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Vice President of Rydex Investments (2009 to present); Vice President of Rydex Specialized Products, LLC (2009 to present); Vice President and Director of Rydex Distributors, Inc. (2009 to present); Vice President of Security Global Investors, LLC (2009 to present) | |
Amy Lee* Vice President and Assistant Secretary (1960) | Vice President and Assistant Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Secretary of Rydex Distributors, Inc. (2008 to present); Chief Compliance Officer of Rydex Distributors, Inc. (2008 to 2009); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Corp. (2005 to present); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Life Insurance Co. (2004 to present); Assistant General Counsel of First Security Benefit Life and Annuity Company of New York (2004 to present); Chief Compliance Officer and Secretary of Security Distributors, Inc. (2004 to present); Secretary of Security Global Investors, Inc. (2007 to present) | |
Joseph Arruda* Assistant Treasurer (1966) | Assistant Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Senior Vice President of Rydex Investments (2008 to present); Vice President of Rydex Investments (2004 to 2008); Manager and Chief Financial Officer of Rydex Specialized Products, LLC (2009 to present); Director of Accounting of Rydex Investments (2003 to 2004) | |
Paula Billos* Controller (1974) | Controller of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Director of Fund Administration of Rydex Investments (2001 to present) |
* | Officers of the Funds 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. |
180 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
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DECEMBER 31, 2009
RYDEX VARIABLE TRUST ANNUAL REPORT
SECTOR FUNDS
SECTOR FUNDS
BANKING FUND | INTERNET FUND | |||
BASIC MATERIALS FUND | LEISURE FUND | |||
BIOTECHNOLOGY FUND | PRECIOUS METALS FUND | |||
CONSUMER PRODUCTS FUND | RETAILING FUND | |||
ELECTRONICS FUND | TECHNOLOGY FUND | |||
ENERGY FUND | TELECOMMUNICATIONS FUND | |||
ENERGY SERVICES FUND | TRANSPORTATION FUND | |||
FINANCIAL SERVICES FUND | UTILITIES FUND | |||
HEALTH CARE FUND |
This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.
Distributed by Rydex Distributors, Inc.
TABLE OF CONTENTS
THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 1 |
LETTER TO OUR SHAREHOLDERS
DEAR SHAREHOLDER,
On September 15, 2009, Federal Reserve (Fed) Chairman Ben Bernanke stated that “the recession is very likely over.” Indications are that we are in fact emerging from what has been termed the “Great Recession,” but significant risks linger due to the aftershocks of the 2008 financial and liquidity crisis.
Despite the strong advance to end the year, 2009 marked the end of one of the all-time worst decades of performance for the U.S. equity markets, with an average annual return of -.95%. However, economic trends over the last year suggest that conditions are improving. One sign is an exceptionally strong equity market. From March 9 (the market’s low point) until the end of 2009, the U.S. equity market was up 67.80% as measured by the S&P 500® Index. Strong equity returns across multiple indices, including the MSCI EAFE Index® (up 32.43% for the year), reflected investors’ increased appetite for risk.
More signs of economic improvement
Emerging markets posted even stronger returns—the MSCI Emerging Markets Index, for instance, was up 78.58% in 2009. Additionally, all 10 underlying economic sectors posted positive returns during the one-year period, with information technology (59.92%) and materials (45.22%) leading the way. Among the laggards for the year, utilities (6.80%) and telecom (2.63%) still managed to produce positive returns. Along with traditional assets, hedge fund managers enjoyed the favorable market environment in 2009 with returns of 20.04% as measured by the HFRI Fund Weighted Composite Index, which is an equal weighted index of more than 2,000 single manager hedge funds. Those strong returns were in contrast to a poor showing in 2008, when the composite index was down 19%. Another good sign: After a significant spike at the height of the financial crisis in the fall of 2008, implied market volatility levels as measured by the VIX Index have steadily trended down to more normal levels.
Improving housing conditions and increases in consumer spending—combined with significant reduction of inventories—lifted the U.S. economy out of recession in the third quarter of 2009. Real GDP grew at a rate of 2.2% for the quarter. U.S. consumer confidence, as measured by the Conference Board Consumer Confidence Index, rose in December to 52.9—the second straight month of improvement. Consumer outlook has improved somewhat from early in 2009, although concerns relating to the job market continue to weigh on consumers. Another sign of stronger economic conditions is existing home sales, which continued to improve—in November, existing home sales increased 7.4% from the prior month.
Reasons for caution in 2010
While many indicators are positive, certain risks remain. One of the major areas of concern is U.S. employment. The pace of job losses has slowed considerably from late 2008 and early 2009, when the change to non-farm payrolls shed as much as 741,000 jobs in a month. However, in December, despite modest growth in the prior month, 85,000 jobs were lost. The unemployment rate remained unchanged at 10% only due to the fact that the labor force declined by 661,000 workers.
Looking at 2010, some questions remain. How (and in what timeframe) will the Fed orchestrate an exit to the massive amount of quantitative easing it has implemented? Will inflationary pressures force the Fed to raise rates prematurely or will excess productive capacity counter those risks? How will the government grapple with deficit issues while promoting job growth necessary to support the fragile economy?
2 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
LETTER TO OUR SHAREHOLDERS (concluded)
So far, the Fed has signaled that it will maintain an “exceptionally low” interest rate target for some time—in fact, there is a reasonable chance that the Fed will not increase rates until early 2011. If financial conditions continue to improve, the Fed will not need to further expand its credit easing policies and may begin an orderly exit to the existing programs. The major risks for the U.S. economy include long-run negative implications to carrying large budget deficits. Labor conditions also factor largely into the equation, with the risk of continued rising unemployment undermining the economic recovery.
In any case, the broad array of product offerings at Rydex|SGI can help investors either hedge or augment exposures to the equity or fixed-income markets, as well as introduce alternative assets and strategies into a portfolio to improve overall diversification. Thank you for the trust you place in us.
Sincerely,
Michael Byrum
President & Chief Investment Officer
President & Chief Investment Officer
Performance displayed represents past performance, which is no guarantee of future results.
Fund performance is subject to daily market volatility and may be better or worse since the end of the last quarter. For up-to-date fund performance, call 800.820.0888 or visit www.rydex-sgi.com.
THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 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, 2009 and ending December 31, 2009.
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 illustrated 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 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)
Beginning | Ending | Expenses | ||||||||||||||
Expense | Account Value | Account Value | Paid During | |||||||||||||
Ratio | † | June 30, 2009 | December 31, 2009 | Period | * | |||||||||||
Table 1. Based on actual Fund return | ||||||||||||||||
Banking Fund | 1.65 | % | $ | 1,000.00 | $ | 1,203.70 | $ | 9.16 | ||||||||
Basic Materials Fund | 1.65 | % | 1,000.00 | 1,307.10 | 9.60 | |||||||||||
Biotechnology Fund | 1.66 | % | 1,000.00 | 1,116.50 | 8.86 | |||||||||||
Consumer Products Fund | 1.65 | % | 1,000.00 | 1,177.10 | 9.05 | |||||||||||
Electronics Fund | 1.65 | % | 1,000.00 | 1,345.60 | 9.76 | |||||||||||
Energy Fund | 1.65 | % | 1,000.00 | 1,225.90 | 9.26 | |||||||||||
Energy Services Fund | 1.65 | % | 1,000.00 | 1,265.40 | 9.42 | |||||||||||
Financial Services Fund | 1.64 | % | 1,000.00 | 1,237.00 | 9.25 | |||||||||||
Health Care Fund | 1.65 | % | 1,000.00 | 1,203.90 | 9.17 | |||||||||||
Internet Fund | 1.65 | % | 1,000.00 | 1,249.60 | 9.36 | |||||||||||
Leisure Fund | 1.65 | % | 1,000.00 | 1,274.40 | 9.46 | |||||||||||
Precious Metals Fund | 1.54 | % | 1,000.00 | 1,287.60 | 8.88 | |||||||||||
Retailing Fund | 1.64 | % | 1,000.00 | 1,239.70 | 9.26 | |||||||||||
Technology Fund | 1.65 | % | 1,000.00 | 1,281.50 | 9.49 | |||||||||||
Telecommunications Fund | 1.65 | % | 1,000.00 | 1,125.30 | 8.84 | |||||||||||
Transportation Fund | 1.64 | % | 1,000.00 | 1,298.90 | 9.50 | |||||||||||
Utilities Fund | 1.65 | % | 1,000.00 | 1,149.10 | 8.94 | |||||||||||
Table 2. Based on hypothetical 5% return (before expenses) | ||||||||||||||||
Banking Fund | 1.65 | % | 1,000.00 | 1,016.89 | 8.39 | |||||||||||
Basic Materials Fund | 1.65 | % | 1,000.00 | 1,016.89 | 8.39 | |||||||||||
Biotechnology Fund | 1.66 | % | 1,000.00 | 1,016.84 | 8.44 | |||||||||||
Consumer Products Fund | 1.65 | % | 1,000.00 | 1,016.89 | 8.39 | |||||||||||
Electronics Fund | 1.65 | % | 1,000.00 | 1,016.89 | 8.39 | |||||||||||
Energy Fund | 1.65 | % | 1,000.00 | 1,016.89 | 8.39 | |||||||||||
Energy Services Fund | 1.65 | % | 1,000.00 | 1,016.89 | 8.39 | |||||||||||
Financial Services Fund | 1.64 | % | 1,000.00 | 1,016.94 | 8.34 | |||||||||||
Health Care Fund | 1.65 | % | 1,000.00 | 1,016.89 | 8.39 | |||||||||||
Internet Fund | 1.65 | % | 1,000.00 | 1,016.89 | 8.39 | |||||||||||
Leisure Fund | 1.65 | % | 1,000.00 | 1,016.89 | 8.39 | |||||||||||
Precious Metals Fund | 1.54 | % | 1,000.00 | 1,017.44 | 7.83 | |||||||||||
Retailing Fund | 1.64 | % | 1,000.00 | 1,016.94 | 8.34 | |||||||||||
Technology Fund | 1.65 | % | 1,000.00 | 1,016.89 | 8.39 | |||||||||||
Telecommunications Fund | 1.65 | % | 1,000.00 | 1,016.89 | 8.39 | |||||||||||
Transportation Fund | 1.64 | % | 1,000.00 | 1,016.94 | 8.34 | |||||||||||
Utilities Fund | 1.65 | % | 1,000.00 | 1,016.89 | 8.39 |
* | 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 number of days in current fiscal year. Expenses shown do not include fees charged by insurance companies. | |
† | Annualized |
THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 5 |
FUND PROFILES (Unaudited)
BANKING FUND
OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the banking sector, including commercial banks (and their holding companies) and savings and loan institutions (“Banking Companies”).
Inception: May 2, 2001
By March 2009, after the failure of Lehman Brothers and the growing uncertainty about asset values on bank balance sheets, Rydex Banking Fund traded 50% below where it began the year. However, the subsequent financial stress tests, combined with Federal Reserve purchases of mortgage-backed securities, contributed to an impressive rally for banks. Still, despite recovering almost all of their first-quarter losses, the industry underperformed the broader market in 2009. For the year ended December 31, 2009, Banking Fund fell 3.43% compared to the S&P 500 Index, which returned 26.47%. Within the sector, Diversified Financial Services and Capital Markets were among the industries which provided positive performance to the Fund during the year. The commercial bank industry—which comprised just over 68% of the portfolio and fell 9.3% detracted significantly from the performance of the sector.
Cumulative Fund Performance:
May 2, 2001 — December 31, 2009
May 2, 2001 — December 31, 2009
† | Data points for the line graph do not reflect the reinvestment of dividends on securities in the index. |
Barclays PLC (ADS), Credit Suisse Group (ADS) and Bank of America Corp. were among the best performing stocks in the Fund for the year. The worst-performing holdings for the period were Regions Financial Corp. (New), Marshall & Ilsley Corp. and Zions Bancorp.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (05/02/01) | ||||||||||
BANKING FUND | -3.43 | % | -14.83 | % | -4.39 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 0.43 | % | ||||||
S&P 500 FINANCIALS INDEX | 17.24 | % | -11.51 | % | -4.96 | % | ||||||
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 500 Financials 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.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Bank of New York Mellon Corp. | 4.0 | % | ||
Wells Fargo & Co. | 4.0 | % | ||
JPMorgan Chase & Co. | 4.0 | % | ||
U.S. Bancorp | 4.0 | % | ||
Bank of America Corp. | 3.9 | % | ||
PNC Financial Services Group, Inc. | 3.8 | % | ||
BB&T Corp. | 3.6 | % | ||
SunTrust Banks, Inc. | 2.7 | % | ||
M&T Bank Corp. | 2.5 | % | ||
Fifth Third Bancorp | 2.4 | % | ||
Top Ten Total | 34.9 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
6 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
FUND PROFILES (Unaudited) (continued)
BASIC MATERIALS FUND
OBJECTIVE: Seeks capital appreciation by investing in companies engaged in the mining, manufacture or sale of basic materials, such as lumber, steel, iron, aluminum, concrete, chemicals and other basic building and manufacturing materials (“Basic Materials Companies”).
Inception: May 2, 2001
For the one-year period ended December 31, 2009, Basic Materials Fund returned 55.46% compared with 26.47% for the S&P 500 Index. A return of global economic growth, most notably in emerging markets, led to significant price reflation for basic materials. As a result, mining companies, paper manufacturers, and chemical producers benefited from the stabilization and/or recovery in capacity utilization and product pricing throughout 2009. Within the sector, both the Metals & Mining and the Chemicals industries turned in very strong performances, rising 66.10% and 60.70, respectively. The top-performing holdings were Rio Tinto PLC (ADR), Vale
Cumulative Fund Performance:
May 2, 2001 — December 31, 2009
May 2, 2001 — December 31, 2009
† | Data points for the line graph do not reflect the reinvestment of dividends on securities in the index. |
S.A. (ADR) and Freeport-McMoRan Copper & Gold, Inc. The worst-performing holdings included Vulcan Materials Co., Pactiv Corp. and Olin Corp.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (05/02/01) | ||||||||||
BASIC MATERIALS FUND | 55.46 | % | 7.67 | % | 7.96 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 0.43 | % | ||||||
S&P 500 MATERIALS INDEX | 48.57 | % | 4.26 | % | 6.85 | % | ||||||
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 500 Materials 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.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
BHP Billiton Ltd. — SP ADR | 3.1 | % | ||
Monsanto Co. | 2.9 | % | ||
Barrick Gold Corp. | 2.7 | % | ||
Vale SA — SP ADR | 2.7 | % | ||
Freeport-McMoRan Copper & Gold, Inc. | 2.6 | % | ||
Dow Chemical Co. | 2.5 | % | ||
Potash Corporation of Saskatchewan | 2.4 | % | ||
E.I. du Pont de Nemours and Co. | 2.4 | % | ||
Goldcorp, Inc. | 2.4 | % | ||
The Mosaic Co. | 2.3 | % | ||
Top Ten Total | 26.0 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 7 |
FUND PROFILES (Unaudited) (continued)
BIOTECHNOLOGY FUND
OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the biotechnology industry, including companies involved in research and development, genetic or biological engineering and in the design, manufacture, or sale of related biotechnology products or services (“Biotechnology Companies”).
Inception: May 2, 2001
For the one-year period ended December 31, 2009, Biotechnology Fund returned 18.34% compared to the S&P 500 Index, which returned 26.47%. Biotechnology firms generally outperformed the broader market during the first three quarters of the year, as investors shifted from extreme risk aversion to risk seeking. However, company-specific events early in the fourth quarter hurt two of the industry’s leading names — Amgen and Genzyme — dragging down industry performance relative to the S&P 500 Index for the remainder of the year. The best-performing stocks in the Fund were Human Genome Sciences Inc., Dendreon
Cumulative Fund Performance:
May 2, 2001 – December 31, 2009
May 2, 2001 – December 31, 2009
† | Data points for the line graph do not reflect the reinvestment of dividends on securities in the index. |
Corp. and Genentech. The worst-performing stocks in the Fund included Genzyme Corp., Gilead Sciences, Inc. and Osiris Therapeutics, Inc. |
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (05/02/01) | ||||||||||
BIOTECHNOLOGY FUND | 18.34 | % | 3.12 | % | -1.16 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 0.43 | % | ||||||
S&P 500 HEALTH CARE INDEX | 19.70 | % | 2.57 | % | 1.00 | % | ||||||
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 500 Health Care 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.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Amgen, Inc. | 13.5 | % | ||
Gilead Sciences, Inc. | 10.9 | % | ||
Celgene Corp. | 9.4 | % | ||
Biogen Idec, Inc. | 7.2 | % | ||
Genzyme Corp. | 6.4 | % | ||
Human Genome Sciences, Inc. | 4.5 | % | ||
Cephalon, Inc. | 4.5 | % | ||
Vertex Pharmaceuticals, Inc. | 4.4 | % | ||
Dendreon Corp. | 3.3 | % | ||
United Therapeutics Corp. | 2.9 | % | ||
Top Ten Total | 67.0 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
8 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
FUND PROFILES (Unaudited) (continued)
CONSUMER PRODUCTS FUND
OBJECTIVE: Seeks capital appreciation by investing in companies engaged in manufacturing finished goods and services both domestically and internationally (“Consumer Products Companies”).
Inception: May 29, 2001
Consumer Product firms generally trended higher along with the broader equity market, albeit at a slower pace due to their lower return-lower risk profile. The Personal Products industry outperformed all other industries in this sector, as discretionary product firms, such as Estee Lauder and Avon, benefited from an improving economic outlook and earnings trends. Consumer Products Fund returned 19.12%, compared to a gain of 26.47% for the S&P 500 Index. Within the sector, the Beverages, Food Products and Tobacco industries were the biggest contributors to Fund returns, adding 6.68%, 6.52% and 4.32%, to Fund performance, respectively. Food and Staples Retailing were among the weakest performing industries, reducing Fund performance by a modest 0.02%. Fund performance for the year got the biggest
Cumulative Fund Performance:
May 29, 2001 – December 31, 2009
May 29, 2001 – December 31, 2009
† | Data points for the line graph do not reflect the reinvestment of dividends on securities in the index. |
boost from Coca-Cola Co., Altria Group, Inc. and Coca-Cola Enterprises, Inc. Kroger Co., Procter & Gamble Co. and Safeway, Inc. were among the Fund’s weakest performers during the year. |
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (05/29/01) | ||||||||||
CONSUMER PRODUCTS FUND | 19.12 | % | 3.46 | % | 5.61 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 0.41 | % | ||||||
S&P 500 CONSUMER STAPLES INDEX | 14.89 | % | 5.69 | % | 5.30 | % | ||||||
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 500 Consumer Staples 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.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Procter & Gamble Co. | 6.4 | % | ||
Coca-Cola Co. | 5.6 | % | ||
PepsiCo, Inc. | 4.7 | % | ||
Philip Morris International, Inc. | 4.6 | % | ||
Colgate-Palmolive Co. | 3.1 | % | ||
Kraft Foods, Inc. | 3.1 | % | ||
Altria Group, Inc. | 3.1 | % | ||
Kimberly-Clark Corp. | 2.5 | % | ||
General Mills, Inc. | 2.4 | % | ||
Kellogg Co. | 2.2 | % | ||
Top Ten Total | 37.7 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 9 |
FUND PROFILES (Unaudited) (continued)
ELECTRONICS FUND
OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the electronics sector, including semiconductor manufacturers and distributors, and makers and vendors of other electronic components and devices (“Electronics Companies”).
Inception: August 3, 2001
Semiconductor and Semiconductor Equipment firms provided some of the strongest equity returns in 2009, as the market began to anticipate an economic recovery and an ensuing computer equipment replacement cycle. Gains were broad-based, with the largest ten names in the industry all rising more than 40% for the year. Electronics Fund returned 71.85%, compared to a gain of 26.47% for the S&P 500 Index. The Semiconductors & Semiconductor Equipment stocks which comprise the Fund climbed 77.35%. For the year, Fund performance got the biggest boost from Intel Corp., Marvell Technology Group Ltd. and Taiwan Semiconductor Manufacturing Co. Ltd. (ADR). STMicroelectronics N.V.,
Cumulative Fund Performance:
August 3, 2001 – December 31, 2009
August 3, 2001 – December 31, 2009
† | Data points for the line graph do not reflect the reinvestment of dividends on securities in the index. |
Infineon Technologies AG (ADR) and FEI Co. were among the stocks which provided the least to Fund performance for the period. |
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (08/03/01) | ||||||||||
ELECTRONICS FUND | 71.85 | % | -2.31 | % | -7.82 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 0.91 | % | ||||||
S&P 500 INFORMATION TECHNOLOGY INDEX | 61.72 | % | 3.21 | % | 0.13 | % | ||||||
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 500 Information Technology 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.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Intel Corp. | 10.7 | % | ||
Texas Instruments, Inc. | 5.7 | % | ||
Applied Materials, Inc. | 4.3 | % | ||
Broadcom Corp. — Class A | 3.8 | % | ||
Marvell Technology Group Ltd. | 3.6 | % | ||
NVIDIA Corp. | 3.3 | % | ||
Micron Technology, Inc. | 3.2 | % | ||
Analog Devices, Inc. | 3.0 | % | ||
Xilinx, Inc. | 2.6 | % | ||
Linear Technology Corp. | 2.6 | % | ||
Top Ten Total | 42.8 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
10 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
FUND PROFILES (Unaudited) (continued)
ENERGY FUND
OBJECTIVE: Seeks capital appreciation by investing in companies involved in the energy field, including the exploration, production and development of oil, gas, coal and alternative sources of energy (“Energy Companies”).
Inception: May 29, 2001
In 2009, energy firms benefited from the resurgence of oil prices that accompanied strengthening global economic growth. However, because Energy Equipment & Service providers provide purer exposure to moves in oil prices than does the Oil, Gas, & Consumable Fuels industry, the equipment and service firms rose significantly more than other segments of the energy sector. Energy Fund returned 38.50%, compared to the 26.47% increase in the S&P 500 Index. Within the sector, Oil Gas & Consumable Fuels (25.77%) and Energy Equipment & Services (15.24%) were among the industries that provided the most significant positive contribution to Fund performance for the year. None of the industries within the sector produced negative results for the period. Petrobras Petroleo Brasileiro,
Cumulative Fund Performance:
May 29, 2001 – December 31, 2009
May 29, 2001 – December 31, 2009
† | Data points for the line graph do not reflect the reinvestment of dividends on securities in the index. |
Canadian Natural Resources Ltd. and Schlumberger Ltd. were among the most significant positive contributors to Fund performance for the year, while Exxon Mobil Corp., Sunoco, Inc. and Frontline Ltd. were among the weakest contributors. |
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (05/29/01) | ||||||||||
ENERGY FUND | 38.50 | % | 9.08 | % | 7.31 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 0.41 | % | ||||||
S&P 500 ENERGY INDEX | 13.86 | % | 10.21 | % | 8.86 | % | ||||||
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 500 Energy 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.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Exxon Mobil Corp. | 6.4 | % | ||
Chevron Corp. | 4.5 | % | ||
Schlumberger Ltd. | 3.2 | % | ||
ConocoPhillips | 3.2 | % | ||
Occidental Petroleum Corp. | 3.0 | % | ||
Petroleo Brasileiro SA | 2.6 | % | ||
Apache Corp. | 2.1 | % | ||
Devon Energy Corp. | 2.1 | % | ||
Anadarko Petroleum Corp. | 2.0 | % | ||
XTO Energy, Inc. | 1.9 | % | ||
Top Ten Total | 31.0 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 11 |
FUND PROFILES (Unaudited) (continued)
ENERGY SERVICES FUND
OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the energy services field, including those that provide services and equipment in the areas of oil, coal and gas exploration and production (“Energy Services Companies”).
Inception: May 2, 2001
The resurgence of oil prices that accompanied global economic growth boosted shares of energy firms in 2009. Since Energy Equipment & Service providers provide relatively pure exposure to oil prices, they appreciated sharply as a result. Energy Services Fund returned 62.42%, compared to the S&P 500 Index, which returned 26.47%. Energy Equipment & Services, which comprises 99.24% of the portfolio, rose 67.19% for the year, contributing 66.62% to the Fund’s return for the period. Schlumberger Ltd., National Oilwell Varco, Inc. and Transocean Ltd. were among the Fund’s best performing stocks for the year. The Fund’s worst-
Cumulative Fund Performance:
May 2, 2001 – December 31, 2009
May 2, 2001 – December 31, 2009
† | Data points for the line graph do not reflect the reinvestment of dividends on securities in the index. |
performing holdings included Precision Drilling Trust, Helix Energy Solutions Group, Inc. and Global Industries Ltd. |
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (05/02/01) | ||||||||||
ENERGY SERVICES FUND | 62.42 | % | 9.21 | % | 4.01 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 0.43 | % | ||||||
S&P 500 ENERGY INDEX | 13.86 | % | 10.21 | % | 9.29 | % | ||||||
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 S&P 500 Energy 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.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Schlumberger Ltd. | 10.8 | % | ||
Transocean Ltd. | 6.2 | % | ||
Halliburton Co. | 6.1 | % | ||
National-Oilwell Varco, Inc. | 5.1 | % | ||
Weatherford International Ltd. | 4.4 | % | ||
Diamond Offshore Drilling, Inc. | 4.4 | % | ||
Baker Hughes, Inc. | 4.2 | % | ||
Noble Corp. | 3.9 | % | ||
Cameron International Corp. | 3.9 | % | ||
FMC Technologies, Inc. | 3.2 | % | ||
Top Ten Total | 52.2 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
12 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
FUND PROFILES (Unaudited) (continued)
FINANCIAL SERVICES FUND
OBJECTIVE: Seeks capital appreciation by investing in companies involved in the financial services sector (“Financial Services Companies”).
Inception: July 20, 2001
After trailing the broad market indices significantly in the first quarter of 2009, financial firms staged a significant rally which brought their returns for the year close to parity with those of the S&P 500 Index. The Consumer Finance, Real Estate, and Capital Market industries all posted strong returns in 2009, while the Banking and Insurance industries trailed broader market performance. For the one-year period ending December 31, 2009, Rydex Financial Services Fund returned 19.68%, while the S&P 500 Index gained 26.47% over the same period. The biggest positive contributor to Fund performance was the Capital Markets segment, which comprised 21.79% of the portfolio and contributed 13.25% to the Fund’s return. This was followed by positive contributions to Fund performance of 4.15% and 3.12% from Diversified Financial Services and Real Estate Investment Trusts (REITs), respectively. The worst performing industries for the period included Commercial Banks (-.73%) and Thrifts
Cumulative Fund Performance:
July 20, 2001 – December 31, 2009
July 20, 2001 – December 31, 2009
† | Data points for the line graph do not reflect the reinvestment of dividends on securities in the index. |
and Mortgage firms (-0.61%). Goldman Sachs Group, Inc., Barclays PLC (ADS) and Credit Suisse Group (ADS) were among the stocks which contributed the most to Fund performance during the year. Regions Financial Corp. (New), Citigroup, Inc. and Marshall & Ilsley Corp. were among the stocks that contributed the least to Fund performance for the period. |
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (07/20/01) | ||||||||||
FINANCIAL SERVICES FUND | 19.68 | % | -9.43 | % | -3.40 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 0.95 | % | ||||||
S&P 500 FINANCIALS INDEX | 17.24 | % | -11.51 | % | -5.06 | % | ||||||
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 500 Financials 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.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
JPMorgan Chase & Co. | 3.6 | % | ||
Bank of America Corp. | 3.4 | % | ||
Wells Fargo & Co. | 3.2 | % | ||
Goldman Sachs Group, Inc. | 2.7 | % | ||
American Express Co. | 1.9 | % | ||
U.S. Bancorp | 1.8 | % | ||
Morgan Stanley | 1.8 | % | ||
Bank of New York Mellon Corp. | 1.6 | % | ||
MetLife, Inc. | 1.5 | % | ||
The Travelers Companies, Inc. | 1.5 | % | ||
Top Ten Total | 23.0 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 13 |
FUND PROFILES (Unaudited) (continued)
HEALTH CARE FUND
OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the health care industry (“Health Care Companies”).
Inception: June 19, 2001
The healthcare sector generated returns in line with the broader equity market. However, the intense national debate over new healthcare proposals produced wide differences in returns within the sector between the perceived winners and losers of healthcare legislation. Based on market movement, the Healthcare Technology and Life Science Tools industries will be beneficiaries of new legislation while Pharmaceutical and Biotechnology firms will be losers.
For the one-year period ended December 31, 2009, Rydex Health Care Fund returned 24.65%, compared with a 26.47% gain for the S&P 500 Index. The biggest positive contributors to Fund performance included the Pharmaceutical industry, which comprised 41.2% of the portfolio and contributed 13.25% to the Fund’s return. The Health Care Equipment & Supplies segment contributed 7.19% to Fund returns, while the Health Care Providers and Services industry contributed 6.19%.
Cumulative Fund Performance:
June 19, 2001 – December 31, 2009
June 19, 2001 – December 31, 2009
† | Data points for the line graph do not reflect the reinvestment of dividends on securities in the index. |
All of the industries represented in the portfolio generated positive returns for the year. The year’s top performing holdings included Schering-Plough Corp, Alcon, Inc. and Wyeth, while Genzyme Corp., Gilead Sciences, Inc. and Cephalon, Inc. were among the Fund’s weakest performers for the period. |
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (06/19/01) | ||||||||||
HEALTH CARE FUND | 24.65 | % | 2.92 | % | 2.10 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 0.93 | % | ||||||
S&P 500 HEALTH CARE INDEX | 19.70 | % | 2.57 | % | 0.59 | % | ||||||
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 500 Health Care 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.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Johnson & Johnson | 4.4 | % | ||
Pfizer, Inc. | 4.0 | % | ||
Merck & Company, Inc. | 3.5 | % | ||
Abbott Laboratories | 3.0 | % | ||
Amgen, Inc. | 2.5 | % | ||
Teva Pharmaceutical Industries Ltd. — SP ADR | 2.5 | % | ||
Medtronic, Inc. | 2.3 | % | ||
Bristol-Myers Squibb Co. | 2.3 | % | ||
Eli Lilly & Co. | 2.1 | % | ||
Gilead Sciences, Inc. | 2.1 | % | ||
Top Ten Total | 28.7 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
14 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
FUND PROFILES (Unaudited) (continued)
INTERNET FUND
OBJECTIVE: Seeks capital appreciation by investing in companies that provide products or services designed for or related to the Internet (“Internet Companies”).
Inception: May 24, 2001
Internet companies benefited as investors shifted from extreme risk aversion to risk seeking. Consequently, Internet firms posted some of the strongest market returns in 2009, as they demonstrated continued strong top line growth. The price gains were broad based, with the ten largest names in the Internet Sector posting increases above 30%. Internet Fund returned 65.85%, compared to a gain of 26.47% for the S&P 500 Index. Within the sector, Internet Software and Services, Internet Catalog & Retail and Communications Equipment were the biggest positive contributors to Fund performance, contributing 24.4%, 16.04% and 15.09%, respectively. Among the weaker industries were Media, Professional Services and Computer Peripherals. Google, Inc. (Cl A), Amazon.com, Inc. and Baidu, Inc. (ADS) were
Cumulative Fund Performance:
May 24, 2001 – December 31, 2009
May 24, 2001 – December 31, 2009
† | Data points for the line graph do not reflect the reinvestment of dividends on securities in the index. |
among the stocks which added the most to Fund performance for the year, while Palm, Inc., ValueClick, Inc. and Ciena Corp. were among the stocks which added the least to Fund performance for the year. |
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (05/24/01) | ||||||||||
INTERNET FUND | 65.85 | % | 1.77 | % | -3.39 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 0.18 | % | ||||||
S&P 500 INFORMATION TECHNOLOGY INDEX | 61.72 | % | 3.21 | % | -1.26 | % | ||||||
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 500 Information Technology 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.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Google, Inc. — Class A | 10.5 | % | ||
Cisco Systems, Inc. | 8.8 | % | ||
Qualcomm, Inc. | 6.6 | % | ||
Amazon.com, Inc. | 5.8 | % | ||
Research In Motion Ltd. | 4.7 | % | ||
Time Warner, Inc. | 4.3 | % | ||
eBay, Inc. | 4.1 | % | ||
Yahoo!, Inc. | 3.6 | % | ||
Broadcom Corp. — Class A | 2.9 | % | ||
Juniper Networks, Inc. | 2.8 | % | ||
Top Ten Total | 54.1 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 15 |
FUND PROFILES (Unaudited) (continued)
LEISURE FUND
OBJECTIVE: Seeks capital appreciation by investing in companies in leisure and entertainment businesses (“Leisure Companies”).
Inception: May 22, 2001
Improving economic conditions boosted consumers’ discretionary spending. While mundane fast food enterprises trailed significantly, luxury hotel and media companies were strong performers, driving the out-performance of leisure companies relative to the broader market in 2009. Rydex Leisure Fund returned 36.72%, compared to a gain of 26.47% for the S&P 500 Index. Within the sector, the Hotels, Restaurants & Leisure segment, which comprised 56.6% of the portfolio, contributed 23.14% of the Fund’s return for the year, while media holdings contributed 15.31%. Automobiles, which comprised less than 1.0% if the portfolio, was the weakest segment, and reduced Fund performance by 0.18% for the year. Among the stocks that contributed the most to the Fund’s annual performance were Starbucks
Cumulative Fund Performance:
May 22, 2001 – December 31, 2009
May 22, 2001 – December 31, 2009
† | Data points for the line graph do not reflect the reinvestment of dividends on securities in the index. |
Corp., Las Vegas Sands Corp. and Carnival Corp. MGM MIRAGE, Eastman Kodak Co. and McDonald’s Corp. were among the Fund’s weakest holdings for the period. |
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (05/22/01) | ||||||||||
LEISURE FUND | 36.72 | % | -4.44 | % | -2.26 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 0.04 | % | ||||||
S&P 500 CONSUMER DISCRETIONARY INDEX | 41.33 | % | -1.95 | % | -0.67 | % | ||||||
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 500 Consumer Discretionary 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.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
McDonald’s Corp. | 5.0 | % | ||
Walt Disney Co. | 4.7 | % | ||
Comcast Corp. — Class A | 4.2 | % | ||
News Corp. | 3.8 | % | ||
Time Warner, Inc. | 3.5 | % | ||
DIRECTV | 3.5 | % | ||
Carnival Corp. | 3.1 | % | ||
Viacom, Inc. — Class B | 2.6 | % | ||
Starbucks Corp. | 2.5 | % | ||
Yum! Brands, Inc. | 2.5 | % | ||
Top Ten Total | 35.4 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
16 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
FUND PROFILES (Unaudited) (continued)
PRECIOUS METALS FUND
OBJECTIVE: To provide capital appreciation by investing in U.S. and foreign companies that are involved in the precious metals sector, including exploration, mining, production and development, and other precious metals-related services (“Precious Metals Companies”).
Inception: May 29, 1997
A resumption of global economic growth, most notably in emerging markets, led to significant price reflation for precious metals. Mining companies benefited both from price increases and higher capacity utilization. Precious Metals Fund returned 49.24%, compared to the 26.47% increase in the S&P 500 Index. The Metals & Mining holdings that comprise the Fund advanced 53.58% for the year. Freeport-McMoRan Copper & Gold Inc., Silver Wheaton Corp. and IAMGOLD Corp. were among the stocks which added the most to fund performance during the year. Apex Silver Mines, Royal Gold, Inc. and Harmony
Cumulative Fund Performance:
December 31, 1999 – December 31, 2009
December 31, 1999 – December 31, 2009
† | Data points for the line graph do not reflect the reinvestment of dividends on securities in the index. |
Gold Mining Co. Ltd. (ADS) were among the stocks which contributed the least to Fund performance. |
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
ONE | FIVE | TEN | ||||||||||
YEAR | YEAR | YEAR | ||||||||||
PRECIOUS METALS FUND | 49.24 | % | 9.98 | % | 9.77 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | -0.95 | % | ||||||
S&P 500 MATERIALS INDEX | 48.57 | % | 4.26 | % | 4.74 | % | ||||||
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 500 Materials 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.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Freeport-McMoRan Copper & Gold, Inc. | 13.3 | % | ||
Barrick Gold Corp. | 8.4 | % | ||
Newmont Mining Corp. | 8.3 | % | ||
Goldcorp, Inc. | 7.5 | % | ||
Agnico-Eagle Mines Ltd. | 5.4 | % | ||
Southern Copper Corp. | 4.4 | % | ||
Yamana Gold, Inc. | 4.3 | % | ||
Kinross Gold Corp. | 4.1 | % | ||
AngloGold Ashanti Ltd. — SP ADR | 4.0 | % | ||
Randgold Resources Ltd. — SP ADR | 3.6 | % | ||
Top Ten Total | 63.3 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 17 |
FUND PROFILES (Unaudited) (continued)
RETAILING FUND
OBJECTIVE: Seeks capital appreciation by investing in companies engaged in merchandising finished goods and services, including department stores, restaurant franchises, mail-order operations and other companies involved in selling products to consumers (“Retailing Companies”).
Inception: July 23, 2001
Retailing firms benefited from the economic recovery which began in 2009. Higher growth industries, including Internet & Catalog Retail and Specialty Retail, posted the strongest gains for the year, while lower growth, lower risk industries, including Distributors and Food & Staples Retailing, lagged. Overall the industry outperformed the broader equity market during the year. Retailing Fund returned 44.22%, compared to a gain of 26.47% for the S&P 500 Index. Within the sector, Specialty Retail, which comprised approximately half of the portfolio, contributed 24.89% to the Fund’s returns for the year. Internet Catalog and Retail and Multiline Retail contributed 10.40% and 10.16% to Fund returns, respectively. Fund performance for the year benefited most from Amazon.com, Inc., TJX Cos. and Nordstrom, Inc.
Cumulative Fund Performance:
July 23, 2001 – December 31, 2009
July 23, 2001 – December 31, 2009
† | Data points for the line graph do not reflect the reinvestment of dividends on securities in the index. |
Wal-Mart Stores, Inc., Rent-A-Center, Inc. and Genuine Parts Co. were among the Fund’s weakest performing stocks for the period. |
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (07/23/01) | ||||||||||
RETAILING FUND | 44.22 | % | -0.38 | % | 1.88 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 1.15 | % | ||||||
S&P 500 CONSUMER DISCRETIONARY INDEX | 41.33 | % | -1.95 | % | 0.37 | % | ||||||
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 500 Consumer Discretionary 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.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Wal-Mart Stores, Inc. | 7.8 | % | ||
Amazon.com, Inc. | 4.2 | % | ||
Home Depot, Inc. | 3.8 | % | ||
CVS Caremark Corp. | 3.7 | % | ||
Target Corp. | 3.3 | % | ||
Walgreen Co. | 3.2 | % | ||
Lowe’s Companies, Inc. | 3.1 | % | ||
Costco Wholesale Corp. | 2.8 | % | ||
Staples, Inc. | 2.3 | % | ||
Kohl’s Corp. | 2.2 | % | ||
Top Ten Total | 36.4 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
18 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
FUND PROFILES (Unaudited) (continued)
TECHNOLOGY FUND
OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the technology sector, including computer software and service companies, semiconductor manufacturers, networking and telecommunications equipment manufacturers, PC hardware and peripherals companies (“Technology Companies”).
Inception: May 2, 2001
The technology sector provided the strongest equity returns in 2009, as the market began to anticipate the economic recovery and an ensuing computer equipment replacement cycle. Gains were broad-based, with all nine Technology segments generating above-market returns in excess of the broader market. At the top end of the spectrum, the Computers & Peripherals and Internet Software & Services industries posted the strongest returns. Technology Fund returned 55.60%, compared to a gain of 26.47% for the S&P 500 Index. Within the sector, Semiconductors & Semiconductor Equipment, Computers & Peripherals and Software were the biggest positive contributors to Fund performance, contributing 13.14%, 11.89% and 11.41%, respectively. Among the weaker industries were Office Electronics
Cumulative Fund Performance:
May 2, 2001 – December 31, 2009
May 2, 2001 – December 31, 2009
† | Data points for the line graph do not reflect the reinvestment of dividends on securities in the index. |
(-0.11%) and Life Science Tools & Services (0.09). Fund performance for the year got the biggest boost from Apple, Inc., Google, Inc. (Cl A) and Microsoft Corp., while Satyam Computer Services Ltd. (ADS), Nokia Corp. (ADR) and NCR Corp. were among the weakest performing stocks for the period. |
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (05/02/01) | ||||||||||
TECHNOLOGY FUND | 55.60 | % | 0.47 | % | -3.16 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 0.43 | % | ||||||
S&P 500 INFORMATION TECHNOLOGY INDEX | 61.72 | % | 3.21 | % | -1.24 | % | ||||||
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 500 Information Technology 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.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Microsoft Corp. | 4.3 | % | ||
Apple, Inc. | 3.7 | % | ||
Google, Inc. — Class A | 3.5 | % | ||
International Business Machines Corp. | 3.4 | % | ||
Cisco Systems, Inc. | 3.0 | % | ||
Oracle Corp. | 2.9 | % | ||
Hewlett-Packard Co. | 2.9 | % | ||
Intel Corp. | 2.8 | % | ||
Qualcomm, Inc. | 2.3 | % | ||
Visa, Inc. | 2.0 | % | ||
Top Ten Total | 30.8 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 19 |
FUND PROFILES (Unaudited) (continued)
TELECOMMUNICATIONS FUND
OBJECTIVE: Seeks capital appreciation by investing in companies engaged in the development, manufacture or sale of communications services or communications equipment (“Telecommunications Companies”).
Inception: July 27, 2001
Telecommunication firms posted returns in line with the broad equity market in 2009. Higher risk industries such as Communications Equipment and Wireless Telecom generally outperformed the broad market, while staples-oriented industries, such as Diversified Telecommunications, lagged. Telecommunications Fund returned 28.68%, compared to a gain of 26.47% for the S&P 500 Index. Within the sector, the Communications Equipment segment, which comprised 42.23% of the portfolio, contributed 16.44% to the Fund’s performance for the year, while Wireless Telecommunications Services stocks, which comprised 25.10% of the portfolio, contributed 9.86% to Fund performance. All of the industry segments produced positive returns for the year. Cisco Systems Inc., Sprint Nextel Corp. and Research In Motion Ltd. were among
Cumulative Fund Performance:
July 27, 2001 – December 31, 2009
July 27, 2001 – December 31, 2009
† | Data points for the line graph do not reflect the reinvestment of dividends on securities in the index. |
the strongest performers for the year. MetroPCS Communications, Inc., Leap Wireless International, Inc. and Deutsche Telekom AG (ADR) were among the stocks which added least to Fund performance during the year. |
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (07/27/01) | ||||||||||
TELECOMMUNICATIONS FUND | 28.68 | % | -1.46 | % | -3.16 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 1.00 | % | ||||||
S&P 500 TELECOMMUNICATION SERVICES INDEX | 8.93 | % | 1.86 | % | -2.81 | % | ||||||
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 500 Telecommunication Services 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.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
AT&T, Inc. | 10.9 | % | ||
Cisco Systems, Inc. | 9.9 | % | ||
Verizon Communications, Inc. | 8.1 | % | ||
Qualcomm, Inc. | 7.5 | % | ||
Research In Motion Ltd. | 5.3 | % | ||
American Tower Corp. — Class A | 3.5 | % | ||
Motorola, Inc. | 3.5 | % | ||
Juniper Networks, Inc. | 3.2 | % | ||
Crown Castle International Corp. | 2.8 | % | ||
CenturyTel, Inc. | 2.8 | % | ||
Top Ten Total | 57.5 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
20 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
FUND PROFILES (Unaudited) (continued)
TRANSPORTATION FUND
OBJECTIVE: Seeks capital appreciation by investing in companies engaged in providing transportation services or companies engaged in the design, manufacture, distribution or sale of transportation equipment (“Transportation Companies”).
Inception: June 11, 2001
Transportation firms lagged the broader equity market significantly in the first quarter of 2009, although the group gained some ground as the year progressed. The Airline industry performed particularly poorly during the year, initially reflecting economic weakness and capacity utilization concerns, while rising input costs subsequently took a toll. Transportation Fund returned 17.39%, compared to a gain of 26.47% for the S&P 500 Index. Within the sector, the Road & Rail segment, which accounted for 53.79% of the portfolio, contributed 23.24% to the Fund’s return for the year, while the Air Freight & Logistics segment, which accounted for 23.98% of the portfolio, contributed 3.42% to the Fund’s return. The Airlines industry, which comprised 16.96% of the portfolio, was the segment that detracted most from Fund performance, reducing results for the year by 8.78%. Canadian National
Cumulative Fund Performance:
June 11, 2001 – December 31, 2009
June 11, 2001 – December 31, 2009
† | Data points for the line graph do not reflect the reinvestment of dividends on securities in the index. |
Railway Co., Union Pacific Corp. and CSX Corp. were among the biggest contributors to Fund performance for the year, while AMR Corp., Delta Air Lines, Inc. and JetBlue Airways Corp. were among the stocks which provided the least performance to the Fund during the year. |
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (06/11/01) | ||||||||||
TRANSPORTATION FUND | 17.39 | % | -1.39 | % | 2.07 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 0.53 | % | ||||||
S&P 500 INDUSTRIALS INDEX | 20.93 | % | -1.15 | % | 0.11 | % | ||||||
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 500 Industrials 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.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
United Parcel Service, Inc. — Class B | 9.0 | % | ||
Burlington Northern Santa Fe Corp. | 6.9 | % | ||
Union Pacific Corp. | 6.8 | % | ||
FedEx Corp. | 6.2 | % | ||
Norfolk Southern Corp. | 5.3 | % | ||
CSX Corp. | 5.3 | % | ||
CH Robinson Worldwide, Inc. | 3.8 | % | ||
Delta Air Lines, Inc. | 3.5 | % | ||
Southwest Airlines Co. | 3.5 | % | ||
Ryanair Holdings PLC — SP ADR | 3.4 | % | ||
Top Ten Total | 53.7 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 21 |
FUND PROFILES (Unaudited) (concluded)
UTILITIES FUND
OBJECTIVE: Seeks capital appreciation by investing in companies that operate public utilities (“Utilities Companies”).
Inception: May 2, 2001
Utility companies underperformed the broader equity markets in 2009, as investors sought out industries with greater investment risk and return potential. Electric Utilities generated the weakest returns as power consumption declined in 2009 by the largest amount on record in the post-war period. Utilities Fund returned 13.80%, compared to a gain of 26.47% for the S&P 500 Index. Within the sector, the Gas Utilities segment advanced 28.59% for the year, adding 3.99% to Fund performance, while Multi-Utilities, which climbed 22.02%, contributed 7.29% to the Fund’s return. AES Corp., Sempra Energy and Calpine Corp. were among the Fund’s best performing stocks over the one-year period, while Allegheny Energy, Inc., Exelon Corp. and RRI Energy, Inc. were among the weakest performers.
Cumulative Fund Performance:
May 2, 2001 – December 31, 2009
May 2, 2001 – December 31, 2009
† | 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 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (05/02/01) | ||||||||||
UTILITIES FUND | 13.80 | % | 3.88 | % | -1.57 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 0.43 | % | ||||||
S&P 500 UTILITIES INDEX | 11.91 | % | 6.04 | % | 0.77 | % | ||||||
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 500 Utilities 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.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Exelon Corp. | 3.5 | % | ||
Southern Co. | 3.2 | % | ||
Dominion Resources, Inc. | 3.0 | % | ||
Duke Energy Corp. | 2.9 | % | ||
FPL Group, Inc. | 2.9 | % | ||
Public Service Enterprise Group, Inc. | 2.5 | % | ||
American Electric Power Company, Inc. | 2.5 | % | ||
PG&E Corp. | 2.5 | % | ||
Entergy Corp. | 2.4 | % | ||
Sempra Energy | 2.3 | % | ||
Top Ten Total | 27.7 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
22 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
SCHEDULE OF INVESTMENTS
December 31, 2009
BANKING FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.4%(a) | ||||||||
Bank of New York Mellon Corp. | 6,690 | $ | 187,119 | |||||
Wells Fargo & Co. | 6,826 | 184,234 | ||||||
JPMorgan Chase & Co. | 4,416 | 184,015 | ||||||
U.S. Bancorp | 8,171 | 183,929 | ||||||
Bank of America Corp. | 11,977 | 180,374 | ||||||
PNC Financial Services Group, Inc. | 3,372 | 178,008 | ||||||
BB&T Corp. | 6,544 | 166,021 | ||||||
SunTrust Banks, Inc. | 6,193 | 125,656 | ||||||
M&T Bank Corp. | 1,700 | 113,713 | ||||||
Fifth Third Bancorp | 11,477 | 111,901 | ||||||
Hudson City Bancorp, Inc. | 7,942 | 109,044 | ||||||
Itau Unibanco Holding SA — SP ADR | 4,630 | 105,749 | ||||||
New York Community Bancorp, Inc. | 6,904 | 100,177 | ||||||
Regions Financial Corp. | 18,622 | 98,510 | ||||||
People’s United Financial, Inc. | 5,746 | 95,958 | ||||||
KeyCorp | 16,041 | 89,028 | ||||||
Comerica, Inc. | 2,946 | 87,113 | ||||||
Banco Bradesco SA — SP ADR | 3,930 | 85,949 | ||||||
TFS Financial Corp. | 6,515 | 79,092 | ||||||
Toronto-Dominion Bank | 1,187 | 74,449 | ||||||
HSBC Holdings PLC — SP ADR | 1,251 | 71,420 | ||||||
Commerce Bancshares, Inc. | 1,827 | 70,741 | ||||||
Cullen/Frost Bankers, Inc. | 1,402 | 70,100 | ||||||
First Horizon National Corp.* | 5,090 | 68,212 | ||||||
Marshall & Ilsley Corp. | 12,470 | 67,962 | ||||||
First Niagara Financial Group, Inc. | 4,728 | 65,767 | ||||||
City National Corp. | 1,420 | 64,752 | ||||||
Bank of Hawaii Corp. | 1,281 | 60,284 | ||||||
Washington Federal, Inc. | 3,047 | 58,929 | ||||||
Banco Santander Central Hispano SA — SP ADR | 3,566 | 58,625 | ||||||
Valley National Bancorp | 4,121 | 58,230 | ||||||
BancorpSouth, Inc. | 2,409 | 56,515 | ||||||
Prosperity Bancshares, Inc. | 1,365 | 55,242 | ||||||
Bank of Montreal | 1,034 | 54,885 | ||||||
SVB Financial Group* | 1,310 | 54,614 | ||||||
TCF Financial Corp. | 3,929 | 53,513 | ||||||
Zions Bancorporation | 4,154 | 53,296 | ||||||
FirstMerit Corp. | 2,601 | 52,384 | ||||||
Westamerica Bancorporation | 921 | 50,996 | ||||||
East West Bancorp, Inc. | 3,168 | 50,054 | ||||||
Fulton Financial Corp. | 5,670 | 49,442 | ||||||
Trustmark Corp. | 2,174 | 49,002 | ||||||
Associated Banc-Corp. | 4,364 | 48,048 | ||||||
Signature Bank* | 1,427 | 45,521 | ||||||
Astoria Financial Corp. | 3,643 | 45,283 | ||||||
NewAlliance Bancshares, Inc. | 3,766 | 45,230 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Umpqua Holding Corp. | 3,339 | $ | 44,776 | |||||
Royal Bank of Canada | 828 | 44,339 | ||||||
Old National Bancorp | 3,440 | 42,759 | ||||||
MB Financial, Inc. | 2,060 | 40,623 | ||||||
CVB Financial Corp. | 4,549 | 39,303 | ||||||
Credit Suisse Group AG — SP ADR | 778 | 38,246 | ||||||
UBS AG — SP ADR* | 2,394 | 37,131 | ||||||
Wilmington Trust Corp. | 3,003 | 37,057 | ||||||
MGIC Investment Corp.* | 6,212 | 35,905 | ||||||
Webster Financial Corp. | 3,014 | 35,776 | ||||||
Barclays PLC — SP ADR | 2,010 | 35,376 | ||||||
National Penn Bancshares, Inc. | 6,055 | 35,058 | ||||||
Radian Group, Inc. | 4,640 | 33,918 | ||||||
Deutsche Bank AG — SP ADR | 462 | 32,760 | ||||||
PrivateBancorp, Inc. | 3,588 | 32,184 | ||||||
Cathay General Bancorp | 3,600 | 27,180 | ||||||
Total Common Stocks (Cost $3,444,906) | 4,611,477 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT† 0.6%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 25,984 | 25,984 | |||||
Total Repurchase Agreement (Cost $25,984) | 25,984 | |||||||
Total Investments 100.0% (Cost $3,470,890) | $ | 4,637,461 | ||||||
Other Assets in Excess of Liabilities – 0.0% | $ | 1,547 | ||||||
Net Assets – 100.0% | $ | 4,639,008 |
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 4. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. | |
ADR—American Depository Receipt. |
See Notes to Financial Statements. | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 23 |
SCHEDULE OF INVESTMENTS
December 31, 2009
BASIC MATERIALS FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 100.0%(a) | ||||||||
BHP Billiton Ltd. — SP ADR | 18,922 | $ | 1,449,047 | |||||
Monsanto Co. | 16,269 | 1,329,991 | ||||||
Barrick Gold Corp. | 32,068 | 1,262,838 | ||||||
Vale SA — SP ADR | 43,309 | 1,257,260 | ||||||
Freeport-McMoRan Copper & Gold, Inc.* | 15,118 | 1,213,824 | ||||||
Dow Chemical Co. | 41,456 | 1,145,429 | ||||||
Potash Corporation of Saskatchewan | 10,419 | 1,130,462 | ||||||
E.I. du Pont de Nemours and Co. | 33,357 | 1,123,130 | ||||||
Goldcorp, Inc. | 28,316 | 1,113,951 | ||||||
The Mosaic Co. | 18,078 | 1,079,799 | ||||||
Southern Copper Corp. | 32,741 | 1,077,506 | ||||||
Praxair, Inc. | 12,185 | 978,577 | ||||||
Newmont Mining Corp. | 20,581 | 973,687 | ||||||
Alcoa, Inc. | 51,639 | 832,421 | ||||||
Air Products & Chemicals, Inc. | 10,131 | 821,219 | ||||||
Nucor Corp. | 16,833 | 785,259 | ||||||
International Paper Co. | 25,404 | 680,319 | ||||||
Ecolab, Inc. | 14,418 | 642,899 | ||||||
PPG Industries, Inc. | 10,606 | 620,875 | ||||||
Agnico-Eagle Mines Ltd. | 11,173 | 603,342 | ||||||
Weyerhaeuser Co. | 13,936 | 601,199 | ||||||
United States Steel Corp. | 10,763 | 593,257 | ||||||
Rio Tinto PLC — SP ADR | 2,636 | 567,768 | ||||||
Vulcan Materials Co. | 9,966 | 524,909 | ||||||
Gerdau SA — SP ADR | 29,940 | 509,878 | ||||||
Cliffs Natural Resources, Inc. | 10,713 | 493,762 | ||||||
Sigma-Aldrich Corp. | 9,733 | 491,809 | ||||||
Cia Siderurgica Nacional SA — SP ADR | 15,020 | 479,589 | ||||||
Owens-Illinois, Inc.* | 14,484 | 476,089 | ||||||
MeadWestvaco Corp. | 15,695 | 449,348 | ||||||
Teck Cominco Ltd. — Class B* | 12,570 | 439,573 | ||||||
Ball Corp. | 8,490 | 438,933 | ||||||
Lubrizol Corp. | 6,014 | 438,721 | ||||||
ArcelorMittal | 9,416 | 430,782 | ||||||
CF Industries Holdings, Inc. | 4,721 | 428,572 | ||||||
Allegheny Technologies, Inc. | 9,471 | 424,017 | ||||||
Celanese Corp. | 13,201 | 423,752 | ||||||
Eastman Chemical Co. | 6,953 | 418,849 | ||||||
Walter Industries, Inc. | 5,350 | 402,909 | ||||||
Crown Holdings, Inc.* | 15,690 | 401,350 | ||||||
Martin Marietta Materials, Inc. | 4,473 | 399,931 | ||||||
Airgas, Inc. | 8,334 | 396,698 | ||||||
FMC Corp. | 7,104 | 396,119 | ||||||
Steel Dynamics, Inc. | 22,102 | 391,647 | ||||||
AngloGold Ashanti Ltd. — SP ADR | 9,507 | 381,991 | ||||||
Nalco Holding Co. | 14,761 | 376,553 | ||||||
Sealed Air Corp. | 16,888 | 369,172 | ||||||
Albemarle Corp. | 10,104 | 367,482 | ||||||
Kinross Gold Corp. | 19,915 | 366,436 |
MARKET | ||||||||
SHARES | VALUE | |||||||
International Flavors & Fragrances, Inc. | 8,751 | $ | 360,016 | |||||
Terra Industries, Inc. | 11,071 | 356,375 | ||||||
Reliance Steel & Aluminum Co. | 8,186 | 353,799 | ||||||
Pactiv Corp.* | 14,549 | 351,213 | ||||||
Bemis Co. | 11,698 | 346,846 | ||||||
Ashland, Inc. | 8,619 | 341,485 | ||||||
Sonoco Products Co. | 11,579 | 338,686 | ||||||
Cemex SA de CV — SP ADR* | 28,470 | 336,515 | ||||||
Valspar Corp. | 12,033 | 326,576 | ||||||
RPM International, Inc. | 15,911 | 323,471 | ||||||
Huntsman Corp. | 28,630 | 323,233 | ||||||
AK Steel Holding Corp. | 14,944 | 319,054 | ||||||
Scotts Miracle-Gro Co. — Class A | 8,095 | 318,214 | ||||||
Greif, Inc. — Class A | 5,890 | 317,942 | ||||||
Agrium, Inc.* | 5,151 | 316,787 | ||||||
Domtar Corp.* | 5,660 | 313,621 | ||||||
Titanium Metals Corp.* | 24,893 | 311,660 | ||||||
Sociedad Quimica y Minera de Chile SA — SP ADR | 8,220 | 308,825 | ||||||
Cia de Minas Buenaventura SA — SP ADR | 9,190 | 307,589 | ||||||
Silgan Holdings, Inc. | 5,285 | 305,896 | ||||||
Intrepid Potash, Inc.* | 10,473 | 305,497 | ||||||
Packaging Corporation of America | 13,211 | 303,985 | ||||||
Gold Fields Ltd. — SP ADR | 22,596 | 296,234 | ||||||
Compass Minerals International, Inc. | 4,394 | 295,233 | ||||||
Yamana Gold, Inc. | 25,848 | 294,150 | ||||||
Temple-Inland, Inc. | 13,919 | 293,830 | ||||||
Royal Gold, Inc. | 5,970 | 281,187 | ||||||
Rock-Tenn Co. — Class A | 5,470 | 275,743 | ||||||
W.R. Grace & Co.* | 10,840 | 274,794 | ||||||
Randgold Resources Ltd. — SP ADR | 3,445 | 272,568 | ||||||
Rockwood Holdings, Inc.* | 11,410 | 268,820 | ||||||
Cytec Industries, Inc. | 7,368 | 268,343 | ||||||
NewMarket Corp. | 2,310 | 265,119 | ||||||
Cabot Corp. | 9,844 | 258,208 | ||||||
Commercial Metals Co. | 16,333 | 255,611 | ||||||
Century Aluminum Co.* | 15,770 | 255,316 | ||||||
Eldorado Gold Corp.* | 17,941 | 254,224 | ||||||
IAMGOLD Corp. | 16,159 | 252,727 | ||||||
Ivanhoe Mines Ltd.* | 17,240 | 251,876 | ||||||
Solutia, Inc.* | 19,590 | 248,793 | ||||||
Hecla Mining Co.* | 40,050 | 247,509 | ||||||
Coeur d’Alene Mines Corp.* | 13,260 | 239,476 | ||||||
Silver Wheaton Corp.* | 15,584 | 234,072 | ||||||
Olin Corp. | 13,301 | 233,034 | ||||||
Harmony Gold Mining Company Ltd. — SP ADR | 21,334 | 216,967 | ||||||
Pan American Silver Corp.* | 6,214 | 147,955 | ||||||
Silver Standard Resources, Inc.* | 5,950 | 130,127 | ||||||
Total Common Stocks (Cost $30,786,074) | 46,502,131 | |||||||
24 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
BASIC MATERIALS FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT† 0.3%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 141,770 | $ | 141,770 | ||||
Total Repurchase Agreement (Cost $141,770) | 141,770 | |||||||
Total Investments 100.3% (Cost $30,927,844) | $ | 46,643,901 | ||||||
Liabilities in Excess of | ||||||||
Other Assets — (0.3)% | $ | (122,026 | ) | |||||
Net Assets – 100.0% | $ | 46,521,875 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 4. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. | |
ADR—American Depository Receipt. |
See Notes to Financial Statements. | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 25 |
SCHEDULE OF INVESTMENTS
December 31, 2009
BIOTECHNOLOGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.5%(a) | ||||||||
Amgen, Inc.* | 31,458 | $ | 1,779,579 | |||||
Gilead Sciences, Inc.* | 33,209 | 1,437,285 | ||||||
Celgene Corp.* | 22,167 | 1,234,259 | ||||||
Biogen Idec, Inc.* | 17,733 | 948,715 | ||||||
Genzyme Corp.* | 17,191 | 842,531 | ||||||
Human Genome Sciences, Inc.* | 19,431 | 594,589 | ||||||
Cephalon, Inc.* | 9,474 | 591,272 | ||||||
Vertex Pharmaceuticals, Inc.* | 13,643 | 584,603 | ||||||
Dendreon Corp.* | 16,540 | 434,671 | ||||||
United Therapeutics Corp.* | 7,275 | 383,029 | ||||||
Myriad Genetics, Inc.* | 14,566 | 380,173 | ||||||
Onyx Pharmaceuticals, Inc.* | 11,463 | 336,324 | ||||||
Alexion Pharmaceuticals, Inc.* | 6,653 | 324,799 | ||||||
Amylin Pharmaceuticals, Inc.* | 22,310 | 316,579 | ||||||
OSI Pharmaceuticals, Inc.* | 10,140 | 314,644 | ||||||
Isis Pharmaceuticals, Inc.* | 23,138 | 256,832 | ||||||
Incyte Corp.* | 27,580 | 251,254 | ||||||
Cubist Pharmaceuticals, Inc.* | 12,943 | 245,529 | ||||||
Savient Pharmaceuticals, Inc.* | 16,918 | 230,254 | ||||||
Acorda Therapeutics, Inc.* | 9,108 | 229,704 | ||||||
BioMarin Pharmaceuticals, Inc.* | 11,561 | 217,462 | ||||||
PDL BioPharma, Inc. | 29,983 | 205,683 | ||||||
Regeneron Pharmaceuticals, Inc.* | 7,200 | 174,096 | ||||||
MannKind Corp.* | 17,350 | 151,986 | ||||||
Allos Therapeutics, Inc.* | 20,610 | 135,408 | ||||||
BioCryst Pharmaceuticals, Inc.* | 20,130 | 130,040 | ||||||
AMAG Pharmaceuticals, Inc.* | 3,295 | 125,309 | ||||||
Geron Corp.* | 20,391 | 113,170 | ||||||
Alkermes, Inc.* | 11,815 | 111,179 | ||||||
Total Common Stocks (Cost $9,099,252) | 13,080,958 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT† 0.9%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 113,220 | 113,220 | |||||
Total Repurchase Agreement (Cost $113,220) | 113,220 | |||||||
Total Investments 100.4% (Cost $9,212,472) | $ | 13,194,178 | ||||||
Liabilities in Excess of Other Assets – (0.4)% | $ | (50,116 | ) | |||||
Net Assets – 100.0% | $ | 13,144,062 |
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 4. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. |
26 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
CONSUMER PRODUCTS FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.3%(a) | ||||||||
Procter & Gamble Co. | 22,351 | $ | 1,355,141 | |||||
Coca-Cola Co. | 20,855 | 1,188,735 | ||||||
PepsiCo, Inc. | 16,557 | 1,006,666 | ||||||
Philip Morris International, Inc. | 20,235 | 975,125 | ||||||
Colgate-Palmolive Co. | 8,108 | 666,072 | ||||||
Kraft Foods, Inc. | 24,066 | 654,114 | ||||||
Altria Group, Inc. | 33,260 | 652,894 | ||||||
Kimberly-Clark Corp. | 8,389 | 534,463 | ||||||
General Mills, Inc. | 7,083 | 501,547 | ||||||
Kellogg Co. | 8,883 | 472,576 | ||||||
Archer-Daniels-Midland Co. | 14,982 | 469,086 | ||||||
Sysco Corp. | 15,073 | 421,140 | ||||||
Reynolds American, Inc. | 7,705 | 408,134 | ||||||
H.J. Heinz Co. | 9,004 | 385,011 | ||||||
Avon Products, Inc. | 12,210 | 384,615 | ||||||
Lorillard, Inc. | 4,716 | 378,365 | ||||||
Kroger Co. | 18,339 | 376,500 | ||||||
Campbell Soup Co. | 10,532 | 355,982 | ||||||
ConAgra Foods, Inc. | 14,549 | 335,354 | ||||||
Coca-Cola Enterprises, Inc. | 15,725 | 333,370 | ||||||
Estee Lauder Companies, Inc. — Class A | 6,717 | 324,834 | ||||||
Mead Johnson Nutrition Co. — Class A | 7,280 | 318,136 | ||||||
Molson Coors Brewing Co. — Class B | 6,824 | 308,172 | ||||||
Bunge Ltd. | 4,828 | 308,171 | ||||||
Safeway, Inc. | 14,270 | 303,808 | ||||||
Sara Lee Corp. | 24,788 | 301,918 | ||||||
Clorox Co. | 4,947 | 301,767 | ||||||
Brown-Forman Corp. — Class B | 5,557 | 297,688 | ||||||
Pepsi Bottling Group, Inc. | 7,933 | 297,487 | ||||||
Hershey Co. | 8,198 | 293,406 | ||||||
J.M. Smucker Co. | 4,667 | 288,187 | ||||||
Dr Pepper Snapple Group, Inc. | 9,677 | 273,859 | ||||||
Cia de Bebidas das Americas — SP ADR | 2,600 | 262,834 | ||||||
Unilever NV | 7,987 | 258,220 | ||||||
Hormel Foods Corp. | 6,198 | 238,313 | ||||||
Diageo PLC — SP ADR | 3,294 | 228,636 | ||||||
McCormick & Company, Inc. | 6,289 | 227,222 | ||||||
Tyson Foods, Inc. — Class A | 18,136 | 222,529 | ||||||
Fomento Economico Mexicano SA de CV | 4,580 | 219,290 | ||||||
Church & Dwight Company, Inc. | 3,568 | 215,686 | ||||||
Energizer Holdings, Inc.* | 3,487 | 213,683 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Green Mountain Coffee Roasters, Inc.* | 2,546 | $ | 207,423 | |||||
Whole Foods Market, Inc.* | 7,474 | 205,161 | ||||||
PepsiAmericas, Inc. | 6,780 | 198,383 | ||||||
Hansen Natural Corp.* | 5,164 | 198,298 | ||||||
Constellation Brands, Inc. — Class A* | 12,362 | 196,927 | ||||||
Ralcorp Holdings, Inc.* | 3,214 | 191,908 | ||||||
Alberto-Culver Co. | 6,170 | 180,719 | ||||||
SUPERVALU, Inc. | 13,397 | 170,276 | ||||||
NBTY, Inc.* | 3,880 | 168,935 | ||||||
Smithfield Foods, Inc.* | 10,670 | 162,077 | ||||||
Herbalife Ltd. | 3,950 | 160,251 | ||||||
Del Monte Foods Co. | 13,990 | 158,647 | ||||||
Corn Products International, Inc. | 5,320 | 155,504 | ||||||
Flowers Foods, Inc. | 6,520 | 154,915 | ||||||
Central European Distribution Corp.* | 5,360 | 152,278 | ||||||
Tootsie Roll Industries, Inc. | 5,120 | 140,186 | ||||||
Casey’s General Stores, Inc. | 4,250 | 135,660 | ||||||
Nu Skin Enterprises, Inc. | 5,000 | 134,350 | ||||||
Fresh Del Monte Produce, Inc.* | 5,850 | 129,285 | ||||||
TreeHouse Foods, Inc.* | 3,170 | 123,186 | ||||||
Lancaster Colony Corp. | 2,450 | 121,765 | ||||||
Bare Escentuals, Inc.* | 8,910 | 108,969 | ||||||
Total Common Stocks (Cost $16,565,758) | 21,113,839 | |||||||
WARRANTS 0.0%(a) Krispy Kreme Doughnuts, Inc.* $12.21, 03/02/12 | 17 | 1 | ||||||
Total Warrants (Cost $—) | 1 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT† 0.3%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 61,349 | 61,349 | |||||
Total Repurchase Agreement (Cost $61,349) | 61,349 | |||||||
Total Investments 99.6% (Cost $16,627,107) | $ | 21,175,189 | ||||||
Other Assets in Excess of Liabilities – 0.4% | $ | 76,995 | ||||||
Net Assets – 100.0% | $ | 21,252,184 |
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 4. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. | |
ADR—American Depository Receipt. |
See Notes to Financial Statements. | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 27 |
SCHEDULE OF INVESTMENTS
December 31, 2009
ELECTRONICS FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.5%(a) | ||||||||
Intel Corp. | 131,799 | $ | 2,688,700 | |||||
Texas Instruments, Inc. | 54,839 | 1,429,104 | ||||||
Applied Materials, Inc. | 77,701 | 1,083,152 | ||||||
Broadcom Corp. — Class A* | 30,454 | 957,778 | ||||||
Marvell Technology Group Ltd.* | 44,027 | 913,560 | ||||||
NVIDIA Corp.* | 44,225 | 826,123 | ||||||
Micron Technology, Inc.* | 76,110 | 803,722 | ||||||
Analog Devices, Inc. | 23,860 | 753,499 | ||||||
Xilinx, Inc. | 26,090 | 653,815 | ||||||
Linear Technology Corp. | 21,307 | 650,716 | ||||||
Taiwan Semiconductor Manufacturing Company Ltd. — SP ADR | 56,192 | 642,836 | ||||||
Altera Corp. | 28,309 | 640,633 | ||||||
Advanced Micro Devices, Inc.* | 65,979 | 638,677 | ||||||
Maxim Integrated Products, Inc. | 30,677 | 622,743 | ||||||
Cree, Inc.* | 10,897 | 614,264 | ||||||
KLA-Tencor Corp. | 16,983 | 614,105 | ||||||
Microchip Technology, Inc. | 19,671 | 571,639 | ||||||
Lam Research Corp.* | 14,219 | 557,527 | ||||||
LSI Logic Corp.* | 84,953 | 510,568 | ||||||
ON Semiconductor Corp.* | 56,580 | 498,470 | ||||||
National Semiconductor Corp. | 30,954 | 475,453 | ||||||
MEMC Electronic Materials, Inc.* | 33,379 | 454,622 | ||||||
Rambus, Inc.* | 16,950 | 413,580 | ||||||
Varian Semiconductor Equipment Associates, Inc.* | 11,309 | 405,767 | ||||||
Skyworks Solutions, Inc.* | 28,047 | 397,987 | ||||||
Atheros Communications, Inc.* | 11,360 | 388,966 | ||||||
Silicon Laboratories, Inc.* | 7,777 | 375,940 | ||||||
Novellus Systems, Inc.* | 15,648 | 365,224 | ||||||
PMC — Sierra, Inc.* | 40,703 | 352,488 | ||||||
Intersil Corp. — Class A | 22,844 | 350,427 | ||||||
Teradyne, Inc.* | 32,316 | 346,751 | ||||||
ASML Holding NV | 9,372 | 319,491 | ||||||
Cypress Semiconductor Corp.* | 30,077 | 317,613 | ||||||
Microsemi Corp.* | 16,902 | 300,011 | ||||||
Fairchild Semiconductor International, Inc.* | 28,781 | 287,522 | ||||||
Veeco Instruments, Inc.* | 8,560 | 282,822 | ||||||
Integrated Device Technology, Inc.* | 41,099 | 265,911 | ||||||
Cymer, Inc.* | 6,878 | 263,978 | ||||||
Formfactor, Inc.* | 12,066 | 262,556 | ||||||
Tessera Technologies, Inc.* | 10,961 | 255,062 | ||||||
Cavium Networks, Inc.* | 10,560 | 251,645 | ||||||
Netlogic Microsystems, Inc.* | 5,380 | 248,879 | ||||||
OmniVision Technologies, Inc.* | 15,620 | 226,959 | ||||||
Amkor Technology, Inc.* | 27,324 | 195,640 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Triquint Semiconductor, Inc.* | 26,337 | $ | 158,022 | |||||
Applied Micro Circuits Corp.* | 19,370 | 144,694 | ||||||
Semtech Corp.* | 7,493 | 127,456 | ||||||
Total Common Stocks (Cost $17,489,572) | 24,907,097 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT† 0.5%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 124,209 | 124,209 | |||||
Total Repurchase Agreement (Cost $124,209) | 124,209 | |||||||
Total Investments 100.0% (Cost $17,613,781) | $ | 25,031,306 | ||||||
Liabilities in Excess of | ||||||||
Other Assets — 0.0% | $ | (2,069 | ) | |||||
Net Assets – 100.0% | $ | 25,029,237 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 4. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. | |
ADR—American Depository Receipt. |
28 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
ENERGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 100.0%(a) | ||||||||
Exxon Mobil Corp. | 37,116 | $ | 2,530,940 | |||||
Chevron Corp. | 22,870 | 1,760,761 | ||||||
Schlumberger Ltd. | 19,613 | 1,276,610 | ||||||
ConocoPhillips | 24,302 | 1,241,103 | ||||||
Occidental Petroleum Corp. | 14,345 | 1,166,966 | ||||||
Petroleo Brasileiro SA | 21,267 | 1,014,011 | ||||||
Apache Corp. | 8,199 | 845,891 | ||||||
Devon Energy Corp. | 11,225 | 825,038 | ||||||
Anadarko Petroleum Corp. | 12,635 | 788,677 | ||||||
XTO Energy, Inc. | 15,707 | 730,847 | ||||||
Transocean Ltd.* | 8,820 | 730,296 | ||||||
Halliburton Co. | 24,126 | 725,951 | ||||||
EOG Resources, Inc. | 7,370 | 717,101 | ||||||
Marathon Oil Corp. | 21,454 | 669,794 | ||||||
Hess Corp. | 10,857 | 656,849 | ||||||
National-Oilwell Varco, Inc. | 13,687 | 603,460 | ||||||
Southwestern Energy Co.* | 12,239 | 589,920 | ||||||
Chesapeake Energy Corp. | 22,572 | 584,163 | ||||||
Suncor Energy, Inc. | 15,328 | 541,232 | ||||||
Diamond Offshore Drilling, Inc. | 5,399 | 531,370 | ||||||
Weatherford International Ltd.* | 29,273 | 524,279 | ||||||
Spectra Energy Corp. | 25,147 | 515,765 | ||||||
Williams Companies, Inc. | 23,716 | 499,933 | ||||||
Peabody Energy Corp. | 11,004 | 497,491 | ||||||
Noble Energy, Inc. | 6,930 | 493,555 | ||||||
Baker Hughes, Inc. | 12,182 | 493,127 | ||||||
BP PLC — SP ADR | 8,386 | 486,136 | ||||||
Royal Dutch Shell PLC — SP ADR | 8,086 | 486,049 | ||||||
Canadian Natural Resources Ltd. | 6,486 | 466,668 | ||||||
Noble Corp. | 11,381 | 463,207 | ||||||
Cameron International Corp.* | 11,033 | 461,179 | ||||||
Murphy Oil Corp. | 8,429 | 456,852 | ||||||
Total SA — SP ADR | 6,924 | 443,413 | ||||||
Consol Energy, Inc. | 8,841 | 440,282 | ||||||
Valero Energy Corp. | 25,844 | 432,887 | ||||||
Range Resources Corp. | 7,927 | 395,161 | ||||||
FMC Technologies, Inc.* | 6,527 | 377,522 | ||||||
PetroHawk Energy Corp.* | 15,727 | 377,291 | ||||||
El Paso Corp. | 38,016 | 373,697 | ||||||
Smith International, Inc. | 13,444 | 365,273 | ||||||
Tenaris SA — SP ADR | 8,531 | 363,847 | ||||||
Newfield Exploration Co.* | 7,524 | 362,883 | ||||||
EnCana Corp. | 11,062 | 358,298 | ||||||
Nabors Industries Ltd.* | 15,965 | 349,474 | ||||||
Pioneer Natural Resources Co. | 7,170 | 345,379 | ||||||
Pride International, Inc.* | 10,409 | 332,151 | ||||||
Ensco International PLC — SP ADR | 8,288 | 331,023 | ||||||
BJ Services Co. | 17,457 | 324,700 | ||||||
Alpha Natural Resources, Inc.* | 7,295 | 316,457 | ||||||
Talisman Energy, Inc. | 16,952 | 315,985 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Cimarex Energy Co. | 5,758 | $ | 305,001 | |||||
EXCO Resources, Inc. | 14,164 | 300,702 | ||||||
Cabot Oil & Gas Corp. | 6,865 | 299,245 | ||||||
Helmerich & Payne, Inc. | 7,267 | 289,808 | ||||||
Concho Resources, Inc.* | 6,259 | 281,029 | ||||||
Denbury Resources, Inc.* | 18,950 | 280,460 | ||||||
Plains Exploration & Production Co.* | 10,130 | 280,196 | ||||||
Arch Coal, Inc. | 12,533 | 278,859 | ||||||
Massey Energy Co. | 6,580 | 276,426 | ||||||
Whiting Petroleum Corp.* | 3,864 | 276,160 | ||||||
Oceaneering International, Inc.* | 4,450 | 260,414 | ||||||
Nexen, Inc. | 10,854 | 259,736 | ||||||
Cameco Corp. | 8,027 | 258,229 | ||||||
Sunoco, Inc. | 9,600 | 250,560 | ||||||
Southern Union Co. | 10,539 | 239,235 | ||||||
Encore Acquisition Co.* | 4,930 | 236,739 | ||||||
Dresser-Rand Group, Inc.* | 7,323 | 231,480 | ||||||
Tidewater, Inc. | 4,796 | 229,968 | ||||||
Forest Oil Corp.* | 9,985 | 222,166 | ||||||
Quicksilver Resources, Inc.* | 14,771 | 221,713 | ||||||
Rowan Companies, Inc.* | 9,740 | 220,514 | ||||||
Atwood Oceanics, Inc.* | 6,131 | 219,796 | ||||||
Atlas Energy, Inc. | 7,230 | 218,129 | ||||||
Patterson-UTI Energy, Inc. | 13,937 | 213,933 | ||||||
Dril-Quip, Inc.* | 3,694 | 208,637 | ||||||
St. Mary Land & Exploration Co. | 6,077 | 208,076 | ||||||
Unit Corp.* | 4,810 | 204,425 | ||||||
Oil States International, Inc.* | 5,180 | 203,522 | ||||||
Frontline Ltd. | 7,320 | 199,982 | ||||||
Comstock Resources, Inc.* | 4,900 | 198,793 | ||||||
SandRidge Energy, Inc.* | 21,053 | 198,530 | ||||||
Tesoro Corp. | 14,573 | 197,464 | ||||||
Continental Resources, Inc.* | 4,537 | 194,592 | ||||||
Superior Energy Services* | 8,002 | 194,369 | ||||||
Ultra Petroleum Corp.* | 3,886 | 193,756 | ||||||
Total Common Stocks (Cost $23,868,220) | 39,333,588 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT† 0.8%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 316,934 | 316,934 | |||||
Total Repurchase Agreement (Cost $316,934) | 316,934 | |||||||
Total Investments 100.8% (Cost $24,185,154) | $ | 39,650,522 | ||||||
Liabilities in Excess of | ||||||||
Other Assets — (0.8)% | $ | (297,684 | ) | |||||
Net Assets – 100.0% | $ | 39,352,838 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 4. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. | |
ADR—American Depository Receipt. |
See Notes to Financial Statements. | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 29 |
SCHEDULE OF INVESTMENTS
December 31, 2009
ENERGY SERVICES FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.5%(a) | ||||||||
Schlumberger Ltd. | 68,904 | $ | 4,484,961 | |||||
Transocean Ltd.* | 30,981 | 2,565,227 | ||||||
Halliburton Co. | 84,794 | 2,551,451 | ||||||
National-Oilwell Varco, Inc. | 48,106 | 2,120,994 | ||||||
Weatherford International Ltd.* | 102,868 | 1,842,366 | ||||||
Diamond Offshore Drilling, Inc. | 18,661 | 1,836,616 | ||||||
Baker Hughes, Inc. | 42,796 | 1,732,382 | ||||||
Noble Corp. | 39,986 | 1,627,430 | ||||||
Cameron International Corp.* | 38,773 | 1,620,711 | ||||||
FMC Technologies, Inc.* | 22,940 | 1,326,850 | ||||||
Smith International, Inc. | 47,242 | 1,283,565 | ||||||
Nabors Industries Ltd.* | 56,102 | 1,228,073 | ||||||
Pride International, Inc.* | 36,583 | 1,167,364 | ||||||
Ensco International PLC — SP ADR | 29,113 | 1,162,773 | ||||||
BJ Services Co. | 61,354 | 1,141,184 | ||||||
Tenaris SA — SP ADR | 23,972 | 1,022,406 | ||||||
Helmerich & Payne, Inc. | 25,540 | 1,018,535 | ||||||
Oceaneering International, Inc.* | 15,467 | 905,129 | ||||||
Dresser-Rand Group, Inc.* | 25,721 | 813,041 | ||||||
Tidewater, Inc. | 16,653 | 798,511 | ||||||
Rowan Companies, Inc.* | 34,220 | 774,741 | ||||||
Atwood Oceanics, Inc.* | 21,166 | 758,801 | ||||||
Patterson-UTI Energy, Inc. | 48,981 | 751,858 | ||||||
Dril-Quip, Inc.* | 13,158 | 743,164 | ||||||
Unit Corp.* | 16,731 | 711,068 | ||||||
Oil States International, Inc.* | 18,004 | 707,377 | ||||||
Superior Energy Services* | 28,115 | 682,913 | ||||||
CARBO Ceramics, Inc. | 9,290 | 633,299 | ||||||
SEACOR Holdings, Inc.* | 8,199 | 625,174 | ||||||
Exterran Holdings, Inc.* | 27,463 | 589,081 | ||||||
Helix Energy Solutions Group, Inc.* | 47,110 | 553,543 | ||||||
Key Energy Services, Inc.* | 39,365 | 346,018 | ||||||
Complete Production Services, Inc.* | 26,000 | 338,000 | ||||||
Global Industries Ltd.* | 45,131 | 321,784 | ||||||
Bristow Group, Inc.* | 7,699 | 296,027 | ||||||
Core Laboratories | 1,810 | 213,797 | ||||||
Total Common Stocks (Cost $23,092,111) | 41,296,214 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT† 0.3%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 141,250 | $ | 141,250 | ||||
Total Repurchase Agreement (Cost $141,250) | 141,250 | |||||||
Total Investments 99.8% (Cost $23,233,361) | $ | 41,437,464 | ||||||
Other Assets in Excess of Liabilities – 0.2% | $ | 62,822 | ||||||
Net Assets – 100.0% | $ | 41,500,286 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 4. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. | |
ADR—American Depository Receipt. |
30 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
FINANCIAL SERVICES FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.4%(a) | ||||||||
JPMorgan Chase & Co. | 14,724 | $ | 613,549 | |||||
Bank of America Corp. | 38,509 | 579,946 | ||||||
Wells Fargo & Co. | 20,474 | 552,593 | ||||||
Goldman Sachs Group, Inc. | 2,696 | 455,193 | ||||||
American Express Co. | 8,043 | 325,902 | ||||||
U.S. Bancorp | 13,860 | 311,989 | ||||||
Morgan Stanley | 10,247 | 303,311 | ||||||
Bank of New York Mellon Corp. | 9,936 | 277,910 | ||||||
MetLife, Inc. | 7,137 | 252,293 | ||||||
The Travelers Companies, Inc. | 5,006 | 249,599 | ||||||
Franklin Resources, Inc. | 2,205 | 232,297 | ||||||
Prudential Financial, Inc. | 4,596 | 228,697 | ||||||
PNC Financial Services Group, Inc. | 4,306 | 227,314 | ||||||
State Street Corp. | 5,208 | 226,756 | ||||||
Simon Property Group, Inc. | 2,828 | 225,656 | ||||||
CME Group, Inc. | 671 | 225,422 | ||||||
Charles Schwab Corp. | 11,915 | 224,240 | ||||||
American International Group, Inc.* | 7,400 | 221,852 | ||||||
AFLAC, Inc. | 4,733 | 218,901 | ||||||
Capital One Financial Corp. | 5,127 | 196,569 | ||||||
ACE Ltd.* | 3,890 | 196,056 | ||||||
BB&T Corp. | 7,686 | 194,994 | ||||||
Chubb Corp. | 3,947 | 194,113 | ||||||
Allstate Corp. | 6,444 | 193,578 | ||||||
Loews Corp. | 5,093 | 185,131 | ||||||
Public Storage | 2,164 | 176,258 | ||||||
T. Rowe Price Group, Inc. | 3,271 | 174,181 | ||||||
HSBC Holdings PLC — SP ADR | 2,975 | 169,843 | ||||||
Itau Unibanco Holding SA — SP ADR | 7,330 | 167,417 | ||||||
Progressive Corp.* | 9,282 | 166,983 | ||||||
Vornado Realty Trust | 2,371 | 165,837 | ||||||
TD Ameritrade Holding Corp.* | 8,468 | 164,110 | ||||||
Marsh & McLennan Companies, Inc. | 7,235 | 159,749 | ||||||
Northern Trust Corp. | 3,031 | 158,824 | ||||||
Blackrock, Inc. | 656 | 152,323 | ||||||
Aon Corp. | 3,941 | 151,098 | ||||||
Ameriprise Financial, Inc. | 3,819 | 148,254 | ||||||
SunTrust Banks, Inc. | 7,279 | 147,691 | ||||||
Equity Residential | 4,364 | 147,416 | ||||||
Invesco Ltd. | 6,064 | 142,443 | ||||||
Hartford Financial Services Group, Inc. | 6,060 | 140,956 | ||||||
Banco Santander Central Hispano SA — SP ADR | 8,491 | 139,592 | ||||||
Boston Properties, Inc. | 2,080 | 139,506 | ||||||
HCP, Inc. | 4,558 | 139,201 | ||||||
Annaly Capital Management, Inc. | 7,959 | 138,089 | ||||||
Discover Financial Services | 9,288 | 136,626 | ||||||
IntercontinentalExchange, Inc.* | 1,216 | 136,557 | ||||||
Banco Bradesco SA — SP ADR | 6,210 | 135,813 | ||||||
M&T Bank Corp. | 2,001 | 133,847 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Fifth Third Bancorp | 13,453 | $ | 131,167 | |||||
Principal Financial Group, Inc. | 5,418 | 130,249 | ||||||
Lincoln National Corp. | 5,216 | 129,774 | ||||||
Host Hotels & Resorts, Inc.* | 10,962 | 127,926 | ||||||
Hudson City Bancorp, Inc. | 9,295 | 127,620 | ||||||
Ventas, Inc. | 2,811 | 122,953 | ||||||
AvalonBay Communities, Inc. | 1,490 | 122,344 | ||||||
ProLogis | 8,776 | 120,143 | ||||||
NYSE Euronext | 4,727 | 119,593 | ||||||
Unum Group | 6,087 | 118,818 | ||||||
Plum Creek Timber Company, Inc. (REIT) | 3,124 | 117,962 | ||||||
XL Capital Ltd. | 6,435 | 117,954 | ||||||
New York Community Bancorp, Inc. | 8,096 | 117,473 | ||||||
Toronto-Dominion Bank | 1,865 | 116,973 | ||||||
Regions Financial Corp. | 21,929 | 116,004 | ||||||
Moody’s Corp. | 4,318 | 115,722 | ||||||
Leucadia National Corp.* | 4,810 | 114,430 | ||||||
PartnerRe Ltd. | 1,531 | 114,304 | ||||||
KIMCO Realty Corp. | 8,356 | 113,057 | ||||||
Brookfield Properties Corp. | 9,293 | 112,631 | ||||||
People’s United Financial, Inc. | 6,720 | 112,224 | ||||||
Genworth Financial, Inc. — Class A* | 9,831 | 111,582 | ||||||
SLM Corp.* | 9,640 | 108,643 | ||||||
Health Care REIT, Inc. | 2,436 | 107,964 | ||||||
Everest Re Group Ltd. | 1,240 | 106,243 | ||||||
Legg Mason, Inc. | 3,500 | 105,560 | ||||||
KeyCorp | 18,897 | 104,878 | ||||||
Royal Bank of Canada | 1,947 | 104,262 | ||||||
Deutsche Bank AG — SP ADR | 1,460 | 103,529 | ||||||
Comerica, Inc. | 3,447 | 101,928 | ||||||
Lazard Ltd. — Class A | 2,670 | 101,380 | ||||||
Willis Group Holdings PLC | 3,716 | 98,028 | ||||||
Federal Realty Investment Trust | 1,445 | 97,855 | ||||||
Cincinnati Financial Corp. | 3,699 | 97,062 | ||||||
Arch Capital Group Ltd.* | 1,351 | 96,664 | ||||||
CB Richard Ellis Group, Inc. — Class A* | 7,120 | 96,618 | ||||||
NASDAQ OMX Group, Inc.* | 4,810 | 95,334 | ||||||
W.R. Berkley Corp. | 3,869 | 95,332 | ||||||
Jefferies Group, Inc.* | 4,004 | 95,015 | ||||||
Axis Capital Holdings Ltd. | 3,325 | 94,463 | ||||||
Assured Guaranty Ltd. | 4,290 | 93,350 | ||||||
Nationwide Health Properties, Inc. | 2,647 | 93,121 | ||||||
Digital Realty Trust, Inc. | 1,850 | 93,018 | ||||||
SL Green Realty Corp. | 1,820 | 91,437 | ||||||
Torchmark Corp. | 2,070 | 90,976 | ||||||
AMB Property Corp. | 3,559 | 90,932 | ||||||
Manulife Financial Corp. | 4,950 | 90,783 | ||||||
Eaton Vance Corp. | 2,931 | 89,132 | ||||||
Transatlantic Holdings, Inc. | 1,710 | 89,108 | ||||||
Liberty Property Trust | 2,754 | 88,156 | ||||||
Reinsurance Group of America, Inc. | 1,850 | 88,152 |
See Notes to Financial Statements. | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 31 |
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
FINANCIAL SERVICES FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Validus Holdings Ltd. | 3,270 | $ | 88,094 | |||||
UBS AG — SP ADR* | 5,672 | 87,973 | ||||||
RenaissanceRe Holdings Ltd. | 1,631 | 86,688 | ||||||
Assurant, Inc. | 2,936 | 86,553 | ||||||
Bank of Montreal | 1,622 | 86,096 | ||||||
Rayonier, Inc. | 2,020 | 85,163 | ||||||
SEI Investments Co. | 4,859 | 85,130 | ||||||
Brookfield Asset Management, Inc. — Class A | 3,832 | 84,994 | ||||||
MSCI, Inc. — Class A* | 2,640 | 83,952 | ||||||
Commerce Bancshares, Inc. | 2,140 | 82,861 | ||||||
Total Common Stocks (Cost $12,772,248) | 17,043,805 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT† 0.4%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 76,971 | 76,971 | |||||
Total Repurchase Agreement (Cost $76,971) | 76,971 | |||||||
Total Investments 99.8% (Cost $12,849,219) | $ | 17,120,776 | ||||||
Other Assets in Excess of Liabilities – 0.2% | $ | 42,201 | ||||||
Net Assets – 100.0% | $ | 17,162,977 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 4. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. | |
ADR—American Depository Receipt. | ||
REIT—Real Estate Investment Trust. |
32 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
HEALTH CARE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.3%(a) | ||||||||
Johnson & Johnson | 18,343 | $ | 1,181,473 | |||||
Pfizer, Inc. | 59,156 | 1,076,048 | ||||||
Merck & Company, Inc. | 25,469 | 930,637 | ||||||
Abbott Laboratories | 15,064 | 813,305 | ||||||
Amgen, Inc.* | 12,093 | 684,101 | ||||||
Teva Pharmaceutical Industries Ltd. — SP ADR | 11,782 | 661,913 | ||||||
Medtronic, Inc. | 14,312 | 629,442 | ||||||
Bristol-Myers Squibb Co. | 24,532 | 619,433 | ||||||
Eli Lilly & Co. | 15,982 | 570,717 | ||||||
Gilead Sciences, Inc.* | 12,765 | 552,469 | ||||||
Baxter International, Inc. | 9,052 | 531,171 | ||||||
UnitedHealth Group, Inc. | 17,004 | 518,282 | ||||||
Medco Health Solutions, Inc.* | 7,690 | 491,468 | ||||||
Celgene Corp.* | 8,518 | 474,282 | ||||||
WellPoint, Inc.* | 7,844 | 457,227 | ||||||
Express Scripts, Inc.* | 4,987 | 431,126 | ||||||
Stryker Corp. | 7,951 | 400,492 | ||||||
Allergan, Inc. | 6,343 | 399,672 | ||||||
Becton, Dickinson & Co. | 5,012 | 395,246 | ||||||
Thermo Fisher Scientific, Inc.* | 8,149 | 388,626 | ||||||
Biogen Idec, Inc.* | 6,821 | 364,923 | ||||||
McKesson Corp. | 5,735 | 358,437 | ||||||
Boston Scientific Corp.* | 37,011 | 333,099 | ||||||
Aetna, Inc. | 10,286 | 326,066 | ||||||
Genzyme Corp.* | 6,607 | 323,809 | ||||||
Zimmer Holdings, Inc.* | 5,357 | 316,652 | ||||||
Intuitive Surgical, Inc.* | 1,043 | 316,363 | ||||||
St. Jude Medical, Inc.* | 8,573 | 315,315 | ||||||
Cardinal Health, Inc. | 9,527 | 307,150 | ||||||
Quest Diagnostics, Inc. | 4,903 | 296,043 | ||||||
Covidien PLC | 6,100 | 292,129 | ||||||
Forest Laboratories, Inc.* | 8,696 | 279,229 | ||||||
CIGNA Corp. | 7,784 | 274,542 | ||||||
Life Technologies Corp.* | 5,248 | 274,103 | ||||||
Novartis AG — SP ADR | 4,900 | 266,707 | ||||||
Hospira, Inc.* | 5,211 | 265,761 | ||||||
Vertex Pharmaceuticals, Inc.* | 6,174 | 264,556 | ||||||
Laboratory Corporation of America Holdings* | 3,350 | 250,714 | ||||||
AmerisourceBergen Corp. | 9,380 | 244,537 | ||||||
Warner Chilcott PLC* | 8,573 | 244,073 | ||||||
Humana, Inc.* | 5,554 | 243,765 | ||||||
Cerner Corp.* | 2,930 | 241,549 | ||||||
C.R. Bard, Inc. | 3,013 | 234,713 | ||||||
GlaxoSmithKline PLC — SP ADR | 5,555 | 234,699 | ||||||
Sanofi-Aventis — SP ADR | 5,849 | 229,690 | ||||||
Human Genome Sciences, Inc.* | 7,354 | 225,032 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Varian Medical Systems, Inc.* | 4,712 | $ | 220,757 | |||||
Waters Corp.* | 3,527 | 218,533 | ||||||
DaVita, Inc.* | 3,684 | 216,398 | ||||||
Alcon, Inc. — SP ADR | 1,313 | 215,792 | ||||||
CareFusion Corp.* | 8,520 | 213,085 | ||||||
Mylan Laboratories, Inc.* | 11,521 | 212,332 | ||||||
DENTSPLY International, Inc. | 5,926 | 208,417 | ||||||
Edwards Lifesciences Corp.* | 2,354 | 204,445 | ||||||
Watson Pharmaceuticals, Inc.* | 5,020 | 198,842 | ||||||
Cephalon, Inc.* | 3,168 | 197,715 | ||||||
Henry Schein, Inc.* | 3,720 | 195,672 | ||||||
Beckman Coulter, Inc. | 2,884 | 188,729 | ||||||
Alexion Pharmaceuticals, Inc.* | 3,833 | 187,127 | ||||||
AstraZeneca PLC — SP ADR | 3,962 | 185,976 | ||||||
Illumina, Inc.* | 6,064 | 185,862 | ||||||
Hologic, Inc.* | 12,445 | 180,453 | ||||||
Millipore Corp.* | 2,484 | 179,717 | ||||||
ResMed, Inc.* | 3,424 | 178,972 | ||||||
IMS Health, Inc. | 8,350 | 175,851 | ||||||
Mettler-Toledo International, Inc.* | 1,670 | 175,333 | ||||||
Perrigo Co. | 4,400 | 175,296 | ||||||
Covance, Inc.* | 3,190 | 174,078 | ||||||
Dendreon Corp.* | 6,358 | 167,088 | ||||||
Patterson Companies, Inc.* | 5,970 | 167,041 | ||||||
Coventry Health Care, Inc.* | 6,850 | 166,387 | ||||||
Community Health Systems, Inc.* | 4,660 | 165,896 | ||||||
Inverness Medical Innovations, Inc.* | 3,990 | 165,625 | ||||||
King Pharmaceuticals, Inc.* | 13,000 | 159,510 | ||||||
Omnicare, Inc. | 6,414 | 155,155 | ||||||
Pharmaceutical Product Development, Inc. | 6,570 | 154,001 | ||||||
Universal Health Services, Inc. — Class B | 4,950 | 150,975 | ||||||
Mednax, Inc.* | 2,510 | 150,901 | ||||||
Shire PLC — SP ADR | 2,558 | 150,155 | ||||||
Kinetic Concepts, Inc.* | 3,930 | 147,965 | ||||||
United Therapeutics Corp.* | 2,790 | 146,894 | ||||||
Myriad Genetics, Inc.* | 5,599 | 146,134 | ||||||
Valeant Pharmaceuticals International* | 4,560 | 144,962 | ||||||
Endo Pharmaceuticals Holdings, Inc.* | 6,890 | 141,314 | ||||||
Lincare Holdings, Inc.* | 3,790 | 140,685 | ||||||
PerkinElmer, Inc. | 6,760 | 139,188 | ||||||
Health Net, Inc.* | 5,940 | 138,343 | ||||||
Total Common Stocks (Cost $20,466,674) | 26,718,387 | |||||||
See Notes to Financial Statements. | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 33 |
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
HEALTH CARE FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT† 0.6%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 153,030 | $ | 153,030 | ||||
Total Repurchase Agreement (Cost $153,030) | 153,030 | |||||||
Total Investments 99.9% (Cost $20,619,704) | $ | 26,871,417 | ||||||
Other Assets in Excess of Liabilities – 0.1% | $ | 24,846 | ||||||
Net Assets – 100.0% | $ | 26,896,263 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 4. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. | |
ADR—American Depository Receipt. |
34 | | | THE RYDEX |SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
INTERNET FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.5%(a) | ||||||||
Google, Inc. — Class A* | 5,148 | $ | 3,191,657 | |||||
Cisco Systems, Inc.* | 111,289 | 2,664,259 | ||||||
Qualcomm, Inc. | 43,312 | 2,003,613 | ||||||
Amazon.com, Inc.* | 13,045 | 1,754,813 | ||||||
Research In Motion Ltd.* | 21,231 | 1,433,942 | ||||||
Time Warner, Inc. | 44,592 | 1,299,411 | ||||||
eBay, Inc.* | 53,023 | 1,248,161 | ||||||
Yahoo!, Inc.* | 66,035 | 1,108,067 | ||||||
Broadcom Corp. — Class A* | 27,837 | 875,474 | ||||||
Juniper Networks, Inc.* | 32,407 | 864,295 | ||||||
Symantec Corp.* | 48,295 | 863,998 | ||||||
Baidu, Inc. — SP ADR* | 2,052 | 843,844 | ||||||
Priceline.com, Inc.* | 3,213 | 702,040 | ||||||
Intuit, Inc.* | 22,848 | 701,662 | ||||||
Expedia, Inc.* | 24,139 | 620,614 | ||||||
BMC Software, Inc.* | 15,465 | 620,147 | ||||||
Check Point Software Technologies Ltd.* | 17,891 | 606,147 | ||||||
Sun Microsystems, Inc.* | 63,344 | 593,533 | ||||||
McAfee, Inc.* | 14,250 | 578,123 | ||||||
Red Hat, Inc.* | 17,870 | 552,183 | ||||||
VeriSign, Inc.* | 20,842 | 505,210 | ||||||
NetEase.com, Inc.* | 13,070 | 491,563 | ||||||
F5 Networks, Inc.* | 8,868 | 469,827 | ||||||
Akamai Technologies, Inc.* | 18,466 | 467,744 | ||||||
Equinix, Inc.* | 4,327 | 459,311 | ||||||
Netflix, Inc.* | 7,172 | 395,464 | ||||||
IAC/InterActiveCorp* | 18,594 | 380,805 | ||||||
Sina Corp.* | 8,260 | 373,187 | ||||||
AOL, Inc.* | 15,239 | 354,764 | ||||||
VistaPrint NV* | 6,181 | 350,215 | ||||||
MercadoLibre, Inc.* | 6,660 | 345,454 | ||||||
Sohu.com, Inc.* | 6,016 | 344,596 | ||||||
Monster Worldwide, Inc.* | 19,550 | 340,170 | ||||||
Palm, Inc.* | 26,258 | 263,630 | ||||||
Rackspace Hosting, Inc.* | 10,980 | 228,933 | ||||||
Digital River, Inc.* | 8,470 | 228,605 | ||||||
Ciena Corp.* | 20,863 | 226,155 | ||||||
NutriSystem, Inc. | 7,110 | 221,619 | ||||||
TIBCO Software, Inc.* | 20,310 | 195,585 | ||||||
Blue Nile, Inc.* | 2,330 | 147,559 | ||||||
ValueClick, Inc.* | 14,400 | 145,728 | ||||||
EarthLink, Inc. | 17,080 | 141,935 | ||||||
Total Common Stocks (Cost $21,719,703) | 30,204,042 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT† 0.6%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 182,277 | $ | 182,277 | ||||
Total Repurchase Agreement (Cost $182,277) | 182,277 | |||||||
Total Investments 100.1% (Cost $21,901,980) | $ | 30,386,319 | ||||||
Liabilities in Excess of Other Assets – (0.1)% | $ | (26,426 | ) | |||||
Net Assets – 100.0% | $ | 30,359,893 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 4. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. | |
ADR—American Depository Receipt. |
See Notes to Financial Statements. | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 35 |
SCHEDULE OF INVESTMENTS
December 31, 2009
LEISURE FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.6%(a) | ||||||||
McDonald’s Corp. | 9,368 | $ | 584,938 | |||||
Walt Disney Co. | 17,214 | 555,151 | ||||||
Comcast Corp. — Class A | 29,012 | 489,142 | ||||||
News Corp. | 32,409 | 443,679 | ||||||
Time Warner, Inc. | 14,197 | 413,701 | ||||||
DIRECTV* | 12,141 | 404,902 | ||||||
Carnival Corp.* | 11,362 | 360,062 | ||||||
Viacom, Inc. — Class B* | 10,213 | 303,632 | ||||||
Starbucks Corp.* | 12,953 | 298,696 | ||||||
Yum! Brands, Inc. | 8,279 | 289,517 | ||||||
Activision Blizzard, Inc.* | 24,424 | 271,351 | ||||||
Time Warner Cable, Inc. | 6,490 | 268,621 | ||||||
Grupo Televisa SA — SP ADR | 11,940 | 247,874 | ||||||
McGraw-Hill Companies, Inc. | 6,770 | 226,863 | ||||||
CBS Corp. | 16,060 | 225,643 | ||||||
Las Vegas Sands Corp.* | 14,781 | 220,828 | ||||||
Marriott International, Inc. — Class A | 8,021 | 218,572 | ||||||
DISH Network Corp. — Class A | 10,360 | 215,177 | ||||||
Cablevision Systems Corp. — Class A | 7,670 | 198,039 | ||||||
Discovery Communications, Inc. — Class A* | 6,440 | 197,515 | ||||||
Mattel, Inc. | 9,567 | 191,149 | ||||||
Wynn Resorts Ltd. | 3,226 | 187,850 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 5,087 | 186,032 | ||||||
Electronic Arts, Inc.* | 10,013 | 177,731 | ||||||
Liberty Global, Inc. — Class A* | 8,060 | 176,595 | ||||||
Harley-Davidson, Inc. | 6,950 | 175,140 | ||||||
Tim Hortons, Inc. | 5,615 | 171,314 | ||||||
Virgin Media, Inc. | 9,930 | 167,122 | ||||||
International Game Technology, Inc. | 8,852 | 166,152 | ||||||
Royal Caribbean Cruises Ltd.* | 6,479 | 163,789 | ||||||
Darden Restaurants, Inc. | 4,659 | 163,391 | ||||||
Hasbro, Inc. | 4,688 | 150,297 | ||||||
Marvel Entertainment, Inc.* | 2,715 | 146,827 | ||||||
MGM MIRAGE* | 15,274 | 139,299 | ||||||
Gannett Company, Inc. | 9,050 | 134,392 | ||||||
DreamWorks Animation SKG, Inc. — Class A* | 3,349 | 133,793 | ||||||
Wyndham Worldwide Corp. | 6,624 | 133,606 | ||||||
Scripps Networks Interactive, Inc. | 3,010 | 124,915 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 1,333 | 117,517 | ||||||
Burger King Holdings, Inc. | 6,066 | 114,162 | ||||||
WMS Industries, Inc.* | 2,736 | 109,440 | ||||||
Regal Entertainment Group — Class A | 7,524 | 108,647 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Liberty Media Corp. — Starz* | 2,353 | $ | 108,591 | |||||
Bally Technologies, Inc.* | 2,579 | 106,487 | ||||||
New York Times Co. — Class A* | 8,570 | 105,925 | ||||||
Penn National Gaming, Inc.* | 3,884 | 105,567 | ||||||
Panera Bread Co.* | 1,557 | 104,272 | ||||||
Washington Post Co. — Class B | 220 | 96,712 | ||||||
Brinker International, Inc. | 6,004 | 89,580 | ||||||
Polaris Industries, Inc. | 1,961 | 85,558 | ||||||
Scientific Games Corp. — Class A* | 5,786 | 84,186 | ||||||
Brunswick Corp. | 6,577 | 83,594 | ||||||
Vail Resorts, Inc.* | 2,170 | 82,026 | ||||||
Cheesecake Factory, Inc.* | 3,789 | 81,805 | ||||||
Jack in the Box, Inc.* | 3,859 | 75,907 | ||||||
Life Time Fitness, Inc.* | 2,924 | 72,895 | ||||||
Gaylord Entertainment Co.* | 3,680 | 72,680 | ||||||
Take-Two Interactive Software, Inc.* | 6,950 | 69,847 | ||||||
Valassis Communications, Inc.* | 3,650 | 66,649 | ||||||
P.F. Chang’s China Bistro, Inc.* | 1,729 | 65,546 | ||||||
Cracker Barrel Old Country Store, Inc. | 1,724 | 65,495 | ||||||
Buffalo Wild Wings, Inc.* | 1,540 | 62,016 | ||||||
Boyd Gaming Corp.* | 7,218 | 60,415 | ||||||
Central European Media Enterprises Ltd. — Class A* | 2,480 | 58,553 | ||||||
Meredith Corp. | 1,830 | 56,456 | ||||||
Pool Corp. | 2,455 | 46,841 | ||||||
Total Common Stocks (Cost $9,537,801) | 11,680,666 | |||||||
WARRANTS 0.0%(a) Krispy Kreme Doughnuts, Inc.* $12.21, 03/02/12 | 311 | 19 | ||||||
Total Warrants (Cost $—) | 19 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT† 0.6%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 68,052 | 68,052 | |||||
Total Repurchase Agreement (Cost $68,052) | 68,052 | |||||||
Total Investments 100.2% (Cost $9,605,853) | $ | 11,748,737 | ||||||
Liabilities in Excess of Other Assets – (0.2)% | $ | (26,900 | ) | |||||
Net Assets – 100.0% | $ | 11,721,837 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 4. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. | |
ADR—American Depository Receipt. |
36 | | | THE RYDEX |SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
PRECIOUS METALS FUND
MARKET | |||||||||
SHARES | VALUE | ||||||||
COMMON STOCKS 99.8%(a) | |||||||||
Freeport-McMoRan Copper & Gold, Inc.* | 142,575 | $ | 11,447,347 | ||||||
Barrick Gold Corp. | 184,713 | 7,273,998 | |||||||
Newmont Mining Corp. | 151,484 | 7,166,708 | |||||||
Goldcorp, Inc. | 163,977 | 6,450,855 | |||||||
Agnico-Eagle Mines Ltd. | 86,348 | 4,662,792 | |||||||
Southern Copper Corp. | 114,934 | 3,782,478 | |||||||
Yamana Gold, Inc. | 329,455 | 3,749,198 | |||||||
Kinross Gold Corp. | 193,713 | 3,564,319 | |||||||
AngloGold Ashanti Ltd. — SP ADR | 86,817 | 3,488,307 | |||||||
Randgold Resources Ltd. — SP ADR | 39,608 | 3,133,785 | |||||||
Gold Fields Ltd. — SP ADR | 225,503 | 2,956,344 | |||||||
Silver Wheaton Corp.* | 194,839 | 2,926,482 | |||||||
Coeur d’Alene Mines Corp.* | 160,244 | 2,894,007 | |||||||
Cia de Minas Buenaventura SA — SP ADR | 79,010 | 2,644,465 | |||||||
IAMGOLD Corp. | 168,955 | 2,642,456 | |||||||
Eldorado Gold Corp.* | 178,980 | 2,536,147 | |||||||
Hecla Mining Co.* | 381,486 | 2,357,584 | |||||||
Harmony Gold Mining Company Ltd. — SP ADR | 221,658 | 2,254,262 | |||||||
Pan American Silver Corp.* | 89,188 | 2,123,566 | |||||||
Royal Gold, Inc. | 39,128 | 1,842,929 | |||||||
Silver Standard Resources, Inc.* | 80,543 | 1,761,475 | |||||||
Titanium Metals Corp.* | 134,462 | 1,683,464 | |||||||
Lihir Gold Ltd. — SP ADR | 55,770 | 1,627,926 | |||||||
Gammon Gold, Inc.* | 103,398 | 1,138,412 | |||||||
Total Common Stocks (Cost $46,783,918) | 86,109,306 | ||||||||
FACE | |||||||||
AMOUNT | |||||||||
REPURCHASE AGREEMENT† 0.2%(b) Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 166,189 | 166,189 | ||||||
Total Repurchase Agreement (Cost $166,189) | 166,189 | ||||||||
Total Investments 100.0% (Cost $46,950,107) | $ | 86,275,495 | |||||||
Other Assets in Excess of Liabilities – 0.0% | $ | 1,299 | |||||||
Net Assets – 100.0% | $ | 86,276,794 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 4. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. | |
ADR—American Depository Receipt. |
See Notes to Financial Statements. | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 37 |
SCHEDULE OF INVESTMENTS
December 31, 2009
RETAILING FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.2%(a) | ||||||||
Wal-Mart Stores, Inc. | 22,467 | $ | 1,200,861 | |||||
Amazon.com, Inc.* | 4,887 | 657,399 | ||||||
Home Depot, Inc. | 20,261 | 586,151 | ||||||
CVS Caremark Corp. | 17,606 | 567,089 | ||||||
Target Corp. | 10,466 | 506,240 | ||||||
Walgreen Co. | 13,704 | 503,211 | ||||||
Lowe’s Companies, Inc. | 20,730 | 484,875 | ||||||
Costco Wholesale Corp. | 7,289 | 431,290 | ||||||
Staples, Inc. | 14,228 | 349,867 | ||||||
Kohl’s Corp.* | 6,385 | 344,343 | ||||||
Best Buy Company, Inc. | 8,424 | 332,411 | ||||||
TJX Companies, Inc. | 8,952 | 327,196 | ||||||
The Gap, Inc. | 15,168 | 317,770 | ||||||
Sears Holdings Corp.* | 3,242 | 270,545 | ||||||
Bed Bath & Beyond, Inc.* | 7,002 | 270,487 | ||||||
Priceline.com, Inc.* | 1,200 | 262,200 | ||||||
Nordstrom, Inc. | 6,627 | 249,043 | ||||||
AutoZone, Inc.* | 1,481 | 234,102 | ||||||
Expedia, Inc.* | 9,036 | 232,316 | ||||||
Dollar General Corp.* | 10,310 | 231,253 | ||||||
Macy’s, Inc. | 13,169 | 220,712 | ||||||
Liberty Media Corp. — Interactive* | 20,350 | 220,594 | ||||||
Sherwin-Williams Co. | 3,563 | 219,659 | ||||||
Limited Brands, Inc. | 10,944 | 210,563 | ||||||
J.C. Penney Company, Inc. | 7,850 | 208,888 | ||||||
Urban Outfitters, Inc.* | 5,923 | 207,246 | ||||||
Genuine Parts Co. | 5,413 | 205,477 | ||||||
CarMax, Inc.* | 8,377 | 203,142 | ||||||
Tiffany & Co. | 4,533 | 194,919 | ||||||
O’Reilly Automotive, Inc.* | 5,056 | 192,735 | ||||||
Ross Stores, Inc. | 4,416 | 188,607 | ||||||
Dollar Tree, Inc.* | 3,562 | 172,045 | ||||||
Guess?, Inc. | 3,853 | 162,982 | ||||||
Family Dollar Stores, Inc. | 5,831 | 162,277 | ||||||
Advance Auto Parts, Inc. | 4,007 | 162,203 | ||||||
American Eagle Outfitters, Inc. | 9,393 | 159,493 | ||||||
GameStop Corp.* | 7,059 | 154,874 | ||||||
AutoNation, Inc.* | 8,034 | 153,851 | ||||||
Petsmart, Inc. | 5,619 | 149,971 | ||||||
Netflix, Inc.* | 2,682 | 147,885 | ||||||
Abercrombie & Fitch Co. — Class A | 4,145 | 144,453 | ||||||
Dick’s Sporting Goods, Inc.* | 5,806 | 144,395 | ||||||
J. Crew Group, Inc.* | 3,085 | 138,023 | ||||||
Chico’s FAS, Inc.* | 9,534 | 133,953 | ||||||
RadioShack Corp. | 6,698 | 130,611 | ||||||
Big Lots, Inc.* | 4,483 | 129,917 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Aeropostale, Inc.* | 3,772 | $ | 128,437 | |||||
Williams-Sonoma, Inc. | 5,816 | 120,856 | ||||||
Tractor Supply Co.* | 2,222 | 117,677 | ||||||
Foot Locker, Inc. | 10,388 | 115,722 | ||||||
BJ’s Wholesale Club, Inc.* | 3,439 | 112,490 | ||||||
Office Depot, Inc.* | 17,332 | 111,791 | ||||||
Dress Barn, Inc.* | 4,689 | 108,316 | ||||||
Collective Brands, Inc.* | 4,490 | 102,237 | ||||||
Aaron’s, Inc. | 3,681 | 102,074 | ||||||
Buckle, Inc. | 3,393 | 99,347 | ||||||
Gymboree Corp.* | 2,229 | 96,939 | ||||||
Penske Auto Group, Inc.* | 6,320 | 95,938 | ||||||
Dillard’s, Inc. — Class A | 5,160 | 95,202 | ||||||
Barnes & Noble, Inc. | 4,710 | 89,820 | ||||||
Rent-A-Center, Inc.* | 5,001 | 88,618 | ||||||
Men’s Wearhouse, Inc. | 4,126 | 86,894 | ||||||
Jo-Ann Stores, Inc.* | 2,390 | 86,614 | ||||||
Saks, Inc.* | 13,010 | 85,346 | ||||||
Blue Nile, Inc.* | 1,310 | 82,962 | ||||||
NutriSystem, Inc. | 2,660 | 82,912 | ||||||
Cabela’s, Inc. — Class A* | 5,758 | 82,109 | ||||||
Children’s Place Retail Stores, Inc.* | 2,470 | 81,535 | ||||||
OfficeMax, Inc.* | 6,390 | 81,089 | ||||||
99 Cents Only Stores* | 6,110 | 79,858 | ||||||
LKQ Corp.* | 3,620 | 70,916 | ||||||
AnnTaylor Stores Corp.* | 5,187 | 70,751 | ||||||
Total Common Stocks (Cost $10,720,781) | 15,354,574 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT† 0.5%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 83,789 | 83,789 | |||||
Total Repurchase Agreement (Cost $83,789) | 83,789 | |||||||
Total Investments 99.7% (Cost $10,804,570) | $ | 15,438,363 | ||||||
Other Assets in Excess of Liabilities – 0.3% | $ | 50,033 | ||||||
Net Assets – 100.0% | $ | 15,488,396 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 4. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. |
38 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
TECHNOLOGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.5%(a) | ||||||||
Microsoft Corp. | 56,004 | $ | 1,707,562 | |||||
Apple, Inc.* | 7,004 | 1,476,863 | ||||||
Google, Inc. — Class A* | 2,248 | 1,393,715 | ||||||
International Business Machines Corp. | 10,350 | 1,354,815 | ||||||
Cisco Systems, Inc.* | 50,804 | 1,216,248 | ||||||
Oracle Corp. | 47,708 | 1,170,754 | ||||||
Hewlett-Packard Co. | 22,126 | 1,139,710 | ||||||
Intel Corp. | 55,001 | 1,122,020 | ||||||
Qualcomm, Inc. | 19,774 | 914,745 | ||||||
Visa, Inc. | 9,362 | 818,801 | ||||||
Research In Motion Ltd.* | 9,693 | 654,665 | ||||||
EMC Corp.* | 35,297 | 616,639 | ||||||
Texas Instruments, Inc. | 22,883 | 596,331 | ||||||
Infosys Technologies Ltd. — SP ADR | 10,440 | 577,019 | ||||||
Corning, Inc. | 29,648 | 572,503 | ||||||
eBay, Inc.* | 24,200 | 569,668 | ||||||
MasterCard, Inc. | 2,208 | 565,204 | ||||||
Dell, Inc.* | 38,203 | 548,595 | ||||||
Yahoo!, Inc.* | 30,142 | 505,783 | ||||||
Automatic Data Processing, Inc. | 11,156 | 477,700 | ||||||
Applied Materials, Inc. | 32,425 | 452,004 | ||||||
Adobe Systems, Inc.* | 12,196 | 448,569 | ||||||
VMware, Inc.* | 10,110 | 428,462 | ||||||
Motorola, Inc.* | 54,659 | 424,154 | ||||||
Taiwan Semiconductor Manufacturing Company Ltd. — SP ADR | 35,172 | 402,368 | ||||||
Broadcom Corp. — Class A* | 12,711 | 399,761 | ||||||
SAP AG — SP ADR | 8,430 | 394,608 | ||||||
Juniper Networks, Inc.* | 14,789 | 394,423 | ||||||
Symantec Corp.* | 22,046 | 394,403 | ||||||
Activision Blizzard, Inc.* | 35,040 | 389,294 | ||||||
Marvell Technology Group Ltd.* | 18,373 | 381,240 | ||||||
Cognizant Technology Solutions Corp. — Class A* | 8,352 | 378,346 | ||||||
Baidu, Inc. — SP ADR* | 900 | 370,107 | ||||||
Western Union Co. | 19,440 | 366,444 | ||||||
Nokia Oyj — SP ADR | 28,231 | 362,768 | ||||||
CA, Inc. | 15,503 | 348,197 | ||||||
NetApp, Inc.* | 10,124 | 348,164 | ||||||
NVIDIA Corp.* | 18,457 | 344,777 | ||||||
Agilent Technologies, Inc.* | 11,043 | 343,106 | ||||||
Paychex, Inc. | 11,082 | 339,552 | ||||||
Micron Technology, Inc.* | 31,760 | 335,386 | ||||||
Salesforce.com, Inc.* | 4,480 | 330,490 | ||||||
Western Digital Corp.* | 7,357 | 324,812 | ||||||
Intuit, Inc.* | 10,432 | 320,367 | ||||||
Analog Devices, Inc. | 9,961 | 314,568 | ||||||
Seagate Technology | 17,210 | 313,050 | ||||||
Computer Sciences Corp.* | 5,325 | 306,347 | ||||||
Fidelity National Information Services, Inc. | 12,951 | 303,571 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Amphenol Corp. | 6,498 | $ | 300,078 | |||||
Citrix Systems, Inc.* | 7,032 | 292,602 | ||||||
Telefonaktiebolaget LM Ericsson — SP ADR | 30,888 | 283,861 | ||||||
BMC Software, Inc.* | 7,056 | 282,946 | ||||||
Fiserv, Inc.* | 5,819 | 282,105 | ||||||
SanDisk Corp.* | 9,716 | 281,667 | ||||||
Accenture PLC — Class A | 6,752 | 280,208 | ||||||
Check Point Software Technologies Ltd.* | 8,167 | 276,698 | ||||||
SAIC, Inc.* | 14,560 | 275,766 | ||||||
Xerox Corp. | 32,519 | 275,111 | ||||||
Xilinx, Inc. | 10,882 | 272,703 | ||||||
Linear Technology Corp. | 8,887 | 271,409 | ||||||
Sun Microsystems, Inc.* | 28,921 | 270,990 | ||||||
Altera Corp. | 11,815 | 267,373 | ||||||
Advanced Micro Devices, Inc.* | 27,530 | 266,490 | ||||||
McAfee, Inc.* | 6,507 | 263,989 | ||||||
Harris Corp. | 5,522 | 262,571 | ||||||
Maxim Integrated Products, Inc. | 12,800 | 259,840 | ||||||
Cree, Inc.* | 4,545 | 256,202 | ||||||
KLA-Tencor Corp. | 7,085 | 256,194 | ||||||
Electronic Arts, Inc.* | 14,358 | 254,854 | ||||||
Flextronics International Ltd.* | 34,680 | 253,511 | ||||||
Autodesk, Inc.* | 9,942 | 252,626 | ||||||
Red Hat, Inc.* | 8,154 | 251,959 | ||||||
Amdocs, Ltd.* | 8,831 | 251,948 | ||||||
Dolby Laboratories, Inc. — Class A* | 5,140 | 245,332 | ||||||
Affiliated Computer Services, Inc. — Class A* | 4,107 | 245,147 | ||||||
Microchip Technology, Inc. | 8,208 | 238,524 | ||||||
Flir Systems, Inc.* | 7,260 | 237,547 | ||||||
Teradata Corp.* | 7,510 | 236,039 | ||||||
Lam Research Corp.* | 5,933 | 232,633 | ||||||
VeriSign, Inc.* | 9,509 | 230,498 | ||||||
Avnet, Inc.* | 7,456 | 224,873 | ||||||
Nuance Communications, Inc.* | 14,091 | 218,974 | ||||||
Global Payments, Inc. | 4,049 | 218,079 | ||||||
F5 Networks, Inc.* | 4,050 | 214,569 | ||||||
Akamai Technologies, Inc.* | 8,430 | 213,532 | ||||||
LSI Logic Corp.* | 35,450 | 213,054 | ||||||
ON Semiconductor Corp.* | 23,610 | 208,004 | ||||||
ANSYS, Inc.* | 4,742 | 206,087 | ||||||
Hewitt Associates, Inc.* | 4,810 | 203,271 | ||||||
Equinix, Inc.* | 1,884 | 199,987 | ||||||
ASML Holding NV | 5,865 | 199,938 | ||||||
National Semiconductor Corp. | 12,923 | 198,497 | ||||||
Lender Processing Services, Inc. | 4,850 | 197,201 | ||||||
Sybase, Inc.* | 4,490 | 194,866 | ||||||
Total System Services, Inc. | 10,850 | 187,380 | ||||||
Total Common Stocks (Cost $29,516,437) | 39,766,411 | |||||||
See Notes to Financial Statements. | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 39 |
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
TECHNOLOGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT† 0.5%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 213,032 | $ | 213,032 | ||||
Total Repurchase Agreement (Cost $213,032) | 213,032 | |||||||
Total Investments 100.0% (Cost $29,729,469) | $ | 39,979,443 | ||||||
Liabilities in Excess of Other Assets – 0.0% | $ | (12,817 | ) | |||||
Net Assets – 100.0% | $ | 39,966,626 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 4. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. | |
ADR—American Depository Receipt. |
40 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
TELECOMMUNICATIONS FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.3%(a) | ||||||||
AT&T, Inc. | 22,312 | $ | 625,405 | |||||
Cisco Systems, Inc.* | 23,881 | 571,711 | ||||||
Verizon Communications, Inc. | 13,998 | 463,754 | ||||||
Qualcomm, Inc. | 9,297 | 430,079 | ||||||
Research In Motion Ltd.* | 4,552 | 307,442 | ||||||
American Tower Corp. — Class A* | 4,672 | 201,877 | ||||||
Motorola, Inc.* | 25,686 | 199,323 | ||||||
Juniper Networks, Inc.* | 6,953 | 185,437 | ||||||
Crown Castle International Corp.* | 4,149 | 161,977 | ||||||
CenturyTel, Inc. | 4,418 | 159,976 | ||||||
Harris Corp. | 2,601 | 123,678 | ||||||
NII Holdings, Inc. — Class B* | 3,340 | 112,157 | ||||||
Vodafone Group PLC — SP ADR | 4,609 | 106,422 | ||||||
Windstream Corp. | 9,523 | 104,658 | ||||||
F5 Networks, Inc.* | 1,903 | 100,821 | ||||||
SBA Communications Corp.* | 2,804 | 95,785 | ||||||
Millicom International Cellular SA | 1,252 | 92,360 | ||||||
Brocade Communications Systems, Inc.* | 11,709 | 89,340 | ||||||
America Movil SAB de CV — SP ADR | 1,781 | 83,671 | ||||||
MetroPCS Communications, Inc.* | 10,909 | 83,236 | ||||||
3Com Corp.* | 10,945 | 82,088 | ||||||
CommScope, Inc.* | 2,892 | 76,725 | ||||||
Frontier Communications Corp. | 9,778 | 76,366 | ||||||
Tellabs, Inc.* | 12,624 | 71,704 | ||||||
Polycom, Inc.* | 2,845 | 71,040 | ||||||
Nokia Oyj — SP ADR | 5,309 | 68,221 | ||||||
JDS Uniphase Corp.* | 8,117 | 66,965 | ||||||
Riverbed Technology, Inc.* | 2,703 | 62,088 | ||||||
Arris Group, Inc.* | 5,208 | 59,527 | ||||||
Leap Wireless International, Inc. — Class B* | 3,319 | 58,248 | ||||||
ADTRAN, Inc. | 2,566 | 57,863 | ||||||
Palm, Inc.* | 5,635 | 56,575 | ||||||
Telefonaktiebolaget LM Ericsson — SP ADR | 5,813 | 53,422 | ||||||
Blue Coat Systems, Inc.* | 1,859 | 53,056 | ||||||
InterDigital, Inc.* | 1,979 | 52,523 | ||||||
Ciena Corp.* | 4,474 | 48,498 | ||||||
Emulex Corp.* | 4,214 | 45,933 | ||||||
tw telecom, Inc.* | 2,617 | 44,855 | ||||||
Neutral Tandem, Inc.* | 1,943 | 44,203 | ||||||
ADC Telecommunications, Inc.* | 6,128 | 38,055 | ||||||
Telefonos de Mexico SA de CV — SP ADR | 2,209 | 36,625 | ||||||
Clearwire Corp.* | 5,228 | 35,341 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Tekelec* | 2,155 | $ | 32,928 | |||||
Comtech Telecommunications Corp.* | 907 | 31,790 | ||||||
Telephone & Data Systems, Inc. | 901 | 30,562 | ||||||
Plantronics, Inc. | 1,060 | 27,539 | ||||||
Syniverse Holdings, Inc.* | 1,524 | 26,640 | ||||||
Total Common Stocks (Cost $4,406,998) | 5,708,489 | |||||||
RIGHTS 0.0%(a) Clearwire Corp.* | ||||||||
Expires 06/21/10 | 5,490 | 2,196 | ||||||
Total Rights (Cost $0) | 2,196 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT† 0.6%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 32,804 | 32,804 | |||||
Total Repurchase Agreement (Cost $32,804) | 32,804 | |||||||
Total Investments 99.9% (Cost $4,439,802) | $ | 5,743,489 | ||||||
Other Assets in Excess of Liabilities – 0.1% | $ | 4,474 | ||||||
Net Assets – 100.0% | $ | 5,747,963 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 4. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. | |
ADR—American Depository Receipt. |
See Notes to Financial Statements. | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 41 |
SCHEDULE OF INVESTMENTS
December 31, 2009
TRANSPORTATION FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.2%(a) | ||||||||
United Parcel Service, Inc. — Class B | 13,212 | $ | 757,972 | |||||
Burlington Northern Santa Fe Corp. | 5,918 | 583,633 | ||||||
Union Pacific Corp. | 9,056 | 578,678 | ||||||
FedEx Corp. | 6,314 | 526,903 | ||||||
Norfolk Southern Corp. | 8,514 | 446,304 | ||||||
CSX Corp. | 9,176 | 444,944 | ||||||
CH Robinson Worldwide, Inc. | 5,488 | 322,310 | ||||||
Delta Air Lines, Inc.* | 26,113 | 297,166 | ||||||
Southwest Airlines Co. | 25,665 | 293,351 | ||||||
Ryanair Holdings PLC — SP ADR* | 10,787 | 289,307 | ||||||
Expeditors International of Washington, Inc. | 7,878 | 273,603 | ||||||
Hertz Global Holdings, Inc.* | 19,577 | 233,358 | ||||||
J.B. Hunt Transport Services, Inc. | 6,196 | 199,945 | ||||||
Kansas City Southern* | 5,620 | 187,090 | ||||||
DryShips Inc.* | 31,040 | 180,653 | ||||||
Canadian National Railway Co. | 3,187 | 173,245 | ||||||
AMR Corp.* | 21,330 | 164,881 | ||||||
Continental Airlines, Inc. — Class B* | 8,915 | 159,757 | ||||||
UAL Corp.* | 12,361 | 159,581 | ||||||
Canadian Pacific Railway Ltd. | 2,861 | 154,494 | ||||||
Ryder System, Inc. | 3,641 | 149,900 | ||||||
Landstar System, Inc. | 3,613 | 140,076 | ||||||
Kirby Corp.* | 3,942 | 137,300 | ||||||
Knight Transportation, Inc. | 6,739 | 129,995 | ||||||
JetBlue Airways Corp.* | 23,180 | 126,331 | ||||||
Con-way, Inc. | 3,573 | 124,733 | ||||||
Avis Budget Group, Inc.* | 9,100 | 119,392 | ||||||
Heartland Express, Inc. | 7,806 | 119,198 | ||||||
Werner Enterprises, Inc. | 5,985 | 118,443 | ||||||
Alaska Air Group, Inc.* | 3,238 | 111,905 | ||||||
HUB Group, Inc. — Class A* | 3,830 | 102,759 | ||||||
Old Dominion Freight Line, Inc.* | 3,227 | 99,069 | ||||||
Allegiant Travel Co.* | 2,075 | 97,878 | ||||||
Dollar Thrifty Automotive Group, Inc.* | 3,440 | 88,098 | ||||||
AirTran Holdings, Inc.* | 16,440 | 85,817 | ||||||
Genco Shipping & Trading Ltd.* | 3,820 | 85,492 | ||||||
Arkansas Best Corp. | 2,750 | 80,933 | ||||||
Eagle Bulk Shipping, Inc.* | 11,290 | 55,886 | ||||||
Total Common Stocks (Cost $6,668,520) | 8,400,380 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT† 0.3%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 23,140 | $ | 23,140 | ||||
Total Repurchase Agreement (Cost $23,140) | 23,140 | |||||||
Total Investments 99.5% (Cost $6,691,660) | $ | 8,423,520 | ||||||
Other Assets in Excess of Liabilities – 0.5% | $ | 38,840 | ||||||
Net Assets – 100.0% | $ | 8,462,360 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 4. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. | |
ADR—American Depository Receipt. |
42 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
UTILITIES FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 99.4%(a) | ||||||||
Exelon Corp. | 11,388 | $ | 556,532 | |||||
Southern Co. | 15,235 | 507,630 | ||||||
Dominion Resources, Inc. | 12,173 | 473,773 | ||||||
Duke Energy Corp. | 27,077 | 465,995 | ||||||
FPL Group, Inc. | 8,604 | 454,463 | ||||||
Public Service Enterprise Group, Inc. | 12,123 | 403,090 | ||||||
American Electric Power Company, Inc. | 11,545 | 401,651 | ||||||
PG&E Corp. | 8,905 | 397,608 | ||||||
Entergy Corp. | 4,678 | 382,848 | ||||||
Sempra Energy | 6,561 | 367,285 | ||||||
FirstEnergy Corp. | 7,887 | 366,351 | ||||||
Consolidated Edison, Inc. | 7,670 | 348,448 | ||||||
PPL Corp. | 10,596 | 342,357 | ||||||
Progress Energy, Inc. | 8,119 | 332,960 | ||||||
Edison International | 9,425 | 327,801 | ||||||
Xcel Energy, Inc. | 14,415 | 306,030 | ||||||
AES Corp.* | 21,769 | 289,745 | ||||||
DTE Energy Co. | 6,199 | 270,214 | ||||||
Questar Corp. | 6,349 | 263,928 | ||||||
Constellation Energy Group, Inc. | 7,438 | 261,594 | ||||||
Ameren Corp. | 9,061 | 253,255 | ||||||
Companhia Energetica de Minas Gerais — SP ADR | 13,950 | 251,937 | ||||||
Wisconsin Energy Corp. | 4,845 | 241,426 | ||||||
EQT Corp. | 5,418 | 237,959 | ||||||
CenterPoint Energy, Inc. | 16,179 | 234,757 | ||||||
NRG Energy, Inc.* | 9,848 | 232,511 | ||||||
Oneok, Inc. | 4,868 | 216,967 | ||||||
Calpine Corp.* | 19,578 | 215,358 | ||||||
SCANA Corp. | 5,671 | 213,683 | ||||||
Northeast Utilities | 8,082 | 208,435 | ||||||
MDU Resources Group, Inc. | 8,809 | 207,892 | ||||||
NiSource, Inc. | 13,150 | 202,247 | ||||||
National Fuel Gas Co. | 3,984 | 199,200 | ||||||
NSTAR | 5,379 | 197,947 | ||||||
Allegheny Energy, Inc. | 8,220 | 193,006 | ||||||
American Water Works Company, Inc. | 8,590 | 192,502 | ||||||
Pepco Holdings, Inc. | 11,240 | 189,394 | ||||||
OGE Energy Corp. | 5,103 | 188,301 | ||||||
Pinnacle West Capital Corp. | 5,136 | 187,875 | ||||||
CMS Energy Corp. | 11,953 | 187,184 | ||||||
TECO Energy, Inc. | 11,265 | 182,718 | ||||||
Alliant Energy Corp. | 5,999 | 181,530 | ||||||
Energen Corp. | 3,862 | 180,742 | ||||||
DPL, Inc. | 6,491 | 179,152 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Integrys Energy Group, Inc. | 4,199 | $ | 176,316 | |||||
NV Energy, Inc. | 13,672 | 169,259 | ||||||
AGL Resources, Inc. | 4,506 | 164,334 | ||||||
Atmos Energy Corp. | 5,525 | 162,435 | ||||||
ITC Holdings Corp. | 3,072 | 160,020 | ||||||
UGI Corp. | 6,552 | 158,493 | ||||||
Great Plains Energy, Inc. | 8,135 | 157,738 | ||||||
Aqua America, Inc. | 8,744 | 153,107 | ||||||
Westar Energy, Inc. | 6,945 | 150,915 | ||||||
Mirant Corp.* | 9,479 | 144,744 | ||||||
RRI Energy, Inc.* | 24,980 | 142,886 | ||||||
Piedmont Natural Gas Co. | 5,204 | 139,207 | ||||||
Vectren Corp. | 5,632 | 138,998 | ||||||
Hawaiian Electric Industries, Inc. | 6,610 | 138,149 | ||||||
Nicor, Inc. | 3,195 | 134,510 | ||||||
Cleco Corp. | 4,687 | 128,096 | ||||||
WGL Holdings, Inc. | 3,805 | 127,620 | ||||||
New Jersey Resources Corp. | 3,303 | 123,532 | ||||||
IDACORP, Inc. | 3,853 | 123,103 | ||||||
Portland General Electric Co. | 5,972 | 121,889 | ||||||
South Jersey Industries, Inc. | 2,764 | 105,530 | ||||||
Unisource Energy Corp. | 3,270 | 105,261 | ||||||
PNM Resources, Inc. | 8,148 | 103,072 | ||||||
Total Common Stocks (Cost $12,178,117) | 15,725,495 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT† 1.1%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 169,427 | 169,427 | |||||
Total Repurchase Agreement (Cost $169,427) | 169,427 | |||||||
Total Investments 100.5% (Cost $12,347,544) | $ | 15,894,922 | ||||||
Liabilities in Excess of Other Assets – (0.5)% | $ | (81,054 | ) | |||||
Net Assets – 100.0% | $ | 15,813,868 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 4. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. | |
ADR—American Depository Receipt. |
See Notes to Financial Statements. | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 43 |
STATEMENTS OF ASSETS AND LIABILITIES
Basic | Bio- | Consumer | ||||||||||||||
Banking | Materials | technology | Products | |||||||||||||
Fund | Fund | Fund | Fund | |||||||||||||
Assets | ||||||||||||||||
Investment Securities | $ | 4,611,477 | $ | 46,502,131 | $ | 13,080,958 | $ | 21,113,840 | ||||||||
Repurchase Agreements | 25,984 | 141,770 | 113,220 | 61,349 | ||||||||||||
Total Investments | 4,637,461 | 46,643,901 | 13,194,178 | 21,175,189 | ||||||||||||
Cash | — | — | — | — | ||||||||||||
Receivable for Securities Sold | — | — | 158,416 | 404,433 | ||||||||||||
Receivable for Fund Shares Sold | 851,707 | 11,216 | — | 40,649 | ||||||||||||
Investment Income Receivable | 8,366 | 45,273 | — | 76,231 | ||||||||||||
Total Assets | 5,497,534 | 46,700,390 | 13,352,594 | 21,696,502 | ||||||||||||
Liabilities | ||||||||||||||||
Payable for Securities Purchased | 813,344 | — | — | — | ||||||||||||
Payable for Fund Shares Redeemed | 20,345 | 68,287 | 168,643 | 393,749 | ||||||||||||
Investment Advisory Fees Payable | 6,398 | 40,604 | 9,471 | 17,253 | ||||||||||||
Transfer Agent and Administrative Fees Payable | 1,882 | 11,942 | 2,786 | 5,074 | ||||||||||||
Distribution and Service Fees Payable | 1,882 | 11,942 | 2,786 | 5,074 | ||||||||||||
Portfolio Accounting Fees Payable | 753 | 4,777 | 1,114 | 2,030 | ||||||||||||
Custody Fees Payable | 248 | 1,576 | 368 | 677 | ||||||||||||
Other Accrued Fees | 13,674 | 39,387 | 23,364 | 20,461 | ||||||||||||
Total Liabilities | 858,526 | 178,515 | 208,532 | 444,318 | ||||||||||||
Net Assets | $ | 4,639,008 | $ | 46,521,875 | $ | 13,144,062 | $ | 21,252,184 | ||||||||
Net Assets Consist Of | ||||||||||||||||
Paid-In Capital | $ | 15,314,019 | $ | 39,307,755 | $ | 24,270,581 | $ | 23,535,793 | ||||||||
Undistributed Net Investment Income | 78,777 | 231,949 | — | 242,595 | ||||||||||||
Accumulated Net Realized Loss on Investments | (11,920,359 | ) | (8,733,886 | ) | (15,108,225 | ) | (7,074,286 | ) | ||||||||
Net Unrealized Appreciation on Investments | 1,166,571 | 15,716,057 | 3,981,706 | 4,548,082 | ||||||||||||
Net Assets | $ | 4,639,008 | $ | 46,521,875 | $ | 13,144,062 | $ | 21,252,184 | ||||||||
Shares Outstanding | 370,573 | 1,592,291 | 583,612 | 659,008 | ||||||||||||
Net Asset Values | $ | 12.52 | $ | 29.22 | $ | 22.52 | $ | 32.25 | ||||||||
Cost of Investments | $ | 3,470,890 | $ | 30,927,844 | $ | 9,212,472 | $ | 16,627,107 |
44 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
December 31, 2009
Energy | Financial | Health | Precious | ||||||||||||||||||||||||||||||
Electronics | Energy | Services | Services | Care | Internet | Leisure | Metals | ||||||||||||||||||||||||||
Fund | Fund | Fund | Fund | Fund | Fund | Fund | Fund | ||||||||||||||||||||||||||
$ | 24,907,097 | $ | 39,333,588 | $ | 41,296,214 | $ | 17,043,805 | $ | 26,718,387 | $ | 30,204,042 | $ | 11,680,685 | $ | 86,109,306 | ||||||||||||||||||
124,209 | 316,934 | 141,250 | 76,971 | 153,030 | 182,277 | 68,052 | 166,189 | ||||||||||||||||||||||||||
25,031,306 | 39,650,522 | 41,437,464 | 17,120,776 | 26,871,417 | 30,386,319 | 11,748,737 | 86,275,495 | ||||||||||||||||||||||||||
— | 5,025 | — | 2,802 | — | — | — | — | ||||||||||||||||||||||||||
706,793 | 588,313 | 224,709 | — | — | 606,400 | — | — | ||||||||||||||||||||||||||
161,969 | 49,904 | 11,449 | 1,572,788 | 71,364 | 14,823 | 2,860 | 260,319 | ||||||||||||||||||||||||||
1,885 | 23,336 | 25,197 | 24,355 | 29,389 | — | 8,265 | 16,255 | ||||||||||||||||||||||||||
25,901,953 | 40,317,100 | 41,698,819 | 18,720,721 | 26,972,170 | 31,007,542 | 11,759,862 | 86,552,069 | ||||||||||||||||||||||||||
— | — | — | 1,520,894 | — | — | — | — | ||||||||||||||||||||||||||
828,305 | 866,465 | 98,260 | 443 | 11,524 | 589,151 | 15,014 | 81,993 | ||||||||||||||||||||||||||
15,678 | 31,145 | 33,063 | 12,319 | 20,637 | 23,368 | 8,937 | 63,648 | ||||||||||||||||||||||||||
4,611 | 9,160 | 9,724 | 3,623 | 6,070 | 6,873 | 2,629 | 21,216 | ||||||||||||||||||||||||||
4,611 | 9,160 | 9,724 | 3,623 | 6,070 | 6,873 | 2,629 | 21,216 | ||||||||||||||||||||||||||
1,845 | 3,664 | 3,890 | 1,449 | 2,428 | 2,749 | 1,051 | 8,486 | ||||||||||||||||||||||||||
611 | 1,242 | 1,367 | 478 | 801 | 907 | 349 | 2,820 | ||||||||||||||||||||||||||
17,055 | 43,426 | 42,505 | 14,915 | 28,377 | 17,728 | 7,416 | 75,896 | ||||||||||||||||||||||||||
872,716 | 964,262 | 198,533 | 1,557,744 | 75,907 | 647,649 | 38,025 | 275,275 | ||||||||||||||||||||||||||
$ | 25,029,237 | $ | 39,352,838 | $ | 41,500,286 | $ | 17,162,977 | $ | 26,896,263 | $ | 30,359,893 | $ | 11,721,837 | $ | 86,276,794 | ||||||||||||||||||
$ | 28,577,663 | $ | 29,677,884 | $ | 30,098,676 | $ | 23,928,888 | $ | 32,730,573 | $ | 28,309,933 | $ | 12,422,879 | $ | 67,258,886 | ||||||||||||||||||
— | 171,009 | — | 71,414 | 41,798 | — | 10,939 | 4,015 | ||||||||||||||||||||||||||
(10,965,951 | ) | (5,961,423 | ) | (6,802,493 | ) | (11,108,882 | ) | (12,127,821 | ) | (6,434,379 | ) | (2,854,865 | ) | (20,311,495 | ) | ||||||||||||||||||
7,417,525 | 15,465,368 | 18,204,103 | 4,271,557 | 6,251,713 | 8,484,339 | 2,142,884 | 39,325,388 | ||||||||||||||||||||||||||
$ | 25,029,237 | $ | 39,352,838 | $ | 41,500,286 | $ | 17,162,977 | $ | 26,896,263 | $ | 30,359,893 | $ | 11,721,837 | $ | 86,276,794 | ||||||||||||||||||
2,135,178 | 1,492,378 | 1,889,580 | 1,276,848 | 1,016,976 | 1,860,791 | 281,367 | 6,258,479 | ||||||||||||||||||||||||||
$ | 11.72 | $ | 26.37 | $ | 21.96 | $ | 13.44 | $ | 26.45 | $ | 16.32 | $ | 41.66 | $ | 13.79 | ||||||||||||||||||
$ | 17,613,781 | $ | 24,185,154 | $ | 23,233,361 | $ | 12,849,219 | $ | 20,619,704 | $ | 21,901,980 | $ | 9,605,853 | $ | 46,950,107 |
See Notes to Financial Statements. | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 45 |
STATEMENTS OF ASSETS AND LIABILITIES (concluded)
Telecom- | Trans- | |||||||||||||||
Retailing | Technology | munications | portation | |||||||||||||
Fund | Fund | Fund | Fund | |||||||||||||
Assets | ||||||||||||||||
Investment Securities | $ | 15,354,574 | $ | 39,766,411 | $ | 5,710,685 | $ | 8,400,380 | ||||||||
Repurchase Agreements | 83,789 | 213,032 | 32,804 | 23,140 | ||||||||||||
Total Investments | 15,438,363 | 39,979,443 | 5,743,489 | 8,423,520 | ||||||||||||
Cash | — | 1,483 | 1,981 | 594 | ||||||||||||
Receivable for Securities Sold | — | — | — | 703,867 | ||||||||||||
Receivable for Fund Shares Sold | 509,929 | 1,732,790 | 97,667 | 17,734 | ||||||||||||
Investment Income Receivable | 19,096 | 7,213 | 4,552 | 6,688 | ||||||||||||
Total Assets | 15,967,388 | 41,720,929 | 5,847,689 | 9,152,403 | ||||||||||||
Liabilities | ||||||||||||||||
Payable for Securities Purchased | 438,448 | 1,682,686 | 74,778 | — | ||||||||||||
Payable for Fund Shares Redeemed | 468 | 1 | 9,601 | 670,037 | ||||||||||||
Investment Advisory Fees Payable | 14,869 | 26,541 | 4,141 | 6,405 | ||||||||||||
Transfer Agent and Administrative Fees Payable | 4,373 | 7,806 | 1,218 | 1,884 | ||||||||||||
Distribution and Service Fees Payable | 4,373 | 7,806 | 1,218 | 1,884 | ||||||||||||
Portfolio Accounting Fees Payable | 1,749 | 3,122 | 487 | 754 | ||||||||||||
Custody Fees Payable | 585 | 1,032 | 161 | 249 | ||||||||||||
Other Accrued Fees | 14,127 | 25,309 | 8,122 | 8,830 | ||||||||||||
Total Liabilities | 478,992 | 1,754,303 | 99,726 | 690,043 | ||||||||||||
Net Assets | $ | 15,488,396 | $ | 39,966,626 | $ | 5,747,963 | $ | 8,462,360 | ||||||||
Net Assets Consist Of | ||||||||||||||||
Paid-In Capital | $ | 15,131,124 | $ | 37,338,806 | $ | 7,842,888 | $ | 16,683,305 | ||||||||
Undistributed Net Investment Income | — | — | 124,807 | — | ||||||||||||
Accumulated Net Realized Loss on Investments | (4,276,521 | ) | (7,622,154 | ) | (3,523,419 | ) | (9,952,805 | ) | ||||||||
Net Unrealized Appreciation on Investments | 4,633,793 | 10,249,974 | 1,303,687 | 1,731,860 | ||||||||||||
Net Assets | $ | 15,488,396 | $ | 39,966,626 | $ | 5,747,963 | $ | 8,462,360 | ||||||||
Shares Outstanding | 1,426,423 | 3,643,278 | 586,755 | 667,435 | ||||||||||||
Net Asset Values | $ | 10.86 | $ | 10.97 | $ | 9.80 | $ | 12.68 | ||||||||
Cost of Investments | $ | 10,804,570 | $ | 29,729,469 | $ | 4,439,802 | $ | 6,691,660 |
46 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
December 31, 2009
Utilities | |||||
Fund | |||||
$ | 15,725,495 | ||||
169,427 | |||||
15,894,922 | |||||
— | |||||
905,321 | |||||
29,674 | |||||
33,026 | |||||
16,862,943 | |||||
— | |||||
1,004,353 | |||||
11,214 | |||||
3,298 | |||||
3,298 | |||||
1,319 | |||||
435 | |||||
25,158 | |||||
1,049,075 | |||||
$ | 15,813,868 | ||||
$ | 16,596,593 | ||||
552,286 | |||||
(4,882,389 | ) | ||||
3,547,378 | |||||
$ | 15,813,868 | ||||
963,605 | |||||
$ | 16.41 | ||||
$ | 12,347,544 |
See Notes to Financial Statements. | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 47 |
STATEMENTS OF OPERATIONS
Basic | Bio- | Consumer | ||||||||||||||
Banking | Materials | technology | Products | |||||||||||||
Fund | Fund | Fund | Fund | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 93 | $ | 239 | $ | 190 | $ | 139 | ||||||||
Dividends, Net of Foreign Tax Withheld | 266,216 | 785,071 | 91,158 | 524,026 | ||||||||||||
Other Income | 438 | — | — | — | ||||||||||||
Total Income | 266,747 | 785,310 | 91,348 | 524,165 | ||||||||||||
Expenses | ||||||||||||||||
Investment Advisory Fees | 96,778 | 286,779 | 183,356 | 145,110 | ||||||||||||
Transfer Agent and Administrative Fees | 28,464 | 84,347 | 53,928 | 42,680 | ||||||||||||
Audit and Outside Service Fees | 20,289 | 51,323 | 33,638 | 30,078 | ||||||||||||
Portfolio Accounting Fees | 11,386 | 33,738 | 21,571 | 17,072 | ||||||||||||
Trustees’ Fees* | 1,724 | 4,176 | 3,138 | 2,554 | ||||||||||||
Shareholder Service Fees | 28,464 | 84,347 | 53,928 | 42,680 | ||||||||||||
Custody Fees | 3,624 | 9,706 | 8,112 | 4,749 | ||||||||||||
Miscellaneous | (2,759 | ) | (1,055 | ) | 2,683 | (3,353 | ) | |||||||||
Total Expenses | 187,970 | 553,361 | 360,354 | 281,570 | ||||||||||||
Net Investment Income (Loss) | 78,777 | 231,949 | (269,006 | ) | 242,595 | |||||||||||
Realized And Unrealized Gain (Loss) On Investments | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investment Securities | (1,454,620 | ) | (2,791,365 | ) | 423,232 | (356,061 | ) | |||||||||
Total Net Realized Gain (Loss) | (1,454,620 | ) | (2,791,365 | ) | 423,232 | (356,061 | ) | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investment Securities | 605,767 | 14,170,060 | 173,101 | 2,224,030 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | 605,767 | 14,170,060 | 173,101 | 2,224,030 | ||||||||||||
Net Gain (Loss) on Investments | (848,853 | ) | 11,378,695 | 596,333 | 1,867,969 | |||||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | (770,076 | ) | $ | 11,610,644 | $ | 327,327 | $ | 2,110,564 | |||||||
Foreign Tax Withheld | $ | 1,091 | $ | 12,186 | $ | — | $ | 2,417 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
48 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
Year Ended December 31, 2009
Energy | Financial | Health | Precious | ||||||||||||||||||||||||||||||
Electronics | Energy | Services | Services | Care | Internet | Leisure | Metals | ||||||||||||||||||||||||||
Fund | Fund | Fund | Fund | Fund | Fund | Fund | Fund | ||||||||||||||||||||||||||
$ | 119 | $ | 253 | $ | 299 | $ | 92 | $ | 175 | $ | 170 | $ | 45 | $ | 582 | ||||||||||||||||||
248,117 | 765,201 | 479,561 | 286,307 | 446,666 | 49,011 | 116,653 | 301,356 | ||||||||||||||||||||||||||
— | 1,271 | — | 468 | 175 | — | — | — | ||||||||||||||||||||||||||
248,236 | 766,725 | 479,860 | 286,867 | 447,016 | 49,181 | 116,698 | 301,938 | ||||||||||||||||||||||||||
145,587 | 307,681 | 303,857 | 112,120 | 207,629 | 150,059 | 55,164 | 546,938 | ||||||||||||||||||||||||||
42,820 | 90,495 | 89,370 | 32,976 | 61,067 | 44,135 | 16,225 | 182,312 | ||||||||||||||||||||||||||
15,195 | 62,318 | 57,930 | 18,907 | 42,842 | 16,898 | 8,769 | 89,519 | ||||||||||||||||||||||||||
17,128 | 36,198 | 35,748 | 13,191 | 24,427 | 17,654 | 6,490 | 72,925 | ||||||||||||||||||||||||||
1,259 | 5,250 | 4,767 | 1,550 | 3,811 | 1,409 | 666 | 7,988 | ||||||||||||||||||||||||||
42,820 | 90,495 | 89,370 | 32,976 | 61,067 | 44,135 | 16,225 | 182,312 | ||||||||||||||||||||||||||
4,701 | 10,093 | 9,986 | 3,628 | 7,623 | 4,949 | 1,803 | 21,200 | ||||||||||||||||||||||||||
10,656 | (6,814 | ) | (4,452 | ) | 203 | (3,248 | ) | 9,119 | 417 | 24,328 | |||||||||||||||||||||||
280,166 | 595,716 | 586,576 | 215,551 | 405,218 | 288,358 | 105,759 | 1,127,522 | ||||||||||||||||||||||||||
(31,930 | ) | 171,009 | (106,716 | ) | 71,316 | 41,798 | (239,177 | ) | 10,939 | (825,584 | ) | ||||||||||||||||||||||
1,870,560 | (761,981 | ) | (3,019,409 | ) | (402,332 | ) | (899,015 | ) | 1,096,400 | 112,210 | 4,436,285 | ||||||||||||||||||||||
1,870,560 | (761,981 | ) | (3,019,409 | ) | (402,332 | ) | (899,015 | ) | 1,096,400 | 112,210 | 4,436,285 | ||||||||||||||||||||||
7,186,967 | 11,603,214 | 17,820,008 | 4,114,331 | 4,337,116 | 7,844,290 | 2,209,194 | 18,143,545 | ||||||||||||||||||||||||||
7,186,967 | 11,603,214 | 17,820,008 | 4,114,331 | 4,337,116 | 7,844,290 | 2,209,194 | 18,143,545 | ||||||||||||||||||||||||||
9,057,527 | 10,841,233 | 14,800,599 | 3,711,999 | 3,438,101 | 8,940,690 | 2,321,404 | 22,579,830 | ||||||||||||||||||||||||||
$ | 9,025,597 | $ | 11,012,242 | $ | 14,693,883 | $ | 3,783,315 | $ | 3,479,899 | $ | 8,701,513 | $ | 2,332,343 | $ | 21,754,246 | ||||||||||||||||||
$ | 964 | $ | 29,201 | $ | 35 | $ | 1,337 | $ | 19,457 | $ | — | $ | 146 | $ | 22,762 |
See Notes to Financial Statements. | THE RYDEX |SGI VARIABLE TRUST ANNUAL REPORT | | | 49 |
STATEMENTS OF OPERATIONS (concluded)
Telecom- | Trans- | |||||||||||||||
Retailing | Technology | munications | portation | |||||||||||||
Fund | Fund | Fund | Fund | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 157 | $ | 165 | $ | 29 | $ | 172 | ||||||||
Dividends, Net of Foreign Tax Withheld | 203,413 | 230,790 | 227,035 | 83,849 | ||||||||||||
Total Income | 203,570 | 230,955 | 227,064 | 84,021 | ||||||||||||
Expenses | ||||||||||||||||
Investment Advisory Fees | 119,034 | 203,578 | 52,511 | 51,785 | ||||||||||||
Transfer Agent and Administrative Fees | 35,010 | 59,876 | 15,444 | 15,231 | ||||||||||||
Audit and Outside Service Fees | 16,331 | 26,100 | 13,598 | 17,111 | ||||||||||||
Portfolio Accounting Fees | 14,004 | 23,950 | 6,178 | 6,092 | ||||||||||||
Trustees’ Fees* | 1,464 | 2,102 | 1,158 | 1,442 | ||||||||||||
Shareholder Service Fees | 35,010 | 59,876 | 15,444 | 15,231 | ||||||||||||
Custody Fees | 3,954 | 6,625 | 1,818 | 1,752 | ||||||||||||
Miscellaneous | 4,978 | 9,820 | (3,894 | ) | (7,302 | ) | ||||||||||
Total Expenses | 229,785 | 391,927 | 102,257 | 101,342 | ||||||||||||
Net Investment Income (Loss) | (26,215 | ) | (160,972 | ) | 124,807 | (17,321 | ) | |||||||||
Realized And Unrealized Gain (Loss) On Investments | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investment Securities | 446,066 | 797,898 | 906,657 | (2,177,217 | ) | |||||||||||
Total Net Realized Gain (Loss) | 446,066 | 797,898 | 906,657 | (2,177,217 | ) | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investment Securities | 3,701,876 | 10,412,771 | 433,135 | (567,169 | ) | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) | 3,701,876 | 10,412,771 | 433,135 | (567,169 | ) | |||||||||||
Net Gain (Loss) on Investments | 4,147,942 | 11,210,669 | 1,339,792 | (2,744,386 | ) | |||||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 4,121,727 | $ | 11,049,697 | $ | 1,464,599 | $ | (2,761,707 | ) | |||||||
Foreign Tax Withheld | $ | — | $ | 4,861 | $ | 2,705 | $ | 910 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
50 | | | THE RYDEX |SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
Year Ended December 31, 2009
Utilities | |||||
Fund | |||||
$ | 173 | ||||
894,301 | |||||
894,474 | |||||
175,535 | |||||
51,628 | |||||
40,224 | |||||
20,651 | |||||
3,547 | |||||
51,628 | |||||
5,794 | |||||
(6,818 | ) | ||||
342,189 | |||||
552,285 | |||||
698,742 | |||||
698,742 | |||||
(136,938 | ) | ||||
(136,938 | ) | ||||
561,804 | |||||
$ | 1,114,089 | ||||
$ | — |
See Notes to Financial Statements. | THE RYDEX |SGI VARIABLE TRUST ANNUAL REPORT | | | 51 |
STATEMENTS OF CHANGES IN NET ASSETS
Banking Fund | Basic Materials Fund | |||||||||||||||
Year | Year | Year | Year | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
From Operations | ||||||||||||||||
Net Investment Income (Loss) | $ | 78,777 | $ | 435,757 | $ | 231,949 | $ | 86,889 | ||||||||
Net Realized Gain (Loss) on Investments | (1,454,620 | ) | (10,573,313 | ) | (2,791,365 | ) | 1,152,831 | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 605,767 | 447,394 | 14,170,060 | (23,178,062 | ) | |||||||||||
Net Increase (Decrease) in Net Assets from Operations | (770,076 | ) | (9,690,162 | ) | 11,610,644 | (21,938,342 | ) | |||||||||
Distributions To Shareholders From: | ||||||||||||||||
Net Investment Income | (435,757 | ) | (31,117 | ) | (86,889 | ) | (210,622 | ) | ||||||||
Net Realized Gain on Investments | — | — | (1,278,910 | ) | (2,124,893 | ) | ||||||||||
Total Distributions to Shareholders | (435,757 | ) | (31,117 | ) | (1,365,799 | ) | (2,335,515 | ) | ||||||||
Share Transactions | ||||||||||||||||
Proceeds from Shares Purchased | 90,692,374 | 131,840,581 | 138,818,144 | 122,781,379 | ||||||||||||
Value of Shares Purchased through Dividend Reinvestment | 435,757 | 31,117 | 1,365,799 | 2,335,515 | ||||||||||||
Cost of Shares Redeemed | (108,251,516 | ) | (108,368,480 | ) | (127,695,314 | ) | (172,645,480 | ) | ||||||||
Net Increase (Decrease) in Net Assets From Share Transactions | (17,123,385 | ) | 23,503,218 | 12,488,629 | (47,528,586 | ) | ||||||||||
Net Increase (Decrease) in Net Assets | (18,329,218 | ) | 13,781,939 | 22,733,474 | (71,802,443 | ) | ||||||||||
Net Assets—Beginning of Period | 22,968,226 | 9,186,287 | 23,788,401 | 95,590,844 | ||||||||||||
Net Assets—End of Period | $ | 4,639,008 | $ | 22,968,226 | $ | 46,521,875 | $ | 23,788,401 | ||||||||
Undistributed Net Investment Income (Loss)—End of Period | $ | 78,777 | $ | 435,757 | $ | 231,949 | $ | 86,889 | ||||||||
52 | | | THE RYDEX |SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
Biotechnology Fund | Consumer Products Fund | Electronics Fund | Energy Fund | ||||||||||||||||||||||||||||||
Year | Year | Year | Year | Year | Year | Year | Year | ||||||||||||||||||||||||||
Ended | Ended | Ended | Ended | Ended | Ended | Ended | Ended | ||||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | ||||||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | ||||||||||||||||||||||||||
$ | (269,006 | ) | $ | (275,736 | ) | $ | 242,595 | $ | 346,841 | $ | (31,930 | ) | $ | (5,740 | ) | $ | 171,009 | $ | (58,580 | ) | |||||||||||||
423,232 | (7,929,098 | ) | (356,061 | ) | (5,215,418 | ) | 1,870,560 | (1,803,213 | ) | (761,981 | ) | 1,554,190 | |||||||||||||||||||||
173,101 | 900,607 | 2,224,030 | (3,412,150 | ) | 7,186,967 | (710,290 | ) | 11,603,214 | (29,169,597 | ) | |||||||||||||||||||||||
327,327 | (7,304,227 | ) | 2,110,564 | (8,280,727 | ) | 9,025,597 | (2,519,243 | ) | 11,012,242 | (27,673,987 | ) | ||||||||||||||||||||||
— | — | (346,841 | ) | (52,693 | ) | — | — | — | — | ||||||||||||||||||||||||
— | — | — | (723,429 | ) | — | — | (3,007,402 | ) | (1,382,160 | ) | |||||||||||||||||||||||
— | — | (346,841 | ) | (776,122 | ) | — | — | (3,007,402 | ) | (1,382,160 | ) | ||||||||||||||||||||||
76,854,529 | 113,407,091 | 46,961,368 | 93,052,835 | 94,247,995 | 36,140,507 | 85,614,933 | 135,629,947 | ||||||||||||||||||||||||||
— | — | 346,841 | 776,122 | — | — | 3,007,402 | 1,382,160 | ||||||||||||||||||||||||||
(99,333,937 | ) | (84,733,296 | ) | (52,652,456 | ) | (100,786,369 | ) | (80,121,501 | ) | (34,687,381 | ) | (88,117,410 | ) | (178,570,587 | ) | ||||||||||||||||||
(22,479,408 | ) | 28,673,795 | (5,344,247 | ) | (6,957,412 | ) | 14,126,494 | 1,453,126 | 504,925 | (41,558,480 | ) | ||||||||||||||||||||||
(22,152,081 | ) | 21,369,568 | (3,580,524 | ) | (16,014,261 | ) | 23,152,091 | (1,066,117 | ) | 8,509,765 | (70,614,627 | ) | |||||||||||||||||||||
35,296,143 | 13,926,575 | 24,832,708 | 40,846,969 | 1,877,146 | 2,943,263 | 30,843,073 | 101,457,700 | ||||||||||||||||||||||||||
$ | 13,144,062 | $ | 35,296,143 | $ | 21,252,184 | $ | 24,832,708 | $ | 25,029,237 | $ | 1,877,146 | $ | 39,352,838 | $ | 30,843,073 | ||||||||||||||||||
$ | — | $ | — | $ | 242,595 | $ | 346,841 | $ | — | $ | — | $ | 171,009 | $ | — | ||||||||||||||||||
See Notes to Financial Statements. | THE RYDEX |SGI VARIABLE TRUST ANNUAL REPORT | | | 53 |
STATEMENTS OF CHANGES IN NET ASSETS (continued)
Energy Services Fund | Financial Services Fund | |||||||||||||||
Year | Year | Year | Year | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
From Operations | ||||||||||||||||
Net Investment Income (Loss) | $ | (106,716 | ) | $ | (523,581 | ) | $ | 71,316 | $ | 264,133 | ||||||
Net Realized Gain (Loss) on Investments | (3,019,409 | ) | 2,778,008 | (402,332 | ) | (8,632,303 | ) | |||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 17,820,008 | (32,892,033 | ) | 4,114,331 | (731,796 | ) | ||||||||||
Net Increase (Decrease) in Net Assets from Operations | 14,693,883 | (30,637,606 | ) | 3,783,315 | (9,099,966 | ) | ||||||||||
Distributions to Shareholders From: | ||||||||||||||||
Net Investment Income | — | — | (254,482 | ) | — | |||||||||||
Net Realized Gain on Investments | (2,202,081 | ) | (2,824,110 | ) | — | — | ||||||||||
Total Distributions to Shareholders | (2,202,081 | ) | (2,824,110 | ) | (254,482 | ) | — | |||||||||
Share Transactions | ||||||||||||||||
Proceeds from Shares Purchased | 101,081,304 | 99,290,499 | 57,021,322 | 68,548,696 | ||||||||||||
Value of Shares Purchased through Dividend Reinvestment | 2,202,081 | 2,824,110 | 254,482 | — | ||||||||||||
Cost of Shares Redeemed | (95,872,426 | ) | (142,972,195 | ) | (51,948,558 | ) | (68,649,518 | ) | ||||||||
Net Increase (Decrease) in Net Assets From Share Transactions | 7,410,959 | (40,857,586 | ) | 5,327,246 | (100,822 | ) | ||||||||||
Net Increase (Decrease) in Net Assets | 19,902,761 | (74,319,302 | ) | 8,856,079 | (9,200,788 | ) | ||||||||||
Net Assets—Beginning of Period | 21,597,525 | 95,916,827 | 8,306,898 | 17,507,686 | ||||||||||||
Net Assets—End of Period | $ | 41,500,286 | $ | 21,597,525 | $ | 17,162,977 | $ | 8,306,898 | ||||||||
Undistributed Net Investment Income (Loss)—End of Period | $ | — | $ | — | $ | 71,414 | $ | 264,133 | ||||||||
54 | | | THE RYDEX |SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
Health Care Fund | Internet Fund | Leisure Fund | Precious Metals Fund | ||||||||||||||||||||||||||||||
Year | Year | Year | Year | Year | Year | Year | Year | ||||||||||||||||||||||||||
Ended | Ended | Ended | Ended | Ended | Ended | Ended | Ended | ||||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | ||||||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | ||||||||||||||||||||||||||
$ | 41,798 | $ | (4,701 | ) | $ | (239,177 | ) | $ | (103,231 | ) | $ | 10,939 | $ | (18,607 | ) | $ | (825,584 | ) | $ | (480,042 | ) | ||||||||||||
(899,015 | ) | (8,440,559 | ) | 1,096,400 | (3,481,970 | ) | 112,210 | (1,616,766 | ) | 4,436,285 | (16,661,919 | ) | |||||||||||||||||||||
4,337,116 | (5,038,254 | ) | 7,844,290 | (2,316,967 | ) | 2,209,194 | (3,099,244 | ) | 18,143,545 | (8,942,337 | ) | ||||||||||||||||||||||
3,479,899 | (13,483,514 | ) | 8,701,513 | (5,902,168 | ) | 2,332,343 | (4,734,617 | ) | 21,754,246 | (26,084,298 | ) | ||||||||||||||||||||||
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
— | (1,811,041 | ) | — | — | — | (897,056 | ) | — | — | ||||||||||||||||||||||||
— | (1,811,041 | ) | — | — | — | (897,056 | ) | — | — | ||||||||||||||||||||||||
72,742,133 | 120,262,804 | 73,227,493 | 34,864,746 | 23,593,142 | 18,425,199 | 207,682,362 | 219,496,964 | ||||||||||||||||||||||||||
— | 1,811,041 | — | — | — | 897,056 | — | — | ||||||||||||||||||||||||||
(85,103,361 | ) | (108,522,893 | ) | (53,973,824 | ) | (51,495,124 | ) | (15,805,061 | ) | (27,400,224 | ) | (204,185,090 | ) | (223,999,955 | ) | ||||||||||||||||||
(12,361,228 | ) | 13,550,952 | 19,253,669 | (16,630,378 | ) | 7,788,081 | (8,077,969 | ) | 3,497,272 | (4,502,991 | ) | ||||||||||||||||||||||
(8,881,329 | ) | (1,743,603 | ) | 27,955,182 | (22,532,546 | ) | 10,120,424 | (13,709,642 | ) | 25,251,518 | (30,587,289 | ) | |||||||||||||||||||||
35,777,592 | 37,521,195 | 2,404,711 | 24,937,257 | 1,601,413 | 15,311,055 | 61,025,276 | 91,612,565 | ||||||||||||||||||||||||||
$ | 26,896,263 | $ | 35,777,592 | $ | 30,359,893 | $ | 2,404,711 | $ | 11,721,837 | $ | 1,601,413 | $ | 86,276,794 | $ | 61,025,276 | ||||||||||||||||||
$ | 41,798 | $ | — | $ | — | $ | — | $ | 10,939 | $ | — | $ | 4,015 | $ | (96,056 | ) | |||||||||||||||||
See Notes to Financial Statements. | THE RYDEX |SGI VARIABLE TRUST ANNUAL REPORT | | | 55 |
STATEMENTS OF CHANGES IN NET ASSETS (concluded)
Retailing Fund | Technology Fund | |||||||||||||||
Year | Year | Year | Year | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
From Operations | ||||||||||||||||
Net Investment Income (Loss) | $ | (26,215 | ) | $ | (10,497 | ) | $ | (160,972 | ) | $ | (100,923 | ) | ||||
Net Realized Gain (Loss) on Investments | 446,066 | (4,010,244 | ) | 797,898 | (4,303,913 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 3,701,876 | (496,209 | ) | 10,412,771 | (5,449,695 | ) | ||||||||||
Net Increase (Decrease) in Net Assets from Operations | 4,121,727 | (4,516,950 | ) | 11,049,697 | (9,854,531 | ) | ||||||||||
Distributions To Shareholders From: | ||||||||||||||||
Net Investment Income | — | — | — | — | ||||||||||||
Net Realized Gain on Investments | — | (43,364 | ) | — | (1,738,171 | ) | ||||||||||
Total Distributions to Shareholders | — | (43,364 | ) | — | (1,738,171 | ) | ||||||||||
Share Transactions | ||||||||||||||||
Proceeds from Shares Purchased | 61,285,575 | 43,988,119 | 84,866,100 | 51,312,291 | ||||||||||||
Value of Shares Purchased through Dividend Reinvestment | — | 43,364 | — | 1,738,171 | ||||||||||||
Cost of Shares Redeemed | (63,539,988 | ) | (30,501,348 | ) | (63,187,497 | ) | (67,342,145 | ) | ||||||||
Net Increase (Decrease) in Net Assets From Share Transactions | (2,254,413 | ) | 13,530,135 | 21,678,603 | (14,291,683 | ) | ||||||||||
Net Increase (Decrease) in Net Assets | 1,867,314 | 8,969,821 | 32,728,300 | (25,884,385 | ) | |||||||||||
Net Assets—Beginning Of Period | 13,621,082 | 4,651,261 | 7,238,326 | 33,122,711 | ||||||||||||
Net Assets—End Of Period | $ | 15,488,396 | $ | 13,621,082 | $ | 39,966,626 | $ | 7,238,326 | ||||||||
Undistributed Net Investment Income (Loss)—End of Period | $ | — | $ | — | $ | — | $ | — | ||||||||
56 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
Telecommunications Fund | Transportation Fund | Utilities 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, | ||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2009 | 2008 | ||||||||||||||||||||
$ | 124,807 | $ | 180,137 | $ | (17,321 | ) | $ | 41,800 | $ | 552,285 | $ | 777,786 | |||||||||||||
906,657 | (487,480 | ) | (2,177,217 | ) | (7,373,133 | ) | 698,742 | (4,412,357 | ) | ||||||||||||||||
433,135 | (7,308,560 | ) | (567,169 | ) | 321,511 | (136,938 | ) | (8,435,432 | ) | ||||||||||||||||
1,464,599 | (7,615,903 | ) | (2,761,707 | ) | (7,009,822 | ) | 1,114,089 | (12,070,003 | ) | ||||||||||||||||
(180,137 | ) | (27,542 | ) | (41,800 | ) | — | (777,786 | ) | (168,847 | ) | |||||||||||||||
— | (2,568,098 | ) | — | (426,402 | ) | — | (446,727 | ) | |||||||||||||||||
(180,137 | ) | (2,595,640 | ) | (41,800 | ) | (426,402 | ) | (777,786 | ) | (615,574 | ) | ||||||||||||||
44,074,912 | 51,078,163 | 51,524,372 | 108,853,564 | 71,149,584 | 151,253,931 | ||||||||||||||||||||
180,137 | 2,595,640 | 41,800 | 426,402 | 777,786 | 615,574 | ||||||||||||||||||||
(48,545,640 | ) | (66,488,967 | ) | (61,809,749 | ) | (88,847,430 | ) | (90,792,665 | ) | (170,372,614 | ) | ||||||||||||||
(4,290,591 | ) | (12,815,164 | ) | (10,243,577 | ) | 20,432,536 | (18,865,295 | ) | (18,503,109 | ) | |||||||||||||||
(3,006,129 | ) | (23,026,707 | ) | (13,047,084 | ) | 12,996,312 | (18,528,992 | ) | (31,188,686 | ) | |||||||||||||||
8,754,092 | 31,780,799 | 21,509,444 | 8,513,132 | 34,342,860 | 65,531,546 | ||||||||||||||||||||
$ | 5,747,963 | $ | 8,754,092 | $ | 8,462,360 | $ | 21,509,444 | $ | 15,813,868 | $ | 34,342,860 | ||||||||||||||
$ | 124,807 | $ | 180,137 | $ | — | $ | 41,800 | $ | 552,286 | $ | 777,787 | ||||||||||||||
See Notes to Financial Statements. | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 57 |
FINANCIAL HIGHLIGHTS
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 ASSET | Net | Net Assets, | ||||||||||||||||||||||||||||||||||||||||||||
VALUE, | Investment | Unrealized | Value | from Net | from Net | VALUE, | Total | Investment | Portfolio | End of | ||||||||||||||||||||||||||||||||||||||||||
BEGINNING | Income | Gains (Losses) | Resulting from | Investment | Realized | Total | END OF | Investment | Total | Income | Turnover | Period (000’s | ||||||||||||||||||||||||||||||||||||||||
Year Ended | OF PERIOD | (Loss)† | on Investments | Operations | Income | Gains | Distributions | PERIOD | Return†† | Expenses | (Loss) | Rate | omitted) | |||||||||||||||||||||||||||||||||||||||
Banking Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | $ | 13.40 | $ | .08 | $ | (.54) | $ | (.46) | $ | (.42) | $ | — | $ | (.42) | $ | 12.52 | (3.43)% | 1.66% | 0.70% | 731% | $ | 4,639 | ||||||||||||||||||||||||||||||
December 31, 2008 | 22.80 | .48 | (9.86) | (9.38) | (.02) | — | (.02) | 13.40 | (41.16)% | 1.63% | 2.87% | 521% | 22,968 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 32.44 | .56 | (9.32) | (8.76) | (.88) | — | (.88) | 22.80 | (27.08)% | 1.59% | 1.85% | 405% | 9,186 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 29.69 | .44 | 2.89 | 3.33 | (.58) | — | (.58) | 32.44 | 11.25% | 1.59% | 1.42% | 259% | 24,348 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 36.29 | .44 | (1.52) | (1.08) | (.49) | (5.03) | (5.52) | 29.69 | (2.77)% | 1.58% | 1.34% | 532% | 14,580 | |||||||||||||||||||||||||||||||||||||||
Basic Materials Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 19.38 | .17 | 10.58 | 10.75 | (.06) | (.85) | (.91) | 29.22 | 55.46% | 1.65% | 0.69% | 377% | 46,522 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 41.66 | .06 | (19.38) | (19.32) | (.27) | (2.69) | (2.96) | 19.38 | (45.40)% | 1.60% | 0.15% | 191% | 23,788 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 33.33 | .11 | 11.21 | 11.32 | (.05) | (2.94) | (2.99) | 41.66 | 33.97% | 1.58% | 0.28% | 244% | 95,591 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 27.87 | .32 | 5.90 | 6.22 | (.31) | (.45) | (.76) | 33.33 | 22.29% | 1.60% | 1.02% | 225% | 58,622 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 32.66 | .12 | .80 | .92 | (.13) | (5.58) | (5.71) | 27.87 | 4.04% | 1.57% | 0.41% | 364% | 28,317 | |||||||||||||||||||||||||||||||||||||||
Biotechnology Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 19.03 | (.25) | 3.74 | 3.49 | — | — | — | 22.52 | 18.34% | 1.68% | (1.25)% | 388% | 13,144 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 21.57 | (.26) | (2.28) | (2.54) | — | — | — | 19.03 | (11.78)% | 1.63% | (1.25)% | 351% | 35,296 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 20.66 | (.26) | 1.17 | .91 | — | — | — | 21.57 | 4.40% | 1.59% | (1.20)% | 660% | 13,927 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 21.37 | (.32) | (.39) | (.71) | — | — | — | 20.66 | (3.32)% | 1.59% | (1.48)% | 379% | 10,754 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 19.31 | (.31) | 2.37 | 2.06 | — | — | — | 21.37 | 10.67% | 1.66% | (1.59)% | 652% | 36,086 | |||||||||||||||||||||||||||||||||||||||
Consumer Products Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 27.51 | .41 | 4.85 | 5.26 | (.52) | — | (.52) | 32.25 | 19.12% | 1.66% | 1.43% | 259% | 21,252 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 37.02 | .40 | (9.09) | (8.69) | (.06) | (.76) | (.82) | 27.51 | (23.39)% | 1.61% | 1.21% | 297% | 24,833 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 36.55 | .42 | 3.69 | 4.11 | (.69) | (2.95) | (3.64) | 37.02 | 11.08% | 1.59% | 1.10% | 260% | 40,847 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 31.63 | .48 | 5.03 | 5.51 | (.27) | (.32) | (.59) | 36.55 | 17.42% | 1.59% | 1.41% | 219% | 43,007 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 32.95 | .14 | (.26) | (.12) | (.17) | (1.03) | (1.20) | 31.63 | (0.40)% | 1.58% | 0.42% | 357% | 22,177 | |||||||||||||||||||||||||||||||||||||||
Electronics Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 6.82 | (.02) | 4.92 | 4.90 | — | — | — | 11.72 | 71.85% | 1.64% | (0.19)% | 445% | 25,029 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 13.67 | (.02) | (6.83) | (6.85) | — | — | — | 6.82 | (50.11)% | 1.61% | (0.15)% | 940% | 1,877 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 14.02 | (.11) | (.24) | (.35) | — | — | — | 13.67 | (2.50)% | 1.59% | (0.73)% | 1,009% | 2,943 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 13.68 | (.15) | .49 | .34 | — | — | — | 14.02 | 2.49% | 1.59% | (1.02)% | 477% | 3,856 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 13.17 | (.16) | .67 | .51 | — | — | — | 13.68 | 3.87% | 1.62% | (1.24)% | 1,136% | 8,306 | |||||||||||||||||||||||||||||||||||||||
Energy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 20.49 | .11 | 7.73 | 7.84 | — | (1.96) | (1.96) | 26.37 | 38.50% | 1.65% | 0.48% | 206% | 39,353 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 39.83 | (.03) | (18.29) | (18.32) | — | (1.02) | (1.02) | 20.49 | (46.03)% | 1.60% | (0.08)% | 154% | 30,843 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 33.14 | (.11) | 11.01 | 10.90 | — | (4.21) | (4.21) | 39.83 | 33.22% | 1.58% | (0.27)% | 217% | 101,458 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 39.20 | (.13) | 5.28 | 5.15 | — | (11.21) | (11.21) | 33.14 | 11.93% | 1.59% | (0.31)% | 146% | 70,190 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 29.68 | —§ | 11.44 | 11.44 | (.01) | (1.91) | (1.92) | 39.20 | 38.54% | 1.59% | (0.01)% | 351% | 83,437 | |||||||||||||||||||||||||||||||||||||||
Energy Services Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 14.18 | (.06) | 8.89 | 8.83 | — | (1.05) | (1.05) | 21.96 | 62.42% | 1.65% | (0.30)% | 247% | 41,500 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 38.67 | (.28) | (21.79) | (22.07) | — | (2.42) | (2.42) | 14.18 | (57.60)% | 1.60% | (0.78)% | 122% | 21,598 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 29.79 | (.34) | 11.37 | 11.03 | — | (2.15) | (2.15) | 38.67 | 37.10% | 1.58% | (0.91)% | 193% | 95,917 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 30.92 | (.37) | 4.01 | 3.64 | — | (4.77) | (4.77) | 29.79 | 10.98% | 1.59% | (1.08)% | 184% | 43,910 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 20.85 | (.30) | 10.37 | 10.07 | — | — | — | 30.92 | 48.30% | 1.61% | (1.17)% | 317% | 79,722 | |||||||||||||||||||||||||||||||||||||||
Financial Services Fund | �� | |||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 11.41 | .06 | 2.19 | 2.25 | (.22) | — | (.22) | 13.44 | 19.68% | 1.64% | 0.54% | 357% | 17,163 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 21.96 | .32 | (10.87) | (10.55) | — | — | — | 11.41 | (48.04)% | 1.61% | 1.87% | 422% | 8,307 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 32.18 | .28 | (6.23) | (5.95) | (.66) | (3.61) | (4.27) | 21.96 | (18.80)% | 1.59% | 0.90% | 525% | 17,508 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 29.10 | .26 | 4.59 | 4.85 | (.39) | (1.38) | (1.77) | 32.18 | 16.73% | 1.59% | 0.83% | 330% | 50,190 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 30.38 | .28 | .67 | .95 | (.25) | (1.98) | (2.23) | 29.10 | 3.38% | 1.59% | 0.94% | 549% | 36,839 |
58 | | | THE RYDEX |SGI VARIABLE TRUST ANNUAL REPORT |
FINANCIAL HIGHLIGHTS (continued)
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 ASSET | Net | Net Assets, | ||||||||||||||||||||||||||||||||||||||||||||
VALUE, | Investment | Unrealized | Value | from Net | from Net | VALUE, | Total | Investment | Portfolio | End of | ||||||||||||||||||||||||||||||||||||||||||
BEGINNING | Income | Gains (Losses) | Resulting from | Investment | Realized | Total | END OF | Investment | Total | Income | Turnover | Period (000’s | ||||||||||||||||||||||||||||||||||||||||
Year Ended | OF PERIOD | (Loss)† | on Investments | Operations | Income | Gains | Distributions | PERIOD | Return†† | Expenses | (Loss) | Rate | omitted) | |||||||||||||||||||||||||||||||||||||||
Health Care Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | $ | 21.22 | $ | .04 | $ | 5.19 | $ | 5.23 | $ | — | $ | — | $ | — | $ | 26.45 | 24.65% | 1.67% | 0.17% | 301% | $ | 26,896 | ||||||||||||||||||||||||||||||
December 31, 2008 | 29.61 | (—)§ | (7.40) | (7.40) | — | (.99) | (.99) | 21.22 | (24.86)% | 1.62% | (0.01)% | 266% | 35,778 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 28.41 | (.01) | 1.73 | 1.72 | — | (.52) | (.52) | 29.61 | 6.02% | 1.59% | (0.02)% | 424% | 37,521 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 28.17 | (.15) | 1.59 | 1.44 | — | (1.20) | (1.20) | 28.41 | 5.11% | 1.59% | (0.52)% | 251% | 40,825 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 25.46 | (.16) | 2.87 | 2.71 | — | — | — | 28.17 | 10.64% | 1.60% | (0.62)% | 330% | 51,692 | |||||||||||||||||||||||||||||||||||||||
Internet Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 9.84 | (.19) | 6.67 | 6.48 | — | — | — | 16.32 | 65.85% | 1.64% | (1.36)% | 274% | 30,360 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 17.85 | (.16) | (7.85) | (8.01) | — | — | — | 9.84 | (44.87)% | 1.60% | (1.07)% | 341% | 2,405 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 16.17 | (.05) | 1.73 | 1.68 | — | — | — | 17.85 | 10.39% | 1.54% | (0.29)% | 432% | 24,937 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 14.74 | (.21) | 1.64 | 1.43 | — | — | — | 16.17 | 9.70% | 1.58% | (1.33)% | 420% | 9,381 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 17.01 | (.21) | (.13) | (.34) | — | (1.93) | (1.93) | 14.74 | (1.38)% | 1.61% | (1.36)% | 676% | 20,959 | |||||||||||||||||||||||||||||||||||||||
Leisure Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 30.47 | .06 | 11.13 | 11.19 | — | — | — | 41.66 | 36.72% | 1.64% | 0.17% | 316% | 11,722 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008††† | 636.60 | (1.07) | (347.66) | (348.73) | — | (257.40) | (257.40) | 30.47 | (49.09)% | 1.61% | (0.26)% | 255% | 1,601 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007††† | 785.70 | (1.20) | (15.30) | (16.50) | — | (132.60) | (132.60) | 636.60 | (2.54)% | 1.59% | (0.14)% | 171% | 15,311 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006††† | 658.80 | (.60) | 155.10 | 154.50 | — | (27.60) | (27.60) | 785.70 | 23.47% | 1.60% | (0.07)% | 221% | 37,699 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005††† | 761.70 | (5.70) | (30.90) | (36.60) | — | (66.30) | (66.30) | 658.80 | (4.87)% | 1.56% | (0.79)% | 369% | 13,961 | |||||||||||||||||||||||||||||||||||||||
Precious Metals Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 9.24 | (.13) | 4.68 | 4.55 | — | — | — | 13.79 | 49.24% | 1.55% | (1.14)% | 253% | 86,277 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 15.04 | (.09) | (5.71) | (5.80) | — | — | — | 9.24 | (38.56)% | 1.50% | (0.66)% | 228% | 61,025 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 12.58 | (.10) | 2.56 | 2.46 | — | — | — | 15.04 | 19.55% | 1.45% | (0.71)% | 268% | 91,613 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 10.36 | (.03) | 2.25 | 2.22 | — | — | — | 12.58 | 21.43% | 1.49% | (0.26)% | 228% | 62,910 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 8.57 | (.02) | 1.81 | 1.79 | — | — | — | 10.36 | 20.89% | 1.57% | (0.24)% | 308% | 68,241 | |||||||||||||||||||||||||||||||||||||||
Retailing Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 7.53 | (.02) | 3.35 | 3.33 | — | — | — | 10.86 | 44.22% | 1.65% | (0.19)% | 470% | 15,488 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 11.27 | (.02) | (3.70) | (3.72) | — | (.02) | (.02) | 7.53 | (32.95)% | 1.62% | (0.17)% | 460% | 13,621 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 29.78 | (.24) | (2.95) | (3.19) | — | (15.32) | (15.32) | 11.27 | (12.60)% | 1.60% | (0.81)% | 182% | 4,651 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 27.85 | (.11) | 2.92 | 2.81 | — | (.88) | (.88) | 29.78 | 10.08% | 1.59% | (0.37)% | 227% | 28,306 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 26.65 | (.25) | 1.70 | 1.45 | — | (.25) | (.25) | 27.85 | 5.48% | 1.58% | (0.90)% | 421% | 17,616 | |||||||||||||||||||||||||||||||||||||||
Technology Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 7.05 | (.06) | 3.98 | 3.92 | — | — | — | 10.97 | 55.60% | 1.65% | (0.68)% | 252% | 39,967 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 16.27 | (.08) | (7.39) | (7.47) | — | (1.75) | (1.75) | 7.05 | (45.41)% | 1.60% | (0.63)% | 277% | 7,238 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 14.74 | (.15) | 1.68 | 1.53 | — | — | — | 16.27 | 10.38% | 1.56% | (0.91)% | 584% | 33,123 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 13.92 | (.16) | .98 | .82 | — | — | — | 14.74 | 5.89% | 1.59% | (1.09)% | 403% | 23,215 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 13.50 | (.16) | .58 | .42 | — | — | — | 13.92 | 3.11% | 1.62% | (1.21)% | 541% | 19,145 | |||||||||||||||||||||||||||||||||||||||
Telecommunications Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 7.94 | .18 | 2.08 | 2.26 | (.40) | — | (.40) | 9.80 | 28.68% | 1.66% | 2.03% | 694% | 5,748 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 23.89 | .24 | (11.49) | (11.25) | (.05) | (4.65) | (4.70) | 7.94 | (45.34)% | 1.61% | 1.34% | 341% | 8,754 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 21.91 | .05 | 1.97 | 2.02 | (.04) | — | (.04) | 23.89 | 9.23% | 1.58% | 0.20% | 295% | 31,781 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 18.81 | .15 | 3.52 | 3.67 | (.29) | (.28) | (.57) | 21.91 | 19.51% | 1.59% | 0.72% | 264% | 33,337 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 20.53 | .19 | .06 | .25 | — | (1.97) | (1.97) | 18.81 | 1.16% | 1.60% | 0.98% | 362% | 16,898 | |||||||||||||||||||||||||||||||||||||||
Transportation Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 10.91 | (.03) | 1.92 | 1.89 | (.12) | — | (.12) | 12.68 | 17.39% | 1.67% | (0.29)% | 857% | 8,462 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 14.85 | .04 | (3.80) | (3.76) | — | (.18) | (.18) | 10.91 | (25.26)% | 1.62% | 0.27% | 544% | 21,509 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 35.05 | (.04) | (2.24) | (2.28) | — | (17.92) | (17.92) | 14.85 | (8.75)% | 1.60% | (0.12)% | 284% | 8,513 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 32.64 | (.24) | 2.65 | 2.41 | — | — | — | 35.05 | 7.38% | 1.59% | (0.68)% | 249% | 29,549 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 31.45 | (.19) | 2.64 | 2.45 | — | (1.26) | (1.26) | 32.64 | 8.48% | 1.58% | (0.63)% | 258% | 31,378 |
THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 59 |
FINANCIAL HIGHLIGHTS (concluded)
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 | and | in Net Asset | Distributions | Distributions | NET ASSET | Net Assets, | ||||||||||||||||||||||||||||||||||||||||||||||
VALUE, | Net | Unrealized | Value | from Net | from Net | VALUE, | Total | Net | Portfolio | End of | ||||||||||||||||||||||||||||||||||||||||||
BEGINNING | Investment | Gains (Losses) | Resulting from | Investment | Realized | Total | END OF | Investment | Total | Investment | Turnover | Period (000’s | ||||||||||||||||||||||||||||||||||||||||
Year Ended | OF PERIOD | Income† | on Investments | Operations | Income | Gains | Distributions | PERIOD | Return†† | Expenses | Income | Rate | omitted) | |||||||||||||||||||||||||||||||||||||||
Utilities Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | $ | 15.41 | $ | .41 | $ | 1.65 | $ | 2.06 | $ | (1.06) | $ | — | $ | (1.06) | $ | 16.41 | 13.80% | 1.67% | 2.69% | 309% | $ | 15,814 | ||||||||||||||||||||||||||||||
December 31, 2008 | 22.29 | .37 | (6.97) | (6.60) | (.08) | (.20) | (.28) | 15.41 | (29.57)% | 1.61% | 1.90% | 293% | 34,343 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 22.38 | .32 | 2.59 | 2.91 | (.39) | (2.61) | (3.00) | 22.29 | 12.86% | 1.58% | 1.32% | 244% | 65,532 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 19.09 | .36 | 3.64 | 4.00 | (.49) | (.22) | (.71) | 22.38 | 20.96% | 1.59% | 1.73% | 169% | 71,719 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 17.34 | .34 | 1.50 | 1.84 | (.09) | — | (.09) | 19.09 | 10.56% | 1.60% | 1.80% | 342% | 39,943 |
† | Calculated using the average daily shares outstanding for the period. | |
†† | Total investment return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. | |
††† | Per share amounts for the period ended December 31, 2004 — December 7, 2008 have been restated to reflect a 1:30 reverse stock split effective December 8, 2008. | |
§ | Less than $.01 per share. |
60 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS
1. Organization and Significant Accounting Policies Organization
The Rydex Variable Trust (the “Trust”), a Delaware business trust, is registered with the SEC under the Investment Company Act of 1940 (the “1940 Act”) as a non-diversified, open-ended investment company and is authorized to issue an unlimited number of shares (no par value). The Trust offers shares of the Funds to insurance companies for their variable annuity and variable life insurance contracts.
At December 31, 2009, the Trust consisted of fifty-seven separate Funds. This report covers the Sector Funds (the “Funds”), while the other funds are contained in separate reports.
Rydex Investments provides advisory, transfer agent and administrative services, and accounting services to the Trust. Rydex Distributors, Inc. (the “Distributor”) acts as principal underwriter for the Trust. Both Rydex Investments and the Distributor are affiliated entities.
The Sector Funds invest in a specific industry sector. To the extent that investments are concentrated in a single sector, the Funds are subject to legislative or regulatory changes, adverse market conditions and/or increased competition affecting such sector.
The Funds seek capital appreciation and invest substantially all of their assets in equity securities of companies involved in their sector. The Funds may also purchase American Depository Receipts, U.S. Government securities, and enter into repurchase agreements.
Significant Accounting Policies
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
A. Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date.
Investments for which market quotations are not readily available are fair valued as determined in good faith by Rydex Investments under direction of the Board of Trustees using methods established or ratified by the Board of Trustees. These methods include, but are not limited to: (i) general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market; and (iii) other information and considerations, including current values in related markets.
B. Securities transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. Distributions received from investments in REITs are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer.
C. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles.
D. The Funds may leave cash overnight in their cash account with the custodian, U.S. Bank. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate.
E. Throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
THE RYDEX |SGI VARIABLE TRUST ANNUAL REPORT | | | 61 |
NOTES TO FINANCIAL STATEMENTS (continued)
2. Fees And Other Transactions With Affiliates
Under the terms of an investment advisory contract, the Trust pays Rydex Investments investment advisory fees calculated at an annualized rate of 0.85% of the average daily net assets of each of the Funds, except the Precious Metals Fund, which is 0.75% of the average daily net assets.
Rydex Investments provides transfer agent and administrative services to the Funds for fees calculated at an annualized rate of 0.25% of the average daily net assets of each Fund.
Rydex Investments also provides accounting services to the Trust for fees 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.
Rydex Investments engages external service providers to perform other necessary services to the Trust, such as accounting and auditing related services, legal services, 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. 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 and the Distributor.
3. 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.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated 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. Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (fiscal years 2006-2009), and has concluded that no provision for income tax is required in the Funds’ financial statements.
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 losses deferred due to wash sales.
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 carryforward expired. These reclassifications have no effect on net assets or net asset values per share. Any undistributed ordinary income or long-term capital gain remaining at fiscal year end is distributed in the following 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, 2009, the following Funds offset net realized capital gains with capital losses from previous years:
Fund | Amount | |||
Electronics Fund | $ | 927,074 | ||
Internet Fund | 559,922 | |||
Leisure Fund | 234,633 |
62 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
The tax character of distributions paid during the year ended December 31, 2009 was as follows:
Ordinary | Long-Term | Total | ||||||||||
Fund | Income | Capital Gain | Distributions | |||||||||
Banking Fund | $ | 435,757 | $ | — | $ | 435,757 | ||||||
Basic Materials Fund | 86,889 | 1,278,910 | 1,365,799 | |||||||||
Biotechnology Fund | — | — | — | |||||||||
Consumer Products Fund | 346,841 | — | 346,841 | |||||||||
Electronics Fund | — | — | — | |||||||||
Energy Fund | 576 | 3,006,826 | 3,007,402 | |||||||||
Energy Services Fund | — | 2,202,081 | 2,202,081 | |||||||||
Financial Services Fund | 254,482 | — | 254,482 | |||||||||
Health Care Fund | — | — | — | |||||||||
Internet Fund | — | — | — | |||||||||
Leisure Fund | — | — | — | |||||||||
Precious Metals Fund | — | — | — | |||||||||
Retailing Fund | — | — | — | |||||||||
Technology Fund | — | — | — | |||||||||
Telecommunications Fund | 180,137 | — | 180,137 | |||||||||
Transportation Fund | 41,800 | — | 41,800 | |||||||||
Utilities Fund | 777,786 | — | 777,786 |
The tax character of distributions paid during the year ended December 31, 2008 was as follows:
Ordinary | Long-Term | Total | ||||||||||
Fund | Income | Capital Gain | Distributions | |||||||||
Banking Fund | $ | 31,117 | $ | — | $ | 31,117 | ||||||
Basic Materials Fund | 1,786,119 | 549,396 | 2,335,515 | |||||||||
Biotechnology Fund | — | — | — | |||||||||
Consumer Products Fund | 208,803 | 567,319 | 776,122 | |||||||||
Electronics Fund | — | — | — | |||||||||
Energy Fund | 1,012,358 | 369,802 | 1,382,160 | |||||||||
Energy Services Fund | 2,132,477 | 691,633 | 2,824,110 | |||||||||
Financial Services Fund | — | — | — | |||||||||
Health Care Fund | 777,941 | 1,033,100 | 1,811,041 | |||||||||
Internet Fund | — | — | — | |||||||||
Leisure Fund | 117,360 | 779,696 | 897,056 | |||||||||
Precious Metals Fund | — | — | — | |||||||||
Retailing Fund | — | 43,364 | 43,364 | |||||||||
Technology Fund | 1,726,089 | 12,082 | 1,738,171 | |||||||||
Telecommunications Fund | 1,453,922 | 1,141,718 | 2,595,640 | |||||||||
Transportation Fund | — | 426,402 | 426,402 | |||||||||
Utilities Fund | 441,479 | 174,095 | 615,574 |
The tax character of distributable earnings/(accumulated losses) at December 31, 2009 was as follows:
Undistributed | Undistributed | Net Unrealized | ||||||||||||||
Ordinary | Long-Term | Appreciation | Capital Loss | |||||||||||||
Fund | Income | Capital Gain | (Depreciation) | Carryforward1 | ||||||||||||
Banking Fund | $ | 78,777 | $ | — | $ | (1,967,604 | ) | $ | (8,786,184 | ) | ||||||
Basic Materials Fund | 231,949 | — | 8,209,140 | (1,226,969 | ) | |||||||||||
Biotechnology Fund | — | — | 496,177 | (11,622,696 | ) | |||||||||||
Consumer Products Fund | 242,595 | — | 2,150,141 | (4,676,345 | ) | |||||||||||
Electronics Fund | — | — | 6,169,704 | (9,718,130 | ) | |||||||||||
Energy Fund | 171,009 | — | 11,291,094 | (1,787,149 | ) | |||||||||||
Energy Services Fund | — | — | 13,189,606 | (1,787,996 | ) | |||||||||||
Financial Services Fund | 71,316 | — | 294,861 | (7,132,088 | ) | |||||||||||
Health Care Fund | 41,798 | — | 2,372,407 | (8,248,515 | ) | |||||||||||
Internet Fund | — | — | 7,707,677 | (5,657,717 | ) | |||||||||||
Leisure Fund | 10,939 | — | 1,590,060 | (2,302,041 | ) | |||||||||||
Precious Metals Fund | 4,015 | — | 30,331,156 | (11,317,263 | ) | |||||||||||
Retailing Fund | — | — | 2,795,507 | (2,438,235 | ) | |||||||||||
Technology Fund | — | — | 7,354,612 | (4,726,792 | ) | |||||||||||
Telecommunications Fund | 124,807 | — | 293,542 | (2,513,274 | ) | |||||||||||
Transportation Fund | — | — | 683,177 | (8,904,122 | ) | |||||||||||
Utilities Fund | 552,286 | — | 1,270,148 | (2,605,159 | ) |
Capital Loss Carryforward amounts may be limited due to U.S. Treasury Regulations.
THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 63 |
NOTES TO FINANCIAL STATEMENTS (continued)
Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains.
1A summary of the expiration of the aforementioned Capital Loss Carryforward is as follows:
Total | ||||||||||||||||||||||||||||||||||||
Expires in | Expires in | Expires in | Expires in | Expires in | Expires in | Expires in | Expires in | Capital Loss | ||||||||||||||||||||||||||||
Fund | 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | Carryforward | |||||||||||||||||||||||||||
Banking Fund | $ | — | $ | — | $ | — | $ | (470,556) | $ | — | $ | — | $ | (1,380,916) | $ | (6,934,712) | $ | (8,786,184) | ||||||||||||||||||
Basic Materials Fund | — | — | — | — | — | — | — | (1,226,969) | (1,226,969) | |||||||||||||||||||||||||||
Biotechnology Fund | (608,485) | — | (1,880,980) | (739,559) | (1,048,743) | (717,792) | (239,044) | (6,388,093) | (11,622,696) | |||||||||||||||||||||||||||
Consumer Products Fund | — | — | — | — | — | — | (1,227,582) | (3,448,763) | (4,676,345) | |||||||||||||||||||||||||||
Electronics Fund | — | — | — | (1,255,439) | (6,193,088) | (1,411,864) | (857,739) | — | (9,718,130) | |||||||||||||||||||||||||||
Energy Fund | — | — | — | — | — | — | — | (1,787,149) | (1,787,149) | |||||||||||||||||||||||||||
Energy Services Fund | — | — | — | — | — | — | — | (1,787,996) | (1,787,996) | |||||||||||||||||||||||||||
Financial Services Fund | — | — | — | — | — | (1,122,489) | (2,376,570) | (3,633,029) | (7,132,088) | |||||||||||||||||||||||||||
Health Care Fund | — | — | — | — | — | — | (2,056,303) | (6,192,212) | (8,248,515) | |||||||||||||||||||||||||||
Internet Fund | — | — | — | — | — | — | (5,657,717) | — | (5,657,717) | |||||||||||||||||||||||||||
Leisure Fund | — | — | — | — | — | — | (2,302,041) | — | (2,302,041) | |||||||||||||||||||||||||||
Precious Metals Fund | — | — | — | (935,222) | — | — | (123,651) | (10,258,390) | (11,317,263) | |||||||||||||||||||||||||||
Retailing Fund | — | — | — | — | — | — | (447,828) | (1,990,407) | (2,438,235) | |||||||||||||||||||||||||||
Technology Fund | — | — | — | — | — | — | (4,726,792) | — | (4,726,792) | |||||||||||||||||||||||||||
Telecommunications Fund | — | — | — | — | — | — | (1,196,488) | (1,316,786) | (2,513,274) | |||||||||||||||||||||||||||
Transportation Fund | — | — | — | — | — | — | (593,525) | (8,310,597) | (8,904,122) | |||||||||||||||||||||||||||
Utilities Fund | — | — | — | — | — | — | (897,305) | (1,707,854) | (2,605,159) |
64 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2009, 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) | ||||||||||||
Banking Fund | $ | 6,605,065 | $ | — | $ | (1,967,604 | ) | $ | (1,967,604 | ) | ||||||
Basic Materials Fund | 38,434,761 | 8,371,254 | (162,114 | ) | 8,209,140 | |||||||||||
Biotechnology Fund | 12,698,001 | 567,237 | (71,060 | ) | 496,177 | |||||||||||
Consumer Products Fund | 19,025,048 | 2,211,473 | (61,332 | ) | 2,150,141 | |||||||||||
Electronics Fund | 18,861,602 | 6,208,504 | (38,800 | ) | 6,169,704 | |||||||||||
Energy Fund | 28,359,428 | 11,646,020 | (354,926 | ) | 11,291,094 | |||||||||||
Energy Services Fund | 28,247,858 | 13,393,733 | (204,127 | ) | 13,189,606 | |||||||||||
Financial Services Fund | 16,825,915 | 464,810 | (169,949 | ) | 294,861 | |||||||||||
Health Care Fund | 24,499,010 | 2,426,049 | (53,642 | ) | 2,372,407 | |||||||||||
Internet Fund | 22,678,642 | 7,903,246 | (195,569 | ) | 7,707,677 | |||||||||||
Leisure Fund | 10,158,677 | 1,694,111 | (104,051 | ) | 1,590,060 | |||||||||||
Precious Metals Fund | 55,944,339 | 30,848,462 | (517,306 | ) | 30,331,156 | |||||||||||
Retailing Fund | 12,642,856 | 2,842,780 | (47,273 | ) | 2,795,507 | |||||||||||
Technology Fund | 32,624,831 | 7,415,446 | (60,834 | ) | 7,354,612 | |||||||||||
Telecommunications Fund | 5,449,947 | 320,575 | (27,033 | ) | 293,542 | |||||||||||
Transportation Fund | 7,740,343 | 740,824 | (57,647 | ) | 683,177 | |||||||||||
Utilities Fund | 14,624,774 | 1,314,176 | (44,028 | ) | 1,270,148 |
4. Repurchase Agreements
The Funds transfer 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 Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund. Repurchase agreements are valued at amortized cost, which approximates market value.
The repurchase agreements executed by the joint account and outstanding at December 31, 2009, were as follows:
Counterparty | Terms of Agreement | Face Value | Market Value | Repurchase Price | ||||||||||||
Credit Suisse Group | (0.02)% due 01/04/10 | $6,080,571 | $6,080,571 | $6,080,557 | ||||||||||||
$6,080,571 | $6,080,557 | |||||||||||||||
At December 31, 2009, the collateral for the repurchase agreements in the joint account was as follows: |
Security Type | Maturity Date | Rate | Par Value | Market Value | ||||||||||||
U.S. Treasury Bill | 06/17/10 | — | $6,210,000 | $6,204,660 | ||||||||||||
$6,204,660 | ||||||||||||||||
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their 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 Funds seek to assert their rights. The Funds’ investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
5. Fair Value Measurement
In accordance with U.S. generally accepted accounting principles, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair
THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 65 |
NOTES TO FINANCIAL STATEMENTS (continued)
value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:
Level 1 — quoted prices in active markets for identical securities.
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the inputs used to value the Funds’ net assets at December 31, 2009:
Level 1 | Level 2 | Level 3 | ||||||||||||||
Investments | Investments | Investments | ||||||||||||||
Fund | In Securities | In Securities | In Securities | Total | ||||||||||||
Assets | ||||||||||||||||
Banking Fund | $ | 4,611,477 | $ | 25,984 | $ | — | $ | 4,637,461 | ||||||||
Basic Materials Fund | 46,502,131 | 141,770 | — | 46,643,901 | ||||||||||||
Biotechnology Fund | 13,080,958 | 113,220 | — | 13,194,178 | ||||||||||||
Consumer Products Fund | 21,113,840 | 61,349 | — | 21,175,189 | ||||||||||||
Electronics Fund | 24,907,097 | 124,209 | — | 25,031,306 | ||||||||||||
Energy Fund | 39,333,588 | 316,934 | — | 39,650,522 | ||||||||||||
Energy Services Fund | 41,296,214 | 141,250 | — | 41,437,464 | ||||||||||||
Financial Services Fund | 17,043,805 | 76,971 | — | 17,120,776 | ||||||||||||
Health Care Fund | 26,718,387 | 153,030 | — | 26,871,417 | ||||||||||||
Internet Fund | 30,204,042 | 182,277 | — | 30,386,319 | ||||||||||||
Leisure Fund | 11,680,685 | 68,052 | — | 11,748,737 | ||||||||||||
Precious Metals Fund | 86,109,306 | 166,189 | — | 86,275,495 | ||||||||||||
Retailing Fund | 15,354,574 | 83,789 | — | 15,438,363 | ||||||||||||
Technology Fund | 39,766,411 | 213,032 | — | 39,979,443 | ||||||||||||
Telecommunications Fund | 5,710,685 | 32,804 | — | 5,743,489 | ||||||||||||
Transportation Fund | 8,400,380 | 23,140 | — | 8,423,520 | ||||||||||||
Utilities Fund | 15,725,495 | 169,427 | — | 15,894,922 |
6. Securities Transactions
During the year ended December 31, 2009 purchases and sales of investment securities, excluding short-term and temporary cash investments, were:
Basic | Biotech- | Consumer | Energy | |||||||||||||||||||||||||
Banking | Materials | nology | Products | Electronics | Energy | Services | ||||||||||||||||||||||
Fund | Fund | Fund | Fund | Fund | Fund | Fund | ||||||||||||||||||||||
Purchases | $ 83,858,718 | $135,047,176 | $ 84,145,039 | $44,401,032 | $ 85,716,617 | $72,788,752 | $90,522,298 | |||||||||||||||||||||
Sales | $100,819,888 | $123,264,567 | $106,227,050 | $49,514,068 | $ 71,693,393 | $74,488,284 | $85,268,046 | |||||||||||||||||||||
Financial | Health | Precious | ||||||||||||||||||||||||||
Services | Care | Internet | Leisure | Metals | Retailing | Technology | ||||||||||||||||||||||
Fund | Fund | Fund | Fund | Fund | Fund | Fund | ||||||||||||||||||||||
Purchases | $ 52,839,497 | $ 73,833,250 | $ 65,732,098 | $26,464,950 | $185,345,141 | $63,053,967 | $80,827,837 | |||||||||||||||||||||
Sales | $ 47,585,127 | $ 85,669,028 | $ 46,809,889 | $18,658,908 | $181,671,579 | $65,173,391 | $59,388,685 | |||||||||||||||||||||
Telecommunications | Transportation | Utilities | ||||||||||||||||||||||||||
Fund | Fund | Fund | ||||||||||||||||||||||||||
Purchases | $ 42,720,982 | $ 55,992,305 | $ 63,694,503 | |||||||||||||||||||||||||
Sales | $ 46,967,138 | $ 65,949,491 | $ 82,219,675 |
66 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
7. Share Transactions
The Trust is authorized to issue an unlimited number of shares (no par value). Transactions in shares for the years presented were:
Shares 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, | |||||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | |||||||||||||||||||||||||
Banking Fund | 8,335,904 | 7,674,987 | 34,777 | 2,286 | (9,714,053 | ) | (6,366,272 | ) | (1,343,372 | ) | 1,311,001 | |||||||||||||||||||||
Basic Materials Fund | 5,641,375 | 3,369,025 | 47,032 | 137,141 | (5,323,392 | ) | (4,573,538 | ) | 365,015 | (1,067,372 | ) | |||||||||||||||||||||
Biotechnology Fund | 3,794,772 | 5,366,301 | — | — | (5,065,926 | ) | (4,157,122 | ) | (1,271,154 | ) | 1,209,179 | |||||||||||||||||||||
Consumer Products Fund | 1,603,031 | 2,837,579 | 10,715 | 29,299 | (1,857,493 | ) | (3,067,404 | ) | (243,747 | ) | (200,526 | ) | ||||||||||||||||||||
Electronics Fund | 10,441,590 | 3,207,474 | — | — | (8,581,628 | ) | (3,147,576 | ) | 1,859,962 | 59,898 | ||||||||||||||||||||||
Energy Fund | 3,620,410 | 3,864,204 | 117,111 | 66,642 | (3,750,065 | ) | (4,973,246 | ) | (12,544 | ) | (1,042,400 | ) | ||||||||||||||||||||
Energy Services Fund | 5,247,177 | 2,869,511 | 102,090 | 182,083 | (4,983,087 | ) | (4,008,447 | ) | 366,180 | (956,853 | ) | |||||||||||||||||||||
Financial Services Fund | 5,025,328 | 3,936,662 | 18,893 | — | (4,495,513 | ) | (4,005,875 | ) | 548,708 | (69,213 | ) | |||||||||||||||||||||
Health Care Fund | 3,234,301 | 4,549,619 | — | 88,430 | (3,903,309 | ) | (4,219,410 | ) | (669,008 | ) | 418,639 | |||||||||||||||||||||
Internet Fund | 5,616,975 | 2,275,129 | — | — | (4,000,662 | ) | (3,427,511 | ) | 1,616,313 | (1,152,382 | ) | |||||||||||||||||||||
Leisure Fund | 679,704 | 979,006 | — | 1,007,928 | (450,891 | ) | (2,655,793 | ) | 228,813 | (668,859 | ) | |||||||||||||||||||||
Precious Metals Fund | 17,955,101 | 18,236,924 | — | — | (18,302,594 | ) | (17,722,874 | ) | (347,493 | ) | 514,050 | |||||||||||||||||||||
Retailing Fund | 6,538,502 | 4,688,769 | — | 6,405 | (6,922,165 | ) | (3,297,878 | ) | (383,663 | ) | 1,397,296 | |||||||||||||||||||||
Technology Fund | 9,525,746 | 3,653,213 | — | 258,272 | (6,909,178 | ) | (4,920,488 | ) | 2,616,568 | (1,009,003 | ) | |||||||||||||||||||||
Telecommunications Fund | 4,847,866 | 3,199,295 | 19,002 | 356,055 | (5,382,779 | ) | (3,783,032 | ) | (515,911 | ) | (227,682 | ) | ||||||||||||||||||||
Transportation Fund | 4,767,262 | 7,764,155 | 3,533 | 40,494 | (6,075,172 | ) | (6,406,286 | ) | (1,304,377 | ) | 1,398,363 | |||||||||||||||||||||
Utilities Fund | 4,637,775 | 8,051,669 | 50,506 | 41,093 | (5,953,797 | ) | (8,803,682 | ) | (1,265,516 | ) | (710,920 | ) |
THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 67 |
NOTES TO FINANCIAL STATEMENTS (concluded)
8. Line of Credit
The Trust has secured an uncommitted, $75,000,000 line of credit with U.S. Bank, N.A. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly. The maximum loan amount outstanding per Fund should be the lesser of: an amount which, when added to the total of other outstanding loan amounts under this agreement, exceeds the total line of credit, 331/3% of a Fund’s net assets, 331/3% of a Fund’s assets held by the Custodian or 331/3% of the sum of a Fund’s securities on any given day. This line of credit expires on June 15, 2010. As of and for the year ended December 31, 2009, the Funds did not have any outstanding borrowings under this agreement.
9. New Accounting Pronouncements
In January 2010, the Financial Accounting Standards Board issued an Accounting Standards Update, Improving Disclosures about Fair Value Measurements, which introduces new disclosure requirements and clarifies certain existing disclosure requirements around fair value measurements currently presented in Note 5. The new disclosures and clarifications of existing disclosures are generally effective for the Funds’ year ending December 31, 2010 and interim periods therein. Management is evaluating the impact of this update on its current disclosures.
10. Subsequent Events
Management has evaluated events or transactions that may have occurred since December 31, 2009, that would merit recognition or disclosure in the financial statements. This evaluation was completed through February 25, 2010, the date the financial statements were available to be issued.
On February 15, 2010, Security Benefit Mutual Holding Company (“SBMHC”), the parent company of Security Benefit Corporation (“SBC”) and the ultimate parent company of Rydex Investments, entered into a Purchase and Sale Agreement whereby Guggenheim SBC Holdings LLC (“Guggenheim Holdings”) will, subject to regulatory approval, policyholder approval and approval by the shareholders of the mutual funds and exchange traded funds sponsored by affiliates of SBMHC, purchase all of the issued and outstanding stock of SBC (the “SBC Purchase Transaction”). The SBC Purchase Transaction would result in a change of control of Rydex Investments whereby SBC and its subsidiaries would be wholly-owned by Guggenheim Holdings. If the SBC Purchase Transaction does not close, other than as a result of a breach by Guggenheim Holdings or for certain other reasons, then SBC will sell its asset management business to Guggenheim Holdings, which would include Rydex Investments and would result in a change of control of Rydex Investments. The sale of SBC’s asset management business, like the SBC Purchase Transaction, would be subject to regulatory approval and approval by the shareholders of the mutual funds and exchange traded funds sponsored by affiliates of SBMHC.
68 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders
of Rydex Variable Trust:
of Rydex Variable Trust:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Banking Fund, Basic Materials Fund, Biotechnology Fund, Consumer Products Fund, Electronics Fund, Energy Fund, Energy Services Fund, Financial Services Fund, Health Care Fund, Internet Fund, Leisure Fund, Precious Metals Fund, Retailing Fund, Technology Fund, Telecommunications Fund, Transportation Fund and Utilities Fund (seventeen of the series constituting the Rydex Variable Trust) (the “Funds”) as of December 31, 2009, and the related statements of operations for the year then ended, and the statements of changes in net assets and financial highlights for each of the two years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for each of the periods presented through December 31, 2007 were audited by other auditors, whose report dated February 25, 2008 expressed an unqualified opinion on those financial highlights.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2009, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above listed Funds at December 31, 2009, the results of their operations for the year then ended, and the changes in their net assets and their financial highlights for each of the two years in the period then ended, in conformity with U.S. generally accepted accounting principles.
McLean, Virginia
February 25, 2010
February 25, 2010
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 69 |
OTHER INFORMATION (Unaudited)
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 | |||
Banking Fund | 100.00% | |||
Basic Materials Fund | 100.00% | |||
Consumer Products Fund | 100.00% | |||
Financial Services Fund | 100.00% | |||
Telecommunications Fund | 88.78% | |||
Transportation Fund | 100.00% | |||
Utilities Fund | 100.00% |
With respect to the taxable year ended December 31, 2009, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
Basic Materials | Energy | Energy Services | ||||||||||
Fund | Fund | Fund | ||||||||||
From long-term capital gains subject to the 15% rate gains category: | $1,278,910 | $3,006,826 | $2,202,081 |
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 December 31 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 are 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 Agreements
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 (including any sub-advisory agreement) be specifically approved (1) by the vote of the trustees or by a vote of the shareholders of the fund, and (2) by the vote of a majority of the trustees who are not parties to the investment advisory agreement (or sub-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 (or sub-advisory agreement). In addition, the U.S. 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 (or renew) an investment advisory agreement (or sub-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 (including sub-advisory agreements) between Rydex Variable Trust (the “Trust”) and PADCO Advisors II, Inc., which does business under the name Rydex Investments (“Rydex Investments”) (the “Advisory Agreements”), with respect to existing funds in the Trust (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. This information is in addition to the detailed information about the Funds that the Board reviews
70 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
OTHER INFORMATION (Unaudited) (continued)
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 (including sub-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 an in-person meeting held on August 25, 2009, called for the purpose of among other things, voting on the renewal of the Advisory Agreements, the Board, including all of the Independent Trustees (the “Annual Renewal Meeting”), considered and approved the selection of Rydex Investments as the Funds’ investment advisor and the continuance of the Advisory Agreements for an additional one-year period, based on its review of qualitative and quantitative information provided by Rydex Investments.
Board Considerations in Approving the Continuation of the 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 and compliance procedures applicable to personal securities transactions; (j) Rydex Investments’ reputation, expertise and resources in the 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 Advisory Agreements are fair and reasonable; (b) concluded that Rydex Investments’ fees were reasonable in light of the services that Rydex Investments provides to each of the Funds; and (c) agreed to renew the Advisory Agreements for an additional one-year term.
In approving the continuation of the Advisory 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 the Adviser
At the Annual Renewal Meeting, the Board reviewed the scope of services to be provided by Rydex Investments under the Advisory Agreements 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 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 Advisory 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. In addition, the Board reviewed and considered certain of the Funds’ investment in wholly-owned and controlled Cayman Islands subsidiaries (each a “Subsidiary”), and noted that each Subsidiary has entered into a separate advisory agreement with Rydex Investments for the management of that Subsidiary’s portfolio pursuant to which the Subsidiary pays Rydex Investments a management fee at the same rate that the Subsidiary’s corresponding Fund pays Rydex Investments. The Board noted that Rydex Investments has contractually agreed to waive the management fee it receives from each Fund in an amount equal to the management fee paid to Rydex Investments by each Fund’s Subsidiary and that the contractual fee waiver will continue in effect for so long as each Fund invests in its Subsidiary. The Board further noted that the contractual fee waiver may not be terminated by Rydex Investments unless the Board approves such termination. The Board 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. 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 Advisory Agreements were appropriate and continued to support the Board’s original selection of Rydex Investments as investment adviser to the Funds.
THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 71 |
OTHER INFORMATION (Unaudited) (concluded)
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 benchmark 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 lack of a sizeable peer group for certain 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 also noted that the investment advisory fees for the Funds generally 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 Advisory 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 Advisory 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 Advisory 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 the Advisory Agreements did not provide 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.
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.
72 | | | THE RYDEX|SGI 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.
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 | 151 | ||
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 | 151 | ||
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 | 151 | ||
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 | 151 | ||
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) | ||||
Thomas F. Lydon, Jr. | Rydex Series Funds – 2005 | 151 | ||
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 | 151 | ||
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. | ||||
THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT | | | 73 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)
Length of Service | ||||
Name, Position and | As Trustee | Number of | ||
Year of Birth | (Year Began) | Funds Overseen | ||
Roger Somers | Rydex Series Funds – 1993 | 151 | ||
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 | |
Richard M. Goldman* President (1961) | President of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Chief Executive Officer and Director of Rydex Investments (2009 to present); President, Chief Executive Officer and Director of Rydex Distributors, Inc. (2009 to present); President and Chief Executive Officer of Rydex Holdings, LLC (2009 to present); Senior Vice President of Security Benefit Corp. (2007 to present); Director of First Security Benefit Life and Annuity Insurance Company of New York (2007 to present); Director of Security Distributors, Inc. (2007 to present); President of Security Investors, LLC (2007 to present); Manager and President of Security Global Investors, LLC (2007 to present); Managing Member of R.M. Goldman Partners, LLC (2006 to 2007); President and Chief Executive Officer of FortsmannLeff Associates (2003 to 2005) | |
Michael P. Byrum* Vice President (1970) | 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); President of Rydex Investments (2004 to present); Chief Investment Officer of Rydex Investments (2006 to present); Secretary of Rydex Investments (2002 to present); Director of Rydex Investments (2008 to present); Chief Investment Officer of Rydex Holdings, LLC (2008 to present); Vice President of Rydex Distributors, Inc. (2009 to present); Manager of Rydex Specialized Products, LLC (2005 to present); Secretary of Rydex Specialized Products, LLC (2005 to 2008); Trustee of Rydex Series Funds, Rydex Variable Trust and Rydex Dynamic Funds (2005 to 2009); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2007) | |
Nick Bonos* Vice President and Treasurer (1963) | 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 (2006 to present); Chief Executive Officer of Rydex Specialized Products, LLC (2009 to present); Chief Financial Officer of Rydex Specialized Products, LLC (2005 to 2009); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006) |
74 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)
Name, Position and | Principal Occupations | |
Year of Birth | During Past Five Years | |
Joanna M. Haigney* Chief Compliance Officer and Secretary (1966) | Chief Compliance Officer of Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2004 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Chief Compliance Officer of Rydex Investments (2005 to present) Vice President of Compliance of Rydex Investments (2006 to present); Director of Rydex Distributors, Inc. (2009 to present); Secretary of Rydex Capital Partners SPhinX Fund (2003 to 2006) | |
Keith Fletcher* Vice President (1958) | Vice President of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Vice President of Rydex Investments (2009 to present); Vice President of Rydex Specialized Products, LLC (2009 to present); Vice President and Director of Rydex Distributors, Inc. (2009 to present); Vice President of Security Global Investors, LLC (2009 to present) | |
Amy Lee* Vice President and Assistant Secretary (1960) | Vice President and Assistant Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Secretary of Rydex Distributors, Inc. (2008 to present); Chief Compliance Officer of Rydex Distributors, Inc. (2008 to 2009); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Corp. (2005 to present); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Life Insurance Co. (2004 to present); Assistant General Counsel of First Security Benefit Life and Annuity Company of New York (2004 to present); Chief Compliance Officer and Secretary of Security Distributors, Inc. (2004 to present); Secretary of Security Global Investors, Inc. (2007 to present) | |
Joseph Arruda* Assistant Treasurer (1966) | Assistant Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Senior Vice President of Rydex Investments (2008 to present); Vice President of Rydex Investments (2004 to 2008); Manager and Chief Financial Officer of Rydex Specialized Products, LLC (2009 to present); Director of Accounting of Rydex Investments (2003 to 2004) | |
Paula Billos* Controller (1974) | Controller of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Director of Fund Administration of Rydex Investments (2001 to present) |
* | Officers of the Funds 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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TABLE OF CONTENTS
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 1 |
LETTER TO OUR SHAREHOLDERS
DEAR SHAREHOLDER,
On September 15, 2009, Federal Reserve (Fed) Chairman Ben Bernanke stated that “the recession is very likely over.” Indications are that we are in fact emerging from what has been termed the “Great Recession,” but significant risks linger due to the aftershocks of the 2008 financial and liquidity crisis.
Despite the strong advance to end the year, 2009 marked the end of one of the all-time worst decades of performance for the U.S. equity markets, with an average annual return of -.95%. However, economic trends over the last year suggest that conditions are improving. One sign is an exceptionally strong equity market. From March 9 (the market’s low point) until the end of 2009, the U.S. equity market was up 67.80% as measured by the S&P 500® Index. Strong equity returns across multiple indices, including the MSCI EAFE Index® (up 32.43% for the year), reflected investors’ increased appetite for risk.
More signs of economic improvement
Emerging markets posted even stronger returns—the MSCI Emerging Markets Index, for instance, was up 78.58% in 2009. Additionally, all 10 underlying economic sectors posted positive returns during the one- year period, with information technology (59.92%) and materials (45.22%) leading the way. Among the laggards for the year, utilities (6.80%) and telecom (2.63%) still managed to produce positive returns. Along with traditional assets, hedge fund managers enjoyed the favorable market environment in 2009 with returns of 20.04% as measured by the HFRI Fund Weighted Composite Index, which is an equal weighted index of more than 2,000 single manager hedge funds. Those strong returns were in contrast to a poor showing in 2008, when the composite index was down 19%. Another good sign: After a significant spike at the height of the financial crisis in the fall of 2008, implied market volatility levels as measured by the VIX Index have steadily trended down to more normal levels.
Improving housing conditions and increases in consumer spending—combined with significant reduction of inventories—lifted the U.S. economy out of recession in the third quarter of 2009. Real GDP grew at a rate of 2.2% for the quarter. U.S. consumer confidence, as measured by the Conference Board Consumer Confidence Index, rose in December to 52.9—the second straight month of improvement. Consumer outlook has improved somewhat from early in 2009, although concerns relating to the job market continue to weigh on consumers. Another sign of stronger economic conditions is existing home sales, which continued to improve—in November, existing home sales increased 7.4% from the prior month.
Reasons for caution in 2010
While many indicators are positive, certain risks remain. One of the major areas of concern is U.S. employment. The pace of job losses has slowed considerably from late 2008 and early 2009, when the change to non-farm payrolls shed as much as 741,000 jobs in a month. However, in December, despite modest growth in the prior month, 85,000 jobs were lost. The unemployment rate remained unchanged at 10% only due to the fact that the labor force declined by 661,000 workers.
Looking at 2010, some questions remain. How (and in what timeframe) will the Fed orchestrate an exit to the massive amount of quantitative easing it has implemented? Will inflationary pressures force the Fed to raise rates prematurely or will excess productive capacity counter those risks? How will the government grapple with deficit issues while promoting job growth necessary to support the fragile economy?
2 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
LETTER TO OUR SHAREHOLDERS (concluded)
So far, the Fed has signaled that it will maintain an “exceptionally low” interest rate target for some time—in fact, there is a reasonable chance that the Fed will not increase rates until early 2011. If financial conditions continue to improve, the Fed will not need to further expand its credit easing policies and may begin an orderly exit to the existing programs. The major risks for the U.S. economy include long-run negative implications to carrying large budget deficits. Labor conditions also factor largely into the equation, with the risk of continued rising unemployment undermining the economic recovery.
In any case, the broad array of product offerings at Rydex|SGI can help investors either hedge or augment exposures to the equity or fixed-income markets, as well as introduce alternative assets and strategies into a portfolio to improve overall diversification. Thank you for the trust you place in us.
Sincerely,
Michael Byrum
President & Chief Investment Officer
President & Chief Investment Officer
Performance displayed represents past performance, which is no guarantee of future results.
Fund performance is subject to daily market volatility and may be better or worse since the end of the last quarter. For up-to-date fund performance, call 800.820.0888 or visit www.rydex-sgi.com.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 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, 2009 and ending December 31, 2009.
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 illustrated 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 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)
Beginning | Ending | Expenses | ||||||||||||||
Expense | Account Value | Account Value | Paid During | |||||||||||||
Ratio | † | June 30, 2009 | December 31, 2009 | Period | * | |||||||||||
Table 1. Based on actual Fund return | ||||||||||||||||
Amerigo Fund | 1.70% | $ | 1,000.00 | $ | 1,233.80 | $ | 9.57 | |||||||||
Clermont Fund | 1.70% | 1,000.00 | 1,141.30 | 9.18 | ||||||||||||
Berolina Fund | 1.70% | 1,000.00 | 1,202.70 | 9.44 | ||||||||||||
Table 2. Based on hypothetical 5% return (before expenses) | ||||||||||||||||
Amerigo Fund | 1.70% | 1,000.00 | 1,016.64 | 8.64 | ||||||||||||
Clermont Fund | 1.70% | 1,000.00 | 1,016.64 | 8.64 | ||||||||||||
Berolina Fund | 1.70% | 1,000.00 | 1,016.64 | 8.64 |
* | 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 number of days in current fiscal year. Expenses shown do not include fees charged by insurance companies. | |
† | Annualized and excludes expenses of the underlying funds in which the Funds invest. |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 5 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited)
AMERIGO FUND
OBJECTIVE: Seeks long-term growth of capital without regard to current income.
Inception: July 1, 2003
Amerigo gained 39.41% for the one-year period ended December 31, 2009, outperforming its benchmark, the S&P 500 Index, which rose 26.47%. Four key themes contributed to Amerigo’s outperformance in 2009: investors transitioned from a risk averse posture to a risk-seeking one, the weakness of the U.S. Dollar, strength in commodities and the out-performance of Emerging Market equities.
The tremendous shift in investor sentiment from extreme risk aversion in the first quarter of the year to more typical risk-seeking behavior in the latter nine months was probably the most important factor in 2009. The U.S. dollar resumed its downward move in 2009. Over the past year, there has been a historically high inverse correlation between the U.S. dollar and the markets: When the U.S. dollar declined, assets priced in U.S. dollars have tended to rise. That inverse relationship fueled the strong performance of most commodities and the renewed outperformance of emerging market equities.
During the first quarter of 2009, Amerigo eliminated its allocation to bonds and invested the proceeds in equities and commodities. During the third and fourth quarters of 2009, the Fund reduced its allocations to emerging market equities and commodities and reinvested the proceeds into U.S. equities across the market capitalization spectrum. As returns among various asset classes began to converge, we reduced the size of Amerigo’s underweighted- and over- weighted positions relative to our benchmark.
As we enter 2010, we expect market breadth to continue narrowing as the initial recovery rally matures. Should that occur, the performance of the various asset classes will begin to diverge and the gap between the “winners” and the “losers” may widen. As the market reverts to fundamentals, asset allocation will become increasingly important in generating incremental returns above the market indices.
Berolina remains overweighted in investment grade and high yield bonds. With the U.S. economy on the cusp of a recovery and interest rates remaining at very low levels, we believe it is too early to reduce the fund’s corporate bond exposure.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
ETF — Exchange Traded Fund.
Ten Largest Holdings (% of Total Net Assets) | ||||
iShares Russell 1000 Growth Index Fund | 9.0 | % | ||
iShares S&P 500 Index Fund | 8.3 | % | ||
SPDR Trust, Series 1 | 8.3 | % | ||
PowerShares QQQ | 7.6 | % | ||
iShares S&P Latin America 40 Index Fund | 6.7 | % | ||
iShares MSCI Emerging Markets Index Fund | 5.8 | % | ||
Vanguard Mid-Cap ETF | 5.4 | % | ||
iShares Russell Midcap Growth Index Fund | 5.0 | % | ||
iShares Russell Midcap Index Fund | 3.6 | % | ||
iShares MSCI Brazil Index Fund | 2.9 | % | ||
Top Ten Total | 62.6 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
6 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
Cumulative Fund Performance:
July 1, 2003 — December 31, 2009
July 1, 2003 — December 31, 2009
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (07/01/03) | ||||||||||
AMERIGO FUND | 39.41 | % | 2.08 | % | 5.63 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 4.03 | % | ||||||
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 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.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 7 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
CLERMONT FUND
OBJECTIVE: Seek a combination of current income and growth of capital.
Inception: July 1, 2003
Clermont gained 22.58% for the one-year period ended December 31, 2009, outperforming its blended benchmark, consisting of 45% S&P 500 Index / 55% Barclay’s Capital Credit Index, which rose 15.06%.
As securities have recovered and are no longer as dramatically undervalued as they were in early 2009, Clermont’s portfolio has become more conservative. The Fund has reduced its overweighted and underweighted positions in various asset classes to more closely reflect respective benchmark weightings. Accordingly, we trimmed Clermont’s exposure to emerging
markets and reinvested the proceeds primarily in domestic large-cap blend equities.
Within the Fund’s fixed income portfolio, we pared back positions in short-and intermediate-term securities and reinvested the proceeds in the Fund’s bond benchmark, the Barclays Capital Credit Index.
We are now nearing the end of the “easy” portion of the post-recovery rally. Further market appreciation in the period ahead will require a transition from the recent profit recovery to a sustainable economic recovery. During this process, we expect the markets to become more selective and the spread between the asset classes to widen. As it does, asset allocation will likely have a much greater impact on portfolio returns than market timing.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
ETF — Exchange Traded Fund.
Ten Largest Holdings (% of Total Net Assets) | ||||
iShares Barclays Credit Bond Fund | 12.3 | % | ||
SPDR Trust, Series 1 | 7.7 | % | ||
iShares iBoxx $ Investment Grade | ||||
Corporate Bond Fund | 7.6 | % | ||
Vanguard Total Bond Market ETF | 7.1 | % | ||
iShares iBoxx $ High Yield Corporate | ||||
Bond Fund | 6.2 | % | ||
iShares S&P 500 Index Fund | 4.9 | % | ||
SPDR Barclays Capital High Yield Bond ETF | 3.6 | % | ||
Vanguard Short-Term Bond ETF | 3.0 | % | ||
Vanguard Emerging Markets ETF | 3.0 | % | ||
PowerShares QQQ | 2.9 | % | ||
Top Ten Total | 58.3 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
8 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
Cumulative Fund Performance:
July 1, 2003 — December 31, 2009
July 1, 2003 — December 31, 2009
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (07/01/03) | ||||||||||
CLERMONT FUND | 22.58 | % | 0.50 | % | 2.50 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 4.03 | % | ||||||
SYNTHETIC BALANCED BENCHMARK* | 15.06 | % | 3.44 | % | 4.63 | % | ||||||
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 Barclay’s Capital Credit Index are unmanaged 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.
* Benchmark reflects a 45/55 ratio of the performance of the S&P 500 Index and the Barclays Capital Credit Index.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 9 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
BEROLINA FUND
OBJECTIVE: Seeks to provide growth of capital and total return.
Inception: November 10, 2006
Berolina gained 35.79% for the year ended December 31, 2009, outperforming its blended benchmark, 75% S&P 500 Index and 25% Barclay’s Capital Credit Index, which rose 21.51%.
A significant overweighting in emerging market equities, especially Latin American and Chinese equities, was the main contributor to the fund’s outperformance for the year. As the reflation trade increased in investor popularity during the year, Berolina’s performance benefited.
Over the intermediate term, we believe that a continued market strength requires a transition from the “profit” recovery of 2009 to a self-sustaining “economic recovery” in the year ahead. A recovery that is too fast will aggravate the “bond vigilantes” concerned about potential inflation, while a recovery that is too slow will not be well received by equity investors. A self-sustaining, moderate recovery that does not hinge on further government stimulus programs would represent the “sweet spot” for coming year.
Berolina remains overweighted in investment grade and high yield bonds. With the U.S. economy on the cusp of a recovery and interest rates remaining at very low levels, we believe it is too early to reduce the Fund’s corporate bond exposure.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
ETF — Exchange Traded Fund.
Ten Largest Holdings (% of Total Net Assets) | ||||
iShares S&P Latin America 40 Index Fund | 6.4 | % | ||
iShares MSCI Emerging Markets Index Fund | 5.6 | % | ||
iShares Barclays Credit Bond Fund | 3.9 | % | ||
SPDR Barclays Capital High Yield Bond ETF | 3.9 | % | ||
iShares iBoxx $ High Yield | ||||
Corporate Bond Fund | 3.8 | % | ||
iShares S&P 500 Index Fund | 3.7 | % | ||
SPDR Trust, Series 1 | 3.7 | % | ||
Vanguard Emerging Markets ETF | 3.0 | % | ||
Vanguard Large-Cap ETF | 2.8 | % | ||
iShares MSCI Pacific ex-Japan Index Fund | 2.5 | % | ||
Top Ten Total | 39.3 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
10 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (concluded)
Cumulative Fund Performance:
November 10, 2006 — December 31, 2009
November 10, 2006 — December 31, 2009
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||
ONE | INCEPTION | |||||||
YEAR | (11/10/06) | |||||||
BEROLINA FUND | 35.79 | % | -2.30 | % | ||||
S&P 500 INDEX | 26.47 | % | -4.48 | % | ||||
SYNTHETIC BALANCED BENCHMARK* | 21.51 | % | 4.58 | % | ||||
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 Barclay’s Capital Credit Index are unmanaged indices and, unlike the Fund, have no management fees or other operating expenses to reduce their reported return. Returns are historical and include changes in principal and reinvested dividends and capital gains.
* Benchmark reflects a 75/25 ratio of the performance of the S&P 500 Index and the Barclays Capital Credit Index.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 11 |
SCHEDULE OF INVESTMENTS
December 31, 2009
AMERIGO FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 2.4%(a) | ||||||||
FINANCIALS 2.4% | ||||||||
Berkshire Hathaway, Inc. — | ||||||||
Class A* | 33 | $ | 3,273,600 | |||||
Berkshire Hathaway, Inc. — | ||||||||
Class B* | 526 | 1,728,436 | ||||||
Total Financials | 5,002,036 | |||||||
Total Common Stocks (Cost $5,640,355) | 5,002,036 | |||||||
EXCHANGE TRADED FUNDS 95.9%(a) | ||||||||
UNITED STATES OF AMERICA 69.4% | ||||||||
iShares Russell 1000 | ||||||||
Growth Index Fund | 384,000 | 19,142,400 | ||||||
iShares S&P 500 Index Fund | 158,600 | 17,701,346 | ||||||
SPDR Trust, Series 1 | 158,600 | 17,674,384 | ||||||
PowerShares QQQ | 350,700 | 16,104,144 | ||||||
Vanguard Mid-Cap ETF | 190,500 | 11,420,475 | ||||||
iShares Russell Midcap | ||||||||
Growth Index Fund | 237,100 | 10,750,114 | ||||||
iShares Russell Midcap Index Fund | 93,500 | 7,715,620 | ||||||
iShares Russell 2000 Index Fund | 93,500 | 5,821,310 | ||||||
Vanguard Small-Cap ETF | 93,500 | 5,362,225 | ||||||
Vanguard Large-Cap ETF | 103,400 | 5,239,278 | ||||||
Diamonds Trust, Series I | 42,700 | 4,442,935 | ||||||
Vanguard Total Stock Market ETF | 69,200 | 3,900,804 | ||||||
Technology Select Sector SPDR Fund | 150,400 | 3,439,648 | ||||||
Vanguard Extended Market ETF | 70,100 | 3,018,506 | ||||||
SPDR S&P Biotech ETF | 53,400 | 2,864,376 | ||||||
Vanguard Materials ETF | 25,300 | 1,715,846 | ||||||
Health Care Select Sector | ||||||||
SPDR Fund | 46,000 | 1,429,680 | ||||||
Rydex Russell Top 50 ETF† | 17,000 | 1,421,030 | ||||||
Vanguard Value ETF | 25,500 | 1,217,625 | ||||||
PowerShares DB Gold Fund* | 29,100 | 1,141,302 | ||||||
PowerShares DB | ||||||||
Precious Metals Fund* | 29,100 | 1,096,197 | ||||||
iShares Russell 1000 | ||||||||
Value Index Fund | 17,000 | 975,630 | ||||||
Industrial Select Sector SPDR Fund | 33,800 | 939,302 | ||||||
PowerShares DB | ||||||||
Base Metals Fund* | 40,100 | 902,250 | ||||||
Market Vectors-Coal ETF | 15,300 | 552,636 | ||||||
KBW Capital Markets ETF | 13,800 | 507,564 | ||||||
iShares S&P GSCI | ||||||||
Commodity Indexed Trust* | 13,400 | 426,388 | ||||||
PowerShares DB Agriculture Fund* | 13,400 | 354,296 | ||||||
PowerShares DB Commodity | ||||||||
Index Tracking Fund* | 13,400 | 329,908 |
MARKET | ||||||||
SHARES | VALUE | |||||||
iShares Dow Jones US Broker | ||||||||
Dealers Index Fund | 8,800 | $ | 247,544 | |||||
Total United States of America | 147,854,763 | |||||||
INTERNATIONAL 9.1% | ||||||||
iShares MSCI Emerging | ||||||||
Markets Index Fund | 297,200 | 12,333,800 | ||||||
Vanguard Emerging Markets ETF | 103,700 | 4,251,700 | ||||||
Vanguard FTSE All-World | ||||||||
ex-US ETF | 34,400 | 1,500,528 | ||||||
SPDR S&P BRIC 40 ETF | 56,700 | 1,420,335 | ||||||
Total International | 19,506,363 | |||||||
LATIN AMERICA REGION 6.7% | ||||||||
iShares S&P Latin America 40 | ||||||||
Index Fund | 297,200 | 14,209,132 | ||||||
Total Latin America Region | 14,209,132 | |||||||
BRAZIL 2.9% | ||||||||
iShares MSCI Brazil Index Fund | 83,500 | 6,229,935 | ||||||
Total Brazil | 6,229,935 | |||||||
CANADA 1.7% | ||||||||
iShares MSCI Canada Index Fund | 141,900 | 3,736,227 | ||||||
Total Canada | 3,736,227 | |||||||
CHINA 1.4% | ||||||||
SPDR S&P China ETF | 20,000 | 1,437,000 | ||||||
iShares FTSE/Xinhua China 25 | ||||||||
Index Fund | 20,000 | 845,400 | ||||||
iShares S&P Asia 50 Index Fund | 16,700 | 667,165 | ||||||
Total China | 2,949,565 | |||||||
GLOBAL 1.4% | ||||||||
iShares S&P Global Materials | ||||||||
Sector Index Fund | 20,300 | 1,263,066 | ||||||
iShares S&P Global Energy | ||||||||
Sector Index Fund | 25,300 | 902,704 | ||||||
iShares S&P Global Industrials | ||||||||
Sector Index Fund | 17,000 | 754,970 | ||||||
Total Global | 2,920,740 | |||||||
ASIAN PACIFIC REGION 1.0% | ||||||||
SPDR S&P Emerging | ||||||||
Asia Pacific ETF | 28,400 | 2,106,712 | ||||||
Total Asian Pacific Region | 2,106,712 | |||||||
ASIAN PACIFIC REGION EX JAPAN 1.0% | ||||||||
iShares MSCI Pacific | ||||||||
ex-Japan Index Fund | 50,000 | 2,068,500 | ||||||
Total Asian Pacific Region ex Japan | 2,068,500 | |||||||
12 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
AMERIGO FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
TAIWAN 0.6% | ||||||||
iShares MSCI | ||||||||
Taiwan Index Fund | 100,200 | $ | 1,299,594 | |||||
Total Taiwan | 1,299,594 | |||||||
HONG KONG 0.5% | ||||||||
iShares MSCI Hong Kong | ||||||||
Index Fund | 66,800 | 1,046,088 | ||||||
Total Hong Kong | 1,046,088 | |||||||
GERMANY 0.2% | ||||||||
iShares MSCI Germany | ||||||||
Index Fund | 17,000 | 381,480 | ||||||
Total Germany | 381,480 | |||||||
Total Exchange Traded Funds (Cost $195,442,560) | 204,309,099 | |||||||
MUTUAL FUNDS 2.0%(a) | ||||||||
First American Treasury | ||||||||
Obligations Fund | 4,316,530 | 4,316,530 | ||||||
Total Mutual Funds (Cost $4,316,530) | 4,316,530 | |||||||
Total Investments 100.3% (Cost $205,399,445) | $ | 213,627,665 | ||||||
Liabilities in Excess of | ||||||||
Other Assets – (0.3)% | $ | (555,230 | ) | |||||
Net Assets – 100.0% | $ | 213,072,435 |
* | Non-Income Producing Security. | |
† | Affiliated Fund. | |
(a) | Value determined based on Level 1 inputs — See Note 5. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 13 |
SCHEDULE OF INVESTMENTS
December 31, 2009
CLERMONT FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 1.0%(a) | ||||||||
FINANCIALS 1.0% | ||||||||
Berkshire Hathaway, Inc. — | ||||||||
Class A* | 5 | $ | 496,000 | |||||
Berkshire Hathaway, Inc. — | ||||||||
Class B* | 56 | 184,016 | ||||||
Total Financials | 680,016 | |||||||
Total Common Stocks | ||||||||
(Cost $767,400) | 680,016 | |||||||
EXCHANGE TRADED FUNDS 89.3%(a) | ||||||||
UNITED STATES OF AMERICA 75.5% | ||||||||
iShares Barclays Credit Bond Fund | 81,700 | 8,213,301 | ||||||
SPDR Trust, Series 1 | 46,000 | 5,126,240 | ||||||
iShares iBoxx $ Investment Grade | ||||||||
Corporate Bond Fund | 48,800 | 5,082,520 | ||||||
Vanguard Total Bond Market ETF | 60,400 | 4,746,836 | ||||||
iShares iBoxx $ High Yield | ||||||||
Corporate Bond Fund | 46,900 | 4,119,696 | ||||||
iShares S&P 500 Index Fund | 29,400 | 3,281,334 | ||||||
SPDR Barclays Capital High | ||||||||
Yield Bond ETF | 61,300 | 2,383,957 | ||||||
PowerShares QQQ | 42,300 | 1,942,416 | ||||||
iShares Russell 1000 | ||||||||
Growth Index Fund | 36,800 | 1,834,480 | ||||||
iShares Barclays Aggregate | ||||||||
Bond Fund | 16,400 | 1,692,316 | ||||||
Vanguard Total Stock Market ETF | 29,200 | 1,646,004 | ||||||
Vanguard Large-Cap ETF | 26,400 | 1,337,688 | ||||||
Vanguard Mid-Cap ETF | 19,500 | 1,169,025 | ||||||
Diamonds Trust, Series I | 11,200 | 1,165,360 | ||||||
Vanguard Extended Market ETF | 19,500 | 839,670 | ||||||
iShares Russell 2000 Index Fund | 11,200 | 697,312 | ||||||
iShares Russell Midcap Index Fund | 8,200 | 676,664 | ||||||
Vanguard Small-Cap ETF | 11,200 | 642,320 | ||||||
Vanguard Value ETF | 12,300 | 587,325 | ||||||
Technology Select Sector | ||||||||
SPDR Fund | 22,400 | 512,288 | ||||||
SPDR S&P Biotech ETF | 8,200 | 439,848 | ||||||
PowerShares DB | ||||||||
Precious Metals Fund* | 11,400 | 429,438 | ||||||
Rydex Russell Top 50 ETF† | 3,700 | 309,283 | ||||||
Vanguard Mega Cap 300 | ||||||||
Growth ETF | 6,100 | 255,407 | ||||||
Vanguard Mega Cap 300 ETF | 6,100 | 234,850 | ||||||
PowerShares DB Gold Fund* | 5,700 | 223,554 | ||||||
Vanguard Mega Cap 300 | ||||||||
Value ETF | 6,100 | 214,110 | ||||||
SPDR KBW Bank ETF | 8,200 | 173,594 |
MARKET | ||||||||
SHARES | VALUE | |||||||
iShares Barclays 3-7 Year | ||||||||
Treasury Bond Fund | 800 | $ | 88,128 | |||||
PowerShares DB Silver Fund* | 2,700 | 81,243 | ||||||
iShares Barclays 7-10 Year | ||||||||
Treasury Bond Fund | 800 | 70,880 | ||||||
iShares S&P GSCI | ||||||||
Commodity Indexed Trust* | 1,900 | 60,458 | ||||||
PowerShares DB Agriculture Fund* | 1,900 | 50,236 | ||||||
PowerShares DB | ||||||||
Commodity Index Tracking Fund* | 1,900 | 46,778 | ||||||
PowerShares DB Base | ||||||||
Metals Fund* | 1,900 | 42,750 | ||||||
iShares S&P 500 Growth | ||||||||
Index Fund | 100 | 5,799 | ||||||
iShares S&P 500 Value Index Fund | 100 | 5,301 | ||||||
Total United States of America | 50,428,409 | |||||||
INTERNATIONAL 6.5% | ||||||||
Vanguard Emerging Markets ETF | 48,700 | 1,996,700 | ||||||
iShares MSCI Emerging | ||||||||
Markets Index Fund | 30,700 | 1,274,050 | ||||||
Vanguard FTSE All-World | ||||||||
ex-US ETF | 24,900 | 1,086,138 | ||||||
Total International | 4,356,888 | |||||||
GLOBAL 3.5% | ||||||||
Vanguard Short-Term Bond ETF | 25,200 | 2,004,408 | ||||||
Market Vectors — Gold Miners ETF | 3,800 | 175,598 | ||||||
Vanguard Intermediate-Term | ||||||||
Bond ETF | 2,000 | 158,140 | ||||||
Total Global | 2,338,146 | |||||||
LATIN AMERICA REGION 2.2% | ||||||||
iShares S&P Latin America 40 | ||||||||
Index Fund | 30,700 | 1,467,767 | ||||||
Total Latin America Region | 1,467,767 | |||||||
ASIAN PACIFIC REGION 0.7% | ||||||||
SPDR S&P Emerging | ||||||||
Asia Pacific ETF | 3,700 | 274,466 | ||||||
Vanguard Pacific ETF | 3,700 | 189,884 | ||||||
Total Asian Pacific Region | 464,350 | |||||||
CANADA 0.4% | ||||||||
iShares MSCI Canada | ||||||||
Index Fund | 9,500 | 250,135 | ||||||
Total Canada | 250,135 | |||||||
HONG KONG 0.3% | ||||||||
iShares MSCI Hong Kong | ||||||||
Index Fund | 11,400 | 178,524 | ||||||
Total Hong Kong | 178,524 | |||||||
14 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
CLERMONT FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
CHINA 0.2% | ||||||||
iShares S&P Asia 50 Index Fund | 3,700 | $ | 147,815 | |||||
Total China | 147,815 | |||||||
Total Exchange Traded Funds (Cost $57,369,655) | 59,632,034 | |||||||
MUTUAL FUND 2.2%(a) | ||||||||
First American Treasury | ||||||||
Obligations Fund | 1,442,124 | 1,442,124 | ||||||
Total Mutual Fund (Cost $1,442,124) | 1,442,124 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
CORPORATE BONDS 7.50%(b) | ||||||||
Alcoa, Inc. | ||||||||
5.87% due 02/23/22 | $ | 793,000 | 736,369 | |||||
6.00% due 01/15/12 | 690,000 | 725,219 | ||||||
Agilent Technologies, Inc. | ||||||||
6.50% due 11/01/17 | 577,000 | 610,608 | ||||||
Mutual of Omaha Insurance Co. | ||||||||
6.80% due 06/15/36 | 725,000 | 609,853 | ||||||
Enogex LLC | ||||||||
6.25% due 03/15/20 | 520,000 | 508,734 | ||||||
Westar Energy, Inc. | ||||||||
6.00% due 07/01/14 | 468,000 | 507,227 | ||||||
Chevron Phillips Chemical | ||||||||
Company LLC | ||||||||
8.25% due 06/15/19 | 416,000 | 489,610 | ||||||
Timken Co. | ||||||||
6.00% due 09/15/14 | 300,000 | 315,710 | ||||||
Bunge Limited Finance Co. | ||||||||
8.50% due 06/15/19 | 274,000 | 312,334 | ||||||
Sunoco, Inc. | ||||||||
4.88% due 10/15/14 | 237,000 | 238,840 | ||||||
Total Corporate Bonds (Cost $4,610,376) | 5,054,504 | |||||||
Total Investments 100.0% (Cost $64,189,555) | $ | 66,808,678 | ||||||
Liabilities in Excess of | ||||||||
Other Assets – 0.0% | $ | (5,507 | ) | |||||
Net Assets – 100.0% | $ | 66,803,171 |
* | Non-Income Producing Security. | |
† | Affiliated Funds. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 15 |
SCHEDULE OF INVESTMENTS
December 31, 2009
BEROLINA FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 1.8%(a) | ||||||||
FINANCIALS 1.8% | ||||||||
Berkshire Hathaway, Inc. — | ||||||||
Class B* | 122 | $ | 400,893 | |||||
Berkshire Hathaway, Inc. — | ||||||||
Class A* | 4 | 396,800 | ||||||
Total Financials | 797,693 | |||||||
Total Common Stocks | ||||||||
(Cost $911,271) | 797,693 | |||||||
EXCHANGE TRADED FUNDS 87.9%(a) | ||||||||
UNITED STATES OF AMERICA 53.3% | ||||||||
iShares Barclays Credit Bond Fund | 17,000 | 1,709,010 | ||||||
SPDR Barclays Capital High | ||||||||
Yield Bond ETF | 43,700 | 1,699,493 | ||||||
iShares iBoxx $ High Yield | ||||||||
Corporate Bond Fund | 19,000 | 1,668,960 | ||||||
iShares S&P 500 Index Fund | 14,500 | 1,618,345 | ||||||
SPDR Trust, Series 1 | 14,400 | 1,604,736 | ||||||
Vanguard Large-Cap ETF | 23,700 | 1,200,879 | ||||||
Vanguard Mid-Cap ETF | 17,400 | 1,043,130 | ||||||
iShares iBoxx $ Investment | ||||||||
Grade Corporate Bond Fund | 10,000 | 1,041,500 | ||||||
Vanguard Total Stock Market ETF | 17,400 | 980,838 | ||||||
iShares Russell 1000 Growth | ||||||||
Index Fund | 17,400 | 867,390 | ||||||
PowerShares DB Gold Fund* | 21,900 | 858,918 | ||||||
SPDR S&P Biotech ETF | 15,600 | 836,784 | ||||||
PowerShares DB Precious | ||||||||
Metals Fund* | 21,900 | 824,973 | ||||||
PowerShares QQQ | 17,400 | 799,008 | ||||||
Vanguard Growth ETF | 14,500 | 769,370 | ||||||
Diamonds Trust, Series I | 5,700 | 593,085 | ||||||
Vanguard Extended Market ETF | 12,700 | 546,862 | ||||||
iShares Russell 2000 Index Fund | 8,400 | 522,984 | ||||||
Vanguard Small-Cap ETF | 8,400 | 481,740 | ||||||
Vanguard Value ETF | 8,900 | 424,975 | ||||||
Market Vectors-Coal ETF | 11,600 | 418,992 | ||||||
Technology Select Sector | ||||||||
SPDR Fund | 17,400 | 397,938 | ||||||
PowerShares DB Base | ||||||||
Metals Fund* | 17,400 | 391,500 | ||||||
Consumer Staples Select Sector | ||||||||
SPDR Fund | 14,500 | 383,815 | ||||||
Materials Select Sector SPDR Fund | 11,600 | 382,800 | ||||||
KBW Capital Markets ETF | 5,800 | 213,324 | ||||||
iShares S&P GSCI Commodity | ||||||||
Indexed Trust* | 5,800 | 184,556 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Industrial Select Sector SPDR Fund | 6,000 | $ | 166,740 | |||||
PowerShares DB Agriculture Fund* | 5,800 | 153,352 | ||||||
PowerShares DB | ||||||||
Commodity Index Tracking | ||||||||
Fund* | 5,800 | 142,796 | ||||||
Vanguard Total Bond Market ETF | 1,300 | 102,167 | ||||||
PowerShares DB Silver Fund* | 3,000 | 90,270 | ||||||
iShares Dow Jones US Broker | ||||||||
Dealers Index Fund | 3,000 | 84,390 | ||||||
Total United States of America | 23,205,620 | |||||||
INTERNATIONAL 10.1% | ||||||||
iShares MSCI Emerging | ||||||||
Markets Index Fund | 58,300 | 2,419,450 | ||||||
Vanguard Emerging Markets ETF | 32,200 | 1,320,200 | ||||||
SPDR S&P BRIC 40 ETF | 26,600 | 666,330 | ||||||
Total International | 4,405,980 | |||||||
LATIN AMERICA REGION 6.4% | ||||||||
iShares S&P Latin America 40 | ||||||||
Index Fund | 58,300 | 2,787,323 | ||||||
Total Latin America Region | 2,787,323 | |||||||
CHINA 4.7% | ||||||||
SPDR S&P China ETF | 14,600 | 1,049,010 | ||||||
iShares FTSE/Xinhua China 25 | ||||||||
Index Fund | 14,600 | 617,142 | ||||||
iShares S&P Asia 50 Index Fund | 9,800 | 391,510 | ||||||
Total China | 2,057,662 | |||||||
GLOBAL 4.2% | ||||||||
iShares S&P Global Materials | ||||||||
Sector Index Fund | 8,600 | 535,092 | ||||||
iShares S&P Global Industrials | ||||||||
Sector Index Fund | 9,800 | 435,218 | ||||||
Market Vectors — Gold Miners ETF | 8,700 | 402,027 | ||||||
iShares S&P Global Energy | ||||||||
Sector Index Fund | 9,500 | 338,960 | ||||||
Vanguard Short-Term Bond ETF | 1,500 | 119,310 | ||||||
Total Global | 1,830,607 | |||||||
ASIAN PACIFIC REGION EX JAPAN 2.5% | ||||||||
iShares MSCI Pacific ex-Japan | ||||||||
Index Fund | 26,300 | 1,088,031 | ||||||
Total Asian Pacific Region ex Japan | 1,088,031 | |||||||
ASIAN PACIFIC REGION 2.0% | ||||||||
SPDR S&P Emerging Asia | ||||||||
Pacific ETF | 9,800 | 726,964 | ||||||
Vanguard Pacific ETF | 2,900 | 148,828 | ||||||
Total Asian Pacific Region | 875,792 | |||||||
16 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
BEROLINA FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
CANADA 1.7% | ||||||||
iShares MSCI Canada Index Fund | 28,100 | $ | 739,873 | |||||
Total Canada | 739,873 | |||||||
BRAZIL 1.7% | ||||||||
iShares MSCI Brazil Index Fund | 9,800 | 731,178 | ||||||
Total Brazil | 731,178 | |||||||
HONG KONG 0.5% | ||||||||
iShares MSCI Hong Kong | ||||||||
Index Fund | 12,700 | 198,882 | ||||||
Total Hong Kong | 198,882 | |||||||
AUSTRALIA 0.6% | ||||||||
iShares MSCI Australia Index Fund | 11,800 | 269,512 | ||||||
Total Australia | 269,512 | |||||||
GERMANY 0.2% | ||||||||
iShares MSCI Germany Index Fund | 3,000 | 67,320 | ||||||
Total Germany | 67,320 | |||||||
Total Exchange Traded Funds | ||||||||
(Cost $37,266,695) | 38,257,780 | |||||||
MUTUAL FUND 0.9%(b) | ||||||||
First American Treasury | ||||||||
Obligations Fund | 378,188 | 378,188 | ||||||
Total Mutual Fund | ||||||||
(Cost $378,188) | 378,188 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
CORPORATE BONDS 9.4%(b) | ||||||||
Alcoa, Inc. | ||||||||
6.00% due 01/15/12 | $ | 616,000 | 647,442 | |||||
5.87% due 02/23/22 | 626,000 | 581,295 | ||||||
6.75% due 07/15/18 | 257,000 | 262,158 | ||||||
Nordstrom, Inc. | ||||||||
7.00% due 01/15/38 | 593,000 | 656,525 | ||||||
Chevron Phillips Chemical Company LLC | ||||||||
8.25% due 06/15/19 | 352,000 | 414,285 | ||||||
Agilent Technologies, Inc. | ||||||||
6.50% due 11/01/17 | 368,000 | 389,435 | ||||||
Mutual of Omaha Insurance Co. | ||||||||
6.80% due 06/15/2036 | 460,000 | 386,941 | ||||||
Corning, Inc. | ||||||||
7.25% due 08/15/36 | 270,000 | 275,110 | ||||||
Bunge Limited Finance Co. | ||||||||
8.50% due 06/15/19 | 235,000 | 267,878 | ||||||
Sunoco, Inc. | ||||||||
4.88% due 10/15/14 | 216,000 | 217,677 | ||||||
Total Corporate Bonds (Cost $3,455,556) | $ | 4,098,746 | ||||||
MARKET | ||||||||
VALUE | ||||||||
Total Investments 100.0% | ||||||||
(Cost $42,011,710) | $ | 43,532,407 | ||||||
Other Assets in Excess of Liabilities – 0.0% | $ | 9,771 | ||||||
Net Assets – 100.0% | $ | 43,542,178 | ||||||
* | Non-Income Producing Security. | |
(a) | Value determined based on Level 1 inputs — See Note 5. | |
(b) | Value determined based on Level 2 inputs — See Note 5. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 17 |
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2009
Amerigo | Clermont | Berolina | ||||||||||
Fund | Fund | Fund | ||||||||||
Assets | ||||||||||||
Investment Securities | $ | 212,206,635 | $ | 66,499,395 | $ | 43,532,407 | ||||||
Investment Securities in Affiliated Funds | 1,421,030 | 309,283 | — | |||||||||
Total Investments | 213,627,665 | 66,808,678 | 43,532,407 | |||||||||
Cash | 25,785 | 16,776 | 12,899 | |||||||||
Investment Income Receivable | 134,335 | 141,410 | 52,612 | |||||||||
Other Assets | — | 61,714 | 76,962 | |||||||||
Total Assets | 213,787,785 | 67,028,578 | 43,674,880 | |||||||||
Liabilities | ||||||||||||
Payable for Fund Shares Redeemed | 180,019 | 70,078 | 22,248 | |||||||||
Investment Advisory Fees Payable | 177,274 | 55,831 | 36,239 | |||||||||
Transfer Agent and Administrative Fees Payable | 49,243 | 15,509 | 10,066 | |||||||||
Distribution and Service Fees Payable | 49,243 | 15,509 | 10,066 | |||||||||
Portfolio Accounting Fees Payable | 19,697 | 6,203 | 4,027 | |||||||||
Custody Fees Payable | 6,964 | 2,047 | 1,332 | |||||||||
Other Accrued Fees | 232,910 | 60,230 | 48,724 | |||||||||
Total Liabilities | 715,350 | 225,407 | 132,702 | |||||||||
Net Assets | $ | 213,072,435 | $ | 66,803,171 | $ | 43,542,178 | ||||||
Net Assets Consist Of | ||||||||||||
Paid-In Capital | $ | 259,004,399 | $ | 73,528,159 | $ | 60,399,202 | ||||||
Undistributed Net Investment Income | 234,209 | 1,302,306 | 815,264 | |||||||||
Accumulated Net Realized Loss on Investments | (54,394,393 | ) | (10,646,417 | ) | (19,192,985 | ) | ||||||
Net Unrealized Appreciation on Investments | 8,228,220 | 2,619,123 | 1,520,697 | |||||||||
Net Assets | $ | 213,072,435 | $ | 66,803,171 | $ | 43,542,178 | ||||||
Shares Outstanding | 7,099,545 | 3,074,908 | 2,035,244 | |||||||||
Net Asset Values | $ | 30.01 | $ | 21.73 | $ | 21.39 | ||||||
Cost of Investments | $ | 205,399,445 | $ | 64,189,555 | $ | 42,011,710 |
18 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
STATEMENTS OF OPERATIONS
Year Ended December 31, 2009
Amerigo | Clermont | Berolina | ||||||||||
Fund | Fund | Fund | ||||||||||
Investment Income | ||||||||||||
Interest | $ | — | $ | 236,030 | $ | 210,895 | ||||||
Dividends, Net of Foreign Tax Withheld | 3,597,960 | 1,979,595 | 1,220,736 | |||||||||
Dividends from Affiliated Funds | 75,993 | 7,149 | 4,769 | |||||||||
Other Income | — | — | 1,210 | |||||||||
Total Income | 3,673,953 | 2,222,774 | 1,437,610 | |||||||||
Expenses | ||||||||||||
Investment Advisory Fees | 1,822,131 | 488,864 | 381,604 | |||||||||
Transfer Agent and Administrative Fees | 506,148 | 135,796 | 106,001 | |||||||||
Audit and Outside Service Fees | 325,144 | 77,106 | 68,499 | |||||||||
Portfolio Accounting Fees | 202,458 | 54,318 | 42,400 | |||||||||
Trustees’ Fees* | 28,076 | 6,590 | 5,947 | |||||||||
Service Fees | 506,148 | 135,796 | 106,001 | |||||||||
Custody Fees | 58,967 | 15,331 | 12,410 | |||||||||
Miscellaneous | (8,770 | ) | 6,667 | (1,985 | ) | |||||||
Total Expenses | 3,440,302 | 920,468 | 720,877 | |||||||||
Net Investment Income | 233,651 | 1,302,306 | 716,733 | |||||||||
Realized And Unrealized Gain (Loss) On Investments | ||||||||||||
Net Realized Loss on: | ||||||||||||
Investment Securities | (18,789,230 | ) | (2,676,519 | ) | (7,403,723 | ) | ||||||
Total Net Realized Loss | (18,789,230 | ) | (2,676,519 | ) | (7,403,723 | ) | ||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investment Securities | 84,567,045 | 12,544,393 | 19,431,125 | |||||||||
Net Change in Unrealized Appreciation (Depreciation) | 84,567,045 | 12,544,393 | 19,431,125 | |||||||||
Net Gain on Investments | 65,777,815 | 9,867,874 | 12,027,402 | |||||||||
Net Increase in Net Assets from Operations | $ | 66,011,466 | $ | 11,170,180 | $ | 12,744,135 | ||||||
Foreign Tax Withheld | $ | — | $ | — | $ | 5 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 19 |
STATEMENTS OF CHANGES IN NET ASSETS
Amerigo Fund | Clermont Fund | |||||||||||||||
Year | Year | Year | Year | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
From Operations | ||||||||||||||||
Net Investment Income | $ | 233,651 | $ | 1,161,369 | $ | 1,302,306 | $ | 1,340,035 | ||||||||
Net Realized Loss on Investments | (18,789,230 | ) | (34,973,443 | ) | (2,676,519 | ) | (7,632,196 | ) | ||||||||
Net Change in Unrealized | ||||||||||||||||
Appreciation (Depreciation) on Investments | 84,567,045 | (132,185,284 | ) | 12,544,393 | (15,254,103 | ) | ||||||||||
Net Increase (Decrease) in Net Assets from Operations | 66,011,466 | (165,997,358 | ) | 11,170,180 | (21,546,264 | ) | ||||||||||
Distributions to Shareholders from:* | ||||||||||||||||
Net Investment Income | (1,134,816 | ) | (953,283 | ) | (1,340,021 | ) | (650,300 | ) | ||||||||
Net Realized Gain on Investments | — | (4,735,912 | ) | — | (909,727 | ) | ||||||||||
Total Distributions to Shareholders | (1,134,816 | ) | (5,689,195 | ) | (1,340,021 | ) | (1,560,027 | ) | ||||||||
Share Transactions | ||||||||||||||||
Proceeds from Shares Purchased | 24,800,289 | 85,058,638 | 29,360,353 | 34,231,270 | ||||||||||||
Value of Shares Purchased through Dividend Reinvestment | 1,134,816 | 5,689,195 | 1,340,021 | 1,560,027 | ||||||||||||
Cost of Shares Redeemed | (82,617,381 | ) | (78,876,030 | ) | (20,986,699 | ) | (27,689,440 | ) | ||||||||
Net Increase (Decrease) in Net Assets From Share Transactions | (56,682,276 | ) | 11,871,803 | 9,713,675 | 8,101,857 | |||||||||||
Net Increase (Decrease) in Net Assets | 8,194,374 | (159,814,750 | ) | 19,543,834 | (15,004,434 | ) | ||||||||||
Net Assets—Beginning Of Period | 204,878,061 | 364,692,811 | 47,259,337 | 62,263,771 | ||||||||||||
Net Assets—End of Period | $ | 213,072,435 | $ | 204,878,061 | $ | 66,803,171 | $ | 47,259,337 | ||||||||
Undistributed Net Investment Income— End of Period | $ | 234,209 | $ | 1,135,397 | $ | 1,302,306 | $ | 1,340,035 | ||||||||
* | For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains. |
20 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
Berolina Fund | |||||||||
Year | Year | ||||||||
Ended | Ended | ||||||||
December 31, | December 31, | ||||||||
2009 | 2008 | ||||||||
$ | 716,733 | $ | 968,717 | ||||||
(7,403,723 | ) | (11,683,836 | ) | ||||||
19,431,125 | (24,539,979 | ) | |||||||
12,744,135 | (35,255,098 | ) | |||||||
(961,298 | ) | (824,090 | ) | ||||||
— | (852,832 | ) | |||||||
(961,298 | ) | (1,676,922 | ) | ||||||
7,839,991 | 20,454,297 | ||||||||
961,298 | 1,676,922 | ||||||||
(20,458,393 | ) | (26,704,126 | ) | ||||||
(11,657,104 | ) | (4,572,907 | ) | ||||||
125,733 | (41,504,927 | ) | |||||||
43,416,445 | 84,921,372 | ||||||||
$ | 43,542,178 | $ | 43,416,445 | ||||||
$ | 815,264 | $ | 964,113 | ||||||
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 21 |
FINANCIAL HIGHLIGHTS
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.
Net Increase | RATIOS TO | |||||||||||||||||||||||||||||||||||||||||||||||||||
NET ASSET | Net Realized | (Decrease) in Net | Distributions | Distributions | NET ASSET | AVERAGE NET ASSETS: | Net Assets, | |||||||||||||||||||||||||||||||||||||||||||||
VALUE, | Net | and Unrealized | Asset Value | from Net | from Net | VALUE, | Total | Net | Portfolio | End of | ||||||||||||||||||||||||||||||||||||||||||
BEGINNING | Investment | Gains (Losses) | Resulting from | Investment | Realized | Total | END OF | Investment | Total | Investment | Turnover | Period (000’s | ||||||||||||||||||||||||||||||||||||||||
Year Ended | OF PERIOD | Income† | on Investments | Operations | Income§ | Gains§ | Distributions | PERIOD | Return††† | Expenses†† | Income | Rate | omitted) | |||||||||||||||||||||||||||||||||||||||
Amerigo Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | $ | 21.64 | $ | .03 | $ | 8.49 | $ | 8.52 | $ | (.15) | $ | — | $ | (.15) | $ | 30.01 | 39.41% | 1.71% | 0.12% | 102% | $ | 213,072 | ||||||||||||||||||||||||||||||
December 31, 2008 | 39.13 | .12 | (17.01) | (16.89) | (.10) | (.50) | (.60) | 21.64 | (43.09)% | 1.65% | 0.36% | 103% | 204,878 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 35.83 | .12 | 4.85 | 4.97 | (.14) | (1.53) | (1.67) | 39.13 | 13.77% | 1.63% | 0.32% | 88% | 364,693 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 34.78 | .21 | 4.06 | 4.27 | (.03) | (3.19) | (3.22) | 35.83 | 12.30% | 1.64% | 0.57% | 299% | 279,410 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 32.18 | .05 | 2.94 | 2.99 | (.04) | (.35) | (.39) | 34.78 | 9.35% | 1.64% | 0.15% | 82% | 196,493 | |||||||||||||||||||||||||||||||||||||||
Clermont Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 18.09 | .47 | 3.61 | 4.08 | (.44) | — | (.44) | 21.73 | 22.58% | 1.70% | 2.41% | 128% | 66,803 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 26.79 | .51 | (8.60) | (8.09) | (.25) | (.36) | (.61) | 18.09 | (30.07)% | 1.66% | 2.19% | 149% | 47,259 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 29.90 | .53 | 1.40 | 1.93 | (.61) | (4.43) | (5.04) | 26.79 | 6.23% | 1.64% | 1.73% | 163% | 62,264 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 29.41 | .46 | 1.98 | 2.44 | (.64) | (1.31) | (1.95) | 29.90 | 8.34% | 1.63% | 1.51% | 197% | 99,809 | |||||||||||||||||||||||||||||||||||||||
December 31, 2005 | 28.57 | .33 | .78 | 1.11 | (.17) | (.10) | (.27) | 29.41 | 3.92% | 1.64% | 1.15% | 129% | 108,667 | |||||||||||||||||||||||||||||||||||||||
Berolina Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 16.11 | .31 | 5.45 | 5.76 | (.48) | — | (.48) | 21.39 | 35.79% | 1.71% | 1.70% | 131% | 43,542 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 28.98 | .32 | (12.56) | (12.24) | (.31) | (.32) | (.63) | 16.11 | (42.14)% | 1.66% | 1.32% | 120% | 43,391 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 25.55 | .34 | 3.48 | 3.82 | — | (.39) | (.39) | 28.98 | 14.91% | 1.62% | 1.22% | 171% | 84,921 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006* | 25.00 | .40 | .34 | .74 | (.19) | — | (.19) | 25.55 | 2.96% | 1.63% | ** | 10.65% | ** | 13% | 19,989 |
* | Since the commencement of operations: November 10, 2006. | |
** | Income ratios for the year ended December 31, 2006 were calculated for an abbreviated time frame and are not indicative of future class performance, and are annualized. | |
† | Calculated using the average daily shares outstanding. | |
†† | Does not include expenses of the underlying funds in which the Funds invest. | |
††† | Total investment return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. | |
§ | For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains. |
22 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS
1. Organization and Significant Accounting Policies Organization
The Rydex Variable Trust (the “Trust”), a Delaware business trust, is registered with the SEC under the Investment Company Act of 1940 (the “1940 Act”) as a non-diversified, open-ended investment company and is authorized to issue an unlimited number of shares (no par value). The Trust offers shares of the Funds to insurance companies for their variable annuity and variable life insurance contracts.
At December 31, 2009, the Trust consisted of fifty-seven separate funds. This report covers the CLS AdvisorOne Funds (the “Funds”), while the other Funds are contained in separate reports.
Each Fund invests primarily in Exchange Traded Funds (“ETFs”) (“underlying funds”), acting similar to a “fund of funds”. The Funds seek to achieve their investment objectives by investing in underlying funds, in conjunction with a sparse amount of additional securities.
Rydex Investments provides advisory, transfer agent and administrative services, and accounting services to the Trust. Rydex Distributors, Inc. (the “Distributor”) acts as principal underwriter for the Trust. Both Rydex Investments and the Distributor are affiliated entities.
CLS Investment Firm, LLC serves as investment sub-advisor to the Funds and is responsible for the day-to-day management of each Fund’s portfolio.
Significant Accounting Policies
The following significant accounting policies and the preparation of financial statements are in conformity with U.S. generally accepted accounting principles and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. The information contained in these notes may not apply to every Fund in the Trust.
A. Open-ended investment companies (“Mutual Funds”) are valued at their Net Asset Value (the “NAV”) as of the close of business, usually 4:00 p.m. on the valuation date. ETFs and closed-end investment companies (“closed-end funds”) are valued at the last quoted sales price.
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. (Eastern Time) on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date. Debt securities with a maturity greater than 60 days from origination are valued at the last traded fill price at the close of business, unless no trades were executed. If there are no trades, a debt security is valued at the reported bid price, at the close of business. Short-term debt securities, if any, with a maturity date of 60
days or less are valued at amortized cost, which approximates market value.
Investments for which market quotations are not readily available are fair valued as determined in good faith by Rydex Investments under the direction of the Board of Trustees using methods established or ratified by the Board of Trustees. These methods include, but are not limited to: (i) general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market; and (iii) other information and considerations, including current values in related-markets.
B. Securities transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. Distributions received from investments in funds are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer.
C. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles.
D. The Funds may also purchase American Depository Receipts, U.S. Government securities, and enter into repurchase agreements.
E. The Funds may leave cash overnight in their cash account with the custodian, U.S. Bank. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate.
F. Throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
2. Financial Instruments
As part of their investment strategies, the Funds, as well as the underlying funds they invest in, may utilize short sales and a variety of derivative instruments, including options, futures, options on futures, structured notes, and swap
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 23 |
NOTES TO FINANCIAL STATEMENTS (continued)
agreements. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities.
A short sale is a transaction in which a Fund sells an equity or fixed income security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, that Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, that Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
The risk associated with purchasing options is limited to the premium originally paid. The risk in writing a covered call option is that a Fund may forego the opportunity for profit if the market price of the underlying security increases and 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 the underlying security decreases and the option is exercised. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty’s inability to perform.
There are several risks in connection with the use of futures contracts. Risks may be caused by an imperfect correlation between movements in the price of the instruments and the price of the underlying securities. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
There are several risks associated with the use of structured notes. Structured notes are leveraged, thereby providing an exposure to the underlying benchmark greater than the face amount and increasing the volatility of each note relative to the change in the underlying linked financial instrument. A highly liquid secondary market may not exist for the structured notes a Fund invests in, which may make it difficult for that Fund to sell the structured notes it holds at an acceptable price or to accurately value them. In addition, structured notes are subject to the risk that the counterparty to the instrument, or issuer, might not pay interest when due or repay principal at maturity of the obligation. Although the Trust will not invest in any structured notes unless Rydex Investments believes that the issuer is creditworthy, a Fund does bear the risk of loss of the amount expected to be received in the event of the default or bankruptcy of the issuer.
There are several risks associated with the use of swap agreements that are different from those associated with ordinary portfolio securities transactions, due to the fact they could be considered illiquid. Although the Trust will not enter into any swap agreement unless Rydex Investments believes that the other party to the transaction is creditworthy, the Funds bear the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of the agreement counterparty.
There are several risks associated with credit default swaps. Credit default swaps involve the exchange of a fixed-rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a “guarantor,” receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return, the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. A Fund may enter into credit default swaps in which that Fund or its counterparty acts as guarantor. By acting as the guarantor of a swap, that Fund assumes the market and credit risk of the underlying instrument, including liquidity and loss of value.
In conjunction with the use of short sales, options, futures, options on futures, and swap agreements, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes, or the repurchase agreements allocated to each Fund.
The risks inherent in the use of short sales, options, futures contracts, options on futures contracts, structured notes, and swap agreements, include i) adverse changes in the value of such instruments; ii) imperfect correlation between the price of the instruments and movements in the price of the underlying securities, indices, or futures contracts; iii) the possible absence of a liquid secondary market for any particular instrument at any time; and iv) the potential of counterparty default. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
3. Fees And Other Transactions With Affiliates
Under the terms of an investment advisory contract, the Trust pays Rydex Investments investment advisory fees calculated at an annual percentage rate of 0.90% of the average daily net assets of each Fund.
Rydex Investments pays the Sub-Advisor out of the advisory fees it receives. In addition, Rydex Investments bears all of its own costs associated with providing these services and the expenses of the Trustees that are affiliated with Rydex Investments. Rydex Investments may make payments from its own resources to broker-dealers and other financial institutions in connection with the sale of Fund shares.
Each Fund indirectly bears a proportionate share of the total operating expenses (including investment management, shareholder servicing, custody, transfer agency, audit and other underlying fund expenses) of the underlying funds in which the Fund invests. Rydex Investments provides transfer agent and administrative services to the Funds calculated at an annual percentage rate of 0.25% of the average daily net assets of each Fund.
24 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
Rydex Investments also provides accounting services to the Funds 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 of the Funds.
Rydex Investments engages external service providers to perform other necessary services for the Trust, such as auditing services, legal services, 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.
The Trust has adopted a Distribution 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.
The Board approved the use of a Distribution Plan for which the Distributor and other Service Providers may receive compensation. If a Service Provider provides distribution services, the Trust will pay distribution fees to the Distributor at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. The Distributor, in turn, will pay the Service Provider out of its fees. The Distributor may, at its discretion, retain a portion of such payments to compensate itself for distribution services. Although approved, for the period ended December 31, 2009, this plan was not utilized.
Certain officers and trustees of the Trust are also officers of Rydex Investments and the Distributor.
4. Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code (IRC) applicable to regulated investment companies and will distribute substantially all net investment income and capital gains to shareholders.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated 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.
The Advisor entered into a Closing Agreement with the Internal Revenue Service (IRS) on behalf of the Amerigo Fund and the Berolina Fund in order to resolve an uncertainty regarding the treatment of gains realized in 2008 on the disposition of certain securities for purposes of complying with the income qualification test under Subchapter M of the IRC. In accordance with the terms of the Closing Agreement and its Advisory Agreement, the Advisor paid a compliance fee related to this matter as final resolution. The Funds did not bear any expense.
Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (fiscal years 2006 — 2009), and has concluded that no provision for income tax is required in the Funds’ financial statements.
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 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 may include net operating losses not utilized during the current period and capital loss carryforward expired. These reclassifications have no effect on net assets or net asset values per share. Any undistributed ordinary income or long-term capital gain remaining at fiscal year end is distributed in the following year.
Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains.
The tax character of distributions paid during 2009 was as follows:
Ordinary | Long-Term | Total | ||||||||||
Fund | Income | Capital Gain | Distributions | |||||||||
Amerigo Fund | $ | 1,134,816 | $ | — | $ | 1,134,816 | ||||||
Clermont Fund | 1,340,021 | — | 1,340,021 | |||||||||
Berolina Fund | 961,298 | — | 961,298 | |||||||||
The tax character of distributions paid during 2008 was as follows: | ||||||||||||
Fund | Ordinary Income | Long-Term Capital Gain | Total Distributions | |||||||||
Amerigo Fund | $ | 3,038,794 | $ | 2,650,401 | $ | 5,689,195 | ||||||
Clermont Fund | 650,300 | 909,727 | 1,560,027 | |||||||||
Berolina Fund | 1,664,277 | 12,645 | 1,676,922 |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 25 |
NOTES TO FINANCIAL STATEMENTS (continued)
The tax character of distributable earnings/(accumulated losses) at December 31, 2009 was as follows:
Undistributed | Undistributed | |||||||||||||||
Ordinary | Long-Term | Net Unrealized | Capital Loss | |||||||||||||
Fund | Income | Capital Gain | Appreciation | Carryforward | ||||||||||||
Amerigo Fund | $ | 233,651 | $ | — | $ | 6,599,244 | $ | (52,764,859)1 | ||||||||
Clermont Fund | 1,302,306 | — | 2,177,074 | (10,204,368)1 | ||||||||||||
Berolina Fund | 716.733 | — | 1,374,494 | (18,948,251)1 |
Capital Loss Carryforward amounts may be limited due to U.S. Treasury Regulations.
1 | A summary of the expiration of the aforementioned Capital Loss Carryforward is as follows: |
Total | ||||||||||||||||
Expires in | Expires in | Capital Loss | ||||||||||||||
Fund | 2016 | 2017 | Carryforward | |||||||||||||
Amerigo Fund | $ | (32,900,353 | ) | $ | (19,864,506 | ) | $ | (52,764,859 | ) | |||||||
Clermont Fund | (7,138,545 | ) | (3,065,823 | ) | (10,204,368 | ) | ||||||||||
Berolina Fund | (7,356,665 | ) | (11,591,586 | ) | (18,948,251 | ) |
At December 31, 2009 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 | ||||||||||||
Amerigo Fund | $ | 207,028,421 | $ | 16,668,949 | $ | (10,069,705 | ) | $ | 6,599,244 | |||||||
Clermont Fund | 64,631,604 | 3,962,015 | (1,784,941 | ) | 2,177,074 | |||||||||||
Berolina Fund | 42,157,913 | 3,485,015 | (2,110,521 | ) | 1,374,494 |
5. Fair Value Measurement
In accordance with U.S. generally accepted accounting principles fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:
Level 1 — | quoted prices in active markets for identical securities. |
Level 2 — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the inputs used to value the Funds’ net assets at December 31, 2009:
Level 1 | Level 2 | Level 3 | ||||||||||||||
Investments | Investments | Investments | ||||||||||||||
Fund | In Securities | In Securities | In Securities | Total | ||||||||||||
Assets | ||||||||||||||||
Amerigo Fund | $ | 213,627,665 | $ | — | $ | — | $ | 213,627,665 | ||||||||
Clermont Fund | 61,754,174 | 5,054,504 | — | 66,808,678 | ||||||||||||
Berolina Fund | 39,433,661 | 4,098,746 | — | 43,532,407 |
26 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
6. Securities Transactions
During the year ended December 31, 2009 purchases and sales of investment securities, excluding short-term and temporary cash investments, were:
Amerigo | Clermont | Berolina | ||||||||||
Fund | Fund | Fund | ||||||||||
Purchases | $ | 204,518,143 | $ | 79,499,554 | $ | 55,027,352 | ||||||
Sales | 261,843,923 | 69,685,200 | 66,912,422 |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 27 |
NOTES TO FINANCIAL STATEMENTS (continued)
7. Share Transactions
The Trust is authorized to issue an unlimited number of shares (no par value). Transactions in shares for the years presented were:
Shares 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, | |||||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | |||||||||||||||||||||||||
Amerigo Fund | 987,651 | 2,452,832 | 38,481 | 274,177 | (3,392,250) | (2,581,580) | (2,366,118) | 145,429 | ||||||||||||||||||||||||
Clermont Fund | 1,477,619 | 1,431,071 | 61,981 | 90,594 | (1,077,072) | (1,233,274) | 462,528 | 288,391 | ||||||||||||||||||||||||
Berolina Fund | 443,218 | 785,239 | 45,131 | 108,679 | (1,147,350) | (1,129,943) | (659,001) | (236,025) |
28 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (concluded)
8. Line of Credit
The Trust has secured an uncommitted, $75,000,000 line of credit with U.S. Bank, N.A. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly. The maximum loan amount outstanding per Fund should be the lesser of: an amount which, when added to the total of other outstanding loan amounts under this agreement, exceeds the total line of credit, 33 1/3% of a Fund’s net assets, 33 1/3% of a Fund’s assets held by the Custodian or 33 1/3% of the sum of a Fund’s securities on any given day. This line of credit expires on June 15, 2010. As of and for the year ended December 31, 2009, the Funds did not have any outstanding borrowings under this agreement.
9. New Accounting Pronouncements
In January 2010, the Financial Accounting Standards Board issued an Accounting Standards Update, Improving Disclosures about Fair Value Measurements, which introduces new disclosure requirements and clarifies certain existing disclosure requirements around fair value measurements currently presented in Note 7. The new disclosures and clarifications of existing disclosures are generally effective for the Funds’ year ending December 31, 2010 and interim periods therein. Management is evaluating the impact of this update on its current disclosures.
10. Subsequent Events
Management has evaluated events or transactions that may have occurred since December 31, 2009, that would merit recognition or disclosure in the financial statements. This evaluation was completed through February 25, 2010, the date the financial statements were available to be issued.
On February 15, 2010, Security Benefit Mutual Holding Company (“SBMHC”), the parent company of Security Benefit Corporation (“SBC”) and the ultimate parent company of Rydex Investments, entered into a Purchase and Sale Agreement whereby Guggenheim SBC Holdings LLC (“Guggenheim Holdings”) will, subject to regulatory approval, policyholder approval and approval by the shareholders of the mutual funds and exchange traded funds sponsored by affiliates of SBMHC, purchase all of the issued and outstanding stock of SBC (the “SBC Purchase Transaction”). The SBC Purchase Transaction would result in a change of control of Rydex Investments whereby SBC and its subsidiaries would be wholly-owned by Guggenheim Holdings. If the SBC Purchase Transaction does not close, other than as a result of a breach by Guggenheim Holdings or for certain other reasons, then SBC will sell its asset management business to Guggenheim Holdings, which would include Rydex Investments and would result in a change of control of Rydex Investments. The sale of SBC’s asset management business, like the SBC Purchase Transaction, would be subject to regulatory approval and approval by the shareholders of the mutual funds and exchange traded funds sponsored by affiliates of SBMHC.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 29 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders
of Rydex Variable Trust:
of Rydex Variable Trust:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Amerigo Fund, Clermont Fund and Berolina Fund (three of the series constituting the Rydex Variable Trust) (the “Funds”) as of December 31, 2009, and the related statements of operations for the year then ended, and the statements of changes in net assets and financial highlights for each of the two years in the period then ended. These financial statements and financial highlights are the respon- sibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for each of the periods presented through December 31, 2007 were audited by other auditors, whose report dated February 25, 2008 expressed an unqualified opinion on those financial highlights.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2009, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above listed Funds at December 31, 2009, the results of their operations for the year then ended, and the changes in their net assets and their financial highlights for each of the two years in the period then ended, in conformity with U.S. generally accepted accounting principles.
McLean, Virginia
February 25, 2010
February 25, 2010
30 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
OTHER INFORMATION (Unaudited)
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 are 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 Agreements
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 (including any sub-advisory agreement) be specifically approved (1) by the vote of the trustees or by a vote of the shareholders of the fund, and (2) by the vote of a majority of the trustees who are not parties to the investment advisory agreement (or sub-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 (or sub-advisory agreement). In addition, the U.S. 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 (or renew) an investment advisory agreement (or sub-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 (including sub-advisory agreements) between Rydex Variable Trust (the “Trust”) and PADCO Advisors II, Inc., which does business under the name Rydex Investments (“Rydex Investments”) (the “Advisory Agreements”), with respect to existing funds in the Trust (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. This information is 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 (including sub-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 an in-person meeting held on August 25, 2009, called for the purpose of among other things, voting on the renewal of the Advisory Agreements, the Board, including all of the Independent Trustees (the “Annual Renewal Meeting”), considered and approved the selection of Rydex Investments as the Funds’ investment advisor and the continuance of the Advisory Agreements for an additional one-year period, based on its review of qualitative and quantitative information provided by Rydex Investments.
Board Considerations in Approving the Continuation of the 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 and compliance procedures applicable to personal securities transactions; (j) Rydex Investments’ reputation, expertise and resources in the 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
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OTHER INFORMATION (Unaudited) (continued)
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 Advisory Agreements are fair and reasonable; (b) concluded that Rydex Investments’ fees were reasonable in light of the services that Rydex Investments provides to each of the Funds; and (c) agreed to renew the Advisory Agreements for an additional one-year term.
In approving the continuation of the Advisory 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 the Adviser
At the Annual Renewal Meeting, the Board reviewed the scope of services to be provided by Rydex Investments under the Advisory Agreements 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 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 Advisory 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. In addition, the Board reviewed and considered certain of the Funds’ investment in wholly-owned and controlled Cayman Islands subsidiaries (each a “Subsidiary”), and noted that each Subsidiary has entered into a separate advisory agreement with Rydex Investments for the management of that Subsidiary’s portfolio pursuant to which the Subsidiary pays Rydex Investments a management fee at the same rate that the Subsidiary’s corresponding Fund pays Rydex Investments. The Board noted that Rydex Investments has contractually agreed to waive the management fee it receives from each Fund in an amount equal to the management fee paid to Rydex Investments by each Fund’s Subsidiary and that the contractual fee waiver will continue in effect for so long as each Fund invests in its Subsidiary. The Board further noted that the contractual fee waiver may not be terminated by Rydex Investments unless the Board approves such termination. The Board 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. 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 Advisory 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 benchmark 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 lack of a sizeable peer group for certain 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 also noted that the investment advisory fees for the Funds generally 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 Advisory Agreements.
32 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
OTHER INFORMATION (Unaudited) (continued)
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 Advisory 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 Advisory 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 the Advisory Agreements did not provide 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.
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.
Board Considerations in Approving the Continuation of the Sub-Advisory Agreements
Rydex Investments and CLS Investment Firm, LLC (“CLS”) are parties to a sub-advisory agreement dated January 18, 2008 (the “CLS Sub-Advisory Agreement”), pursuant to which CLS provides investment sub-advisory services to the Trust’s CLS AdvisorOne Amerigo Fund, CLS AdvisorOne Berolina Fund, and CLS AdvisorOne Clermont Fund (the “CLS Funds”). Rydex Investments and Valu-Trac Investment Management, Limited (“Valu-Trac”) are parties to a sub-advisory agreement dated March 14, 2008 (the “Valu-Trac Sub-Advisory Agreement”), pursuant to which Valu-Trac provides investment sub-advisory services to the Trust’s International Opportunity Fund. CLS and Valu-Trac may be referred to each as a “Sub-Adviser” and together as the “Sub-Advisers.” The CLS Sub-Advisory Agreement and the Valu-Trac Sub-Advisory Agreement may be referred to together as the “Sub-Advisory Agreements.”
In addition to the CLS Sub-Advisory Agreement and Valu-Trac Sub-Advisory Agreement discussed above, the Board also has approved a sub-advisory agreement between Rydex Investments and Security Global Investors, LLC, on behalf of the Trust’s Global Market Neutral Fund (the “SGI Sub-Advisory Agreement”). However, the Global Market Neutral Fund has not yet commenced operations and, therefore, SGI has not yet provided any sub-advisory services pursuant to the SGI Sub-Advisory Agreement. Once in effect and subject to the terms and conditions provided for in the SGI Sub-Advisory Agreement, the SGI Sub-Advisory Agreement will remain in effect for an initial two year term from the date of the SGI Sub-Advisory Agreement and will remain in effect for periods of one year thereafter subject to Board approval.
In preparation for the Annual Renewal Meeting, the Board requested and received written materials from the Sub-Advisers and Rydex Investments about: (a) the quality of each Sub-Adviser’s investment management and other services; (b) each Sub-Adviser’s investment management personnel; (c) each Sub-Adviser’s operations and financial condition; (d) each Sub-Adviser’s brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that each Sub-Adviser receives from Rydex Investments, for providing sub-advisory services to the CLS Funds
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 33 |
OTHER INFORMATION (Unaudited) (concluded)
and the International Opportunity Fund, as applicable; (f) each CLS Fund’s and the International Opportunity Fund’s overall fees and operating expenses compared with similar mutual funds; (g) the level of each Sub-Adviser’s profitability from its Fund-related operations; (h) each Sub-Adviser’s compliance systems; (i) each Sub-Adviser’s reputation, expertise and resources in the financial markets; and (k) each CLS Fund’s and the International Opportunity Fund’s 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 Sub-Advisory Agreements are fair and reasonable; (b) concluded that the investment sub-advisory fee rates provided for in the Sub-Advisory Agreements were reasonable in light of the services that CLS and Valu-Trac provide to the CLS Funds and the International Opportunity Fund, respectively; and (c) agreed to renew the Sub-Advisory Agreements for an additional one-year term.
In approving the continuation of the Sub-Advisory 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 to be Provided by CLS and Valu-Trac
In considering the nature, extent and quality of the services to be provided by CLS and Valu-Trac, the Board reviewed the portfolio management services to be provided by CLS to the CLS Funds and Valu-Trac to the International Opportunity Fund. Among other things, the Board considered the quality of each Sub-Adviser’s portfolio management personnel. Each Sub-Adviser’s registration form (“Form ADV”) and current Code of Ethics were provided to the Board, as was the response of each Sub-Adviser to a detailed series of questions, which included among other things, information about the background and experience of the portfolio managers who would be primarily responsible for the day-to-day management of the CLS Funds and the International Opportunity Fund.
The Trustees also considered other services to be provided to the CLS Funds and the International Opportunity Fund by CLS and Valu-Trac, respectively, such as selecting broker-dealers for executing portfolio transactions, monitoring adherence to the CLS Funds’ and International Opportunity Fund’s investment restrictions, and monitoring compliance with the CLS Funds’ and International Opportunity Fund’s policies and procedures and with applicable securities regulations. Based on the factors above, as well as those discussed below, the Board concluded that it was satisfied with the nature, extent and quality of the services to be provided to the CLS Funds by CLS and to the International Opportunity Fund by Valu-Trac.
Cost of Services Provided and Economies of Scale
The Trustees reviewed reports comparing the expense ratios and sub-advisory fees to those of other comparable mutual funds and concluded that the sub-advisory fees were reasonable and the result of arm’s length negotiations, and the sub-advisory fees were comparable to those of peer funds.
Other Benefits to CLS and Valu-Trac
The Board received and considered information regarding the character and amount of other incidental benefits CLS and Valu-Trac might receive as a result of their relationship with the CLS Funds and International Opportunity Fund, respectively, including each Sub-Adviser’s soft dollar practices. The Board concluded that, taking into account any incidental benefits either Sub-Adviser might receive, the terms of the CLS Sub-Advisory Agreement and the Valu-Trac Sub-Advisory Agreement, including the compensation to be paid thereunder, were reasonable.
Based on the Board’s deliberations and its evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously: (1) concluded that the terms of each Sub-Advisory Agreement are fair and reasonable; (b) concluded that CLS’s and Valu-Trac’s fees are reasonable in light of the services that CLS and Valu-Trac will provide to the CLS Funds and the International Opportunity Fund, respectively; (c) agreed to renew each Sub-Advisory Agreement for an additional one-year term; and (d) determined that the engagement of CLS and Valu-Trac as sub-adviser to the CLS Funds and International Opportunity Fund under the terms of the CLS Sub-Advisory Agreement and Valu-Trac Sub-Advisory Agreement, respectively, is in the best interests of Shareholders.
34 | | | THE RYDEX | SGI 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.
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 | 151 | ||
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 | 151 | ||
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 | 151 | ||
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 | 151 | ||
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) | ||||
Thomas F. Lydon, Jr. | Rydex Series Funds – 2005 | 151 | ||
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 | 151 | ||
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 | 151 | ||
Trustee (1944) | Rydex Variable Trust – 1998 | |||
Rydex Dynamic Funds – 1999 | ||||
Rydex ETF Trust – 2003 | ||||
Principal Occupations During Past Five Years: Owner, Arrow Limousine |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 35 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)
EXECUTIVE OFFICERS
Name, Position and | Principal Occupations | |
Year of Birth | During Past Five Years | |
Richard M. Goldman* President (1961) | President of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Chief Executive Officer and Director of Rydex Investments (2009 to present); President, Chief Executive Officer and Director of Rydex Distributors, Inc. (2009 to present); President and Chief Executive Officer of Rydex Holdings, LLC (2009 to present); Senior Vice President of Security Benefit Corp. (2007 to present); Director of First Security Benefit Life and Annuity Insurance Company of New York (2007 to present); Director of Security Distributors, Inc. (2007 to present); President of Security Investors, LLC (2007 to present); Manager and President of Security Global Investors, LLC (2007 to present); Managing Member of R.M. Goldman Partners, LLC (2006 to 2007); President and Chief Executive Officer of FortsmannLeff Associates (2003 to 2005) | |
Michael P. Byrum* Vice President (1970) | 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); President of Rydex Investments (2004 to present); Chief Investment Officer of Rydex Investments (2006 to present); Secretary of Rydex Investments (2002 to present); Director of Rydex Investments (2008 to present); Chief Investment Officer of Rydex Holdings, LLC (2008 to present); Vice President of Rydex Distributors, Inc. (2009 to present); Manager of Rydex Specialized Products, LLC (2005 to present); Secretary of Rydex Specialized Products, LLC (2005 to 2008); Trustee of Rydex Series Funds, Rydex Variable Trust and Rydex Dynamic Funds (2005 to 2009); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2007) | |
Nick Bonos* Vice President and Treasurer (1963) | 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 (2006 to present); Chief Executive Officer of Rydex Specialized Products, LLC (2009 to present); Chief Financial Officer of Rydex Specialized Products, LLC (2005 to 2009); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006) | |
Joanna M. Haigney* Chief Compliance Officer and Secretary (1966) | Chief Compliance Officer of Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2004 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Chief Compliance Officer of Rydex Investments (2005 to present) Vice President of Compliance of Rydex Investments (2006 to present); Director of Rydex Distributors, Inc. (2009 to present); Secretary of Rydex Capital Partners SPhinX Fund (2003 to 2006) |
36 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)
EXECUTIVE OFFICERS (continued)
Name, Position and | Principal Occupations | |
Year of Birth | During Past Five Years | |
Keith Fletcher* Vice President (1958) | Vice President of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Vice President of Rydex Investments (2009 to present); Vice President of Rydex Specialized Products, LLC (2009 to present); Vice President and Director of Rydex Distributors, Inc. (2009 to present); Vice President of Security Global Investors, LLC (2009 to present) | |
Amy Lee* Vice President and Assistant Secretary (1960) | Vice President and Assistant Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Secretary of Rydex Distributors, Inc. (2008 to present); Chief Compliance Officer of Rydex Distributors, Inc. (2008 to 2009); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Corp. (2005 to present); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Life Insurance Co. (2004 to present); Assistant General Counsel of First Security Benefit Life and Annuity Company of New York (2004 to present); Chief Compliance Officer and Secretary of Security Distributors, Inc. (2004 to present); Secretary of Security Global Investors, Inc. (2007 to present); | |
Joseph Arruda* Assistant Treasurer (1966) | Assistant Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Senior Vice President of Rydex Investments (2008 to present); Vice President of Rydex Investments (2004 to 2008); Manager and Chief Financial Officer of Rydex Specialized Products, LLC (2009 to present) Director of Accounting of Rydex Investments (2003 to 2004) | |
Paula Billos* Controller (1974) | Controller of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Director of Fund Administration of Rydex Investments (2001 to present) |
* | Officers of the Funds 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. |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 37 |
DECEMBER 31 , 2009
RYDEX VARIABLE TRUST ANNUAL REPORT
OPPORTUNISTIC FUNDS
ALL-CAP OPPORTUNITY FUND
(Formerly, Sector Rotation Fund)
(Formerly, Sector Rotation Fund)
INTERNATIONAL OPPORTUNITY FUND
(Formerly, International Rotation Fund)
(Formerly, International Rotation Fund)
ALTERNATIVE INVESTMENT FUNDS
ALTERNATIVE STRATEGIES ALLOCATION FUND
MANAGED FUTURES STRATEGY FUND
MULTI-CAP CORE EQUITY FUND
MULTI-HEDGE STRATEGIES FUND
(Formerly, Absolute Return Strategies Fund)
(Formerly, Absolute Return Strategies Fund)
SPECIALTY FUND
COMMODITIES STRATEGY FUND
This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.
Distributed by Rydex Distributors, Inc.
TABLE OF CONTENTS
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 1 |
1
LETTER TO OUR SHARE HOLDERS
DEAR SHAREHOLDER,
On September 15, 2009, Federal Reserve (Fed) Chairman Ben Bernanke stated that “the recession is very likely over.” Indications are that we are in fact emerging from what has been termed the “Great Recession,” but significant risks linger due to the aftershocks of the 2008 financial and liquidity crisis.
Despite the strong advance to end the year, 2009 marked the end of one of the all-time worst decades of performance for the U.S. equity markets, with an average annual return of -.95%. However, economic trends over the last year suggest that conditions are improving. One sign is an exceptionally strong equity market. From March 9 (the market’s low point) until the end of 2009, the U.S. equity market was up 67.80% as measured by the S&P 500® Index. Strong equity returns across multiple indices, including the MSCI EAFE Index® (up 32.43% for the year), reflected investors’ increased appetite for risk.
More signs of economic improvement
Emerging markets posted even stronger returns—the MSCI Emerging Markets Index, for instance, was up 78.58% in 2009. Additionally, all 10 underlying economic sectors posted positive returns during the one-year period, with information technology (59.92%) and materials (45.22%) leading the way. Among the laggards for the year, utilities (6.80%) and telecom (2.63%) still managed to produce positive returns. Along with traditional assets, hedge fund managers enjoyed the favorable market environment in 2009 with returns of 20.04% as measured by the HFRI Fund Weighted Composite Index, which is an equal weighted index of more than 2,000 single manager hedge funds. Those strong returns were in contrast to a poor showing in 2008, when the composite index was down 19%. Another good sign: After a significant spike at the height of the financial crisis in the fall of 2008, implied market volatility levels as measured by the VIX Index have steadily trended down to more normal levels.
Improving housing conditions and increases in consumer spending—combined with significant reduction of inventories—lifted the U.S. economy out of recession in the third quarter of 2009. Real GDP grew at a rate of 2.2% for the quarter. U.S. consumer confidence, as measured by the Conference Board Consumer Confidence Index, rose in December to 52.9—the second straight month of improvement. Consumer outlook has improved somewhat from early in 2009, although concerns relating to the job market continue to weigh on consumers. Another sign of stronger economic conditions is existing home sales, which continued to improve—in November, existing home sales increased 7.4% from the prior month.
Reasons for caution in 2010
While many indicators are positive, certain risks remain. One of the major areas of concern is U.S. employment. The pace of job losses has slowed considerably from late 2008 and early 2009, when the change to non-farm payrolls shed as much as 741,000 jobs in a month. However, in December, despite modest growth in the prior month, 85,000 jobs were lost. The unemployment rate remained unchanged at 10% only due to the fact that the labor force declined by 661,000 workers.
Looking at 2010, some questions remain. How (and in what timeframe) will the Fed orchestrate an exit to the massive amount of quantitative easing it has implemented? Will inflationary pressures force the Fed to raise rates prematurely or will excess productive capacity counter those risks? How will the government grapple with deficit issues while promoting job growth necessary to support the fragile economy?
So far, the Fed has signaled that it will maintain an “exceptionally low” interest rate target for some time—in fact, there is a reasonable chance that the Fed will not increase rates until early 2011. If financial conditions continue to improve, the Fed will not need to further expand its credit easing policies and may begin an orderly exit to the existing programs. The major risks for the U.S. economy include long-run
2 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
LETTER TO OUR SHARE HOLDERS (concluded)
negative implications to carrying large budget deficits. Labor conditions also factor largely into the equation, with the risk of continued rising unemployment undermining the economic recovery.
In any case, the broad array of product offerings at Rydex|SGI can help investors either hedge or augment exposures to the equity or fixed-income markets, as well as introduce alternative assets and strategies into a portfolio to improve overall diversification. Thank you for the trust you place in us.
Sincerely,
Michael Byrum
President & Chief Investment Officer
President & Chief Investment Officer
Performance displayed represents past performance, which is no guarantee of future results.
Fund performance is subject to daily market volatility and may be better or worse since the end of the last quarter. For up-to-date fund performance, call 800.820.0888 or visit www.rydex-sgi.com.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 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, 2009 and ending December 31, 2009.
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 illustrated 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 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)
Beginning | Ending | Expenses | ||||||||||||||
Expense | Account Value | Account Value | Paid During | |||||||||||||
Ratio | † | June 30, 2009 | December 31, 2009 | Period | * | |||||||||||
Table 1. Based on actual Fund return | ||||||||||||||||
All-Cap Opportunity Fund | 1.70% | $1,000.00 | $1,225.50 | $ 9.54 | ||||||||||||
International Opportunity Fund | 1.69% | 1,000.00 | 1,263.40 | 9.64 | ||||||||||||
Alternative Strategies Allocation Fund†† | 0.00% | 1,000.00 | 1,026.60 | — | ||||||||||||
Managed Futures Strategy Fund | 2.20% | 1,000.00 | 994.90 | 11.06 | ||||||||||||
Multi-Cap Core Equity Fund | 1.37% | 1,000.00 | 1,221.00 | 7.67 | ||||||||||||
Multi-Hedge Strategies Fund | 1.79% | 1,000.00 | 1,018.70 | 9.11 | ||||||||||||
Commodities Strategy Fund | 1.57% | 1,000.00 | 1,051.50 | 8.12 | ||||||||||||
Table 2. Based on hypothetical 5% return (before expenses) | ||||||||||||||||
All-Cap Opportunity Fund | 1.70% | 1,000.00 | 1,016.64 | 8.64 | ||||||||||||
International Opportunity Fund | 1.69% | 1,000.00 | 1,016.69 | 8.59 | ||||||||||||
Alternative Strategies Allocation Fund†† | 0.00% | 1,000.00 | 1,025.21 | — | ||||||||||||
Managed Futures Strategy Fund | 2.20% | 1,000.00 | 1,014.12 | 11.17 | ||||||||||||
Multi-Cap Core Equity Fund | 1.37% | 1,000.00 | 1,018.30 | 6.97 | ||||||||||||
Multi-Hedge Strategies Fund | 1.79% | 1,000.00 | 1,016.18 | 9.10 | ||||||||||||
Commodities Strategy Fund | 1.57% | 1,000.00 | 1,017.29 | 7.98 |
* | 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 the number of days in the current fiscal year. Expenses shown do not include fees charged by insurance companies. | |
† | This ratio represents annualized Net Expenses, which include dividend expense from securities sold short. Excluding short dividend expense and prime broker interest expense, the operating expense ratio would be 0.64% lower for the Multi-Hedge Strategies Fund. | |
†† | Annualized and excludes expenses of the underlying funds in which the Fund invests. |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 5 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited)
ALL-CAP OPPORTUNITY FUND
(Formerly, Sector Rotation Fund)
(Formerly, Sector Rotation Fund)
OBJECTIVE: Seeks long-term capital appreciation.
Inception: May 1, 2002
For the one-year period ended December 31, 2009, Rydex All-Cap Opportunity Fund returned 27.29% as opposed to its benchmark, the Russell 3000 Index, which ended the year up 28.36%. Momentum-based strategies struggled mightily in 2009. According to CSFB, an unconstrained market neutral momentum-based stock selection strategy within the S&P 1500 would have lost more than 50% during the year. Within this environment, Rydex All-Cap Opportunity Fund trailed Russell 3000 Index by -1.07% net of fees and expenses. The Fund mitigated the potential damage due to momentum in two primary ways: First, the Fund is a long-only product. Therefore, any momentum strategy losses from the short side were not realized by the Fund. Short losses would have been significant as industries which had performed very poorly reverted strongly off of their March lows. Second, the Fund employs a short-term, three-month, momentum model in addition to a twelve-month model similar to that used by CSFB. This allowed the Fund to re-enter these reverting industries more quickly than it would have with a singly longer-term model. Within the Fund, one of the best
Cumulative Fund Performance
May 1, 2002 – December 31, 2009
May 1, 2002 – December 31, 2009
performing industries included Internet & Catalog Retail, which had an average overweight of 9.0% during 2009 and contributed +6.9% to Fund performance. Conversely, one of the Fund’s lagging industries was Energy & Equipment Services, which detracted -2.0% from Fund performance. After exhibiting a strong trend and entering the portfolio in mid-October, Energy & Equipment Services industry performance reverted and lagged other industries through year end, hurting Fund performance.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||||||
ONE | FIVE | INCEPTION | ||||||||||
YEAR | YEAR | (05/01/02) | ||||||||||
ALL-CAP OPPORTUNITY FUND† | 27.29 | % | 3.24 | % | 3.57 | % | ||||||
S&P 500 INDEX | 26.47 | % | 0.42 | % | 2.36 | % | ||||||
RUSSELL 3000 INDEX | 28.36 | % | 0.81 | % | 2.88 | % | ||||||
† | Effective August 1, 2009, the Fund changed its comparative benchmark to the Russell 3000® Index. The comparative index was changed because the Advisor believes that the Russell 3000 Index is the most appropriate index to be used for comparative purposes given the investment strategy of the Fund. |
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 Russell 3000 Index are unmanaged 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)
All-Cap Opportunity Fund
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Amazon.com, Inc. | 2.4 | % | ||
Google, Inc. — Class A | 2.4 | % | ||
Cerner Corp. | 2.1 | % | ||
American Express Co. | 2.1 | % | ||
International Paper Co. | 1.8 | % | ||
Apple, Inc. | 1.7 | % | ||
International Business Machines Corp. | 1.5 | % | ||
IMS Health, Inc. | 1.5 | % | ||
Allscripts Healthcare Solutions, Inc. | 1.5 | % | ||
Weyerhaeuser Co. | 1.4 | % | ||
Top Ten Total | 18.4 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
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PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
INTERNATIONAL OPPORTUNITY FUND
(Formerly, International Rotation Fund)
(Formerly, International Rotation Fund)
OBJECTIVE: Seeks long term capital appreciation.
Inception: March 27, 2008
After a rough start for equity markets in general in 2009, the MSCI EAFE Index bounced off its low for the year, set on March 9th, to end the year up 31.78%. The MSCI EAFE Index benefited not only from strong equity market performance in 2009, but also from a weakening dollar, as the dollar index (measured against other G10 currencies) fell by more than 4.0%. For the one-year period ended December 31, 2009, Rydex International Opportunity Fund returned 29.79%, underperforming the MSCI EAFE Index by 2.1%. Country selection contributed significant positive performance to the Fund while currency selection detracted slightly. Implementation costs and cash drag caused by substantial shareholder cash flows detracted significantly from Fund performance. Having more than a 10% average active weight to Swedish, Austrian, and Spanish equities, resulted in 5.0%, 4.4%, and 4.1% active returns, respectively. Benchmark relative under-weights to Japanese, German, and United Kingdom equities resulted in - -3.2%, -2.1%, and -2.1% active returns,
Cumulative Fund Performance
March 27, 2008 – December 31, 2009
March 27, 2008 – December 31, 2009
respectively—limiting losses to the Fund as compared to the benchmark. Adversely affecting Fund performance were relative under-weights of the British Pound and Australian Dollar which resulted in active returns of -1.6% and -1.4%, respectively.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||
ONE | INCEPTION | |||||||
YEAR | (03/27/08) | |||||||
INTERNATIONAL OPPORTUNITY FUND† | 29.79 | % | –6.21 | % | ||||
S&P 500 INDEX | 26.47 | % | –7.12 | % | ||||
MSCI WORLD EX USA INDEX | 34.39 | % | –10.04 | % | ||||
MSCI EAFE INDEX | 31.78 | % | –10.97 | % | ||||
† | Effective May 1, 2009, the Fund changed its benchmark to the MSCI EAFE Index. The comparative benchmark was changed because the Advisor believes that the MSCI EAFE Index is the most appropriate index to be used for comparative purposes given the investment strategy of the Fund. |
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index, the MSCI EAFE Index and MSCI World EX USA Index are unmanaged 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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
The Fund invests principally in exchange traded funds and in derivative instruments such as structured notes, futures contracts, and options on index futures.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 7 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
ALTERNATIVE STRATEGIES
ALLOCATION FUND
ALLOCATION FUND
OBJECTIVE: Seeks to deliver a return that has a low correlation to the returns of traditional stock and bond asset classes as well as provide capital appreciation.
Inception: May 1, 2008
Securities markets around the world rebounded in 2009, reflecting an easing of the global credit crisis and investors’ accompanying growing appetite for risk. Rydex Alternative Strategies Allocation Fund returned 0.85% in 2009, compared with a return of 26.47% for U.S. equities, as measured by the S&P 500 Index, and 0.23% for the Bellwether 3-Month Index for U.S. Treasuries. Over the one-year period, riskier asset classes turned in the strongest performances, with most alternative asset classes underperforming traditional benchmarks. Rydex Real Estate Fund returned 47.24% and PowerShares DB G10 Currency Harvest Fund (DBV) returned 21.22%. Rydex Commodities Strategy Fund returned 11.56%. Rydex Managed Futures Strategy Fund lost 3.78% and Rydex Multi-Hedge Strategies Fund lost 3.28%. Among the two new strategies launched in the middle of the year, Rydex|SGI
Cumulative Fund Performance
May 1, 2008 – December 31, 2009
May 1, 2008 – December 31, 2009
Global Market Neutral Fund H-Class (added to the Fund March 30, 2009) lost 4.43% and Rydex|SGI Long/Short Commodities Strategy Fund H-Class (opened June 25, 2009) lost 3.72%.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
ONE | Since Inception | |||||||
YEAR | (05/01/08) | |||||||
ALTERNATIVE STRATEGIES ALLOCATION FUND | 0.85 | % | –11.12 | % | ||||
S&P 500 INDEX | 26.47 | % | –10.91 | % | ||||
U.S. TREASURY BELLWETHERS: 3-MONTH INDEX | 0.23 | % | 0.82 | % | ||||
BARCLAYS CAPITAL U.S. AGGREGATE BOND INDEX | 5.93 | % | 5.42 | % | ||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index, the Barclays Capital U.S. Aggregate Bond Index and the U.S. Treasury Bellwethers: 3-Month Index are unmanaged 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)
Alternative Strategies Allocation Fund
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Holdings (% of Total Net Assets) | ||||
RVT — Managed Futures Strategy Fund | 26.1 | % | ||
RVT — Multi-Hedge Strategies Fund | 21.0 | % | ||
RSF — Global Market Neutral Fund — Class H | 19.5 | % | ||
PowerShares DB G10 Currency Harvest Fund | 18.9 | % | ||
RSF — Long/Short Commodities Strategy Fund — Class H | 6.8 | % | ||
RVT — Real Estate Fund | 4.0 | % | ||
RVT — Commodities Strategy Fund | 3.0 | % | ||
Grand Total | 99.3 | % | ||
“Holdings” exclude any temporary cash or derivative investments.
8 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
MANAGED FUTURES STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a benchmark for measuring trends in the commodity and financial futures markets. The Fund’s current benchmark is the Standard & Poor’s Diversified Trends Indicator® (“S&P DTI”). If the Fund meets its objective, the value of the Fund’s shares will tend to increase on a daily basis by the amount of any increase in the value of the benchmark. When the value of the benchmark declines, the value of the Fund’s shares should also decrease on a daily basis by the amount of any decrease in value of the benchmark.
Inception: November 7, 2008
The S&P DTI had its first down year in history last year, as a result of a mostly trend less market. The benchmark’s ability to go both long and short (with the exception of energy, which can only have a long or neutral stance) softened its decline for the period. Gold, silver and lean hogs were the most significant positive contributors to S&P DTI performance during the year, while the U.S. Long Bond, soybeans and coffee futures were among the components that contributed least to Index performance. While solid gains were made in
Cumulative Fund Performance
November 7, 2008 – December 31, 2009
November 7, 2008 – December 31, 2009
Copper and Sugar, the multiple trades in the energy space, the grain space, coffee and treasuries did little to help the Index. The Index was short the U.S. Dollar for much of the year, but not long enough to overcome these losses. Rydex Managed Futures Strategy Fund returned -3.78% for the year ended December 31, 2009, as compared to its benchmark, the S&P DTI return of -5.88%.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||
ONE | INCEPTION | |||||||
YEAR | (11/07/08) | |||||||
MANAGED FUTURES STRATEGY FUND | –3.78 | % | –6.34 | % | ||||
S&P DIVERSIFIED TRENDS INDICATOR | –5.88 | % | –8.32 | % | ||||
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P Diversified Trends Indicator is an unmanaged 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)
Managed Futures Strategy Fund | S&P Diversified Trends Indicator |
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
The Fund invests principally in exchange traded funds and in derivative instruments such as structured notes, futures contracts, and options on index futures.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 9 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
MULTI-CAP CORE EQUITY FUND
OBJECTIVE: Seeks long-term capital appreciation.
Inception: November 29, 2005
Equity markets rebounded strongly from very weak performance in 2008. For the one-year period ended December 31, 2009, Rydex Multi-Cap Core Equity Fund benefited from this comeback, returning 26.98% as compared to the Russell 3000 Index which ended the year up 28.36%. The Fund’s best performing holdings for the period included Apple which gained 147% during the year and contributed 1.26% to the Fund, Americredit which was up 304% and contributed .93% to the Fund and Western Digital which gained 286% and contributed .87% to the Fund. The worst performing holdings for the period included Exxon Mobil which lost -13% and cost the Fund -.37%, Cardiac Science Corp lost -70% and cost the Fund -.31% and Fifth Third Bank lost -71% and cost the Fund -.18%.
Cumulative Fund Performance
November 29, 2005 – December 31, 2009
November 29, 2005 – December 31, 2009
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
ONE | SINCE INCEPTION | |||||||
YEAR | (11/29/05) | |||||||
MULTI-CAP CORE EQUITY FUND | 26.98 | % | –4.15 | % | ||||
RUSSELL 3000 INDEX | 28.36 | % | –0.56 | % | ||||
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)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
Exxon Mobil Corp. | 1.0 | % | ||
Apple, Inc. | 0.9 | % | ||
Microsoft Corp. | 0.8 | % | ||
International Business Machines Corp. | 0.8 | % | ||
AT&T, Inc. | 0.8 | % | ||
JPMorgan Chase & Co. | 0.8 | % | ||
Google, Inc. — Class A | 0.8 | % | ||
Wells Fargo & Co. | 0.7 | % | ||
Bank of America Corp. | 0.7 | % | ||
Hewlett-Packard Co. | 0.6 | % | ||
Top Ten Total | 7.9 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
10 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)
MULTI-HEDGE STRATEGIES FUND
(formerly, Absolute Return Strategies Fund)
OBJECTIVE: Seeks long-term capital appreciation with less risk than traditional equity funds.
Inception: November 29, 2005
During 2009, the objective for the Fund was changed to focus on the components of hedge fund performance which provide the greatest diversification benefit to a portfolio. The old objective focused on tracking hedge fund performance in general. The new objective focuses on generating long-term capital appreciation while managing portfolio risk.
For the one-year period ended December 31, 2009, Rydex Multi-Hedge Strategies Fund returned -3.28%, as opposed to its benchmark, the HFRX Global Hedge Fund Index, which ended the year up 13.17%. Three (equity long/short, global macro and merger arbitrage) of the five hedged strategies employed by the Fund contributed positive returns to the Fund while the two others (equity market neutral and fixed income) detracted from performance. Our equity long/short exposure contributed the most to returns, +3.2%, as one would expect given the strong equity market rally. The global macro strategy also contributed positive returns to Fund performance adding +1.2%. In 2009, macro funds were down -8.8% on average according to the Investable HFR Indices. We are pleased with the performance of this strategy relative to this benchmark. Merger Arbitrage contributed +.58% to Fund performance. Our implementation of this strategy returned +6.7%, trailing the Investable HFR Merger Arbitrage Index by 1.4%. Due to individual position constraints and the low level of deal volume, our merger arbitrage portfolio was de-leveraged relative to other funds.
Equity Market Neutral struggled in 2009, detracting -2.4% from Fund performance. Momentum-based equity selection strategies had a particularly challenging year, losing more than 30%. Value- and
Cumulative Fund Performance
November 29, 2005 – December 31, 2009
November 29, 2005 – December 31, 2009
growth-based strategies did not perform as poorly, but both were in negative territory as well. In June, we transitioned to a single optimization of our equity market neutral basket from separate optimizations for value, growth and momentum. We believe this will provide a more balanced market neutral portfolio. Over the course of the second half of 2009, this portfolio returned +1.5% versus a loss of -2.2% for the Investable HFR Equity Market Neutral Index.
Our fixed income strategies, which consist of government bond yield and spread trades, subtracted -0.2% from Fund performance during the year. These strategies are a small component of the HFR Relative Value sub-index. While this broader index did extremely well, returning +38.5% in 2009, our lack of exposure to other elements of this index, such as Convertible Arbitrage, was the primary reason for the Fund’s underperformance of the broad Investable HFR Global index.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
ONE | SINCE INCEPTION | |||||||
YEAR | (11/29/05) | |||||||
MULTI-HEDGE STRATEGIES FUND | –3.28 | % | –3.15 | % | ||||
S&P 500 INDEX | 26.47 | % | –0.80 | % | ||||
HFRX GLOBAL HEDGE FUND INDEX | 13.17 | % | 0.15 | % | ||||
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 HFRX Global Hedge Fund Index are unmanaged 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)” excludes any temporary cash investments.
Ten Largest Holdings (% of Total Net Assets) | ||||
BJ Services Co. | 1.5 | % | ||
Sun Microsystems, Inc. | 1.4 | % | ||
Affiliated Computer Services, Inc. — Class A | 1.3 | % | ||
Marvel Entertainment, Inc. | 1.2 | % | ||
Varian, Inc. | 1.1 | % | ||
Black & Decker Corp. | 1.0 | % | ||
iShares MSCI Chile Investable Market Index Fund | 0.9 | % | ||
Financial Federal Corp. | 0.9 | % | ||
PepsiAmericas, Inc. | 0.9 | % | ||
Pepsi Bottling Group, Inc. | 0.9 | % | ||
Top Ten Total | 11.1 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 11 |
PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (concluded)
COMMODITIES STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate to the performance of a benchmark for commodities. The Fund’s current benchmark is the S&P GSCI™ Commodity Index (formerly known as the S&P GSCI Total Return Index).
Inception: September 30, 2005
For the one-year period ended December 31, 2009, Rydex Commodities Strategy Fund returned 11.56%, compared with 13.49% for its benchmark, the S&P GSCI Commodity Index. The GSCI rebounded from its worst year ever in 2008 to post a modest positive return in 2009. The GSCI relied on its heavy weighting in the energy space, along with a late rally in natural gas, to post this gain. The metals space, both precious and industrial, posted solid gains with copper up over 100% and gold up 25%. Signs of an economic turnaround in the latter months of the year contributed to favorable pricing for copper, lead and zinc, the commodities that contributed the most to Fund performance for the year, while other commodities, including gold and oil were beneficiaries of
Cumulative Fund Performance
September 30, 2005 – December 31, 2009
September 30, 2005 – December 31, 2009
more favorable economic expectations. Natural gas, Kansas wheat and Chicago wheat were among the commodities that contributed the least to overall Fund performance.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
ONE | Since Inception | |||||||
YEAR | (09/30/05) | |||||||
COMMODITIES STRATEGY FUND | 11.56% | –13.40 | % | |||||
S&P 500 INDEX | 26.47% | –0.15 | % | |||||
S&P GSCI COMMODITY INDEX | 13.49% | –11.09 | % | |||||
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 GSCI Commodity Index are unmanaged 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)
Commodities Strategy Fund | S&P GSCI Commodity Index |
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
The Fund invests principally in exchange traded funds and in derivative instruments such as structured notes, futures contracts, and options on index futures.
12 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
SCHEDULE OF INVESTMENTS
December 31, 2009
ALL-CAP OPPORTUNITY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 97.7%(a) | ||||||||
INFORMATION TECHNOLOGY 27.8% | ||||||||
Google, Inc. — Class A* | 2,600 | $ | 1,611,948 | |||||
Apple, Inc.* | 5,500 | 1,159,730 | ||||||
International Business Machines Corp. | 7,800 | 1,021,020 | ||||||
Hewlett-Packard Co. | 17,500 | 901,425 | ||||||
eBay, Inc.* | 26,800 | 630,872 | ||||||
Intel Corp. | 30,000 | 612,000 | ||||||
Yahoo!, Inc.* | 32,600 | 547,028 | ||||||
Visa, Inc. | 6,100 | 533,506 | ||||||
EMC Corp.* | 27,300 | 476,931 | ||||||
Infosys Technologies Ltd. — SP ADR | 8,500 | 469,795 | ||||||
MasterCard, Inc. | 1,800 | 460,764 | ||||||
Taiwan Semiconductor Manufacturing Company Ltd. — SP ADR | 39,000 | 446,160 | ||||||
Accenture PLC — Class A | 10,100 | 419,150 | ||||||
Dell, Inc.* | 27,400 | 393,464 | ||||||
Automatic Data Processing, Inc. | 8,800 | 376,816 | ||||||
Baidu, Inc. — SP ADR* | 900 | 370,107 | ||||||
Texas Instruments, Inc. | 12,700 | 330,962 | ||||||
Cognizant Technology Solutions Corp. — Class A* | 6,800 | 308,040 | ||||||
NetApp, Inc.* | 8,900 | 306,071 | ||||||
Fidelity National Information | ||||||||
Services, Inc. | 12,880 | 301,907 | ||||||
Akamai Technologies, Inc.* | 11,200 | 283,696 | ||||||
Western Digital Corp.* | 6,300 | 278,145 | ||||||
Western Union Co. | 14,500 | 273,325 | ||||||
Seagate Technology | 15,000 | 272,850 | ||||||
Paychex, Inc. | 8,800 | 269,632 | ||||||
VeriSign, Inc.* | 10,700 | 259,368 | ||||||
Equinix, Inc.* | 2,400 | 254,760 | ||||||
SanDisk Corp.* | 8,700 | 252,213 | ||||||
Applied Materials, Inc. | 18,000 | 250,920 | ||||||
Computer Sciences Corp.* | 4,200 | 241,626 | ||||||
ASML Holding NV | 6,600 | 224,994 | ||||||
Marvell Technology Group Ltd.* | 10,500 | 217,875 | ||||||
Rackspace Hosting, Inc.* | 10,200 | 212,670 | ||||||
MercadoLibre, Inc.* | 4,100 | 212,667 | ||||||
Broadcom Corp. — Class A* | 6,700 | 210,715 | ||||||
Fiserv, Inc.* | 4,300 | 208,464 | ||||||
Affiliated Computer | ||||||||
Services, Inc. — Class A* | 3,400 | 202,946 | ||||||
Sun Microsystems, Inc.* | 21,200 | 198,644 | ||||||
NVIDIA Corp.* | 10,600 | 198,008 | ||||||
Amdocs, Ltd.* | 6,700 | 191,151 | ||||||
Teradata Corp.* | 6,000 | 188,580 | ||||||
Micron Technology, Inc.* | 17,787 | 187,831 | ||||||
IAC/InterActiveCorp* | 9,000 | 184,320 | ||||||
Analog Devices, Inc. | 5,600 | 176,848 | ||||||
Global Payments, Inc. | 3,200 | 172,352 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Sohu.com, Inc.* | 2,700 | $ | 154,656 | |||||
Xilinx, Inc. | 6,100 | 152,866 | ||||||
Linear Technology Corp. | 5,000 | 152,700 | ||||||
Advanced Micro Devices, Inc.* | 15,600 | 151,008 | ||||||
Altera Corp. | 6,500 | 147,095 | ||||||
KLA-Tencor Corp. | 3,900 | 141,024 | ||||||
QLogic Corp.* | 6,800 | 128,316 | ||||||
j2 Global Communications, Inc.* | 5,200 | 105,820 | ||||||
Digital River, Inc.* | 3,697 | 99,782 | ||||||
Diebold, Inc. | 3,500 | 99,575 | ||||||
ValueClick, Inc.* | 9,700 | 98,164 | ||||||
NCR Corp.* | 8,000 | 89,040 | ||||||
Maxim Integrated Products, Inc. | 4,300 | 87,290 | ||||||
SAIC, Inc.* | 3,500 | 66,290 | ||||||
STEC, Inc.* | 2,900 | 47,386 | ||||||
Total Information Technology | 19,023,308 | |||||||
MATERIALS 16.3% | ||||||||
International Paper Co. | 45,700 | 1,223,846 | ||||||
Weyerhaeuser Co. | 22,000 | 949,080 | ||||||
MeadWestvaco Corp. | 28,600 | 818,818 | ||||||
BHP Billiton Ltd. — SP ADR | 9,600 | 735,168 | ||||||
Domtar Corp.* | 12,650 | 700,936 | ||||||
Vale SA — SP ADR | 21,800 | 632,854 | ||||||
Rio Tinto PLC — SP ADR | 2,800 | 603,092 | ||||||
ArcelorMittal | 12,400 | 567,300 | ||||||
Schweitzer-Mauduit | ||||||||
International, Inc. | 6,900 | 485,415 | ||||||
Barrick Gold Corp. | 9,900 | 389,862 | ||||||
Freeport-McMoRan Copper & | ||||||||
Gold, Inc.* | 4,700 | 377,363 | ||||||
Goldcorp, Inc. | 8,300 | 326,522 | ||||||
Southern Copper Corp. | 9,900 | 325,809 | ||||||
Clearwater Paper Corp.* | 5,900 | 324,323 | ||||||
Louisiana-Pacific Corp.* | 44,600 | 311,308 | ||||||
Newmont Mining Corp. | 6,400 | 302,784 | ||||||
Alcoa, Inc. | 16,400 | 264,368 | ||||||
Wausau Paper Corp. | 22,260 | 258,216 | ||||||
Gerdau SA — SP ADR | 14,700 | 250,341 | ||||||
Nucor Corp. | 5,200 | 242,580 | ||||||
Deltic Timber Corp. | 5,015 | 231,593 | ||||||
Glatfelter | 19,000 | 230,850 | ||||||
AngloGold Ashanti Ltd. — | ||||||||
SP ADR | 5,700 | 229,026 | ||||||
Kinross Gold Corp. | 10,900 | 200,560 | ||||||
Agnico-Eagle Mines Ltd. | 3,000 | 162,000 | ||||||
Total Materials | 11,144,014 | |||||||
CONSUMER DISCRETIONARY 15.4% | ||||||||
Amazon.com, Inc.* | 12,400 | 1,668,048 | ||||||
Johnson Controls, Inc. | 32,600 | 888,024 | ||||||
Priceline.com, Inc.* | 3,500 | 764,750 | ||||||
Liberty Media Corp. — | ||||||||
Interactive* | 65,800 | 713,272 | ||||||
Magna International, Inc. — | ||||||||
Class A | 9,900 | 500,742 | ||||||
Expedia, Inc.* | 19,400 | 498,774 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 13 |
1
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
ALL-CAP OPPORTUNITY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
BorgWarner, Inc. | 12,400 | $ | 411,928 | |||||
Autoliv, Inc. | 9,300 | 403,248 | ||||||
Goodyear Tire & Rubber Co.* | 26,700 | 376,470 | ||||||
TRW Automotive Holdings Corp.* | 14,500 | 346,260 | ||||||
HSN, Inc.* | 17,015 | 343,533 | ||||||
Netflix, Inc.* | 6,000 | 330,840 | ||||||
Gentex Corp. | 18,400 | 328,440 | ||||||
Federal Mogul Corp. — Class A* | 16,300 | 281,990 | ||||||
WABCO Holdings, Inc. | 10,500 | 270,795 | ||||||
Dana Holding Corp.* | 23,200 | 251,488 | ||||||
Blue Nile, Inc.* | 3,800 | 240,654 | ||||||
Cooper Tire & Rubber Co. | 11,500 | 230,575 | ||||||
Ticketmaster Entertainment, Inc.* | 18,750 | 229,125 | ||||||
NutriSystem, Inc. | 7,258 | 226,232 | ||||||
Tenneco, Inc.* | 11,800 | 209,214 | ||||||
ArvinMeritor, Inc.* | 16,500 | 184,470 | ||||||
Fuel Systems Solutions, Inc.* | 4,200 | 173,208 | ||||||
Exide Technologies* | 21,500 | 152,865 | ||||||
Shutterfly, Inc.* | 8,308 | 147,965 | ||||||
PetMed Express, Inc. | 6,200 | 109,306 | ||||||
Overstock.com, Inc.* | 7,700 | 104,412 | ||||||
Drew Industries, Inc.* | 3,700 | 76,405 | ||||||
Stamps.com, Inc.* | 6,832 | 61,488 | ||||||
Total Consumer Discretionary | 10,524,521 | |||||||
HEALTH CARE 9.0% | ||||||||
Cerner Corp.* | 17,500 | 1,442,700 | ||||||
IMS Health, Inc. | 47,900 | 1,008,774 | ||||||
Allscripts Healthcare | ||||||||
Solutions, Inc.* | 49,800 | 1,007,454 | ||||||
athenahealth, Inc.* | 13,900 | 628,836 | ||||||
Eclipsys Corp.* | 30,300 | 561,156 | ||||||
MedAssets, Inc.* | 25,300 | 536,613 | ||||||
Phase Forward, Inc.* | 23,400 | 359,190 | ||||||
Computer Programs & | ||||||||
Systems, Inc. | 7,300 | 336,165 | ||||||
Omnicell, Inc.* | 23,981 | 280,338 | ||||||
Total Health Care | 6,161,226 | |||||||
FINANCIALS 7.3% | ||||||||
American Express Co. | 35,300 | 1,430,356 | ||||||
Capital One Financial Corp. | 22,200 | 851,148 | ||||||
Discover Financial Services | 40,100 | 589,871 | ||||||
SLM Corp.* | 43,300 | 487,991 | ||||||
AmeriCredit Corp.* | 17,400 | 331,296 | ||||||
Cash America International, Inc. | 6,100 | 213,256 | ||||||
Ezcorp, Inc.* | 10,700 | 184,147 | ||||||
First Cash Financial Services, Inc.* | 7,600 | 168,644 | ||||||
Nelnet, Inc. — Class A | 9,600 | 165,408 | ||||||
World Acceptance Corp.* | 4,500 | 161,235 | ||||||
Dollar Financial Corp.* | 6,700 | 158,522 | ||||||
Cardtronics, Inc.* | 12,400 | 137,268 | ||||||
Advance America Cash Advance Centers, Inc. | 20,700 | 115,092 | ||||||
Total Financials | 4,994,234 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
CONSUMER STAPLES 7.1% | ||||||||
Avon Products, Inc. | 28,000 | $ | 882,000 | |||||
Estee Lauder Companies, Inc. — Class A | 12,700 | 614,172 | ||||||
Mead Johnson Nutrition Co. — | ||||||||
Class A | 10,800 | 471,960 | ||||||
Alberto-Culver Co. | 14,900 | 436,421 | ||||||
NBTY, Inc.* | 9,700 | 422,338 | ||||||
Herbalife Ltd. | 9,700 | 393,529 | ||||||
Nu Skin Enterprises, Inc. | 12,100 | 325,127 | ||||||
Bare Escentuals, Inc.* | 21,100 | 258,053 | ||||||
Revlon, Inc.* | 12,600 | 214,326 | ||||||
Prestige Brands Holdings, Inc. — Class A* | 21,600 | 169,776 | ||||||
Medifast, Inc.* | 5,500 | 168,190 | ||||||
American Oriental | ||||||||
Bioengineering, Inc.* | 35,800 | 166,470 | ||||||
Elizabeth Arden, Inc.* | 11,200 | 161,728 | ||||||
China-Biotics, Inc.* | 10,000 | 154,700 | ||||||
Total Consumer Staples | 4,838,790 | |||||||
ENERGY 6.8% | ||||||||
Schlumberger Ltd. | 10,900 | 709,481 | ||||||
Halliburton Co. | 14,000 | 421,260 | ||||||
Transocean Ltd.* | 5,000 | 414,000 | ||||||
Tenaris SA — SP ADR | 9,400 | 400,910 | ||||||
National-Oilwell Varco, Inc. | 7,800 | 343,902 | ||||||
Diamond Offshore Drilling, Inc. | 3,000 | 295,260 | ||||||
Weatherford International Ltd.* | 16,400 | 293,724 | ||||||
Baker Hughes, Inc. | 7,000 | 283,360 | ||||||
Noble Corp. | 6,400 | 260,480 | ||||||
Cameron International Corp.* | 6,200 | 259,160 | ||||||
FMC Technologies, Inc.* | 3,700 | 214,008 | ||||||
Smith International, Inc. | 7,700 | 209,209 | ||||||
Nabors Industries Ltd.* | 9,000 | 197,010 | ||||||
Ensco International PLC — | ||||||||
SP ADR | 4,800 | 191,712 | ||||||
Pride International, Inc.* | 5,900 | 188,269 | ||||||
Total Energy | 4,681,745 | |||||||
UTILITIES 5.9% | ||||||||
Dominion Resources, Inc. | 11,300 | 439,796 | ||||||
Public Service Enterprise | ||||||||
Group, Inc. | 11,300 | 375,725 | ||||||
PG&E Corp. | 8,300 | 370,595 | ||||||
Sempra Energy | 6,100 | 341,478 | ||||||
Consolidated Edison, Inc. | 7,200 | 327,096 | ||||||
Xcel Energy, Inc. | 13,300 | 282,359 | ||||||
DTE Energy Co. | 5,600 | 244,104 | ||||||
Ameren Corp. | 8,600 | 240,370 | ||||||
Wisconsin Energy Corp. | 4,500 | 224,235 | ||||||
CenterPoint Energy, Inc. | 15,100 | 219,101 | ||||||
SCANA Corp. | 5,300 | 199,704 | ||||||
MDU Resources Group, Inc. | 8,200 | 193,520 | ||||||
NiSource, Inc. | 12,200 | 187,636 |
14 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
2
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
ALL-CAP OPPORTUNITY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
NSTAR | 5,000 | $ | 184,000 | |||||
OGE Energy Corp. | 4,700 | 173,430 | ||||||
Total Utilities | 4,003,149 | |||||||
INDUSTRIALS 2.1% | ||||||||
Delta Air Lines, Inc.* | 21,500 | 244,670 | ||||||
Southwest Airlines Co. | 20,600 | 235,458 | ||||||
Continental Airlines, Inc. — Class B* | 7,300 | 130,816 | ||||||
UAL Corp.* | 10,000 | 129,100 | ||||||
AMR Corp.* | 16,700 | 129,091 | ||||||
Copa Holdings SA | 1,800 | 98,046 | ||||||
JetBlue Airways Corp.* | 17,400 | 94,830 | ||||||
Alaska Air Group, Inc.* | 2,500 | 86,400 | ||||||
SkyWest, Inc. | 4,500 | 76,140 | ||||||
Allegiant Travel Co.* | 1,600 | 75,472 | ||||||
US Airways Group, Inc.* | 14,600 | 70,664 | ||||||
AirTran Holdings, Inc.* | 12,500 | 65,250 | ||||||
Total Industrials | 1,435,937 | |||||||
Total Common Stocks | ||||||||
(Cost $55,162,113) | 66,806,924 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT† 2.5%(b) | ||||||||
Credit Suisse Group | ||||||||
issued 12/31/09 at (0.02)% | ||||||||
due 01/04/10 | $ | 1,708,979 | 1,708,979 | |||||
Total Repurchase Agreement | ||||||||
(Cost $1,708,979) | 1,708,979 | |||||||
Total Investments 100.2% | ||||||||
(Cost $56,871,092) | $ | 68,515,903 | ||||||
Liabilities in Excess of | ||||||||
Other Assets – (0.2)% | $ | (169,159 | ) | |||||
Net Assets – 100.0% | $ | 68,346,744 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 7. | |
(a) | Value determined based on Level 1 inputs — See Note 8. | |
(b) | Value determined based on Level 2 inputs — See Note 8. | |
ADR—American Depository Receipt. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 15 |
3
SCHEDULE OF INVESTMENTS
December 31, 2009
INTERNATIONAL OPPORTUNITY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
EXCHANGE TRADED FUNDS 42.0%(a) | ||||||||
iShares MSCI Austria Investable Market Index Fund | 200,700 | $ | 3,937,734 | |||||
iShares MSCI Singapore | ||||||||
Index Fund | 241,500 | 2,772,420 | ||||||
iShares MSCI Belgium Index Fund | 195,900 | 2,499,684 | ||||||
Total Exchange Traded Funds | ||||||||
(Cost $9,280,175) | 9,209,838 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENTS† 51.6%(b) | ||||||||
Mizuho Financial Group, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | $ | 3,074,473 | 3,074,473 | |||||
HSBC Group | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 3,051,021 | 3,051,021 | ||||||
UBS Financial Services, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 3,051,021 | 3,051,021 | ||||||
Morgan Stanley | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 2,153,663 | 2,153,663 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $11,330,178) | 11,330,178 | |||||||
Total Investments 93.6% | ||||||||
(Cost $20,610,353) | $ | 20,540,016 | ||||||
Other Assets in Excess | ||||||||
of Liabilities – 6.4% | $ | 1,398,509 | ||||||
Net Assets – 100.0% | $ | 21,938,525 | ||||||
Unrealized | ||||||||
Contracts | Loss | |||||||
CURRENCY FUTURES CONTRACTS | ||||||||
PURCHASED(b) | ||||||||
March 2010 EURO | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $715,650) | 4 | (8,048 | ) | |||||
March 2010 Swedish Krona | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $2,231,840) | 8 | (58,581 | ) | |||||
(Total Aggregate Market Value | ||||||||
of Contracts $2,947,490) | $ | (66,629 | ) | |||||
UNREALIZED | ||||||||
CONTRACTS | GAIN (LOSS) | |||||||
FUTURES CONTRACTS PURCHASED(b) | ||||||||
March 2010 FTSE/MIB Index | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $4,978,183) | 30 | $ | 156,070 | |||||
January 2010 IBEX 35 Index | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $5,090,898) | 30 | 123,855 | ||||||
January 2010 OMX | ||||||||
Stockholm 30 Index | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $2,248,499) | 170 | (14,356 | ) | |||||
(Total Aggregate Market Value | ||||||||
of Contracts $12,317,580) | $ | 265,569 | ||||||
† | Repurchase Agreements — See Note 7. | |
(a) | Value determined based on Level 1 inputs — See Note 8. | |
(b) | Value determined based on Level 2 inputs — See Note 8. |
16 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
4
SCHEDULE OF INVESTMENTS
December 31, 2009
ALTERNATIVE STRATEGIES ALLOCATION FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
MUTUAL FUNDS†† 80.4%(a) | ||||||||
RVT—Managed Futures | ||||||||
Strategy Fund* | 57,650 | $ | 1,336,894 | |||||
RVT—Multi-Hedge | ||||||||
Strategies Fund | 53,640 | 1,076,021 | ||||||
RSF—Rydex|SGI Global Market Neutral Fund — Class H | 42,015 | 997,443 | ||||||
RSF—Rydex|SGI Long/Short Commodities Strategy Fund — Class H* | 14,474 | 348,233 | ||||||
RVT—Real Estate Fund | 9,603 | 205,886 | ||||||
RVT—Commodities | ||||||||
Strategy Fund | 12,063 | 151,757 | ||||||
Total Mutual Funds | ||||||||
(Cost $4,045,537) | 4,116,234 | |||||||
CURRENCY EXCHANGE TRADED FUND 18.9%(a) | ||||||||
PowerShares DB G10 Currency Harvest Fund* | 41,040 | 966,082 | ||||||
Total Currency Exchange Traded Fund | ||||||||
(Cost $919,180) | 966,082 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENT† 0.4%(b) | ||||||||
Credit Suisse Group | ||||||||
issued 12/31/09 at (0.02)% | ||||||||
due 01/04/10 | $ | 23,658 | 23,658 | |||||
Total Repurchase Agreement | ||||||||
(Cost $23,658) | 23,658 | |||||||
Total Investments 99.7% | ||||||||
(Cost $4,988,375) | $ | 5,105,974 | ||||||
Other Assets in Excess | ||||||||
of Liabilities – 0.3% | $ | 15,352 | ||||||
Net Assets – 100.0% | $ | 5,121,326 |
* | Non-Income Producing Security. | |
† | Repurchase Agreement — See Note 7. | |
†† | Affiliated Funds. | |
(a) | Value determined based on Level 1 inputs — See Note 8. | |
(b) | Value determined based on Level 2 inputs — See Note 8. | |
RSF—Rydex Series Funds. RVT—Rydex Variable Trust. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 17 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
December 31, 2009
MANAGED FUTURES STRATEGY FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
FEDERAL AGENCY DISCOUNT NOTES 28.0%(b) | ||||||||
Farmer Mac* | ||||||||
0.02% due 01/12/10 | $ | 4,000,000 | $ | 3,999,982 | ||||
Federal Home Loan Bank* | ||||||||
0.02% due 01/15/10 | 3,000,000 | 2,999,982 | ||||||
Freddie Mac** | ||||||||
0.02% due 02/08/10 | 1,000,000 | 999,980 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $7,999,944) | 7,999,944 | |||||||
REPURCHASE AGREEMENTS† 67.8%(b) | ||||||||
Mizuho Financial Group, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 5,270,131 | 5,270,131 | ||||||
HSBC Group | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 5,229,931 | 5,229,931 | ||||||
UBS Financial Services, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 5,229,931 | 5,229,931 | ||||||
Morgan Stanley | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 3,691,716 | 3,691,716 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $19,421,709) | 19,421,709 | |||||||
Total Investments 95.8% | ||||||||
(Cost $27,421,653) | $ | 27,421,653 | ||||||
Other Assets in Excess | ||||||||
of Liabilities — 4.2% | $ | 1,210,990 | ||||||
Net Assets – 100.0% | $ | 28,632,643 | ||||||
Unrealized | ||||||||
Contracts | Gain | |||||||
COMMODITY FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 Copper | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $1,506,150) | 18 | 160,523 | ||||||
March 2010 Soybean | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $1,730,025) | 33 | 99,292 | ||||||
March 2010 Corn | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $1,056,975) | 51 | 70,160 | ||||||
March 2010 Natural Gas | ||||||||
Futures Contracts | ||||||||
(Aggregate Market | ||||||||
Value of Contracts $665,040) | 12 | 41,333 | ||||||
February 2010 Gold 100 Oz | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $876,480) | 8 | 27,189 |
UNREALIZED | ||||||||
CONTRACTS | GAIN (LOSS) | |||||||
March 2010 Gasoline RBOB | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $1,309,455) | 15 | $ | 25,689 | |||||
March 2010 WTI Crude | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $2,645,280) | 33 | 18,858 | ||||||
March 2010 Wheat | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $541,500) | 20 | 18,304 | ||||||
March 2010 Cotton | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $264,600) | 7 | 13,554 | ||||||
March 2010 Heating Oil | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $893,634) | 10 | 11,891 | ||||||
February 2010 Lean Hogs | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $524,800) | 20 | 10,329 | ||||||
March 2010 Silver | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $589,925) | 7 | 8,124 | ||||||
March 2010 Cocoa | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $263,360) | 8 | (3,476 | ) | |||||
February 2010 Live Cattle | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $998,180) | 29 | (7,267 | ) | |||||
March 2010 Coffee | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $407,700) | 8 | (21,829 | ) | |||||
(Total Aggregate Market Value of | ||||||||
Contracts $14,273,104) | $ | 472,674 | ||||||
CURRENCY FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 Canadian Dollar | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $285,360) | 3 | $ | 1,543 | |||||
March 2010 Australian Dollar | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $534,960) | 6 | (7,724 | ) |
18 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
1
CONSOLIDATED SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
MANAGED FUTURES STRATEGY FUND
UNREALIZED | ||||||||
CONTRACTS | LOSS | |||||||
March 2010 Swiss Franc Futures Contracts (Aggregate Market Value of Contracts $603,750) | 5 | $ | (17,888 | ) | ||||
March 2010 British Pound Futures Contracts (Aggregate Market Value of Contracts $1,413,388) | 14 | (22,785 | ) | |||||
March 2010 EURO Futures Contracts (Aggregate Market Value of Contracts $3,757,163) | 21 | (178,576 | ) | |||||
March 2010 Japanese Yen Futures Contracts (Aggregate Market Value of Contracts $3,358,438) | 25 | (262,728 | ) | |||||
(Total Aggregate Market Value | ||||||||
of Contracts $9,953,058) | $ | (488,158 | ) | |||||
FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 U.S. Treasury 10 Year Note Futures Contracts (Aggregate Market Value of Contracts $2,191,234) | 19 | $ | (58,303 | ) | ||||
March 2010 U.S. Long Bond Futures Contracts (Aggregate Market Value of Contracts $2,189,750) | 19 | (123,548 | ) | |||||
(Total Aggregate Market Value | ||||||||
of Contracts $4,380,984) | $ | (181,851 | ) | |||||
COMMODITY FUTURES CONTRACTS | ||||||||
SOLD SHORT(a) | ||||||||
March 2010 Sugar #11 Futures Contracts (Aggregate Market Value of Contracts $357,638) | 12 | $ | (51,065 | ) | ||||
* | 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. | |
** | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. | |
† | Repurchase Agreements — See Note 7. | |
(a) | Value determined based on Level 1 inputs — See Note 8. | |
(b) | Value determined based on Level 2 inputs — See Note 8. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 19 |
2
SCHEDULE OF INVESTMENTS
December 31, 2009
MULTI-CAP CORE EQUITY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 89.6%(a) | ||||||||
INFORMATION TECHNOLOGY 17.2% | ||||||||
Apple, Inc.* | 100 | $ | 21,086 | |||||
Microsoft Corp. | 650 | 19,818 | ||||||
International Business | ||||||||
Machines Corp. | 150 | 19,635 | ||||||
Google, Inc. — Class A* | 30 | 18,599 | ||||||
Hewlett-Packard Co. | 300 | 15,453 | ||||||
Intel Corp. | 740 | 15,096 | ||||||
Oracle Corp. | 470 | 11,534 | ||||||
Western Digital Corp.* | 190 | 8,388 | ||||||
Jabil Circuit, Inc. | 440 | 7,643 | ||||||
Cree, Inc.* | 130 | 7,328 | ||||||
Harris Corp. | 150 | 7,133 | ||||||
OSI Systems, Inc.* | 260 | 7,093 | ||||||
Cisco Systems, Inc.* | 290 | 6,943 | ||||||
Affiliated Computer | ||||||||
Services, Inc. — Class A* | 110 | 6,566 | ||||||
Sybase, Inc.* | 150 | 6,510 | ||||||
Atheros Communications, Inc.* | 190 | 6,506 | ||||||
Jack Henry & Associates, Inc. | 280 | 6,474 | ||||||
SAIC, Inc.* | 340 | 6,440 | ||||||
Automatic Data Processing, Inc. | 150 | 6,423 | ||||||
InterDigital, Inc.* | 240 | 6,370 | ||||||
Synopsys, Inc.* | 280 | 6,238 | ||||||
IAC/InterActiveCorp* | 300 | 6,144 | ||||||
SYNNEX Corp.* | 200 | 6,132 | ||||||
Tech Data Corp.* | 130 | 6,066 | ||||||
TeleTech Holdings, Inc.* | 300 | 6,009 | ||||||
Maxim Integrated Products, Inc. | 280 | 5,684 | ||||||
Keynote Systems, Inc. | 510 | 5,564 | ||||||
ePlus, Inc.* | 330 | 5,448 | ||||||
Convergys Corp.* | 500 | 5,375 | ||||||
Skyworks Solutions, Inc.* | 370 | 5,250 | ||||||
American Software, Inc. — Class A | 870 | 5,220 | ||||||
Dynamics Research Corp.* | 490 | 5,199 | ||||||
Qualcomm, Inc. | 110 | 5,089 | ||||||
VMware, Inc.* | 120 | 5,086 | ||||||
Hughes Communications, Inc.* | 190 | 4,946 | ||||||
Communications Systems, Inc. | 390 | 4,852 | ||||||
Tessera Technologies, Inc.* | 200 | 4,654 | ||||||
Multi-Fineline Electronix, Inc.* | 160 | 4,539 | ||||||
Virtusa Corp.* | 500 | 4,530 | ||||||
United Online, Inc. | 600 | 4,314 | ||||||
Avnet, Inc.* | 140 | 4,222 | ||||||
Motorola, Inc.* | 520 | 4,035 | ||||||
Ariba, Inc.* | 320 | 4,006 | ||||||
ModusLink Global Solutions, Inc.* | 420 | 3,952 | ||||||
Broadcom Corp. — Class A* | 120 | 3,774 | ||||||
STEC, Inc.* | 230 | 3,758 | ||||||
Corning, Inc. | 190 | 3,669 | ||||||
Marvell Technology Group Ltd.* | 160 | 3,320 | ||||||
Cray, Inc.* | 510 | 3,274 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Broadridge Financial Solutions, Inc. | 140 | $ | 3,158 | |||||
Novatel Wireless, Inc.* | 390 | 3,108 | ||||||
Juniper Networks, Inc.* | 110 | 2,934 | ||||||
NCI, Inc.* | 100 | 2,765 | ||||||
Cognizant Technology | ||||||||
Solutions Corp. — Class A* | 60 | 2,718 | ||||||
Harris Stratex Networks, Inc. — | ||||||||
Class A* | 380 | 2,626 | ||||||
Oplink Communications, Inc.* | 160 | 2,622 | ||||||
DST Systems, Inc.* | 60 | 2,613 | ||||||
Loral Space & Communications, Inc.* | 80 | 2,529 | ||||||
Dolby Laboratories, Inc. — Class A* | 50 | 2,387 | ||||||
SanDisk Corp.* | 80 | 2,319 | ||||||
Sigma Designs, Inc.* | 210 | 2,247 | ||||||
Triquint Semiconductor, Inc.* | 360 | 2,160 | ||||||
S1 Corp.* | 310 | 2,021 | ||||||
Amkor Technology, Inc.* | 270 | 1,933 | ||||||
Super Micro Computer, Inc.* | 170 | 1,890 | ||||||
FEI Co.* | 80 | 1,869 | ||||||
Insight Enterprises, Inc.* | 150 | 1,713 | ||||||
Brocade Communications | ||||||||
Systems, Inc.* | 220 | 1,679 | ||||||
Lender Processing Services, Inc. | 40 | 1,626 | ||||||
Comtech Telecommunications Corp.* | 40 | 1,402 | ||||||
FactSet Research Systems, Inc. | 20 | 1,317 | ||||||
F5 Networks, Inc.* | 20 | 1,060 | ||||||
Texas Instruments, Inc. | 40 | 1,042 | ||||||
Xilinx, Inc. | 40 | 1,002 | ||||||
MicroStrategy, Inc. — Class A* | 10 | 940 | ||||||
Anaren, Inc.* | 60 | 903 | ||||||
Visa, Inc. | 10 | 875 | ||||||
Heartland Payment Systems, Inc. | 50 | 657 | ||||||
Activision Blizzard, Inc.* | 50 | 556 | ||||||
China Security & Surveillance Technology, Inc.* | 50 | 382 | ||||||
AOL, Inc.* | 8 | 186 | ||||||
PAR Technology Corp.* | 30 | 173 | ||||||
EMS Technologies, Inc.* | 10 | 145 | ||||||
Startek, Inc.* | 10 | 75 | ||||||
Total Information Technology | 409,019 | |||||||
FINANCIALS 14.7% | ||||||||
JPMorgan Chase & Co. | 460 | 19,174 | ||||||
Wells Fargo & Co. | 640 | 17,274 | ||||||
Bank of America Corp. | 1,090 | 16,415 | ||||||
Goldman Sachs Group, Inc. | 80 | 13,507 | ||||||
Morgan Stanley | 290 | 8,584 | ||||||
Public Storage | 100 | 8,145 | ||||||
PNC Financial Services Group, Inc. | 150 | 7,918 | ||||||
Ameriprise Financial, Inc. | 190 | 7,376 | ||||||
Annaly Capital Management, Inc. | 410 | 7,113 | ||||||
Blackrock, Inc. | 30 | 6,966 | ||||||
AFLAC, Inc. | 150 | 6,937 | ||||||
Discover Financial Services | 470 | 6,914 | ||||||
New York Community Bancorp, Inc. | 470 | 6,820 |
20 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
3
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
MULTI-CAP CORE EQUITY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Alexandria Real Estate Equities, Inc. | 100 | $ | 6,429 | |||||
Duke Realty Corp. | 510 | 6,207 | ||||||
Reinsurance Group of America, Inc. | 130 | 6,194 | ||||||
Ares Capital Corp. | 490 | 6,100 | ||||||
Delphi Financial Group, Inc. — | ||||||||
Class A | 270 | 6,040 | ||||||
Associated Estates Realty Corp. | 530 | 5,973 | ||||||
PartnerRe Ltd. | 80 | 5,973 | ||||||
Assurant, Inc. | 200 | 5,896 | ||||||
Hatteras Financial Corp. | 210 | 5,872 | ||||||
Transatlantic Holdings, Inc. | 110 | 5,732 | ||||||
Getty Realty Corp. | 240 | 5,647 | ||||||
U.S. Bancorp | 250 | 5,627 | ||||||
American Capital Agency Corp. | 210 | 5,573 | ||||||
Santander BanCorp* | 450 | 5,526 | �� | |||||
Unitrin, Inc. | 250 | 5,512 | ||||||
California First National Bancorp. | 420 | 5,485 | ||||||
Mission West Properties | 760 | 5,464 | ||||||
Dynex Capital, Inc. | 620 | 5,413 | ||||||
BB&T Corp. | 210 | 5,328 | ||||||
First Horizon National Corp.* | 396 | 5,304 | ||||||
Associated Banc-Corp | 470 | 5,175 | ||||||
Agree Realty Corp. | 220 | 5,124 | ||||||
Validus Holdings Ltd. | 190 | 5,119 | ||||||
International Assets Holding Corp.* | 340 | 4,944 | ||||||
Anworth Mortgage Asset Corp. | 700 | 4,900 | ||||||
Century Bancorp, Inc. | 220 | 4,847 | ||||||
American International Group, Inc.* | 160 | 4,797 | ||||||
American Safety Insurance Holdings Ltd.* | 310 | 4,479 | ||||||
World Acceptance Corp.* | 120 | 4,300 | ||||||
Capital One Financial Corp. | 110 | 4,217 | ||||||
FBL Financial Group, Inc. — Class A | 210 | 3,889 | ||||||
Hartford Financial Services | ||||||||
Group, Inc. | 150 | 3,489 | ||||||
Prudential Financial, Inc. | 70 | 3,483 | ||||||
CME Group, Inc. | 10 | 3,360 | ||||||
CNB Financial Corp. | 200 | 3,198 | ||||||
Loews Corp. | 80 | 2,908 | ||||||
SunTrust Banks, Inc. | 140 | 2,841 | ||||||
Capstead Mortgage Corp. | 190 | 2,594 | ||||||
Oriental Financial Group | 230 | 2,484 | ||||||
Maiden Holdings Ltd. | 330 | 2,416 | ||||||
Mercury General Corp. | 50 | 1,963 | ||||||
Advance America Cash Advance | ||||||||
Centers, Inc. | 340 | 1,890 | ||||||
Genworth Financial, Inc. — Class A* | 160 | 1,816 | ||||||
Entertainment Properties Trust | 50 | 1,764 | ||||||
Oppenheimer Holdings, Inc. — | ||||||||
Class A | 50 | 1,661 | ||||||
First Mercury Financial Corp. | 110 | 1,508 | ||||||
SWS Group, Inc. | 120 | 1,452 | ||||||
Universal Insurance Holdings, Inc. | 240 | 1,409 | ||||||
First Defiance Financial Corp. | 120 | 1,355 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Hercules Technology Growth | ||||||||
Capital, Inc. | 130 | $ | 1,351 | |||||
Fidelity National Financial, Inc. — Class A | 90 | 1,211 | ||||||
Sun Communities, Inc. | 60 | 1,185 | ||||||
Citigroup, Inc. | 310 | 1,026 | ||||||
Hudson City Bancorp, Inc. | 70 | 961 | ||||||
Susquehanna Bancshares, Inc. | 160 | 942 | ||||||
MGIC Investment Corp.* | 110 | 636 | ||||||
Legg Mason, Inc. | 20 | 603 | ||||||
Farmers Capital Bank Corp. | 50 | 511 | ||||||
Ocwen Financial Corp.* | 50 | 479 | ||||||
MainSource Financial Group, Inc. | 30 | 143 | ||||||
Pacific Capital Bancorp | 100 | 96 | ||||||
Marshall & Ilsley Corp. | 10 | 55 | ||||||
Total Financials | 351,019 | |||||||
HEALTH CARE 12.1% | ||||||||
Johnson & Johnson | 220 | 14,170 | ||||||
Abbott Laboratories | 230 | 12,418 | ||||||
Pfizer, Inc. | 469 | 8,531 | ||||||
Gilead Sciences, Inc.* | 190 | 8,223 | ||||||
Baxter International, Inc. | 140 | 8,215 | ||||||
Medco Health Solutions, Inc.* | 120 | 7,669 | ||||||
Hospira, Inc.* | 150 | 7,650 | ||||||
Life Technologies Corp.* | 140 | 7,312 | ||||||
AmerisourceBergen Corp. | 280 | 7,300 | ||||||
Allergan, Inc. | 110 | 6,931 | ||||||
McKesson Corp. | 110 | 6,875 | ||||||
Alexion Pharmaceuticals, Inc.* | 140 | 6,835 | ||||||
American Medical Systems | ||||||||
Holdings, Inc.* | 350 | 6,752 | ||||||
Thermo Fisher Scientific, Inc.* | 140 | 6,677 | ||||||
Emergency Medical Services Corp.* | 120 | 6,498 | ||||||
Par Pharmaceutical Companies, Inc.* | 240 | 6,495 | ||||||
Eli Lilly & Co. | 180 | 6,428 | ||||||
Genzyme Corp.* | 130 | 6,371 | ||||||
Watson Pharmaceuticals, Inc.* | 160 | 6,338 | ||||||
ResMed, Inc.* | 120 | 6,272 | ||||||
Intuitive Surgical, Inc.* | 20 | 6,066 | ||||||
Perrigo Co. | 150 | 5,976 | ||||||
Medical Action Industries, Inc.* | 370 | 5,942 | ||||||
IDEXX Laboratories, Inc.* | 110 | 5,878 | ||||||
Amedisys, Inc.* | 120 | 5,827 | ||||||
RehabCare Group, Inc.* | 190 | 5,782 | ||||||
CareFusion Corp.* | 230 | 5,752 | ||||||
MWI Veterinary Supply, Inc.* | 150 | 5,655 | ||||||
Cubist Pharmaceuticals, Inc.* | 290 | 5,501 | ||||||
Universal Health Services, Inc. — Class B | 180 | 5,490 | ||||||
Accelrys, Inc.* | 930 | 5,329 | ||||||
Humana, Inc.* | 120 | 5,267 | ||||||
Hi-Tech Pharmacal Company, Inc.* | 180 | 5,049 | ||||||
Merck & Company, Inc. | 130 | 4,750 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 21 |
4
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
MULTI-CAP CORE EQUITY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
PDL BioPharma, Inc. | 670 | $ | 4,596 | |||||
Catalyst Health Solutions, Inc.* | 120 | 4,376 | ||||||
Medicis Pharmaceutical Corp. — Class A | 160 | 4,328 | ||||||
Invacare Corp. | 150 | 3,741 | ||||||
Allscripts Healthcare Solutions, Inc.* | 140 | 2,832 | ||||||
Orthofix International NV* | 90 | 2,787 | ||||||
Express Scripts, Inc.* | 30 | 2,594 | ||||||
Valeant Pharmaceuticals International* | 80 | 2,543 | ||||||
Kindred Healthcare, Inc.* | 120 | 2,215 | ||||||
Centene Corp.* | 100 | 2,117 | ||||||
Symmetry Medical, Inc.* | 260 | 2,096 | ||||||
Biospecifics Technologies Corp.* | 70 | 2,055 | ||||||
AmSurg Corp.* | 90 | 1,982 | ||||||
Parexel International Corp.* | 130 | 1,833 | ||||||
Mednax, Inc.* | 30 | 1,804 | ||||||
Quidel Corp.* | 130 | 1,791 | ||||||
Amgen, Inc.* | 30 | 1,697 | ||||||
Cerner Corp.* | 20 | 1,649 | ||||||
Becton, Dickinson & Co. | 20 | 1,577 | ||||||
LHC Group, Inc.* | 40 | 1,344 | ||||||
OSI Pharmaceuticals, Inc.* | 40 | 1,241 | ||||||
Impax Laboratories, Inc.* | 90 | 1,224 | ||||||
Celgene Corp.* | 20 | 1,114 | ||||||
Biogen Idec, Inc.* | 20 | 1,070 | ||||||
Micrus Endovascular Corp.* | 70 | 1,051 | ||||||
Inverness Medical Innovations, Inc.* | 10 | 415 | ||||||
Mylan Laboratories, Inc.* | 20 | 369 | ||||||
Human Genome Sciences, Inc.* | 10 | 306 | ||||||
Total Health Care | 288,971 | |||||||
INDUSTRIALS 11.3% | ||||||||
General Electric Co. | 830 | 12,558 | ||||||
L-3 Communications Holdings, Inc. | 90 | 7,825 | ||||||
Republic Services, Inc. | 260 | 7,361 | ||||||
Lockheed Martin Corp. | 90 | 6,781 | ||||||
Northrop Grumman Corp. | 120 | 6,702 | ||||||
Raytheon Co. | 130 | 6,698 | ||||||
Alaska Air Group, Inc.* | 190 | 6,566 | ||||||
United Stationers, Inc.* | 110 | 6,253 | ||||||
KBR, Inc. | 320 | 6,080 | ||||||
A.O. Smith Corp. | 140 | 6,075 | ||||||
Willis Lease Finance Corp.* | 400 | 6,000 | ||||||
Waste Connections, Inc.* | 180 | 5,998 | ||||||
Briggs & Stratton Corp. | 320 | 5,987 | ||||||
Snap-On, Inc. | 140 | 5,916 | ||||||
Barrett Business Services, Inc. | 470 | 5,776 | ||||||
Shaw Group, Inc.* | 200 | 5,750 | ||||||
Kimball International, Inc. — Class B | 660 | 5,623 | ||||||
School Specialty, Inc.* | 240 | 5,614 | ||||||
Apogee Enterprises, Inc. | 400 | 5,600 | ||||||
Kaman Corp. — Class A | 240 | 5,542 | ||||||
Universal Forest Products, Inc. | 150 | 5,521 | ||||||
Avis Budget Group, Inc.* | 420 | 5,510 | ||||||
Eastern Co. | 410 | 5,506 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Valmont Industries, Inc. | 70 | $ | 5,492 | |||||
Horizon Lines, Inc. — Class A | 980 | 5,459 | ||||||
Standex International Corp. | 270 | 5,424 | ||||||
VSE Corp. | 120 | 5,410 | ||||||
Triumph Group, Inc. | 110 | 5,308 | ||||||
Diamond Management & | ||||||||
Technology Consultants, Inc. | 720 | 5,306 | ||||||
Astronics Corp.* | 620 | 5,301 | ||||||
International Shipholding Corp. | 160 | 4,971 | ||||||
Delta Air Lines, Inc.* | 430 | 4,893 | ||||||
Powell Industries, Inc.* | 150 | 4,730 | ||||||
Integrated Electrical Services, Inc.* | 780 | 4,563 | ||||||
Watts Industries, Inc. — Class A | 140 | 4,329 | ||||||
Crane Co. | 140 | 4,287 | ||||||
Griffon Corp.* | 300 | 3,666 | ||||||
Dollar Thrifty Automotive Group, Inc.* | 140 | 3,585 | ||||||
Consolidated Graphics, Inc.* | 100 | 3,502 | ||||||
DynCorp International, Inc. — | ||||||||
Class A* | 240 | 3,444 | ||||||
SPX Corp. | 60 | 3,282 | ||||||
NACCO Industries, Inc. — Class A | 60 | 2,988 | ||||||
United Technologies Corp. | 40 | 2,776 | ||||||
First Solar, Inc.* | 20 | 2,708 | ||||||
Geo Group, Inc.* | 120 | 2,626 | ||||||
Oshkosh Corp. | 70 | 2,592 | ||||||
Emerson Electric Co. | 60 | 2,556 | ||||||
Eaton Corp. | 40 | 2,545 | ||||||
Carlisle Companies, Inc. | 70 | 2,398 | ||||||
ICT Group, Inc.* | 140 | 2,286 | ||||||
Masco Corp. | 160 | 2,210 | ||||||
W.W. Grainger, Inc. | 20 | 1,937 | ||||||
United Parcel Service, Inc. — Class B | 30 | 1,721 | ||||||
AAR Corp.* | 70 | 1,609 | ||||||
Interline Brands, Inc.* | 80 | 1,382 | ||||||
General Dynamics Corp. | 20 | 1,363 | ||||||
Primoris Services Corp. | 170 | 1,355 | ||||||
Beacon Roofing Supply, Inc.* | 80 | 1,280 | ||||||
Mueller Industries, Inc. | 50 | 1,242 | ||||||
Woodward Governor Co. | 40 | 1,031 | ||||||
Bowne & Company, Inc. | 60 | 401 | ||||||
EMCOR Group, Inc.* | 10 | 269 | ||||||
Titan International, Inc. | 30 | 243 | ||||||
Total Industrials | 269,712 | |||||||
CONSUMER DISCRETIONARY 10.1% | ||||||||
Comcast Corp. — Class A | 550 | 9,273 | ||||||
TJX Companies, Inc. | 240 | 8,772 | ||||||
McDonald’s Corp. | 140 | 8,741 | ||||||
Jo-Ann Stores, Inc.* | 190 | 6,885 | ||||||
Scholastic Corp. | 220 | 6,563 | ||||||
Kohl’s Corp.* | 120 | 6,472 | ||||||
Dick’s Sporting Goods, Inc.* | 260 | 6,466 | ||||||
Whirlpool Corp. | 80 | 6,453 | ||||||
Ross Stores, Inc. | 150 | 6,406 |
22 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
MULTI-CAP CORE EQUITY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Chipotle Mexican Grill, Inc. — | ||||||||
Class A* | 70 | $ | 6,171 | |||||
Petsmart, Inc. | 230 | 6,139 | ||||||
Leggett & Platt, Inc. | 300 | 6,120 | ||||||
Big Lots, Inc.* | 210 | 6,086 | ||||||
Corinthian Colleges, Inc.* | 440 | 6,059 | ||||||
Group 1 Automotive, Inc.* | 210 | 5,953 | ||||||
Core-Mark Holding Company, Inc.* | 180 | 5,933 | ||||||
Staples, Inc. | 240 | 5,902 | ||||||
Regal Entertainment Group — | ||||||||
Class A | 400 | 5,776 | ||||||
Unifirst Corp. | 120 | 5,773 | ||||||
Cinemark Holdings, Inc. | 400 | 5,748 | ||||||
Amazon.com, Inc.* | 40 | 5,381 | ||||||
Family Dollar Stores, Inc. | 190 | 5,288 | ||||||
Books-A-Million, Inc. | 780 | 5,242 | ||||||
World Wrestling Entertainment, Inc. | 330 | 5,059 | ||||||
Liberty Global, Inc. — Class A* | 230 | 5,039 | ||||||
Washington Post Co. — Class B | 10 | 4,396 | ||||||
DIRECTV* | 120 | 4,002 | ||||||
Aeropostale, Inc.* | 110 | 3,745 | ||||||
Carrols Restaurant Group, Inc.* | 520 | 3,676 | ||||||
Ford Motor Co.* | 350 | 3,500 | ||||||
Target Corp. | 70 | 3,386 | ||||||
Polo Ralph Lauren Corp. | 40 | 3,239 | ||||||
Limited Brands, Inc. | 160 | 3,078 | ||||||
Sport Supply Group, Inc. | 230 | 2,896 | ||||||
WMS Industries, Inc.* | 70 | 2,800 | ||||||
Fred’s, Inc. | 270 | 2,754 | ||||||
Time Warner, Inc. | 90 | 2,623 | ||||||
Destination Maternity Corp.* | 130 | 2,470 | ||||||
G-III Apparel Group Ltd.* | 110 | 2,384 | ||||||
Skechers U.S.A., Inc. — Class A* | 80 | 2,353 | ||||||
Bob Evans Farms, Inc. | 80 | 2,316 | ||||||
Barnes & Noble, Inc. | 120 | 2,288 | ||||||
Big 5 Sporting Goods Corp. | 130 | 2,233 | ||||||
CKE Restaurants, Inc. | 260 | 2,200 | ||||||
Dolan Media Co.* | 190 | 1,940 | ||||||
Williams-Sonoma, Inc. | 90 | 1,870 | ||||||
Apollo Group, Inc. — Class A* | 30 | 1,817 | ||||||
DSW, Inc.* | 70 | 1,812 | ||||||
Viacom, Inc. — Class B* | 60 | 1,784 | ||||||
Retail Ventures, Inc.* | 190 | 1,689 | ||||||
Texas Roadhouse, Inc.* | 140 | 1,572 | ||||||
Standard Motor Products, Inc.* | 180 | 1,534 | ||||||
Lincoln Educational Services Corp.* | 60 | 1,300 | ||||||
Carnival Corp.* | 40 | 1,268 | ||||||
Gander Mountain Co.* | 240 | 1,224 | ||||||
Einstein Noah Restaurant Group, Inc.* | 120 | 1,180 | ||||||
Wendy’s/Arby’s Group, Inc. — Class A | 240 | 1,126 | ||||||
Netflix, Inc.* | 20 | 1,103 | ||||||
ITT Educational Services, Inc.* | 10 | 960 | ||||||
Stein Mart, Inc.* | 90 | 959 | ||||||
Fortune Brands, Inc. | 20 | 864 | ||||||
Time Warner Cable, Inc. | 20 | 828 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Meritage Homes Corp.* | 40 | $ | 773 | |||||
Liberty Media Corp. — Starz* | 10 | 461 | ||||||
Rick’s Cabaret International, Inc.* | 50 | 428 | ||||||
CTC Media, Inc.* | 20 | 298 | ||||||
Isle of Capri Casinos, Inc.* | 30 | 224 | ||||||
Total Consumer Discretionary | 241,053 | |||||||
ENERGY 7.4% | ||||||||
Exxon Mobil Corp. | 360 | 24,548 | ||||||
Chevron Corp. | 190 | 14,628 | ||||||
XTO Energy, Inc. | 170 | 7,910 | ||||||
Diamond Offshore Drilling, Inc. | 70 | 6,889 | ||||||
Helmerich & Payne, Inc. | 170 | 6,780 | ||||||
Williams Companies, Inc. | 320 | 6,746 | ||||||
Southwestern Energy Co.* | 130 | 6,266 | ||||||
Southern Union Co. | 270 | 6,129 | ||||||
ConocoPhillips | 120 | 6,128 | ||||||
Clayton Williams Energy, Inc.* | 170 | 5,957 | ||||||
Atwood Oceanics, Inc.* | 160 | 5,736 | ||||||
Holly Corp. | 220 | 5,639 | ||||||
Chesapeake Energy Corp. | 210 | 5,435 | ||||||
SEACOR Holdings, Inc.* | 70 | 5,338 | ||||||
ATP Oil & Gas Corp.* | 290 | 5,301 | ||||||
Peabody Energy Corp. | 100 | 4,521 | ||||||
Frontier Oil Corp. | 360 | 4,334 | ||||||
Pride International, Inc.* | 130 | 4,148 | ||||||
PHI, Inc.* | 200 | 4,140 | ||||||
Exterran Holdings, Inc.* | 190 | 4,076 | ||||||
Cal Dive International, Inc.* | 520 | 3,931 | ||||||
Quicksilver Resources, Inc.* | 250 | 3,753 | ||||||
Overseas Shipholding Group, Inc. | 80 | 3,516 | ||||||
World Fuel Services Corp. | 120 | 3,215 | ||||||
Smith International, Inc. | 100 | 2,717 | ||||||
Delek US Holdings, Inc. | 340 | 2,315 | ||||||
James River Coal Co.* | 120 | 2,224 | ||||||
Marathon Oil Corp. | 70 | 2,185 | ||||||
Halliburton Co. | 60 | 1,805 | ||||||
Tetra Technologies, Inc.* | 160 | 1,773 | ||||||
Geokinetics, Inc.* | 180 | 1,732 | ||||||
Consol Energy, Inc. | 30 | 1,494 | ||||||
Lufkin Industries, Inc. | 20 | 1,464 | ||||||
Schlumberger Ltd. | 20 | 1,302 | ||||||
Dresser-Rand Group, Inc.* | 30 | 948 | ||||||
Petroleum Development Corp.* | 40 | 728 | ||||||
FMC Technologies, Inc.* | 10 | 578 | ||||||
Gulfport Energy Corp.* | 50 | 573 | ||||||
Green Plains Renewable Energy, Inc.* | 20 | 297 | ||||||
Cheniere Energy, Inc.* | 10 | 24 | ||||||
Total Energy | 177,223 | |||||||
CONSUMER STAPLES 6.2% | ||||||||
Procter & Gamble Co. | 170 | 10,307 | ||||||
CVS Caremark Corp. | 300 | 9,663 | ||||||
Walgreen Co. | 230 | 8,446 | ||||||
Kimberly-Clark Corp. | 120 | 7,645 | ||||||
Coca-Cola Enterprises, Inc. | 340 | 7,208 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 23 |
SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
MULTI-CAP CORE EQUITY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
J.M. Smucker Co. | 110 | $ | 6,792 | |||||
Archer-Daniels-Midland Co. | 210 | 6,575 | ||||||
Wal-Mart Stores, Inc. | 120 | 6,414 | ||||||
Coca-Cola Co. | 110 | 6,270 | ||||||
Zhongpin, Inc.* | 380 | 5,932 | ||||||
Tyson Foods, Inc. — Class A | 480 | 5,890 | ||||||
Central Garden and Pet Co. — | ||||||||
Class A* | 590 | 5,865 | ||||||
Smithfield Foods, Inc.* | 360 | 5,468 | ||||||
Imperial Sugar Co. | 300 | 5,232 | ||||||
PepsiCo, Inc. | 80 | 4,864 | ||||||
Flowers Foods, Inc. | 190 | 4,514 | ||||||
Susser Holdings Corp.* | 520 | 4,467 | ||||||
Casey’s General Stores, Inc. | 130 | 4,150 | ||||||
Dean Foods Co.* | 230 | 4,149 | ||||||
Whole Foods Market, Inc.* | 150 | 4,117 | ||||||
Lorillard, Inc. | 50 | 4,012 | ||||||
Weis Markets, Inc. | 100 | 3,636 | ||||||
Nu Skin Enterprises, Inc. | 130 | 3,493 | ||||||
Philip Morris International, Inc. | 70 | 3,373 | ||||||
ConAgra Foods, Inc. | 130 | 2,997 | ||||||
Kraft Foods, Inc. | 90 | 2,446 | ||||||
Sysco Corp. | 40 | 1,118 | ||||||
Coca-Cola Bottling Co. | ||||||||
Consolidated | 20 | 1,080 | ||||||
Kroger Co. | 20 | 411 | ||||||
Total Consumer Staples | 146,534 | |||||||
MATERIALS 4.9% | ||||||||
International Paper Co. | 300 | 8,034 | ||||||
Reliance Steel & Aluminum Co. | 140 | 6,051 | ||||||
Cabot Corp. | 230 | 6,033 | ||||||
Huntsman Corp. | 530 | 5,984 | ||||||
Ashland, Inc. | 150 | 5,943 | ||||||
RPM International, Inc. | 290 | 5,896 | ||||||
Arch Chemicals, Inc. | 190 | 5,867 | ||||||
Stepan Co. | 90 | 5,833 | ||||||
Commercial Metals Co. | 350 | 5,477 | ||||||
AEP Industries, Inc.* | 140 | 5,359 | ||||||
Glatfelter | 380 | 4,617 | ||||||
Steel Dynamics, Inc. | 260 | 4,607 | ||||||
Temple-Inland, Inc. | 210 | 4,433 | ||||||
Lubrizol Corp. | 60 | 4,377 | ||||||
Innospec, Inc. | 410 | 4,137 | ||||||
MeadWestvaco Corp. | 120 | 3,436 | ||||||
Domtar Corp.* | 60 | 3,325 | ||||||
Koppers Holdings, Inc. | 100 | 3,044 | ||||||
Bway Holding Co.* | 150 | 2,883 | ||||||
Crown Holdings, Inc.* | 110 | 2,814 | ||||||
Clearwater Paper Corp.* | 50 | 2,748 | ||||||
ICO, Inc. | 370 | 2,705 | ||||||
LSB Industries, Inc.* | 180 | 2,538 | ||||||
Eastman Chemical Co. | 40 | 2,410 | ||||||
NewMarket Corp. | 20 | 2,295 | ||||||
Schnitzer Steel Industries, Inc. — Class A | 40 | 1,908 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Nucor Corp. | 40 | $ | 1,866 | |||||
Boise, Inc.* | 230 | 1,221 | ||||||
Newmont Mining Corp. | 20 | 946 | ||||||
Total Materials | 116,787 | |||||||
UTILITIES 4.1% | ||||||||
Consolidated Edison, Inc. | 180 | 8,177 | ||||||
Dominion Resources, Inc. | 190 | 7,395 | ||||||
Constellation Energy Group, Inc. | 200 | 7,034 | ||||||
NSTAR | 180 | 6,624 | ||||||
Portland General Electric Co. | 320 | 6,531 | ||||||
Northeast Utilities | 250 | 6,447 | ||||||
TECO Energy, Inc. | 390 | 6,326 | ||||||
CMS Energy Corp. | 400 | 6,264 | ||||||
NV Energy, Inc. | 490 | 6,066 | ||||||
Integrys Energy Group, Inc. | 140 | 5,879 | ||||||
DPL, Inc. | 210 | 5,796 | ||||||
Unitil Corp. | 250 | 5,745 | ||||||
Central Vermont Public Service Corp. | 270 | 5,616 | ||||||
NRG Energy, Inc.* | 230 | 5,430 | ||||||
Atmos Energy Corp. | 150 | 4,410 | ||||||
AES Corp.* | 100 | 1,331 | ||||||
NiSource, Inc. | 70 | 1,077 | ||||||
UGI Corp. | 40 | 968 | ||||||
Southwest Gas Corp. | 30 | 856 | ||||||
Total Utilities | 97,972 | |||||||
TELECOMMUNICATION SERVICES 1.6% | ||||||||
AT&T, Inc. | 700 | 19,621 | ||||||
Verizon Communications, Inc. | 360 | 11,927 | ||||||
tw telecom, Inc.* | 290 | 4,970 | ||||||
Sprint Nextel Corp.* | 80 | 293 | ||||||
Total Telecommunication Services | 36,811 | |||||||
Total Common Stocks | ||||||||
(Cost $1,717,159) | 2,135,101 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
REPURCHASE AGREEMENTS† 9.9%(b) | ||||||||
Mizuho Financial Group, Inc. | ||||||||
issued 12/31/09 at | ||||||||
0.00% due 01/04/10 | $ | 64,284 | 64,284 | |||||
HSBC Group | ||||||||
issued 12/31/09 | ||||||||
at 0.00% due 01/04/10 | 63,793 | 63,793 | ||||||
UBS Financial Services, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 63,793 | 63,793 | ||||||
Morgan Stanley | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 45,030 | 45,030 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $236,900) | 236,900 | |||||||
Total Investments 99.5% | ||||||||
(Cost $1,954,059) | $ | 2,372,001 | ||||||
24 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
MULTI-CAP CORE EQUITY FUND
Other Assets in Excess | ||||||||
of Liabilities — 0.5% | $ | 12,131 | ||||||
Net Assets – 100.0% | $ | 2,384,132 | ||||||
UNREALIZED | ||||||||
CONTRACTS | GAIN | |||||||
FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 Russell 2000 Index | ||||||||
Mini Futures Contracts | ||||||||
(Aggregate Market Value of | ||||||||
Contracts $124,300) | 2 | $ | 5,406 | |||||
March 2010 S&P 500 Index | ||||||||
Mini Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $111,050) | 2 | 1,957 | ||||||
(Total Aggregate Market Value | ||||||||
of Contracts $235,350) | $ | 7,363 | ||||||
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 7. | |
(a) | Value determined based on Level 1 inputs — See Note 8. | |
(b) | Value determined based on Level 2 inputs — See Note 8. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 25 |
CONSOLIDATED SCHEDULE OF INVESTMENTS
December 31, 2009
MULTI-HEDGE STRATEGIES FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
COMMON STOCKS 50.7%(a) | ||||||||
INFORMATION TECHNOLOGY 9.3% | ||||||||
Sun Microsystems, Inc.*§ | 37,140 | $ | 348,002 | |||||
Affiliated Computer | ||||||||
Services, Inc. — Class A*§ | 5,490 | 327,698 | ||||||
3Com Corp.*§ | 26,630 | 199,725 | ||||||
Altera Corp.§ | 5,380 | 121,750 | ||||||
Computer Sciences Corp.*§ | 1,910 | 109,882 | ||||||
Hewlett-Packard Co.§ | 1,400 | 72,114 | ||||||
Tech Data Corp.*§ | 1,530 | 71,390 | ||||||
Jabil Circuit, Inc.§ | 3,990 | 69,306 | ||||||
EMC Corp.*§ | 3,420 | 59,747 | ||||||
Sohu.com, Inc.*§ | 1,040 | 59,571 | ||||||
Switch & Data Facilities | ||||||||
Company, Inc.*§ | 2,760 | 55,780 | ||||||
Fiserv, Inc.*§ | 1,120 | 54,298 | ||||||
Micron Technology, Inc.*§ | 4,900 | 51,744 | ||||||
CA, Inc.§ | 2,220 | 49,861 | ||||||
Diebold, Inc.§ | 1,730 | 49,219 | ||||||
Corning, Inc.§ | 2,400 | 46,344 | ||||||
Broadridge Financial | ||||||||
Solutions, Inc.§ | 2,040 | 46,022 | ||||||
Akamai Technologies, Inc.*§ | 1,770 | 44,834 | ||||||
Compuware Corp.*§ | 6,050 | 43,742 | ||||||
Brocade Communications | ||||||||
Systems, Inc.*§ | 5,620 | 42,881 | ||||||
Western Digital Corp.*§ | 970 | 42,826 | ||||||
Xilinx, Inc.§ | 1,690 | 42,351 | ||||||
QLogic Corp.*§ | 2,150 | 40,571 | ||||||
Apple, Inc.*§ | 180 | 37,955 | ||||||
Dolby Laboratories, Inc. — | ||||||||
Class A*§ | 680 | 32,456 | ||||||
ANSYS, Inc.*§ | 640 | 27,814 | ||||||
eBay, Inc.*§ | 1,110 | 26,129 | ||||||
Ingram Micro, Inc. — Class A*§ | 1,420 | 24,779 | ||||||
Cypress Semiconductor Corp.*§ | 2,270 | 23,971 | ||||||
Broadcom Corp. — Class A*§ | 670 | 21,072 | ||||||
Cree, Inc.*§ | 320 | 18,038 | ||||||
Genpact Ltd.*§ | 1,130 | 16,837 | ||||||
Fidelity National Information | ||||||||
Services, Inc.§ | 690 | 16,174 | ||||||
F5 Networks, Inc.*§ | 290 | 15,364 | ||||||
Ciena Corp.*§ | 1,250 | 13,550 | ||||||
Red Hat, Inc.*§ | 390 | 12,051 | ||||||
i2 Technologies, Inc.* | 520 | 9,942 | ||||||
Marvell Technology Group Ltd.*§ | 460 | 9,545 | ||||||
Teradata Corp.*§ | 240 | 7,543 | ||||||
Google, Inc. — Class A* | 10 | 6,200 | ||||||
Cognizant Technology | ||||||||
Solutions Corp. — Class A*§ | 100 | 4,530 | ||||||
Ariba, Inc.*§ | 290 | 3,631 | ||||||
Silicon Laboratories, Inc.*§ | 60 | 2,900 | ||||||
Amphenol Corp.§ | 40 | 1,847 | ||||||
Avnet, Inc.*§ | 50 | 1,508 | ||||||
Total Information Technology | 2,383,494 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
HEALTH CARE 6.7% | ||||||||
Varian, Inc.* | 5,310 | $ | 273,677 | |||||
IMS Health, Inc. | 9,500 | 200,070 | ||||||
Biogen Idec, Inc.*§ | 2,870 | 153,545 | ||||||
LifePoint Hospitals, Inc.*§ | 2,920 | 94,929 | ||||||
Baxter International, Inc.§ | 1,440 | 84,499 | ||||||
Watson Pharmaceuticals, Inc.*§ | 1,900 | 75,259 | ||||||
ResMed, Inc.*§ | 1,160 | 60,633 | ||||||
Universal Health Services, | ||||||||
Inc. — Class B§ | 1,960 | 59,780 | ||||||
Community Health Systems, Inc.*§ | 1,520 | 54,112 | ||||||
Express Scripts, Inc.*§ | 580 | 50,141 | ||||||
Gilead Sciences, Inc.*§ | 1,100 | 47,608 | ||||||
Mylan Laboratories, Inc.*§ | 2,470 | 45,522 | ||||||
Lincare Holdings, Inc.*§ | 1,160 | 43,059 | ||||||
Medco Health Solutions, Inc.*§ | 590 | 37,707 | ||||||
Abbott Laboratories§ | 640 | 34,554 | ||||||
Millipore Corp.*§ | 460 | 33,281 | ||||||
Allscripts Healthcare | ||||||||
Solutions, Inc.*§ | 1,370 | 27,715 | ||||||
Amgen, Inc.*§ | 470 | 26,588 | ||||||
Endo Pharmaceuticals | ||||||||
Holdings, Inc.*§ | 1,240 | 25,432 | ||||||
Omnicare, Inc.§ | 1,040 | 25,158 | ||||||
Edwards Lifesciences Corp.*§ | 270 | 23,449 | ||||||
Health Management Associates, Inc. — Class A*§ | 3,080 | 22,392 | ||||||
Thermo Fisher Scientific, Inc.*§ | 430 | 20,507 | ||||||
McKesson Corp.§ | 320 | 20,000 | ||||||
athenahealth, Inc.*§ | 410 | 18,548 | ||||||
Cerner Corp.*§ | 190 | 15,664 | ||||||
Eclipsys Corp.*§ | 740 | 13,705 | ||||||
Inverness Medical Innovations* | 51 | 13,558 | ||||||
Intuitive Surgical, Inc.*§ | 40 | 12,133 | ||||||
Hospira, Inc.*§ | 220 | 11,220 | ||||||
Cardinal Health, Inc.§ | 320 | 10,317 | ||||||
Johnson & Johnson§ | 140 | 9,017 | ||||||
VCA Antech, Inc.*§ | 360 | 8,971 | ||||||
Phase Forward, Inc.*§ | 570 | 8,749 | ||||||
Computer Programs & | ||||||||
Systems, Inc.§ | 180 | 8,289 | ||||||
Omnicell, Inc.*§ | 580 | 6,780 | ||||||
Boston Scientific Corp.*§ | 670 | 6,030 | ||||||
Bristol-Myers Squibb Co.§ | 190 | 4,798 | ||||||
OSI Pharmaceuticals, Inc.*§ | 130 | 4,034 | ||||||
MedAssets, Inc.*§ | 190 | 4,030 | ||||||
Perrigo Co.§ | 70 | 2,789 | ||||||
Teva Pharmaceutical | ||||||||
Industries Ltd. — SP ADR | 10 | 562 | ||||||
Total Health Care | 1,698,811 | |||||||
CONSUMER DISCRETIONARY 6.5% | ||||||||
Marvel Entertainment, Inc.*§ | 5,850 | 316,368 | ||||||
Black & Decker Corp.§ | 4,130 | 267,748 | ||||||
Hasbro, Inc.§ | 2,490 | 79,829 | ||||||
DIRECTV*§ | 2,080 | 69,368 |
26 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
MULTI-HEDGE STRATEGIES FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Burger King Holdings, Inc.§ | 3,500 | $ | 65,870 | |||||
Priceline.com, Inc.*§ | 220 | 48,070 | ||||||
Ross Stores, Inc.§ | 780 | 33,314 | ||||||
NutriSystem, Inc.§ | 1,010 | 31,482 | ||||||
Darden Restaurants, Inc.§ | 860 | 30,160 | ||||||
D.R. Horton, Inc.§ | 2,730 | 29,675 | ||||||
Interpublic Group of | ||||||||
Companies, Inc.*§ | 3,920 | 28,930 | ||||||
Comcast Corp. — Class A§ | 1,710 | 28,831 | ||||||
The Gap, Inc.§ | 1,340 | 28,073 | ||||||
John Wiley & Sons, Inc. — | ||||||||
Class A§ | 610 | 25,547 | ||||||
PetMed Express, Inc.§ | 1,400 | 24,682 | ||||||
Amazon.com, Inc.*§ | 180 | 24,214 | ||||||
Garmin Ltd.§ | 780 | 23,946 | ||||||
Lennar Corp. — Class A§ | 1,740 | 22,220 | ||||||
Stamps.com, Inc.*§ | 2,410 | 21,690 | ||||||
AutoNation, Inc.*§ | 1,130 | 21,639 | ||||||
Exide Technologies*§ | 2,960 | 21,046 | ||||||
Overstock.com, Inc.*§ | 1,470 | 19,933 | ||||||
LKQ Corp.*§ | 990 | 19,394 | ||||||
Time Warner Cable, Inc.§ | 450 | 18,625 | ||||||
Petsmart, Inc.§ | 690 | 18,416 | ||||||
Liberty Global, Inc. — Class A*§ | 810 | 17,747 | ||||||
Superior Industries | ||||||||
International, Inc.§ | 1,120 | 17,136 | ||||||
Guess?, Inc.§ | 390 | 16,497 | ||||||
Virgin Media, Inc.§ | 890 | 14,979 | ||||||
McDonald’s Corp.§ | 210 | 13,112 | ||||||
Lowe’s Companies, Inc.§ | 560 | 13,098 | ||||||
Shutterfly, Inc.*§ | 690 | 12,289 | ||||||
CBS Corp.§ | 860 | 12,083 | ||||||
Best Buy Company, Inc.§ | 270 | 10,654 | ||||||
Netflix, Inc.*§ | 190 | 10,477 | ||||||
Cedar Fair — LP | 880 | 10,041 | ||||||
Staples, Inc.§ | 390 | 9,590 | ||||||
Big Lots, Inc.*§ | 330 | 9,563 | ||||||
TJX Companies, Inc.§ | 260 | 9,503 | ||||||
Brinker International, Inc.§ | 610 | 9,101 | ||||||
Chipotle Mexican Grill, Inc. — | ||||||||
Class A*§ | 100 | 8,816 | ||||||
VF Corp.§ | 120 | 8,789 | ||||||
Bed Bath & Beyond, Inc.*§ | 200 | 7,726 | ||||||
Blue Nile, Inc.*§ | 120 | 7,600 | ||||||
Brink’s Home Security | ||||||||
Holdings, Inc.*§ | 230 | 7,507 | ||||||
Limited Brands, Inc.§ | 370 | 7,119 | ||||||
GameStop Corp.*§ | 320 | 7,021 | ||||||
Family Dollar Stores, Inc.§ | 250 | 6,957 | ||||||
Autoliv, Inc.§ | 160 | 6,938 | ||||||
Federal Mogul Corp. — Class A*§ | 370 | 6,401 | ||||||
WMS Industries, Inc.*§ | 160 | 6,400 | ||||||
AutoZone, Inc.*§ | 40 | 6,323 | ||||||
CTC Media, Inc.*§ | 420 | 6,258 | ||||||
Royal Caribbean Cruises Ltd.*§ | 240 | 6,067 |
MARKET | ||||||||
SHARES | VALUE | |||||||
International Speedway | ||||||||
Corp. — Class A§ | 210 | $ | 5,974 | |||||
Advance Auto Parts, Inc.§ | 140 | 5,667 | ||||||
Lamar Advertising Co.*§ | 180 | 5,596 | ||||||
Sherwin-Williams Co.§ | 90 | 5,548 | ||||||
Warner Music Group Corp.*§ | 910 | 5,151 | ||||||
O’Reilly Automotive, Inc.*§ | 130 | 4,956 | ||||||
Viacom, Inc. — Class B*§ | 110 | 3,270 | ||||||
Johnson Controls, Inc.§ | 120 | 3,269 | ||||||
HSN, Inc.*§ | 150 | 3,029 | ||||||
Dollar Tree, Inc.*§ | 60 | 2,898 | ||||||
TRW Automotive | ||||||||
Holdings Corp.*§ | 60 | 1,433 | ||||||
Raser Technologies, Inc.*§ | 730 | 905 | ||||||
Cooper Tire & Rubber Co.§ | 20 | 401 | ||||||
Total Consumer Discretionary | 1,652,959 | |||||||
FINANCIALS 5.5% | ||||||||
Financial Federal Corp. | 8,570 | 235,675 | ||||||
Allied Capital Corp.* | 28,810 | 104,004 | ||||||
Allied World Assurance | ||||||||
Company Holdings Ltd. | 1,770 | 81,544 | ||||||
Annaly Capital Management, Inc. | 4,210 | 73,043 | ||||||
First Horizon National Corp.* | 5,024 | 67,325 | ||||||
Digital Realty Trust, Inc. | 1,130 | 56,816 | ||||||
Hanover Insurance Group, Inc. | 1,250 | 55,537 | ||||||
Discover Financial Services | 3,160 | 46,484 | ||||||
Federated Investors, Inc. — | ||||||||
Class B | 1,610 | 44,275 | ||||||
Blackrock, Inc. | 190 | 44,118 | ||||||
IntercontinentalExchange, Inc.* | 380 | 42,674 | ||||||
Brown & Brown, Inc. | 2,310 | 41,511 | ||||||
BB&T Corp. | 1,400 | 35,518 | ||||||
M&T Bank Corp. | 470 | 31,438 | ||||||
Unum Group | 1,490 | 29,085 | ||||||
American Financial Group, Inc. | 1,080 | 26,946 | ||||||
MetLife, Inc. | 750 | 26,512 | ||||||
Hudson City Bancorp, Inc. | 1,800 | 24,714 | ||||||
CME Group, Inc. | 60 | 20,157 | ||||||
Student Loan Corp. | 420 | 19,559 | ||||||
Public Storage | 240 | 19,548 | ||||||
HCP, Inc. | 620 | 18,935 | ||||||
Ameriprise Financial, Inc. | 460 | 17,857 | ||||||
Wesco Financial Corp. | 50 | 17,150 | ||||||
Health Care REIT, Inc. | 370 | 16,398 | ||||||
Hospitality Properties Trust | 690 | 16,360 | ||||||
TD Ameritrade Holding Corp.* | 770 | 14,923 | ||||||
HCC Insurance Holdings, Inc. | 480 | 13,426 | ||||||
Douglas Emmett, Inc. | 860 | 12,255 | ||||||
MSCI, Inc. — Class A* | 380 | 12,084 | ||||||
AmeriCredit Corp.* | 590 | 11,234 | ||||||
Assurant, Inc. | 380 | 11,202 | ||||||
Alexandria Real Estate | ||||||||
Equities, Inc. | 170 | 10,929 | ||||||
Janus Capital Group, Inc. | 670 | 9,011 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 27 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
MULTI-HEDGE STRATEGIES FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Forest City Enterprises, | ||||||||
Inc. — Class A* | 720 | $ | 8,482 | |||||
Associated Banc-Corp | 680 | 7,487 | ||||||
Transatlantic Holdings, Inc. | 130 | 6,774 | ||||||
NASDAQ OMX Group, Inc.* | 340 | 6,739 | ||||||
W.R. Berkley Corp. | 260 | 6,406 | ||||||
Genworth Financial, Inc. — | ||||||||
Class A* | 560 | 6,356 | ||||||
Franklin Resources, Inc. | 60 | 6,321 | ||||||
HRPT Properties Trust | 840 | 5,435 | ||||||
Stancorp Financial Group, Inc. | 130 | 5,203 | ||||||
Investment Technology | ||||||||
Group, Inc.* | 260 | 5,122 | ||||||
First Citizens BancShares, Inc. — Class A | 30 | 4,920 | ||||||
T. Rowe Price Group, Inc. | 80 | 4,260 | ||||||
Invesco Ltd. | 170 | 3,993 | ||||||
Popular, Inc. | 1,610 | 3,639 | ||||||
U.S. Bancorp | 150 | 3,377 | ||||||
Northern Trust Corp. | 60 | 3,144 | ||||||
Morgan Stanley | 70 | 2,072 | ||||||
Prudential Financial, Inc. | 40 | 1,990 | ||||||
Lazard Ltd. — Class A | 50 | 1,899 | ||||||
Eaton Vance Corp. | 50 | 1,521 | ||||||
Cullen/Frost Bankers, Inc. | 30 | 1,500 | ||||||
BancorpSouth, Inc. | 40 | 938 | ||||||
First Niagara Financial Group, Inc. | 50 | 696 | ||||||
Liberty Property Trust | 10 | 320 | ||||||
Total Financials | 1,406,841 | |||||||
UTILITIES 5.5% | ||||||||
PG&E Corp.§ | 3,880 | 173,242 | ||||||
Xcel Energy, Inc.§ | 8,050 | 170,902 | ||||||
NRG Energy, Inc.*§ | 5,730 | 135,285 | ||||||
CMS Energy Corp.§ | 7,230 | 113,222 | ||||||
Questar Corp.§ | 2,350 | 97,690 | ||||||
Northeast Utilities§ | 3,640 | 93,876 | ||||||
American Water Works | ||||||||
Company, Inc.§ | 3,870 | 86,727 | ||||||
DPL, Inc.§ | 2,970 | 81,972 | ||||||
Wisconsin Energy Corp.§ | 1,490 | 74,247 | ||||||
Energen Corp.§ | 1,550 | 72,540 | ||||||
OGE Energy Corp.§ | 1,520 | 56,088 | ||||||
DTE Energy Co.§ | 1,130 | 49,257 | ||||||
AES Corp.*§ | 3,040 | 40,462 | ||||||
National Fuel Gas Co.§ | 770 | 38,500 | ||||||
American Electric Power | ||||||||
Company, Inc.§ | 960 | 33,398 | ||||||
Entergy Corp.§ | 310 | 25,370 | ||||||
NiSource, Inc.§ | 1,340 | 20,609 | ||||||
MDU Resources Group, Inc.§ | 800 | 18,880 | ||||||
FPL Group, Inc.§ | 150 | 7,923 | ||||||
Dynegy, Inc.*§ | 2,920 | 5,285 | ||||||
Mirant Corp.*§ | 320 | 4,886 | ||||||
CenterPoint Energy, Inc.§ | 100 | 1,451 | ||||||
Total Utilities | 1,401,812 | |||||||
MARKET | ||||||||
SHARES | VALUE | |||||||
INDUSTRIALS 4.9% | ||||||||
Burlington Northern | ||||||||
Santa Fe Corp. | 1,490 | $ | 146,944 | |||||
MPS Group, Inc.*§ | 7,410 | 101,813 | ||||||
W.W. Grainger, Inc.§ | 820 | 79,400 | ||||||
Timken Co.§ | 3,100 | 73,501 | ||||||
Goodrich Corp.§ | 850 | 54,612 | ||||||
Thomas & Betts Corp.*§ | 1,470 | 52,611 | ||||||
Harsco Corp.§ | 1,510 | 48,667 | ||||||
Union Pacific Corp.§ | 660 | 42,174 | ||||||
United Parcel | ||||||||
Service, Inc. — Class B§ | 730 | 41,880 | ||||||
Norfolk Southern Corp.§ | 780 | 40,887 | ||||||
URS Corp.*§ | 860 | 38,287 | ||||||
Aecom Technology Corp.*§ | 1,380 | 37,950 | ||||||
Dover Corp.§ | 870 | 36,201 | ||||||
Precision Castparts Corp.§ | 300 | 33,105 | ||||||
Gardner Denver, Inc.§ | 760 | 32,338 | ||||||
MSC Industrial Direct Co.§ | 670 | 31,490 | ||||||
WESCO International, Inc.*§ | 1,140 | 30,791 | ||||||
Manpower, Inc.§ | 560 | 30,565 | ||||||
Dun & Bradstreet Corp.§ | 340 | 28,686 | ||||||
Eaton Corp.§ | 390 | 24,812 | ||||||
TransDigm Group, Inc.§ | 520 | 24,695 | ||||||
Alexander & Baldwin, Inc.§ | 660 | 22,592 | ||||||
CSX Corp.§ | 410 | 19,881 | ||||||
ITT Corp.§ | 350 | 17,409 | ||||||
Roper Industries, Inc.§ | 300 | 15,711 | ||||||
Hubbell, Inc. — Class B§ | 330 | 15,609 | ||||||
Rockwell Automation, Inc.§ | 320 | 15,034 | ||||||
Joy Global, Inc.§ | 290 | 14,961 | ||||||
GATX Corp.§ | 520 | 14,950 | ||||||
FTI Consulting, Inc.*§ | 310 | 14,620 | ||||||
Pentair, Inc.§ | 450 | 14,535 | ||||||
Cummins, Inc.§ | 210 | 9,631 | ||||||
Flowserve Corp.§ | 100 | 9,453 | ||||||
L-3 Communications | ||||||||
Holdings, Inc.§ | 100 | 8,695 | ||||||
Bucyrus International, Inc.§ | 130 | 7,328 | ||||||
Robert Half International, Inc.§ | 260 | 6,950 | ||||||
Fluor Corp.§ | 110 | 4,954 | ||||||
Snap-On, Inc.§ | 110 | 4,649 | ||||||
Trinity Industries, Inc.§ | 220 | 3,837 | ||||||
Parker Hannifin Corp.§ | 50 | 2,694 | ||||||
RR Donnelley & Sons Co.§ | 80 | 1,782 | ||||||
General Cable Corp.*§ | 60 | 1,765 | ||||||
Kirby Corp.* | 10 | 348 | ||||||
Total Industrials | 1,258,797 | |||||||
CONSUMER STAPLES 4.6% | ||||||||
PepsiAmericas, Inc.§ | 7,740 | 226,472 | ||||||
Pepsi Bottling Group, Inc.§ | 5,900 | 221,250 | ||||||
Wal-Mart Stores, Inc.§ | 2,060 | 110,107 | ||||||
Alberto-Culver Co.§ | 3,140 | 91,971 | ||||||
Church & Dwight Company, Inc.§ | 1,310 | 79,189 | ||||||
J.M. Smucker Co.§ | 1,260 | 77,805 |
28 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
1
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
MULTI-HEDGE STRATEGIES FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
BJ’s Wholesale Club, Inc.*§ | 1,670 | $ | 54,626 | |||||
Del Monte Foods Co.§ | 4,660 | 52,844 | ||||||
Dean Foods Co.*§ | 2,720 | 49,069 | ||||||
Philip Morris International, Inc.§ | 510 | 24,577 | ||||||
Bunge Ltd.§ | 380 | 24,255 | ||||||
Coca-Cola Co.§ | 390 | 22,230 | ||||||
Kimberly-Clark Corp.§ | 310 | 19,750 | ||||||
Herbalife Ltd.§ | 460 | 18,662 | ||||||
Procter & Gamble Co.§ | 300 | 18,189 | ||||||
Colgate-Palmolive Co.§ | 200 | 16,430 | ||||||
Rite Aid Corp.*§ | 8,950 | 13,514 | ||||||
Reynolds American, Inc.§ | 240 | 12,713 | ||||||
Clorox Co.§ | 180 | 10,980 | ||||||
Diedrich Coffee, Inc.* | 290 | 10,107 | ||||||
Energizer Holdings, Inc.*§ | 120 | 7,354 | ||||||
Dr Pepper Snapple Group, Inc.§ | 250 | 7,075 | ||||||
Hansen Natural Corp.*§ | 130 | 4,992 | ||||||
Universal Corp.§ | 80 | 3,649 | ||||||
Vector Group Ltd.§ | 190 | 2,660 | ||||||
Total Consumer Staples | 1,180,470 | |||||||
ENERGY 4.2% | ||||||||
BJ Services Co. | 20,420 | 379,812 | ||||||
XTO Energy, Inc. | 2,110 | 98,178 | ||||||
Overseas Shipholding Group, Inc. | 1,290 | 56,695 | ||||||
Hess Corp. | 750 | 45,375 | ||||||
Murphy Oil Corp. | 760 | 41,192 | ||||||
Southwestern Energy Co.* | 780 | 37,596 | ||||||
Anadarko Petroleum Corp. | 540 | 33,707 | ||||||
Rowan Companies, Inc.* | 1,380 | 31,243 | ||||||
Whiting Petroleum Corp.* | 400 | 28,588 | ||||||
Occidental Petroleum Corp. | 330 | 26,845 | ||||||
Concho Resources, Inc.* | 590 | 26,491 | ||||||
Noble Energy, Inc. | 370 | 26,351 | ||||||
Pride International, Inc.* | 760 | 24,252 | ||||||
Range Resources Corp. | 480 | 23,928 | ||||||
EOG Resources, Inc. | 220 | 21,406 | ||||||
CNX Gas Corp.* | 650 | 19,188 | ||||||
National-Oilwell Varco, Inc. | 410 | 18,077 | ||||||
Peabody Energy Corp. | 300 | 13,563 | ||||||
Schlumberger Ltd. | 180 | 11,716 | ||||||
Chevron Corp. | 150 | 11,549 | ||||||
Oceaneering International, Inc.* | 190 | 11,119 | ||||||
Diamond Offshore Drilling, Inc. | 110 | 10,826 | ||||||
Williams Companies, Inc. | 410 | 8,643 | ||||||
Tesoro Corp. | 570 | 7,724 | ||||||
Halliburton Co. | 240 | 7,222 | ||||||
Arch Coal, Inc. | 320 | 7,120 | ||||||
Tidewater, Inc. | 140 | 6,713 | ||||||
Frontline Ltd. | 220 | 6,010 | ||||||
Continental Resources, Inc.* | 140 | 6,005 | ||||||
Dresser-Rand Group, Inc.* | 180 | 5,690 | ||||||
Cabot Oil & Gas Corp. | 130 | 5,667 | ||||||
Helmerich & Payne, Inc. | 140 | 5,583 |
MARKET | ||||||||
SHARES | VALUE | |||||||
Ensco International | ||||||||
PLC — SP ADR | 130 | $ | 5,192 | |||||
FMC Technologies, Inc.* | 70 | 4,049 | ||||||
Nabors Industries Ltd.* | 160 | 3,502 | ||||||
Marathon Oil Corp. | 110 | 3,434 | ||||||
SEACOR Holdings, Inc.* | 20 | 1,525 | ||||||
Consol Energy, Inc. | 30 | 1,494 | ||||||
Total Energy | 1,083,270 | |||||||
MATERIALS 3.2% | ||||||||
Nucor Corp.§ | 2,290 | 106,829 | ||||||
Ball Corp.§ | 1,280 | 66,176 | ||||||
Airgas, Inc.§ | 1,290 | 61,404 | ||||||
AptarGroup, Inc.§ | 1,190 | 42,531 | ||||||
Terra Industries, Inc. | 1,180 | 37,984 | ||||||
Reliance Steel & Aluminum Co.§ | 860 | 37,169 | ||||||
Cliffs Natural Resources, Inc.§ | 690 | 31,802 | ||||||
Ashland, Inc.§ | 700 | 27,734 | ||||||
FMC Corp.§ | 480 | 26,765 | ||||||
Schnitzer Steel Industries, | ||||||||
Inc. — Class A§ | 500 | 23,850 | ||||||
Bemis Co.§ | 800 | 23,720 | ||||||
Crown Holdings, Inc.*§ | 890 | 22,766 | ||||||
Eastman Chemical Co.§ | 360 | 21,687 | ||||||
Sonoco Products Co.§ | 730 | 21,353 | ||||||
Compass Minerals | ||||||||
International, Inc.§ | 310 | 20,829 | ||||||
Valspar Corp.§ | 760 | 20,626 | ||||||
Royal Gold, Inc.§ | 430 | 20,253 | ||||||
Steel Dynamics, Inc.§ | 1,080 | 19,138 | ||||||
Pactiv Corp.*§ | 780 | 18,829 | ||||||
Walter Industries, Inc.§ | 250 | 18,828 | ||||||
RPM International, Inc.§ | 750 | 15,248 | ||||||
United States Steel Corp.§ | 260 | 14,331 | ||||||
Allegheny Technologies, Inc.§ | 290 | 12,983 | ||||||
International Paper Co.§ | 380 | 10,176 | ||||||
Celanese Corp.§ | 290 | 9,309 | ||||||
Clearwater Paper Corp.*§ | 160 | 8,795 | ||||||
Intrepid Potash, Inc.*§ | 290 | 8,459 | ||||||
Schweitzer-Mauduit | ||||||||
International, Inc.§ | 110 | 7,739 | ||||||
PPG Industries, Inc.§ | 130 | 7,610 | ||||||
Glatfelter§ | 620 | 7,533 | ||||||
Sealed Air Corp.§ | 340 | 7,432 | ||||||
Deltic Timber Corp.§ | 160 | 7,389 | ||||||
Albemarle Corp.§ | 190 | 6,910 | ||||||
MeadWestvaco Corp.§ | 230 | 6,585 | ||||||
Huntsman Corp.§ | 370 | 4,177 | ||||||
Wausau Paper Corp.§ | 340 | 3,944 | ||||||
Domtar Corp.*§ | 20 | 1,108 | ||||||
Total Materials | 810,001 | |||||||
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 29 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
MULTI-HEDGE STRATEGIES FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
TELECOMMUNICATION SERVICES 0.3% | ||||||||
Verizon Communications, Inc.§ | 2,130 | $ | 70,567 | |||||
Leap Wireless | ||||||||
International, Inc. — | ||||||||
Class B*§ | 220 | 3,861 | ||||||
American Tower Corp. — | ||||||||
Class A*§ | 80 | 3,457 | ||||||
Total Telecommunication Services | 77,885 | |||||||
Total Common Stocks | ||||||||
(Cost $11,538,293) | 12,954,340 | |||||||
EXCHANGE TRADED FUNDS 4.5%(a) | ||||||||
iShares MSCI Chile Investable | ||||||||
Market Index Fund§ | 4,430 | 242,719 | ||||||
First Trust Enhanced Equity | ||||||||
Income Fund, Inc.§ | 10,390 | 121,563 | ||||||
iShares MSCI Brazil Index Fund§ | 1,590 | 118,630 | ||||||
Nuveen Core Equity Alpha Fund§ | 9,590 | 117,094 | ||||||
iShares MSCI Emerging Markets Index Fund§ | 2,720 | 112,880 | ||||||
Liberty All Star Equity Fund§ | 25,683 | 111,207 | ||||||
iShares MSCI Malaysia Index Fund§ | 7,790 | 82,730 | ||||||
Vanguard Emerging Markets ETF§ | 1,960 | 80,360 | ||||||
iPath MSCI India Index ETN*§ | 920 | 58,935 | ||||||
iShares MSCI BRIC Index Fund§ | 920 | 42,182 | ||||||
iShares MSCI Turkey Index Fund§ | 390 | 21,021 | ||||||
iShares MSCI Sweden Index Fund§ | 870 | 20,445 | ||||||
iShares MSCI South Korea Index | ||||||||
Fund§ | 200 | 9,528 | ||||||
iShares MSCI South Africa | ||||||||
Index Fund§ | 170 | 9,515 | ||||||
iShares MSCI Singapore | ||||||||
Index Fund§ | 660 | 7,577 | ||||||
iShares MSCI Taiwan Index Fund, Inc. | 10 | 130 | ||||||
Total Exchange Traded Funds | ||||||||
(Cost $878,592) | 1,156,516 | |||||||
CLOSED-END FUNDS 6.5%(a) | ||||||||
Calamos Strategic Total | ||||||||
Return Fund | 12,490 | 109,287 | ||||||
Eaton Vance Tax-Advantaged | ||||||||
Dividend Income Fund, Inc. | 6,026 | 95,090 | ||||||
Cohen & Steers Quality Income Realty Fund, Inc.§ | 15,350 | 93,175 | ||||||
ING Clarion Global Real Estate | ||||||||
Income Fund | 13,143 | 83,721 | ||||||
Cohen & Steers Select Utility Fund, Inc.§ | 4,953 | 79,050 | ||||||
Cohen & Steers REIT and Utility | ||||||||
Income Fund, Inc.§ | 7,209 | 76,560 | ||||||
Royce Value Trust, Inc.§ | 6,947 | 75,028 | ||||||
Blackrock Dividend Achievers | ||||||||
Trust§ | 6,760 | 63,679 |
MARKET | ||||||||
SHARES | VALUE | |||||||
DWS Dreman Value Income | ||||||||
Edge Fund, Inc.§ | 5,084 | $ | 61,364 | |||||
SunAmerica Focused Alpha | ||||||||
Growth Fund§ | 4,169 | 57,157 | ||||||
H&Q Healthcare Investors*§ | 4,560 | 54,127 | ||||||
John Hancock Tax-Advantaged | ||||||||
Dividend Income Fund§ | 4,133 | 53,398 | ||||||
Petroleum & Resources Corp.§ | 2,243 | 53,237 | ||||||
Macquarie Global Infrastructure | ||||||||
Total Return Fund, Inc.§ | 3,307 | 52,416 | ||||||
John Hancock Bank and | ||||||||
Thrift Opportunity Fund§ | 3,422 | 48,250 | ||||||
Adams Express Co.§ | 4,516 | 45,615 | ||||||
General American Investors | ||||||||
Company, Inc.§ | 1,679 | 39,392 | ||||||
Zweig Fund, Inc.§ | 11,406 | 37,754 | ||||||
BlackRock Strategic Dividend | ||||||||
Achievers Trust§ | 4,065 | 37,073 | ||||||
Clough Global Equity Fund§ | 2,522 | 35,762 | ||||||
Gabelli Global Deal Fund§ | 2,316 | 33,374 | ||||||
LMP Capital and Income | ||||||||
Fund, Inc. | 2,988 | 30,926 | ||||||
H&Q Life Sciences Investors* | 3,209 | 30,293 | ||||||
Old Mutual Claymore | ||||||||
Long-Short Fund§ | 3,455 | 29,402 | ||||||
Neuberger Berman Real Estate | ||||||||
Securities Income Fund, Inc. | 9,321 | 28,522 | ||||||
SunAmerica Focused Alpha | ||||||||
Large-Cap Fund, Inc.§ | 2,080 | 28,434 | ||||||
Royce Micro-Cap Trust, Inc.§ | 3,270 | 24,165 | ||||||
Madison/Claymore Covered Call & Equity Strategy Fund§ | 2,710 | 24,119 | ||||||
Nuveen Diversified Dividend and Income Fund§ | 2,420 | 23,547 | ||||||
Nuveen Tax-Advantaged Total | ||||||||
Return Strategy Fund | 1,990 | 21,273 | ||||||
Cohen & Steers Dividend Majors Fund, Inc.§ | 1,860 | 19,437 | ||||||
Source Capital, Inc.§ | 450 | 19,368 | ||||||
Nuveen Tax-Advantaged | ||||||||
Dividend Growth Fund | 1,650 | 19,074 | ||||||
Lazard Global Total Return and | ||||||||
Income Fund, Inc.§ | 1,249 | 18,598 | ||||||
Franklin Universal Trust§ | 2,570 | 14,906 | ||||||
Macquarie/First Trust Global | ||||||||
Infrastructure/Utilities Dividend & Income Fund§ | 1,090 | 13,505 | ||||||
Royce Focus Trust, Inc. | 1,611 | 10,198 | ||||||
Nuveen Equity Premium | ||||||||
Advantage Fund§ | 700 | 9,149 | ||||||
Advent Claymore Enhanced Growth & Income Fund, Inc. | 600 | 6,720 | ||||||
Blackrock Health Sciences Trust§ | 250 | 6,557 | ||||||
Total Closed-End Funds | ||||||||
(Cost $1,503,426) | 1,662,702 | |||||||
30 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
2
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
MULTI-HEDGE STRATEGIES FUND
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENTS† 30.4%(b) | ||||||||
Credit Suisse Group | ||||||||
issued 12/31/09 at (0.02)% | ||||||||
due 01/04/10 | $ | 4,884,673 | $ | 4,884,673 | ||||
Mizuho Financial Group, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 780,364 | 780,364 | ||||||
HSBC Group | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 774,411 | 774,411 | ||||||
UBS Financial Services, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 774,411 | 774,411 | ||||||
Morgan Stanley | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 546,643 | 546,643 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $7,760,502) | 7,760,502 | |||||||
Total Long Securities 92.1% | ||||||||
(Cost $21,680,813) | $ | 23,534,060 | ||||||
SHARES | ||||||||
COMMON STOCKS SOLD SHORT (39.7)%(a) | ||||||||
TELECOMMUNICATION SERVICES (0.3)% | ||||||||
United States Cellular Corp.* | 150 | (6,362 | ) | |||||
Telephone & Data Systems, Inc. | 370 | (12,550 | ) | |||||
Crown Castle International Corp.* | 370 | (14,445 | ) | |||||
NII Holdings, Inc.* | 620 | (20,820 | ) | |||||
Sprint Nextel Corp.* | 5,990 | (21,923 | ) | |||||
Total Telecommunication Services | (76,100 | ) | ||||||
MATERIALS (1.8)% | ||||||||
Alcoa, Inc. | 150 | (2,418 | ) | |||||
Lubrizol Corp. | 60 | (4,377 | ) | |||||
Commercial Metals Co. | 390 | (6,103 | ) | |||||
Newmont Mining Corp. | 170 | (8,043 | ) | |||||
AK Steel Holding Corp. | 380 | (8,113 | ) | |||||
Ecolab, Inc. | 190 | (8,472 | ) | |||||
Freeport-McMoRan Copper & | ||||||||
Gold, Inc.* | 110 | (8,832 | ) | |||||
Eagle Materials, Inc. | 410 | (10,680 | ) | |||||
Temple-Inland, Inc. | 510 | (10,766 | ) | |||||
CF Industries Holdings, Inc. | 120 | (10,894 | ) | |||||
Cytec Industries, Inc. | 340 | (12,383 | ) | |||||
Cabot Corp. | 850 | (22,296 | ) | |||||
Scotts Miracle-Gro Co. — Class A | 720 | (28,303 | ) | |||||
Nalco Holding Co. | 1,490 | (38,010 | ) | |||||
Vulcan Materials Co. | 860 | (45,296 | ) | |||||
Valhi, Inc. | 8,236 | (115,057 | ) | |||||
Weyerhaeuser Co. | 2,670 | (115,184 | ) | |||||
Total Materials | (455,227 | ) | ||||||
ENERGY (2.5)% | ||||||||
Chesapeake Energy Corp. | 50 | (1,294 | ) | |||||
Smith International, Inc. | 60 | (1,630 | ) |
MARKET | ||||||||
SHARES | VALUE | |||||||
Frontier Oil Corp. | 310 | $ | (3,732 | ) | ||||
Helix Energy Solutions Group, Inc.* | 370 | (4,347 | ) | |||||
Hercules Offshore, Inc.* | 910 | (4,350 | ) | |||||
SandRidge Energy, Inc.* | 640 | (6,035 | ) | |||||
Mariner Energy, Inc.* | 550 | (6,386 | ) | |||||
Holly Corp. | 270 | (6,920 | ) | |||||
Massey Energy Co. | 170 | (7,142 | ) | |||||
Quicksilver Resources, Inc.* | 500 | (7,505 | ) | |||||
Teekay Corp. | 330 | (7,659 | ) | |||||
PetroHawk Energy Corp.* | 320 | (7,677 | ) | |||||
El Paso Corp. | 980 | (9,633 | ) | |||||
Exterran Holdings, Inc.* | 490 | (10,511 | ) | |||||
Plains Exploration & Production Co.* | 420 | (11,617 | ) | |||||
ConocoPhillips | 340 | (17,364 | ) | |||||
Forest Oil Corp.* | 860 | (19,135 | ) | |||||
Valero Energy Corp. | 1,170 | (19,598 | ) | |||||
Newfield Exploration Co.* | 760 | (36,655 | ) | |||||
Exxon Mobil Corp. | 1,500 | (102,285 | ) | |||||
Baker Hughes, Inc. | 8,200 | (331,936 | ) | |||||
Total Energy | (623,411 | ) | ||||||
HEALTH CARE (3.4)% | ||||||||
Covance, Inc.* | 10 | (546 | ) | |||||
CR Bard, Inc. | 20 | (1,558 | ) | |||||
Myriad Genetics, Inc.* | 60 | (1,566 | ) | |||||
Brookdale Senior Living, Inc.* | 170 | (3,092 | ) | |||||
Stryker Corp. | 90 | (4,533 | ) | |||||
Life Technologies Corp.* | 100 | (5,223 | ) | |||||
Health Net, Inc.* | 400 | (9,316 | ) | |||||
Allergan, Inc. | 190 | (11,972 | ) | |||||
Eli Lilly & Co. | 340 | (12,141 | ) | |||||
Patterson Companies, Inc.* | 500 | (13,990 | ) | |||||
Amylin Pharmaceuticals, Inc.* | 1,020 | (14,474 | ) | |||||
Hill-Rom Holdings, Inc. | 620 | (14,874 | ) | |||||
Vertex Pharmaceuticals, Inc.* | 470 | (20,139 | ) | |||||
Tenet Healthcare Corp.* | 4,090 | (22,045 | ) | |||||
Hologic, Inc.* | 1,750 | (25,375 | ) | |||||
Charles River Laboratories | ||||||||
International, Inc.* | 930 | (31,332 | ) | |||||
King Pharmaceuticals, Inc.* | 3,040 | (37,301 | ) | |||||
Genzyme Corp.* | 1,130 | (55,381 | ) | |||||
BioMarin Pharmaceuticals, Inc.* | 2,970 | (55,866 | ) | |||||
Teleflex, Inc. | 1,350 | (72,752 | ) | |||||
United Therapeutics Corp.* | 1,410 | (74,237 | ) | |||||
Alexion Pharmaceuticals, Inc.* | 1,910 | (93,246 | ) | |||||
Cephalon, Inc.* | 2,170 | (135,430 | ) | |||||
Celgene Corp.* | 2,840 | (158,131 | ) | |||||
Total Health Care | (874,520 | ) | ||||||
CONSUMER DISCRETIONARY (3.4)% | ||||||||
Borgwarner, Inc. | 10 | (332 | ) | |||||
Liberty Media Corp. — Interactive* | 40 | (434 | ) | |||||
Fortune Brands, Inc. | 50 | (2,160 | ) |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 31 |
3
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
MULTI-HEDGE STRATEGIES FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Scripps Networks | ||||||||
Interactive, Inc. — Class A | 70 | $ | (2,905 | ) | ||||
Central European Media | ||||||||
Enterprises Ltd. — Class A* | 190 | (4,486 | ) | |||||
Abercrombie & Fitch Co. — | ||||||||
Class A | 140 | (4,879 | ) | |||||
MGM Mirage* | 550 | (5,016 | ) | |||||
Eastman Kodak Co.* | 1,420 | (5,992 | ) | |||||
Career Education Corp.* | 270 | (6,294 | ) | |||||
Scientific Games Corp. — Class A* | 500 | (7,275 | ) | |||||
Penn National Gaming, Inc.* | 280 | (7,610 | ) | |||||
Expedia, Inc.* | 300 | (7,713 | ) | |||||
Signet Jewelers Ltd.* | 290 | (7,749 | ) | |||||
Sirius XM Radio, Inc.* | 13,340 | (8,004 | ) | |||||
Hanesbrands* | 340 | (8,197 | ) | |||||
American Eagle Outfitters, Inc. | 540 | (9,169 | ) | |||||
M.D.C. Holdings, Inc. | 310 | (9,622 | ) | |||||
Thor Industries, Inc. | 320 | (10,048 | ) | |||||
KB Home | 870 | (11,902 | ) | |||||
Whirlpool Corp. | 150 | (12,099 | ) | |||||
Mattel, Inc. | 690 | (13,786 | ) | |||||
Goodyear Tire & Rubber Co.* | 990 | (13,959 | ) | |||||
Liberty Media Corp. — Capital* | 590 | (14,089 | ) | |||||
NVR, Inc.* | 20 | (14,214 | ) | |||||
Home Depot, Inc. | 500 | (14,465 | ) | |||||
Harley-Davidson, Inc. | 610 | (15,372 | ) | |||||
Gentex Corp. | 880 | (15,708 | ) | |||||
Hillenbrand, Inc. | 900 | (16,956 | ) | |||||
New York Times Co. — Class A* | 1,420 | (17,551 | ) | |||||
Marriott International, Inc. — | ||||||||
Class A | 650 | (17,713 | ) | |||||
Wynn Resorts Ltd. | 320 | (18,634 | ) | |||||
Macy’s, Inc. | 1,160 | (19,442 | ) | |||||
Dick’s Sporting Goods, Inc.* | 870 | (21,637 | ) | |||||
Cablevision Systems Corp. — | ||||||||
Class A | 860 | (22,205 | ) | |||||
Harman International | ||||||||
Industries, Inc. | 630 | (22,226 | ) | |||||
Tiffany & Co. | 550 | (23,650 | ) | |||||
Mohawk Industries, Inc.* | 500 | (23,800 | ) | |||||
Newell Rubbermaid, Inc. | 1,730 | (25,967 | ) | |||||
Gannett Company, Inc. | 1,800 | (26,730 | ) | |||||
Las Vegas Sands Corp.* | 1,800 | (26,892 | ) | |||||
International Game Technology | 1,560 | (29,281 | ) | |||||
News Corp. — Class A | 2,140 | (29,297 | ) | |||||
Choice Hotels International, Inc. | 930 | (29,444 | ) | |||||
Starbucks Corp.* | 1,310 | (30,209 | ) | |||||
Strayer Education, Inc. | 280 | (59,497 | ) | |||||
Regal Entertainment Group — | ||||||||
Class A | 6,100 | (88,084 | ) | |||||
Walt Disney Co. | 2,960 | (95,460 | ) | |||||
Total Consumer Discretionary | (878,154 | ) | ||||||
UTILITIES (3.9)% | ||||||||
Pepco Holdings, Inc. | 360 | (6,066 | ) | |||||
RRI Energy, Inc.* | 1,330 | (7,607 | ) |
MARKET | ||||||||
SHARES | VALUE | |||||||
Calpine Corp.* | 910 | $ | (10,010 | ) | ||||
Edison International | 370 | (12,869 | ) | |||||
Consolidated Edison, Inc. | 440 | (19,989 | ) | |||||
Great Plains Energy, Inc. | 1,520 | (29,473 | ) | |||||
Southern Co. | 960 | (31,987 | ) | |||||
Oneok, Inc. | 760 | (33,873 | ) | |||||
Allegheny Energy, Inc. | 1,890 | (44,377 | ) | |||||
Constellation Energy Group, Inc. | 1,340 | (47,128 | ) | |||||
EQT Corp. | 1,120 | (49,190 | ) | |||||
Aqua America, Inc. | 2,860 | (50,079 | ) | |||||
Public Service Enterprise Group, Inc. | 1,720 | (57,190 | ) | |||||
TECO Energy, Inc. | 4,670 | (75,747 | ) | |||||
Duke Energy Corp. | 4,690 | (80,715 | ) | |||||
Integrys Energy Group, Inc. | 2,120 | (89,019 | ) | |||||
PPL Corp. | 2,770 | (89,499 | ) | |||||
Alliant Energy Corp. | 3,880 | (117,409 | ) | |||||
Dominion Resources, Inc. | 3,790 | (147,507 | ) | |||||
Total Utilities | (999,734 | ) | ||||||
CONSUMER STAPLES (4.0)% | ||||||||
Kraft Foods, Inc. | 40 | (1,087 | ) | |||||
Central European | ||||||||
Distribution Corp.* | 100 | (2,841 | ) | |||||
NBTY, Inc.* | 100 | (4,354 | ) | |||||
Green Mountain Coffee | ||||||||
Roasters, Inc.* | 80 | (6,518 | ) | |||||
Whole Foods Market, Inc.* | 460 | (12,627 | ) | |||||
SUPERVALU, Inc. | 1,030 | (13,091 | ) | |||||
Campbell Soup Co. | 600 | (20,280 | ) | |||||
Tyson Foods, Inc. — Class A | 1,960 | (24,049 | ) | |||||
Brown-Forman Corp. | 570 | (30,535 | ) | |||||
Molson Coors Brewing Co. — | ||||||||
Class B | 690 | (31,160 | ) | |||||
Kellogg Co. | 630 | (33,516 | ) | |||||
Coca-Cola Enterprises | 1,670 | (35,404 | ) | |||||
Hormel Foods Corp. | 1,100 | (42,295 | ) | |||||
Estee Lauder Companies, Inc. — Class A | 890 | (43,040 | ) | |||||
Altria Group, Inc. | 2,910 | (57,123 | ) | |||||
Lorillard, Inc. | 770 | (61,777 | ) | |||||
Constellation Brands, Inc. — | ||||||||
Class A* | 4,360 | (69,455 | ) | |||||
Hershey Co. | 2,340 | (83,749 | ) | |||||
Flowers Foods, Inc. | 3,810 | (90,526 | ) | |||||
Sara Lee Corp. | 9,350 | (113,883 | ) | |||||
PepsiCo, Inc. | 3,850 | (234,080 | ) | |||||
Total Consumer Staples | (1,011,390 | ) | ||||||
INDUSTRIALS (5.0)% | ||||||||
Terex Corp* | 40 | (792 | ) | |||||
Brink’s Co. | 70 | (1,704 | ) | |||||
Danaher Corp. | 40 | (3,008 | ) | |||||
SunPower Corp.* | 180 | (4,262 | ) | |||||
Corrections Corporation of | ||||||||
America* | 190 | (4,664 | ) |
32 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
MULTI-HEDGE STRATEGIES FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Armstrong World Industries, Inc.* | 120 | $ | (4,672 | ) | ||||
General Electric Co. | 310 | (4,690 | ) | |||||
Monster Worldwide, Inc.* | 420 | (7,308 | ) | |||||
Manitowoc Company, Inc. | 740 | (7,378 | ) | |||||
Hertz Global Holdings, Inc.* | 640 | (7,629 | ) | |||||
Iron Mountain, Inc.* | 340 | (7,738 | ) | |||||
Avis Budget Group, Inc.* | 640 | (8,397 | ) | |||||
Owens Corning, Inc.* | 350 | (8,974 | ) | |||||
Textron, Inc. | 510 | (9,593 | ) | |||||
UTi Worldwide, Inc. | 790 | (11,313 | ) | |||||
Crane Co. | 380 | (11,636 | ) | |||||
Oshkosh Corp. | 350 | (12,961 | ) | |||||
PACCAR, Inc. | 370 | (13,420 | ) | |||||
McDermott International, Inc.* | 580 | (13,926 | ) | |||||
Masco Corp. | 1,070 | (14,777 | ) | |||||
Kennametal, Inc. | 610 | (15,811 | ) | |||||
Con-way, Inc. | 490 | (17,106 | ) | |||||
3M Co. | 210 | (17,361 | ) | |||||
Graco, Inc. | 690 | (19,713 | ) | |||||
Deere & Co. | 380 | (20,554 | ) | |||||
USG Corp.* | 2,280 | (32,034 | ) | |||||
FedEx Corp. | 390 | (32,546 | ) | |||||
Landstar System, Inc. | 1,560 | (60,481 | ) | |||||
AMR Corp.* | 9,580 | (74,053 | ) | |||||
Continental Airlines, Inc.* | 5,470 | (98,022 | ) | |||||
Southwest Airlines Co. | 8,800 | (100,584 | ) | |||||
Boeing Co. | 2,040 | (110,425 | ) | |||||
Delta Air Lines, Inc.* | 10,200 | (116,076 | ) | |||||
Stericycle, Inc.* | 2,300 | (126,891 | ) | |||||
Stanley Works | 5,280 | (271,973 | ) | |||||
Total Industrials | (1,272,472 | ) | ||||||
INFORMATION TECHNOLOGY (7.4)% | ||||||||
Western Union Co. | 10 | (188 | ) | |||||
Molex, Inc. | 10 | (215 | ) | |||||
CommScope, Inc.* | 10 | (265 | ) | |||||
Fairchild Semiconductor | ||||||||
International, Inc.* | 110 | (1,099 | ) | |||||
Seagate Technology | 140 | (2,547 | ) | |||||
JDA Software Group, Inc.* | 130 | (3,311 | ) | |||||
McAfee, Inc.* | 100 | (4,057 | ) | |||||
Vishay Intertechnology, Inc.* | 870 | (7,264 | ) | |||||
Convergys Corp.* | 680 | (7,310 | ) | |||||
MEMC Electronic Materials, Inc.* | 650 | (8,853 | ) | |||||
Lexmark International, Inc. — | ||||||||
Class A* | 370 | (9,613 | ) | |||||
NetApp, Inc.* | 300 | (10,317 | ) | |||||
EchoStar Corp. — Class A* | 520 | (10,473 | ) | |||||
Arrow Electronics, Inc.* | 370 | (10,956 | ) | |||||
ON Semiconductor Corp.* | 1,280 | (11,277 | ) | |||||
Trimble Navigation Ltd.* | 460 | (11,592 | ) | |||||
Yahoo!, Inc.* | 820 | (13,760 | ) | |||||
Rambus, Inc.* | 650 | (15,860 | ) | |||||
Advanced Micro Devices, Inc.* | 1,730 | (16,746 | ) | |||||
SanDisk Corp.* | 590 | (17,104 | ) | |||||
Motorola, Inc.* | 2,630 | (20,409 | ) |
MARKET | ||||||||
SHARES | VALUE | |||||||
Novellus Systems, Inc.* | 880 | $ | (20,539 | ) | ||||
Activision Blizzard, Inc.* | 1,960 | (21,776 | ) | |||||
Unisys Corp.* | 580 | (22,365 | ) | |||||
AVX Corp. | 1,820 | (23,059 | ) | |||||
Intersil Corp. — CL A | 1,620 | (24,851 | ) | |||||
Itron, Inc.* | 380 | (25,677 | ) | |||||
Hewitt Associates, Inc. — Class A* | 760 | (32,118 | ) | |||||
National Semiconductor Corp. | 2,210 | (33,946 | ) | |||||
Zebra Technologies Corp. — | ||||||||
Class A* | 1,200 | (34,032 | ) | |||||
Visa, Inc. | 390 | (34,109 | ) | |||||
Autodesk, Inc.* | 1,430 | (36,336 | ) | |||||
Applied Materials, Inc. | 2,700 | (37,638 | ) | |||||
NVIDIA, Corp.* | 2,300 | (42,964 | ) | |||||
Integrated Device | ||||||||
Technology, Inc.* | 6,780 | (43,867 | ) | |||||
Equinix, Inc.* | 430 | (45,644 | ) | |||||
Kla-Tencor Corp. | 1,290 | (46,646 | ) | |||||
Tellabs, Inc.* | 8,650 | (49,132 | ) | |||||
Cadence Design Systems, Inc.* | 9,340 | (55,947 | ) | |||||
VeriSign, Inc.* | 2,410 | (58,418 | ) | |||||
Lam Research Corp.* | 1,560 | (61,168 | ) | |||||
Symantec Corp.* | 3,440 | (61,542 | ) | |||||
LSI Logic Corp.* | 11,500 | (69,115 | ) | |||||
International Rectifier Corp.* | 3,730 | (82,508 | ) | |||||
IAC/InterActiveCorp* | 4,440 | (90,931 | ) | |||||
Novell, Inc.* | 22,000 | (91,300 | ) | |||||
Atmel Corp.* | 19,810 | (91,324 | ) | |||||
Electronic Arts, Inc.* | 5,730 | (101,707 | ) | |||||
MasterCard, Inc. | 580 | (148,468 | ) | |||||
Xerox Corp. | 27,170 | (229,858 | ) | |||||
Total Information Technology | (1,900,201 | ) | ||||||
FINANCIALS (8.0)% | ||||||||
Apartment Investment & | ||||||||
Management Co. — Class A | 10 | (159 | ) | |||||
First American Corp. | 10 | (331 | ) | |||||
SunTrust Banks, Inc. | 40 | (812 | ) | |||||
State Street Corp. | 20 | (871 | ) | |||||
American International | ||||||||
Group, Inc.* | 40 | (1,199 | ) | |||||
Hartford Financial Services | ||||||||
Group, Inc. | 60 | (1,396 | ) | |||||
Capital One Financial Corp. | 50 | (1,917 | ) | |||||
Bank of Hawaii Corp. | 60 | (2,824 | ) | |||||
RenaissanceRe Holdings Ltd. | 60 | (3,189 | ) | |||||
Raymond James Financial, Inc. | 170 | (4,041 | ) | |||||
Lincoln National Corp. | 170 | (4,230 | ) | |||||
Zions Bancorporation | 350 | (4,490 | ) | |||||
City National Corp. | 100 | (4,560 | ) | |||||
Comerica, Inc. | 160 | (4,731 | ) | |||||
ProLogis | 370 | (5,065 | ) | |||||
Aflac, Inc. | 110 | (5,087 | ) | |||||
Alleghany Corp.* | 20 | (5,520 | ) | |||||
Principal Financial Group, Inc. | 230 | (5,529 | ) | |||||
Bank of New York Mellon Corp. | 200 | (5,594 | ) |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 33 |
1
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
MULTI-HEDGE STRATEGIES FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
Kimco Realty Corp. | 430 | $ | (5,818 | ) | ||||
Regency Centers Corp. | 180 | (6,311 | ) | |||||
Fidelity National Financial, | ||||||||
Inc. — Class A | 480 | (6,461 | ) | |||||
BRE Properties, Inc. | 210 | (6,947 | ) | |||||
OneBeacon Insurance Group | ||||||||
Ltd. — Class A | 540 | (7,441 | ) | |||||
Vornado Realty Trust | 110 | (7,693 | ) | |||||
Conseco, Inc.* | 1,600 | (8,000 | ) | |||||
Citigroup, Inc. | 2,490 | (8,242 | ) | |||||
Loews Corp. | 240 | (8,724 | ) | |||||
Valley National Bancorp | 650 | (9,184 | ) | |||||
Charles Schwab Corp. | 490 | (9,222 | ) | |||||
TCF Financial Corp. | 700 | (9,534 | ) | |||||
Protective Life Corp. | 580 | (9,599 | ) | |||||
GLG Partners, Inc.* | 3,040 | (9,789 | ) | |||||
Synovus Financial Corp. | 4,940 | (10,127 | ) | |||||
Markel Corp.* | 30 | (10,200 | ) | |||||
SEI Investments Co. | 660 | (11,563 | ) | |||||
Allstate Corp. | 390 | (11,716 | ) | |||||
American National Insurance Co. | 100 | (11,944 | ) | |||||
BOK Financial Corp. | 260 | (12,355 | ) | |||||
Huntington Bancshares, Inc. | 3,400 | (12,410 | ) | |||||
Unitrin, Inc. | 660 | (14,553 | ) | |||||
Wilmington Trust Corp. | 1,190 | (14,685 | ) | |||||
Legg Mason, Inc. | 510 | (15,382 | ) | |||||
CapitalSource, Inc. | 3,900 | (15,483 | ) | |||||
Regions Financial Corp. | 2,980 | (15,764 | ) | |||||
Affiliated Managers Group, Inc.* | 240 | (16,164 | ) | |||||
Equity Residential | 480 | (16,214 | ) | |||||
Bank of America Corp. | 1,100 | (16,566 | ) | |||||
Old Republic International Corp. | 1,710 | (17,168 | ) | |||||
Fifth Third Bancorp | 1,780 | (17,355 | ) | |||||
JPMorgan Chase & Co. | 420 | (17,501 | ) | |||||
CB Richard Ellis Group, Inc. — | ||||||||
Class A* | 1,290 | (17,505 | ) | |||||
XL Capital, Inc. | 960 | (17,597 | ) | |||||
Fulton Financial Corp. | 2,140 | (18,661 | ) | |||||
NYSE Euronext | 740 | (18,722 | ) | |||||
Wells Fargo & Co. | 720 | (19,433 | ) | |||||
Camden Property Trust | 460 | (19,490 | ) | |||||
Moody’s Corp. | 740 | (19,832 | ) | |||||
Jones Lang LaSalle, Inc. | 330 | (19,932 | ) | |||||
PNC Financial Services Group, Inc. | 380 | (20,060 | ) | |||||
Marshall & Ilsley Corp. | 3,730 | (20,328 | ) | |||||
Whitney Holding Corp. | 2,310 | (21,044 | ) | |||||
Plum Creek Timber Company, Inc. | 560 | (21,146 | ) | |||||
Jefferies Group, Inc.* | 920 | (21,832 | ) | |||||
Taubman Centers, Inc. | 650 | (23,342 | ) | |||||
Goldman Sachs Group, Inc. | 140 | (23,638 | ) | |||||
Everest Re Group | 300 | (25,704 | ) | |||||
New York Community | ||||||||
Bancorp, Inc. | 1,840 | (26,698 | ) |
MARKET | ||||||||
SHARES | VALUE | |||||||
AvalonBay Communities, Inc. | 340 | $ | (27,917 | ) | ||||
Boston Properties, Inc. | 470 | (31,523 | ) | |||||
Greenhill & Company, Inc. | 410 | (32,898 | ) | |||||
White Mountains Insurance | ||||||||
Group Ltd. | 100 | (33,266 | ) | |||||
KeyCorp | 6,160 | (34,188 | ) | |||||
Progressive Corp.* | 1,910 | (34,361 | ) | |||||
Arthur J Gallagher & Co. | 2,170 | (48,847 | ) | |||||
MBIA, Inc.* | 13,940 | (55,481 | ) | |||||
Leucadia National Corp.* | 2,360 | (56,144 | ) | |||||
The St. Joe Co.* | 2,010 | (58,069 | ) | |||||
Erie Indemnity Co. — Class A | 2,040 | (79,601 | ) | |||||
Mercury General Corp. | 2,380 | (93,439 | ) | |||||
Ares Capital Corp. | 9,390 | (116,906 | ) | |||||
Capitol Federal Financial | 4,010 | (126,155 | ) | |||||
TFS Financial Corp. | 11,360 | (137,910 | ) | |||||
People’s United Financial, Inc. | 8,690 | (145,123 | ) | |||||
Marsh & McLennan | ||||||||
Companies, Inc. | 6,990 | (154,339 | ) | |||||
Total Financials | (2,052,791 | ) | ||||||
Total Common Stocks Sold Short | ||||||||
(Proceeds $8,924,859) | (10,144,000 | ) | ||||||
EXCHANGE TRADED FUNDS | ||||||||
SOLD SHORT (8.5)%(a) | ||||||||
iShares MSCI Mexico | ||||||||
Investable Market Index Fund | 80 | (3,910 | ) | |||||
iShares MSCI Italy Index Fund | 240 | (4,682 | ) | |||||
iShares MSCI Canada Index Fund | 290 | (7,636 | ) | |||||
iShares MSCI Australia Index Fund | 340 | (7,766 | ) | |||||
iShares MSCI Japan Index Fund | 1,020 | (9,935 | ) | |||||
Powershares QQQ | 450 | (20,664 | ) | |||||
iShares MSCI Belgium Investable | ||||||||
Market Index Fund | 4,690 | (59,844 | ) | |||||
iShares MSCI Netherlands | ||||||||
Investable Market Index Fund | 3,400 | (69,565 | ) | |||||
iShares MSCI EAFE Index Fund | 4,510 | (249,403 | ) | |||||
iShares Russell 2000 Index Fund | 5,250 | (326,865 | ) | |||||
SPDR Trust Series 1 | 12,630 | (1,407,487 | ) | |||||
Total Exchange Traded Funds | ||||||||
Sold Short | ||||||||
(Proceeds $1,984,495) | (2,167,757 | ) | ||||||
CONTRACTS | ||||||||
OPTIONS WRITTEN (0.7)%(a) | ||||||||
IMS Health, Inc. | ||||||||
Expiring May 2010 | ||||||||
with strike price of 22.5 | 5 | (37 | ) | |||||
Starent Networks Corp. | ||||||||
Expiring June 2010 | ||||||||
with strike price of 35 | 50 | (500 | ) |
34 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
2
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)
December 31, 2009
MULTI-HEDGE STRATEGIES FUND
MARKET | ||||||||
CONTRACTS | VALUE | |||||||
January 2010 S&P 400 MidCap Index | ||||||||
Futures Contracts | ||||||||
Expiring January 2010 | ||||||||
with strike price of 690 | 18 | $ | (71,910 | ) | ||||
January 2010 Russell 2000 Index | ||||||||
Futures Contracts | ||||||||
Expiring June 2010 | ||||||||
with strike price of 580 | 20 | (106,500 | ) | |||||
Total Options Written | ||||||||
(Premiums Received $139,381) | (178,947 | ) | ||||||
Other Assets in Excess | ||||||||
of Liabilities – 56.8% | $ | 14,519,465 | ||||||
Net Assets – 100.0% | $ | 25,562,821 | ||||||
Unrealized | ||||||||
Contracts | Gain | |||||||
COMMODITY FUTURES CONTRACTS PURCHASED(a) | ||||||||
January 2010 LME Zinc | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $316,844) | 5 | $ | 39,301 | |||||
May 2010 Sugar #11 | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $298,032) | 10 | 27,686 | ||||||
March 2010 Cotton | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $302,400) | 8 | 13,290 | ||||||
March 2010 Copper | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $167,350) | 2 | 9,891 | ||||||
February 2010 LME Lead | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $120,950) | 2 | 6,193 | ||||||
March 2010 Soybean | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $157,275) | 3 | 5,951 | ||||||
March 2010 Soybean Oil | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $122,340) | 5 | 5,626 | ||||||
February 2010 Lean Hogs | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $78,720) | 3 | 1,019 | ||||||
March 2010 Cocoa | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $131,680) | 4 | 44 |
UNREALIZED | ||||||||
CONTRACTS | Gain (Loss) | |||||||
February 2010 LME Primary Aluminum | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $332,213) | 6 | $ | (1,746 | ) | ||||
March 2010 Silver | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $84,275) | 1 | (9,504 | ) | |||||
March 2010 Coffee | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $203,850) | 4 | (14,381 | ) | |||||
February 2010 Gold 100 Oz | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $328,680) | 3 | (16,363 | ) | |||||
(Total Aggregate Market Value | ||||||||
of Contracts $2,644,608) | $ | 67,007 | ||||||
FUTURES CONTRACTS PURCHASED(a) | ||||||||
March 2010 Russell 2000 Index | ||||||||
Mini Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $1,367,300) | 22 | $ | 59,444 | |||||
March 2010 S&P MidCap 400 Index | ||||||||
Mini Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $1,444,000) | 20 | 56,774 | ||||||
March 2010 U.S. Treasury 10 Year Note | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $2,998,531) | 26 | (76,595 | ) | |||||
(Total Aggregate Market Value | ||||||||
of Contracts $5,809,831) | $ | 39,623 | ||||||
CURRENCY FUTURES CONTRACTS | ||||||||
SOLD SHORT(a) | ||||||||
March 2010 U.S.Dollar Index | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $3,524,625) | 45 | $ | (100,103 | ) | ||||
FUTURES CONTRACTS SOLD SHORT(a) | ||||||||
March 2010 U.S. Treasury 2 Year Note | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $9,732,656) | 45 | $ | 45,631 | |||||
COMMODITY FUTURES CONTRACTS SOLD SHORT(a) | ||||||||
March 2010 Corn | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $62,175) | 3 | $ | (1,512 | ) |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 35 |
3
CONSOLIDATED SCHEDULE OF INVESTMENTS (concluded)
December 31, 2009
MULTI-HEDGE STRATEGIES FUND
UNREALIZED | ||||||||
CONTRACTS | LOSS | |||||||
February 2010 Live Cattle | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $757,240) | 22 | $ | (3,955 | ) | ||||
May 2010 Wheat | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $111,000) | 4 | (4,150 | ) | |||||
March 2010 Natural Gas | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $110,840) | 2 | (9,684 | ) | |||||
(Total Aggregate Market Value | ||||||||
of Contracts $1,041,255) | $ | (19,301 | ) | |||||
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 7. | |
§ | All or a portion of this security is pledged as short security collateral at December 31, 2009. | |
(a) | Value determined based on Level 1 inputs — See Note 8. | |
(b) | Value determined based on Level 2 inputs — See Note 8. | |
ADR—American Depository Receipt. | ||
REIT—Real Estate Investment Trust. |
36 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
4
CONSOLIDATED SCHEDULE OF INVESTMENTS
December 31, 2009
COMMODITIES STRATEGY FUND
MARKET | ||||||||
SHARES | VALUE | |||||||
EXCHANGE TRADED FUND 4.2%(a) | ||||||||
iShares S&P GSCI Commodity | ||||||||
Indexed Trust* | 28,022 | $ | 891,660 | |||||
Total Exchange Traded Fund | ||||||||
(Cost $861,398) | 891,660 | |||||||
FACE | ||||||||
AMOUNT | ||||||||
STRUCTURED NOTES† 40.9%(b) | ||||||||
Commonwealth Bank of Australia, | ||||||||
S&P GSCI Total Return | ||||||||
Linked Notes at 0.08% | ||||||||
due 07/23/10 | $ | 3,000,000 | 4,599,481 | |||||
Goldman Sachs Group, | ||||||||
S&P GSCI Total Return | ||||||||
Linked Notes at 0.00% | ||||||||
due 05/27/10 | 1,500,000 | 2,106,045 | ||||||
Swedish Export Credit Corp., | ||||||||
S&P GSCI Total Return | ||||||||
Linked Notes at 0.00% | ||||||||
due 03/11/10 | 875,000 | 2,034,331 | ||||||
Total Structured Notes | ||||||||
(Cost $5,375,000) | 8,739,857 | |||||||
REPURCHASE AGREEMENTS†† 54.8%(b) | ||||||||
Mizuho Financial Group, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 3,182,209 | 3,182,209 | ||||||
HSBC Group | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 3,157,936 | 3,157,936 | ||||||
UBS Financial Services, Inc. | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 3,157,936 | 3,157,936 | ||||||
Morgan Stanley | ||||||||
issued 12/31/09 at 0.00% | ||||||||
due 01/04/10 | 2,229,131 | 2,229,131 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $11,727,212) | 11,727,212 | |||||||
Total Investments 99.9% | ||||||||
(Cost $17,963,610) | $ | 21,358,729 | ||||||
Other Assets in Excess | ||||||||
of Liabilities – 0.1% | $ | 27,567 | ||||||
Net Assets – 100.0% | $ | 21,386,296 | ||||||
UNREALIZED | ||||||||
CONTRACTS | GAIN | |||||||
COMMODITY FUTURES CONTRACTS PURCHASED(a) | ||||||||
February 2010 WTI Crude | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $636,560) | 8 | $ | 59,812 | |||||
January 2010 Goldman Sachs IDX | ||||||||
Futures Contracts | ||||||||
(Aggregate Market Value | ||||||||
of Contracts $393,750) | 3 | 11,203 | ||||||
(Total Aggregate Market Value | ||||||||
of Contracts $1,030,310) | $ | 71,015 | ||||||
* | Non-Income Producing Security. | |
† | Structured Notes are leveraged, providing an exposure to the underlying benchmark greater than the face amount. The total exposure to the Benchmark is $19,489,857 as of December 31, 2009 — See Note 2. | |
†† | Repurchase Agreements — See Note 7. | |
(a) | Value determined based on Level 1 inputs — See Note 8. | |
(b) | Value determined based on Level 2 inputs — See Note 8. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 37 |
STATEMENTS OF ASSETS AND LIABILITIES
Managed | ||||||||||||||||
Alternative | Futures | |||||||||||||||
All-Cap | International | Strategies | Strategy | |||||||||||||
Opportunity | Opportunity | Allocation | Fund | |||||||||||||
Fund | Fund | Fund | (Consolidated) | |||||||||||||
Assets | ||||||||||||||||
Investment Securities | $ | 66,806,924 | $ | 9,209,838 | $ | 966,082 | $ | 7,999,944 | ||||||||
Investment Securities in Affiliated Funds | — | — | 4,116,234 | — | ||||||||||||
Repurchase Agreements | 1,708,979 | 11,330,178 | 23,658 | 19,421,709 | ||||||||||||
Total Investments | 68,515,903 | 20,540,016 | 5,105,974 | 27,421,653 | ||||||||||||
Segregated Cash with Broker | — | 1,255,395 | — | 1,278,899 | ||||||||||||
Cash | — | — | — | — | ||||||||||||
Variation Margin on Futures Contracts | — | — | — | — | ||||||||||||
Receivable for Securities Sold | — | — | — | — | ||||||||||||
Receivable for Fund Shares Sold | 25,728 | 292,300 | 15,595 | 4,938 | ||||||||||||
Investment Income Receivable | 30,451 | — | — | — | ||||||||||||
Foreign Currency | — | 1,466,818 | — | — | ||||||||||||
Total Assets | 68,572,082 | 23,554,529 | 5,121,569 | 28,705,490 | ||||||||||||
Liabilities | ||||||||||||||||
Short Sales at Market Value | — | — | — | — | ||||||||||||
Written Options at Market Value | — | — | — | — | ||||||||||||
Variation Margin on Futures Contracts | — | 66,752 | — | 17,963 | ||||||||||||
Payable for Securities Purchased | — | — | — | — | ||||||||||||
Payable for Fund Shares Redeemed | 50,691 | 40,798 | 243 | 3,330 | ||||||||||||
Investment Advisory Fees Payable | 56,761 | 18,916 | — | 24,292 | ||||||||||||
Transfer Agent and Administrative Fees Payable | 15,767 | 5,254 | — | 6,748 | ||||||||||||
Distribution and Service Fees Payable | 15,767 | 5,254 | — | 6,748 | ||||||||||||
Portfolio Accounting Fees Payable | 6,307 | 2,102 | — | 2,699 | ||||||||||||
Custody Fees Payable | 2,081 | 694 | — | 908 | ||||||||||||
Payable to Broker | — | 1,464,540 | — | — | ||||||||||||
Short Sales Dividends Payable | — | — | — | — | ||||||||||||
Other Accrued Fees | 77,964 | 11,694 | — | 10,159 | ||||||||||||
Total Liabilities | 225,338 | 1,616,004 | 243 | 72,847 | ||||||||||||
Net Assets | $ | 68,346,744 | $ | 21,938,525 | $ | 5,121,326 | $ | 28,632,643 | ||||||||
Net Assets Consist Of | ||||||||||||||||
Paid-In Capital | $ | 89,756,278 | $ | 25,037,538 | $ | 5,655,995 | $ | 28,995,520 | ||||||||
Undistributed Net Investment Income (Loss) | — | 46,141 | 180,646 | — | ||||||||||||
Accumulated Net Realized Loss on Investments | (33,054,345 | ) | (3,254,957 | ) | (832,914 | ) | (114,477 | ) | ||||||||
Net Unrealized Appreciation (Depreciation) on Investments and Foreign Currency | 11,644,811 | 109,803 | 117,599 | (248,400 | ) | |||||||||||
Net Assets | $ | 68,346,744 | $ | 21,938,525 | $ | 5,121,326 | $ | 28,632,643 | ||||||||
Shares Outstanding | 5,940,290 | 986,249 | 254,923 | 1,234,810 | ||||||||||||
Net Asset Values | $ | 11.51 | $ | 22.24 | $ | 20.09 | $ | 23.19 | ||||||||
Cost of Investments | $ | 56,871,092 | $ | 20,610,353 | $ | 4,988,375 | $ | 27,421,653 | ||||||||
Cost of Foreign Currency | — | 1,485,654 | — | — | ||||||||||||
Proceeds from Short Sales | — | — | — | — | ||||||||||||
Premiums Received for Written Options | — | — | — | — |
38 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
December 31, 2009
Multi-Hedge | Commodities | ||||||||||||
Multi-Cap | Strategies | Strategy | |||||||||||
Core Equity | Fund | Fund | |||||||||||
Fund | (Consolidated) | (Consolidated) | |||||||||||
$ | 2,135,101 | $ | 15,773,558 | $ | 9,631,517 | ||||||||
— | — | — | |||||||||||
236,900 | 7,760,502 | 11,727,212 | |||||||||||
2,372,001 | 23,534,060 | 21,358,729 | |||||||||||
17,000 | 14,742,325 | 63,750 | |||||||||||
40 | 102 | — | |||||||||||
— | — | 1,570 | |||||||||||
1,440 | — | — | |||||||||||
— | 27,522 | 11,025 | |||||||||||
3,084 | 22,382 | 540 | |||||||||||
— | — | — | |||||||||||
2,393,565 | 38,326,391 | 21,435,614 | |||||||||||
— | 12,311,757 | — | |||||||||||
— | 178,947 | — | |||||||||||
3,000 | 56,160 | — | |||||||||||
— | 142,560 | — | |||||||||||
309 | 25,050 | 39 | |||||||||||
1,944 | 27,764 | 13,174 | |||||||||||
568 | — | 4,714 | |||||||||||
568 | — | 4,714 | |||||||||||
227 | — | 1,885 | |||||||||||
75 | 9 | 622 | |||||||||||
— | — | — | |||||||||||
— | 23,617 | — | |||||||||||
2,742 | (2,294 | ) | 24,170 | ||||||||||
9,433 | 12,763,570 | 49,318 | |||||||||||
$ | 2,384,132 | $ | 25,562,821 | $ | 21,386,296 | ||||||||
$ | 3,577,552 | $ | 36,391,659 | $ | 36,192,693 | ||||||||
20,466 | (923 | ) | (82,627 | ) | |||||||||
(1,639,191 | ) | (11,272,050 | ) | (18,189,904 | ) | ||||||||
425,305 | 444,135 | 3,466,134 | |||||||||||
$ | 2,384,132 | $ | 25,562,821 | $ | 21,386,296 | ||||||||
129,240 | 1,274,318 | 1,700,085 | |||||||||||
$ | 18.45 | $ | 20.06 | $ | 12.58 | ||||||||
$ | 1,954,059 | $ | 21,680,813 | $ | 17,963,610 | ||||||||
— | — | — | |||||||||||
— | 10,909,354 | — | |||||||||||
— | 139,381 | — |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 39 |
STATEMENTS OF OPERATIONS
Managed | ||||||||||||||||
Alternative | Futures | |||||||||||||||
All-Cap | International | Strategies | Strategy | |||||||||||||
Opportunity | Opportunity | Allocation | Fund | |||||||||||||
Fund | Fund | Fund | (Consolidated) | |||||||||||||
Investment Income | ||||||||||||||||
Interest | $ | 1,571 | $ | 7,489 | $ | 214 | $ | 29,168 | ||||||||
Dividends, Net of Foreign Tax Withheld | 939,396 | 212,937 | — | — | ||||||||||||
Dividends, from Affiliated Funds | — | — | 16,091 | — | ||||||||||||
Total Income | 940,967 | 220,426 | 16,305 | 29,168 | ||||||||||||
Expenses | ||||||||||||||||
Investment Advisory Fees | 616,303 | 98,971 | — | 242,964 | ||||||||||||
Transfer Agent and Administrative Fees | 171,195 | 27,492 | — | 59,549 | ||||||||||||
Audit and Outside Service Fees | 109,382 | 12,927 | — | 21,538 | ||||||||||||
Portfolio Accounting Fees | 68,478 | 10,997 | — | 23,819 | ||||||||||||
Registration Fees | 2,718 | 4 | — | 117,748 | ||||||||||||
Short Sales Dividend Expense | — | — | — | — | ||||||||||||
Trustees’ Fees* | 9,581 | 1,049 | — | 1,849 | ||||||||||||
Shareholder Service Fees | 171,195 | 27,492 | — | 59,549 | ||||||||||||
Prime Broker Interest Expense | — | — | — | — | ||||||||||||
Custody Fees | 20,173 | 3,061 | 35 | 6,022 | ||||||||||||
Miscellaneous | (1,256 | ) | 5,199 | — | 17,520 | |||||||||||
Total Expenses | 1,167,769 | 187,192 | 35 | 550,558 | ||||||||||||
Less Expenses Waived by Advisor | — | — | — | (27,890 | ) | |||||||||||
Net Expenses | 1,167,769 | 187,192 | 35 | 522,668 | ||||||||||||
Net Investment Income (Loss) | (226,802 | ) | 33,234 | 16,270 | (493,500 | ) | ||||||||||
Realized and Unrealized Gain (Loss) on Investments | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investment Securities | 5,045,307 | 389,572 | — | (2,651 | ) | |||||||||||
Investments in Affiliated Funds | — | — | (749,326 | ) | — | |||||||||||
Futures Contracts | — | 1,036,949 | — | (479,023 | ) | |||||||||||
Realized Gain Distributions Received from Affiliated Funds | — | — | 5,793 | — | ||||||||||||
Securities Sold Short | — | — | — | — | ||||||||||||
Foreign Currency | — | 11,302 | — | — | ||||||||||||
Written Options | — | — | — | — | ||||||||||||
Total Net Realized Gain (Loss) | 5,045,307 | 1,437,823 | (743,533 | ) | (481,674 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investment Securities | 11,120,488 | (139,629 | ) | 816,581 | — | |||||||||||
Futures Contracts | — | (286,907 | ) | — | (126,186 | ) | ||||||||||
Foreign Currency | — | (18,800 | ) | — | — | |||||||||||
Securities Sold Short | — | — | — | — | ||||||||||||
Written Options | — | — | — | — | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | 11,120,488 | (445,336 | ) | 816,581 | (126,186 | ) | ||||||||||
Net Gain (Loss) on Investments | 16,165,795 | 992,487 | 73,048 | (607,860 | ) | |||||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 15,938,993 | $ | 1,025,721 | $ | 89,318 | $ | (1,101,360 | ) | |||||||
Foreign Tax Withheld | $ | 4,549 | $ | — | $ | — | $ | — |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
40 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
Year Ended December 31, 2009
Multi-Hedge | Commodities | ||||||||||||
Multi-Cap | Strategies | Strategy | |||||||||||
Core Equity | Fund | Fund | |||||||||||
Fund | (Consolidated) | (Consolidated) | |||||||||||
$ | 170 | $ | 19,972 | $ | 73,251 | ||||||||
49,377 | 198,297 | — | |||||||||||
— | — | — | |||||||||||
49,547 | 218,269 | 73,251 | |||||||||||
12,483 | 291,513 | 156,034 | |||||||||||
5,666 | — | 50,679 | |||||||||||
4,008 | — | 39,260 | |||||||||||
2,266 | — | 20,272 | |||||||||||
1 | — | 61 | |||||||||||
— | 109,191 | — | |||||||||||
335 | — | 3,224 | |||||||||||
5,666 | — | 50,679 | |||||||||||
— | 57,830 | — | |||||||||||
740 | — | 5,607 | |||||||||||
(545 | ) | — | (7,728 | ) | |||||||||
30,620 | 458,534 | 318,088 | |||||||||||
(1,539 | ) | (8,346 | ) | (23,305 | ) | ||||||||
29,081 | 450,188 | 294,783 | |||||||||||
20,466 | (231,919 | ) | (221,532 | ) | |||||||||
122,310 | 388,577 | (1,572,444 | ) | ||||||||||
— | — | — | |||||||||||
10,668 | 352,984 | 38,400 | |||||||||||
— | — | — | |||||||||||
— | (748,439 | ) | — | ||||||||||
— | — | — | |||||||||||
— | 153,656 | — | |||||||||||
132,978 | 146,778 | (1,534,044 | ) | ||||||||||
463,471 | 1,898,461 | 3,577,212 | |||||||||||
3,220 | (845,302 | ) | 71,015 | ||||||||||
— | — | — | |||||||||||
— | (1,541,494 | ) | — | ||||||||||
— | (33,254 | ) | — | ||||||||||
466,691 | (521,589 | ) | 3,648,227 | ||||||||||
599,669 | (374,811 | ) | 2,114,183 | ||||||||||
$ | 620,135 | $ | (606,730 | ) | $ | 1,892,651 | |||||||
$ | 1 | $ | 126 | $ | — |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 41 |
STATEMENTS OF CHANGES IN NET ASSETS
All-Cap | International | |||||||||||||||
Opportunity Fund | Opportunity Fund | |||||||||||||||
Year | Year | Year | Year | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2009 | 2008 | 2009 | 2008* | |||||||||||||
From Operations | ||||||||||||||||
Net Investment Income (Loss) | $ | (226,802 | ) | $ | 58,041 | $ | 33,234 | $ | 6,205 | |||||||
Net Realized Gain (Loss) on Investments | 5,045,307 | (37,950,846 | ) | 1,437,823 | (4,620,704 | ) | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 11,120,488 | (16,515,189 | ) | (445,336 | ) | 555,139 | ||||||||||
Net Increase (Decrease) in Net Assets from Operations | 15,938,993 | (54,407,994 | ) | 1,025,721 | (4,059,360 | ) | ||||||||||
Distributions to Shareholders from:** | ||||||||||||||||
Net Investment Income | (58,031 | ) | — | (89,971 | ) | — | ||||||||||
Net Realized Gain on Investments | — | (291,136 | ) | — | — | |||||||||||
Total Distributions to Shareholders | (58,031 | ) | (291,136 | ) | (89,971 | ) | — | |||||||||
Share Transactions | ||||||||||||||||
Proceeds from Shares Purchased | 30,590,836 | 80,844,781 | 31,223,463 | 36,068,454 | ||||||||||||
Value of Shares Purchased through Dividend Reinvestment | 58,031 | 291,136 | 89,971 | — | ||||||||||||
Value of Proceeds from Merger (Note 14) | — | — | — | — | ||||||||||||
Cost of Shares Redeemed | (50,621,864 | ) | (84,164,328 | ) | (22,381,489 | ) | (19,938,264 | ) | ||||||||
Net Increase (Decrease) in Net Assets From Share Transactions | (19,972,997 | ) | (3,028,411 | ) | 8,931,945 | 16,130,190 | ||||||||||
Net Increase (Decrease) in Net Assets | (4,092,035 | ) | (57,727,541 | ) | 9,867,695 | 12,070,830 | ||||||||||
Net Assets—Beginning Of Period | 72,438,779 | 130,166,320 | 12,070,830 | — | ||||||||||||
Net Assets—End Of Period | $ | 68,346,744 | $ | 72,438,779 | $ | 21,938,525 | $ | 12,070,830 | ||||||||
Undistributed Net Investment Income (Loss)—End of Period | $ | — | $ | 58,031 | $ | 46,141 | $ | 89,971 | ||||||||
* | Since the commencement of operations: March 27, 2008 — International Opportunity Fund, May 1, 2008 — Alternative Strategies Allocation Fund, November 7, 2008 — Managed Futures Strategy Fund. | |
** | For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains. |
42 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
Managed Futures | |||||||||||||||||||||||||||||||||
Alternative Strategies | Strategy Fund | Multi-Cap Core | Multi-Hedge | ||||||||||||||||||||||||||||||
Allocation Fund | (Consolidated) | Equity Fund | Strategies Fund | ||||||||||||||||||||||||||||||
Year | |||||||||||||||||||||||||||||||||
Year | Year | Year | Year | Year | Year | Ended | Year | ||||||||||||||||||||||||||
Ended | Ended | Ended | Ended | Ended | Ended | December 31, | Ended | ||||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | 2009 | December 31, | ||||||||||||||||||||||||||
2009 | 2008* | 2009 | 2008* | 2009 | 2008 | (Consolidated) | 2008 | ||||||||||||||||||||||||||
$ | 16,270 | $ | 52,032 | $ | (493,500 | ) | $ | (16,034 | ) | $ | 20,466 | $ | 46,966 | $ | (231,919 | ) | $ | 231,291 | |||||||||||||||
(743,533 | ) | (13,349 | ) | (481,674 | ) | (47,614 | ) | 132,978 | (1,411,048 | ) | 146,778 | (7,217,420 | ) | ||||||||||||||||||||
816,581 | (698,982 | ) | (126,186 | ) | (122,214 | ) | 466,691 | (134,202 | ) | (521,589 | ) | (385,340 | ) | ||||||||||||||||||||
89,318 | (660,299 | ) | (1,101,360 | ) | (185,862 | ) | 620,135 | (1,498,284 | ) | (606,730 | ) | (7,371,469 | ) | ||||||||||||||||||||
— | (57,472 | ) | — | — | — | (65,755 | ) | (294,753 | ) | (182,633 | ) | ||||||||||||||||||||||
— | (7,737 | ) | — | — | — | (4,768 | ) | — | — | ||||||||||||||||||||||||
— | (65,209 | ) | — | — | — | (70,523 | ) | (294,753 | ) | (182,633 | ) | ||||||||||||||||||||||
4,877,224 | 7,459,676 | 58,236,725 | 13,398,186 | 5,344,399 | 8,746,774 | 28,020,716 | 47,170,223 | ||||||||||||||||||||||||||
— | 65,209 | — | — | — | 70,523 | 294,753 | 182,633 | ||||||||||||||||||||||||||
— | — | — | — | — | — | 2,309,996 | — | ||||||||||||||||||||||||||
(2,982,823 | ) | (3,661,770 | ) | (34,915,511 | ) | (6,799,535 | ) | (5,736,654 | ) | (11,352,016 | ) | (37,182,855 | ) | (38,213,591 | ) | ||||||||||||||||||
1,894,401 | 3,863,115 | 23,321,214 | 6,598,651 | (392,255 | ) | (2,534,719 | ) | (6,557,390 | ) | 9,139,265 | |||||||||||||||||||||||
1,983,719 | 3,137,607 | 22,219,854 | 6,412,789 | 227,880 | (4,103,526 | ) | (7,458,873 | ) | 1,585,163 | ||||||||||||||||||||||||
3,137,607 | — | 6,412,789 | — | 2,156,252 | 6,259,778 | 33,021,694 | 31,436,531 | ||||||||||||||||||||||||||
$ | 5,121,326 | $ | 3,137,607 | $ | 28,632,643 | $ | 6,412,789 | $ | 2,384,132 | $ | 2,156,252 | $ | 25,562,821 | $ | 33,021,694 | ||||||||||||||||||
$ | 180,646 | $ | — | $ | — | $ | — | $ | 20,466 | $ | — | $ | (923 | ) | $ | 413,645 | |||||||||||||||||
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 43 |
STATEMENTS OF CHANGES IN NET ASSETS (concluded)
Commodities | ||||||||
Strategy Fund | ||||||||
Year | ||||||||
Ended | Year | |||||||
December 31, | Ended | |||||||
2009 | December 31, | |||||||
(Consolidated) | 2008 | |||||||
From Operations | ||||||||
Net Investment Income (Loss) | $ | (221,532 | ) | $ | 307,283 | |||
Net Realized Loss on Investments | (1,534,044 | ) | (13,451,471 | ) | ||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 3,648,227 | (2,863,792 | ) | |||||
Net Increase (Decrease) in Net Assets from Operations | 1,892,651 | (16,007,980 | ) | |||||
Distributions to Shareholders from: | ||||||||
Net Investment Income | (362,231 | ) | (868,009 | ) | ||||
Total Distributions to Shareholders | (362,231 | ) | (868,009 | ) | ||||
Share Transactions | ||||||||
Proceeds from Shares Purchased | 39,045,949 | 104,615,008 | ||||||
Value of Shares Purchased through Dividend Reinvestment | 362,231 | 868,009 | ||||||
Cost of Shares Redeemed | (35,333,621 | ) | (116,449,304 | ) | ||||
Net Increase (Decrease) in Net Assets From Share Transactions | 4,074,559 | (10,966,287 | ) | |||||
Net Increase (Decrease) in Net Assets | 5,604,979 | (27,842,276 | ) | |||||
Net Assets—Beginning Of Period | 15,781,317 | 43,623,593 | ||||||
Net Assets—End Of Period | $ | 21,386,296 | $ | 15,781,317 | ||||
Undistributed Net Investment Income (Loss)—End of Period | $ | (82,627 | ) | $ | 234,352 | |||
44 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
FINANCIAL HIGHLIGHTS
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) in | Net Assets, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
NET ASSET | Net | and Unrealized | Net Asset | Distributions | Distributions | NET ASSET | Net | End of | ||||||||||||||||||||||||||||||||||||||||||||||||||||
VALUE, | Investment | Gains | Value | from Net | from Net | VALUE, | Total | Investment | Portfolio | Period | ||||||||||||||||||||||||||||||||||||||||||||||||||
BEGINNING | Income | (Losses) on | Resulting from | Investment | Realized | Total | END OF | Investment | Total | Net | Operating | Income | Turnover | (000’s | ||||||||||||||||||||||||||||||||||||||||||||||
Year Ended | OF PERIOD | (Loss)† | Investments | Operations | Income | Gains | Distributions | PERIOD | Return†† | Expenses | Expenses | Expenses◊ | (Loss) | Rate | omitted) | |||||||||||||||||||||||||||||||||||||||||||||
All-Cap Opportunity Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | $ | 9.05 | $ | (.03) | $ | 2.50 | $ | 2.47 | $ | (.01) | $ | — | $ | (.01) | $ | 11.51 | 27.29% | 1.71% | 1.71% | 1.71% | (0.33)% | 379% | $ | 68,347 | ||||||||||||||||||||||||||||||||||||
December 31, 2008 | 15.33 | .01 | (6.25) | (6.24) | — | (.04) | (.04) | 9.05 | (40.73)% | 1.67% | 1.67% | 1.67% | 0.05% | 463% | 72,439 | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 13.47 | (.02) | 3.10 | 3.08 | — | (1.22) | (1.22) | 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) | 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 | — | — | — | 12.68 | 13.62% | 1.70% | 1.70% | 1.70% | (0.20)% | 281% | 61,834 | |||||||||||||||||||||||||||||||||||||||||||||
International Opportunity Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 17.20 | .06 | 5.07 | 5.13 | (.09) | — | (.09) | 22.24 | 29.79% | 1.71% | 1.71% | 1.71% | 0.30% | 324% | 21,939 | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2008* | 25.00 | .01 | (7.81) | (7.80) | — | — | — | 17.20 | (31.20)% | 1.64% | ** | 1.64% | ** | 1.64% | ** | 0.09% | ** | 362% | 12,071 | |||||||||||||||||||||||||||||||||||||||||
Alternative Strategies Allocation Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 19.92 | .07 | .10 | .17 | — | — | — | 20.09 | 0.85% | 0.00% | 0.00% | 0.00% | 0.38% | 149% | 5,121 | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2008* | 25.00 | .38 | (5.02) | (4.64) | (.39) | ▲ | (.05) | ▲ | (.44) | 19.92 | (18.55)% | 0.00% | ** | 0.00% | ** | 0.00% | ** | 2.47% | ** | 33% | 3,138 | |||||||||||||||||||||||||||||||||||||||
Managed Futures Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009■ | 24.10 | (.49) | (.42) | (.91) | — | — | — | 23.19 | (3.78)% | 2.32% | 2.20% | 2.20% | (2.08)% | — | 28,633 | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2008* | 25.00 | (.08) | (.82) | (.90) | — | — | — | 24.10 | (3.60)% | 2.21% | ** | 2.21% | ** | 2.21% | ** | (2.09)% | ** | — | 6,413 | |||||||||||||||||||||||||||||||||||||||||
Multi-Cap Core Equity Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 14.53 | .14 | 3.78 | 3.92 | — | — | — | 18.45 | 26.98% | 1.36% | 1.29% | 1.29% | 0.91% | 282% | 2,384 | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 24.64 | .24 | (9.88) | (9.64) | (.44) | (.03) | (.47) | 14.53 | (38.96)% | 1.13% | 1.13% | 1.13% | 1.14% | 373% | 2,156 | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 28.60 | .16 | (1.63) | (1.47) | (.17) | (2.32) | (2.49) | 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) | 28.60 | 14.36% | 1.43% | 1.43% | 1.43% | 0.29% | 171% | 8,358 | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2005* | 25.00 | .01 | .03 | .04 | — | — | — | 25.04 | 0.16% | 1.67% | ** | 1.67% | ** | 1.67% | ** | 0.33% | ** | 8% | 2,860 | |||||||||||||||||||||||||||||||||||||||||
Multi-Hedge Strategies Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009■ | 20.97 | (.19) | (.50) | (.69) | (.22) | — | (.22) | 20.06 | (3.28)% | 1.87% | 1.84% | 1.15% | (0.95)% | 1,074% | 25,563 | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 25.95 | .16 | (5.02) | (4.86) | (.12) | — | (.12) | 20.97 | (18.72)% | 1.81% | 1.81% | 1.15% | 0.67% | 1,447% | 33,022 | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 26.20 | .74 | .27 | 1.01 | (1.00) | (.26) | (1.26) | 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) | 26.20 | 6.64% | 1.70% | 1.70% | 1.16% | 3.08% | 309% | 22,557 | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2005* | 25.00 | .05 | .15 | .20 | — | — | — | 25.20 | 0.80% | 1.45% | ** | 1.45% | ** | 1.20% | ** | 2.28% | ** | 19% | 3,323 | |||||||||||||||||||||||||||||||||||||||||
Commodities Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009■ | 11.47 | (.13) | 1.45 | 1.32 | (.21) | — | (.21) | 12.58 | 11.56% | 1.58% | 1.46% | 1.46% | (1.10)% | 359% | 21,386 | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 23.78 | .15 | (11.69) | (11.54) | (.77) | — | (.77) | 11.47 | (49.02)% | 1.50% | 1.29% | 1.29% | 0.56% | 427% | 15,781 | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 18.15 | .71 | 4.92 | 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) | — | — | — | 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) | 22.10 | (11.34)% | 1.64% | ** | 1.64% | ** | 1.64% | ** | 2.41% | ** | — | 28,187 |
* | Since the commencement of operations: | |
September 30, 2005 — Commodities Strategy Fund; | ||
November 29, 2005 — Multi-Hedge Strategies Fund and Multi-Cap Core Equity Fund; | ||
March 27, 2008 — International Opportunity Fund; | ||
May 1, 2008 — Alternative Strategies Allocation Fund; | ||
November 7, 2008 — Managed Futures Strategy Fund. | ||
** | Annualized | |
† | Calculated using the average daily shares outstanding for the year. | |
†† | Total investment return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. | |
◊ | Operating expenses exclude short dividends expense. | |
▲ | For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains. | |
■ | Consolidated. |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 45 |
NOTES TO FINANCIAL STATEMENTS
1. Organization and Significant Accounting Policies
Organization
The Rydex Variable Trust (the “Trust”), a Delaware business trust, is registered with the SEC under the Investment Company Act of 1940 (the “1940 Act”) as a non-diversified, open-ended investment company and is authorized to issue an unlimited number of no par value shares. The Trust offers shares of the Funds to insurance companies for their variable annuity and variable life insurance contracts.
At December 31, 2009, the Trust consisted of fifty-seven separate Funds. This report covers the Alternative Strategy Funds (the “Funds”), while the other Funds are contained in separate reports.
The Alternative Strategies Allocation Fund is a “fund of funds,” which means that the Fund seeks to achieve its investment objective by investing principally in a diversified portfolio of affiliated and un-affiliated funds (the “underlying funds”) instead of individual securities.
Valu-Trac Investment Management Limited serves as the investment sub-advisor to the International Opportunity Fund and is responsible for the development and on-going maintenance of the investment management strategy utilized by that Fund.
Rydex Investments provides advisory, transfer agent and administrative services, and accounting services to the Trust. Rydex Distributors, Inc. (the “Distributor”) acts as principal underwriter for the Trust. Both Rydex Investments and the Distributor are affiliated entities.
Consolidation of Subsidiary
Each of the consolidated financial statements of the Managed Futures Strategy Fund, Multi-Hedge Strategies Fund, and Commodities Strategy Fund include the accounts of a wholly-owned and controlled Cayman Islands subsidiary (each a “Subsidiary”). Significant intercompany accounts and transactions have been eliminated in consolidation for the Funds.
Each Fund may invest up to 25% of its total assets in its Subsidiary which acts as an investment vehicle in order to effect certain investments consistent with the Fund’s investment objectives and policies.
A summary of each Fund’s investment in its respective Subsidiary is as follows:
Subsidiary | % of Total Net | |||||||||||
Net | Assets of | |||||||||||
Inception | Assets at | the Fund at | ||||||||||
Date of | December 31, | December 31, | ||||||||||
Subsidiary | 2009 | 2009 | ||||||||||
Managed Futures Strategy Fund | 11/07/08 | $ | 3,878,520 | 13.6 | % | |||||||
Multi-Hedge Strategies Fund | 04/15/09 | 2,893,551 | 11.3 | % | ||||||||
Commodities Strategy Fund | 07/21/09 | 705,794 | 3.3 | % |
Significant Accounting Policies
The following significant accounting policies and the preparation of financial statements are in conformity with U.S. generally accepted accounting principles and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
A. Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date.
Listed options held by the Trust are valued at the Official Settlement Price listed by the exchange, as of 4:00 p.m. Long options are valued using the bid price and short options are valued using the ask price. In the event that a settlement price is not available, fair valuation is enacted. Over-the-counter options held by the Trust are valued using the average bid price (for long options), or average ask price (for short options) obtained from one or more security dealers.
The value of futures contracts purchased and sold by the Trust is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
Debt securities with a maturity greater than 60 days at acquisition are valued at the last traded fill price at the close of business, unless no trades were executed. If there are no trades, a debt security is valued at the reported bid price, at the close of business. Short-term debt securities, with a maturity of 60 days at acquisition or less and repurchase agreements are valued at amortized cost, which approximates market value.
Open-end investment companies (“Mutual Funds”) are valued at their NAV as of the close of business, on the valuation date. Exchange Traded Funds (“ETFs”) and closed-end investment companies are valued at the last quoted sales price.
The value of domestic equity index swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by
46 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
marking the agreements to the last quoted value of the index that the swap pertains to at the close of the NYSE. The swap’s market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.
The value of foreign equity and currency index swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the price at which orders are being filled at the close of the NYSE. In the event that no order is filled at 4:00 p.m., the security dealer provides a fair value quote at which the swap agreement is valued. The swap’s market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.
Structured notes are valued in accordance with the terms of their agreements at the value of the underlying index close, usually 4:00 p.m., adjusted for any interest accruals and financing charges. If the securities comprising the underlying index cease trading before a Fund’s close of business, the index will be fair valued with the use of an appropriate market indicator.
Investments for which market quotations are not readily available are fair valued as determined in good faith by Rydex Investments under the direction of the Board of Trustees using methods established or ratified by the Board of Trustees. These methods include, but are not limited to: (i) general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market; and (iii) other information and considerations, including current values in related-markets.
B. Securities transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. Distributions received from investments in REITs are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer.
C. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles.
D. When a Fund engages in a short sale of an equity or fixed income security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales. The Fund is exposed to market risk based on the amount, if any, that the market value of the security exceeds the market value of the securities in the segregated account. Fees, if any, paid to brokers to borrow securities in connection with short sales are considered part of the cost of short sale transactions. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the treasury obligation to the lender and records this as an expense. Short dividends or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Funds may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short or incur rebate charges to borrow certain securities.
E. Upon the purchase of an option by a Fund, the premium paid is recorded as an investment, the value of which is marked-to-market daily. When a purchased option expires, that Fund will realize a loss in the amount of the cost of the option. When a Fund enters into a closing sale transaction, that Fund will realize a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. When a Fund exercises a put option, that Fund will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When a Fund exercises a call option, the cost of the security purchased by that Fund upon exercise will be increased by the premium originally paid. When a Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to- market to reflect the current value of the option written. When a written option expires, or if a Fund enters into a closing purchase transaction, that Fund realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).
F. The Trust may enter into stock and bond index futures contracts and options on such futures contracts. Futures contracts are contracts for delayed delivery of securities at a specified future delivery date and at a specific price. Upon entering into a contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 47 |
NOTES TO FINANCIAL STATEMENTS (continued)
value of the contract at the time it was opened and the value at the time it was closed.
G. The Trust may invest in structured notes, which are over-the-counter contracts linked to the performance of an underlying benchmark such as interest rates, equity markets, equity indices, commodities indices, corporate credits or foreign exchange markets. A structured note is a type of bond in which an issuer borrows money from investors and pays back the principal, adjusted for performance of the underlying benchmark, at a specified maturity date. In addition, the contract may require periodic interest payments. Structured notes are used to obtain exposure to a market without owning or taking physical custody of securities or commodities. Fluctuations in value of the structured notes are recorded as unrealized gains and losses in the accompanying financial statements. Coupon payments are recorded as income while net payments are recorded as net realized gains or losses.
H. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Trust does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain and loss from investments. Reported net realized foreign exchange gains or losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
I. The Trust may enter into forward currency contracts primarily to hedge against foreign currency exchange rate risks on its non-U.S. dollar denominated investment securities. When entering into a forward currency contract, a Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily and the corresponding unrealized gain or loss on the contracts, as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statement of Assets and Liabilities. Realized and unrealized gains and losses are included in the Statement of Operations. At December 31, 2009, none of the Funds held forward currency contracts.
J. Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the effective rates paid at the time of purchase by the Funds. Other securities
bear interest at the rates shown, payable at fixed dates through maturity. The Funds may also purchase American Depository Receipts, U.S. Government securities, and enter into repurchase agreements.
K. The Funds may leave cash overnight in their cash account with the custodian, U.S. Bank. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate. Segregated cash with the broker is held as collateral for investments in derivative instruments such as futures contracts and index swap agreements.
L. Throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
2. Financial Instruments
As part of its investment strategy, the Trust may utilize short sales and a variety of derivative instruments, including options, futures, options on futures, and swap agreements. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities.
A short sale is a transaction in which a Fund sells an equity or fixed income security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, that Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, that Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
The risk associated with purchasing options is limited to the premium originally paid. The risk in writing a covered call option is that a Fund may forego the opportunity for profit if the market price of the underlying security increases and 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 the underlying security decreases and the option is exercised. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty’s inability to perform.
There are several risks in connection with the use of futures contracts. Risks may be caused by an imperfect correlation between movements in the price of the instruments and the price of the underlying securities. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
There are several risks associated with the use of structured notes. Structured notes are leveraged, thereby providing an exposure to the underlying benchmark greater than the
48 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
face amount and increasing the volatility of each note relative to the change in the underlying linked financial instrument. A highly liquid secondary market may not exist for the structured notes a Fund invests in, which may make it difficult for that Fund to sell the structured notes it holds at an acceptable price or to accurately value them. In addition, structured notes are subject to the risk that the counterparty to the instrument, or issuer, might not pay interest when due or repay principal at maturity of the obligation. Although the Trust will not invest in any structured notes unless Rydex Investments believes that the issuer is creditworthy, a Fund does bear the risk of loss of the amount expected to be received in the event of the default or bankruptcy of the issuer.
There are several risks associated with the use of swap agreements that are different from those associated with ordinary portfolio securities transactions, due to the fact they could be considered illiquid. Although the Trust will not enter into any swap agreement unless Rydex Investments believes that the other party to the transaction is creditworthy, the Funds bear the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of the agreement counterparty.
In conjunction with the use of short sales, options, futures, options on futures, structured notes and swap agreements, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes, or the repurchase agreements allocated to each Fund.
The risks inherent in the use of short sales, options, futures contracts, options on futures contracts, and swap agreements, include i) adverse changes in the value of such instruments; ii) imperfect correlation between the price of the instruments and movements in the price of the underlying securities, indices, or futures contracts; iii) the possible absence of a liquid secondary market for any particular instrument at any time; and iv) the potential of counterparty default. The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
3. Derivative Investment Holdings Categorized by Risk Exposure
U.S. generally accepted accounting principles requires disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivatives instruments are accounted for and their effects on the Funds’ financial position and results of operations.
Certain Funds seek to gain exposure to their respective benchmarks by investing in commodity, currency, and financial-linked derivative instruments, including swap agreements, commodity options, futures and options on futures. The following table represents the notional amount of derivative instruments outstanding, as an approximate percentage of the Funds’ net assets on a daily basis, while the risk to each Fund is limited to the profit earned on such derivatives:
Approximate percentage of Fund’s | ||||
Fund | net assets on a daily basis | |||
International Opportunity Fund | 70 | % | ||
Managed Futures Strategy Fund | 100 | % | ||
Multi-Cap Core Equity Fund | 10 | % | ||
Multi-Hedge Strategies Fund | 25 | % | ||
Commodities Strategy Fund | 5 | % |
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of December 31, 2009:
Location on the Statements of Assets and Liabilities | ||||
Derivative Investments Type | Asset Derivatives | Liability Derivatives | ||
Equity contracts | Variation Margin on Futures Contracts | Variation Margin on Futures Contracts Written Options at Market Value | ||
Currency/Commodity/Interest Rate contracts | Variation Margin on Futures Contracts | Variation Margin on Futures Contracts |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 49 |
NOTES TO FINANCIAL STATEMENTS (continued)
The following table sets forth the fair value of the Funds’ derivative contracts by primary risk exposure as of December 31, 2009:
Asset Derivative Investments Value | ||||||||||||||||||||||||
Written | ||||||||||||||||||||||||
Futures | Options | Futures | Futures | Futures | ||||||||||||||||||||
Equity | Equity | Currency | Commodity | Interest Rate | Total Value at | |||||||||||||||||||
Fund | Contracts* | Contracts | Contracts* | Contracts* | Contracts* | December 31, 2009 | ||||||||||||||||||
All-Cap Opportunity Fund | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
International Opportunity Fund | 279,925 | — | — | — | — | 279,925 | ||||||||||||||||||
Alternative Strategies Allocation Fund | — | — | — | — | — | — | ||||||||||||||||||
Managed Futures Strategy Fund | — | — | 1,543 | 505,246 | — | 506,789 | ||||||||||||||||||
Multi-Cap Core Equity Fund | 7,363 | — | — | — | — | 7,363 | ||||||||||||||||||
Multi-Hedge Strategies Fund | 116,218 | — | — | 109,001 | 45,631 | 270,850 | ||||||||||||||||||
Commodities Strategy Fund | — | — | — | 71,015 | — | 71,015 |
Liability Derivative Investments Value | ||||||||||||||||||||||||
Written | ||||||||||||||||||||||||
Futures | Options | Futures | Futures | Futures | ||||||||||||||||||||
Equity | Equity | Currency | Commodity | Interest Rate | Total Value at | |||||||||||||||||||
Fund | Contracts* | Contracts | Contracts* | Contracts* | Contracts* | December 31, 2009 | ||||||||||||||||||
All-Cap Opportunity Fund | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
International Opportunity Fund | 14,356 | — | 66,629 | — | — | 80,985 | ||||||||||||||||||
Alternative Strategies Allocation Fund | — | — | — | — | — | — | ||||||||||||||||||
Managed Futures Strategy Fund | — | — | 489,701 | 83,637 | 181,851 | 755,189 | ||||||||||||||||||
Multi-Cap Core Equity Fund | — | — | — | — | — | — | ||||||||||||||||||
Multi-Hedge Strategies Fund | — | 178,947 | 100,103 | 61,295 | 76,595 | 416,940 | ||||||||||||||||||
Commodities Strategy Fund | — | — | — | — | — | — |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations as of December 31, 2009:
Derivative Investment Type | Location of Gain (Loss) on Derivatives | |
Equity contracts | Net realized gain (loss) on futures contracts | |
Net realized gain (loss) on written option transactions | ||
Change in net unrealized appreciation (depreciation) on futures contracts | ||
Change in net unrealized appreciation (depreciation) on written options | ||
Currency/Commodity/Interest Rate contracts | Net realized gain (loss) on futures contracts | |
Change in net unrealized appreciation (depreciation) on futures contracts |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure as of December 31, 2009:
Realized Gain (Loss) on Derivative Investments Recognized in the | ||||||||||||||||||||||||
Statement of Operations | ||||||||||||||||||||||||
Written | ||||||||||||||||||||||||
Futures | Options | Futures | Futures | Futures | ||||||||||||||||||||
Equity | Equity | Currency | Commodity | Interest Rate | ||||||||||||||||||||
Fund | Contracts | Contracts | Contracts | Contracts | Contracts | Total | ||||||||||||||||||
All-Cap Opportunity Fund | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
International Opportunity Fund | 649,818 | — | 387,131 | — | — | 1,036,949 | ||||||||||||||||||
Alternative Strategies Allocation Fund | — | — | — | — | — | — | ||||||||||||||||||
Managed Futures Strategy Fund | (218,859 | ) | — | 192,240 | (412,160 | ) | (40,244 | ) | (479,023 | ) | ||||||||||||||
Multi-Cap Core Equity Fund | 10,668 | — | — | — | — | 10,668 | ||||||||||||||||||
Multi-Hedge Strategies Fund | 358,495 | 153,656 | 150,468 | (146,167 | ) | (9,812 | ) | 506,640 | ||||||||||||||||
Commodities Strategy Fund | — | — | — | 38,400 | — | 38,400 |
50 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
Change in Unrealized Appreciation (Depreciation) on Derivative | ||||||||||||||||||||||||
Investments Recognized in the Statement of Operations | ||||||||||||||||||||||||
Written | ||||||||||||||||||||||||
Futures | Options | Futures | Futures | Futures | ||||||||||||||||||||
Equity | Equity | Currency | Commodity | Interest Rate | ||||||||||||||||||||
Fund | Contracts | Contracts | Contracts | Contracts | Contracts | Total | ||||||||||||||||||
All-Cap Opportunity Fund | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
International Opportunity Fund | (347,158 | ) | — | 60,251 | — | — | (286,907 | ) | ||||||||||||||||
Alternative Strategies Allocation Fund | — | — | — | — | — | — | ||||||||||||||||||
Managed Futures Strategy Fund | (19,551 | ) | — | (399,105 | ) | 474,321 | (181,851 | ) | (126,186 | ) | ||||||||||||||
Multi-Cap Core Equity Fund | 3,220 | — | — | — | — | 3,220 | ||||||||||||||||||
Multi-Hedge Strategies Fund | (476,560 | ) | (33,254 | ) | (385,484 | ) | 47,706 | (30,964 | ) | (878,556 | ) | |||||||||||||
Commodities Strategy Fund | — | — | — | 71,015 | — | 71,015 |
4. Call Options Written
Transactions in options written during the year ended December 31, 2009, were as follows:
Multi-Hedge Strategies Fund | ||||||||
Number of | Premiums | |||||||
Contracts | Received | |||||||
Options outstanding at December 31, 2008 | 90 | $ | 218,572 | |||||
Options written | 2,809 | 1,318,618 | ||||||
Options terminated in closing purchase transactions | (2,490 | ) | (1,270,414 | ) | ||||
Options expired | (138 | ) | (99,458 | ) | ||||
Options exercised | (178 | ) | (27,936 | ) | ||||
Options outstanding at December 31, 2009 | 93 | 139,381 |
5. Fees And Other Transactions With Affiliates
Under the terms of an investment advisory contract, the Trust pays Rydex Investments investment advisory fees calculated at an annualized rate of 0.75% of the average daily net assets of the Commodities Strategy Fund; 0.90% of the average daily net assets of the All-Cap Opportunity Fund, the International Opportunity Fund and the Managed Futures Strategy Fund, and 1.15% of the average daily net assets of the Multi-Hedge Strategies Fund. The Alternative Strategies Allocation Fund does not pay Rydex Investments a management fee.
Under the terms of the investment advisory contract, Multi-Cap Core Equity Fund pays Rydex Investments a base management fee of 0.70% of the average daily net assets; that is subject to a performance adjustment so that base fee can increase or decrease, depending on the investment performance of the Fund relative to the Russell 3000® Index (the “Index”). The maximum annualized performance adjustment is +/- 0.20% of the performance period. The performance comparison is made for a rolling 12-month period, with performance adjustments made at the end of each month. The 12-month comparison period will roll over with each succeeding month, so that it will always equal 12 months, ending with the month for which the performance adjustment is being computed. For the period ended December 31, 2009, the effective management fee was 0.50% of the Fund’s average daily net assets.
Rydex Investments contractually agreed to waive its advisory fee to the extent necessary to limit the ordinary operating expenses of the Commodities Strategy Fund (but excluding interest expenses, brokerage commissions and extraordinary expenses) to not more than 1.29% per annum of the average monthly net assets of the Fund (the “Contractual Fee Waiver”). Effective May 1, 2009, the contractual fee waiver was discontinued.
As part of its agreement with the Trust, Rydex Investments will pay all expenses of the Multi-Hedge Strategies Fund including the cost of transfer agency, custody, fund administration, legal, audit and other services, except interest expense, taxes (expected to be de minimis), brokerage commissions and other expenses connected with execution of portfolio transactions, short dividend expenses, and extraordinary expenses.
Rydex Investments manages the investment and reinvestment of the assets of the Alternative Strategies Allocation Fund in accordance with the investment objectives, policies, and limitations of the Fund. As part of its agreement with the Trust, Rydex Investments will pay all expenses of the Fund, including the cost of transfer agency, fund administration, audit and other services, excluding interest expense, taxes (expected to be de minimis), brokerage commissions and other expenses connected with the execution of portfolio transactions, short dividend expenses, and extraordinary expenses. The Fund indirectly bears a proportionate share of the total operating expenses (including investment management, shareholder servicing, custody, transfer agency, audit and other underlying fund expenses) of the underlying funds in which the Fund invests.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 51 |
NOTES TO FINANCIAL STATEMENTS (continued)
Rydex Investments provides transfer agent and administrative services to the Funds for fees calculated at an annualized rate of 0.25% of the average daily net assets of each Fund. Fees related to the Multi-Hedge Strategies and Alternative Strategies Allocation Funds are paid by Rydex Investments, as previously noted.
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 Multi-Hedge Strategies and Alternative Strategies Allocation 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. Certain expenses allocated to the Multi-Hedge Strategies and Alternative Strategies Allocation 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.
6. 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.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated 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.
Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (fiscal years 2006 —2009), and has concluded that no provision for income tax is required in the Funds’ financial statements.
The Managed Futures Strategy Fund, Commodities Strategy Fund and Multi-Hedge Strategies Fund intend to invest up to 25% of their assets in the Subsidiary which is expected to provide the Fund with exposure to the commodities markets within the limitations of the federal tax requirement under Subchapter M of the Code. The Managed Futures Strategy Fund and Commodities Strategy Fund have received a private letter ruling from the IRS that concludes that the income the Funds receive from the Subsidiary will constitute qualifying income for purposes of Subchapter M of the Code. The Multi-Hedge Strategies Fund intends to invest in the Multi-Hedge Subsidiary on a basis consistent with the private letter ruling issued to the Commodities Strategy Fund. The Multi-Hedge Strategies Fund intends to also take the position that the income it receives from the Multi-Hedge Subsidiary will constitute qualifying income for purposes of Subchapter M of the Code. The Subsidiary will be classified as a corporation for U.S. federal income tax purposes. A foreign corporation, such as the Subsidiary, will generally not be subject to U.S. federal income taxation unless it is deemed to be engaged in a U.S. trade or business.
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 losses deferred due to wash sales, losses deferred due to post-October losses, constructive sales, unsettled short sales 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 carryforward expired. These reclassifications have no effect on net assets or net asset values per share. Any undistributed ordinary income or long-term capital gain remaining at fiscal year end is distributed in the following 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, 2009 the following Funds offset net realized capital gains with capital losses from previous years or had previous losses permanently limited due to Treasury Regulations:
Fund | Amount | |||
All-Cap Opportunity Fund | $ | 3,378,690 | ||
International Opportunity Fund | 714,336 | |||
Multi-Hedge Strategies Fund | 1,533,402 |
52 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
The tax character of distributions paid during 2009 was as follows:
Ordinary | Long-Term | Total | ||||||||||||||
Fund | Income | Capital Gain | Distributions | |||||||||||||
All-Cap Opportunity Fund | $ | 58,031 | $ | — | $ | 58,031 | ||||||||||
International Opportunity Fund | 89,971 | — | 89,971 | |||||||||||||
Alternative Strategies Allocation Fund | — | — | — | |||||||||||||
Managed Futures Strategy Fund | — | — | — | |||||||||||||
Multi-Cap Core Equity Fund | — | — | — | |||||||||||||
Multi-Hedge Strategies Fund | 294,753 | — | 294,753 | |||||||||||||
Commodities Strategy Fund | 362,231 | — | 362,231 |
The tax character of distributions paid during 2008 was as follows:
Ordinary | Long-Term | Return of | Total | |||||||||||||
Fund | Income | Capital Gain | Capital | Distributions | ||||||||||||
All-Cap Opportunity Fund | $ | 172,587 | $ | 118,549 | $ | — | $ | 291,136 | ||||||||
International Opportunity Fund | — | — | — | — | ||||||||||||
Alternative Strategies Allocation Fund | 59,769 | 5,440 | — | 65,209 | ||||||||||||
Managed Futures Strategy Fund | — | — | — | — | ||||||||||||
Multi-Cap Core Equity Fund | 67,381 | 854 | 2,288 | 70,523 | ||||||||||||
Multi-Hedge Strategies Fund | 182,633 | — | — | 182,633 | ||||||||||||
Commodities Strategy Fund | 868,009 | — | — | 868,009 |
The tax character of distributable earnings/(accumulated losses) at December 31, 2009 was as follows:
Undistributed | Undistributed | |||||||||||||||
Ordinary | Long-Term | Net Unrealized | Capital Loss | |||||||||||||
Fund | Income | Capital Gain | Appreciation | Carryforward1 | ||||||||||||
All-Cap Opportunity Fund | $ | — | $ | — | $ | 11,277,478 | $ | (32,687,012 | ) | |||||||
International Opportunity Fund | 46,141 | — | 143,164 | (3,288,318 | ) | |||||||||||
Alternative Strategies Allocation Fund | 22,064 | — | 128,920 | (663,336 | ) | |||||||||||
Managed Futures Strategy Fund | — | — | 421,609 | (321,144 | ) | |||||||||||
Multi-Cap Core Equity Fund | 20,466 | — | 285,885 | (1,499,771 | ) | |||||||||||
Multi-Hedge Strategies Fund | — | — | 298,760 | (11,115,273 | ) | |||||||||||
Commodities Strategy Fund | — | — | 3,320,143 | (18,130,441 | ) |
Capital Loss Carryforward amounts may be limited due to U.S. Treasury Regulations.
1 A summary of the expiration of the aforementioned Capital Loss Carryforward is as follows:
Total | ||||||||||||||||||||
Expires in | Expires in | Expires in | Expires in | Capital Loss | ||||||||||||||||
Fund | 2014 | 2015 | 2016 | 2017 | Carryforward | |||||||||||||||
All-Cap Opportunity Fund | $ | — | $ | — | $ | (32,687,012 | ) | $ | — | $ | (32,687,012 | ) | ||||||||
International Opportunity Fund | — | — | (3,288,318 | ) | — | (3,288,318 | ) | |||||||||||||
Alternative Strategies Allocation Fund | — | — | (8,821 | ) | (654,515 | ) | (663,336 | ) | ||||||||||||
Managed Futures Strategy Fund | — | — | — | (321,144 | ) | (321,144 | ) | |||||||||||||
Multi-Cap Core Equity Fund | — | — | (1,071,208 | ) | (428,563 | ) | (1,499,771 | ) | ||||||||||||
Multi-Hedge Strategies Fund | (324,447 | ) | (1,856,489 | ) | (5,656,359 | ) | (3,277,978 | ) | (11,115,273 | ) | ||||||||||
Commodities Strategy Fund | (3,821,179 | ) | — | (4,932,556 | ) | (9,376,706 | ) | (18,130,441 | ) |
At December 31, 2009, 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) | ||||||||||||
All-Cap Opportunity Fund | $ | 57,238,425 | $ | 12,061,614 | $ | (784,136 | ) | $ | 11,277,478 | |||||||
International Opportunity Fund | 20,643,621 | 245,880 | (349,485 | ) | (103,605 | ) | ||||||||||
Alternative Strategies Allocation Fund | 4,977,054 | 204,699 | (75,779 | ) | 128,920 | |||||||||||
Managed Futures Strategy Fund | 27,421,653 | — | — | — | ||||||||||||
Multi-Cap Core Equity Fund | 2,086,116 | 316,337 | (30,452 | ) | 285,885 | |||||||||||
Multi-Hedge Strategies Fund | 21,881,702 | 1,776,898 | (124,540 | ) | 1,652,358 | |||||||||||
Commodities Strategy Fund | 18,038,586 | 3,320,143 | — | 3,320,143 |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 53 |
NOTES TO FINANCIAL STATEMENTS (continued)
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, 2009, the following amounts of realized capital and currency losses reflected in the accompanying financial statements will not be recognized for Federal income tax purposes until January 1, 2010:
Fund | Capital | |||
Alternative Strategies Allocation Fund | $ | (22,317 | ) | |
Managed Futures Strategy Fund | (463,342 | ) | ||
Commodities Strategy Fund | (19,369 | ) |
7. Repurchase Agreements
The Funds transfer 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 Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. 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 at December 31, 2009, were as follows:
Counterparty | Terms of Agreement | Face Value | Market Value | Repurchase Price | ||||||||||||
Mizuho Financial Group, Inc. | 0.00% due 01/04/10 | $ | 85,653,352 | $ | 85,653,352 | $ | 85,653,352 | |||||||||
HSBC Group | 0.00% due 01/04/10 | 85,000,000 | 85,000,000 | 85,000,000 | ||||||||||||
UBS Financial Services, Inc. | 0.00% due 01/04/10 | 85,000,000 | 85,000,000 | 85,000,000 | ||||||||||||
Morgan Stanley | 0.00% due 01/04/10 | 60,000,000 | 60,000,000 | 60,000,000 | ||||||||||||
Credit Suisse Group | (0.02)% due 01/04/10 | 39,364,616 | 39,364,616 | 39,364,529 | ||||||||||||
$ | 355,017,968 | $ | 355,017,881 | |||||||||||||
At December 31, 2009, 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 Bills | 03/18/10 - 06/17/10 | 0.00% | $ | 127,650,000 | $ | 127,526,933 | ||||||||||
U.S. Treasury Bond | 08/15/23 | 6.25% | 70,916,500 | 86,700,067 | ||||||||||||
U.S. TIP Notes | 01/15/11 - 04/15/11 | 2.38% - 3.50% | 63,614,800 | 77,052,155 | ||||||||||||
U.S. Treasury Notes | 11/30/14 - 11/15/17 | 2.13% - 4.75% | 65,722,300 | 70,843,095 | ||||||||||||
$ | 362,122,250 | |||||||||||||||
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their 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 Funds seek to assert their rights. The Funds’ investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
8. Fair Value Measurement
In accordance with U.S. generally accepted accounting principles, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:
54 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
Level 1 — quoted prices in active markets for identical securities.
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the inputs used to value the Funds’ net assets at December 31, 2009:
Level 1 | Level 2 | |||||||||||||||||||||||
Level 1 | Other | Level 2 | Other | |||||||||||||||||||||
Investments | Financial | Investments | Financial | |||||||||||||||||||||
Fund | In Securities | Instruments* | In Securities | Instruments* | Total | |||||||||||||||||||
Assets | ||||||||||||||||||||||||
All-Cap Opportunity Fund | $ | 66,806,924 | $ | — | $ | 1,708,979 | $ | — | $ | 68,515,903 | ||||||||||||||
International Opportunity Fund | 9,209,838 | — | 11,330,178 | 198,940 | 20,738,956 | |||||||||||||||||||
Alternative Strategies Allocation Fund | 5,082,316 | — | 23,658 | — | 5,105,974 | |||||||||||||||||||
Managed Futures Strategy Fund | — | — | 27,421,653 | — | 27,421,653 | |||||||||||||||||||
Multi-Cap Core Equity Fund | 2,135,101 | 7,363 | 236,900 | — | 2,379,364 | |||||||||||||||||||
Multi-Hedge Strategies Fund | 15,773,558 | 32,857 | 7,760,502 | — | 23,566,917 | |||||||||||||||||||
Commodities Strategy Fund | 891,660 | 71,015 | 20,467,069 | — | 21,429,744 | |||||||||||||||||||
Liabilities | ||||||||||||||||||||||||
All-Cap Opportunity Fund | — | — | — | — | — | |||||||||||||||||||
International Opportunity Fund | — | — | — | — | — | |||||||||||||||||||
Alternative Strategies Allocation Fund | — | — | — | — | — | |||||||||||||||||||
Managed Futures Strategy Fund | — | 248,400 | — | — | 248,400 | |||||||||||||||||||
Multi-Cap Core Equity Fund | — | — | — | — | — | |||||||||||||||||||
Multi-Hedge Strategies Fund | 12,311,757 | 178,947 | — | — | 12,490,704 | |||||||||||||||||||
Commodities Strategy Fund | — | — | — | — | — |
* | Other financial instruments may include forward foreign currency contracts, futures and/or swaps, which are reported as unrealized gain/loss at period end. |
9. Securities Transactions
For the year ended December 31, 2009, the cost of purchases and proceeds from sales of investment securities, excluding short-term and temporary cash investments, were:
Managed | ||||||||||||||||||||
All-Cap | International | Alternative | Futures | Multi-Cap | ||||||||||||||||
Opportunity | Opportunity | Strategies | Strategy | Core Equity | ||||||||||||||||
Fund | Fund | Allocation Fund | Fund | Fund | ||||||||||||||||
Purchases | $ | 254,495,030 | $ | 15,715,494 | $ | 8,443,737 | $ | — | $ | 5,796,913 | ||||||||||
Sales | 274,769,066 | 8,379,704 | 6,220,466 | — | 6,232,031 | |||||||||||||||
Multi-Hedge Strategies | Commodities | |||||||||||||||||||
Fund | Strategy Fund | |||||||||||||||||||
Purchases | $ | 74,507,303 | $ | 34,285,680 | ||||||||||||||||
Sales | 79,679,191 | 33,234,671 |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 55 |
NOTES TO FINANCIAL STATEMENTS (continued)
10. Share Transactions
The Trust is authorized to issue an unlimited number of shares (no par value). Transactions in shares for the years presented were:
Shares 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, | |||||||||||||||||||||||||
2009 | 2008* | 2009 | 2008* | 2009 | 2008* | 2009 | 2008* | |||||||||||||||||||||||||
All-Cap Opportunity Fund | 3,256,064 | 6,296,915 | 5,158 | 31,993 | (5,325,054 | ) | (6,818,374 | ) | (2,063,832 | ) | (489,466 | ) | ||||||||||||||||||||
International Opportunity Fund | 1,553,294 | 1,576,225 | 3,898 | — | (1,272,619 | ) | (874,549 | ) | 284,573 | 701,676 | ||||||||||||||||||||||
Alternative Strategies Allocation Fund | 248,709 | 311,690 | — | 3,305 | (151,286 | ) | (157,495 | ) | 97,423 | 157,500 | ||||||||||||||||||||||
Managed Futures Strategy Fund | 2,458,377 | 537,705 | — | — | (1,489,649 | ) | (271,623 | ) | 968,728 | 266,082 | ||||||||||||||||||||||
Multi-Cap Core Equity Fund | 375,098 | 418,904 | — | 5,220 | (394,298 | ) | (529,721 | ) | (19,200 | ) | (105,597 | ) | ||||||||||||||||||||
Multi-Hedge Strategies Fund | 1,531,493 | † | 1,975,336 | 14,585 | 8,961 | (1,846,273 | ) | (1,621,124 | ) | (300,195 | ) | 363,173 | ||||||||||||||||||||
Commodities Strategy Fund | 3,365,908 | 4,158,528 | 29,118 | 64,154 | (3,070,935 | ) | (4,680,834 | ) | 324,091 | (458,152 | ) |
* | Since the commencement of operations: | |
May 1, 2008 — Alternative Strategies Allocation Fund; | ||
March 27, 2008 — International Opportunity Fund; | ||
November 7, 2008 — Managed Futures Strategy Fund. | ||
† | Includes 116,314 shares issued in connection with Fund merger — See Note 14. |
56 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (concluded)
11. Line of Credit
The Trust has secured an uncommitted, $75,000,000 line of credit with U.S. Bank, N.A. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly. The maximum loan amount outstanding per Fund should be the lesser of: an amount which, when added to the total of other outstanding loan amounts under this agreement, exceeds the total line of credit, 33 1/3% of a Fund’s net assets, 33 1/3% of a Fund’s assets held by the Custodian or 33 1/3% of the sum of a Fund’s securities on any given day. This line of credit expires on June 15, 2010. As of and for the year ended December 31, 2009, the Funds did not have any outstanding borrowings under this agreement.
12. New Accounting Pronouncements
In January 2010, the Financial Accounting Standards Board issued an Accounting Standards Update, Improving Disclosures about Fair Value Measurements, which introduces new disclosure requirements and clarifies certain existing disclosure requirements around fair value measurements currently presented in Note 8. The new disclosures and clarifications of existing disclosures are generally effective for the Funds’ year ending December 31, 2010 and interim periods therein. Management is evaluating the impact of this update on its current disclosures.
13. Name Changes
Effective May 1, 2009, the Absolute Return Strategies Fund, the International Rotation Fund, and the Sector Rotation Fund, changed their Fund names to Multi-Hedge Strategies Fund, International Opportunity Fund, and All-Cap Opportunity Fund, respectively. The name change did not have any impact on the Funds’ investment objectives, tickers or CUSIPS.
14. Fund Merger
On May 29, 2009, the Multi-Hedge Strategies Fund (formerly, the Absolute Return Strategies Fund) acquired all of the net assets of Hedged Equity Fund, a separate series of the Trust, in exchange for shares of the Multi-Hedge Strategies Fund, pursuant to an agreement and plan of reorganization approved by the Board of Trustees and approved by the shareholders of the Hedged Equity Fund. The primary reason for the transaction was to combine a smaller fund into a larger fund with a similar investment objective. The acquisition was accomplished through a combination of a tax-free exchange of Hedged Equity Fund shares (129,412) valued at $2,309,996 for respective shares of the Multi-Hedge Strategies Fund (116,314), with the remainder coming from capital transactions. For financial reporting purposes, the net assets received and shares issued by Multi-Hedge Strategies Fund were recorded at fair value; however, the Hedged Equity Fund’s cost of the investments and proceeds from short sales were carried forward to align ongoing reporting of Multi-Hedge Strategies Fund realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
Hedged Equity Fund’s net assets on May 29, 2009 were $2,309,996, including $234,458 of unrealized appreciation. Hedged Equity Fund’s net assets were primarily comprised of investments with a fair value of $6,564,180, deposits with brokers related to short sales with a fair value of $1,680,116, obligations relating to short sales with a fair value of $1,935,482 and payable for shares redeemed of $4,489,375. The aggregate net assets of Multi-Hedge Strategies Fund immediately before and after the acquisition were $24,123,430 and $26,433,426, respectively.
The financial statements reflect the operations of the Multi-Hedge Strategies Fund for the period prior to the acquisition and the combined fund for the period subsequent to the fund merger. Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Hedged Equity Fund that have been included in the combined fund’s Statement of Operations since the acquisition was completed. Assuming the acquisition had been completed on January 1, 2009, Multi-Hedge Strategies Fund pro-forma net investment income(loss), net gain(loss) on investments and net increase(decrease) in net assets from operations for the year ended December 31, 2009 would have been $(249,393), $(304,596) and $(650,619), respectively. Rydex Investments and its affiliates bore all of the expenses related to the reorganization.
15. Subsequent Events
Management has evaluated events or transactions that may have occurred since December 31, 2009, that would merit recognition or disclosure in the financial statements. This evaluation was completed through February 26, 2010, the date the financial statements were available to be issued.
On February 15, 2010, Security Benefit Mutual Holding Company (“SBMHC”), the parent company of Security Benefit Corporation (“SBC”) and the ultimate parent company of Rydex Investments, entered into a Purchase and Sale Agreement whereby Guggenheim SBC Holdings LLC (“Guggenheim Holdings”) will, subject to regulatory approval, policyholder approval and approval by the shareholders of the mutual funds and exchange traded funds sponsored by affiliates of SBMHC, purchase all of the issued and outstanding stock of SBC (the “SBC Purchase Transaction”). The SBC Purchase Transaction would result in a change of control of Rydex Investments whereby SBC and its subsidiaries would be wholly-owned by Guggenheim Holdings. If the SBC Purchase Transaction does not close, other than as a result of a breach by Guggenheim Holdings or for certain other reasons, then SBC will sell its asset management business to Guggenheim Holdings, which would include Rydex Investments and would result in a change of control of Rydex Investments. The sale of SBC’s asset management business, like the SBC Purchase Transaction, would be subject to regulatory approval and approval by the shareholders of the mutual funds and exchange traded funds sponsored by affiliates of SBMHC.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 57 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders
of the Rydex Variable Trust:
of the Rydex Variable Trust:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of All-Cap Opportunity Fund, International Opportunity Fund, Alternative Strategies Allocation Fund, Managed Futures Strategy Fund (consolidated), Multi-Cap Core Equity Fund, Multi-Hedge Strategies Fund (consolidated), and Commodities Strategy Fund (consolidated)(seven of the series constituting the Rydex Variable Trust)(the “Funds”) as of December 31, 2009, and the related statements of operations for the year then ended, and the statements of changes in net assets and financial highlights for each of the years or periods presented in the two-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for each of the periods presented through December 31, 2007 were audited by other auditors, whose report dated February 26, 2008 expressed an unqualified opinion on those financial highlights.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2009, by correspondence with the custodian, transfer agent of the underlying funds, and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above listed Funds at December 31, 2009, the results of their operations for the year then ended, and the changes in their net assets and their financial highlights for each of the years or periods presented in the two-year period then ended, in conformity with U.S. generally accepted accounting principles.
McLean, Virginia
February 26, 2010
February 26, 2010
58 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
OTHER INFORMATION (Unaudited)
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 | |||
All-Cap Opportunity Fund | 100.00 | % | ||
Multi-Hedge Strategies Fund | 25.72 | % |
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 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 December 31 is available without charge, upon request, by calling 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 are 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 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 (including any sub-advisory agreement) be specifically approved (1) by the vote of the trustees or by a vote of the shareholders of the fund, and (2) by the vote of a majority of the trustees who are not parties to the investment advisory agreement (or sub-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 (or sub-advisory agreement). In addition, the U.S. 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 (or renew) an investment advisory agreement (or sub-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 (including sub-advisory agreements) between Rydex Variable Trust (the “Trust”) and PADCO Advisors II, Inc., which does business under the name Rydex Investments (“Rydex Investments”) (the “Advisory Agreements”), with respect to existing funds in the Trust (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. This information is 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 (including sub-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 an in-person meeting held on August 25, 2009, called for the purpose of among other things, voting on the renewal of the Advisory Agreements, the Board, including all of the Independent Trustees (the “Annual Renewal Meeting”), considered and approved the selection of Rydex Investments as the Funds’ investment advisor and the continuance of the Advisory Agreements for an additional one-year period, based on its review of qualitative and quantitative information provided by Rydex Investments.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 59 |
OTHER INFORMATION (Unaudited) (continued)
Board Considerations in Approving the Continuation of the 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 and compliance procedures applicable to personal securities transactions; (j) Rydex Investments’ reputation, expertise and resources in the 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 Advisory Agreements are fair and reasonable; (b) concluded that Rydex Investments’ fees were reasonable in light of the services that Rydex Investments provides to each of the Funds; and (c) agreed to renew the Advisory Agreements for an additional one-year term.
In approving the continuation of the Advisory 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 the Adviser
At the Annual Renewal Meeting, the Board reviewed the scope of services to be provided by Rydex Investments under the Advisory Agreements 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 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 Advisory 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. In addition, the Board reviewed and considered certain of the Funds’ investment in wholly-owned and controlled Cayman Islands subsidiaries (each a “Subsidiary”), and noted that each Subsidiary has entered into a separate advisory agreement with Rydex Investments for the management of that Subsidiary’s portfolio pursuant to which the Subsidiary pays Rydex Investments a management fee at the same rate that the Subsidiary’s corresponding Fund pays Rydex Investments. The Board noted that Rydex Investments has contractually agreed to waive the management fee it receives from each Fund in an amount equal to the management fee paid to Rydex Investments by each Fund’s Subsidiary and that the contractual fee waiver will continue in effect for so long as each Fund invests in its Subsidiary. The Board further noted that the contractual fee waiver may not be terminated by Rydex Investments unless the Board approves such termination. The Board 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. 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 Advisory 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 benchmark Fund’s ability to successfully track its benchmark over time, and a comparison of each
60 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
OTHER INFORMATION (Unaudited) (concluded)
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 lack of a sizeable peer group for certain 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 also noted that the investment advisory fees for the Funds generally 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 Advisory 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 Advisory 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 Advisory 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 the Advisory Agreements did not provide 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.
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.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 61 |
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 800.820.0888.
All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell Rd., Suite 500, Rockville, MD 20850.
Length of Service | ||||
Name, Position and | As Trustee | Number of | ||
Year of Birth | (Year Began) | Funds Overseen | ||
John O. Demaret | Rydex Series Funds – 1997 | 151 | ||
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 | 151 | ||
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 | 151 | ||
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 | 151 | ||
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)
Thomas F. Lydon, Jr. | Rydex Series Funds – 2005 | 151 | ||
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 | 151 | ||
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 | 151 | ||
Trustee (1944) | Rydex Variable Trust – 1998 | |||
Rydex Dynamic Funds – 1999 | ||||
Rydex ETF Trust – 2003 |
Principal Occupations During Past Five Years: Owner, Arrow Limousine
62 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)
EXECUTIVE OFFICERS
Name, Position and | Principal Occupations | |
Year of Birth | During Past Five Years | |
Richard M. Goldman* President (1961) | President of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Chief Executive Officer and Director of Rydex Investments (2009 to present); President, Chief Executive Officer and Director of Rydex Distributors, Inc. (2009 to present); President and Chief Executive Officer of Rydex Holdings, LLC (2009 to present); Senior Vice President of Security Benefit Corp. (2007 to present); Director of First Security Benefit Life and Annuity Insurance Company of New York (2007 to present); Director of Security Distributors, Inc. (2007 to present); President of Security Investors, LLC (2007 to present); Manager and President of Security Global Investors, LLC (2007 to present); Managing Member of R.M. Goldman Partners, LLC (2006 to 2007); President and Chief Executive Officer of FortsmannLeff Associates (2003 to 2005) | |
Michael P. Byrum* Vice President (1970) | 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); President of Rydex Investments (2004 to present); Chief Investment Officer of Rydex Investments (2006 to present); Secretary of Rydex Investments (2002 to present); Director of Rydex Investments (2008 to present); Chief Investment Officer of Rydex Holdings, LLC (2008 to present); Vice President of Rydex Distributors, Inc. (2009 to present); Manager of Rydex Specialized Products, LLC (2005 to present); Secretary of Rydex Specialized Products, LLC (2005 to 2008); Trustee of Rydex Series Funds, Rydex Variable Trust and Rydex Dynamic Funds (2005 to 2009); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2007) | |
Nick Bonos* Vice President and Treasurer (1963) | 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 (2006 to present); Chief Executive Officer of Rydex Specialized Products, LLC (2009 to present); Chief Financial Officer of Rydex Specialized Products, LLC (2005 to 2009); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006) | |
Joanna M. Haigney* Chief Compliance Officer and Secretary (1966) | Chief Compliance Officer of Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2004 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Chief Compliance Officer of Rydex Investments (2005 to present) Vice President of Compliance of Rydex Investments (2006 to present); Director of Rydex Distributors, Inc. (2009 to present); Secretary of Rydex Capital Partners SPhinX Fund (2003 to 2006) |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 63 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)
EXECUTIVE OFFICERS
Name, Position and | Principal Occupations | |
Year of Birth | During Past Five Years | |
Keith Fletcher* Vice President (1958) | Vice President of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Vice President of Rydex Investments (2009 to present); Vice President of Rydex Specialized Products, LLC (2009 to present); Vice President and Director of Rydex Distributors, Inc. (2009 to present); Vice President of Security Global Investors, LLC (2009 to present) | |
Amy Lee* Vice President and Assistant Secretary (1960) | Vice President and Assistant Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Secretary of Rydex Distributors, Inc. (2008 to present); Chief Compliance Officer of Rydex Distributors, Inc. (2008 to 2009); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Corp. (2005 to present); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Life Insurance Co. (2004 to present); Assistant General Counsel of First Security Benefit Life and Annuity Company of New York (2004 to present); Chief Compliance Officer and Secretary of Security Distributors, Inc. (2004 to present); Secretary of Security Global Investors, Inc. (2007 to present) | |
Joseph Arruda* Assistant Treasurer (1966) | Assistant Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Senior Vice President of Rydex Investments (2008 to present); Vice President of Rydex Investments (2004 to 2008); Manager and Chief Financial Officer of Rydex Specialized Products, LLC (2009 to present); Director of Accounting of Rydex Investments (2003 to 2004) | |
Paula Billos* Controller (1974) | Controller of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Director of Fund Administration Rydex Investments (2001 to present) |
* | Officers of the Funds 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. |
64 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
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DECEMBER 31, 2009
RYDEX VARIABLE TRUST ANNUAL REPORT
ASSET ALLOCATION FUNDS
ALL-ASSET CONSERVATIVE STRATEGY FUND
(Formerly, Essential Portfolio Conservative Fund)
ALL-ASSET MODERATE STRATEGY FUND
(Formerly, Essential Portfolio Moderate Fund)
ALL-ASSET AGGRESSIVE STRATEGY FUND
(Formerly, Essential Portfolio Aggressive Fund)
This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.
Distributed by Rydex Distributors, Inc.
TABLE OF CONTENTS
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 1 |
LETTER TO OUR SHAREHOLDERS
DEAR SHAREHOLDER:
On September 15, 2009, Federal Reserve (Fed) Chairman Ben Bernanke stated that “the recession is very likely over.” Indications are that we are in fact emerging from what has been termed the “Great Recession,” but significant risks linger due to the aftershocks of the 2008 financial and liquidity crisis.
Despite the strong advance to end the year, 2009 marked the end of one of the all-time worst decades of performance for the U.S. equity markets, with an average annual return of -.95%. However, economic trends over the last year suggest that conditions are improving. One sign is an exceptionally strong equity market. From March 9 (the market’s low point) until the end of 2009, the U.S. equity market was up 67.80% as measured by the S&P 500® Index. Strong equity returns across multiple indices, including the MSCI EAFE Index® (up 32.43% for the year), reflected investors’ increased appetite for risk.
More signs of economic improvement
Emerging markets posted even stronger returns—the MSCI Emerging Markets Index, for instance, was up 78.58% in 2009. Additionally, all 10 underlying economic sectors posted positive returns during the one-year period, with information technology (59.92%) and materials (45.22%) leading the way. Among the laggards for the year, utilities (6.80%) and telecom (2.63%) still managed to produce positive returns. Along with traditional assets, hedge fund managers enjoyed the favorable market environment in 2009 with returns of 20.04% as measured by the HFRI Fund Weighted Composite Index, which is an equal weighted index of more than 2,000 single manager hedge funds. Those strong returns were in contrast to a poor showing in 2008, when the composite index was down 19%. Another good sign: After a significant spike at the height of the financial crisis in the fall of 2008, implied market volatility levels as measured by the VIX Index have steadily trended down to more normal levels.
Improving housing conditions and increases in consumer spending—combined with significant reduction of inventories—lifted the U.S. economy out of recession in the third quarter of 2009. Real GDP grew at a rate of 2.2% for the quarter. U.S. consumer confidence, as measured by the Conference Board Consumer Confidence Index, rose in December to 52.9—the second straight month of improvement. Consumer outlook has improved somewhat from early in 2009, although concerns relating to the job market continue to weigh on consumers. Another sign of stronger economic conditions is existing home sales, which continued to improve—in November, existing home sales increased 7.4% from the prior month.
Reasons for caution in 2010
While many indicators are positive, certain risks remain. One of the major areas of concern is U.S. employment. The pace of job losses has slowed considerably from late 2008 and early 2009, when the change to non-farm payrolls shed as much as 741,000 jobs in a month. However, in December, despite modest growth in the prior month, 85,000 jobs were lost. The unemployment rate remained unchanged at 10% only due to the fact that the labor force declined by 661,000 workers.
Looking at 2010, some questions remain. How (and in what timeframe) will the Fed orchestrate an exit to the massive amount of quantitative easing it has implemented? Will inflationary pressures force the Fed to raise rates prematurely or will excess productive capacity counter those risks? How will the government grapple with deficit issues while promoting job growth necessary to support the fragile economy?
So far, the Fed has signaled that it will maintain an “exceptionally low” interest rate target for some time—in fact, there is a reasonable chance that the Fed will not increase rates until early 2011. If financial conditions continue to improve, the Fed will not need to further expand its credit easing policies and may begin an orderly exit to the existing programs. The major risks for the U.S. economy include long-run
2 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
LETTER TO OUR SHAREHOLDERS (concluded)
negative implications to carrying large budget deficits. Labor conditions also factor largely into the equation, with the risk of continued rising unemployment undermining the economic recovery.
In any case, the broad array of product offerings at Rydex|SGI can help investors either hedge or augment exposures to the equity or fixed-income markets, as well as introduce alternative assets and strategies into a portfolio to improve overall diversification. Thank you for the trust you place in us.
Sincerely,
Michael Byrum
President & Chief Investment Officer
President & Chief Investment Officer
Performance displayed represents past performance, which is no guarantee of future results.
Fund performance is subject to daily market volatility and may be better or worse since the end of the last quarter. For up-to-date fund performance, call 800.820.0888 or visit www.rydex-sgi.com.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 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, 2009 and ending December 31, 2009.
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 illustrated 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 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)
Beginning | Ending | Expenses | ||||||||||||||
Expense | Account Value | Account Value | Paid During | |||||||||||||
Ratio | † | June 30, 2009 | December 31, 2009 | Period | * | |||||||||||
Table 1. Based on actual Fund return | ||||||||||||||||
All-Asset Conservative Strategy Fund | 0.00% | $1,000.00 | $1,093.90 | $ — | ||||||||||||
All-Asset Moderate Strategy Fund | 0.00% | 1,000.00 | 1,126.60 | — | ||||||||||||
All-Asset Aggressive Strategy Fund | 0.00% | 1,000.00 | 1,164.00 | — | ||||||||||||
Table 2. Based on hypothetical 5% return (before expenses) | ||||||||||||||||
All-Asset Conservative Strategy Fund | 0.00% | 1,000.00 | 1,025.21 | — | ||||||||||||
All-Asset Moderate Strategy Fund | 0.00% | 1,000.00 | 1,025.21 | — | ||||||||||||
All-Asset Aggressive Strategy Fund | 0.00% | 1,000.00 | 1,025.21 | — |
* | 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 number of days in current fiscal year. Expenses shown do not include fees charged by insurance companies. | |
† | Annualized and excludes expenses of the underlying funds in which the Funds invest. |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 5 |
FUND PROFILES (Unaudited)
ALL-ASSET CONSERVATIVE STRATEGY FUND
OBJECTIVE: To primarily seek preservation of capital and, secondarily, to seek long-term growth of capital.
Inception: October 27, 2006
The year was a difficult one for most alternative investment asset classes: As securities markets around the world rebounded in 2009, reflecting an easing of the global credit crisis, investors developed a growing appetite for riskier assets, such as stocks. This sentiment put pressure on most alternative investment asset classes, which generally under-performed traditional stock and bond investments. The S&P 500 Index (up 26.47%) outperformed the 30-year Treasury bond by 39.00%, a record since at least 1978. The rebound in stocks was much stronger than that of commodities, as investment strategies that sought low correlations to traditional asset classes tended to perform poorly. Thus, all the long-only Funds that comprise this fund of funds, with the
exception of Rydex Government Long Bond 1.2x Strategy Fund, positively contributed to the performance. Among the best performing Fund components were SBL Fund — Series P (High Yield Series), SBL Fund — Series Q (Small Cap Value Series) and SBL Fund Series V (Mid Cap Value Series), returning 70.46%, 60.95% and 42.95%, respectively. The worst performing Fund was Rydex Government Long Bond 1.2x Strategy Fund, which lost 31.54%. The other two worst performing Funds were the Rydex Managed Futures Strategy and Rydex|SGI Global Market Neutral Funds, losing 4.01% and 4.43%, respectively.
For the one-year period ended December 31, 2009, Rydex All-Asset Conservative Strategy Fund returned 5.06%, compared to its benchmark (32% Russell 3000 Index, 8% MSCI EAFE Index and 60% Barclays Capital U.S. Aggregate Bond Index), which ended the year up 15.88%.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | ||||
(% of Total Net Assets) | ||||
SBL Fund — Series E (U.S. Intermediate Bond Series) | 19.2 | % | ||
RVT — All-Cap Opportunity Fund | 14.0 | % | ||
SBL Fund — Series P (High Yield Series) | 11.2 | % | ||
RVT — Managed Futures Strategy Fund | 8.4 | % | ||
RSF — Global Market Neutral Fund — Class H | 8.0 | % | ||
RVT — Government Long Bond 1.2x Strategy Fund | 7.7 | % | ||
SBL Fund — Series B (Large Cap Value Series) | 5.1 | % | ||
SBL Fund — Series Y (Select 25 Series) | 5.0 | % | ||
RSF — Global 130/30 Strategy Fund — Class H | 4.8 | % | ||
RVT — International Opportunity Fund | 4.0 | % | ||
Top Ten Total | 87.4 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
6 | | | THE RYDEX|SGI VARIABLE TRUST ANNUAL REPORT |
FUND PROFILES (Unaudited) (continued)
Cumulative Fund Performance:
October 27, 2006 — December 31, 2009
October 27, 2006 — December 31, 2009
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||
ONE | INCEPTION | |||||||
YEAR | (10/27/06) | |||||||
ALL-ASSET CONSERVATIVE STRATEGY FUND† | 5.06 | % | 0.45 | % | ||||
S&P 500 INDEX | 26.47 | % | -4.32 | % | ||||
SYNTHETIC ESSENTIAL PORTFOLIO CONSERVATIVE BENCHMARK* | 14.80 | % | 2.92 | % | ||||
SYNTHETIC ALL-ASSET CONSERVATIVE STRATEGY BENCHMARK** | 15.88 | % | 3.09 | % | ||||
† | On July 1, 2009, the Fund changed its benchmark from the Synthetic Essential Portfolio Conservative Benchmark to the Synthetic All-Asset Conservative Strategy Benchmark. The compositions of the comparative benchmarks were changed because the Advisor believes that the changes to these benchmarks are the most appropriate benchmarks to be used for comparative purposes given the investment strategies of the Funds. | |
* | Benchmark reflects a 40/60 ratio of the performance of the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index. | |
** | Benchmark reflects 32% Russell 3000® Index, 8% MSCI EAFE Index®, and 60% Barclays Capital U.S. Aggregate Bond Index. |
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index, Barclays Capital U.S. Aggregate Bond Index, Russell 3000 Index, and the MSCI EAFE Index are unmanaged 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.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 7 |
FUND PROFILES (Unaudited) (continued)
ALL-ASSET MODERATE STRATEGY FUND
OBJECTIVE: To primarily seek growth of capital and, secondarily, to seek preservation of capital.
Inception: October 27, 2006
The year was a difficult one for most alternative investment asset classes: As securities markets around the world rebounded in 2009, reflecting an easing of the global credit crisis, investors developed a growing appetite for riskier assets, such as stocks. This sentiment put pressure on most alternative investment asset classes, which generally under-performed traditional stock and bond investments. The S&P 500 Index (up 26.47%) outperformed the 30-year Treasury bond by 39.00%, a record since at least 1978. The rebound in stocks was much stronger than that of commodities, as investment strategies that sought low correlations to traditional asset classes tended to perform poorly. Thus, all the long-only funds that comprise this fund of funds, with the exception of Rydex Government Long Bond 1.2x Strategy
Fund, positively contributed to the performance. Among the best performing fund components were Among the best performing Fund components were SBL Fund — Series P (High Yield Series), SBL Fund — Series Q (Small Cap Value Series) and SBL Fund Series V (Mid Cap Value Series), returning 70.46%, 60.95% and 42.95%, respectively. The worst performing Fund was Rydex Government Long Bond 1.2x Strategy Fund, which lost 31.54%. The other two worst performing Funds were the Rydex Managed Futures Strategy and Rydex|SGI Global Market Neutral Funds, losing 4.01% and 4.43%, respectively.
For the one-year period ended December 31, 2009, Rydex All-Asset Moderate Strategy Fund returned 11.79%, compared to its benchmark (48% Russell 3000 Index, 12% MSCI EAFE Index and 40% Barclays Capital U.S. Aggregate Bond Index), which ended the year up 20.60%.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | ||||
(% of Total Net Assets) | ||||
SBL Fund — Series E (U.S. Intermediate Bond Series) | 18.2 | % | ||
RVT — All-Cap Opportunity Fund | 17.0 | % | ||
RVT — International Opportunity Fund | 8.4 | % | ||
RSF — Global Market Neutral Fund — Class H | 8.4 | % | ||
SBL Fund — Series Y (Select 25 Series) | 6.3 | % | ||
RVT — Government Long Bond 1.2x Strategy Fund | 6.0 | % | ||
RVT — Managed Futures Strategy Fund | 5.7 | % | ||
SBL Fund — Series B (Large Cap Value Series) | 5.3 | % | ||
RSF — Global 130/30 Strategy Fund — Class H | 5.0 | % | ||
SBL Fund — Series P(High Yield Series) | 3.9 | % | ||
Top Ten Total | 84.2 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
8 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
FUND PROFILES (Unaudited) (continued)
Cumulative Fund Performance:
October 27, 2006 — December 31, 2009
October 27, 2006 — December 31, 2009
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||
ONE | INCEPTION | |||||||
YEAR | (10/27/06) | |||||||
ALL-ASSET MODERATE STRATEGY FUND† | 11.79 | % | 0.35 | % | ||||
S&P 500 INDEX | 26.47 | % | -4.32 | % | ||||
SYNTHETIC ESSENTIAL PORTFOLIO MODERATE BENCHMARK* | 19.00 | % | 0.82 | % | ||||
SYNTHETIC ALL-ASSET MODERATE STRATEGY BENCHMARK** | 20.60 | % | 1.17 | % | ||||
† | On July 1, 2009, the Fund changed its benchmark from the Synthetic Essential Portfolio Moderate Benchmark to the Synthetic All-Asset Moderate Strategy Benchmark. The compositions of the comparative benchmarks were changed because the Advisor believes that the changes to these benchmarks are the most appropriate benchmarks to be used for comparative purposes given the investment strategies of the Funds. | |
* | Benchmark reflects a 60/40 ratio of the performance of the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index. | |
** | Benchmark reflects 48% Russell 3000® Index, 12% MSCI EAFE Index®, and 40% Barclays Capital U.S. Aggregate Bond Index. |
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index, Barclays Capital U.S. Aggregate Bond Index, Russell 3000 Index, and the MSCI EAFE Index are unmanaged 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.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 9 |
FUND PROFILES (Unaudited) (continued)
ALL-ASSET AGGRESSIVE STRATEGY FUND
OBJECTIVE: To primarily seek growth of capital.
Inception: October 27, 2006
The year was a difficult one for most alternative investment asset classes: As securities markets around the world rebounded in 2009, reflecting an easing of the global credit crisis, investors developed a growing appetite for riskier assets, such as stocks. This sentiment put pressure on most alternative investment asset classes, which generally underperformed traditional stock and bond investments. The S&P 500 Index (up 26.47%) outperformed the 30-year Treasury bond by 39.00%, a record since at least 1978. The rebound in stocks was much stronger than that of commodities, as investment strategies that sought low correlations to traditional asset classes tended to perform poorly. Thus, all the long-only funds that comprise this fund of funds, with the exception of Rydex Government Long Bond 1.2x Strategy Fund, positively contributed to the
performance. Among the best performing fund components were Among the best performing Fund components were SBL Fund — Series P (High Yield Series), SBL Fund — Series Q (Small Cap Value Series) and SBL Fund Series V (Mid Cap Value Series), returning 70.46%, 60.95% and 42.95%, respectively. The worst performing Fund was Rydex Government Long Bond 1.2x Strategy Fund, which lost 31.54%. The other two worst performing Funds were the Rydex Managed Futures Strategy and Rydex|SGI Global Market Neutral Funds, losing 4.01% and 4.43%, respectively.
For the one-year period ended December 31, 2009, Rydex All-Asset Aggressive Strategy Fund returned 18.38%, compared to its benchmark (64% Russell 3000 Index, 16% MSCI EAFE Index and 40% Barclays Capital U.S. Aggregate Index), which ended the year up 25.29%.
Industry Diversification (Market Exposure as % of Net Assets)
“Industry Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | ||||
(% of Total Net Assets) | ||||
RVT — All-Cap Opportunity Fund | 15.4 | % | ||
SBL Fund — Series E (U.S. Intermediate Bond Series) | 11.0 | % | ||
RVT — International Opportunity Fund | 10.0 | % | ||
SBL Fund — Series B (Large Cap Value Series) | 9.9 | % | ||
SBL Fund — Series Y (Select 25 Series) | 9.9 | % | ||
RSF — Global Market Neutral Fund — Class H | 7.9 | % | ||
RSF — Global 130/30 Strategy Fund — Class H | 4.8 | % | ||
RVT — Managed Futures Strategy Fund | 4.1 | % | ||
SBL Fund — Series V (Mid Cap Value Series) | 3.1 | % | ||
SBL Fund — Series J (Mid Cap Growth Series) | 3.1 | % | ||
Top Ten Total | 79.2 | % | ||
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
10 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
FUND PROFILES (Unaudited) (concluded)
Cumulative Fund Performance:
October 27, 2006 — December 31, 2009
October 27, 2006 — December 31, 2009
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/09
SINCE | ||||||||
ONE | INCEPTION | |||||||
YEAR | (10/27/06) | |||||||
ALL-ASSET AGGRESSIVE STRATEGY FUND† | 18.38 | % | -0.80 | % | ||||
S&P 500 INDEX | 26.47 | % | -4.32 | % | ||||
SYNTHETIC ESSENTIAL PORTFOLIO AGGRESSIVE BENCHMARK* | 22.89 | % | -1.61 | % | ||||
SYNTHETIC ALL-ASSET AGGRESSIVE STRATEGY BENCHMARK** | 25.29 | % | -1.00 | % | ||||
† | On July 1, 2009, the Fund changed its benchmark from the Synthetic Essential Portfolio Aggressive Benchmark to the Synthetic All-Asset Aggressive Strategy Benchmark. The compositions of the comparative benchmarks were changed because the Advisor believes that the changes to these benchmarks are the most appropriate benchmarks to be used for comparative purposes given the investment strategies of the Funds. | |
* | Benchmark reflects a 80/20 ratio of the performance of the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index. | |
** | Benchmark reflects 64% Russell 3000® Index, 16% MSCI EAFE Index®, and 20% Barclays Capital U.S. Aggregate Bond Index. |
The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500 Index, Barclays Capital U.S. Aggregate Bond Index, Russell 3000 Index, and the MSCI EAFE Index are unmanaged 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.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 11 |
SCHEDULE OF INVESTMENTS
December 31, 2009
ALL-ASSET CONSERVATIVE STRATEGY FUND (Formerly, Essential Portfolio Conservative Fund)
MARKET | ||||||||
SHARES | VALUE | |||||||
MUTUAL FUNDS†† 93.5%(a) | ||||||||
SBL Fund — Series E (U.S. Intermediate Bond Series) | 128,347 | $ | 1,570,971 | |||||
RVT — All-Cap Opportunity Fund | 99,380 | 1,143,863 | ||||||
SBL Fund — Series P (High Yield Series) | 39,497 | 916,334 | ||||||
RVT — Managed Futures Strategy Fund* | 29,611 | 686,674 | ||||||
RSF — Rydex|SGI Global Market Neutral Fund — Class H | 27,600 | 655,219 | ||||||
RVT — Government Long Bond 1.2x Strategy Fund | 95,536 | 629,581 | ||||||
SBL Fund — Series B (Large Cap Value Series) | 18,686 | 414,829 | ||||||
SBL Fund — Series Y (Select 25 Series) | 48,087 | 410,179 | ||||||
RSF — Rydex|SGI Global 130/30 Strategy Fund — Class H | 43,182 | 389,936 | ||||||
RVT — International Opportunity Fund | 14,801 | 329,184 | ||||||
SBL Fund — Series V (Mid Cap Value Series) | 2,658 | 130,381 | ||||||
SBL Fund — Series J (Mid Cap Growth Series) | 5,354 | 129,563 | ||||||
RSF — Rydex|SGI Long/Short Commodities Strategy Fund — Class H* | 2,376 | 57,178 | ||||||
SBL Fund — Series X (Small Cap Growth Series)* | 3,058 | 44,396 | ||||||
SBL Fund — Series Q (Small Cap Value Series) | 1,571 | 43,356 | ||||||
RVT — Commodities Strategy Fund | 2,660 | 33,463 | ||||||
RVT — Multi-Hedge Strategies Fund | 1,659 | 33,277 | ||||||
RVT — Real Estate Fund | 966 | 20,705 | ||||||
Total Mutual Funds (Cost $7,158,976) | 7,639,089 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT† 6.5%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 530,423 | $ | 530,423 | ||||
Total Repurchase Agreement (Cost $530,423) | 530,423 | |||||||
Total Investments 100.0% (Cost $7,689,399) | $ | 8,169,512 | ||||||
Other Assets in Excess of Liabilities – 0.00% | $ | 1,320 | ||||||
Net Assets – 100.0% | $ | 8,170,832 |
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 5. | |
†† | Affiliated Funds | |
(a) | Value determined based on Level 1 inputs — See Note 6. | |
(b) | Value determined based on Level 2 inputs — See Note 6. | |
RSF — Rydex Series Funds. | ||
RVT — Rydex Variable Trust. | ||
SBL — Security Benefit Life. |
12 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
SCHEDULE OF INVESTMENTS
December 31, 2009
ALL-ASSET MODERATE STRATEGY FUND (Formerly, Essential Portfolio Moderate Fund)
MARKET | ||||||||
SHARES | VALUE | |||||||
MUTUAL FUNDS†† 95.3%(a) | ||||||||
SBL Fund — Series E (U.S. Intermediate Bond Series) | 277,410 | $ | 3,395,504 | |||||
RVT — All-Cap Opportunity Fund | 276,071 | 3,177,572 | ||||||
RVT — International Opportunity Fund | 70,793 | 1,574,430 | ||||||
RSF — Rydex|SGI Global Market Neutral Fund — Class H | 66,016 | 1,567,229 | ||||||
SBL Fund — Series Y (Select 25 Series) | 137,257 | 1,170,806 | ||||||
RVT — Government Long Bond 1.2x Strategy Fund | 169,035 | 1,113,943 | ||||||
RVT — Managed Futures Strategy Fund* | 45,716 | 1,060,147 | ||||||
SBL Fund — Series B (Large Cap Value Series) | 44,261 | 982,597 | ||||||
RSF — Rydex|SGI Global 130/30 Strategy Fund — Class H | 102,957 | 929,705 | ||||||
SBL Fund — Series P (High Yield Series) | 31,086 | 721,195 | ||||||
RSF — Rydex|SGI Long/Short Commodities Strategy Fund — Class H* | 18,514 | 445,438 | ||||||
SBL Fund — Series V (Mid Cap Value Series) | 6,574 | 322,438 | ||||||
RVT — Commodities Strategy Fund | 23,090 | 290,471 | ||||||
SBL Fund — Series J (Mid Cap Growth Series) | 9,415 | 227,838 | ||||||
RSF — Russell 2000® Fund — Class H* | 7,636 | 161,735 | ||||||
RVT — Multi-Hedge Strategies Fund | 7,671 | 153,872 | ||||||
SBL Fund — Series Q (Small Cap Value Series) | 4,684 | 129,283 | ||||||
SBL Fund — Series X (Small Cap Growth Series)* | 8,670 | 125,887 | ||||||
RVT — Russell 2000® 1.5x Strategy Fund* | 5,272 | 116,460 | ||||||
RSF — S&P 500 Fund — Class H | 4,151 | 91,656 | ||||||
RVT — Nova Fund | 713 | 43,617 | ||||||
Total Mutual Funds (Cost $16,249,426) | 17,801,823 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT† 4.7%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 874,535 | $ | 874,535 | ||||
Total Repurchase Agreement (Cost $874,535) | 874,535 | |||||||
Total Investments 100.0% (Cost $17,123,961) | $ | 18,676,358 | ||||||
Liabilities in Excess of Other Assets – 0.0% | $ | (504 | ) | |||||
Net Assets – 100.0% | $ | 18,675,854 |
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 5. | |
†† | Affiliated Funds | |
(a) | Value determined based on Level 1 inputs — See Note 6. | |
(b) | Value determined based on Level 2 inputs — See Note 6. | |
RSF — Rydex Series Funds. | ||
RVT — Rydex Variable Trust. | ||
SBL — Security Benefit Life. |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 13 |
SCHEDULE OF INVESTMENTS
December 31, 2009
ALL-ASSET AGGRESSIVE STRATEGY FUND (Formerly, Essential Portfolio Aggressive Fund)
MARKET | ||||||||
SHARES | VALUE | |||||||
MUTUAL FUNDS†† 97.6%(a) RVT — All-Cap Opportunity Fund | 106,479 | $ | 1,225,573 | |||||
SBL Fund — Series E (U.S. Intermediate Bond Series) | 71,597 | 876,350 | ||||||
RVT — International Opportunity Fund | 35,982 | 800,233 | ||||||
SBL Fund — Series B (Large Cap Value Series) | 35,669 | 791,855 | ||||||
SBL Fund — Series Y (Select 25 Series) | 92,510 | 789,107 | ||||||
RSF — Rydex|SGI Global Market Neutral Fund — Class H | 26,684 | 633,473 | ||||||
RSF — Rydex|SGI Global 130/30 Strategy Fund — Class H | 42,407 | 382,939 | ||||||
RVT — Managed Futures Strategy Fund* | 13,958 | 323,696 | ||||||
SBL Fund — Series V (Mid Cap Value Series) | 5,054 | 247,899 | ||||||
SBL Fund — Series J (Mid Cap Growth Series) | 10,144 | 245,488 | ||||||
RVT — Government Long Bond 1.2x Strategy Fund | 34,756 | 229,041 | ||||||
RVT — Commodities Strategy Fund | 15,444 | 194,290 | ||||||
RVT — Real Estate Fund | 7,196 | 154,292 | ||||||
RSF — Russell 2000® Fund — Class H* | 6,232 | 131,991 | ||||||
SBL Fund — Series Q (Small Cap Value Series) | 4,649 | 128,321 | ||||||
SBL Fund — Series X (Small Cap Growth Series)* | 8,272 | 120,106 | ||||||
RVT — Russell 2000® 1.5x Strategy Fund* | 5,396 | 119,193 | ||||||
RSF — S&P 500 Fund — Class H | 4,614 | 101,881 | ||||||
RVT — Multi-Hedge Strategies Fund | 4,576 | 91,790 | ||||||
SBL Fund — Series P (High Yield Series) | 3,631 | 84,241 | ||||||
RVT — Nova Fund | 911 | 55,701 | ||||||
RSF — Rydex|SGI Long/Short Commodities Strategy Fund — Class H* | 2,168 | 52,174 | ||||||
Total Mutual Funds (Cost $7,073,368) | 7,779,634 | |||||||
FACE | MARKET | |||||||
AMOUNT | VALUE | |||||||
REPURCHASE AGREEMENT† 2.4%(b) | ||||||||
Credit Suisse Group issued 12/31/09 at (0.02)% due 01/04/10 | $ | 194,350 | $ | 194,350 | ||||
Total Repurchase Agreement (Cost $194,350) | 194,350 | |||||||
Total Investments 100.0% (Cost $7,267,718) | $ | 7,973,984 | ||||||
Liabilities in Excess of | ||||||||
Other Assets – 0.0% | $ | (246 | ) | |||||
Net Assets – 100.0% | $ | 7,973,738 |
* | Non-Income Producing Security. | |
† | Repurchase Agreements — See Note 5. | |
†† | Affiliated Funds | |
(a) | Value determined based on Level 1 inputs — See Note 6. | |
(b) | Value determined based on Level 2 inputs — See Note 6. | |
RSF — Rydex Series Funds. | ||
RVT — Rydex Variable Trust. | ||
SBL — Security Benefit Life. |
14 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2009
All-Asset | All-Asset | All-Asset | ||||||||||
Conservative Strategy | Moderate Strategy | Aggressive Strategy | ||||||||||
Fund | Fund | Fund | ||||||||||
Assets | ||||||||||||
Investment Securities in Affiliated Funds | $ | 7,639,089 | $ | 17,801,823 | $ | 7,779,634 | ||||||
Repurchase Agreements | 530,423 | 874,535 | 194,350 | |||||||||
Total Investments | 8,169,512 | 18,676,358 | 7,973,984 | |||||||||
Receivable for Fund Shares Sold | 1,513 | — | — | |||||||||
Investment Income Receivable from Affiliated Funds | 12 | 20 | 5 | |||||||||
Total Assets | 8,171,037 | 18,676,378 | 7,973,989 | |||||||||
Liablities | ||||||||||||
Payable to Affiliated Funds for Securities Purchased | 12 | 20 | 4 | |||||||||
Payable for Fund Shares Redeemed | 193 | 504 | 247 | |||||||||
Total Liabilities | 205 | 524 | 251 | |||||||||
Net Assets | $ | 8,170,832 | $ | 18,675,854 | $ | 7,973,738 | ||||||
Net Assets Consist Of | ||||||||||||
Paid-In Capital | $ | 9,712,474 | $ | 21,447,300 | $ | 9,127,959 | ||||||
Undistributed Net Investment Income | 174,688 | 233,913 | 45,108 | |||||||||
Accumulated Net Realized Loss on Investments | (2,196,443 | ) | (4,557,756 | ) | (1,905,595 | ) | ||||||
Net Unrealized Appreciation on Investments | 480,113 | 1,552,397 | 706,266 | |||||||||
Net Assets | $ | 8,170,832 | $ | 18,675,854 | $ | 7,973,738 | ||||||
Shares Outstanding | 357,866 | 803,999 | 370,695 | |||||||||
Net Asset Values | $ | 22.83 | $ | 23.23 | $ | 21.51 | ||||||
Cost of Investments | $ | 7,689,399 | $ | 17,123,961 | $ | 7,267,718 |
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 15 |
STATEMENTS OF OPERATIONS
Year Ended December 31, 2009
All-Asset | All-Asset | All-Asset | ||||||||||
Conservative Strategy | Moderate Strategy | Aggressive Strategy | ||||||||||
Fund | Fund | Fund | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 140 | $ | 250 | $ | 108 | ||||||
Dividends from Affiliated Funds | 170,191 | 223,283 | 40,427 | |||||||||
Total Income | 170,331 | 223,533 | 40,535 | |||||||||
Expenses | ||||||||||||
Custody Fees | 159 | 323 | 34 | |||||||||
Total Expenses | 159 | 323 | 34 | |||||||||
Net Investment Income | 170,172 | 223,210 | 40,501 | |||||||||
Realized And Unrealized Gain (Loss) On Investments | ||||||||||||
Net Realized Loss on: | ||||||||||||
Affiliated Investment Securities | (482,228 | ) | (1,052,528 | ) | (210,016 | ) | ||||||
Realized Gain Distributions Received from Affiliated Funds | 4,516 | 10,849 | 4,727 | |||||||||
Total Net Realized Loss | (477,712 | ) | (1,041,679 | ) | (205,289 | ) | ||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
Investment Securities | 641,235 | 2,598,977 | 1,423,485 | |||||||||
Net Change in Unrealized Appreciation (Depreciation) | 641,235 | 2,598,977 | 1,423,485 | |||||||||
Net Gain on Investments | 163,523 | 1,557,298 | 1,218,196 | |||||||||
Net Increase in Net Assets from Operations | $ | 333,695 | $ | 1,780,508 | $ | 1,258,697 | ||||||
16 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
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THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 17 |
STATEMENTS OF CHANGES IN NET ASSETS
All-Asset | All-Asset | |||||||||||||||
Conservative Strategy Fund | Moderate Strategy Fund | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
From Operations | ||||||||||||||||
Net Investment Income | $ | 170,172 | $ | 416,926 | $ | 223,210 | $ | 388,451 | ||||||||
Net Realized Loss on Investments | (477,712 | ) | (1,590,515 | ) | (1,041,679 | ) | (3,167,064 | ) | ||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 641,235 | (180,993 | ) | 2,598,977 | (1,037,759 | ) | ||||||||||
Net Increase (Decrease) in Net Assets from Operations | 333,695 | (1,354,582 | ) | 1,780,508 | (3,816,372 | ) | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM:* | ||||||||||||||||
Net Investment Income | (147 | ) | (426,954 | ) | (300 | ) | (392,818 | ) | ||||||||
Realized Gain on Investments | — | (138,044 | ) | — | (179,460 | ) | ||||||||||
Total Distributions to Shareholders | (147 | ) | (564,998 | ) | (300 | ) | (572,278 | ) | ||||||||
Share Transactions | ||||||||||||||||
Proceeds from Shares Purchased | 7,584,215 | 25,842,864 | 7,161,809 | 24,283,258 | ||||||||||||
Value of Shares Purchased through Dividend Reinvestment | 147 | 564,998 | 300 | 572,278 | ||||||||||||
Cost of Shares Redeemed | (10,769,408 | ) | (18,904,806 | ) | (10,107,134 | ) | (14,911,643 | ) | ||||||||
Net Increase (Decrease) in Net Assets From Share Transactions | (3,185,046 | ) | 7,503,056 | (2,945,025 | ) | 9,943,893 | ||||||||||
Net Increase (Decrease) in Net Assets | (2,851,498 | ) | 5,583,476 | (1,164,817 | ) | 5,555,243 | ||||||||||
Net Assets—Beginning Of Period | 11,022,330 | 5,438,854 | 19,840,671 | 14,285,428 | ||||||||||||
Net Assets—end Of Period | $ | 8,170,832 | $ | 11,022,330 | $ | 18,675,854 | $ | 19,840,671 | ||||||||
Undistributed Net Investment Income — End of Period | $ | 174,688 | $ | 147 | $ | 233,913 | $ | 154 | ||||||||
* | For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains. |
18 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | See Notes to Financial Statements. |
All-Asset | |||||||||
Aggressive Strategy Fund | |||||||||
Year Ended | Year Ended | ||||||||
December 31, | December 31, | ||||||||
2009 | 2008 | ||||||||
$ | 40,501 | $ | 75,923 | ||||||
(205,289 | ) | (1,531,363 | ) | ||||||
1,423,485 | (575,444 | ) | |||||||
1,258,697 | (2,030,884 | ) | |||||||
(125 | ) | (77,240 | ) | ||||||
— | (175,409 | ) | |||||||
(125 | ) | (252,649 | ) | ||||||
5,220,666 | 8,627,762 | ||||||||
125 | 252,649 | ||||||||
(5,141,187 | ) | (6,835,397 | ) | ||||||
79,604 | 2,045,014 | ||||||||
1,338,176 | (238,519 | ) | |||||||
6,635,562 | 6,874,081 | ||||||||
$ | 7,973,738 | $ | 6,635,562 | ||||||
$ | 45,108 | $ | 5 | ||||||
See Notes to Financial Statements. | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 19 |
FINANCIAL HIGHLIGHTS
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 ASSET | Net Realized | (Decrease) in | Distributions | Distributions | ||||||||||||||||||||||||||||||||||||||||||||||||
VALUE, | Net | and Unrealized | Net Asset | from Net | from | NET ASSET | Total | Net | Portfolio | Net Assets, | ||||||||||||||||||||||||||||||||||||||||||
BEGINNING | Investment | Gains (Losses) | Value Resulting | Investment | Net Realized | Total | VALUE, END | Investment | Total | Investment | Turnover | End of Period | ||||||||||||||||||||||||||||||||||||||||
Year Ended | OF PERIOD | Income† | on Investments | from Operations | Income◊ | Gains◊ | Distributions | OF PERIOD | Return††† | Expenses†† | Income | Rate | (000’ omitted) | |||||||||||||||||||||||||||||||||||||||
All-Asset Conservative Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | $ | 21.73 | $ | .40 | $ | .70 | $ | 1.10 | $ | (—)§ | $ | — | $ | (—)§ | $ | 22.83 | 5.06% | 0.00% | 1.86% | 291% | $ 8,171 | |||||||||||||||||||||||||||||||
December 31, 2008 | 25.68 | .89 | (3.67) | (2.78) | (.91) | (.26) | (1.17) | 21.73 | (10.83)% | 0.01% | 3.72% | 314% | 11,022 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 25.09 | .61 | 1.00 | 1.61 | (.33) | (.69) | (1.02) | 25.68 | 6.45% | 0.03% | 2.33% | 395% | 5,439 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006* | 25.00 | .45 | (.02) | .43 | (.33) | (.01) | (.34) | 25.09 | 1.71% | — | 9.77% | ** | 18% | 432 | ||||||||||||||||||||||||||||||||||||||
All-Asset Moderate Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 20.78 | .26 | 2.19 | 2.45 | (—)§ | — | (—)§ | 23.23 | 11.79% | 0.00% | 1.25% | 256% | 18,676 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 25.96 | .47 | (5.04) | (4.57) | (.44) | (.17) | (.61) | 20.78 | (17.58)% | 0.00% | 1.99% | 232% | 19,841 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 25.01 | .36 | 1.27 | 1.63 | (.22) | (.46) | (.68) | 25.96 | 6.56% | 0.01% | 1.36% | 269% | 14,285 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006* | 25.00 | 1.35 | (.61) | .74 | (.72) | (.01) | (.73) | 25.01 | 2.98% | — | 28.35% | ** | 20% | 3,508 | ||||||||||||||||||||||||||||||||||||||
All-Asset Aggressive Strategy Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2009 | 18.17 | .11 | 3.23 | 3.34 | (—)§ | — | (—)§ | 21.51 | 18.38% | 0.00% | 0.56% | 307% | 7,974 | |||||||||||||||||||||||||||||||||||||||
December 31, 2008 | 25.21 | .25 | (6.57) | (6.32) | (.24) | (.48) | (.72) | 18.17 | (25.04)% | 0.00% | 1.11% | 308% | 6,636 | |||||||||||||||||||||||||||||||||||||||
December 31, 2007 | 24.48 | .29 | 1.32 | 1.61 | (.17) | (.71) | (.88) | 25.21 | 6.64% | 0.01% | 1.12% | 300% | 6,874 | |||||||||||||||||||||||||||||||||||||||
December 31, 2006* | 25.00 | 1.85 | (1.10) | .75 | (1.24) | (.03) | (1.27) | 24.48 | 3.02% | — | 39.87% | ** | 34% | 542 |
* | Since the commencement of operations: October 27, 2006. | |
** | Income ratios for the year ended December 31, 2006 were calculated for an abbreviated time frame and are not indicative of future class performance, and are annualized. | |
† | Calculated using the average daily shares outstanding. | |
†† | Does not include expenses of the underlying funds in which the Funds invest. | |
††† | Total investment return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. | |
◊ | For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains. | |
§ | Less than $.01 per share. |
20 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS
1. Organization and Significant Accounting Policies Organization
The Rydex Variable Trust (the “Trust”), a Delaware business trust, is registered with the SEC under the Investment Company Act of 1940 (the “1940 Act”) as a non-diversified, open-ended investment company and is authorized to issue an unlimited number of shares (no par value). The Trust offers shares of its Funds to insurance companies for their variable annuity and variable life insurance contracts.
At December 31, 2009, the Trust consisted of fifty-seven separate Funds. This report covers the Asset Allocation Funds (the “Funds”), while the other Funds are contained in separate reports.
Each Fund is a “fund of funds,” which means that it seeks to achieve its investment objective by investing primarily in a combination of funds within the same group of affiliated investment companies (the SGI Funds and the Rydex family of mutual funds) and exchange-traded funds (“ETFs”) (collectively, the “underlying funds”) instead of individual securities. The SGI Funds are advised by Security Investors, LLC and Security Global Investors, LLC (collectively, “Security Global Investors”). Rydex Investments and Security Global Investors are subsidiaries of Security Benefit Corporation.
Rydex Investments provides advisory, transfer agent and administrative services, and accounting services to the Trust. Rydex Distributors, Inc. (the “Distributor”) acts as principal underwriter for the Trust. Both Rydex Investments and the Distributor are affiliated entities.
Significant Accounting Policies
The following significant accounting policies and the preparation of financial statements are in conformity with U.S. generally accepted accounting principles and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
A. Open-end investment companies are valued at their Net Asset Value per share (“NAV”) as of the close of business, usually 4:00 p.m. on the valuation date. ETFs and closed-end investment companies are valued at the last quoted sales price. Debt securities with a maturity greater than 60 days are valued at the last traded fill price at the close of business, unless no trades were executed. If there are no trades, a debt security is valued
at the reported bid price, at the close of business. Short-term debt securities with a maturity of 60 days or less and repurchase agreements are valued at amortized cost, which approximates market value.
B. Securities transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis.
C. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles.
D. The Funds may also purchase American Depository Receipts, U.S. Government securities, Commercial Paper, and enter into repurchase agreements.
E. Throughout the normal course of business, the Funds and the underlying funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The maximum exposure under these arrangements is unknown, as this would involve future claims that may be made that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
2. Financial Instruments
As part of their investment strategies, the underlying funds may utilize short sales and a variety of derivative instruments including, options, futures, options on futures, structured notes, and swap agreements. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts reflected in the underlying funds’ NAVs.
A short sale is a transaction in which an underlying fund sells an equity or fixed income security it does not own. If the security sold short goes down in price between the time the underlying fund sells the security and closes its short position, that underlying fund will realize a gain on the transaction. Conversely, if the security goes up in price during the period, that underlying fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
The risk associated with purchasing options is limited to the premium originally paid. The risk in writing a covered
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 21 |
NOTES TO FINANCIAL STATEMENTS (continued)
call option is that an underlying fund may forego the opportunity for profit if the market price of the underlying security increases and the option is exercised. The risk in writing a covered put option is that an underlying fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that an underlying fund may not be able to enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty’s inability to perform.
There are several risks in connection with the use of futures contracts. Risks may be caused by an imperfect correlation between movements in the price of the instruments and the price of the underlying securities. In addition, there is the risk that an underlying fund may not be able to enter into a closing transaction because of an illiquid secondary market.
There are several risks associated with the use of structured notes. Structured securities are leveraged, thereby providing an exposure to the underlying benchmark greater than the face amount and increasing the volatility of each note relative to the change in the underlying linked financial instrument. A highly liquid secondary market may not exist for the structured notes an underlying fund invests in which may make it difficult for that underlying fund to sell the structured notes it holds at an acceptable price or to accurately value them. In addition, structured notes are subject to the risk that the counter-party to the instrument, or issuer, might not pay interest when due or repay principal at maturity of the obligation. Although the Trust will not invest in any structured notes unless Rydex Investments believes that the issuer is creditworthy, an underlying fund does bear the risk of loss of the amount expected to be received in the event of the default or bankruptcy of the issuer.
There are several risks associated with the use of swap agreements that are different from those associated with ordinary portfolio securities transactions. Swap agreements may be considered to be illiquid. Although the Trust will not enter into any swap agreement unless Rydex Investments believes that the other party to the transaction is creditworthy, the underlying funds bear the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of the agreement counterparty.
There are several risks associated with credit default swaps. Credit default swaps involve the exchange of a fixed-rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a
“guarantor,” receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return, the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. An underlying fund may enter into credit default swaps in which that underlying fund or its counterparty act as guarantors. By acting as the guarantor of a swap, that underlying fund assumes the market and credit risk of the underlying instrument, including liquidity and loss of value.
In conjunction with the use of short sales, options, futures, options on futures, and swap agreements, the underlying funds are required to maintain collateral in various forms. The underlying funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes, or the repurchase agreements allocated to each underlying fund.
The risks inherent in the use of short sales, options, futures contracts, options on futures contracts, and swap agreements include i) adverse changes in the value of such instruments; ii) imperfect correlation between the price of the instruments and movements in the price of the underlying securities, indices, or futures contracts; iii) the possible absence of a liquid secondary market for any particular instrument at any time; and iv) the potential of counterparty default. The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
3. Fees And Other Transactions With Affiliates
Rydex Investments manages the investment and reinvestment of the assets of each of the Funds in accordance with the investment objectives, policies, and limitations of each Fund, however, the Funds do not pay Rydex Investments a management fee. As part of its agreement with the Trust, Rydex Investments will pay all expenses of the Funds, including the cost of transfer agency, fund administration, audit and other services, excluding interest expense, taxes (expected to be de minimis), brokerage commissions and other expenses connected with the execution of portfolio transactions, short dividend expenses, and extraordinary expenses.
Each Fund indirectly bears a proportionate share of the total operating expenses (including investment management, shareholder servicing, custody, transfer agency, audit and other expenses) of the underlying funds in which the Fund invests.
Certain officers and trustees of the Trust are also officers of Rydex Investments and the Distributor.
22 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
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.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated 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. Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (fiscal years 2006-2009), and has concluded that no provision for income tax is required in the Funds’ financial statements.
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 losses deferred due to wash sales.
Permanent book and tax basis differences, if any, will result in reclassifications. This may include net operating losses not utilized during the current period and capital loss carryforward expired. These reclassifications have no effect on net assets or net asset values per share. Any undistributed ordinary income or long-term capital gain remaining at fiscal year end is distributed in the following year.
Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains.
The tax character of distributions paid during 2009 was as follows:
Ordinary | Long-Term | Total | ||||||||||||||
Fund | Income | Capital Gain | Distributions | |||||||||||||
All-Asset Conservative Strategy Fund | $ | 147 | $ | — | $ | 147 | ||||||||||
All-Asset Moderate Strategy Fund | 300 | — | 300 | |||||||||||||
All-Asset Aggressive Strategy Fund | 125 | — | 125 |
The tax character of distributions paid during 2008 was as follows:
Ordinary | Long-Term | Total | ||||||||||||||
Fund | Income | Capital Gain | Distributions | |||||||||||||
All-Asset Conservative Strategy Fund | $ | 519,969 | $ | 45,029 | $ | 564,998 | ||||||||||
All-Asset Moderate Strategy Fund | 410,148 | 162,130 | 572,278 | |||||||||||||
All-Asset Aggressive Strategy Fund | 148,409 | 104,240 | 252,649 |
The tax character of distributable earnings/(accumulated losses) at December 31, 2009 was as follows:
Undistributed | Undistributed | |||||||||||||||
Ordinary | Long-Term | Net Unrealized | Capital Loss | |||||||||||||
Fund | Income | Capital Gain | Appreciation | Carryforward1 | ||||||||||||
All-Asset Conservative Strategy Fund | $ | 174,688 | $ | — | $ | 255,277 | $ | (1,971,607 | ) | |||||||
All-Asset Moderate Strategy Fund | 233,913 | — | 640,318 | (3,645,677 | ) | |||||||||||
All-Asset Aggressive Strategy Fund | 45,108 | — | 390,529 | (1,589,858 | ) |
Capital Loss Carryforward amounts may be limited due to U.S. Treasury Regulations.
1 | A summary of the expiration of the aforementioned Capital Loss Carryforward is as follows: |
Total | ||||||||||||||||
Expires in | Expires in | Capital Loss | ||||||||||||||
Fund | 2016 | 2017 | Carryforward | |||||||||||||
All-Asset Conservative Strategy Fund | $ | (612,719 | ) | $ | (1,358,888 | ) | $ | (1,971,607 | ) | |||||||
All-Asset Moderate Strategy Fund | (1,816,884 | ) | (1,828,793 | ) | (3,645,677 | ) | ||||||||||
All-Asset Aggressive Strategy Fund | (764,618 | ) | (825,240 | ) | (1,589,858 | ) |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 23 |
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2009, 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) | ||||||||||||
All-Asset Conservative Strategy Fund | $ | 7,914,235 | $ | 460,904 | $ | (205,627 | ) | $ | 255,277 | |||||||
All-Asset Moderate Strategy Fund | 18,036,040 | 1,059,375 | (419,057 | ) | 640,318 | |||||||||||
All-Asset Aggressive Strategy Fund | 7,583,455 | 460,098 | (69,569 | ) | 390,529 |
5. Repurchase Agreements
The Funds transfer 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 Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund. Repurchase agreements are valued at amortized cost, which approximates market value.
The repurchase agreements executed by the joint account and outstanding at December 31, 2009, were as follows:
Counterparty | Terms of Agreement | Face Value | Market Value | Repurchase Price | ||||||||||||
Credit Suisse Group | (0.02)% due 01/04/10 | $6,080,571 | $6,080,571 | $6,080,557 | ||||||||||||
$6,080,571 | $6,080,557 | |||||||||||||||
At December 31, 2009, the collateral for the repurchase agreements in the joint account was as follows:
Security Type | Maturity Date | Rate | Par Value | Market Value | ||||||||||||
U.S. Treasury Bill | 06/17/10 | — | $6,210,000 | $6,204,660 | ||||||||||||
$6,204,660 | ||||||||||||||||
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are 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 Funds seek to assert their rights. The Funds’ 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 Funds enter into repurchase agreements to evaluate potential risks.
6. Fair Value Measurement
In accordance with U.S. generally accepted accounting principles, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:
Level 1 — | quoted prices in active markets for identical securities. |
Level 2 — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
24 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
Level 3 — | significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the inputs used to value the Funds’ net assets at December 31, 2009:
Level 1 | Level 2 | Level 3 | ||||||||||||||
Investments | Investments | Investments | ||||||||||||||
Fund | In Securities | In Securities | In Securities | Total | ||||||||||||
Assets | ||||||||||||||||
All-Asset Conservative Strategy Fund | $ | 7,639,089 | $ | 530,423 | $ | — | $ | 8,169,512 | ||||||||
All-Asset Moderate Strategy Fund | 17,801,823 | 874,535 | — | 18,676,358 | ||||||||||||
All-Asset Aggressive Strategy Fund | 7,779,634 | 194,350 | — | 7,973,984 |
7. Securities Transactions
For the year ended December 31, 2009, the cost of purchases and proceeds from sales of investment securities, excluding short-term and temporary cash investments, were:
All-Asset | All-Asset | All-Asset | ||||||||||
Conservative Strategy Fund | Moderate Strategy Fund | Aggressive Strategy Fund | ||||||||||
Purchases | $26,541,951 | $45,230,099 | $22,056,187 | |||||||||
Sales | 29,993,944 | 48,719,988 | 22,093,667 |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 25 |
NOTES TO FINANCIAL STATEMENTS (continued)
8. Share Transactions
8. Share Transactions
The Trust is authorized to issue an unlimited number of shares (no par value). Transactions in shares for the years presented were:
Shares 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, | |||||||||||||||||||||||||
2009 | 2008 | 2009 | 2008 | 2009 | 2008 | 2009 | 2008 | |||||||||||||||||||||||||
All-Asset Conservative Strategy Fund | 354,336 | 1,053,806 | 6 | 25,905 | (503,699) | (784,255) | (149,357) | 295,456 | ||||||||||||||||||||||||
All-Asset Moderate Strategy Fund | 341,296 | 1,013,788 | 13 | 27,580 | (492,072) | (636,851) | (150,763) | 404,517 | ||||||||||||||||||||||||
All-Asset Aggressive Strategy Fund | 277,849 | 388,181 | 6 | 14,020 | (272,291) | (309,772) | 5,564 | 92,429 |
26 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (concluded)
9. Line of Credit
The Trust has secured an uncommitted, $75,000,000 line of credit with U.S. Bank, N.A. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly. The maximum loan amount outstanding per Fund should be the lesser of: an amount which, when added to the total of other outstanding loan amounts under this agreement, exceeds the total line of credit, 33 1/3% of a Fund’s net assets, 33 1/3% of a Fund’s assets held by the Custodian or 33 1/3% of the sum of a Fund’s securities on any given day. This line of credit expires on June 15, 2010. As of and for the year ended December 31, 2009, the Funds did not have any outstanding borrowings under this agreement.
10. New Accounting Pronouncements
In January 2010, the Financial Accounting Standards Board issued an Accounting Standards Update, Improving Disclosures about Fair Value Measurements, which introduces new disclosure requirements and clarifies certain existing disclosure requirements around fair value measurements currently presented in Note 6. The new disclosures and clarifications of existing disclosures are generally effective for the Funds’ year ending December 31, 2010 and interim periods therein. Management is evaluating the impact of this update on its current disclosures.
11. Name Changes
Effective July 1, 2009, the Essential Portfolio Conservative Fund, Essential Portfolio Moderate Fund, and Essential Portfolio Aggressive Fund changed their Fund names to the All-Asset Conservative Strategy Fund, All-Asset Moderate Strategy Fund, and All-Asset Aggressive Strategy Fund, respectively. The name change did not have any impact on the Funds’ investment objectives, tickers or CUSIPS.
12. Subsequent Events
Management has evaluated events or transactions that may have occurred since December 31, 2009, that would merit recognition or disclosure in the financial statements. This evaluation was completed through February 25, 2010, the date the financial statements were available to be issued.
On February 15, 2010, Security Benefit Mutual Holding Company (“SBMHC”), the parent company of Security Benefit Corporation (“SBC”) and the ultimate parent company of Rydex Investments, entered into a Purchase and Sale Agreement whereby Guggenheim SBC Holdings LLC (“Guggenheim Holdings”) will, subject to regulatory approval, policyholder approval and approval by the shareholders of the mutual funds and exchange traded funds sponsored by affiliates of SBMHC, purchase all of the issued and outstanding stock of SBC (the “SBC Purchase Transaction”). The SBC Purchase Transaction would result in a change of control of Rydex Investments whereby SBC and its subsidiaries would be wholly-owned by Guggenheim Holdings. If the SBC Purchase Transaction does not close, other than as a result of a breach by Guggenheim Holdings or for certain other reasons, then SBC will sell its asset management business to Guggenheim Holdings, which would include Rydex Investments and would result in a change of control of Rydex Investments. The sale of SBC’s asset management business, like the SBC Purchase Transaction, would be subject to regulatory approval and approval by the shareholders of the mutual funds and exchange traded funds sponsored by affiliates of SBMHC.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 27 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of the Rydex Variable Trust:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of All-Asset Conservative Strategy Fund, All-Asset Moderate Strategy Fund, and All-Asset Aggressive Strategy Fund (three of the series constituting the Rydex Variable Trust)(the “Funds”) as of December 31, 2009, and the related statements of operations for the year then ended, and the statements of changes in net assets and financial highlights for each of the two years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for each of the periods presented through December 31, 2007 were audited by other auditors, whose report dated February 25, 2008 expressed an unqualified opinion on those financial highlights.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2009, by correspondence with the transfer agent of the underlying funds and brokers. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above listed Funds at December 31, 2009, the results of their operations for the year then ended, and the changes in their net assets and their financial highlights for each of the two years in the period then ended, in conformity with U.S. generally accepted accounting principles.
McLean, Virginia
February 25, 2010
February 25, 2010
28 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
OTHER INFORMATION (Unaudited)
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 | |||
All-Asset Conservative Strategy Fund | 1.36 | % | ||
All-Asset Moderate Strategy Fund | 2.67 | % | ||
All-Asset Aggressive Strategy Fund | 11.20 | % |
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 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 December 31 is available without charge, upon request, by calling 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 are 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 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 (including any sub-advisory agreement) be specifically approved (1) by the vote of the trustees or by a vote of the shareholders of the fund, and (2) by the vote of a majority of the trustees who are not parties to the investment advisory agreement (or sub-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 (or sub-advisory agreement). In addition, the U.S. 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 (or renew) an investment advisory agreement (or sub-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 (including sub-advisory agreements) between Rydex Variable Trust (the “Trust”) and PADCO Advisors II, Inc., which does business under the name Rydex Investments (“Rydex Investments”) (the “Advisory Agreements”), with respect to existing funds in the Trust (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. This information is 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 (including sub-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.
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 29 |
OTHER INFORMATION (Unaudited) (continued)
At an in-person meeting held on August 25, 2009, called for the purpose of among other things, voting on the renewal of the Advisory Agreements, the Board, including all of the Independent Trustees (the “Annual Renewal Meeting”), considered and approved the selection of Rydex Investments as the Funds’ investment advisor and the continuance of the Advisory Agreements for an additional one-year period, based on its review of qualitative and quantitative information provided by Rydex Investments.
Board Considerations in Approving the Continuation of the 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 and compliance procedures applicable to personal securities transactions; (j) Rydex Investments’ reputation, expertise and resources in the 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 Advisory Agreements are fair and reasonable; (b) concluded that Rydex Investments’ fees were reasonable in light of the services that Rydex Investments provides to each of the Funds; and (c) agreed to renew the Advisory Agreements for an additional one-year term.
In approving the continuation of the Advisory 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 the Adviser
At the Annual Renewal Meeting, the Board reviewed the scope of services to be provided by Rydex Investments under the Advisory Agreements 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 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 Advisory 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. In addition, the Board reviewed and considered certain of the Funds’ investment in wholly-owned and controlled Cayman Islands subsidiaries (each a “Subsidiary”), and noted that each Subsidiary has entered into a separate advisory agreement with Rydex Investments for the management of that Subsidiary’s portfolio pursuant to which the Subsidiary pays Rydex Investments a management fee at the same rate that the Subsidiary’s corresponding Fund pays Rydex Investments. The Board noted that Rydex Investments has contractually agreed to waive the management fee it receives from each Fund in an amount equal to the management fee paid to Rydex Investments by each Fund’s Subsidiary and that the contractual fee waiver will continue in effect for so long as each Fund invests in its Subsidiary. The Board further noted that the contractual fee waiver may not be terminated by Rydex Investments unless the Board approves such termination. The Board also noted the substantial volume of portfolio trades and shareholder transaction
30 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
OTHER INFORMATION (Unaudited) (continued)
activity, in general, processed by Rydex Investments due to the unlimited exchange policy of the majority of the Funds. 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 Advisory 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 benchmark 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 lack of a sizeable peer group for certain 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 also noted that the investment advisory fees for the Funds generally 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 Advisory 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 Advisory 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 Advisory 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 the Advisory Agreements did not provide 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.
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
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 31 |
OTHER INFORMATION (Unaudited) (concluded)
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.
32 | | | THE RYDEX | SGI 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 800.820.0888.
All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell Rd., Suite 500, Rockville, MD 20850.
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 | 151 | ||
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 | 151 | ||
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 | 151 | ||
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 | 151 | ||
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) | ||||
Thomas F. Lydon, Jr. | Rydex Series Funds — 2005 | 151 | ||
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 | 151 | ||
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 | 151 | ||
Trustee (1944) | Rydex Variable Trust — 1998 | |||
Rydex Dynamic Funds — 1999 | ||||
Rydex ETF Trust — 2003 | ||||
Principal Occupations During Past Five Years: Owner, Arrow Limousine | ||||
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 33 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)
EXECUTIVE OFFICERS
Name, Position and | Principal Occupations | |
Year of Birth | During Past Five Years | |
Richard M. Goldman* President (1961) | President of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Chief Executive Officer and Director of Rydex Investments (2009 to present); President, Chief Executive Officer and Director of Rydex Distributors, Inc. (2009 to present); President and Chief Executive Officer of Rydex Holdings, LLC (2009 to present); Senior Vice President of Security Benefit Corp. (2007 to present); Director of First Security Benefit Life and Annuity Insurance Company of New York (2007 to present); Director of Security Distributors, Inc. (2007 to present); President of Security Investors, LLC (2007 to present); Manager and President of Security Global Investors, LLC (2007 to present); Managing Member of R.M. Goldman Partners, LLC (2006 to 2007); President and Chief Executive Officer of FortsmannLeff Associates (2003 to 2005) | |
Michael P. Byrum* Vice President (1970) | 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); President of Rydex Investments (2004 to present); Chief Investment Officer of Rydex Investments (2006 to present); Secretary of Rydex Investments (2002 to present); Director of Rydex Investments (2008 to present); Chief Investment Officer of Rydex Holdings, LLC (2008 to present); Vice President of Rydex Distributors, Inc. (2009 to present); Manager of Rydex Specialized Products, LLC (2005 to present); Secretary of Rydex Specialized Products, LLC (2005 to 2008); Trustee of Rydex Series Funds, Rydex Variable Trust and Rydex Dynamic Funds (2005 to 2009); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2007) | |
Nick Bonos* Vice President and Treasurer (1963) | 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 (2006 to present); Chief Executive Officer of Rydex Specialized Products, LLC (2009 to present); Chief Financial Officer of Rydex Specialized Products, LLC (2005 to 2009); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006) | |
Joanna M. Haigney* Chief Compliance Officer and Secretary (1966) | Chief Compliance Officer of Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2004 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Chief Compliance Officer of Rydex Investments (2005 to present) Vice President of Compliance of Rydex Investments (2006 to present); Director of Rydex Distributors, Inc. (2009 to present); Secretary of Rydex Capital Partners SPhinX Fund (2003 to 2006) |
34 | | | THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)
EXECUTIVE OFFICERS — concluded
Name, Position and | Principal Occupations | |
Year of Birth | During Past Five Years | |
Keith Fletcher* Vice President (1958) | Vice President of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Vice President of Rydex Investments (2009 to present); Vice President of Rydex Specialized Products, LLC (2009 to present); Vice President and Director of Rydex Distributors, Inc. (2009 to present); Vice President of Security Global Investors, LLC (2009 to present) | |
Amy Lee* Vice President and Assistant Secretary (1960) | Vice President and Assistant Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Secretary of Rydex Distributors, Inc. (2008 to present); Chief Compliance Officer of Rydex Distributors, Inc. (2008 to 2009); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Corp. (2005 to present); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Life Insurance Co. (2004 to present); Assistant General Counsel of First Security Benefit Life and Annuity Company of New York (2004 to present); Chief Compliance Officer and Secretary of Security Distributors, Inc. (2004 to present); Secretary of Security Global Investors, Inc. (2007 to present) | |
Joseph Arruda* Assistant Treasurer (1966) | Assistant Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Senior Vice President of Rydex Investments (2008 to present); Vice President of Rydex Investments (2004 to 2008); Manager and Chief Financial Officer of Rydex Specialized Products, LLC (2009 to present); Director of Accounting of Rydex Investments (2003 to 2004) | |
Paula Billos* Controller (1974) | Controller of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Director of Fund Administration Rydex Investments (2001 to present) |
* | Officers of the Funds 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. |
THE RYDEX | SGI VARIABLE TRUST ANNUAL REPORT | | | 35 |
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Item 2. Code of Ethics.
The registrant’s Board of Trustees has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. No substantive amendments were approved or waivers were granted to the Code during the period covered by this report. The Code is filed as an exhibit to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Trustees has determined that Werner Keller, an “independent” Trustee serving on the registrant’s audit committee, is an “audit committee financial expert,” as defined in Item 3 of Form N-CSR. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.
Item 4. Principal Accountant Fees and Services.
(a)-(d) The aggregate Audit Fees billed by the Trust’s principal accountant, for the audit of the annual financial statements in connection with statutory and regulatory filings for the fiscal years ended December 31, 2009 and December 31, 2008 were $991,250 and $965,000, respectively. The aggregate Audit Related Fees by the Trust’s principal accountant billed for the fiscal years ended December 31, 2009 and December 31, 2008 were $75,000 and $75,000, respectively. The aggregate Tax Fees billed by Trust’s principal accountant for professional services rendered for tax compliance, tax advice, and tax planning, including preparation of tax returns and distribution assistance, for the fiscal years ended December 31, 2009 and December 31, 2008 were $0 and $0, respectively.
(e) The audit committee has adopted a policy whereby audit and non-audit services performed by the registrant’s principal accountant for the registrant, its investment advisor, and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant require pre-approval in advance at regularly scheduled audit committee meetings. If such service is required between regularly scheduled
audit committee meetings, the chairman of the audit committee, J. Kenneth Dalton, is authorized to pre-approve the service with full committee approval at the next scheduled meeting. There shall be no waivers of the pre-approval process. No services described in (b)-(d) above were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) The aggregate non-audit fees billed by the registrant’s accountant for the most recent fiscal year and the preceding fiscal year for services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant were $75,000 and $75,000, respectively. These aggregate fees were less than the aggregate fees billed for the same periods by the registrant’s principal accountant for audit services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant.
(h) All non-audit services rendered in (g) above were pre-approved by the registrant’s audit committee. As such, the audit committee has considered these services in maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) Based on their evaluation on March 9, 2010, the President (principal executive officer) and the Treasurer (principal financial officer) of the Rydex Variable Trust (the “Trust”) believe that there were no significant deficiencies in the design or operation of the internal controls of the Trust or Rydex Investments (“RI”), the investment advisor and manager of the Trust, or Rydex Distributors, Inc. (“RD”), which acts as distributor for the Trust, including disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) which would have adversely affected the ability of the Trust or RI on behalf of the Trust, to record, process, summarize, and report the subject matter contained in this Report.
There was no fraud, whether or not material, involving officers or employees of RI, RD or the Trust who have a significant role in the Trust’s internal controls, including disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that has come to the attention of the Advisor or the officers of the Trust, including its President and Treasurer.
(b) There were no significant changes in the Trust’s or RI’s internal controls over financial reporting, (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is attached.
(a)(2) Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached.
(b) A certification by the registrant’s President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)) is attached.
EX.-12(a)(2)(i)
CERTIFICATION
I, Richard M. Goldman, certify that:
1. I have reviewed this report on Form N-CSR of Rydex Variable Trust;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; | ||
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | ||
(c) | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and | ||
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
Date: March 9, 2010 | ||||
/s/ Richard M. Goldman | ||||
Richard M. Goldman, | ||||
President |
EX.-12(a)(2)(ii)
CERTIFICATION
I, Nick Bonos, certify that:
1. I have reviewed this report on Form N-CSR of Rydex Variable Trust;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; | ||
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | ||
(c) | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and | ||
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
Date: March 9, 2010 | ||||
/s/ Nick Bonos | ||||
Nick Bonos, | ||||
Vice President and Treasurer |
EX. 12(b)(i)
CERTIFICATION
I, Richard M. Goldman, President of Rydex Variable Trust (the “Trust”), certify that:
1. | The Form N-CSR of the Trust (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and | ||
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust. |
A signed original of this written statement required by Section 906 has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.
Date: March 9, 2010 | ||||
/s/ Richard M. Goldman | ||||
Richard M. Goldman, | ||||
President |
EX. 12(b)(ii)
CERTIFICATION
I, Nick Bonos, Vice President and Treasurer of Rydex Variable Trust (the “Trust”), certify that:
1. | The Form N-CSR of the Trust (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and | ||
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust. |
A signed original of this written statement required by Section 906 has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.
Date: March 9, 2010 | ||||
/s/ Nick Bonos | ||||
Nick Bonos, | ||||
Vice President and Treasurer |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Rydex Variable Trust | |
By (Signature and Title)* | /s/ Richard M. Goldman | |
Richard M. Goldman, President |
Date | March 9, 2010 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Richard M. Goldman | |||
Richard M. Goldman, President |
Date | March 9, 2010 | |
By (Signature and Title)* | /s/ Nick Bonos | |
Nick Bonos, Vice President and Treasurer |
Date | March 9, 2010 | |
* Print the name and title of each signing officer under his or her signature.