SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
(Address of principal executive offices) (Zip code)
805 King Farm Boulevard, Suite 600
Rockville, Maryland 20850
(Name and address of agent for service)
6.30.2017
Rydex Variable Trust Semi-Annual Report
Alternatives Funds | ||
Guggenheim Long Short Equity Fund | ||
Guggenheim Global Managed Futures Strategy Fund | ||
Guggenheim Multi-Hedge Strategies Fund | ||
Rydex Commodities Fund | ||
Rydex Commodities Strategy Fund |
GuggenheimInvestments.com | RVALTS-SEMI-0617x1217 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 5 |
LONG SHORT EQUITY FUND | 7 |
GLOBAL MANAGED FUTURES STRATEGY FUND | 16 |
MULTI-HEDGE STRATEGIES FUND | 25 |
COMMODITIES STRATEGY FUND | 43 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS | 49 |
OTHER INFORMATION | 64 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 67 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES | 71 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
June 30, 2017 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for funds (the “Funds”) that are part of the Rydex Variable Trust. This report covers performance of the Funds for the semi-annual period ended June 30, 2017.
The Investment Adviser is a part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Donald C. Cacciapaglia
President and Chief Executive Officer
July 31, 2017
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
The Funds may not be suitable for all investors. Investing involves risks, including the entire loss of principal amount invested. Certain Funds may be affected by risks that include those associated with sector concentration, international investing, investing in small and/or medium size companies, and/or the Funds’ possible use of investment techniques and strategies such as leverage, derivatives and short sales of securities. Please see each Fund’s prospectus for more information.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | June 30, 2017 |
First-quarter real gross domestic product (“GDP”) growth came in weak relative to the third and fourth quarters of 2016, at only 1.4% quarter over quarter annualized, consistent with the historical pattern of soft first-quarter data. Tracking estimates point to a rebound in second-quarter growth. There have been concerns about consumer health amid weakness in retail and autos, but we maintain that these are experiencing sector-specific problems. Household balance sheets and consumer spending appear solid overall.
The unemployment rate continues to decline to levels not seen since 2001, despite muted economic growth. As of June 2017, the unemployment rate stood at 4.3%, below what the U.S. Federal Reserve (the “Fed”) forecasted as recently as March to be the cycle low, and we expect it will fall to 3.8% or lower next year. While a tightening labor market has not done much to lift wage growth or inflation in the current cycle, Fed Chair Janet Yellen and many of her colleagues still see a tighter labor market as a reason to continue to remove accommodation.
In June the Fed delivered its fourth rate hike since the financial crisis, raising the fed funds rate target range to 1.00–1.25%. It proceeded with the rate hike despite three consecutive months of soft inflation readings. The statement noted that the Fed continues to expect inflation on a 12-month basis to stabilize around the 2% objective over the medium term. This suggests the Fed views recent weakness as transient. As long as the unemployment rate continues to decline, we believe the Fed will feel compelled to continue hiking to stay ahead of potential inflationary pressures, given the lags associated with monetary policy effects.
Median Federal Open Market Committee (“FOMC”) projections suggest one additional rate increase in 2017, three in 2018, and three more in 2019. These are not conditioned on expectations for fiscal stimulus, though they do incorporate an expectation that the natural rate of interest will rise somewhat over time, but perhaps not as much as the Fed currently projects. We expect that the Fed will forego a rate hike in September in order to launch the tapering of portfolio reinvestments, but the Fed will pick it up again in December, contingent on steady economic data and supportive financial conditions. Weak oil prices over the second quarter of 2017 should once again boost headline inflation readings in 2018 due to base effects, which, when combined with steady economic growth and falling unemployment, could prompt the Fed to raise rates three or possibly four times in 2018.
On its own, the start of Fed balance sheet normalization should not lead to a notable increase in market volatility. The Fed has signaled its intentions well in advance, giving markets time to prepare, and pay-downs will ramp up only gradually over the course of a year.
Still, volatility across a range of markets is abnormally low, and asset valuations appear stretched. Markets shrugged off worrisome developments during the second quarter, including declining oil prices, a lack of progress on fiscal legislation in Washington, D.C., and rising geopolitical risks. A near-term pullback in risk assets is possible in the third or fourth quarters, with low volatility and tight spreads making credit markets particularly vulnerable during what is already a seasonally weak period for risk assets. Moves toward a less accommodative stance by the European Central Bank, the Bank of Japan, and/or the Bank of England may be a catalyst for instability.
For the six-month period ended June 30, 2017, the Standard & Poor’s 500® (“S&P 500®”)* Index returned 9.34%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 13.81%. The return of the MSCI Emerging Markets Index* was 18.43%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 2.27% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 4.93%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.31% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2017 |
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
4 | THE RYDEX FUNDS SEMI-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, other distributions, 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 December 31, 2016 and ending June 30, 2017.
The following tables illustrate the Funds’ 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 fifth 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.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), 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 FUNDS SEMI-ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
|
Expense | Fund | Beginning | Ending | Expenses | |
Table 1. Based on actual Fund return3 | |||||
Long Short Equity Fund | 2.01% | 3.45% | $ 1,000.00 | $ 1,034.50 | $ 10.14 |
Global Managed Futures Strategy Fund | 1.64% | (0.50%) | 1,000.00 | 995.00 | 8.11 |
Multi-Hedge Strategies Fund | 2.05% | 0.17% | 1,000.00 | 1,001.70 | 10.17 |
Commodities Strategy Fund | 1.73% | (10.46%) | 1,000.00 | 895.40 | 8.13 |
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Long Short Equity Fund | 2.01% | 5.00% | $ 1,000.00 | $ 1,014.83 | $ 10.04 |
Global Managed Futures Strategy Fund | 1.64% | 5.00% | 1,000.00 | 1,016.66 | 8.20 |
Multi-Hedge Strategies Fund | 2.05% | 5.00% | 1,000.00 | 1,014.63 | 10.24 |
Commodities Strategy Fund | 1.73% | 5.00% | 1,000.00 | 1,016.22 | 8.65 |
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest. This ratio represents net expenses, which includes dividends on short sales and prime broker interest expenses. Excluding these expenses, the operating expense ratios of the Long Short Equity Fund and the Multi-Hedge Strategies Fund would be 1.60% and 1.16%, respectively. |
2 | Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses shown do not include fees charged by insurance companies. |
3 | Actual cumulative return at net asset value for the period December 31, 2016 to June 30, 2017. |
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
LONG SHORT EQUITY FUND
OBJECTIVE: Seeks long-term capital appreciation.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments.
Inception Date: May 1, 2002 |
Ten Largest Holdings (% of Total Net Assets) | |
CVS Health Corp. | 2.1% |
Pfizer, Inc. | 1.8% |
Boeing Co. | 1.7% |
International Business Machines Corp. | 1.7% |
Verizon Communications, Inc. | 1.7% |
Corning, Inc. | 1.6% |
Walgreens Boots Alliance, Inc. | 1.5% |
Principal Financial Group, Inc. | 1.5% |
Apple, Inc. | 1.4% |
WW Grainger, Inc. | 1.4% |
Top Ten Total | 16.4% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Long Short Equity Fund | 3.45% | 5.23% | 5.25% | 1.28% |
HFRX Equity Hedge Index | 3.73% | 8.07% | 3.44% | (1.52%) |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
Morningstar Long/Short Equity Category Average | 4.27% | 8.30% | 4.97% | 3.77% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The HFRX Equity Hedge Index and the S&P 500 Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The Morningstar Long/Short Equity Category Average is the equal-weighted, simple average return for all funds in the Morningstar Long/Short Equity Category. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
LONG SHORT EQUITY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 97.0% | ||||||||
Consumer, Non-cyclical - 27.3% | ||||||||
Pfizer, Inc.1 | 17,420 | $ | 585,138 | |||||
AbbVie, Inc. | 4,988 | 361,680 | ||||||
McKesson Corp.1 | 2,040 | 335,662 | ||||||
DaVita, Inc.*,1 | 5,117 | 331,377 | ||||||
Sysco Corp. | 6,428 | 323,521 | ||||||
Johnson & Johnson1 | 2,245 | 296,991 | ||||||
UnitedHealth Group, Inc. | 1,424 | 264,038 | ||||||
Archer-Daniels-Midland Co. | 6,204 | 256,722 | ||||||
Eli Lilly & Co.1 | 3,070 | 252,661 | ||||||
Celgene Corp.*,1 | 1,678 | 217,922 | ||||||
Halyard Health, Inc.* | 5,519 | 216,786 | ||||||
PepsiCo, Inc.1 | 1,826 | 210,885 | ||||||
Kellogg Co.1 | 2,922 | 202,962 | ||||||
Zimmer Biomet Holdings, Inc. | 1,568 | 201,331 | ||||||
Universal Corp. | 3,089 | 199,858 | ||||||
Aetna, Inc. | 1,296 | 196,772 | ||||||
Dean Foods Co. | 11,490 | 195,330 | ||||||
Conagra Brands, Inc.1 | 5,441 | 194,570 | ||||||
Nielsen Holdings plc | 4,976 | 192,372 | ||||||
Total System Services, Inc. | 3,300 | 192,225 | ||||||
Universal Health Services, Inc. — Class B | 1,491 | 182,021 | ||||||
Masimo Corp.* | 1,881 | 171,510 | ||||||
United Therapeutics Corp.* | 1,321 | 171,373 | ||||||
WellCare Health Plans, Inc.* | 932 | 167,350 | ||||||
Humana, Inc.1 | 694 | 166,990 | ||||||
Medtronic plc | 1,875 | 166,406 | ||||||
Hologic, Inc.*,1 | 3,554 | 161,281 | ||||||
HealthSouth Corp. | 3,226 | 156,139 | ||||||
TreeHouse Foods, Inc.* | 1,870 | 152,760 | ||||||
Merck & Co., Inc.1 | 2,097 | 134,397 | ||||||
Sabre Corp. | 6,172 | 134,364 | ||||||
Hormel Foods Corp.1 | 3,831 | 130,675 | ||||||
Automatic Data Processing, Inc. | 1,227 | 125,718 | ||||||
United Natural Foods, Inc.* | 3,377 | 123,936 | ||||||
Danaher Corp.1 | 1,456 | 122,872 | ||||||
Baxter International, Inc.1 | 1,973 | 119,445 | ||||||
United Rentals, Inc.* | 1,026 | 115,641 | ||||||
Thermo Fisher Scientific, Inc. | 632 | 110,265 | ||||||
Centene Corp.*,1 | 1,315 | 105,042 | ||||||
AMN Healthcare Services, Inc.* | 2,657 | 103,756 | ||||||
Mallinckrodt plc* | 2,214 | 99,209 | ||||||
FTI Consulting, Inc.* | 2,785 | 97,364 | ||||||
CoreLogic, Inc.* | 2,237 | 97,041 | ||||||
Darling Ingredients, Inc.* | 6,121 | 96,345 | ||||||
Mylan N.V.* | 2,443 | 94,837 | ||||||
Flowers Foods, Inc. | 5,186 | 89,770 | ||||||
Boston Beer Company, Inc. — Class A* | 671 | 88,672 | ||||||
SpartanNash Co. | 3,297 | 85,590 | ||||||
Total Consumer, Non-cyclical | 8,799,572 | |||||||
Industrial - 16.4% | ||||||||
Boeing Co.1 | 2,803 | 554,293 | ||||||
Corning, Inc.1 | 16,857 | 506,553 | ||||||
Harris Corp.1 | 3,200 | 349,056 | ||||||
Cummins, Inc.1 | 1,837 | 297,998 | ||||||
Snap-on, Inc. | 1,811 | 286,138 | ||||||
Timken Co. | 6,036 | 279,165 | ||||||
Honeywell International, Inc.1 | 1,355 | 180,608 | ||||||
Belden, Inc. | 2,390 | 180,278 | ||||||
Oshkosh Corp. | 2,606 | 179,501 | ||||||
Jabil, Inc. | 6,139 | 179,198 | ||||||
J.B. Hunt Transport Services, Inc. | 1,933 | 176,637 | ||||||
Huntington Ingalls Industries, Inc. | 945 | 175,921 | ||||||
CH Robinson Worldwide, Inc. | 2,416 | 165,931 | ||||||
Sanmina Corp.* | 4,233 | 161,277 | ||||||
Emerson Electric Co.1 | 2,674 | 159,424 | ||||||
Plexus Corp.* | 2,953 | 155,239 | ||||||
AECOM* | 4,659 | 150,626 | ||||||
Ingersoll-Rand plc | 1,553 | 141,929 | ||||||
Lockheed Martin Corp.1 | 483 | 134,086 | ||||||
L3 Technologies, Inc.1 | 762 | 127,315 | ||||||
Eaton Corp. plc | 1,546 | 120,325 | ||||||
Vishay Intertechnology, Inc. | 7,109 | 118,009 | ||||||
ITT, Inc. | 2,625 | 105,472 | ||||||
Regal Beloit Corp. | 1,279 | 104,303 | ||||||
Tech Data Corp.* | 1,021 | 103,121 | ||||||
Methode Electronics, Inc. | 2,420 | 99,704 | ||||||
Union Pacific Corp. | 912 | 99,326 | ||||||
Total Industrial | 5,291,433 | |||||||
Consumer, Cyclical - 15.0% | ||||||||
CVS Health Corp.1 | 8,343 | 671,278 | ||||||
Walgreens Boots Alliance, Inc. | 6,335 | 496,094 | ||||||
WW Grainger, Inc.1 | 2,412 | 435,438 | ||||||
Wal-Mart Stores, Inc. | 4,143 | 313,542 | ||||||
Alaska Air Group, Inc. | 2,488 | 223,323 | ||||||
Brinker International, Inc. | 5,642 | 214,960 | ||||||
Goodyear Tire & Rubber Co. | 5,692 | 198,992 | ||||||
Lowe’s Cos., Inc.1 | 2,522 | 195,531 | ||||||
Ralph Lauren Corp. — Class A | 2,457 | 181,327 | ||||||
Michael Kors Holdings Ltd.* | 4,622 | 167,547 | ||||||
Southwest Airlines Co. | 2,687 | 166,970 | ||||||
United Continental Holdings, Inc.* | 2,088 | 157,122 | ||||||
Delta Air Lines, Inc.1 | 2,768 | 148,753 | ||||||
CalAtlantic Group, Inc. | 4,167 | 147,304 | ||||||
Anixter International, Inc.* | 1,872 | 146,391 | ||||||
Bed Bath & Beyond, Inc. | 4,700 | 142,880 | ||||||
Ford Motor Co.1 | 12,626 | 141,285 | ||||||
Hawaiian Holdings, Inc.* | 2,896 | 135,967 | ||||||
Nu Skin Enterprises, Inc. — Class A | 2,051 | 128,885 | ||||||
AutoZone, Inc.*,1 | 215 | 122,649 | ||||||
Michaels Companies, Inc.* | 5,545 | 102,693 | ||||||
Harley-Davidson, Inc. | 1,811 | 97,830 | ||||||
Dick’s Sporting Goods, Inc. | 2,327 | 92,684 | ||||||
Total Consumer, Cyclical | 4,829,445 | |||||||
Technology - 13.1% | ||||||||
International Business Machines Corp.1 | 3,549 | 545,943 | ||||||
Apple, Inc. | 3,032 | 436,669 | ||||||
CA, Inc.1 | 12,564 | 433,081 | ||||||
Intel Corp.1 | 9,747 | 328,864 |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
LONG SHORT EQUITY FUND |
Shares | Value | |||||||
Texas Instruments, Inc. | 4,236 | $ | 325,875 | |||||
HP, Inc.1 | 17,321 | 302,771 | ||||||
NCR Corp.* | 5,866 | 239,567 | ||||||
NetApp, Inc.1 | 4,756 | 190,478 | ||||||
CSRA, Inc. | 5,492 | 174,371 | ||||||
KLA-Tencor Corp.1 | 1,901 | 173,960 | ||||||
Applied Materials, Inc. | 3,847 | 158,920 | ||||||
Xerox Corp. | 5,209 | 149,655 | ||||||
Akamai Technologies, Inc.* | 2,495 | 124,276 | ||||||
Science Applications International Corp. | 1,672 | 116,070 | ||||||
j2 Global, Inc. | 1,355 | 115,297 | ||||||
Western Digital Corp. | 1,203 | 106,586 | ||||||
Convergys Corp. | 4,226 | 100,494 | ||||||
Skyworks Solutions, Inc. | 959 | 92,016 | ||||||
Seagate Technology plc | 2,224 | 86,180 | ||||||
Total Technology | 4,201,073 | |||||||
Financial - 11.1% | ||||||||
Principal Financial Group, Inc.1 | 7,717 | 494,428 | ||||||
Northern Trust Corp.1 | 4,127 | 401,186 | ||||||
E*TRADE Financial Corp.*,1 | 5,672 | 215,706 | ||||||
Alliance Data Systems Corp. | 826 | 212,026 | ||||||
Torchmark Corp. | 2,628 | 201,042 | ||||||
LaSalle Hotel Properties | 6,651 | 198,200 | ||||||
Synchrony Financial | 6,415 | 191,295 | ||||||
Old Republic International Corp. | 9,620 | 187,879 | ||||||
Host Hotels & Resorts, Inc.1 | 9,383 | 171,427 | ||||||
RenaissanceRe Holdings Ltd. | 1,201 | 166,999 | ||||||
Affiliated Managers Group, Inc.2 | 982 | 162,875 | ||||||
Waddell & Reed Financial, Inc. — Class A | 8,513 | 160,725 | ||||||
Hanover Insurance Group, Inc. | 1,786 | 158,293 | ||||||
State Street Corp. | 1,422 | 127,596 | ||||||
Government Properties Income Trust | 6,932 | 126,925 | ||||||
Franklin Resources, Inc.1 | 2,530 | 113,319 | ||||||
Capital One Financial Corp.1 | 1,330 | 109,884 | ||||||
Omega Healthcare Investors, Inc. | 3,044 | 100,513 | ||||||
Physicians Realty Trust REIT | 3,200 | 64,448 | ||||||
Total Financial | 3,564,766 | |||||||
Communications - 7.1% | ||||||||
Verizon Communications, Inc. | 12,169 | 543,468 | ||||||
Motorola Solutions, Inc.1 | 3,934 | 341,235 | ||||||
Juniper Networks, Inc.1 | 10,559 | 294,385 | ||||||
AMC Networks, Inc. — Class A* | 4,272 | 228,167 | ||||||
Walt Disney Co.1 | 1,919 | 203,894 | ||||||
InterDigital, Inc. | 2,458 | 190,004 | ||||||
Viacom, Inc. — Class B | 4,542 | 152,475 | ||||||
AT&T, Inc. | 3,210 | 121,113 | ||||||
WebMD Health Corp. — Class A* | 1,714 | 100,526 | ||||||
ARRIS International plc* | 3,468 | 97,173 | ||||||
Total Communications | 2,272,440 | |||||||
Utilities - 4.0% | ||||||||
Hawaiian Electric Industries, Inc. | 12,504 | 404,880 | ||||||
Vectren Corp. | 3,192 | 186,540 | ||||||
Avista Corp. | 4,387 | 186,272 | ||||||
Entergy Corp.1 | 1,760 | 135,115 | ||||||
American Electric Power Company, Inc. | 1,892 | 131,437 | ||||||
Eversource Energy1 | 2,153 | 130,709 | ||||||
DTE Energy Co.1 | 947 | 100,183 | ||||||
Total Utilities | 1,275,136 | |||||||
Energy - 1.5% | ||||||||
Exxon Mobil Corp.1 | 1,968 | 158,877 | ||||||
Valero Energy Corp. | 1,766 | 119,134 | ||||||
ConocoPhillips1 | 2,691 | 118,297 | ||||||
Devon Energy Corp.1 | 3,130 | 100,066 | ||||||
Total Energy | 496,374 | |||||||
Basic Materials - 1.0% | ||||||||
LyondellBasell Industries N.V. — Class A | 2,562 | 216,207 | ||||||
International Paper Co.1 | 1,814 | 102,691 | ||||||
Total Basic Materials | 318,898 | |||||||
Diversified - 0.5% | ||||||||
Leucadia National Corp. | 5,815 | 152,120 | ||||||
Total Common Stocks | ||||||||
(Cost $30,448,062) | 31,201,257 | |||||||
MONEY MARKET FUND† - 2.8% | ||||||||
Invesco - Treasury Obligations Portfolio 0.85%3 | 907,306 | 907,306 | ||||||
Total Money Market Fund | ||||||||
(Cost $907,306) | 907,306 | |||||||
SECURITIES LENDING COLLATERAL†,4 - 0.4% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%3 | 124,648 | 124,648 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $124,648) | 124,648 | |||||||
Total Investments - 100.2% | ||||||||
(Cost $31,480,016) | $ | 32,233,211 | ||||||
Other Assets & Liabilities, net - (0.2)% | (58,266 | ) | ||||||
Total Net Assets - 100.0% | $ | 32,174,945 | ||||||
Unrealized | ||||||||
OTC EQUITY SWAP AGREEMENTS SOLD SHORT†† | ||||||||
Morgan Stanley May 2019 | $ | (209,081 | ) | |||||
OTC EQUITY SWAP AGREEMENTS†† | ||||||||
Morgan Stanley May 2019 | $ | 464,796 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
LONG SHORT EQUITY FUND |
Shares | Unrealized | |||||||
CUSTOM BASKET OF LONG SECURITIES6 | ||||||||
Amgen, Inc. | 3,444 | $ | 60,749 | |||||
Gilead Sciences, Inc. | 7,903 | 49,721 | ||||||
Oracle Corp. | 9,755 | 46,082 | ||||||
JPMorgan Chase & Co. | 5,063 | 45,780 | ||||||
Cincinnati Bell, Inc.* | 16,290 | 39,699 | ||||||
Citigroup, Inc. | 5,599 | 36,934 | ||||||
Iridium Communications, Inc.* | 31,818 | 33,371 | ||||||
ManpowerGroup, Inc. | 2,938 | 32,226 | ||||||
Laboratory Corp. of America Holdings* | 2,036 | 31,693 | ||||||
Tyson Foods, Inc. — Class A | 5,453 | 27,287 | ||||||
Express Scripts Holding Co.* | 5,722 | 24,613 | ||||||
MEDNAX, Inc.* | 4,006 | 24,020 | ||||||
HCA Healthcare, Inc.* | 4,565 | 23,086 | ||||||
Biogen, Inc.* | 875 | 23,066 | ||||||
Teradata Corp.* | 11,024 | 21,370 | ||||||
Prudential Financial, Inc. | 4,823 | 18,846 | ||||||
Aflac, Inc. | 6,569 | 16,716 | ||||||
Ingredion, Inc. | 3,073 | 15,479 | ||||||
Reinsurance Group of America, Inc. — Class A | 3,591 | 14,423 | ||||||
Expeditors International of Washington, Inc. | 4,137 | 13,788 | ||||||
Jacobs Engineering Group, Inc. | 6,874 | 13,099 | ||||||
Evercore Partners, Inc. — Class A | 3,437 | 10,717 | ||||||
Scripps Networks Interactive, Inc. — Class A | 5,272 | 10,446 | ||||||
Unum Group | 5,472 | 9,894 | ||||||
Anthem, Inc. | 1,690 | 9,284 | ||||||
Allstate Corp. | 4,263 | 9,131 | ||||||
Fluor Corp. | 6,749 | 9,026 | ||||||
Robert Half International, Inc. | 4,957 | 8,876 | ||||||
Deluxe Corp. | 7,103 | 8,745 | ||||||
Progressive Corp. | 4,973 | 8,686 | ||||||
VeriSign, Inc.* | 3,280 | 8,301 | ||||||
Cigna Corp. | 1,368 | 7,852 | ||||||
Berkshire Hathaway, Inc. — Class B* | 1,634 | 6,800 | ||||||
Travelers Cos., Inc. | 3,085 | 6,574 | ||||||
Curtiss-Wright Corp. | 2,702 | 6,215 | ||||||
Quest Diagnostics, Inc. | 2,427 | 5,982 | ||||||
ATN International, Inc. | 4,251 | 5,491 | ||||||
Waste Management, Inc. | 4,477 | 4,147 | ||||||
Everest Re Group Ltd. | 1,082 | 3,924 | ||||||
Cogent Communications Holdings, Inc. | 8,048 | 1,715 | ||||||
Western Union Co. | 16,982 | 326 | ||||||
FirstEnergy Corp. | 16,657 | (215 | ) | |||||
Fidelity National Information Services, Inc. | 4,166 | (631 | ) | |||||
Accenture plc — Class A | 3,301 | (1,726 | ) | |||||
Big Lots, Inc. | 4,362 | (2,236 | ) | |||||
Omnicom Group, Inc. | 3,822 | (2,420 | ) | |||||
NextEra Energy, Inc. | 1,792 | (2,558 | ) | |||||
F5 Networks, Inc.* | 2,087 | (2,571 | ) | |||||
Procter & Gamble Co. | 3,164 | (2,712 | ) | |||||
Exelon Corp. | 13,147 | (3,145 | ) | |||||
Kimberly-Clark Corp. | 3,109 | (3,418 | ) | |||||
TE Connectivity Ltd. | 5,741 | (3,584 | ) | |||||
Discovery Communications, Inc. — Class A* | 10,140 | (3,681 | ) | |||||
National Fuel Gas Co. | 5,428 | (4,030 | ) | |||||
Microsoft Corp. | 5,262 | (6,087 | ) | |||||
Telephone & Data Systems, Inc. | 14,286 | (7,193 | ) | |||||
Cisco Systems, Inc. | 17,418 | (7,659 | ) | |||||
WEC Energy Group, Inc. | 6,242 | (8,988 | ) | |||||
CMS Energy Corp. | 6,755 | (9,043 | ) | |||||
Consolidated Edison, Inc. | 5,918 | (12,206 | ) | |||||
General Mills, Inc. | 8,705 | (12,441 | ) | |||||
Edison International | 4,280 | (13,206 | ) | |||||
Xcel Energy, Inc. | 7,565 | (15,380 | ) | |||||
Ameren Corp. | 8,548 | (18,469 | ) | |||||
CenterPoint Energy, Inc. | 16,986 | (20,526 | ) | |||||
Campbell Soup Co. | 3,685 | (20,800 | ) | |||||
Lam Research Corp. | 1,391 | (20,921 | ) | |||||
Energizer Holdings, Inc. | 4,436 | (23,211 | ) | |||||
JM Smucker Co. | 2,477 | (24,399 | ) | |||||
UGI Corp. | 9,404 | (27,702 | ) | |||||
Carlisle Companies, Inc. | 4,466 | (27,908 | ) | |||||
Total Custom Basket of Long Securities | 445,120 | |||||||
CUSTOM BASKET OF SHORT SECURITIES5 | ||||||||
Starbucks Corp. | (4,962 | ) | 24,724 | |||||
Marriott International, Inc. — Class A | (2,740 | ) | 18,947 | |||||
Autodesk, Inc.* | (1,558 | ) | 18,346 | |||||
Rollins, Inc. | (9,153 | ) | 17,321 | |||||
Papa John's International, Inc. | (1,888 | ) | 15,911 | |||||
Dominion Energy, Inc. | (3,741 | ) | 15,364 | |||||
Alliant Energy Corp. | (11,309 | ) | 15,304 | |||||
BJ's Restaurants, Inc.* | (2,181 | ) | 14,964 | |||||
Southern Co. | (4,988 | ) | 14,707 | |||||
PTC, Inc.* | (4,595 | ) | 13,564 | |||||
Ultimate Software Group, Inc.* | (1,311 | ) | 13,266 | |||||
Dunkin' Brands Group, Inc. | (3,894 | ) | 12,013 | |||||
Ulta Beauty, Inc.* | (771 | ) | 11,661 | |||||
PDC Energy, Inc.* | (1,920 | ) | 11,614 | |||||
iRobot Corp.* | (990 | ) | 11,560 | |||||
McCormick & Co., Inc. | (1,667 | ) | 11,126 | |||||
Cognex Corp. | (1,703 | ) | 10,974 | |||||
Salesforce.com, Inc.* | (3,157 | ) | 10,778 | |||||
Mondelez International, Inc. — Class A | (3,043 | ) | 10,558 | |||||
Sempra Energy | (2,689 | ) | 10,436 | |||||
Carrizo Oil & Gas, Inc.* | (2,329 | ) | 9,903 | |||||
Microchip Technology, Inc. | (1,564 | ) | 9,632 | |||||
Black Hills Corp. | (4,856 | ) | 9,022 | |||||
SEACOR Holdings, Inc.* | (1,568 | ) | 8,670 | |||||
Wendy's Co. | (17,655 | ) | 8,266 | |||||
Equinix, Inc. REIT | (770 | ) | 8,182 | |||||
Symantec Corp. | (5,436 | ) | 8,072 | |||||
Hershey Co. | (920 | ) | 7,710 | |||||
Jack in the Box, Inc. | (900 | ) | 7,655 | |||||
Netflix, Inc.* | (593 | ) | 7,464 | |||||
Crown Castle International Corp. | (2,926 | ) | 7,179 | |||||
American International Group, Inc. | (5,712 | ) | 7,153 | |||||
Lamb Weston Holdings, Inc. | (2,715 | ) | 6,953 |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
LONG SHORT EQUITY FUND |
Shares | Unrealized | |||||||
NiSource, Inc. | (10,197 | ) | $ | 6,570 | ||||
Shake Shack, Inc. — Class A* | (3,591 | ) | 5,867 | |||||
Mattel, Inc. | (4,188 | ) | 5,779 | |||||
International Flavors & Fragrances, Inc. | (2,574 | ) | 5,634 | |||||
Take-Two Interactive Software, Inc.* | (1,798 | ) | 5,630 | |||||
Cadence Design Systems, Inc.* | (3,686 | ) | 5,500 | |||||
FMC Corp. | (3,029 | ) | 5,460 | |||||
NewMarket Corp. | (1,030 | ) | 5,024 | |||||
Monolithic Power Systems, Inc. | (3,511 | ) | 4,949 | |||||
Halliburton Co. | (2,135 | ) | 4,483 | |||||
Digital Realty Trust, Inc. | (875 | ) | 4,330 | |||||
Public Storage | (666 | ) | 4,141 | |||||
Incyte Corp.* | (726 | ) | 3,730 | |||||
Iron Mountain, Inc. | (5,672 | ) | 3,268 | |||||
Philip Morris International, Inc. | (1,057 | ) | 3,215 | |||||
Broadcom Ltd. | (559 | ) | 3,001 | |||||
Spire, Inc. | (3,918 | ) | 2,910 | |||||
Royal Gold, Inc. | (1,362 | ) | 2,828 | |||||
Amazon.com, Inc.* | (119 | ) | 2,806 | |||||
Ingevity Corp.* | (1,636 | ) | 2,651 | |||||
Eagle Materials, Inc. | (1,289 | ) | 2,639 | |||||
Duke Realty Corp. | (5,385 | ) | 2,510 | |||||
Five Below, Inc.* | (1,898 | ) | 2,416 | |||||
General Electric Co. | (6,912 | ) | 2,197 | |||||
Retail Opportunity Investments Corp. REIT | (5,554 | ) | 2,173 | |||||
SEACOR Marine Holdings, Inc.* | (1,576 | ) | 2,173 | |||||
Amphenol Corp. — Class A | (1,705 | ) | 2,044 | |||||
CoreSite Realty Corp. | (1,486 | ) | 2,032 | |||||
Pool Corp. | (1,978 | ) | 1,834 | |||||
Visa, Inc. — Class A | (1,640 | ) | 1,816 | |||||
Healthcare Services Group, Inc. | (4,103 | ) | 1,814 | |||||
Charter Communications, Inc. — Class A* | (322 | ) | 1,638 | |||||
CyrusOne, Inc. REIT | (3,809 | ) | 1,620 | |||||
Air Products & Chemicals, Inc. | (2,999 | ) | 1,527 | |||||
Royal Caribbean Cruises Ltd. | (934 | ) | 1,519 | |||||
Balchem Corp. | (2,060 | ) | 1,436 | |||||
Martin Marietta Materials, Inc. | (1,255 | ) | 1,423 | |||||
Atmos Energy Corp. | (4,303 | ) | 1,176 | |||||
Adobe Systems, Inc.* | (1,864 | ) | 1,122 | |||||
Boyd Gaming Corp. | (3,938 | ) | 986 | |||||
Lumentum Holdings, Inc.* | (1,687 | ) | 679 | |||||
Ashland Global Holdings, Inc. | (1,447 | ) | 401 | |||||
Coty, Inc. — Class A | (5,218 | ) | 303 | |||||
American Campus Communities, Inc. | (4,046 | ) | 137 | |||||
First Industrial Realty Trust, Inc. | (9,985 | ) | (24 | ) | ||||
TopBuild Corp.* | (1,810 | ) | (77 | ) | ||||
AvalonBay Communities, Inc. | (712 | ) | (173 | ) | ||||
American Tower Corp. REIT — Class A | (1,968 | ) | (421 | ) | ||||
Willis Towers Watson plc | (1,838 | ) | (478 | ) | ||||
Priceline Group, Inc.* | (68 | ) | (554 | ) | ||||
CommVault Systems, Inc.* | (2,519 | ) | (715 | ) | ||||
Equity Residential | (2,279 | ) | (773 | ) | ||||
Silgan Holdings, Inc. | (4,092 | ) | (838 | ) | ||||
Woodward, Inc. | (4,602 | ) | (912 | ) | ||||
Essex Property Trust, Inc. | (738 | ) | (961 | ) | ||||
Extra Space Storage, Inc. | (1,698 | ) | (978 | ) |
| Unrealized Loss | |||||||
Douglas Emmett, Inc. | (2,791 | ) | (1,110 | ) | ||||
Dave & Buster's Entertainment, Inc.* | (1,473 | ) | (1,149 | ) | ||||
Sensient Technologies Corp. | (4,722 | ) | (1,344 | ) | ||||
Marsh & McLennan Companies, Inc. | (2,750 | ) | (1,482 | ) | ||||
Ecolab, Inc. | (3,504 | ) | (1,573 | ) | ||||
Domino's Pizza, Inc. | (724 | ) | (1,634 | ) | ||||
UDR, Inc. | (4,050 | ) | (1,680 | ) | ||||
HB Fuller Co. | (2,060 | ) | (1,686 | ) | ||||
Highwoods Properties, Inc. | (4,665 | ) | (1,694 | ) | ||||
Education Realty Trust, Inc. | (3,249 | ) | (2,039 | ) | ||||
Arthur J Gallagher & Co. | (2,859 | ) | (2,157 | ) | ||||
Boston Properties, Inc. | (1,093 | ) | (2,224 | ) | ||||
MSCI, Inc. — Class A | (1,367 | ) | (2,401 | ) | ||||
Bio-Rad Laboratories, Inc. — Class A* | (670 | ) | (2,529 | ) | ||||
FactSet Research Systems, Inc. | (1,139 | ) | (2,615 | ) | ||||
ViaSat, Inc.* | (2,367 | ) | (3,032 | ) | ||||
Welltower, Inc. | (1,394 | ) | (3,148 | ) | ||||
CarMax, Inc.* | (5,116 | ) | (3,159 | ) | ||||
CareTrust REIT, Inc. | (5,307 | ) | (3,197 | ) | ||||
Axon Enterprise, Inc.* | (4,955 | ) | (3,481 | ) | ||||
Bob Evans Farms, Inc. | (1,568 | ) | (3,760 | ) | ||||
Acadia Realty Trust | (4,372 | ) | (3,792 | ) | ||||
Weyerhaeuser Co. REIT | (8,693 | ) | (3,828 | ) | ||||
Aon plc | (2,075 | ) | (3,944 | ) | ||||
Macerich Co. | (3,921 | ) | (4,101 | ) | ||||
NuVasive, Inc.* | (1,859 | ) | (4,102 | ) | ||||
Rayonier, Inc. | (4,725 | ) | (4,113 | ) | ||||
ABIOMED, Inc.* | (1,004 | ) | (4,115 | ) | ||||
PolyOne Corp. | (2,919 | ) | (4,169 | ) | ||||
Federal Realty Investment Trust | (1,100 | ) | (4,181 | ) | ||||
Ventas, Inc. | (1,541 | ) | (4,330 | ) | ||||
WD-40 Co. | (908 | ) | (4,526 | ) | ||||
McDonald's Corp. | (1,535 | ) | (4,691 | ) | ||||
Blackbaud, Inc. | (1,416 | ) | (4,709 | ) | ||||
Align Technology, Inc.* | (860 | ) | (4,746 | ) | ||||
CF Industries Holdings, Inc. | (4,236 | ) | (4,761 | ) | ||||
ILG, Inc. | (6,865 | ) | (4,887 | ) | ||||
SL Green Realty Corp. | (1,126 | ) | (5,056 | ) | ||||
AptarGroup, Inc. | (2,474 | ) | (5,355 | ) | ||||
PayPal Holdings, Inc.* | (2,400 | ) | (5,474 | ) | ||||
BlackRock, Inc. — Class A | (377 | ) | (5,683 | ) | ||||
Scotts Miracle-Gro Co. — Class A | (1,897 | ) | (5,974 | ) | ||||
Vulcan Materials Co. | (2,443 | ) | (6,039 | ) | ||||
Meritage Homes Corp.* | (2,408 | ) | (6,133 | ) | ||||
Tyler Technologies, Inc.* | (1,320 | ) | (6,545 | ) | ||||
Constellation Brands, Inc. — Class A | (576 | ) | (6,638 | ) | ||||
Wynn Resorts Ltd. | (900 | ) | (6,661 | ) | ||||
Corporate Office Properties Trust | (4,412 | ) | (6,678 | ) | ||||
S&P Global, Inc. | (1,396 | ) | (6,730 | ) | ||||
Bottomline Technologies de, Inc.* | (7,089 | ) | (7,036 | ) | ||||
Ollie's Bargain Outlet Holdings, Inc.* | (3,134 | ) | (7,079 | ) | ||||
Valvoline, Inc. | (4,352 | ) | (7,084 | ) | ||||
Prologis, Inc. | (2,262 | ) | (7,303 | ) | ||||
DCT Industrial Trust, Inc. | (6,754 | ) | (7,413 | ) | ||||
Healthcare Realty Trust, Inc. | (6,006 | ) | (7,447 | ) | ||||
Avery Dennison Corp. | (1,830 | ) | (7,513 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
LONG SHORT EQUITY FUND |
Shares | Unrealized Loss | |||||||
Gulfport Energy Corp.* | (8,819 | ) | $ | (7,627 | ) | |||
Mercury Systems, Inc.* | (2,958 | ) | (8,004 | ) | ||||
Mid-America Apartment Communities, Inc. | (2,262 | ) | (8,063 | ) | ||||
Compass Minerals International, Inc. | (4,798 | ) | (8,327 | ) | ||||
AO Smith Corp. | (4,864 | ) | (8,337 | ) | ||||
RPM International, Inc. | (8,947 | ) | (8,563 | ) | ||||
PPG Industries, Inc. | (2,418 | ) | (8,988 | ) | ||||
Eaton Vance Corp. | (8,591 | ) | (9,216 | ) | ||||
FirstCash, Inc. | (1,810 | ) | (9,363 | ) | ||||
United Parcel Service, Inc. — Class B | (2,057 | ) | (9,370 | ) | ||||
Moody's Corp. | (2,163 | ) | (10,257 | ) | ||||
PRA Group, Inc.* | (3,043 | ) | (10,343 | ) | ||||
Medidata Solutions, Inc.* | (1,359 | ) | (10,540 | ) | ||||
Kilroy Realty Corp. | (4,498 | ) | (10,554 | ) | ||||
EastGroup Properties, Inc. | (3,350 | ) | (10,863 | ) | ||||
SPS Commerce, Inc.* | (1,903 | ) | (11,486 | ) | ||||
MarketAxess Holdings, Inc. | (1,060 | ) | (11,598 | ) | ||||
PulteGroup, Inc. | (6,573 | ) | (11,955 | ) | ||||
Allegheny Technologies, Inc. | (6,336 | ) | (12,110 | ) | ||||
Xylem, Inc. | (3,393 | ) | (12,273 | ) | ||||
Johnson Controls International plc | (7,362 | ) | (12,290 | ) | ||||
Invesco Ltd. | (3,504 | ) | (12,983 | ) | ||||
Alexandria Real Estate Equities, Inc. | (3,436 | ) | (14,171 | ) | ||||
Ball Corp. | (11,549 | ) | (14,844 | ) | ||||
Cousins Properties, Inc. | (41,488 | ) | (14,948 | ) | ||||
Goldman Sachs Group, Inc. | (1,643 | ) | (16,026 | ) | ||||
KeyCorp | (13,307 | ) | (16,301 | ) | ||||
Century Aluminum Co.* | (9,438 | ) | (16,567 | ) | ||||
First Midwest Bancorp, Inc. | (13,771 | ) | (19,618 | ) | ||||
John Bean Technologies Corp. | (1,585 | ) | (20,972 | ) | ||||
Intercontinental Exchange, Inc. | (3,764 | ) | (21,480 | ) | ||||
CME Group, Inc. — Class A | (2,741 | ) | (22,303 | ) | ||||
National Instruments Corp. | (12,408 | ) | (27,274 | ) | ||||
Total Custom Basket of Short Securities | (160,058 | ) |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2017. |
2 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
3 | Rate indicated is the 7 day yield as of June 30, 2017. |
4 | Securities lending collateral — See Note 6. |
5 | Total Return is based on the return of custom short basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2017. |
6 | Total Return is based on the return of custom long basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2017. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 31,201,257 | $ | — | $ | — | $ | — | $ | 31,201,257 | ||||||||||
Equity Index Swap Agreements | — | — | 464,796 | — | 464,796 | |||||||||||||||
Money Market Fund | 907,306 | — | — | — | 907,306 | |||||||||||||||
Securities Lending Collateral | 124,648 | — | — | — | 124,648 | |||||||||||||||
Total Assets | $ | 32,233,211 | $ | — | $ | 464,796 | $ | — | $ | 32,698,007 | ||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | 209,081 | $ | — | $ | 209,081 |
* | Other financial instruments include swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LONG SHORT EQUITY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $122,073 of securities loaned (cost $31,480,016) | $ | 32,233,211 | ||
Segregated cash with broker | 1,400,006 | |||
Unrealized appreciation on swap agreements | 464,796 | |||
Receivables: | ||||
Swap settlement | 504 | |||
Fund shares sold | 10,527 | |||
Dividends | 25,303 | |||
Securities lending income | 32 | |||
Total assets | 34,134,379 | |||
Liabilities: | ||||
Segregated cash due to broker | 1,322,071 | |||
Unrealized depreciation on swap agreements | 209,081 | |||
Overdraft due to custodian bank | 21,326 | |||
Payable for: | ||||
Securities purchased | 193,090 | |||
Return of securities loaned | 124,648 | |||
Management fees | 23,629 | |||
Fund shares redeemed | 16,831 | |||
Investor service fees | 6,563 | |||
Portfolio accounting fees | 2,626 | |||
Transfer agent and administrative fees | 2,625 | |||
Miscellaneous | 36,944 | |||
Total liabilities | 1,959,434 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 32,174,945 | ||
Net assets consist of: | ||||
Paid in capital | $ | 29,959,698 | ||
Accumulated net investment loss | (23,210 | ) | ||
Accumulated net realized gain on investments | 1,229,547 | |||
Net unrealized appreciation on investments | 1,008,910 | |||
Net assets | $ | 32,174,945 | ||
Capital shares outstanding | 2,023,630 | |||
Net asset value per share | $ | 15.90 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $576) | $ | 238,281 | ||
Interest | 11,417 | |||
Income from securities lending, net | 4,616 | |||
Total investment income | 254,314 | |||
Expenses: | ||||
Management fees | 140,173 | |||
Transfer agent and administrative fees | 15,575 | |||
Investor service fees | 38,937 | |||
Portfolio accounting fees | 15,575 | |||
Short sales dividend expense | 58,194 | |||
Professional fees | 36,899 | |||
Prime broker interest expense | 5,170 | |||
Custodian fees | 3,142 | |||
Trustees’ fees* | 2,504 | |||
Miscellaneous | (3,520 | ) | ||
Total expenses | 312,649 | |||
Net investment loss | (58,335 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 2,608,622 | |||
Investments in affiliated issuers | 3,161 | |||
Swap agreements | 504 | |||
Futures contracts | 209 | |||
Securities sold short | (487,634 | ) | ||
Net realized gain | 2,124,862 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (1,163,255 | ) | ||
Investments in affiliated issuers | (1,176 | ) | ||
Securities sold short | (90,984 | ) | ||
Swap agreements | 255,715 | |||
Futures contracts | (1,842 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,001,542 | ) | ||
Net realized and unrealized gain | 1,123,320 | |||
Net increase in net assets resulting from operations | $ | 1,064,985 |
* | 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 FUNDS SEMI-ANNUAL REPORT | 13 |
LONG SHORT EQUITY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (58,335 | ) | $ | 13,980 | |||
Net realized gain (loss) on investments | 2,124,862 | (682,532 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (1,001,542 | ) | 512,878 | |||||
Net increase (decrease) in net assets resulting from operations | 1,064,985 | (155,674 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 3,229,736 | 12,618,096 | ||||||
Cost of shares redeemed | (4,006,469 | ) | (19,695,322 | ) | ||||
Net decrease from capital share transactions | (776,733 | ) | (7,077,226 | ) | ||||
Net increase (decrease) in net assets | 288,252 | (7,232,900 | ) | |||||
Net assets: | ||||||||
Beginning of period | 31,886,693 | 39,119,593 | ||||||
End of period | $ | 32,174,945 | $ | 31,886,693 | ||||
Accumulated net investment loss/Undistributed net investment income at end of period | $ | (23,210 | ) | $ | 35,125 | |||
Capital share activity: | ||||||||
Shares sold | 209,017 | 841,745 | ||||||
Shares redeemed | (259,433 | ) | (1,329,016 | ) | ||||
Net decrease in shares | (50,416 | ) | (487,271 | ) |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LONG SHORT EQUITY FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.37 | $ | 15.27 | $ | 15.08 | $ | 14.67 | $ | 12.49 | $ | 11.96 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.03 | ) | .01 | (.11 | ) | (.09 | ) | (.14 | ) | — | c | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | .56 | .09 | .30 | .50 | 2.32 | .53 | ||||||||||||||||||
Total from investment operations | .53 | .10 | .19 | .41 | 2.18 | .53 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | (— | )d | — | |||||||||||||||||
Total distributions | — | — | — | — | (— | )d | — | |||||||||||||||||
Net asset value, end of period | $ | 15.90 | $ | 15.37 | $ | 15.27 | $ | 15.08 | $ | 14.67 | $ | 12.49 | ||||||||||||
Total Returne | 3.45 | % | 0.65 | % | 1.26 | % | 2.79 | % | 17.46 | % | 4.43 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 32,175 | $ | 31,887 | $ | 39,120 | $ | 30,041 | $ | 45,295 | $ | 38,656 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.37 | %) | 0.04 | % | (0.71 | %) | (0.63 | %) | (1.05 | %) | — | g | ||||||||||||
Total expensesf,h | 2.01 | % | 2.22 | % | 2.28 | % | 2.12 | % | 2.28 | % | 1.86 | % | ||||||||||||
Portfolio turnover rate | 160 | % | 239 | % | 244 | % | 316 | % | 292 | % | 203 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Net investment income is less than $0.01 per share. |
d | Distributions from net investment income are less than $0.01 per share. |
e | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
f | Does not include expenses of the underlying funds in which the Fund invests. |
g | Less than 0.01%. |
h | Total expenses may include interest and dividend expense. Excluding interest and dividend expense related to short sales, net expense ratios for the period ended June 30, 2017 and years ended December 31 would be: |
06/30/2017 | 2016 | 2015 | 2014 | 2013 | 2012 |
1.60% | 1.56% | 1.51% | 1.57% | 1.62% | 1.73% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
GLOBAL MANAGED FUTURES STRATEGY FUND
OBJECTIVE: Seeks to generate positive total returns over time.
Consolidated Holdings Diversification (Market Exposure as % of Net Assets)
“Consolidated Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: November 7, 2008 |
The Fund invests principally in derivative investments such as futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Variable Insurance Strategy Fund III | 38.8% |
Guggenheim Strategy Fund II | 22.0% |
Guggenheim Strategy Fund I | 11.8% |
Guggenheim Strategy Fund III | 10.7% |
Total | 83.3% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | Since Inception | |
Global Managed Futures Strategy Fund | (0.50%) | (6.74%) | (1.14%) | (4.09%) |
Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.31% | 0.49% | 0.17% | 0.16% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 83.3% | ||||||||
Guggenheim Variable Insurance Strategy Fund III1 | 231,952 | $ | 5,812,709 | |||||
Guggenheim Strategy Fund II1 | 132,140 | 3,304,827 | ||||||
Guggenheim Strategy Fund I1 | 70,431 | 1,765,704 | ||||||
Guggenheim Strategy Fund III1 | 64,169 | 1,604,876 | ||||||
Total Mutual Funds | ||||||||
(Cost $12,402,672) | 12,488,116 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 11.7% | ||||||||
U.S. Treasury Bill | ||||||||
0.91% due 08/03/172,3 | $ | 1,750,000 | 1,748,716 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $1,748,516) | 1,748,716 | |||||||
REPURCHASE AGREEMENTS††,4 - 4.6% | ||||||||
RBC Capital Markets LLC | 254,695 | 254,695 | ||||||
HSBC Securities, Inc. | 254,694 | 254,694 | ||||||
Bank of America Merrill Lynch | 188,630 | 188,630 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $698,019) | 698,019 | |||||||
Total Investments - 99.6% | ||||||||
(Cost $14,849,207) | $ | 14,934,851 | ||||||
Other Assets & Liabilities, net - 0.4% | 62,215 | |||||||
Total Net Assets - 100.0% | $ | 14,997,066 | ||||||
Contracts | Unrealized | |||||||
COMMODITY FUTURES CONTRACTS PURCHASED† | ||||||||
August 2017 Cattle Feeder | 3 | $ | 12,364 | |||||
August 2017 LME Lead | 3 | 11,537 | ||||||
September 2017 Copper | 2 | 7,526 |
Unrealized | ||||||||
August 2017 Lean Hogs | 5 | 6,861 | ||||||
August 2017 Gold 100 oz. | 1 | 1,547 | ||||||
August 2017 LME Primary Aluminum | 1 | 1,419 | ||||||
August 2017 LME Zinc | 1 | 525 | ||||||
August 2017 Live Cattle | 8 | (7,599 | ) | |||||
(Total Aggregate Value of Contracts $1,310,263) | $ | 34,180 | ||||||
CURRENCY FUTURES CONTRACTS PURCHASED† | ||||||||
September 2017 Euro FX | 17 |
| 22,179 | |||||
September 2017 Australian Dollar | 16 | 10,146 | ||||||
September 2017 New Zealand Dollar | 22 | 8,410 | ||||||
September 2017 British Pound | 12 | 1,102 | ||||||
September 2017 Mexican Peso | 43 | (13,667 | ) | |||||
(Total Aggregate Value of Contracts $7,424,695) | $ | 28,170 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
Contracts | Unrealized | |||||||
EQUITY FUTURES CONTRACTS PURCHASED† | ||||||||
September 2017 Dow Jones Industrial | 10 | $ | 7,597 | |||||
September 2017 Tokyo Stock Price Index | 5 | 7,319 | ||||||
July 2017 Hang Seng Index | 7 | 3,239 | ||||||
September 2017 Nikkei 225 (OSE) Index | 2 | 3,111 | ||||||
September 2017 DAX Index | 2 | 2,609 | ||||||
September 2017 S&P MidCap 400 Index | 1 | 963 | ||||||
July 2017 MSCI Taiwan Stock Index | 16 | 735 | ||||||
September 2017 Russell 2000 Index | 4 | 58 | ||||||
September 2017 S&P 500 Index | 5 | 40 | ||||||
September 2017 MSCI Emerging | 6 | (1,108 | ) | |||||
September 2017 MSCI EAFE Index | 5 | (2,370 | ) | |||||
September 2017 SPI 200 Index | 2 | (2,397 | ) | |||||
September 2017 FTSE MIB Index | 1 | (3,234 | ) | |||||
| Unrealized | |||||||
July 2017 OMX Stockholm 30 Index | 7 | (3,284 | ) | |||||
July 2017 CAC 40 10 Euro Index | 5 | (7,491 | ) | |||||
September 2017 FTSE 100 Index | 8 | (13,369 | ) | |||||
September 2017 Euro STOXX 50 Index | 12 | (13,809 | ) | |||||
July 2017 Amsterdam Index | 4 | (13,934 | ) | |||||
July 2017 IBEX 35 Index | 6 | (18,601 | ) | |||||
September 2017 NASDAQ-100 Index | 8 | (21,783 | ) | |||||
(Total Aggregate Value of Contracts $10,527,266) | $ | (75,709 | ) | |||||
INTEREST RATE FUTURES CONTRACTS PURCHASED† | ||||||||
September 2017 Euro - Schatz | 3 |
| (1,033 | ) | ||||
September 2017 U.S. Treasury Long Bond | 5 | (2,196 | ) | |||||
September 2017 U.S. Treasury Ultra | 4 | (2,206 | ) | |||||
September 2017 Euro - OATS | 6 | (2,309 | ) | |||||
September 2017 U.S. Treasury 5 Year Note | 10 | (2,876 | ) |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
Contracts | Unrealized | |||||||
September 2017 Long Gilt | 8 | $ | (5,825 | ) | ||||
September 2017 Australian Government 10 | 10 | (5,919 | ) | |||||
September 2017 Euro - Bund | 19 | (8,967 | ) | |||||
September 2017 Euro - BTP Italian | 30 | (52,341 | ) | |||||
(Total Aggregate Value of Contracts $14,445,216) | $ | (83,672 | ) | |||||
INTEREST RATE FUTURES CONTRACTS SOLD SHORT† | ||||||||
September 2017 Australian Government | 22 |
| 8,062 | |||||
September 2017 Canadian Government | 30 | 5,139 | ||||||
September 2017 U.S. Treasury 2 Year Note | 5 | 1,242 | ||||||
September 2017 Euro - Bobl | 7 | 232 | ||||||
September 2017 U.S. Treasury 10 Year Note | 11 | 202 | ||||||
(Total Aggregate Value of Contracts $8,647,511) | $ | 14,877 | ||||||
CURRENCY FUTURES CONTRACTS SOLD SHORT† | ||||||||
September 2017 Japanese Yen | 17 | 13,169 | ||||||
September 2017 Canadian Dollar | 5 | (6,100 | ) | |||||
(Total Aggregate Value of Contracts $2,281,494) | $ | 7,069 | ||||||
EQUITY FUTURES CONTRACTS SOLD SHORT†† | ||||||||
September 2017 FTSE/JSE TOP 40 Index | 5 | $ | (813 | ) | ||||
COMMODITY FUTURES CONTRACTS SOLD SHORT† | ||||||||
September 2017 Silver | 3 |
| 11,122 | |||||
October 2017 Sugar #11 | 18 | 9,803 | ||||||
September 2017 Coffee ‘C’ | 5 | 4,245 | ||||||
September 2017 Cocoa | 9 | 3,438 | ||||||
August 2017 Natural Gas | 6 | 1,854 | ||||||
October 2017 Platinum | 1 | 1,657 | ||||||
August 2017 Gasoline RBOB | 1 | (912 | ) | |||||
December 2017 Cotton #2 | 5 | (3,291 | ) | |||||
September 2017 Corn | 7 | (4,424 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
Contracts | Unrealized | |||||||
September 2017 Wheat | 2 | $ | (6,182 | ) | ||||
August 2017 NY Harbor ULSD | 3 | (6,693 | ) | |||||
August 2017 LME Nickel | 3 | (9,332 | ) | |||||
December 2017 Soybean | 12 | (9,388 | ) | |||||
September 2017 Hard Red Winter Wheat | 3 | (9,798 | ) | |||||
August 2017 WTI Crude | 5 | (11,662 | ) | |||||
August 2017 Low Sulphur Gas Oil | 8 | (13,097 | ) | |||||
December 2017 Soybean Meal | 16 | (13,192 | ) | |||||
September 2017 Brent Crude | 6 | (14,018 | ) | |||||
November 2017 Soybean | 16 | (14,333 | ) | |||||
(Total Aggregate Value of Contracts $4,397,198) | $ | (84,203 | ) |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 10. |
2 | All or a portion of this security is pledged as futures collateral at June 30, 2017. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 5. |
See Sector Classification in Other Information section. |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Commodity Futures Contracts | $ | — | $ | 73,898 | $ | — | $ | — | $ | — | $ | 73,898 | ||||||||||||
Currency Futures Contracts | — | 55,006 | — | — | — | 55,006 | ||||||||||||||||||
Equity Futures Contracts | — | 9,393 | — | 16,278 | — | 25,671 | ||||||||||||||||||
Interest Rate Futures Contracts | — | 1,444 | — | 13,433 | — | 14,877 | ||||||||||||||||||
Mutual Funds | 12,488,116 | — | — | — | — | 12,488,116 | ||||||||||||||||||
Repurchase Agreements | — | — | 698,019 | — | — | 698,019 | ||||||||||||||||||
U.S. Treasury Bills | — | — | 1,748,716 | — | — | 1,748,716 | ||||||||||||||||||
Total Assets | $ | 12,488,116 | $ | 139,741 | $ | 2,446,735 | $ | 29,711 | $ | — | $ | 15,104,303 | ||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Commodity Futures Contracts | $ | — | $ | 123,921 | $ | — | $ | — | $ | — | $ | 123,921 | ||||||||||||
Currency Futures Contracts | — | 19,767 | — | — | — | 19,767 | ||||||||||||||||||
Equity Futures Contracts | — | 25,261 | — | 76,932 | — | 102,193 | ||||||||||||||||||
Interest Rate Futures Contracts | — | 7,278 | — | 76,394 | — | 83,672 | ||||||||||||||||||
Total Liabilities | $ | — | $ | 176,227 | $ | — | $ | 153,326 | $ | — | $ | 329,553 |
* | Other financial instruments include futures contracts, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $1,748,516) | $ | 1,748,716 | ||
Investments in affiliated issuers, at value (cost $12,402,672) | 12,488,116 | |||
Repurchase agreements, at value (cost $698,019) | 698,019 | |||
Total investments (cost $14,849,207) | 14,934,851 | |||
Segregated cash with broker | 338,594 | |||
Receivables: | ||||
Fund shares sold | 145 | |||
Dividends | 22,913 | |||
Interest | 20 | |||
Total assets | 15,296,523 | |||
Liabilities: | ||||
Segregated cash due to broker | 14,735 | |||
Overdraft due to custodian bank | 5,848 | |||
Payable for: | ||||
Variation margin | 200,876 | |||
Securities purchased | 24,278 | |||
Fund shares redeemed | 14,520 | |||
Management fees | 11,576 | |||
Investor service fees | 3,216 | |||
Transfer agent and administrative fees | 1,286 | |||
Portfolio accounting fees | 1,286 | |||
Miscellaneous | 21,836 | |||
Total liabilities | 299,457 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 14,997,066 | ||
Net assets consist of: | ||||
Paid in capital | $ | 17,243,070 | ||
Accumulated net investment loss | (239,438 | ) | ||
Accumulated net realized loss on investments | (1,931,809 | ) | ||
Net unrealized depreciation on investments | (74,757 | ) | ||
Net assets | $ | 14,997,066 | ||
Capital shares outstanding | 945,643 | |||
Net asset value per share | $ | 15.86 |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 160,747 | ||
Interest | 7,730 | |||
Total investment income | 168,477 | |||
Expenses: | ||||
Management fees | 71,584 | |||
Transfer agent and administrative fees | 7,549 | |||
Investor service fees | 18,873 | |||
Portfolio accounting fees | 7,549 | |||
Professional fees | 16,229 | |||
Custodian fees | 1,471 | |||
Trustees’ fees* | 1,073 | |||
Miscellaneous | 3,066 | |||
Total expenses | 127,394 | |||
Less: | ||||
Expenses waived by Adviser | (3,644 | ) | ||
Net expenses | 123,750 | |||
Net investment income | 44,727 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 5 | |||
Investments in affiliated issuers | 157 | |||
Futures contracts | 353,963 | |||
Foreign currency | 1,076 | |||
Net realized gain | 355,201 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 157 | |||
Investments in affiliated issuers | 22,152 | |||
Futures contracts | (500,160 | ) | ||
Foreign currency | (589 | ) | ||
Net change in unrealized appreciation (depreciation) | (478,440 | ) | ||
Net realized and unrealized loss | (123,239 | ) | ||
Net decrease in net assets resulting from operations | $ | (78,512 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GLOBAL MANAGED FUTURES STRATEGY FUND |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 44,727 | $ | 49,533 | ||||
Net realized gain (loss) on investments | 355,201 | (2,714,289 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (478,440 | ) | 162,737 | |||||
Net decrease in net assets resulting from operations | (78,512 | ) | (2,502,019 | ) | ||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (581,108 | ) | |||||
Total distributions to shareholders | — | (581,108 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 2,767,302 | 6,476,564 | ||||||
Distributions reinvested | — | 581,108 | ||||||
Cost of shares redeemed | (2,473,256 | ) | (6,728,763 | ) | ||||
Net increase from capital share transactions | 294,046 | 328,909 | ||||||
Net increase (decrease) in net assets | 215,534 | (2,754,218 | ) | |||||
Net assets: | ||||||||
Beginning of period | 14,781,532 | 17,535,750 | ||||||
End of period | $ | 14,997,066 | $ | 14,781,532 | ||||
Accumulated net investment loss at end of period | $ | (239,438 | ) | $ | (284,165 | ) | ||
Capital share activity: | ||||||||
Shares sold | 170,671 | 367,879 | ||||||
Shares issued from reinvestment of distributions | — | 33,844 | ||||||
Shares redeemed | (153,007 | ) | (376,902 | ) | ||||
Net increase in shares | 17,664 | 24,821 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
CONSOLIDATED 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.93 | $ | 19.42 | $ | 20.89 | $ | 18.60 | $ | 18.15 | $ | 20.44 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .05 | .06 | (.07 | ) | (.12 | ) | (.29 | ) | (.36 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.12 | ) | (2.88 | ) | (.25 | ) | 2.41 | .74 | (1.93 | ) | ||||||||||||||
Total from investment operations | (.07 | ) | (2.82 | ) | (.32 | ) | 2.29 | .45 | (2.29 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.67 | ) | (.48 | ) | — | — | — | ||||||||||||||||
Net realized gains | — | — | (.67 | ) | — | — | — | |||||||||||||||||
Total distributions | — | (.67 | ) | (1.15 | ) | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 15.86 | $ | 15.93 | $ | 19.42 | $ | 20.89 | $ | 18.60 | $ | 18.15 | ||||||||||||
Total Returnc | (0.50 | %) | (14.77 | %) | (1.55 | %) | 12.08 | % | 2.59 | % | (11.20 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 14,997 | $ | 14,782 | $ | 17,536 | $ | 11,433 | $ | 9,231 | $ | 9,319 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.59 | % | 0.32 | % | (0.35 | %) | (0.67 | %) | (1.60 | %) | (1.89 | %) | ||||||||||||
Total expensesd | 1.69 | % | 1.69 | % | 1.65 | % | 1.67 | % | 1.76 | % | 2.05 | % | ||||||||||||
Net expensese | 1.64 | % | 1.62 | % | 1.57 | % | 1.60 | % | 1.64 | % | 2.00 | % | ||||||||||||
Portfolio turnover rate | 1 | % | 39 | % | 33 | % | 43 | % | — | — |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers. |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND
OBJECTIVE: Seeks long-term capital appreciation with less risk than traditional equity funds.
Consolidated Holdings Diversification (Market Exposure as % of Net Assets)
“Consolidated Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: November 29, 2005 |
Ten Largest Holdings (% of Total Net Assets) | |
NXP Semiconductor N.V. | 2.1% |
Cabela’s, Inc. | 1.9% |
VCA, Inc. | 1.8% |
Mobileye N.V. | 1.5% |
Alere, Inc. | 1.4% |
Brocade Communications Systems, Inc. | 1.4% |
Fortress Investment Group, LLC — Class A | 1.1% |
Rice Energy, Inc. | 1.0% |
Monsanto Co. | 0.8% |
SciClone Pharmaceuticals, Inc. | 0.8% |
Top Ten Total | 13.8% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Multi-Hedge Strategies Fund | 0.17% | 0.56% | 1.81% | (0.67%) |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
HFRX Global Hedge Fund Index | 2.56% | 6.00% | 1.91% | (0.95%) |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The HFRX Global Hedge Fund Index and S&P 500 Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
COMMON STOCKS† - 52.2% | ||||||||
Consumer, Non-cyclical – 11.9% | ||||||||
VCA, Inc.*,1 | 8,351 | $ | 770,880 | |||||
Alere, Inc.*,1 | 11,725 | 588,478 | ||||||
SciClone Pharmaceuticals, Inc.*,1 | 31,168 | 342,847 | ||||||
VWR Corp.* | 9,880 | 326,139 | ||||||
Reynolds American, Inc.1 | 4,991 | 324,615 | ||||||
Albany Molecular Research, Inc.*,1 | 14,110 | 306,188 | ||||||
Akorn, Inc.*,1 | 6,077 | 203,823 | ||||||
PAREXEL International Corp.* | 1,890 | 164,260 | ||||||
CR Bard, Inc.1 | 465 | 146,991 | ||||||
MoneyGram International, Inc.*,1 | 8,371 | 144,400 | ||||||
Amgen, Inc.1 | 347 | 59,764 | ||||||
AbbVie, Inc.1 | 816 | 59,168 | ||||||
ManpowerGroup, Inc.1 | 528 | 58,951 | ||||||
United Rentals, Inc.*,1 | 515 | 58,046 | ||||||
Johnson & Johnson1 | 428 | 56,620 | ||||||
Tyson Foods, Inc. — Class A1 | 903 | 56,556 | ||||||
CoreLogic, Inc.*,1 | 1,293 | 56,090 | ||||||
Baxter International, Inc.1 | 917 | 55,515 | ||||||
Teleflex, Inc.1 | 264 | 54,849 | ||||||
Procter & Gamble Co.1 | 629 | 54,818 | ||||||
Archer-Daniels-Midland Co.1 | 1,319 | 54,580 | ||||||
Biogen, Inc.*,1 | 201 | 54,543 | ||||||
Quest Diagnostics, Inc.1 | 490 | 54,469 | ||||||
Danaher Corp.1 | 642 | 54,178 | ||||||
Cooper Cos., Inc.1 | 226 | 54,109 | ||||||
Ingredion, Inc.1 | 452 | 53,883 | ||||||
Graham Holdings Co. — Class B1 | 88 | 52,769 | ||||||
Euronet Worldwide, Inc.*,1 | 603 | 52,684 | ||||||
Bunge Ltd.1 | 691 | 51,549 | ||||||
Bio-Rad Laboratories, Inc. — Class A*,1 | 226 | 51,146 | ||||||
JM Smucker Co.1 | 427 | 50,527 | ||||||
Quanta Services, Inc.*,1 | 1,518 | 49,973 | ||||||
Molson Coors Brewing Co. — Class B1 | 578 | 49,905 | ||||||
Spectrum Brands Holdings, Inc.1 | 389 | 48,640 | ||||||
WellCare Health Plans, Inc.*,1 | 263 | 47,224 | ||||||
United Therapeutics Corp.*,1 | 351 | 45,535 | ||||||
KAR Auction Services, Inc.1 | 1,054 | 44,236 | ||||||
DaVita, Inc.*,1 | 677 | 43,843 | ||||||
Pinnacle Foods, Inc.1 | 666 | 39,560 | ||||||
Gilead Sciences, Inc.1 | 540 | 38,221 | ||||||
Universal Health Services, Inc. — Class B1 | 289 | 35,281 | ||||||
Charles River Laboratories International, Inc.*,1 | 314 | 31,761 | ||||||
Post Holdings, Inc.*,1 | 403 | 31,293 | ||||||
Pfizer, Inc.1 | 879 | 29,526 | ||||||
Laboratory Corp. of America Holdings*,1 | 176 | 27,129 | ||||||
Anthem, Inc.1 | 125 | 23,516 | ||||||
AMERCO1 | 63 | 23,062 | ||||||
MEDNAX, Inc.*,1 | 176 | 10,625 | ||||||
Conagra Brands, Inc.1 | 238 | 8,511 | ||||||
Dr Pepper Snapple Group, Inc.1 | 88 | 8,018 | ||||||
Total System Services, Inc.1 | 113 | 6,582 | ||||||
Merck & Co., Inc.1 | 101 | 6,473 | ||||||
Hill-Rom Holdings, Inc. | 13 | 1,035 | ||||||
Total Consumer, Non-cyclical | 5,123,384 | |||||||
Financial - 9.5% | ||||||||
Fortress Investment Group, LLC — Class A1 | 58,728 | 469,261 | ||||||
KCG Holdings, Inc. — Class A*,1 | 9,080 | 181,056 | ||||||
First South Bancorp, Inc.1 | 8,628 | 142,707 | ||||||
Xenith Bankshares, Inc.*,1 | 3,735 | 116,009 | ||||||
OneBeacon Insurance Group Ltd. — Class A1 | 5,976 | 108,942 | ||||||
Park Sterling Corp.1 | 5,621 | 66,777 | ||||||
Southwest Bancorp, Inc.1 | 2,429 | 62,061 | ||||||
Popular, Inc.1 | 1,468 | 61,230 | ||||||
Navient Corp.1 | 3,650 | 60,774 | ||||||
E*TRADE Financial Corp.*,1 | 1,568 | 59,632 | ||||||
Citigroup, Inc.1 | 891 | 59,590 | ||||||
Fifth Third Bancorp1 | 2,283 | 59,267 | ||||||
Assured Guaranty Ltd.1 | 1,418 | 59,187 | ||||||
Omega Healthcare Investors, Inc.1 | 1,782 | 58,841 | ||||||
State Street Corp.1 | 653 | 58,594 | ||||||
CNA Financial Corp.1 | 1,193 | 58,159 | ||||||
Jones Lang LaSalle, Inc.1 | 465 | 58,125 | ||||||
Morgan Stanley1 | 1,295 | 57,705 | ||||||
Regions Financial Corp.1 | 3,926 | 57,477 | ||||||
Columbia Property Trust, Inc.1 | 2,563 | 57,360 | ||||||
Host Hotels & Resorts, Inc.1 | 3,115 | 56,911 | ||||||
Pacific Continental Corp.1 | 2,200 | 56,210 | ||||||
Ameriprise Financial, Inc.1 | 440 | 56,008 | ||||||
Hospitality Properties Trust1 | 1,920 | 55,968 | ||||||
Rayonier, Inc.1 | 1,945 | 55,958 | ||||||
Associated Banc-Corp.1 | 2,220 | 55,944 | ||||||
Prudential Financial, Inc.1 | 515 | 55,692 | ||||||
Equity Commonwealth*,1 | 1,760 | 55,616 | ||||||
Legg Mason, Inc.1 | 1,456 | 55,561 | ||||||
Colony NorthStar, Inc. — Class A1 | 3,941 | 55,529 | ||||||
Apple Hospitality REIT, Inc.1 | 2,962 | 55,419 | ||||||
Chimera Investment Corp.1 | 2,972 | 55,368 | ||||||
Citizens Financial Group, Inc.1 | 1,544 | 55,090 | ||||||
American Homes 4 Rent REIT — Class A1 | 2,435 | 54,958 | ||||||
American Financial Group, Inc.1 | 553 | 54,952 | ||||||
Reinsurance Group of America, Inc. — Class A1 | 428 | 54,951 | ||||||
Air Lease Corp. — Class A1 | 1,470 | 54,919 | ||||||
Piedmont Office Realty Trust, Inc. — Class A1 | 2,602 | 54,850 | ||||||
RenaissanceRe Holdings Ltd.1 | 389 | 54,090 | ||||||
Gaming and Leisure Properties, Inc.1 | 1,431 | 53,906 | ||||||
Camden Property Trust1 | 628 | 53,700 | ||||||
Liberty Property Trust1 | 1,319 | 53,696 | ||||||
Senior Housing Properties Trust1 | 2,610 | 53,348 | ||||||
Goldman Sachs Group, Inc.1 | 238 | 52,812 | ||||||
PNC Financial Services Group, Inc.1 | 414 | 51,696 | ||||||
Everest Re Group Ltd.1 | 201 | 51,173 | ||||||
Brandywine Realty Trust1 | 2,822 | 49,470 | ||||||
Lincoln National Corp.1 | 716 | 48,387 |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
Old Republic International Corp.1 | 2,460 | $ | 48,044 | |||||
Prologis, Inc.1 | 815 | 47,792 | ||||||
JPMorgan Chase & Co.1 | 490 | 44,786 | ||||||
Validus Holdings Ltd.1 | 829 | 43,083 | ||||||
Hartford Financial Services Group, Inc.1 | 813 | 42,739 | ||||||
Principal Financial Group, Inc.1 | 640 | 41,005 | ||||||
Ally Financial, Inc.1 | 1,644 | 34,360 | ||||||
Berkshire Hathaway, Inc. — Class B*,1 | 201 | 34,043 | ||||||
Capital One Financial Corp.1 | 389 | 32,139 | ||||||
Bank of New York Mellon Corp.1 | 565 | 28,826 | ||||||
Genworth Financial, Inc. — Class A*,1 | 7,586 | 28,599 | ||||||
SunTrust Banks, Inc.1 | 477 | 27,055 | ||||||
Zions Bancorporation1 | 603 | 26,478 | ||||||
Paragon Commercial Corp.*,1 | 500 | 26,235 | ||||||
Fidelity & Guaranty Life1 | 737 | 22,884 | ||||||
Bank of America Corp.1 | 778 | 18,874 | ||||||
Corporate Office Properties Trust1 | 528 | 18,496 | ||||||
Lazard Ltd. — Class A1 | 364 | 16,864 | ||||||
LPL Financial Holdings, Inc.1 | 314 | 13,332 | ||||||
Two Harbors Investment Corp.1 | 1,243 | 12,318 | ||||||
CIT Group, Inc.1 | 239 | 11,639 | ||||||
Northern Trust Corp.1 | 113 | 10,985 | ||||||
Annaly Capital Management, Inc.1 | 866 | 10,435 | ||||||
Kilroy Realty Corp.1 | 125 | 9,394 | ||||||
Empire State Realty Trust, Inc. — Class A1 | 204 | 4,237 | ||||||
CoreCivic, Inc.1 | 151 | 4,165 | ||||||
Total Financial | 4,093,743 | |||||||
Consumer, Cyclical – 8.8% | ||||||||
Cabela’s, Inc.*,1 | 13,822 | 821,304 | ||||||
Mobileye N.V.* | 10,214 | 641,439 | ||||||
Staples, Inc. | 31,818 | 320,408 | ||||||
West Marine, Inc. | 17,705 | 227,510 | ||||||
Kate Spade & Co.* | 9,545 | 176,487 | ||||||
Nu Skin Enterprises, Inc. — Class A1 | 1,042 | 65,479 | ||||||
PVH Corp.1 | 515 | 58,968 | ||||||
Extended Stay America, Inc.1 | 2,999 | 58,061 | ||||||
Penske Automotive Group, Inc.1 | 1,319 | 57,917 | ||||||
International Game Technology plc1 | 3,100 | 56,730 | ||||||
Kohl’s Corp.1 | 1,456 | 56,304 | ||||||
Whirlpool Corp.1 | 289 | 55,378 | ||||||
Carnival Corp.1 | 841 | 55,144 | ||||||
Dick’s Sporting Goods, Inc.1 | 1,368 | 54,487 | ||||||
Gap, Inc.1 | 2,472 | 54,359 | ||||||
MGM Resorts International1 | 1,720 | 53,819 | ||||||
Best Buy Co., Inc.1 | 917 | 52,572 | ||||||
Royal Caribbean Cruises Ltd.1 | 477 | 52,103 | ||||||
Lear Corp.1 | 365 | 51,859 | ||||||
Wal-Mart Stores, Inc.1 | 678 | 51,311 | ||||||
Dolby Laboratories, Inc. — Class A1 | 1,029 | 50,380 | ||||||
Ford Motor Co.1 | 4,490 | 50,243 | ||||||
Copa Holdings S.A. — Class A1 | 428 | 50,077 | ||||||
Liberty Interactive Corporation QVC Group — Class A*,1 | 1,969 | 48,319 | ||||||
Coach, Inc.1 | 1,017 | 48,145 | ||||||
Foot Locker, Inc.1 | 955 | 47,062 | ||||||
General Motors Co.1 | 1,318 | 46,038 | ||||||
Bed Bath & Beyond, Inc.1 | 1,405 | 42,712 | ||||||
Allison Transmission Holdings, Inc.1 | 1,104 | 41,411 | ||||||
Michael Kors Holdings Ltd.*,1 | 1,142 | 41,398 | ||||||
Target Corp.1 | 702 | 36,708 | ||||||
WESCO International, Inc.*,1 | 590 | 33,807 | ||||||
Darden Restaurants, Inc.1 | 351 | 31,744 | ||||||
Mohawk Industries, Inc.*,1 | 125 | 30,211 | ||||||
GameStop Corp. — Class A1 | 1,254 | 27,099 | ||||||
CalAtlantic Group, Inc.1 | 640 | 22,624 | ||||||
Urban Outfitters, Inc.*,1 | 1,193 | 22,118 | ||||||
PACCAR, Inc.1 | 302 | 19,944 | ||||||
United Continental Holdings, Inc.*,1 | 251 | 18,888 | ||||||
Spirit Airlines, Inc.*,1 | 314 | 16,218 | ||||||
Walgreens Boots Alliance, Inc.1 | 201 | 15,740 | ||||||
Dillard’s, Inc. — Class A1 | 151 | 8,711 | ||||||
Macy’s, Inc.1 | 352 | 8,180 | ||||||
Copart, Inc.*,1 | 201 | 6,390 | ||||||
Goodyear Tire & Rubber Co.1 | 51 | 1,783 | ||||||
AutoNation, Inc.*,1,2 | 26 | 1,096 | ||||||
Southwest Airlines Co. | 1 | 62 | ||||||
Total Consumer, Cyclical | 3,788,747 | |||||||
Technology - 7.7% | ||||||||
NXP Semiconductor N.V.* | 8,182 | 895,528 | ||||||
Brocade Communications Systems, Inc.1 | 46,197 | 582,544 | ||||||
Xcerra Corp.*,1 | 19,704 | 192,508 | ||||||
Lattice Semiconductor Corp.*,1 | 26,507 | 176,537 | ||||||
ARI Network Services, Inc.*,1 | 23,544 | 165,985 | ||||||
Dell Technologies Incorporated Class V — Class V*,1 | 2,190 | 133,831 | ||||||
NeuStar, Inc. — Class A*,1 | 2,366 | 78,906 | ||||||
Oracle Corp.1 | 1,206 | 60,469 | ||||||
CA, Inc.1 | 1,733 | 59,737 | ||||||
Black Knight Financial Services, Inc. — Class A*,1 | 1,393 | 57,043 | ||||||
Fidelity National Information Services, Inc.1 | 628 | 53,631 | ||||||
Amdocs Ltd.1 | 829 | 53,437 | ||||||
Synopsys, Inc.*,1 | 728 | 53,093 | ||||||
Citrix Systems, Inc.*,1 | 667 | 53,080 | ||||||
Microsoft Corp.1 | 766 | 52,800 | ||||||
Activision Blizzard, Inc.1 | 917 | 52,792 | ||||||
Cadence Design Systems, Inc.*,1 | 1,568 | 52,512 | ||||||
Intel Corp.1 | 1,506 | 50,812 | ||||||
Leidos Holdings, Inc.1 | 979 | 50,605 | ||||||
Applied Materials, Inc.1 | 1,180 | 48,746 | ||||||
ON Semiconductor Corp.*,1 | 3,452 | 48,466 | ||||||
International Business Machines Corp.1 | 302 | 46,457 | ||||||
Lam Research Corp.1 | 327 | 46,248 | ||||||
Apple, Inc.1 | 302 | 43,494 | ||||||
DST Systems, Inc.1 | 627 | 38,686 | ||||||
DXC Technology Co.1 | 415 | 31,839 | ||||||
Akamai Technologies, Inc.*,1 | 552 | 27,495 | ||||||
SS&C Technologies Holdings, Inc.1 | 666 | 25,581 | ||||||
Xerox Corp.1 | 702 | 20,169 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
Teradyne, Inc.1 | 465 | $ | 13,964 | |||||
HP, Inc.1 | 790 | 13,809 | ||||||
Hewlett Packard Enterprise Co.1 | 527 | 8,743 | ||||||
Nuance Communications, Inc.*,1 | 88 | 1,532 | ||||||
Total Technology | 3,291,079 | |||||||
Communications – 4.0% | ||||||||
West Corp.1 | 14,487 | 337,837 | ||||||
Time Warner, Inc.1 | 3,318 | 333,160 | ||||||
Level 3 Communications, Inc.*,1 | 3,226 | 191,302 | ||||||
Tribune Media Co. — Class A1 | 2,454 | 100,050 | ||||||
General Communication, Inc. — Class A*,1 | 2,221 | 81,377 | ||||||
Lumos Networks Corp.*,1 | 4,033 | 72,070 | ||||||
eBay, Inc.*,1 | 1,556 | 54,336 | ||||||
Telephone & Data Systems, Inc.1 | 1,908 | 52,947 | ||||||
Cisco Systems, Inc.1 | 1,681 | 52,615 | ||||||
Comcast Corp. — Class A1 | 1,319 | 51,335 | ||||||
Scripps Networks Interactive, Inc. — Class A1 | 716 | 48,910 | ||||||
Symantec Corp.1 | 1,687 | 47,658 | ||||||
Juniper Networks, Inc.1 | 1,568 | 43,716 | ||||||
TEGNA, Inc.1 | 3,012 | 43,403 | ||||||
T-Mobile US, Inc.*,1 | 490 | 29,704 | ||||||
Liberty Broadband Corp. — Class C*,1 | 327 | 28,367 | ||||||
Liberty Media Corporation-Liberty SiriusXM — Class A*,1 | 666 | 27,959 | ||||||
Liberty Media Corporation-Liberty SiriusXM — Class C*,1 | 666 | 27,772 | ||||||
Alphabet, Inc. — Class A*,1 | 26 | 24,172 | ||||||
John Wiley & Sons, Inc. — Class A1 | 452 | 23,843 | ||||||
Alphabet, Inc. — Class C*,1 | 26 | 23,627 | ||||||
Liberty Ventures*,1 | 62 | 3,242 | ||||||
Total Communications | 1,699,402 | |||||||
Industrial – 3.8% | ||||||||
Trinity Industries, Inc.1 | 2,136 | 59,873 | ||||||
Owens Corning1 | 866 | 57,952 | ||||||
Oshkosh Corp.1 | 840 | 57,859 | ||||||
WestRock Co.1 | 1,017 | 57,624 | ||||||
FedEx Corp.1 | 264 | 57,376 | ||||||
Cummins, Inc.1 | 352 | 57,100 | ||||||
Arrow Electronics, Inc.*,1 | 728 | 57,091 | ||||||
Corning, Inc.1 | 1,883 | 56,585 | ||||||
Spirit AeroSystems Holdings, Inc. — Class A1 | 966 | 55,970 | ||||||
Timken Co.1 | 1,206 | 55,778 | ||||||
Eaton Corp. plc1 | 716 | 55,726 | ||||||
Waste Management, Inc.1 | 753 | 55,232 | ||||||
Ingersoll-Rand plc1 | 603 | 55,108 | ||||||
Norfolk Southern Corp.1 | 452 | 55,009 | ||||||
Textron, Inc.1 | 1,167 | 54,966 | ||||||
Stanley Black & Decker, Inc.1 | 389 | 54,744 | ||||||
L3 Technologies, Inc.1 | 327 | 54,635 | ||||||
Republic Services, Inc. — Class A1 | 854 | 54,425 | ||||||
Regal Beloit Corp.1 | 666 | 54,312 | ||||||
Sonoco Products Co.1 | 1,042 | 53,580 | ||||||
Ryder System, Inc.1 | 728 | 52,402 | ||||||
Jabil, Inc.1 | 1,744 | 50,907 | ||||||
Carlisle Companies, Inc.1 | 528 | 50,371 | ||||||
Huntington Ingalls Industries, Inc.1 | 263 | 48,960 | ||||||
Colfax Corp.*,1 | 1,092 | 42,992 | ||||||
USG Corp.*,1 | 1,331 | 38,626 | ||||||
Garmin Ltd.1 | 728 | 37,150 | ||||||
AGCO Corp.1 | 490 | 33,021 | ||||||
Packaging Corporation of America1 | 251 | 27,959 | ||||||
Deere & Co.1 | 201 | 24,842 | ||||||
Kirby Corp.*,1 | 364 | 24,333 | ||||||
AECOM*,1 | 540 | 17,458 | ||||||
Terex Corp.1 | 364 | 13,650 | ||||||
Jacobs Engineering Group, Inc.1 | 201 | 10,932 | ||||||
Energizer Holdings, Inc.1 | 164 | 7,875 | ||||||
PerkinElmer, Inc.1 | 88 | 5,996 | ||||||
Boeing Co.1 | 26 | 5,142 | ||||||
Total Industrial | 1,613,561 | |||||||
Energy - 2.5% | ||||||||
Rice Energy, Inc.*,1 | 15,457 | 411,619 | ||||||
ONEOK Partners, LP1 | 1,457 | 74,409 | ||||||
TerraForm Global, Inc. — Class A*,1 | 14,587 | 73,664 | ||||||
Valero Energy Corp.1 | 879 | 59,297 | ||||||
Williams Companies, Inc.1 | 1,920 | 58,138 | ||||||
Kinder Morgan, Inc.1 | 2,937 | 56,273 | ||||||
Marathon Petroleum Corp.1 | 1,042 | 54,528 | ||||||
Transocean Ltd.*,1 | 6,149 | 50,606 | ||||||
Chevron Corp.1 | 452 | 47,157 | ||||||
Dril-Quip, Inc.*,1 | 578 | 28,206 | ||||||
Rowan Companies plc — Class A*,1 | 2,697 | 27,617 | ||||||
CONSOL Energy, Inc.*,1 | 1,606 | 23,994 | ||||||
Antero Resources Corp.*,1 | 891 | 19,255 | ||||||
Patterson-UTI Energy, Inc.1 | 766 | 15,466 | ||||||
Targa Resources Corp.1 | 339 | 15,323 | ||||||
Energen Corp.*,1 | 251 | 12,392 | ||||||
Murphy Oil Corp.1 | 477 | 12,226 | ||||||
Nabors Industries Ltd.1 | 1,431 | 11,648 | ||||||
Baker Hughes, Inc.1 | 167 | 9,103 | ||||||
Devon Energy Corp.1 | 214 | 6,842 | ||||||
WPX Energy, Inc.*,1 | 263 | 2,541 | ||||||
Total Energy | 1,070,304 | |||||||
Basic Materials - 2.0% | ||||||||
Monsanto Co.1 | 2,936 | 347,504 | ||||||
Steel Dynamics, Inc.1 | 1,607 | 57,547 | ||||||
Westlake Chemical Corp.1 | 866 | 57,337 | ||||||
Eastman Chemical Co.1 | 678 | 56,945 | ||||||
Cabot Corp.1 | 1,042 | 55,674 | ||||||
Nucor Corp.1 | 929 | 53,761 | ||||||
Domtar Corp.1 | 1,355 | 52,059 | ||||||
Reliance Steel & Aluminum Co.1 | 702 | 51,113 | ||||||
Mosaic Co.1 | 1,582 | 36,117 | ||||||
Albemarle Corp.1 | 290 | 30,607 | ||||||
Platform Specialty Products Corp.*,1 | 2,385 | 30,242 | ||||||
LyondellBasell Industries N.V. — Class A1 | 314 | 26,498 |
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
United States Steel Corp.1 | 151 | $ | 3,343 | |||||
Total Basic Materials | 858,747 | |||||||
Utilities - 1.9% | ||||||||
WGL Holdings, Inc.1 | 2,489 | 207,657 | ||||||
Hawaiian Electric Industries, Inc.1 | 1,659 | 53,719 | ||||||
Ameren Corp.1 | 967 | 52,866 | ||||||
Consolidated Edison, Inc.1 | 653 | 52,775 | ||||||
PG&E Corp.1 | 791 | 52,499 | ||||||
Pinnacle West Capital Corp.1 | 615 | 52,373 | ||||||
UGI Corp.1 | 1,080 | 52,283 | ||||||
Avangrid, Inc.1 | 1,180 | 52,097 | ||||||
Edison International1 | 666 | 52,075 | ||||||
DTE Energy Co.1 | 490 | 51,837 | ||||||
SCANA Corp.1 | 766 | 51,330 | ||||||
AES Corp.1 | 4,177 | 46,406 | ||||||
Delta Natural Gas Company, Inc.1 | 614 | 18,709 | ||||||
Duke Energy Corp.1 | 26 | 2,173 | ||||||
Total Utilities | 798,799 | |||||||
Diversified - 0.1% | ||||||||
Leucadia National Corp.1 | 2,272 | 59,436 | ||||||
Total Common Stocks | ||||||||
(Cost $20,439,958) | 22,397,202 | |||||||
MUTUAL FUNDS† - 0.1% | ||||||||
Guggenheim Strategy Fund II3 | 482 | 12,064 | ||||||
Guggenheim Strategy Fund I3 | 456 | 11,439 | ||||||
Total Mutual Funds | ||||||||
(Cost $23,295) | 23,503 | |||||||
CLOSED-END FUNDS† - 9.3% | ||||||||
Dividend and Income Fund | 15,547 | 192,004 | ||||||
Boulder Growth & Income Fund, Inc. | 19,385 | 188,228 | ||||||
Central Securities Corp. | 7,503 | 187,050 | ||||||
RMR Real Estate Income Fund | 8,465 | 184,960 | ||||||
General American Investors Company, Inc. | 5,214 | 179,101 | ||||||
Adams Diversified Equity Fund, Inc. | 11,329 | 161,891 | ||||||
Altaba, Inc. | 2,487 | 135,492 | ||||||
GDL Fund | 12,811 | 131,441 | ||||||
Swiss Helvetia Fund, Inc. | 7,806 | 99,136 | ||||||
Liberty All Star Equity Fund | 13,033 | 73,765 | ||||||
Aberdeen Chile Fund, Inc. | 9,575 | 67,791 | ||||||
Tri-Continental Corp. | 2,768 | 67,401 | ||||||
Adams Natural Resources Fund, Inc. | 2,794 | 52,248 | ||||||
Eagle Growth & Income Opportunities Fund | 2,751 | 47,400 | ||||||
Morgan Stanley Asia-Pacific Fund, Inc. | 2,841 | 47,161 | ||||||
Aberdeen Greater China Fund, Inc. | 3,442 | 39,480 | ||||||
Nuveen New Jersey Quality Municipal Income Fund | 2,779 | 38,072 | ||||||
CBRE Clarion Global Real Estate Income Fund | 4,710 | 36,361 | ||||||
Latin American Discovery Fund, Inc. | 3,421 | 35,852 | ||||||
Templeton Dragon Fund, Inc. | 1,743 | 35,156 | ||||||
Japan Smaller Capitalization Fund, Inc. | 2,903 | 33,326 | ||||||
Gabelli Healthcare & WellnessRx Trust | 3,056 | 33,158 | ||||||
Central Europe Russia and Turkey Fund, Inc. | 1,510 | 33,069 | ||||||
Mexico Equity & Income Fund, Inc. | 2,815 | 32,147 | ||||||
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund3 | 2,905 | 32,013 | ||||||
Royce Micro-Capital Trust, Inc. | 3,595 | 31,095 | ||||||
Wells Fargo Multi-Sector Income Fund | 2,317 | 30,932 | ||||||
BlackRock Resources & Commodities Strategy Trust | 3,842 | 30,774 | ||||||
Aberdeen Singapore Fund, Inc. | 2,680 | 29,587 | ||||||
Western Asset/Claymore Inflation-Linked Securities & Income Fund3 | 2,586 | 29,222 | ||||||
Templeton Emerging Markets Income Fund | 2,564 | 28,768 | ||||||
Legg Mason BW Global Income Opportunities Fund, Inc. | 2,133 | 28,220 | ||||||
Aberdeen Japan Equity Fund, Inc. | 3,301 | 28,059 | ||||||
Royce Value Trust, Inc. | 1,922 | 28,040 | ||||||
Mexico Fund, Inc. | 1,552 | 26,850 | ||||||
Franklin Universal Trust | 3,680 | 26,386 | ||||||
Macquarie Global Infrastructure Total Return Fund, Inc. | 1,046 | 26,108 | ||||||
Western Asset Emerging Markets Debt Fund, Inc. | 1,655 | 25,768 | ||||||
New Germany Fund, Inc. | 1,489 | �� | 24,762 | |||||
Morgan Stanley India Investment Fund, Inc. | 753 | 24,375 | ||||||
Alpine Total Dynamic Dividend Fund | 2,755 | 23,941 | ||||||
Neuberger Berman High Yield Strategies Fund, Inc. | 1,997 | 23,744 | ||||||
China Fund, Inc. | 1,265 | 23,643 | ||||||
Korea Fund, Inc. | 582 | 23,303 | ||||||
AllianzGI Equity & Convertible Income Fund | 1,106 | 21,844 | ||||||
Sprott Focus Trust, Inc. | 2,946 | 21,741 | ||||||
Clough Global Opportunities Fund | 2,009 | 21,295 | ||||||
Neuberger Berman Real Estate Securities Income Fund, Inc. | 3,940 | 21,276 | ||||||
Taiwan Fund, Inc. | 1,063 | 21,037 | ||||||
Voya Asia Pacific High Dividend Equity Income Fund | 1,968 | 20,703 | ||||||
Morgan Stanley Emerging Markets Fund, Inc. | 1,281 | 20,688 | ||||||
Lazard Global Total Return and Income Fund, Inc. | 1,208 | 19,751 | ||||||
India Fund, Inc. | 730 | 19,681 | ||||||
Cohen & Steers REIT and Preferred Income Fund, Inc. | 944 | 19,616 | ||||||
Delaware Enhanced Global Dividend & Income Fund | 1,673 | 19,072 | ||||||
Virtus Total Return Fund, Inc. | 1,533 | 18,764 | ||||||
Ellsworth Growth and Income Fund Ltd. | 2,023 | 18,450 | ||||||
European Equity Fund, Inc. | 1,990 | 18,248 | ||||||
LMP Capital and Income Fund, Inc. | 1,282 | 18,230 | ||||||
Invesco High Income Trust II | 1,202 | 17,934 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
Lazard World Dividend & Income Fund, Inc. | 1,621 | $ | 17,863 | |||||
Western Asset Global High Income Fund, Inc. | 1,753 | 17,636 | ||||||
Morgan Stanley Emerging Markets Debt Fund, Inc. | 1,774 | 17,545 | ||||||
Duff & Phelps Global Utility Income Fund, Inc. | 1,045 | 17,347 | ||||||
Liberty All Star Growth Fund, Inc. | 3,515 | 17,296 | ||||||
Gabelli Global Utility & Income Trust | 852 | 17,244 | ||||||
Nuveen Real Asset Income and Growth Fund | 978 | 17,203 | ||||||
Ares Dynamic Credit Allocation Fund, Inc. | 1,042 | 17,037 | ||||||
New Ireland Fund, Inc. | 1,226 | 16,992 | ||||||
Delaware Investments Dividend & Income Fund, Inc. | 1,595 | 16,684 | ||||||
Aberdeen Latin America Equity Fund, Inc. | 718 | 16,643 | ||||||
Aberdeen Emerging Markets Smaller Company Opportunities Fund, Inc. | 1,204 | 16,603 | ||||||
Cohen & Steers Global Income Builder, Inc. | 1,725 | 16,422 | ||||||
Bancroft Fund Ltd. | 756 | 16,345 | ||||||
BlackRock Corporate High Yield Fund, Inc. | 1,474 | 16,155 | ||||||
Voya Global Advantage and Premium Opportunity Fund | 1,484 | 16,042 | ||||||
Diversified Real Asset Income Fund | 910 | 15,880 | ||||||
BlackRock Credit Allocation Income Trust | 1,178 | 15,844 | ||||||
Templeton Emerging Markets Fund/United States | 1,052 | 15,685 | ||||||
Prudential Global Short Duration High Yield Fund, Inc. | 1,031 | 15,321 | ||||||
Western Asset High Income Opportunity Fund, Inc. | 2,997 | 15,195 | ||||||
Nuveen AMT-Free Quality Municipal Income Fund | 1,098 | 15,032 | ||||||
Alpine Global Dynamic Dividend Fund | 1,454 | 14,874 | ||||||
Eaton Vance Limited Duration Income Fund | 1,054 | 14,861 | ||||||
AllianzGI NFJ Dividend Interest & Premium Strategy Fund | 1,117 | 14,622 | ||||||
Cohen & Steers Infrastructure Fund, Inc. | 618 | 14,603 | ||||||
BlackRock Debt Strategies Fund, Inc. | 1,251 | 14,437 | ||||||
Western Asset High Yield Defined Opportunity Fund, Inc. | 943 | 14,409 | ||||||
Voya Global Equity Dividend and Premium Opportunity Fund | 1,897 | 14,341 | ||||||
First Trust Enhanced Equity Income Fund | 975 | 14,284 | ||||||
Tekla Healthcare Opportunities Fund | 754 | 13,828 | ||||||
First Trust Strategic High Income Fund II | 1,012 | 13,814 | ||||||
BlackRock Enhanced Global Dividend Trust | 1,037 | 13,740 | ||||||
MFS Charter Income Trust | 1,585 | 13,694 | ||||||
Nuveen Global High Income Fund | 791 | 13,344 | ||||||
Clough Global Equity Fund | 1,039 | 13,112 | ||||||
BlackRock Multi-Sector Income Trust | 719 | 13,035 | ||||||
BlackRock Enhanced Equity Dividend Trust | 1,476 | 12,989 | ||||||
MFS Multimarket Income Trust | 2,086 | 12,933 | ||||||
Avenue Income Credit Strategies Fund | 909 | 12,644 | ||||||
Advent Claymore Convertible Securities and Income Fund II3 | 2,005 | 12,491 | ||||||
Voya Emerging Markets High Income Dividend Equity Fund | 1,421 | 12,476 | ||||||
Putnam High Income Securities Fund | 1,412 | 12,411 | ||||||
Blackrock Science & Technology Trust | 558 | 12,393 | ||||||
Wells Fargo Income Opportunities Fund | 1,411 | 12,078 | ||||||
BlackRock Enhanced International Dividend Trust | 1,900 | 11,932 | ||||||
Wells Fargo Global Dividend Opportunity Fund | 1,943 | 11,891 | ||||||
Nuveen Tax-Advantaged Total Return Strategy Fund | 918 | 11,842 | ||||||
Cohen & Steers MLP Income and Energy Opportunity Fund, Inc. | 1,058 | 11,490 | ||||||
Clough Global Dividend and Income Fund | 855 | 11,406 | ||||||
BlackRock Enhanced Capital and Income Fund, Inc. | 762 | 11,346 | ||||||
Franklin Limited Duration Income Trust | 942 | 11,144 | ||||||
Nuveen Tax-Advantaged Dividend Growth Fund | 683 | 10,989 | ||||||
Eaton Vance Tax-Advantaged Global Dividend Income Fund | 642 | 10,959 | ||||||
Nuveen Multi-Market Income Fund, Inc. | 1,454 | 10,905 | ||||||
Gabelli Dividend & Income Trust | 497 | 10,845 | ||||||
First Trust Aberdeen Emerging Opportunity Fund | 675 | 10,841 | ||||||
ClearBridge American Energy MLP Fund, Inc. | 1,200 | 10,788 | ||||||
Voya Infrastructure Industrials and Materials Fund2 | 682 | 10,660 | ||||||
Principal Real Estate Income Fund | 586 | 10,601 | ||||||
Advent Claymore Convertible Securities and Income Fund3 | 648 | 10,465 | ||||||
Asia Tigers Fund, Inc. | 899 | 10,419 | ||||||
Advent/Claymore Enhanced Growth & Income Fund3 | 1,188 | 10,395 | ||||||
Asia Pacific Fund, Inc. | 804 | 10,388 | ||||||
Western Asset Global Corporate Defined Opportunity Fund, Inc. | 581 | 10,348 | ||||||
Cushing Renaissance Fund | 581 | 10,162 | ||||||
Calamos Global Dynamic Income Fund | 1,184 | 10,100 | ||||||
Cohen & Steers Closed-End Opportunity Fund, Inc. | 775 | 10,091 | ||||||
First Trust High Income Long/Short Fund | 584 | 10,068 | ||||||
First Trust Aberdeen Global Opportunity Income Fund | 864 | 10,066 | ||||||
Nuveen Dow 30sm Dynamic Overwrite Fund | 588 | 9,714 | ||||||
AllianzGI Diversified Income & Convertible Fund | 459 | 9,621 | ||||||
Calamos Strategic Total Return Fund | 815 | 9,568 | ||||||
Gabelli Multimedia Trust, Inc. | 1,061 | 9,485 | ||||||
Macquarie/First Trust Global Infrastructure/Utilities Dividend & Income Fund | 693 | 9,023 |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
First Trust Dynamic Europe Equity Income Fund2 | 472 | $ | 8,878 | |||||
MFS Intermediate High Income Fund | 2,997 | 8,392 | ||||||
KKR Income Opportunities Fund | 471 | 8,238 | ||||||
Guggenheim Enhanced Equity Income Fund3 | 452 | 3,738 | ||||||
Total Closed-End Funds | ||||||||
(Cost $3,601,063) | 4,017,835 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 10.8% | ||||||||
U.S. Treasury Bill | ||||||||
0.95% due 09/21/171,4 | $ | 4,000,000 | 3,991,348 | |||||
0.91% due 08/03/174,5 | 650,000 | 649,523 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $4,640,247) | 4,640,871 | |||||||
REPURCHASE AGREEMENTS††,6 - 25.3% | ||||||||
RBC Capital Markets LLC | 3,958,053 | 3,958,053 | ||||||
HSBC Securities, Inc. | 3,958,052 | 3,958,052 | ||||||
Bank of America Merrill Lynch | 2,931,388 | 2,931,388 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $10,847,493) | 10,847,493 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,7 - 0.0% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%8 | 13,587 | 13,587 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $13,587) | 13,587 | |||||||
Total Investments – 97.7% | ||||||||
(Cost $39,565,643) | $ | 41,940,491 | ||||||
COMMON STOCKS SOLD SHORT† - (30.5)% | ||||||||
Basic Materials - (1.1)% | ||||||||
Freeport-McMoRan, Inc.* | 391 | (4,696 | ) | |||||
Tahoe Resources, Inc. | 730 | (6,293 | ) | |||||
CF Industries Holdings, Inc. | 239 | (6,682 | ) | |||||
Valvoline, Inc. | 328 | (7,780 | ) | |||||
Royal Gold, Inc. | 204 | (15,947 | ) | |||||
Ashland Global Holdings, Inc. | 328 | (21,618 | ) | |||||
FMC Corp. | 386 | (28,197 | ) | |||||
Praxair, Inc. | 215 | (28,498 | ) | |||||
NewMarket Corp. | 64 | (29,471 | ) | |||||
Compass Minerals International, Inc. | 542 | (35,393 | ) | |||||
Sherwin-Williams Co. | 103 | (36,149 | ) | |||||
Southern Copper Corp. | 1,095 | (37,920 | ) | |||||
Newmont Mining Corp. | 1,175 | (38,057 | ) | |||||
PPG Industries, Inc. | 350 | (38,486 | ) | |||||
Axalta Coating Systems Ltd.* | 1,207 | (38,672 | ) | |||||
RPM International, Inc. | 716 | (39,058 | ) | |||||
WR Grace & Co. | 547 | (39,389 | ) | |||||
Total Basic Materials | (452,306 | ) | ||||||
Utilities - (1.4)% | ||||||||
MDU Resources Group, Inc. | 13 | (341 | ) | |||||
NextEra Energy, Inc. | 76 | (10,650 | ) | |||||
WEC Energy Group, Inc. | 177 | (10,864 | ) | |||||
Vectren Corp. | 252 | (14,727 | ) | |||||
American Water Works Co., Inc. | 236 | (18,396 | ) | |||||
Entergy Corp. | 264 | (20,267 | ) | |||||
Public Service Enterprise Group, Inc. | 652 | (28,043 | ) | |||||
Calpine Corp.* | 2,611 | (35,327 | ) | |||||
Southern Co. | 743 | (35,575 | ) | |||||
Sempra Energy | 337 | (37,997 | ) | |||||
Dominion Energy, Inc. | 496 | (38,008 | ) | |||||
Alliant Energy Corp. | 954 | (38,322 | ) | |||||
NiSource, Inc. | 1,516 | (38,446 | ) | |||||
American Electric Power Company, Inc. | 556 | (38,625 | ) | |||||
PPL Corp. | 1,014 | (39,201 | ) | |||||
Aqua America, Inc. | 1,195 | (39,794 | ) | |||||
Atmos Energy Corp. | 480 | (39,816 | ) | |||||
FirstEnergy Corp. | 1,367 | (39,862 | ) | |||||
National Fuel Gas Co. | 716 | (39,981 | ) | |||||
NRG Energy, Inc. | 2,363 | (40,691 | ) | |||||
Total Utilities | (604,933 | ) | ||||||
Energy - (2.4)% | ||||||||
Cimarex Energy Co. | 38 | (3,572 | ) | |||||
Noble Corporation plc | 1,371 | (4,963 | ) | |||||
RPC, Inc. | 264 | (5,335 | ) | |||||
Laredo Petroleum, Inc.* | 692 | (7,280 | ) | |||||
Apache Corp. | 252 | (12,078 | ) | |||||
National Oilwell Varco, Inc. | 626 | (20,620 | ) | |||||
Schlumberger Ltd. | 333 | (21,925 | ) | |||||
Range Resources Corp. | 1,032 | (23,911 | ) | |||||
Continental Resources, Inc.* | 818 | (26,446 | ) | |||||
Weatherford International plc* | 8,507 | (32,922 | ) | |||||
Halliburton Co. | 856 | (36,560 | ) | |||||
Newfield Exploration Co.* | 1,290 | (36,713 | ) | |||||
Hess Corp. | 843 | (36,982 | ) | |||||
Chesapeake Energy Corp.* | 7,595 | (37,747 | ) | |||||
Occidental Petroleum Corp. | 639 | (38,257 | ) | |||||
Cheniere Energy, Inc.* | 798 | (38,871 | ) | |||||
Superior Energy Services, Inc.* | 3,755 | (39,165 | ) | |||||
Southwestern Energy Co.* | 6,910 | (42,013 | ) | |||||
First Solar, Inc.* | 1,056 | (42,113 | ) | |||||
Kosmos Energy Ltd.* | 6,602 | (42,319 | ) | |||||
Gulfport Energy Corp.* | 2,989 | (44,088 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
Cabot Oil & Gas Corp. — Class A | 1,840 | $ | (46,147 | ) | ||||
ONEOK, Inc. | 1,435 | (74,850 | ) | |||||
Equities Corp. | 5,340 | (312,872 | ) | |||||
Total Energy | (1,027,749 | ) | ||||||
Communications - (2.5)% | ||||||||
GoDaddy, Inc. — Class A* | 26 | (1,103 | ) | |||||
United States Cellular Corp.* | 65 | (2,491 | ) | |||||
Zillow Group, Inc. — Class A* | 101 | (4,933 | ) | |||||
Verizon Communications, Inc. | 224 | (10,004 | ) | |||||
Netflix, Inc.* | 80 | (11,953 | ) | |||||
News Corp. — Class A | 1,133 | (15,522 | ) | |||||
Sinclair Broadcast Group, Inc. — Class A | 564 | (18,556 | ) | |||||
Twenty-First Century Fox, Inc. — Class A | 703 | (19,923 | ) | |||||
Twenty-First Century Fox, Inc. — Class B | 728 | (20,289 | ) | |||||
Expedia, Inc. | 142 | (21,151 | ) | |||||
DISH Network Corp. — Class A* | 338 | (21,213 | ) | |||||
Sprint Corp.* | 3,473 | (28,513 | ) | |||||
Arista Networks, Inc.* | 209 | (31,306 | ) | |||||
Zayo Group Holdings, Inc.* | 1,083 | (33,465 | ) | |||||
TripAdvisor, Inc.* | 882 | (33,692 | ) | |||||
FactSet Research Systems, Inc. | 215 | (35,729 | ) | |||||
Palo Alto Networks, Inc.* | 273 | (36,530 | ) | |||||
Pandora Media, Inc.* | 4,202 | (37,482 | ) | |||||
VeriSign, Inc.* | 409 | (38,021 | ) | |||||
Motorola Solutions, Inc. | 442 | (38,339 | ) | |||||
Twitter, Inc.* | 2,200 | (39,314 | ) | |||||
CDW Corp. | 629 | (39,331 | ) | |||||
AMC Networks, Inc. — Class A* | 741 | (39,577 | ) | |||||
Clear Channel Outdoor Holdings, Inc. — Class A | 9,593 | (46,526 | ) | |||||
Groupon, Inc. — Class A* | 13,054 | (50,127 | ) | |||||
CenturyLink, Inc. | 4,609 | (110,063 | ) | |||||
Alibaba Group Holding Ltd. ADR* | 998 | (140,619 | ) | |||||
AT&T, Inc. | 3,815 | (143,940 | ) | |||||
Total Communications | (1,069,712 | ) | ||||||
Technology - (2.5)% | ||||||||
Paychex, Inc. | 51 | (2,904 | ) | |||||
Pitney Bowes, Inc. | 409 | (6,176 | ) | |||||
Fiserv, Inc.* | 51 | (6,239 | ) | |||||
CSRA, Inc. | 448 | (14,224 | ) | |||||
Inovalon Holdings, Inc. — Class A* | 1,278 | (16,806 | ) | |||||
Autodesk, Inc.* | 177 | (17,845 | ) | |||||
Atlassian Corporation plc — Class A* | 632 | (22,234 | ) | |||||
NVIDIA Corp. | 190 | (27,466 | ) | |||||
Maxim Integrated Products, Inc. | 705 | (31,655 | ) | |||||
Dun & Bradstreet Corp. | 294 | (31,796 | ) | |||||
Ultimate Software Group, Inc.* | 156 | (32,769 | ) | |||||
VeriFone Systems, Inc.* | 1,893 | (34,263 | ) | |||||
Western Digital Corp. | 400 | (35,440 | ) | |||||
Splunk, Inc.* | 623 | (35,442 | ) | |||||
Broadcom Ltd. | 155 | (36,123 | ) | |||||
Tyler Technologies, Inc.* | 206 | (36,188 | ) | |||||
Workday, Inc. — Class A* | 377 | (36,569 | ) | |||||
Salesforce.com, Inc.* | 426 | (36,892 | ) | |||||
Fortinet, Inc.* | 1,013 | (37,927 | ) | |||||
Cypress Semiconductor Corp. | 2,810 | (38,357 | ) | |||||
ServiceNow, Inc.* | 363 | (38,478 | ) | |||||
Cognizant Technology Solutions Corp. — Class A | 580 | (38,512 | ) | |||||
Broadridge Financial Solutions, Inc. | 512 | (38,687 | ) | |||||
Tableau Software, Inc. — Class A* | 638 | (39,090 | ) | |||||
Guidewire Software, Inc.* | 571 | (39,233 | ) | |||||
Manhattan Associates, Inc.* | 830 | (39,890 | ) | |||||
athenahealth, Inc.* | 286 | (40,197 | ) | |||||
Red Hat, Inc.* | 424 | (40,598 | ) | |||||
Zynga, Inc. — Class A* | 11,170 | (40,659 | ) | |||||
VMware, Inc. — Class A* | 2,182 | (190,773 | ) | |||||
Total Technology | (1,083,432 | ) | ||||||
Consumer, Cyclical - (3.5)% | ||||||||
JetBlue Airways Corp.* | 63 | (1,438 | ) | |||||
Watsco, Inc. | 13 | (2,005 | ) | |||||
Yum! Brands, Inc. | 77 | (5,680 | ) | |||||
Home Depot, Inc. | 38 | (5,829 | ) | |||||
Skechers U.S.A., Inc. — Class A* | 227 | (6,697 | ) | |||||
Hilton Worldwide Holdings, Inc. | 115 | (7,113 | ) | |||||
BorgWarner, Inc. | 179 | (7,582 | ) | |||||
Costco Wholesale Corp. | 51 | (8,156 | ) | |||||
American Airlines Group, Inc. | 177 | (8,907 | ) | |||||
Leggett & Platt, Inc. | 192 | (10,086 | ) | |||||
Tupperware Brands Corp. | 151 | (10,605 | ) | |||||
Las Vegas Sands Corp. | 231 | (14,759 | ) | |||||
CarMax, Inc.* | 256 | (16,143 | ) | |||||
VF Corp. | 378 | (21,773 | ) | |||||
Toro Co. | 340 | (23,559 | ) | |||||
Delta Air Lines, Inc. | 448 | (24,076 | ) | |||||
Dollar General Corp. | 358 | (25,808 | ) | |||||
Mattel, Inc. | 1,201 | (25,858 | ) | |||||
Michaels Companies, Inc.* | 1,469 | (27,206 | ) | |||||
Chipotle Mexican Grill, Inc. — Class A* | 66 | (27,463 | ) | |||||
WW Grainger, Inc. | 156 | (28,163 | ) | |||||
AutoZone, Inc.* | 51 | (29,093 | ) | |||||
HD Supply Holdings, Inc.* | 954 | (29,221 | ) | |||||
Vista Outdoor, Inc.* | 1,393 | (31,356 | ) | |||||
Advance Auto Parts, Inc. | 281 | (32,762 | ) | |||||
O’Reilly Automotive, Inc.* | 154 | (33,686 | ) | |||||
Dollar Tree, Inc.* | 488 | (34,121 | ) | |||||
Marriott International, Inc. — Class A | 349 | (35,008 | ) | |||||
Starbucks Corp. | 618 | (36,036 | ) | |||||
Lululemon Athletica, Inc.* | 613 | (36,578 | ) | |||||
Dunkin’ Brands Group, Inc. | 673 | (37,096 | ) | |||||
Madison Square Garden Co. — Class A* | 189 | (37,214 | ) | |||||
Tractor Supply Co. | 690 | (37,405 | ) | |||||
TJX Cos., Inc. | 524 | (37,817 | ) | |||||
Fastenal Co. | 869 | (37,827 | ) | |||||
Lowe’s Cos., Inc. | 491 | (38,067 | ) | |||||
Visteon Corp.* | 373 | (38,068 | ) | |||||
Wynn Resorts Ltd. | 284 | (38,090 | ) | |||||
Choice Hotels International, Inc. | 597 | (38,357 | ) | |||||
Delphi Automotive plc | 438 | (38,391 | ) | |||||
L Brands, Inc. | 716 | (38,585 | ) | |||||
Hanesbrands, Inc. | 1,674 | (38,770 | ) |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
Genuine Parts Co. | 422 | $ | (39,145 | ) | ||||
McDonald’s Corp. | 256 | (39,209 | ) | |||||
WABCO Holdings, Inc.* | 309 | (39,401 | ) | |||||
Six Flags Entertainment Corp. | 665 | (39,641 | ) | |||||
Newell Brands, Inc. | 746 | (40,000 | ) | |||||
Lions Gate Entertainment Corp. — Class A* | 1,433 | (40,439 | ) | |||||
Under Armour, Inc. — Class C* | 2,082 | (41,973 | ) | |||||
Tesla, Inc.* | 117 | (42,308 | ) | |||||
NIKE, Inc. — Class B | 730 | (43,070 | ) | |||||
Tempur Sealy International, Inc.* | 818 | (43,673 | ) | |||||
Sally Beauty Holdings, Inc.* | 2,248 | (45,522 | ) | |||||
Total Consumer, Cyclical | (1,516,835 | ) | ||||||
Industrial - (4.0)% | ||||||||
Crown Holdings, Inc.* | 51 | (3,043 | ) | |||||
Fortune Brands Home & Security, Inc. | 101 | (6,589 | ) | |||||
Kansas City Southern | 64 | (6,698 | ) | |||||
Honeywell International, Inc. | 64 | (8,531 | ) | |||||
Emerson Electric Co. | 166 | (9,897 | ) | |||||
Silgan Holdings, Inc. | 368 | (11,695 | ) | |||||
Trimble, Inc.* | 453 | (16,159 | ) | |||||
Cognex Corp. | 218 | (18,508 | ) | |||||
General Electric Co. | 818 | (22,094 | ) | |||||
Pentair plc | 352 | (23,422 | ) | |||||
Fluor Corp. | 529 | (24,218 | ) | |||||
Lincoln Electric Holdings, Inc. | 277 | (25,509 | ) | |||||
Zebra Technologies Corp. — Class A* | 267 | (26,839 | ) | |||||
Orbital ATK, Inc. | 274 | (26,951 | ) | |||||
Covanta Holding Corp. | 2,327 | (30,716 | ) | |||||
Johnson Controls International plc | 717 | (31,089 | ) | |||||
Snap-on, Inc. | 201 | (31,758 | ) | |||||
Middleby Corp.* | 277 | (33,658 | ) | |||||
CH Robinson Worldwide, Inc. | 504 | (34,615 | ) | |||||
TransDigm Group, Inc. | 130 | (34,953 | ) | |||||
Stericycle, Inc.* | 466 | (35,565 | ) | |||||
Hubbell, Inc. | 315 | (35,649 | ) | |||||
J.B. Hunt Transport Services, Inc. | 391 | (35,730 | ) | |||||
Roper Technologies, Inc. | 156 | (36,119 | ) | |||||
HEICO Corp. | 504 | (36,207 | ) | |||||
Graco, Inc. | 337 | (36,827 | ) | |||||
3M Co. | 180 | (37,474 | ) | |||||
Vulcan Materials Co. | 296 | (37,497 | ) | |||||
United Parcel Service, Inc. — Class B | 340 | (37,601 | ) | |||||
Flowserve Corp. | 816 | (37,887 | ) | |||||
Welbilt, Inc.* | 2,031 | (38,284 | ) | |||||
AMETEK, Inc. | 633 | (38,341 | ) | |||||
Landstar System, Inc. | 449 | (38,434 | ) | |||||
Rockwell Automation, Inc. | 239 | (38,708 | ) | |||||
Fitbit, Inc. — Class A* | 7,330 | (38,922 | ) | |||||
Rockwell Collins, Inc. | 371 | (38,985 | ) | |||||
Donaldson Company, Inc. | 857 | (39,028 | ) | |||||
Sealed Air Corp. | 881 | (39,434 | ) | |||||
Lennox International, Inc. | 215 | (39,483 | ) | |||||
IDEX Corp. | 350 | (39,554 | ) | |||||
AptarGroup, Inc. | 460 | (39,956 | ) | |||||
BWX Technologies, Inc. | 820 | (39,975 | ) | |||||
Cree, Inc.* | 1,622 | (39,982 | ) | |||||
Ball Corp. | 952 | (40,184 | ) | |||||
Armstrong World Industries, Inc.* | 878 | (40,388 | ) | |||||
Expeditors International of Washington, Inc. | 716 | (40,440 | ) | |||||
Allegion plc | 505 | (40,966 | ) | |||||
National Instruments Corp. | 1,023 | (41,145 | ) | |||||
Avnet, Inc. | 1,060 | (41,213 | ) | |||||
Xylem, Inc. | 745 | (41,295 | ) | |||||
KBR, Inc. | 2,782 | (42,341 | ) | |||||
Wabtec Corp. | 463 | (42,365 | ) | |||||
Acuity Brands, Inc. | 218 | (44,314 | ) | |||||
Total Industrial | (1,717,235 | ) | ||||||
Consumer, Non-cyclical - (5.6)% | ||||||||
Pilgrim’s Pride Corp.* | 113 | (2,477 | ) | |||||
Brown-Forman Corp. — Class A | 65 | (3,205 | ) | |||||
General Mills, Inc. | 90 | (4,986 | ) | |||||
Hormel Foods Corp. | 192 | (6,549 | ) | |||||
BioMarin Pharmaceutical, Inc.* | 76 | (6,902 | ) | |||||
Alkermes plc* | 132 | (7,652 | ) | |||||
S&P Global, Inc. | 76 | (11,095 | ) | |||||
Stryker Corp. | 88 | (12,213 | ) | |||||
Align Technology, Inc.* | 101 | (15,162 | ) | |||||
Automatic Data Processing, Inc. | 151 | (15,471 | ) | |||||
Philip Morris International, Inc. | 139 | (16,326 | ) | |||||
McKesson Corp. | 101 | (16,619 | ) | |||||
Hertz Global Holdings, Inc.* | 1,626 | (18,699 | ) | |||||
Bruker Corp. | 667 | (19,236 | ) | |||||
Illumina, Inc.* | 122 | (21,169 | ) | |||||
Square, Inc. — Class A* | 913 | (21,419 | ) | |||||
Ionis Pharmaceuticals, Inc.* | 459 | (23,349 | ) | |||||
Premier, Inc. — Class A* | 661 | (23,796 | ) | |||||
Nielsen Holdings plc | 617 | (23,853 | ) | |||||
Intuitive Surgical, Inc.* | 26 | (24,320 | ) | |||||
Vertex Pharmaceuticals, Inc.* | 194 | (25,001 | ) | |||||
AmerisourceBergen Corp. — Class A | 268 | (25,334 | ) | |||||
Hain Celestial Group, Inc.* | 755 | (29,309 | ) | |||||
Macquarie Infrastructure Corp. | 424 | (33,242 | ) | |||||
Kimberly-Clark Corp. | 264 | (34,085 | ) | |||||
CoStar Group, Inc.* | 131 | (34,532 | ) | |||||
Moody’s Corp. | 290 | (35,287 | ) | |||||
Campbell Soup Co. | 678 | (35,358 | ) | |||||
IDEXX Laboratories, Inc.* | 220 | (35,512 | ) | |||||
Endo International plc* | 3,185 | (35,576 | ) | |||||
McCormick & Co., Inc. | 370 | (36,079 | ) | |||||
Brown-Forman Corp. — Class B | 746 | (36,256 | ) | |||||
FleetCor Technologies, Inc.* | 252 | (36,341 | ) | |||||
Sprouts Farmers Market, Inc.* | 1,616 | (36,635 | ) | |||||
Tenet Healthcare Corp.* | 1,900 | (36,746 | ) | |||||
Kellogg Co. | 533 | (37,022 | ) | |||||
Hershey Co. | 345 | (37,043 | ) | |||||
Mondelez International, Inc. — Class A | 858 | (37,057 | ) | |||||
Edgewell Personal Care Co.* | 491 | (37,326 | ) | |||||
WEX, Inc.* | 358 | (37,329 | ) | |||||
Henry Schein, Inc.* | 204 | (37,336 | ) | |||||
Rollins, Inc. | 918 | (37,372 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
Clorox Co. | 281 | $ | (37,440 | ) | ||||
Blue Buffalo Pet Products, Inc.* | 1,647 | (37,568 | ) | |||||
Intercept Pharmaceuticals, Inc.* | 312 | (37,774 | ) | |||||
Gartner, Inc.* | 307 | (37,918 | ) | |||||
Sabre Corp. | 1,757 | (38,250 | ) | |||||
Monster Beverage Corp.* | 770 | (38,254 | ) | |||||
Estee Lauder Cos., Inc. — Class A | 399 | (38,296 | ) | |||||
Coty, Inc. — Class A | 2,051 | (38,477 | ) | |||||
Coca-Cola Co. | 860 | (38,571 | ) | |||||
Western Union Co. | 2,044 | (38,938 | ) | |||||
TreeHouse Foods, Inc.* | 479 | (39,130 | ) | |||||
ServiceMaster Global Holdings, Inc.* | 999 | (39,151 | ) | |||||
DexCom, Inc.* | 536 | (39,208 | ) | |||||
Ecolab, Inc. | 299 | (39,692 | ) | |||||
Allergan plc | 164 | (39,867 | ) | |||||
Neurocrine Biosciences, Inc.* | 872 | (40,112 | ) | |||||
Edwards Lifesciences Corp.* | 340 | (40,202 | ) | |||||
MarketAxess Holdings, Inc. | 201 | (40,421 | ) | |||||
Morningstar, Inc. | 517 | (40,502 | ) | |||||
RR Donnelley & Sons Co. | 3,230 | (40,504 | ) | |||||
Verisk Analytics, Inc. — Class A* | 488 | (41,173 | ) | |||||
Perrigo Company plc | 547 | (41,309 | ) | |||||
ACADIA Pharmaceuticals, Inc.* | 1,482 | (41,333 | ) | |||||
Agios Pharmaceuticals, Inc.* | 805 | (41,417 | ) | |||||
Brookdale Senior Living, Inc. — Class A* | 2,851 | (41,938 | ) | |||||
Acadia Healthcare Co., Inc.* | 912 | (45,035 | ) | |||||
Alnylam Pharmaceuticals, Inc.* | 573 | (45,702 | ) | |||||
Becton Dickinson and Co. | 236 | (46,046 | ) | |||||
Juno Therapeutics, Inc.* | 1,702 | (50,873 | ) | |||||
British American Tobacco plc ADR | 2,626 | (179,986 | ) | |||||
Total Consumer, Non-cyclical | (2,415,363 | ) | ||||||
Financial - (7.5)% | ||||||||
MetLife, Inc. | 38 | (2,088 | ) | |||||
Invesco Ltd. | 88 | (3,097 | ) | |||||
Loews Corp. | 101 | (4,728 | ) | |||||
People’s United Financial, Inc. | 269 | (4,751 | ) | |||||
M&T Bank Corp. | 38 | (6,154 | ) | |||||
DDR Corp. | 717 | (6,503 | ) | |||||
Sun Communities, Inc. | 76 | (6,664 | ) | |||||
Alexandria Real Estate Equities, Inc. | 64 | (7,710 | ) | |||||
Mid-America Apartment Communities, Inc. | 89 | (9,379 | ) | |||||
Comerica, Inc. | 171 | (12,524 | ) | |||||
SLM Corp.* | 1,346 | (15,479 | ) | |||||
New York Community Bancorp, Inc. | 1,259 | (16,531 | ) | |||||
Equity LifeStyle Properties, Inc. | 201 | (17,354 | ) | |||||
Santander Consumer USA Holdings, Inc.* | 1,447 | (18,464 | ) | |||||
Howard Hughes Corp.* | 151 | (18,549 | ) | |||||
Taubman Centers, Inc. | 366 | (21,795 | ) | |||||
Raymond James Financial, Inc. | 272 | (21,820 | ) | |||||
SBA Communications Corp. REIT* | 164 | (22,124 | ) | |||||
Federated Investors, Inc. — Class B | 856 | (24,182 | ) | |||||
TowneBank | 800 | (24,640 | ) | |||||
Synchrony Financial | 957 | (28,538 | ) | |||||
Huntington Bancshares, Inc. | 2,214 | (29,933 | ) | |||||
GGP, Inc. | 1,304 | (30,722 | ) | |||||
LendingClub Corp.* | 5,976 | (32,928 | ) | |||||
Chubb Ltd. | 227 | (33,001 | ) | |||||
White Mountains Insurance Group Ltd. | 38 | (33,008 | ) | |||||
Equity Residential | 504 | (33,178 | ) | |||||
T. Rowe Price Group, Inc. | 466 | (34,582 | ) | |||||
Mastercard, Inc. — Class A | 297 | (36,071 | ) | |||||
TD Ameritrade Holding Corp. | 843 | (36,241 | ) | |||||
Essex Property Trust, Inc. | 142 | (36,532 | ) | |||||
Markel Corp.* | 38 | (37,083 | ) | |||||
BlackRock, Inc. — Class A | 88 | (37,172 | ) | |||||
UDR, Inc. | 954 | (37,177 | ) | |||||
Public Storage | 179 | (37,327 | ) | |||||
CyrusOne, Inc. REIT | 671 | (37,408 | ) | |||||
Signature Bank* | 261 | (37,461 | ) | |||||
American Tower Corp. REIT — Class A | 284 | (37,579 | ) | |||||
Aon plc | 284 | (37,758 | ) | |||||
Equinix, Inc. REIT | 88 | (37,766 | ) | |||||
SVB Financial Group* | 215 | (37,795 | ) | |||||
Life Storage, Inc. | 512 | (37,939 | ) | |||||
Mercury General Corp. | 703 | (37,962 | ) | |||||
Alleghany Corp.* | 64 | (38,067 | ) | |||||
Iron Mountain, Inc. | 1,121 | (38,518 | ) | |||||
Visa, Inc. — Class A | 411 | (38,544 | ) | |||||
Crown Castle International Corp. | 385 | (38,569 | ) | |||||
Simon Property Group, Inc. | 239 | (38,661 | ) | |||||
American International Group, Inc. | 623 | (38,950 | ) | |||||
CubeSmart | 1,622 | (38,993 | ) | |||||
Brown & Brown, Inc. | 912 | (39,280 | ) | |||||
Macerich Co. | 678 | (39,365 | ) | |||||
Boston Properties, Inc. | 320 | (39,366 | ) | |||||
Erie Indemnity Co. — Class A | 315 | (39,397 | ) | |||||
Arthur J Gallagher & Co. | 689 | (39,445 | ) | |||||
U.S. Bancorp | 760 | (39,459 | ) | |||||
Voya Financial, Inc. | 1,070 | (39,472 | ) | |||||
Starwood Property Trust, Inc. | 1,763 | (39,474 | ) | |||||
Healthcare Trust of America, Inc. — Class A | 1,269 | (39,479 | ) | |||||
Realty Income Corp. | 716 | (39,509 | ) | |||||
Paramount Group, Inc. | 2,479 | (39,664 | ) | |||||
Weyerhaeuser Co. REIT | 1,184 | (39,664 | ) | |||||
TFS Financial Corp. | 2,568 | (39,726 | ) | |||||
Marsh & McLennan Companies, Inc. | 513 | (39,993 | ) | |||||
Regency Centers Corp. | 639 | (40,027 | ) | |||||
BOK Financial Corp. | 476 | (40,046 | ) | |||||
Commerce Bancshares, Inc. | 707 | (40,179 | ) | |||||
Extra Space Storage, Inc. | 517 | (40,326 | ) | |||||
ProAssurance Corp. | 664 | (40,371 | ) | |||||
First Republic Bank | 404 | (40,440 | ) | |||||
Federal Realty Investment Trust | 320 | (40,445 | ) | |||||
BankUnited, Inc. | 1,201 | (40,486 | ) | |||||
Forest City Realty Trust, Inc. — Class A | 1,682 | (40,654 | ) | |||||
Cincinnati Financial Corp. | 562 | (40,717 | ) | |||||
Progressive Corp. | 925 | (40,783 | ) | |||||
SEI Investments Co. | 760 | (40,873 | ) | |||||
Nasdaq, Inc. | 575 | (41,107 | ) | |||||
Intercontinental Exchange, Inc. | 629 | (41,464 | ) | |||||
FNF Group | 926 | (41,513 | ) |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
Western Alliance Bancorporation* | 848 | $ | (41,722 | ) | ||||
Bank of Hawaii Corp. | 504 | (41,817 | ) | |||||
Hanover Insurance Group, Inc. | 473 | (41,922 | ) | |||||
American Express Co. | 500 | (42,120 | ) | |||||
Wells Fargo & Co. | 767 | (42,499 | ) | |||||
Charles Schwab Corp. | 994 | (42,702 | ) | |||||
Simmons First National Corp. — Class A | 948 | (50,149 | ) | |||||
Columbia Banking System, Inc. | 1,415 | (56,388 | ) | |||||
South State Corp. | 787 | (67,446 | ) | |||||
Union Bankshares Corp. | 3,494 | (118,447 | ) | |||||
Carolina Financial Corp. | 4,487 | (145,019 | ) | |||||
Total Financial | (3,202,954 | ) | ||||||
Total Common Stocks Sold Short | ||||||||
(Proceeds $12,667,558) | (13,090,519 | ) | ||||||
EXCHANGE-TRADED FUNDS SOLD SHORT† - (10.2)% | ||||||||
SPDR S&P 500 ETF Trust | 128 | (30,950 | ) | |||||
VanEck Vectors Russia ETF | 2,886 | (55,325 | ) | |||||
iShares MSCI United Kingdom ETF | 1,707 | (56,894 | ) | |||||
iShares 20+ Year Treasury Bond ETF | 488 | (61,059 | ) | |||||
iShares MSCI Australia ETF | 2,834 | (61,441 | ) | |||||
VanEck Vectors Gold Miners ETF | 2,992 | (66,063 | ) | |||||
iShares Russell 1000 Growth ETF | 556 | (66,175 | ) | |||||
Consumer Discretionary Select Sector SPDR Fund | 739 | (66,237 | ) | |||||
iShares Russell 1000 Value ETF | 576 | (67,064 | ) | |||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 654 | (78,814 | ) | |||||
Utilities Select Sector SPDR Fund | 1,611 | (83,708 | ) | |||||
Consumer Staples Select Sector SPDR Fund | 1,571 | (86,311 | ) | |||||
iShares MSCI South Korea Capped ETF | 1,280 | (86,797 | ) | |||||
iShares MSCI Emerging Markets ETF | 2,405 | (99,543 | ) | |||||
iShares China Large-Capital ETF | 2,568 | (101,975 | ) | |||||
Materials Select Sector SPDR Fund | 1,911 | (102,831 | ) | |||||
Technology Select Sector SPDR Fund | 1,918 | (104,953 | ) | |||||
iShares MSCI Taiwan Capped ETF | 3,327 | (118,974 | ) | |||||
iShares MSCI Japan ETF | 2,425 | (130,101 | ) | |||||
iShares 7-10 Year Treasury Bond ETF | 1,265 | (134,862 | ) | |||||
Industrial Select Sector SPDR Fund | 2,122 | (144,529 | ) | |||||
iShares Core U.S. Aggregate Bond ETF | 1,428 | (156,380 | ) | |||||
iShares MSCI Mexico Capped ETF | 3,111 | (167,807 | ) | |||||
PowerShares QQQ Trust Series 1 | 1,309 | (180,171 | ) | |||||
iShares TIPS Bond ETF | 1,622 | (183,983 | ) | |||||
Financial Select Sector SPDR Fund | 9,288 | (229,135 | ) | |||||
iShares MSCI EAFE ETF | 3,543 | (231,004 | ) | |||||
Health Care Select Sector SPDR Fund | 3,138 | (248,655 | ) | |||||
iShares Russell 2000 Index ETF | 2,028 | (285,786 | ) | |||||
Energy Select Sector SPDR Fund | 4,403 | (285,843 | ) | |||||
SPDR Bloomberg Barclays High Yield Bond ETF | 8,009 | (297,934 | ) | |||||
iShares U.S. Real Estate ETF | 3,931 | (313,575 | ) | |||||
Total Exchange-Traded Funds Sold Short | ||||||||
(Proceeds $4,204,994) | (4,384,879 | ) | ||||||
Total Securities Sold Short- (40.7)% | ||||||||
(Proceeds $16,872,552) | $ | (17,475,398 | ) | |||||
Other Assets & Liabilities, net - 43.0% | 18,420,977 | |||||||
Total Net Assets - 100.0% | $ | 42,886,070 | ||||||
Contracts | Unrealized | |||||||
COMMODITY FUTURES CONTRACTS PURCHASED† | ||||||||
August 2017 LME Lead | 6 | 15,911 | ||||||
September 2017 Copper | 3 | 7,816 | ||||||
August 2017 Lean Hogs | 4 | 5,396 | ||||||
August 2017 Gold 100 oz. | 2 | 2,740 | ||||||
August 2017 LME Zinc | 1 | 525 | ||||||
August 2017 Live Cattle | 6 | (6,399 | ) | |||||
(Total Aggregate Value of Contracts $1,277,325) | $ | 25,989 | ||||||
CURRENCY FUTURES CONTRACTS PURCHASED† | ||||||||
September 2017 Australian Dollar | 7 |
| 6,711 | |||||
September 2017 Euro FX | 1 | (181 | ) | |||||
(Total Aggregate Value of | $ | 6,530 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Contracts | Unrealized | |||||||
INTEREST RATE FUTURES CONTRACTS PURCHASED† | ||||||||
September 2017 U.S. Treasury 10 Year Note | 1 | $ | (353 | ) | ||||
September 2017 U.S. Treasury 5 Year Note | 5 | (1,891 | ) | |||||
September 2017 U.S. Treasury Long Bond | 2 | (2,441 | ) | |||||
September 2017 Euro - Schatz | 13 | (4,477 | ) | |||||
September 2017 Australian Government | 6 | (10,303 | ) | |||||
September 2017 Euro - Bund | 3 | (10,606 | ) | |||||
September 2017 Long Gilt | 6 | (22,776 | ) | |||||
(Total Aggregate Value of Contracts $4,809,798) | $ | (52,847 | ) | |||||
EQUITY FUTURES CONTRACTS PURCHASED† | ||||||||
September 2017 Dow Jones Industrial | 8 |
| 6,276 | |||||
September 2017 Tokyo Stock Price Index | 4 | 5,876 | ||||||
September 2017 Nikkei 225 (OSE) Index | 2 | 3,836 | ||||||
July 2017 Hang Seng Index | 5 | 2,918 | ||||||
July 2017 MSCI Taiwan Stock Index | 15 | 2,798 | ||||||
September 2017 Russell 2000 Index | 3 | 1,292 | ||||||
September 2017 S&P MidCap 400 Index | 1 | 968 | ||||||
September 2017 SPI 200 Index | 1 | (1,198 | ) | |||||
July 2017 Amsterdam Index | 2 | (6,527 | ) | |||||
July 2017 IBEX 35 Index | 3 | (9,660 | ) | |||||
September 2017 FTSE 100 Index | 4 | (9,804 | ) | |||||
September 2017 DAX Index | 1 | (14,213 | ) | |||||
September 2017 NASDAQ-100 Index | 5 | (21,724 | ) | |||||
October 2017 CBOE Volatility Index | 33 | (42,927 | ) | |||||
August 2017 CBOE Volatility Index | 49 | (74,300 | ) | |||||
(Total Aggregate Value of Contracts $6,663,775) | $ | (156,389 | ) | |||||
EQUITY FUTURES CONTRACTS SOLD SHORT† | ||||||||
September 2017 CBOE Volatility Index | 73 |
| 163,116 | |||||
July 2017 CBOE Volatility Index | 13 | 33,556 | ||||||
September 2017 S&P 500 Index | 24 | 11,120 |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Contracts | Unrealized | |||||||
July 2017 CAC 40 10 Euro Index | 1 | $ | 1,853 | |||||
July 2017 H-Shares Index | 2 | (45 | ) | |||||
(Total Aggregate Value of Contracts $4,251,842) | $ | 209,600 | ||||||
INTEREST RATE FUTURES CONTRACTS SOLD SHORT†† | ||||||||
September 2017 Canadian Government | 3 | $ | 4,693 | |||||
September 2017 Euro - Bobl | 3 | 108 | ||||||
(Total Aggregate Value of Contracts $775,869) | $ | 4,801 | ||||||
CURRENCY FUTURES CONTRACTS SOLD SHORT† | ||||||||
September 2017 Japanese Yen | 4 | $ | 3,218 | |||||
September 2017 Canadian Dollar | 2 | (2,495 | ) | |||||
(Total Aggregate Value of Contracts $600,415) | $ | 723 | ||||||
COMMODITY FUTURES CONTRACTS SOLD SHORT† | ||||||||
October 2017 Sugar #11 | 18 | $ | 8,870 | |||||
September 2017 Silver | 4 | 4,614 | ||||||
September 2017 Coffee ‘C’ | 3 | 2,627 | ||||||
December 2017 Cotton #2 | 8 | 830 | ||||||
August 2017 Natural Gas | 3 | 679 | ||||||
August 2017 NY Harbor ULSD | 1 | (1,283 | ) | |||||
August 2017 WTI Crude | 1 | (1,738 | ) | |||||
September 2017 Brent Crude | 2 | (3,293 | ) | |||||
August 2017 LME Primary Aluminum | 3 | (3,483 | ) | |||||
September 2017 Corn | 6 | (3,828 | ) | |||||
August 2017 Gasoline RBOB | 2 | (4,867 | ) | |||||
August 2017 Low Sulphur Gas Oil | 3 | (5,439 | ) | |||||
August 2017 LME Nickel | 2 | (6,865 | ) | |||||
September 2017 Hard Red Winter Wheat | 2 | (7,348 | ) | |||||
September 2017 Wheat | 2 | (7,565 | ) | |||||
November 2017 Soybean | 10 | (9,060 | ) | |||||
(Total Aggregate Value of Contracts $2,535,573) | $ | (37,149 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Units | Unrealized | |||||||
OTC EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Goldman Sachs International | 15,093 | $ | (35,052 | ) | ||||
Goldman Sachs International | 34,676 | $ | 38,138 |
Sector Diversification
Goldman Sachs Multi-Hedge Strategies Short Index Swap9
Sector | % of Index |
Consumer Discretionary | 20.9% |
Energy | 19.1% |
Financials | 17.4% |
Consumer Staples | 11.2% |
Health Care | 10.0% |
Industrials | 9.9% |
Communications | 4.1% |
Materials | 3.1% |
Technology | 2.7% |
Utilities | 1.6% |
Total | 100.0% |
Sector Diversification
Goldman Sachs Multi-Hedge Strategies Long Index Swap10
Sector | % of Index |
Technology | 26.0% |
Consumer Discretionary | 20.5% |
Industrials | 16.9% |
Health Care | 11.8% |
Financials | 10.7% |
Materials | 5.8% |
Communications | 4.3% |
Energy | 1.9% |
Consumer Staples | 1.7% |
Utilities | 0.4% |
Total | 100.0% |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is pledged as short security collateral at June 30, 2017. |
2 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
3 | Affiliated issuer — See Note 10. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | All or a portion of this security is pledged as futures collateral at June 30, 2017. |
6 | Repurchase Agreements — See Note 5. |
7 | Securities lending collateral — See Note 6. |
8 | Rate indicated is the 7 day yield as of June 30, 2017. |
9 | Customized basket of 148 exchange-traded equity securities. Total return based on Goldman Sachs Multi-Hedge Strategies Short Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. |
10 | Customized basket of 193 exchange-traded equity securities. Total return based on Goldman Sachs Multi-Hedge Strategies Long Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Commodity Futures Contracts | $ | — | $ | 50,008 | $ | — | $ | — | $ | — | $ | 50,008 | ||||||||||||
Common Stocks | 22,397,202 | — | — | — | — | 22,397,202 | ||||||||||||||||||
Closed-End Funds | 4,017,835 | — | — | — | — | 4,017,835 | ||||||||||||||||||
Currency Futures Contracts | — | 9,929 | — | — | — | 9,929 | ||||||||||||||||||
Equity Futures Contracts | — | 219,126 | — | 14,483 | — | 233,609 | ||||||||||||||||||
Equity Index Swap Agreements | — | — | — | 38,138 | — | 38,138 | ||||||||||||||||||
Interest Rate Futures Contracts | — | — | — | 4,801 | — | 4,801 | ||||||||||||||||||
Mutual Funds | 23,503 | — | — | — | — | 23,503 | ||||||||||||||||||
Repurchase Agreements | — | — | 10,847,493 | — | — | 10,847,493 | ||||||||||||||||||
Securities Lending Collateral | 13,587 | — | — | — | — | 13,587 | ||||||||||||||||||
U.S. Treasury Bills | — | — | 4,640,871 | — | — | 4,640,871 | ||||||||||||||||||
Total Assets | $ | 26,452,127 | $ | 279,063 | $ | 15,488,364 | $ | 57,422 | $ | — | $ | 42,276,976 | ||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Commodity Futures Contracts | $ | — | $ | 61,168 | $ | — | $ | — | $ | — | $ | 61,168 | ||||||||||||
Common Stocks | 13,090,519 | — | — | — | — | 13,090,519 | ||||||||||||||||||
Currency Futures Contracts | — | 2,676 | — | — | — | 2,676 | ||||||||||||||||||
Equity Futures Contracts | — | 138,951 | — | 41,447 | — | 180,398 | ||||||||||||||||||
Equity Index Swap Agreements | — | — | — | 35,052 | — | 35,052 | ||||||||||||||||||
Exchange-Traded Funds | 4,384,879 | — | — | — | — | 4,384,879 | ||||||||||||||||||
Interest Rate Futures Contracts | — | 4,685 | — | 48,162 | — | 52,847 | ||||||||||||||||||
Total Liabilities | $ | 17,475,398 | $ | 207,480 | $ | — | $ | 124,661 | $ | — | $ | 17,807,539 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
MULTI-HEDGE STRATEGIES FUND |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $12,909 of securities loaned (cost $28,598,268) | $ | 30,971,171 | ||
Investments in affiliated issuers, at value (cost $119,882) | 121,827 | |||
Repurchase agreements, at value (cost $10,847,493) | 10,847,493 | |||
Total investments (cost $39,565,643) | 41,940,491 | |||
Segregated cash with broker | 19,264,147 | |||
Unrealized appreciation on swap agreements | 38,138 | |||
Cash | 35,357 | |||
Receivables: | ||||
Securities sold | 32,559 | |||
Fund shares sold | 7,625 | |||
Dividends | 28,130 | |||
Interest | 308 | |||
Securities lending income | 150 | |||
Total assets | 61,346,905 | |||
Liabilities: | ||||
Securities sold short, at value (proceeds $16,872,552) | 17,475,398 | |||
Unrealized depreciation on swap agreements | 35,052 | |||
Segregated cash due to broker | 6,978 | |||
Payable for: | ||||
Securities purchased | 670,683 | |||
Fund shares redeemed | 112,207 | |||
Variation margin | 79,319 | |||
Management fees | 40,806 | |||
Return of securities loaned | 13,587 | |||
Miscellaneous | 26,805 | |||
Total liabilities | 18,460,835 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 42,886,070 | ||
Net assets consist of: | ||||
Paid in capital | $ | 45,904,428 | ||
Accumulated net investment loss | (1,195,468 | ) | ||
Accumulated net realized loss on investments | (3,599,109 | ) | ||
Net unrealized appreciation on investments | 1,776,219 | |||
Net assets | $ | 42,886,070 | ||
Capital shares outstanding | 1,787,731 | |||
Net asset value per share | $ | 23.99 |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $336) | $ | 376,280 | ||
Interest | 36,042 | |||
Dividends from securities of affiliated issuers | 12,529 | |||
Income from securities lending, net | 2,333 | |||
Total investment income | 427,184 | |||
Expenses: | ||||
Management fees | 263,691 | |||
Short sales dividend expense | 196,477 | |||
Professional fees | 51,988 | |||
Prime broker interest expense | 3,715 | |||
Trustees’ fees* | 3,460 | |||
Custodian fees | 1,786 | |||
Miscellaneous | (54,346 | ) | ||
Total expenses | 466,771 | |||
Less: | ||||
Expenses waived by Adviser | (5,041 | ) | ||
Net expenses | 461,730 | |||
Net investment loss | (34,546 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 1,654,314 | |||
Investments in affiliated issuers | (43,183 | ) | ||
Swap agreements | 103,175 | |||
Futures contracts | (206,468 | ) | ||
Foreign currency | 628 | |||
Securities sold short | (1,259,492 | ) | ||
Options written | 763 | |||
Net realized gain | 249,737 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 363,047 | |||
Investments in affiliated issuers | 45,897 | |||
Securities sold short | (348,513 | ) | ||
Swap agreements | 60,651 | |||
Futures contracts | (272,241 | ) | ||
Options written | 9,638 | |||
Foreign currency | (132 | ) | ||
Net change in unrealized appreciation (depreciation) | (141,653 | ) | ||
Net realized and unrealized gain | 108,084 | |||
Net increase in net assets resulting from operations | $ | 73,538 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MULTI-HEDGE STRATEGIES FUND |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (34,546 | ) | $ | (332,953 | ) | ||
Net realized gain (loss) on investments | 249,737 | (112,401 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (141,653 | ) | 196,136 | |||||
Net increase (decrease) in net assets resulting from operations | 73,538 | (249,218 | ) | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (48,562 | ) | |||||
Total distributions to shareholders | — | (48,562 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 2,702,797 | 14,011,461 | ||||||
Distributions reinvested | — | 48,562 | ||||||
Cost of shares redeemed | (7,843,624 | ) | (18,090,321 | ) | ||||
Net decrease from capital share transactions | (5,140,827 | ) | (4,030,298 | ) | ||||
Net decrease in net assets | (5,067,289 | ) | (4,328,078 | ) | ||||
Net assets: | ||||||||
Beginning of period | 47,953,359 | 52,281,437 | ||||||
End of period | $ | 42,886,070 | $ | 47,953,359 | ||||
Accumulated net investment loss at end of period | $ | (1,195,468 | ) | $ | (1,160,922 | ) | ||
Capital share activity: | ||||||||
Shares sold | 112,808 | 585,211 | ||||||
Shares issued from reinvestment of distributions | — | 2,031 | ||||||
Shares redeemed | (327,569 | ) | (755,036 | ) | ||||
Net decrease in shares | (214,761 | ) | (167,794 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
MULTI-HEDGE STRATEGIES FUND |
CONSOLIDATED 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.95 | $ | 24.09 | $ | 23.82 | $ | 22.75 | $ | 22.38 | $ | 22.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.02 | ) | (.16 | ) | (.15 | ) | (.18 | ) | (.15 | ) | (.31 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | .06 | .04 | .58 | 1.25 | .52 | .82 | ||||||||||||||||||
Total from investment operations | .04 | (.12 | ) | .43 | 1.07 | .37 | .51 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.02 | ) | (.16 | ) | — | — | (.13 | ) | |||||||||||||||
Total distributions | — | (.02 | ) | (.16 | ) | — | — | (.13 | ) | |||||||||||||||
Net asset value, end of period | $ | 23.99 | $ | 23.95 | $ | 24.09 | $ | 23.82 | $ | 22.75 | $ | 22.38 | ||||||||||||
Total Returnc | 0.17 | % | (0.48 | %) | 1.85 | % | 4.66 | % | 1.65 | % | 2.23 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 42,886 | $ | 47,953 | $ | 52,281 | $ | 42,725 | $ | 22,809 | $ | 22,375 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.15 | %) | (0.66 | %) | (0.62 | %) | (0.79 | %) | (0.65 | %) | (1.37 | %) | ||||||||||||
Total expensesd | 2.08 | % | 2.27 | % | 2.38 | % | 2.50 | % | 2.51 | % | 2.16 | % | ||||||||||||
Net expensese | 2.05 | % | 2.23 | % | 2.34 | % | 2.45 | % | 2.44 | % | 2.08 | % | ||||||||||||
Portfolio turnover rate | 63 | % | 119 | % | 160 | % | 245 | % | 324 | % | 461 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers, and may include interest and dividend expense. Excluding interest and dividend expense related to short sales, net expense ratios for the period ended June 30, 2017 and years ended December 31 would be: |
06/30/17 | 2016 | 2015 | 2014 | 2013 | 2012 |
1.16% | 1.17% | 1.18% | 1.17% | 1.15% | 1.15% |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
COMMODITIES STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a benchmark for commodities. The Fund’s current benchmark is the S&P Goldman Sachs Commodity Index (“GSCI”) (the “underlying index”).
Consolidated Holdings Diversification (Market Exposure as % of Net Assets)
“Consolidated Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: September 30, 2005 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 31.0% |
Guggenheim Strategy Fund I | 23.1% |
Total | 54.1% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Commodities Strategy Fund | (10.46%) | (9.72%) | (14.77%) | (11.56%) |
S&P Goldman Sachs Commodity Index | (10.23%) | (9.02%) | (13.69%) | (9.67%) |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P Goldman Sachs Commodity Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
COMMODITIES STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 54.1% | ||||||||
Guggenheim Strategy Fund II1 | 32,186 | $ | 804,981 | |||||
Guggenheim Strategy Fund I1 | 23,879 | 598,638 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,390,849) | 1,403,619 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 7.7% | ||||||||
Freddie Mac2 | ||||||||
0.75% due 07/14/17 | $ | 200,000 | 199,981 | |||||
Total Federal Agency Notes | ||||||||
(Cost $199,981) | 199,981 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 7.7% | ||||||||
Federal Home Loan Bank3 | ||||||||
0.93% due 07/05/17 | 200,000 | 199,978 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $199,978) | 199,978 | |||||||
U.S. TREASURY BILLS†† - 3.9% | ||||||||
U.S. Treasury Bill | ||||||||
0.91% due 08/03/174,5,6 | 100,000 | 99,927 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $99,915) | 99,927 |
REPURCHASE AGREEMENTS††,7 - 20.6% | ||||||||
RBC Capital Markets LLC | 195,153 | 195,153 | ||||||
HSBC Securities, Inc. | 195,153 | 195,153 | ||||||
Bank of America Merrill Lynch | 144,533 | 144,533 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $534,839) | 534,839 | |||||||
Total Investments - 94.0% | ||||||||
(Cost $2,425,562) | $ | 2,438,344 | ||||||
Other Assets & Liabilities, net - 6.0% | 156,858 | |||||||
Total Net Assets - 100.0% | $ | 2,595,202 | ||||||
Contracts | Unrealized | |||||||
COMMODITY FUTURES CONTRACTS PURCHASED† | ||||||||
July 2017 Goldman Sachs | 28 | $ | 49,076 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 10. |
2 | 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. |
3 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
4 | All or a portion of this security is pledged as futures collateral at June 30, 2017. |
5 | Rate indicated is the effective yield at the time of purchase. |
6 | Zero coupon rate security. |
7 | Repurchase Agreements — See Note 5. |
See Sector Classification in Other Information section. |
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
COMMODITIES STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 3 | Total | |||||||||||||||
Commodity Futures Contracts | $ | — | $ | 49,076 | $ | — | $ | — | $ | 49,076 | ||||||||||
Federal Agency Discount Notes | — | — | 199,978 | — | 199,978 | |||||||||||||||
Federal Agency Notes | — | — | 199,981 | — | 199,981 | |||||||||||||||
Mutual Funds | 1,403,619 | — | — | — | 1,403,619 | |||||||||||||||
Repurchase Agreements | — | — | 534,839 | — | 534,839 | |||||||||||||||
U.S. Treasury Bills | — | — | 99,927 | — | 99,927 | |||||||||||||||
Total Assets | $ | 1,403,619 | $ | 49,076 | $ | 1,034,725 | $ | — | $ | 2,487,420 |
* | Other financial instruments include futures contracts, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
COMMODITIES STRATEGY FUND |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $499,874) | $ | 499,886 | ||
Investments in affiliated issuers, at value (cost $1,390,849) | 1,403,619 | |||
Repurchase agreements, at value (cost $534,839) | 534,839 | |||
Total investments (cost $2,425,562) | 2,438,344 | |||
Segregated cash with broker | 62,581 | |||
Receivables: | ||||
Variation margin | 60,747 | |||
Fund shares sold | 43,047 | |||
Dividends | 2,749 | |||
Interest | 711 | |||
Total assets | 2,608,179 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 2,877 | |||
Fund shares redeemed | 2,256 | |||
Management fees | 1,610 | |||
Transfer agent and administrative fees | 537 | |||
Investor service fees | 537 | |||
Portfolio accounting fees | 214 | |||
Miscellaneous | 4,946 | |||
Total liabilities | 12,977 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 2,595,202 | ||
Net assets consist of: | ||||
Paid in capital | $ | 13,917,489 | ||
Accumulated net investment loss | (1,737,989 | ) | ||
Accumulated net realized loss on investments | (9,646,156 | ) | ||
Net unrealized appreciation on investments | 61,858 | |||
Net assets | $ | 2,595,202 | ||
Capital shares outstanding | 34,615 | |||
Net asset value per share | $ | 74.97 |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 21,822 | ||
Interest | 3,021 | |||
Total investment income | 24,843 | |||
Expenses: | ||||
Management fees | 14,154 | |||
Transfer agent and administrative fees | 4,062 | |||
Investor service fees | 4,062 | |||
Portfolio accounting fees | 1,625 | |||
Professional fees | 4,673 | |||
Custodian fees | 355 | |||
Trustees’ fees* | 281 | |||
Miscellaneous | 645 | |||
Total expenses | 29,857 | |||
Less: | ||||
Expenses waived by Adviser | (1,763 | ) | ||
Net expenses | 28,094 | |||
Net investment loss | (3,251 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | 4,589 | |||
Futures contracts | (260,342 | ) | ||
Net realized loss | (255,753 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 6 | |||
Investments in affiliated issuers | 1,597 | |||
Futures contracts | (50,560 | ) | ||
Net change in unrealized appreciation (depreciation) | (48,957 | ) | ||
Net realized and unrealized loss | (304,710 | ) | ||
Net decrease in net assets resulting from operations | $ | (307,961 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
COMMODITIES STRATEGY FUND |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (3,251 | ) | $ | (18,635 | ) | ||
Net realized loss on investments | (255,753 | ) | (168,231 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (48,957 | ) | 219,384 | |||||
Net increase (decrease) in net assets resulting from operations | (307,961 | ) | 32,518 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 7,984,620 | 17,190,095 | ||||||
Cost of shares redeemed | (9,579,746 | ) | (15,395,358 | ) | ||||
Net increase (decrease) from capital share transactions | (1,595,126 | ) | 1,794,737 | |||||
Net increase (decrease) in net assets | (1,903,087 | ) | 1,827,255 | |||||
Net assets: | ||||||||
Beginning of period | 4,498,289 | 2,671,034 | ||||||
End of period | $ | 2,595,202 | $ | 4,498,289 | ||||
Accumulated net investment loss at end of period | $ | (1,737,989 | ) | $ | (1,734,738 | ) | ||
Capital share activity: | ||||||||
Shares sold | 101,229 | 215,903 | * | |||||
Shares redeemed | (120,329 | ) | (197,414 | )* | ||||
Net increase (decrease) in shares | (19,100 | ) | 18,489 | * |
* | Capital share activity for the year ended December 31, 2016 have been restated to reflect a 1:16 reverse share split effective December 1, 2016 — See Note 12. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
COMMODITIES STRATEGY FUND |
CONSOLIDATED 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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 83.74 | $ | 75.82 | $ | 114.64 | $ | 173.54 | $ | 179.38 | $ | 181.88 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.08 | ) | (.03 | ) | (1.12 | ) | (1.76 | ) | (2.56 | ) | (2.72 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (8.69 | ) | 7.95 | (37.70 | ) | (57.14 | ) | (3.28 | ) | .22 | ||||||||||||||
Total from investment operations | (8.77 | ) | 7.92 | (38.82 | ) | (58.90 | ) | (5.84 | ) | (2.50 | ) | |||||||||||||
Net asset value, end of period | $ | 74.97 | $ | 83.74 | $ | 75.82 | $ | 114.64 | $ | 173.54 | $ | 179.38 | ||||||||||||
Total Returnc | (10.46 | %) | 10.40 | % | (33.80 | %) | (34.01 | %) | (3.21 | %) | (1.41 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,595 | $ | 4,498 | $ | 2,671 | $ | 4,662 | $ | 6,170 | $ | 7,638 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.20 | %) | (0.48 | %) | (1.16 | %) | (1.04 | %) | (1.50 | %) | (1.46 | %) | ||||||||||||
Total expensesd | 1.84 | % | 1.80 | % | 1.75 | % | 1.71 | % | 1.65 | % | 1.69 | % | ||||||||||||
Net expensese | 1.73 | % | 1.67 | % | 1.63 | % | 1.62 | % | 1.55 | % | 1.58 | % | ||||||||||||
Portfolio turnover rate | 28 | % | 231 | % | 198 | % | 202 | % | — | — |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers. |
f | Reverse Share Split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:16 reverse share split effective December 1, 2016 — See Note 12. |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) |
1. Organization, Consolidation of Subsidiary and Significant Accounting Policies
Organization
The Rydex Variable Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of no par value shares. At June 30, 2017, the Trust consisted of forty-nine funds. The Trust offers shares of the Funds to insurance companies for their variable annuity and variable life insurance contracts.
This report covers the Long Short Equity Fund, Global Managed Futures Strategy Fund, Multi-Hedge Strategies Fund, and Commodities Strategy Fund (the “Funds”), each a non-diversified investment company.
Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Consolidation of Subsidiary
Each of the consolidated financial statements of the Funds includes the accounts of a wholly-owned and controlled Cayman Islands subsidiary (the “Subsidiary”). Significant inter-company 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:
Fund | Inception | Subsidiary | % of Net | ||||||
Global Managed Futures Strategy Fund | 11/07/08 | $ | 1,174,497 | 7.8 | % | ||||
Multi-Hedge Strategies Fund | 04/15/09 | 724,205 | 1.7 | % | |||||
Commodities Strategy Fund | 07/21/09 | 484,093 | 18.7 | % |
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, 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.
The net asset value per share (“NAV”) of a fund is calculated by dividing the market value of the fund’s securities and other assets, less all liabilities, by the number of outstanding shares of the fund.
A. The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
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
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
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 (“CEFs”) are valued at the last quoted sales price.
U.S. Government securities are valued by either independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.
Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
Listed options are valued at the Official Settlement Price listed by the exchange, usually 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 (“OTC”) options 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 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 values of over-the-counter (“OTC”) swap agreements entered into by a Fund are accounted for using the unrealized gains or losses on the agreements that are determined by marking the agreements to the last quoted value of the index that the swaps pertain to at the close of the NYSE. The swaps’ values are 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 GI under the direction of the Board using methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “fair value.” Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.
In connection with futures contracts and other derivative investments, such factors may include obtaining 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.
B. 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.
C. When a Fund engages in a short sale of a 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.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend 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 Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
D. Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.
When the 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 the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).
E. Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. 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.
F. Swap agreements are marked-to-market daily 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 an agreement are recognized as realized gains or losses.
G. 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 discounts, is accrued on a daily basis. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
H. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Normally, all such distributions of a Fund will automatically be reinvested without charge in additional shares of the same Fund. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
I. The Funds may leave cash overnight in their cash account with the custodian. 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, which was 1.06% at June 30, 2017.
J. The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Reported net realized foreign exchange gains and 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.
K. Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, 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 and Derivatives
As part of their investment strategy, the Funds utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
excess of the amounts recognized in the Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Consolidated Financial Statements.
Short Sales
A short sale is a transaction in which a Fund sells a 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, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations. The Funds may utilize derivatives for the following purposes:
Duration: the use of an instrument to manage the interest rate risk of a portfolio.
Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.
Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.
Liquidity: the ability to buy or sell exposure with little price/market impact.
Speculation: the use of an instrument to express macro-economic and other investment views.
For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.
Options Written
The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a 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 may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
The following tables represent the Funds’ use and activity of options written for the period ended June 30, 2017:
Fund | Use |
Multi-Hedge Strategies Fund | Hedge, Income |
Written Call Options | ||||||||
Multi-Hedge Strategies Fund | ||||||||
Number of contracts | Premium amount | |||||||
Balance at December 31, 2016 | 49 | $ | 200 | |||||
Options Written | — | — | ||||||
Options terminated in closing purchase transactions | — | — | ||||||
Options expired | (49 | ) | (200 | ) | ||||
Options exercised | — | — | ||||||
Balance at June 30, 2017 | — | $ | — |
Futures
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statements of Assets and Liabilities; securities held as collateral are noted on the Schedules of Investments.
The following table represents the Funds’ use and volume of futures on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
Long Short Equity Fund | Index exposure, Liquidity | $ | — | $ | 58,950 | ||||
Global Managed Futures Strategy Fund | Hedge, Leverage, Liquidity, Speculation | 41,818,100 | 21,940,265 | ||||||
Multi-Hedge Strategies Fund | Duration, Hedge, Index exposure, Leverage, Liquidity, Speculation | 15,637,651 | 8,709,753 | ||||||
Commodities Strategy Fund | Index exposure, Liquidity | 2,765,839 | — |
Swaps
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A Fund utilizing OTC swaps bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing. Central clearing generally reduces counterparty credit risk and increases liquidity, but central clearing does not make swap transactions risk-free. Additionally, there is no guarantee that a Fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as index or basket) or a fixed or variable interest rate. Index swaps will usually be computed based on the current index value as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. A fund utilizing a total return index swap bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying index declines in value.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table represents the Funds’ use and volume of total return swaps on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
Long Short Equity Fund | Index Exposure, Liquidity | $ | 12,534,430 | $ | 17,405,596 | ||||
Multi-Hedge Strategies Fund | Hedge, Index exposure, Leverage, Liquidity, Speculation | 5,261,646 | 2,044,887 |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of June 30, 2017:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Currency/Interest Rate/Commodity contracts | Variation margin | Variation margin |
Equity contracts | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at June 30, 2017:
Asset Derivative Investments Value | ||||||||||||||||||||||||
Fund | Futures | Swaps | Futures | Futures | Futures | Total Value at | ||||||||||||||||||
Long Short Equity Fund | $ | — | $ | 464,796 | $ | — | $ | — | $ | — | $ | 464,796 | ||||||||||||
Global Managed Futures Strategy Fund | 25,671 | — | 55,006 | 14,877 | 73,898 | 169,452 | ||||||||||||||||||
Multi-Hedge Strategies Fund | 233,609 | 38,138 | 9,929 | 4,801 | 50,008 | 336,485 | ||||||||||||||||||
Commodities Strategy Fund | — | — | — | — | 49,076 | 49,076 |
Liability Derivative Investments Value | ||||||||||||||||||||||||
Fund | Futures | Swaps | Futures | Futures | Futures | Total Value at | ||||||||||||||||||
Long Short Equity Fund | $ | — | $ | 209,081 | $ | — | $ | — | $ | — | $ | 209,081 | ||||||||||||
Global Managed Futures Strategy Fund | 102,193 | — | 19,767 | 83,672 | 123,921 | 329,553 | ||||||||||||||||||
Multi-Hedge Strategies Fund | 180,398 | 35,052 | 2,676 | 52,847 | 61,168 | 332,141 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended June 30, 2017:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Currency/Interest Rate/Commodity contracts | Net realized gain (loss) on futures contracts |
| Net change in unrealized appreciation (depreciation) on futures contracts |
Equity contracts | Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
Equity contracts | Net realized gain (loss) on options written |
| Net change in unrealized appreciation (depreciation) on options written |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the period ended June 30, 2017:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||||||||||
Fund | Futures | Swaps | Futures | Futures | Futures | Options | Total | |||||||||||||||||||||
Long Short Equity Fund | $ | 209 | $ | 504 | $ | — | $ | — | $ | — | $ | — | $ | 713 | ||||||||||||||
Global Managed Futures Strategy Fund | 1,119,385 | — | (160,847 | ) | (150,382 | ) | (454,193 | ) | — | 353,963 | ||||||||||||||||||
Multi-Hedge Strategies Fund | 147,322 | 103,175 | (58,838 | ) | (26,389 | ) | (268,563 | ) | 763 | (102,530 | ) | |||||||||||||||||
Commodities Strategy Fund | — | — | — | — | (260,342 | ) | — | (260,342 | ) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||||||||||
Fund | Futures | Swaps | Futures | Futures | Futures | Options | Total | |||||||||||||||||||||
Long Short Equity Fund | $ | (1,842 | ) | $ | 255,715 | $ | — | $ | — | $ | — | $ | — | $ | 253,873 | |||||||||||||
Global Managed Futures Strategy Fund | (153,755 | ) | — | (28,417 | ) | (262,326 | ) | (55,662 | ) | — | (500,160 | ) | ||||||||||||||||
Multi-Hedge Strategies Fund | (132,562 | ) | 60,651 | (30,614 | ) | (82,213 | ) | (26,852 | ) | 9,638 | (201,952 | ) | ||||||||||||||||
Commodities Strategy Fund | — | — | — | — | (50,560 | ) | — | (50,560 | ) |
In conjunction with the use of short sales and derivative instruments, 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 the Funds.
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
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds:
Fund | Management Fees |
Long Short Equity Fund | 0.90% |
Global Managed Futures Strategy Fund | 0.90% |
Multi-Hedge Strategies Fund | 1.15% |
Commodities Strategy Fund | 0.75% |
GI has contractually agreed to waive the management fee it receives from each Subsidiary in an amount equal to the management fee paid to GI by the Subsidiary. This undertaking will continue in effect for so long as the Funds invest in the Subsidiary, and may not be terminated by GI unless GI obtains the prior approval of the Funds’ Board of Trustees for such termination. For the period ended June 30, 2017, the Global Managed Futures Strategy Fund, Multi-Hedge Strategies Fund, and Commodities Strategy Fund waived $3,644, $5,041, and $1,763, respectively, related to investments in the Subsidiary.
As part of its agreement with the Trust, GI 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, subsidiary expenses and extraordinary expenses.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
GI 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 are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted an Investor Services Plan for which GFD and other firms that provide investor services (“Service Providers”) may receive compensation. The Funds will pay investor service fees to GFD at an annual rate not to exceed 0.25% of average daily net assets. GFD, in turn, will compensate Service Providers for providing such services, while retaining a portion of such payments to compensate itself for investor services it performs. Fees related to the Multi-Hedge Strategies Fund are paid by GI, as previously stated.
If a Fund invests in an affiliated fund, the investing Fund’s adviser has agreed to waive fees at the investing fund level. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period June 30, 2017, the Multi-Hedge Strategies Fund waived $22 related to investments in affiliated funds.
Certain trustees and officers of the Trust are also officers of GI and GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. For providing the aforementioned services, MUIS is entitled to receive a monthly fee equal to an annual percentage of the Funds’ average daily net assets subject to certain minimum monthly fees and out of pocket expenses.
4. Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds 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. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
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 joint account includes other Funds in the Guggenheim complex not covered in this report. 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.
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2017, the repurchase agreements in the joint account were as follows:
Counterparty and | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | |||||||||||||
HSBC Securities, Inc. | U.S. Treasury Strips | |||||||||||||||||
0.99% | 0.00% | |||||||||||||||||
Due 07/03/17 | $ | 17,166,798 | $ | 17,168,215 | 11/15/42 | $ | 36,603,100 | $ | 17,510,160 | |||||||||
RBC Capital Markets LLC | U.S. TIP Notes | |||||||||||||||||
1.01% | 0.13% | |||||||||||||||||
Due 07/03/17 | 17,166,798 | 17,168,243 | 04/15/19 | 16,756,200 | 17,510,229 | |||||||||||||
Bank of America Merrill Lynch | U.S. Treasury Note | |||||||||||||||||
1.08% | 2.13% | |||||||||||||||||
Due 07/03/17 | 13,408,539 | 13,409,746 | 08/15/21 | 13,366,214 | 13,676,775 |
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. GI, acting under the supervision of the Board, 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.
6. Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the Statements of Operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund - Class Z. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the Funds the next business day. Although the collateral mitigates the risk, the Funds could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
At June 30, 2017, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
Gross Amounts Not Offset in the | Securities Lending Collateral | |||||||||||||||||||||||
Fund | Value of | Collateral | Net | Cash | Cash | Total | ||||||||||||||||||
Long Short Equity Fund | $ | 122,073 | $ | (122,073 | ) | $ | — | $ | 124,648 | $ | — | $ | 124,648 | |||||||||||
Multi-Hedge Strategies Fund | 12,909 | (12,909 | ) | — | 13,587 | — | 13,587 |
a | Actual collateral received by the Fund is greater than the amount shown due to overcollateralization. |
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. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers, with which the Funds have securities lending arrangements to evaluate potential risks.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
7. Offsetting
In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP:
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross Amounts Offset In the Statements | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Long Short Equity Fund | Swap equity contracts | $ | 464,796 | $ | — | $ | 464,796 | $ | 209,081 | $ | — | $ | 255,715 | ||||||||||||
Multi-Hedge Strategies Fund | Swap equity contracts | 38,138 | — | 38,138 | 35,052 | — | 3,086 |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross Amounts Offset In the Statements | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Long Short Equity Fund | Swap equity contracts | $ | 209,081 | $ | — | $ | 209,081 | $ | 209,081 | $ | — | $ | — | ||||||||||||
Multi-Hedge Strategies Fund | Swap equity contracts | 35,052 | — | 35,052 | 35,052 | — | — |
1 | Exchange-traded futures are excluded from these reported amounts. |
8. 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 taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.
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, or to be taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
The Global Managed Futures Strategy Fund, Multi-Hedge Strategies Fund, and Commodities Strategy Fund intend to invest up to 25% of their assets in the Subsidiary which is expected to provide the Funds with exposure to the commodities markets within the limitations of the federal tax requirements under Subchapter M of the Internal Revenue Code. The Funds 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 Internal Revenue 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.
At June 30, 2017, 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:
Fund | Tax | Tax | Tax | Net | ||||||||||||
Long Short Equity Fund | $ | 31,524,593 | $ | 1,248,859 | $ | (540,241 | ) | $ | 708,618 | |||||||
Global Managed Futures Strategy Fund | 15,617,818 | — | (682,967 | ) | (682,967 | ) | ||||||||||
Multi-Hedge Strategies Fund | 39,591,824 | 2,760,522 | (411,855 | ) | 2,348,667 | |||||||||||
Commodities Strategy Fund | 6,016,982 | — | (3,578,638 | ) | (3,578,638 | ) |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
9. Securities Transactions
For the period ended June 30, 2017, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Fund | Purchases | Sales | ||||||
Long Short Equity Fund | $ | 71,686,647 | $ | 59,130,815 | ||||
Global Managed Futures Strategy Fund | 160,628 | 100,000 | ||||||
Multi-Hedge Strategies Fund | 33,838,242 | 36,753,674 | ||||||
Commodities Strategy Fund | 591,707 | 1,820,000 |
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended June 30, 2017, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | Purchases | Sales | Realized | |||||||||
Multi-Hedge Strategies Fund | $ | 374,662 | $ | — | $ | — |
10. Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Funds may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at http://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm.
Transactions during the period ended June 30, 2017, in which the portfolio company is an “affiliated person,” were as follows:
Affiliated issuers by Fund | Value | Additions | Reductions | Value | Shares | Investment | Realized | |||||||||||||||||||||
Long Short Equity Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 815,870 | $ | 5,613 | $ | (823,445 | ) | $ | — | — | $ | — | $ | 3,126 | ||||||||||||||
Guggenheim Strategy Fund II | 11,306 | 103 | (11,431 | ) | — | — | — | 35 | ||||||||||||||||||||
827,176 | 5,716 | (834,876 | ) | — | — | 3,161 | ||||||||||||||||||||||
Global Managed Futures Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 1,844,999 | 15,646 | (100,000 | ) | 1,765,704 | 70,431 | 15,650 | 157 | ||||||||||||||||||||
Guggenheim Strategy Fund II | 3,259,746 | 37,224 | — | 3,304,827 | 132,140 | 37,243 | — | |||||||||||||||||||||
Guggenheim Strategy Fund III | 1,579,470 | 22,872 | — | 1,604,876 | 64,169 | 22,891 | — | |||||||||||||||||||||
Guggenheim Variable Insurance Strategy Fund III | 5,720,965 | 84,886 | — | 5,812,709 | 231,952 | 84,963 | — | |||||||||||||||||||||
12,405,180 | 160,628 | (100,000 | ) | 12,488,116 | 160,747 | 157 | ||||||||||||||||||||||
Multi-Hedge Strategies Fund | ||||||||||||||||||||||||||||
Advent Claymore Convertible Securities and Income Fund | 3,934 | 6,127 | — | 10,465 | 648 | 161 | — |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Affiliated issuers by Fund | Value | Additions | Reductions | Value | Shares | Investment | Realized | |||||||||||||||||||||
Advent Claymore Convertible Securities and Income Fund II | 88,994 | — | (81,760 | ) | 12,491 | 2,005 | 4,269 | (7,812 | ) | |||||||||||||||||||
Advent/Claymore Enhanced Growth & Income Fund | 26,658 | — | (17,720 | ) | 10,395 | 1,188 | 1,347 | (1,479 | ) | |||||||||||||||||||
Guggenheim Enhanced Equity Income Fund | $ | — | $ | — | $ | (6 | ) | $ | 3,738 | 452 | $ | 108 | $ | 1 | ||||||||||||||
Guggenheim Enhanced Equity Strategy Fund | 3,731 | — | (4,053 | ) | — | — | — | 297 | ||||||||||||||||||||
Guggenheim Equal Weight Enhanced Equity Income Fund | 3,552 | — | — | — | — | 95 | — | |||||||||||||||||||||
Guggenheim Strategy Fund I | 11,308 | 100 | — | 11,439 | 456 | 100 | — | |||||||||||||||||||||
Guggenheim Strategy Fund II | 11,898 | 136 | — | 12,064 | 482 | 136 | — | |||||||||||||||||||||
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund | 185,358 | — | (151,454 | ) | 32,013 | 2,905 | 3,427 | (19,435 | ) | |||||||||||||||||||
Western Asset/Claymore Inflation-Linked Securities & Income Fund | 168,205 | — | (135,898 | ) | 29,222 | 2,586 | 2,886 | (14,755 | ) | |||||||||||||||||||
503,638 | 6,363 | (390,891 | ) | 121,827 | 12,529 | (43,183 | ) | |||||||||||||||||||||
Commodities Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 1,310,849 | 319,439 | (1,035,000 | ) | 598,638 | 23,879 | 9,494 | 2,566 | ||||||||||||||||||||
Guggenheim Strategy Fund II | 1,314,879 | 272,268 | (785,000 | ) | 804,981 | 32,186 | 12,328 | 2,023 | ||||||||||||||||||||
2,625,728 | 591,707 | (1,820,000 | ) | 1,403,619 | 21,822 | 4,589 |
11. Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $75,000,000 line of credit from U.S. Bank, N.A., which expires June 11, 2018. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 1.92% for the period ended June 30, 2017. The Funds did not have any borrowings outstanding under this agreement at and for the period ended June 30, 2017.
12. Reverse Share Split
Effective December 1, 2016, a reverse share split occurred for the following fund:
Fund | Split Type |
Commodities Strategy Fund | One-for-Sixteen Reverse Split |
The effect of this transactions was to divide the number of outstanding shares of the Fund by the respective split ratio, resulting in a corresponding increase in the net asset value per share. The share transactions presented in the Consolidated Statements of Changes in Net Assets and the Per Share Data in the Consolidated Financial Highlights for each of the periods presented prior to the effective date have been restated 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.
13. Legal Proceedings
Tribune Company
Rydex Variable Trust has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Variable Trust of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Variable Trust, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Variable Trust has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order. On March 29, 2016, the U.S. Court of Appeals for the Second Circuit issued its opinion on the appeal of the SLCFC actions. The appeals court affirmed the district court’s dismissal of those lawsuits, but on different grounds than the district court. The appeals court held that while the plaintiffs have standing under the U.S. Bankruptcy Code, their claims were preempted by Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the Plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Funds, filed a joint brief in opposition to the petition for certiorari on October 24, 2016. The Supreme Court has not yet granted or denied the petition for certiorari.
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. The Court concluded that the plaintiff had failed to allege that Tribune entered the LBO with actual intent to hinder, delay, or defraud its creditors, and therefore the complaint failed to state a claim. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. On February 23, 2017, the Court issued an order stating that it intends to permit an interlocutory appeal of the dismissal order, but will wait to do so until it has resolved outstanding motions to dismiss filed by other defendants. Accordingly, the timing of the appeal is uncertain.
None of these lawsuits alleges any wrongdoing on the part of Rydex Variable Trust. The following series of Rydex Variable Trust held shares of Tribune and tendered these shares as part of Tribune’s LBO: Nova Fund, S&P 500 2x Strategy Fund, Multi-Cap Core Equity Fund, S&P 500 Pure Value Fund, Hedged Equity Fund and Multi-Hedge Strategies Fund (the “Funds”). The value of the proceeds received by the foregoing Funds was $12,580, $2,380, $1,360, $148,376, $2,720, and $119,034, respectively. At this stage of the proceedings, Rydex Variable Trust is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
Lyondell Chemical Company
In December 2011, Rydex Variable Trust was named as a defendant in Weisfelner, as Trustee of the LB Creditor Trust, v. Fund 1 (In re Lyondell Chemical Co.), Adv. Pro. No. 10-4609 (Bankr. S.D.N.Y.) (the “Creditor Trust Action”). Its funds may also be putative members of the proposed defendant classes in Weisfelner, as Trustee of the LB Litigation Trust v. A. Holmes & H. Holmes TTEE (In re Lyondell Co.), Adv. Pro. No. 10-5525 (Bankr. S.D.N.Y.) (the “Litigation Trust Action”) and Weisfelner, as Trustee of the LB Creditor Trust, v. Reichman (In re Lyondell Chemical Co.), Adv. Pro. No. 12-1570 (Bankr. S.D.N.Y.).
Similar to the claims made in the Tribune matter, the Weisfelner complaints seek to have set aside and recovered as fraudulent transfers from former Lyondell Chemical Company (“Lyondell”) shareholders the consideration paid to them pursuant to the cash out merger of Lyondell shareholders in connection with the combination of Lyondell and Basell AF in 2007. Lyondell filed for bankruptcy in 2008. The Creditor Trust Action and Reichman allege claims against the former Lyondell shareholders under state law for both constructive fraudulent transfer and intentional fraudulent transfer. The Litigation Trust Action alleges a claim against the former Lyondell shareholders under federal law for intentional fraudulent transfer.
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(concluded) |
On April 7, 2014, the plaintiff filed a Third Amended Complaint in the Creditor Trust Action, a Second Amended Complaint in the Litigation Trust Action, and an Amended Complaint in Reichman.
On May 8, 2014, the plaintiff in the Litigation Trust Action filed a motion to certify a defendant class generally comprised of all former Lyondell shareholders that received proceeds in exchange for their shares in the 2007 merger transaction.
On July 30, 2014, the defendants filed a motion to dismiss these lawsuits. The Bankruptcy Court held oral argument on the motion to dismiss and on the motion for class certification on January 14 and January 15, 2015. On September 15, 2015, the Bankruptcy Court denied the motion for class certification without prejudice to the plaintiff’s right to file a renewed motion. On November 18, 2015, the Bankruptcy Court granted the defendants’ motion to dismiss the intentional fraudulent transfer claims in the Creditor Trust Action, the Litigation Trust Action, and in Reichman, but denied the motion to dismiss the constructive fraudulent transfer claims in the Creditor Trust Action and in Reichman. The Bankruptcy Court entered final judgment dismissing the Litigation Trust Action, but the plaintiff has appealed the dismissal to the U.S. District Court for the Southern District of New York.
On May 4, 2016, the defendants filed a motion to dismiss, or in the alternative, for a stay of, the Creditor Trust Action and Reichman in light of the U.S. Court of Appeals for the Second Circuit’s opinion in the appeal of the Tribune SLCFC actions. On July 20, 2016, the Bankruptcy Court issued a report and recommendation granting the defendants’ motion to dismiss. The U.S. District Court for the Southern District of New York has not yet accepted the Bankruptcy Court’s recommendation or entered a final judgment. On May 30, 2017, the shareholder defendants filed a motion to remand the proceedings in the Creditor Trust and Reichman Actions to the Bankruptcy Court, for consideration of the collateral estoppel ground for dismissal raised by the Bankruptcy Court’s ruling in the Blavatnik Action. The District Court has not yet ruled on the motion to remand.
On July 27, 2016, the District Court reversed the Bankruptcy Court and reinstated the federal law intentional fraudulent transfer claim in the Litigation Trust Action and remanded to the Bankruptcy Court for further proceedings. The District Court found that the fraudulent intent that mattered was that of Lyondell’s CEO, not its board, because the CEO’s intent could be imputed to Lyondell under Delaware law agency principles. The District Court did note, however, that plaintiff faces a high standard for proving “actual intent” to harm creditors, and that it remains to be seen whether plaintiff will be able to make this showing. On August 11, 2016, the shareholder defendants filed a motion for reconsideration and/or to certify an interlocutory appeal of the District Court’s opinion. On October 5, 2016, the District Court denied the motion for reconsideration and/or to certify an interlocutory appeal. In light of this ruling, the federal intentional fraudulent conveyance claim will move forward before the Bankruptcy Court, but a schedule for that case has not yet been set. On April 21, 2017, the Bankruptcy Court issued an Opinion and Order After Trial in a related Lyondell litigation (the “Blavatnik Action”) rejecting claims for intentional fraudulent transfer and constructive fraudulent transfer in connection with the 2007 LBO. Based on this related ruling in the Blavatnik Action, the shareholder defendants filed a motion to dismiss the Litigation Trust Action on the grounds of collateral estoppel on May 30, 2017. The Bankruptcy Court has not yet ruled on this new motion to dismiss.
These lawsuits do not allege any wrongdoing on the part of Rydex Variable Trust. The following series of Rydex Variable Trust received cash proceeds from the cash out merger in the following amounts: Basic Materials Fund - $1,235,952; Long Short Equity Fund f/k/a U.S. Long Short Momentum Fund - $523,200; Multi-Cap Core Equity Fund - $5,760; Hedged Equity Fund - $480; and Multi-Hedge Strategies Fund - $112,848. At this stage of the proceedings, Rydex Variable Trust is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
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 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://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 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
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 https://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 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Board Considerations in Approving the Continuation of the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Rydex Variable Trust (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on May 25, 2017, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to the Guggenheim Long Short Equity Fund, Guggenheim Global Managed Futures Strategy Fund, Guggenheim Multi-Hedge Strategies Fund, and Rydex Commodities Strategy Fund, each a series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Board unanimously approved the continuation of the Investment Advisory Agreement for an additional one-year period based on the Board’s review of qualitative and quantitative information provided by the Advisor. The Board had previously considered information pertaining to the renewal of the Investment Advisory Agreement at an in-person meeting held on April 26, 2017 (together, with the May 25 meeting, the “Meetings”). The Board considered the materials provided by the Advisor and the review conducted at the April 26 meeting to be an integral part of the Trustees’ deliberations and their process in considering the renewal of the Investment Advisory Agreement.
Prior to reaching the conclusion to approve the continuation of the Investment Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from the independent legal counsel to the Independent Trustees regarding the Board’s fiduciary responsibilities under state and federal law with respect to the Board’s consideration of the renewal or approval of investment advisory agreements and participated in question and answer sessions with representatives of the Advisor. The Independent Trustees also carefully considered information that they had received throughout the year as part of their regular oversight of the Funds. At the Meetings, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the Meetings, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the Advisor’s investment advisory and other services; (b) the Advisor’s substantial commitment to the recruitment and retention of high quality personnel; (c) a comparison of the Funds’ advisory fees to the advisory fees charged to comparable funds or accounts, giving special attention to the existence of economies of scale and the absence of breakpoints in these fees and the Advisor’s rationale for not providing for breakpoints at this point in time; (d) each Fund’s overall fees and operating expenses compared with those of similar funds; (e) the level of
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
the Advisor’s profitability from its Fund-related operations; (f) the Advisor’s compliance processes and systems; (g) the Advisor’s compliance policies and procedures; (h) the Advisor’s reputation, expertise and resources in the financial markets; (i) Fund performance compared with that of similar funds and/or appropriate benchmarks; (j) other benefits to the Advisor and/or its affiliates from their relationship to the Funds; and (k) the Advisor’s maintenance of operational resources necessary to manage the Funds in a professional manner consistent with the best interests of the Funds and their shareholders. In its deliberations, the Trustees did not identify any particular factor or factors that was controlling, noting that each Trustee could attribute different weights to the various factors considered.
Based on the Board’s deliberations at the Meetings, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees for each Fund are reasonable in light of, and not so disproportionately large as to bear no reasonable relationship to, the services that it provides to such Fund; and (c) agreed to approve and continue the Investment Advisory Agreement based upon the following considerations, among others:
Nature, Extent and Quality of Services Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies (including the extent to which the Funds use derivatives), Fund risk management process, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity programs. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. The Board also considered the Advisor’s representations to the Board that the Advisor would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Funds in the past, and whether these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Funds to receive high quality services at a cost that was appropriate and reasonable.
Fund Expenses and Performance of the Funds and the Advisor. The Board reviewed statistical information provided by the Advisor regarding the expense ratio components and performance of each Fund. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third party research provider, to prepare reports to help the Board compare the Funds’ fees, expenses, and total return performance with those of a peer group and peer universe of funds selected by FUSE. In the reports, each Fund’s expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise a Fund’s applicable peer group. The Board considered the Advisor’s representation that it found the peer groups compiled by FUSE to be appropriate, but also acknowledged the existence of certain differences between the Funds and their peer funds (e.g., specific differences in principal investment strategies, index rebalance frequency, and, if applicable, tradability) that should be reviewed in context. With respect to tradability, in particular, the Board considered that non-tradable funds incur lower expense ratios than tradable funds because non-tradable funds experience less shareholder activity and lower transaction volumes than tradable funds. The statistical information related to the performance of each Fund included three-month and one-, three-, and five-year performance for the Fund compared to that of its peers. With respect to the Funds that track an underlying index (“Index Funds”), the Board also discussed the correlation between an Index Fund’s assets under management and tracking error, noting that an Index Fund’s ability to replicate an underlying index rather than employ representative sampling depends, in part, upon the Index Fund’s size. Based on the foregoing, the Board determined that the proposed advisory fees paid by the Funds are reasonable in relation to the nature and quality of the services provided by the Advisor.
Costs of Services Provided to the Funds and Profits Realized by the Advisor and its Affiliates. The Board reviewed information about the profitability of the Funds to the Advisor based on the advisory fees payable under the current Investment Advisory Agreement for the last calendar year. The Board analyzed the Funds’ expenses, including the investment advisory fees paid to the Advisor, and reviewed the FUSE reports. The Board also reviewed information regarding the direct revenue received by the Advisor and ancillary revenue, if any, received by the Advisor and/or its affiliates in connection with the services provided to the Funds by the Advisor and/or its affiliates. The Board also discussed the Advisor’s profit margin, including the expense allocation methodology used in the Advisor’s profitability analysis. Based on the foregoing, the Board determined that the profit to the Advisor on the fees paid by the Funds is not excessive in view of the nature and quality of the services provided by the Advisor.
Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Funds’ asset levels. In light of the relatively small size of many of the Funds and the fact that the size of individual Funds in the complex often increase and decrease significantly due to the unlimited
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
OTHER INFORMATION (Unaudited)(concluded) |
trading that is permitted among most of the Funds in the complex, the Board concluded that the Funds have not yet achieved sufficient asset levels to realize meaningful economies of scale. The Board noted that it intends to continue to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.
Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be received by the Advisor and its affiliates as a result of their relationship with the Funds, including any intangible benefits to the Advisor. In particular, the Board considered the nature, extent, quality, and cost of certain distribution and shareholder services performed by the Advisor’s affiliate, Guggenheim Funds Distributors, LLC, under the distribution agreement, investor services agreement, and Investor Services Plan. In light of the costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliate’s commitment to the Funds, the Board concluded the ancillary benefits the Advisor and its affiliates received were reasonable.
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the continuation of the Investment Advisory Agreement was in the best interests of the Funds and their shareholders.
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, 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 visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* and Year of Birth of Trustee | Position(s) Held with the | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE | ||||
Donald C. Cacciapaglia** (1951) | President, Chief Executive Officer and Trustee from 2012 to present. | Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present).
Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010). | 233 | Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present). |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle***** (1959)
| Trustee, Member of the Audit Committee; Member of the Compliance and Risk Oversight Committee; and Member of the Governance Committee from August 2016 to present. | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm)
Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 133 | Infinity Property & Casualty Corporation (2014-present). |
Corey A. Colehour | Trustee from 1993 to present; Member of the Audit Committee from 1994 to present; Member of the Governance Committee from 2014 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
J. Kenneth Dalton (1941) | Trustee from 1995 to present; Chairman and Member of the Audit Committee from 1997 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 133 | Epiphany Funds (3) (2009-present). |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth of Trustee | Position(s) Held with the | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | ||||
John O. Demaret (1940) | Vice Chairman of the Board from 2014 to present (Chairman of the Board from 2006 to 2014); Trustee and Member of the Audit Committee from 1997 to present; Chairman (since 2014) and Member of the Compliance and Risk Oversight Committee from 2010 to present; Chairman and Member of the Investment and Performance Committee from 2014 to present; and Member of the Nominating Committee from 2014 to present. | Retired. | 133 | None. |
Werner E. Keller (1940) | Chairman of the Board from 2014 to present (Vice Chairman of the Board from 2010 to 2014); Trustee from 2005 to present; Member of the Audit Committee from 2005 to present; Member of the Investment and Performance Committee from 2014 to present; Member of the Compliance and Risk Oversight Committee from 2015 to present; Member of the Governance Committee from 2015 to present; and Member of the Nominating Committee from 2015 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 133 | None. |
Thomas F. Lydon, Jr. (1960) | Trustee and Member of the Audit Committee from 2005 to present; Member of the Nominating Committee from 2005 to present; and Chairman and Member of the Governance Committee from 2007 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 133 | US Global Investors (GROW) (1995-present). |
Patrick T. McCarville (1942) | Trustee from 1997 to present; Member of the Audit Committee from 1997 to present; Chairman and Member of the Nominating Committee from 2004 to present; Member of the Governance Committee from 2007 to present; and Member of the Compliance and Risk Oversight Committee from 2014 to present. | Retired.
Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 133 | None. |
Sandra G. Sponem***** (1958) | Trustee, Member of the Audit Committee, Member of the Investment and Performance Committee, and Member of the Nominating Committee from November 2016 to present. | Current: Retired
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 133 | None. |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) Held with the | Principal Occupation(s) |
OFFICERS | ||
Michael P. Byrum (1970) | Vice President (1999-present). | Current: Senior Vice President, Security Investors, LLC (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); Director and Chairman, Advisory Research Center, Inc. (2006-present); Manager, Guggenheim Specialized Products, LLC (2005-present).
Former: Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
Joanna M. Catalucci (1966) | AML Officer (2016-present) | Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present).
Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011). |
James M. Howley (1972)
| Assistant Treasurer (2016-present) | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
Keith D. Kemp (1960)
| Assistant Treasurer (2016-present) | Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim Partners Investment Management, LLC (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present).
Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009). |
Amy J. Lee (1961) | Vice President (2009-present) and Secretary (2012-present) | Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
Glenn McWhinnie (1969) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2009-present).
Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009). |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) Held with the | Principal Occupation(s) |
OFFICERS - concluded | ||
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (March 2014-present).
Former: CCO, Guggenheim Distributors, LLC (2009-March 2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
Adam J. Nelson (1979) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present).
Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
Kimberly J. Scott (1974) | Assistant Treasurer (2016-present) | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
John L. Sullivan (1955) | Chief Financial Officer and Treasurer (2016-present) | Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Mr. Cacciapaglia is an “interested” person of the Trust, as that term is defined in the 1940 Act by virtue of his affiliation with the Adviser’s parent company. |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. |
**** | Certain of the Trustees may serve as directors on the boards of companies not required to be disclosed above, including certain non-profit companies and charitable foundations. |
***** | Mses. Brock-Kyle and Sponem commenced serving as independent Trustees effective August 18, 2016. |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited) |
Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).
Our Commitment to You
When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.
The Information We Collect About You and How We Collect It
In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g. purchase and redemption history).
How We Share Your Personal Information
As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below.
To complete certain transactions or account changes that you direct, it may be necessary to provide your personal information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. In connection with servicing your accounts or to alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your personal information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally we will share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.
How We Safeguard Your Personal Information
We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
6.30.2017
Rydex Variable Trust Semi-Annual Report
Domestic Equity Funds |
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 |
Fixed Income Funds |
Government Long Bond 1.2x Strategy Fund |
Inverse Government Long Bond Strategy Fund |
High Yield Strategy Fund |
Money Market Fund |
U.S. Government Money Market Fund |
GuggenheimInvestments.com | RVATB1-SEMI-0617x1217 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
NOVA FUND | 8 |
INVERSE S&P 500® STRATEGY FUND | 19 |
NASDAQ-100® FUND | 25 |
INVERSE NASDAQ-100® STRATEGY FUND | 32 |
S&P 500® 2x STRATEGY FUND | 38 |
NASDAQ-100® 2x STRATEGY FUND | 49 |
MID-CAP 1.5x STRATEGY FUND | 56 |
INVERSE MID-CAP STRATEGY FUND | 66 |
RUSSELL 2000® 2x STRATEGY FUND | 72 |
RUSSELL 2000® 1.5x STRATEGY FUND | 97 |
INVERSE RUSSELL 2000® STRATEGY FUND | 122 |
DOW 2x STRATEGY FUND | 128 |
INVERSE DOW 2x STRATEGY FUND | 134 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | 140 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | 146 |
HIGH YIELD STRATEGY FUND | 152 |
U.S. GOVERNMENT MONEY MARKET FUND | 158 |
NOTES TO FINANCIAL STATEMENTS | 164 |
OTHER INFORMATION | 182 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 185 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES | 189 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
June 30, 2017 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for funds (the “Funds”) that are part of the Rydex Variable Trust. This report covers performance of the Funds for the semi-annual period ended June 30, 2017.
The Investment Adviser is a part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Donald C. Cacciapaglia
President and Chief Executive Officer
July 31, 2017
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
The Funds may not be suitable for all investors. Investing involves risks, including the entire loss of principal amount invested. Certain Funds may be affected by risks that include those associated with sector concentration, international investing, investing in small and/or medium size companies, and/or the Funds’ possible use of investment techniques and strategies such as leverage, derivatives and short sales of securities. Please see each Fund’s prospectus for more information.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | June 30, 2017 |
First-quarter real gross domestic product (“GDP”) growth came in weak relative to the third and fourth quarters of 2016, at only 1.4% quarter over quarter annualized, consistent with the historical pattern of soft first-quarter data. Tracking estimates point to a rebound in second-quarter growth. There have been concerns about consumer health amid weakness in retail and autos, but we maintain that these are experiencing sector-specific problems. Household balance sheets and consumer spending appear solid overall.
The unemployment rate continues to decline to levels not seen since 2001, despite muted economic growth. As of June 2017, the unemployment rate stood at 4.3%, below what the U.S. Federal Reserve (the “Fed”) forecasted as recently as March to be the cycle low, and we expect it will fall to 3.8% or lower next year. While a tightening labor market has not done much to lift wage growth or inflation in the current cycle, Fed Chair Janet Yellen and many of her colleagues still see a tighter labor market as a reason to continue to remove accommodation.
In June the Fed delivered its fourth rate hike since the financial crisis, raising the fed funds rate target range to 1.00–1.25%. It proceeded with the rate hike despite three consecutive months of soft inflation readings. The statement noted that the Fed continues to expect inflation on a 12-month basis to stabilize around the 2% objective over the medium term. This suggests the Fed views recent weakness as transient. As long as the unemployment rate continues to decline, we believe the Fed will feel compelled to continue hiking to stay ahead of potential inflationary pressures, given the lags associated with monetary policy effects.
Median Federal Open Market Committee (“FOMC”) projections suggest one additional rate increase in 2017, three in 2018, and three more in 2019. These are not conditioned on expectations for fiscal stimulus, though they do incorporate an expectation that the natural rate of interest will rise somewhat over time, but perhaps not as much as the Fed currently projects. We expect that the Fed will forego a rate hike in September in order to launch the tapering of portfolio reinvestments, but the Fed will pick it up again in December, contingent on steady economic data and supportive financial conditions. Weak oil prices over the second quarter of 2017 should once again boost headline inflation readings in 2018 due to base effects, which, when combined with steady economic growth and falling unemployment, could prompt the Fed to raise rates three or possibly four times in 2018.
On its own, the start of Fed balance sheet normalization should not lead to a notable increase in market volatility. The Fed has signaled its intentions well in advance, giving markets time to prepare, and pay-downs will ramp up only gradually over the course of a year.
Still, volatility across a range of markets is abnormally low, and asset valuations appear stretched. Markets shrugged off worrisome developments during the second quarter, including declining oil prices, a lack of progress on fiscal legislation in Washington, D.C., and rising geopolitical risks. A near-term pullback in risk assets is possible in the third or fourth quarters, with low volatility and tight spreads making credit markets particularly vulnerable during what is already a seasonally weak period for risk assets. Moves toward a less accommodative stance by the European Central Bank, the Bank of Japan, and/or the Bank of England may be a catalyst for instability.
For the six-month period ended June 30, 2017, the Standard & Poor’s 500® (“S&P 500®”)* Index returned 9.34%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 13.81%. The return of the MSCI Emerging Markets Index* was 18.43%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 2.27% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 4.93%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.31% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2017 |
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited) |
|
The 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 on a cumulative basis. 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 per share (“NAV”) increases from $10.00 to $10.90 for a gain of 9.0% — in line with its benchmark.
On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table below.
Index | Index | Fund | Fund | Fund | 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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
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, other distributions, 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 December 31, 2016 and ending June 30, 2017.
The following tables illustrate the Funds’ 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 fifth 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.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), 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.
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
|
Expense | Fund | Beginning | Ending | Expenses | |
Table 1. Based on actual Fund return3 | |||||
Nova Fund | 1.60% | 13.27% | $ 1,000.00 | $ 1,132.70 | $ 8.46 |
Inverse S&P 500® Strategy Fund | 1.75% | (8.42%) | 1,000.00 | 915.80 | 8.31 |
NASDAQ-100® Fund | 1.64% | 15.93% | 1,000.00 | 1,159.30 | 8.78 |
Inverse NASDAQ-100® Strategy Fund | 1.79% | (14.17%) | 1,000.00 | 858.30 | 8.25 |
S&P 500® 2x Strategy Fund | 1.75% | 17.63% | 1,000.00 | 1,176.30 | 9.44 |
NASDAQ-100® 2x Strategy Fund | 1.79% | 33.65% | 1,000.00 | 1,336.50 | 10.37 |
Mid-Cap 1.5x Strategy Fund | 1.75% | 7.93% | 1,000.00 | 1,079.30 | 9.02 |
Inverse Mid-Cap Strategy Fund | 1.75% | (5.57%) | 1,000.00 | 944.30 | 8.44 |
Russell 2000® 2x Strategy Fund | 1.80% | 8.00% | 1,000.00 | 1,080.00 | 9.28 |
Russell 2000® 1.5x Strategy Fund | 1.80% | 6.44% | 1,000.00 | 1,064.40 | 9.21 |
Inverse Russell 2000® Strategy Fund | 1.80% | (5.50%) | 1,000.00 | 945.00 | 8.68 |
Dow 2x Strategy Fund | 1.82% | 17.66% | 1,000.00 | 1,176.60 | 9.82 |
Inverse Dow 2x Strategy Fund | 1.82% | (16.54%) | 1,000.00 | 834.60 | 8.28 |
Government Long Bond 1.2x Strategy Fund | 1.30% | 6.34% | 1,000.00 | 1,063.40 | 6.65 |
Inverse Government Long Bond Strategy Fund | 4.12% | (5.84%) | 1,000.00 | 941.60 | 19.83 |
High Yield Strategy Fund | 1.60% | 4.02% | 1,000.00 | 1,040.20 | 8.09 |
U.S. Government Money Market Fund | 0.78% | 0.00% | 1,000.00 | 1,000.00 | 3.87 |
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Nova Fund | 1.60% | 5.00% | $ 1,000.00 | $ 1,016.86 | $ 8.00 |
Inverse S&P 500® Strategy Fund | 1.75% | 5.00% | 1,000.00 | 1,016.12 | 8.75 |
NASDAQ-100® Fund | 1.64% | 5.00% | 1,000.00 | 1,016.66 | 8.20 |
Inverse NASDAQ-100® Strategy Fund | 1.79% | 5.00% | 1,000.00 | 1,015.92 | 8.95 |
S&P 500® 2x Strategy Fund | 1.75% | 5.00% | 1,000.00 | 1,016.12 | 8.75 |
NASDAQ-100® 2x Strategy Fund | 1.79% | 5.00% | 1,000.00 | 1,015.92 | 8.95 |
Mid-Cap 1.5x Strategy Fund | 1.75% | 5.00% | 1,000.00 | 1,016.12 | 8.75 |
Inverse Mid-Cap Strategy Fund | 1.75% | 5.00% | 1,000.00 | 1,016.12 | 8.75 |
Russell 2000® 2x Strategy Fund | 1.80% | 5.00% | 1,000.00 | 1,015.87 | 9.00 |
Russell 2000® 1.5x Strategy Fund | 1.80% | 5.00% | 1,000.00 | 1,015.87 | 9.00 |
Inverse Russell 2000® Strategy Fund | 1.80% | 5.00% | 1,000.00 | 1,015.87 | 9.00 |
Dow 2x Strategy Fund | 1.82% | 5.00% | 1,000.00 | 1,015.77 | 9.10 |
Inverse Dow 2x Strategy Fund | 1.82% | 5.00% | 1,000.00 | 1,015.77 | 9.10 |
Government Long Bond 1.2x Strategy Fund | 1.30% | 5.00% | 1,000.00 | 1,018.35 | 6.51 |
Inverse Government Long Bond Strategy Fund | 4.12% | 5.00% | 1,000.00 | 1,004.36 | 20.48 |
High Yield Strategy Fund | 1.60% | 5.00% | 1,000.00 | 1,016.86 | 8.00 |
U.S. Government Money Market Fund | 0.78% | 5.00% | 1,000.00 | 1,020.93 | 3.91 |
1 | This ratio represents annualized Net Expenses, which include interest expense related to securities sold short. Excluding short interest expense, the operating expense ratio of the Inverse Government Long Bond Strategy Fund would be 1.76%. Excludes expenses of the underlying funds in which the Funds invest. |
2 | Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses shown do not include fees charged by insurance companies. |
3 | Actual cumulative return at net asset value for the period December 31, 2016 to June 30, 2017. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
NOVA FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, 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”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: May 7, 1997 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 27.6% |
Guggenheim Strategy Fund I | 26.7% |
Apple, Inc. | 0.9% |
Microsoft Corp. | 0.6% |
Amazon.com, Inc. | 0.4% |
Facebook, Inc. — Class A | 0.4% |
Johnson & Johnson | 0.4% |
Exxon Mobil Corp. | 0.4% |
JPMorgan Chase & Co. | 0.4% |
Berkshire Hathaway, Inc. — Class B | 0.4% |
Top Ten Total | 58.2% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Nova Fund | 13.27% | 25.76% | 19.91% | 6.75% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
NOVA FUND |
Shares | Value | |||||||
COMMON STOCKS† - 24.2% | ||||||||
Consumer, Non-cyclical - 5.5% | ||||||||
Johnson & Johnson | 1,150 | $ | 152,133 | |||||
Procter & Gamble Co. | 1,092 | 95,168 | ||||||
Pfizer, Inc. | 2,548 | 85,586 | ||||||
Philip Morris International, Inc. | 663 | 77,869 | ||||||
UnitedHealth Group, Inc. | 411 | 76,208 | ||||||
Merck & Co., Inc. | 1,168 | 74,857 | ||||||
Coca-Cola Co. | 1,642 | 73,643 | ||||||
PepsiCo, Inc. | 610 | 70,449 | ||||||
Altria Group, Inc. | 825 | 61,438 | ||||||
Amgen, Inc. | 314 | 54,080 | ||||||
Medtronic plc | 585 | 51,919 | ||||||
AbbVie, Inc. | 680 | 49,307 | ||||||
Celgene Corp.* | 333 | 43,247 | ||||||
Gilead Sciences, Inc. | 558 | 39,495 | ||||||
Bristol-Myers Squibb Co. | 703 | 39,171 | ||||||
Abbott Laboratories | 741 | 36,020 | ||||||
Allergan plc | 143 | 34,762 | ||||||
Eli Lilly & Co. | 415 | 34,155 | ||||||
Thermo Fisher Scientific, Inc. | 167 | 29,136 | ||||||
Mondelez International, Inc. — Class A | 648 | 27,988 | ||||||
Colgate-Palmolive Co. | 377 | 27,947 | ||||||
PayPal Holdings, Inc.* | 477 | 25,602 | ||||||
Biogen, Inc.* | 91 | 24,694 | ||||||
Reynolds American, Inc. | 353 | 22,959 | ||||||
Danaher Corp. | 261 | 22,026 | ||||||
Kraft Heinz Co. | 255 | 21,839 | ||||||
Aetna, Inc. | 142 | 21,560 | ||||||
Anthem, Inc. | 113 | 21,259 | ||||||
Kimberly-Clark Corp. | 152 | 19,625 | ||||||
Automatic Data Processing, Inc. | 191 | 19,570 | ||||||
Becton Dickinson and Co. | 97 | 18,926 | ||||||
Stryker Corp. | 132 | 18,319 | ||||||
Cigna Corp. | 109 | 18,246 | ||||||
Boston Scientific Corp.* | 585 | 16,216 | ||||||
Regeneron Pharmaceuticals, Inc.* | 33 | 16,208 | ||||||
Express Scripts Holding Co.* | 253 | 16,152 | ||||||
S&P Global, Inc. | 110 | 16,059 | ||||||
Intuitive Surgical, Inc.* | 16 | 14,966 | ||||||
Humana, Inc. | 62 | 14,918 | ||||||
McKesson Corp. | 90 | 14,809 | ||||||
Ecolab, Inc. | 111 | 14,735 | ||||||
Constellation Brands, Inc. — Class A | 73 | 14,142 | ||||||
Vertex Pharmaceuticals, Inc.* | 106 | 13,660 | ||||||
General Mills, Inc. | 246 | 13,628 | ||||||
Zoetis, Inc. | 210 | 13,100 | ||||||
Baxter International, Inc. | 208 | 12,592 | ||||||
Alexion Pharmaceuticals, Inc.* | 96 | 11,680 | ||||||
Zimmer Biomet Holdings, Inc. | 86 | 11,042 | ||||||
Illumina, Inc.* | 62 | 10,758 | ||||||
Edwards Lifesciences Corp.* | 90 | 10,642 | ||||||
HCA Healthcare, Inc.* | 122 | 10,638 | ||||||
Sysco Corp. | 210 | 10,569 | ||||||
Cardinal Health, Inc. | 135 | 10,519 | ||||||
Archer-Daniels-Midland Co. | 244 | 10,097 | ||||||
CR Bard, Inc. | 31 | 9,799 | ||||||
Estee Lauder Cos., Inc. — Class A | 95 | 9,118 | ||||||
Kroger Co. | 390 | 9,095 | ||||||
Incyte Corp.* | 72 | 9,066 | ||||||
Moody’s Corp. | 71 | 8,639 | ||||||
Monster Beverage Corp.* | 172 | 8,545 | ||||||
Tyson Foods, Inc. — Class A | 123 | 7,703 | ||||||
Mylan N.V.* | 197 | 7,648 | ||||||
Kellogg Co. | 108 | 7,502 | ||||||
Clorox Co. | 55 | 7,328 | ||||||
Dr Pepper Snapple Group, Inc. | 78 | 7,107 | ||||||
Equifax, Inc. | 51 | 7,008 | ||||||
Molson Coors Brewing Co. — Class B | 79 | 6,821 | ||||||
Laboratory Corp. of America Holdings* | 44 | 6,782 | ||||||
AmerisourceBergen Corp. — Class A | 71 | 6,712 | ||||||
Quest Diagnostics, Inc. | 58 | 6,447 | ||||||
Hershey Co. | 60 | 6,442 | ||||||
Dentsply Sirona, Inc. | 98 | 6,354 | ||||||
Henry Schein, Inc.* | 34 | 6,223 | ||||||
Conagra Brands, Inc. | 173 | 6,186 | ||||||
IDEXX Laboratories, Inc.* | 38 | 6,134 | ||||||
IHS Markit Ltd.* | 136 | 5,989 | ||||||
JM Smucker Co. | 50 | 5,917 | ||||||
Centene Corp.* | 74 | 5,911 | ||||||
Global Payments, Inc. | 65 | 5,871 | ||||||
Whole Foods Market, Inc. | 136 | 5,727 | ||||||
Verisk Analytics, Inc. — Class A* | 66 | 5,568 | ||||||
Nielsen Holdings plc | 143 | 5,528 | ||||||
Church & Dwight Company, Inc. | 106 | 5,499 | ||||||
Hologic, Inc.* | 120 | 5,446 | ||||||
Cooper Cos., Inc. | 21 | 5,028 | ||||||
Gartner, Inc.* | 39 | 4,817 | ||||||
Align Technology, Inc.* | 32 | 4,804 | ||||||
McCormick & Co., Inc. | 48 | 4,680 | ||||||
Cintas Corp. | 37 | 4,663 | ||||||
Universal Health Services, Inc. — Class B | 38 | 4,639 | ||||||
Perrigo Company plc | 61 | 4,607 | ||||||
Campbell Soup Co. | 82 | 4,276 | ||||||
DaVita, Inc.* | 66 | 4,274 | ||||||
Total System Services, Inc. | 71 | 4,136 | ||||||
United Rentals, Inc.* | 36 | 4,058 | ||||||
Varian Medical Systems, Inc.* | 39 | 4,024 | ||||||
Hormel Foods Corp. | 115 | 3,923 | ||||||
Western Union Co. | 201 | 3,829 | ||||||
Coty, Inc. — Class A | 201 | 3,771 | ||||||
Brown-Forman Corp. — Class B | 76 | 3,694 | ||||||
Avery Dennison Corp. | 38 | 3,358 | ||||||
Envision Healthcare Corp.* | 50 | 3,134 | ||||||
H&R Block, Inc. | 88 | 2,720 | ||||||
Robert Half International, Inc. | 54 | 2,588 | ||||||
Quanta Services, Inc.* | 63 | 2,074 | ||||||
Mallinckrodt plc* | 42 | 1,882 | ||||||
Patterson Companies, Inc. | 35 | 1,643 | ||||||
Total Consumer, Non-cyclical | 2,061,070 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
NOVA FUND |
Shares | Value | |||||||
Financial - 4.5% | ||||||||
JPMorgan Chase & Co. | 1,517 | $ | 138,655 | |||||
Berkshire Hathaway, Inc. — Class B* | 811 | 137,358 | ||||||
Wells Fargo & Co. | 1,921 | 106,444 | ||||||
Bank of America Corp. | 4,250 | 103,105 | ||||||
Citigroup, Inc. | 1,176 | 78,651 | ||||||
Visa, Inc. — Class A | 788 | 73,898 | ||||||
Mastercard, Inc. — Class A | 401 | 48,700 | ||||||
U.S. Bancorp | 676 | 35,098 | ||||||
Goldman Sachs Group, Inc. | 156 | 34,616 | ||||||
Chubb Ltd. | 199 | 28,931 | ||||||
Morgan Stanley | 608 | 27,092 | ||||||
American Express Co. | 321 | 27,041 | ||||||
PNC Financial Services Group, Inc. | 207 | 25,848 | ||||||
MetLife, Inc. | 461 | 25,327 | ||||||
American Tower Corp. REIT — Class A | 181 | 23,949 | ||||||
American International Group, Inc. | 375 | 23,445 | ||||||
Bank of New York Mellon Corp. | 444 | 22,653 | ||||||
Charles Schwab Corp. | 520 | 22,339 | ||||||
BlackRock, Inc. — Class A | 52 | 21,965 | ||||||
Simon Property Group, Inc. | 133 | 21,514 | ||||||
Prudential Financial, Inc. | 183 | 19,790 | ||||||
CME Group, Inc. — Class A | 145 | 18,160 | ||||||
Marsh & McLennan Companies, Inc. | 220 | 17,151 | ||||||
Capital One Financial Corp. | 206 | 17,020 | ||||||
Intercontinental Exchange, Inc. | 253 | 16,678 | ||||||
BB&T Corp. | 346 | 15,712 | ||||||
Crown Castle International Corp. | 156 | 15,628 | ||||||
Travelers Cos., Inc. | 119 | 15,057 | ||||||
Aon plc | 112 | 14,890 | ||||||
Equinix, Inc. REIT | 33 | 14,162 | ||||||
Allstate Corp. | 156 | 13,797 | ||||||
State Street Corp. | 151 | 13,549 | ||||||
Public Storage | 64 | 13,346 | ||||||
Prologis, Inc. | 226 | 13,253 | ||||||
Aflac, Inc. | 169 | 13,128 | ||||||
SunTrust Banks, Inc. | 206 | 11,684 | ||||||
Welltower, Inc. | 156 | 11,677 | ||||||
AvalonBay Communities, Inc. | 59 | 11,338 | ||||||
Progressive Corp. | 248 | 10,934 | ||||||
Weyerhaeuser Co. REIT | 321 | 10,754 | ||||||
M&T Bank Corp. | 66 | 10,689 | ||||||
Ventas, Inc. | 152 | 10,561 | ||||||
Equity Residential | 157 | 10,335 | ||||||
Discover Financial Services | 162 | 10,075 | ||||||
Synchrony Financial | 329 | 9,811 | ||||||
Northern Trust Corp. | 92 | 8,943 | ||||||
KeyCorp | 468 | 8,770 | ||||||
Fifth Third Bancorp | 320 | 8,307 | ||||||
Ameriprise Financial, Inc. | 65 | 8,274 | ||||||
Hartford Financial Services Group, Inc. | 157 | 8,253 | ||||||
Boston Properties, Inc. | 66 | 8,119 | ||||||
Willis Towers Watson plc | 54 | 7,855 | ||||||
Citizens Financial Group, Inc. | 216 | 7,707 | ||||||
Digital Realty Trust, Inc. | 68 | 7,681 | ||||||
T. Rowe Price Group, Inc. | 103 | 7,644 | ||||||
Regions Financial Corp. | 513 | 7,510 | ||||||
Principal Financial Group, Inc. | 114 | 7,304 | ||||||
Essex Property Trust, Inc. | 28 | 7,204 | ||||||
Vornado Realty Trust | 74 | 6,949 | ||||||
Franklin Resources, Inc. | 146 | 6,539 | ||||||
Lincoln National Corp. | 96 | 6,488 | ||||||
Realty Income Corp. | 116 | 6,401 | ||||||
HCP, Inc. | 200 | 6,392 | ||||||
Huntington Bancshares, Inc. | 464 | 6,273 | ||||||
Alliance Data Systems Corp. | 24 | 6,161 | ||||||
Invesco Ltd. | 174 | 6,123 | ||||||
GGP, Inc. | 249 | 5,866 | ||||||
Host Hotels & Resorts, Inc. | 316 | 5,773 | ||||||
Comerica, Inc.1 | 76 | 5,566 | ||||||
Loews Corp. | 118 | 5,524 | ||||||
Mid-America Apartment Communities, Inc. | 48 | 5,058 | ||||||
XL Group Ltd. | 112 | 4,906 | ||||||
Alexandria Real Estate Equities, Inc. | 39 | 4,698 | ||||||
CBRE Group, Inc. — Class A* | 128 | 4,659 | ||||||
Cincinnati Financial Corp. | 64 | 4,637 | ||||||
Everest Re Group Ltd. | 18 | 4,583 | ||||||
SL Green Realty Corp. | 43 | 4,549 | ||||||
Unum Group | 97 | 4,523 | ||||||
E*TRADE Financial Corp.* | 117 | 4,450 | ||||||
UDR, Inc. | 114 | 4,443 | ||||||
Raymond James Financial, Inc. | 55 | 4,412 | ||||||
Arthur J Gallagher & Co. | 77 | 4,408 | ||||||
Extra Space Storage, Inc. | 54 | 4,212 | ||||||
Affiliated Managers Group, Inc. | 24 | 3,981 | ||||||
Federal Realty Investment Trust | 31 | 3,918 | ||||||
Regency Centers Corp. | 62 | 3,884 | ||||||
Zions Bancorporation | 87 | 3,820 | ||||||
Iron Mountain, Inc. | 105 | 3,608 | ||||||
CBOE Holdings, Inc. | 39 | 3,565 | ||||||
Torchmark Corp. | 46 | 3,519 | ||||||
Nasdaq, Inc. | 48 | 3,432 | ||||||
Kimco Realty Corp. | 182 | 3,340 | ||||||
Macerich Co. | 51 | 2,961 | ||||||
Apartment Investment & Management Co. REIT — Class A | 67 | 2,879 | ||||||
People’s United Financial, Inc. | 147 | 2,596 | ||||||
Assurant, Inc. | 23 | 2,385 | ||||||
Navient Corp. | 122 | 2,031 | ||||||
Total Financial | 1,648,891 | |||||||
Technology - 3.4% | ||||||||
Apple, Inc. | 2,226 | 320,590 | ||||||
Microsoft Corp. | 3,297 | 227,261 | ||||||
Intel Corp. | 2,011 | 67,850 | ||||||
Oracle Corp. | 1,283 | 64,330 | ||||||
International Business Machines Corp. | 365 | 56,148 | ||||||
Broadcom Ltd. | 171 | 39,852 | ||||||
NVIDIA Corp. | 254 | 36,718 | ||||||
QUALCOMM, Inc. | 631 | 34,844 | ||||||
Accenture plc — Class A | 265 | 32,775 | ||||||
Texas Instruments, Inc. | 425 | 32,695 | ||||||
Adobe Systems, Inc.* | 211 | 29,844 |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
NOVA FUND |
Shares | Value | |||||||
salesforce.com, Inc.* | 286 | $ | 24,768 | |||||
Applied Materials, Inc. | 459 | 18,961 | ||||||
Activision Blizzard, Inc. | 296 | 17,041 | ||||||
Cognizant Technology Solutions Corp. — Class A | 252 | 16,733 | ||||||
Electronic Arts, Inc.* | 132 | 13,955 | ||||||
Intuit, Inc. | 104 | 13,812 | ||||||
Micron Technology, Inc.* | 444 | 13,258 | ||||||
HP, Inc. | 719 | 12,568 | ||||||
Analog Devices, Inc. | 157 | 12,215 | ||||||
Fidelity National Information Services, Inc. | 141 | 12,041 | ||||||
Hewlett Packard Enterprise Co. | 711 | 11,795 | ||||||
Fiserv, Inc.* | 91 | 11,133 | ||||||
Western Digital Corp. | 124 | 10,986 | ||||||
Lam Research Corp. | 69 | 9,759 | ||||||
DXC Technology Co. | 121 | 9,283 | ||||||
Cerner Corp.* | 126 | 8,375 | ||||||
Autodesk, Inc.* | 83 | 8,368 | ||||||
Paychex, Inc. | 137 | 7,801 | ||||||
Skyworks Solutions, Inc. | 79 | 7,580 | ||||||
Microchip Technology, Inc. | 98 | 7,564 | ||||||
Red Hat, Inc.* | 76 | 7,277 | ||||||
Xilinx, Inc. | 106 | 6,818 | ||||||
KLA-Tencor Corp. | 67 | 6,131 | ||||||
Citrix Systems, Inc.* | 65 | 5,173 | ||||||
Seagate Technology plc | 127 | 4,921 | ||||||
Synopsys, Inc.* | 64 | 4,668 | ||||||
NetApp, Inc. | 116 | 4,646 | ||||||
CA, Inc. | 134 | 4,619 | ||||||
ANSYS, Inc.* | 37 | 4,502 | ||||||
Advanced Micro Devices, Inc.* | 331 | 4,131 | ||||||
Akamai Technologies, Inc.* | 74 | 3,686 | ||||||
Qorvo, Inc.* | 54 | 3,419 | ||||||
Xerox Corp. | 91 | 2,614 | ||||||
CSRA, Inc. | 62 | 1,969 | ||||||
Total Technology | 1,255,477 | |||||||
Communications - 3.3% | ||||||||
Amazon.com, Inc.* | 169 | 163,592 | ||||||
Facebook, Inc. — Class A* | 1,009 | 152,339 | ||||||
Alphabet, Inc. — Class A* | 127 | 118,069 | ||||||
Alphabet, Inc. — Class C* | 127 | 115,409 | ||||||
AT&T, Inc. | 2,625 | 99,040 | ||||||
Comcast Corp. — Class A | 2,021 | 78,656 | ||||||
Verizon Communications, Inc. | 1,742 | 77,798 | ||||||
Cisco Systems, Inc. | 2,135 | 66,826 | ||||||
Walt Disney Co. | 621 | 65,981 | ||||||
Priceline Group, Inc.* | 21 | 39,281 | ||||||
Time Warner, Inc. | 331 | 33,236 | ||||||
Charter Communications, Inc. — Class A* | 92 | 30,990 | ||||||
Netflix, Inc.* | 184 | 27,491 | ||||||
eBay, Inc.* | 430 | 15,016 | ||||||
Twenty-First Century Fox, Inc. — Class A | 449 | 12,725 | ||||||
CBS Corp. — Class B | 157 | 10,013 | ||||||
Omnicom Group, Inc. | 99 | 8,208 | ||||||
Expedia, Inc. | 52 | 7,745 | ||||||
Level 3 Communications, Inc.* | 125 | 7,413 | ||||||
Symantec Corp. | 260 | 7,345 | ||||||
DISH Network Corp. — Class A* | 97 | 6,088 | ||||||
Motorola Solutions, Inc. | 70 | 6,072 | ||||||
Twenty-First Century Fox, Inc. — Class B | 208 | 5,797 | ||||||
CenturyLink, Inc.1 | 234 | 5,588 | ||||||
Viacom, Inc. — Class B | 150 | 5,036 | ||||||
Juniper Networks, Inc. | 163 | 4,544 | ||||||
Interpublic Group of Cos., Inc. | 169 | 4,157 | ||||||
F5 Networks, Inc.* | 28 | 3,558 | ||||||
VeriSign, Inc.* | 38 | 3,532 | ||||||
Scripps Networks Interactive, Inc. — Class A | 41 | 2,801 | ||||||
Discovery Communications, Inc. — Class C* | 90 | 2,269 | ||||||
News Corp. — Class A | 163 | 2,233 | ||||||
TripAdvisor, Inc.* | 47 | 1,795 | ||||||
Discovery Communications, Inc. — Class A* | 66 | 1,705 | ||||||
News Corp. — Class B | 51 | 722 | ||||||
Total Communications | 1,193,070 | |||||||
Industrial - 2.4% | ||||||||
General Electric Co. | 3,719 | 100,449 | ||||||
3M Co. | 255 | 53,087 | ||||||
Boeing Co. | 240 | 47,459 | ||||||
Honeywell International, Inc. | 326 | 43,453 | ||||||
United Technologies Corp. | 318 | 38,831 | ||||||
Union Pacific Corp. | 345 | 37,574 | ||||||
United Parcel Service, Inc. — Class B | 294 | 32,513 | ||||||
Lockheed Martin Corp. | 106 | 29,427 | ||||||
Caterpillar, Inc. | 252 | 27,080 | ||||||
General Dynamics Corp. | 121 | 23,970 | ||||||
FedEx Corp. | 105 | 22,820 | ||||||
CSX Corp. | 394 | 21,497 | ||||||
Raytheon Co. | 124 | 20,024 | ||||||
Northrop Grumman Corp. | 75 | 19,253 | ||||||
Illinois Tool Works, Inc. | 133 | 19,052 | ||||||
Johnson Controls International plc | 401 | 17,387 | ||||||
Emerson Electric Co. | 275 | 16,396 | ||||||
Deere & Co. | 126 | 15,572 | ||||||
Norfolk Southern Corp. | 124 | 15,091 | ||||||
Eaton Corp. plc | 191 | 14,866 | ||||||
Waste Management, Inc. | 174 | 12,762 | ||||||
TE Connectivity Ltd. | 152 | 11,959 | ||||||
Corning, Inc. | 393 | 11,810 | ||||||
Cummins, Inc. | 66 | 10,707 | ||||||
Roper Technologies, Inc. | 44 | 10,187 | ||||||
Ingersoll-Rand plc | 109 | 9,962 | ||||||
Amphenol Corp. — Class A | 131 | 9,670 | ||||||
Stanley Black & Decker, Inc. | 65 | 9,147 | ||||||
Parker-Hannifin Corp. | 57 | 9,110 | ||||||
Rockwell Automation, Inc. | 55 | 8,908 | ||||||
Agilent Technologies, Inc. | 138 | 8,185 | ||||||
Fortive Corp. | 129 | 8,172 | ||||||
Rockwell Collins, Inc. | 69 | 7,251 | ||||||
Vulcan Materials Co. | 56 | 7,094 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
NOVA FUND |
Shares | Value | |||||||
Mettler-Toledo International, Inc.* | 11 | $ | 6,474 | |||||
Ball Corp. | 149 | 6,289 | ||||||
Waters Corp.* | 34 | 6,251 | ||||||
Republic Services, Inc. — Class A | 98 | 6,246 | ||||||
WestRock Co. | 107 | 6,063 | ||||||
Martin Marietta Materials, Inc. | 27 | 6,010 | ||||||
AMETEK, Inc. | 98 | 5,936 | ||||||
Harris Corp. | 52 | 5,672 | ||||||
TransDigm Group, Inc. | 21 | 5,646 | ||||||
L3 Technologies, Inc. | 33 | 5,514 | ||||||
Textron, Inc. | 114 | 5,369 | ||||||
Dover Corp. | 66 | 5,295 | ||||||
Masco Corp. | 137 | 5,235 | ||||||
Pentair plc | 72 | 4,791 | ||||||
Kansas City Southern | 45 | 4,709 | ||||||
Expeditors International of Washington, Inc. | 77 | 4,349 | ||||||
Fortune Brands Home & Security, Inc. | 66 | 4,306 | ||||||
Xylem, Inc. | 77 | 4,268 | ||||||
Arconic, Inc. | 188 | 4,258 | ||||||
CH Robinson Worldwide, Inc. | 60 | 4,121 | ||||||
Snap-on, Inc. | 25 | 3,950 | ||||||
Acuity Brands, Inc. | 19 | 3,862 | ||||||
Sealed Air Corp. | 84 | 3,760 | ||||||
J.B. Hunt Transport Services, Inc. | 37 | 3,381 | ||||||
Allegion plc | 41 | 3,326 | ||||||
PerkinElmer, Inc. | 47 | 3,203 | ||||||
Jacobs Engineering Group, Inc. | 51 | 2,774 | ||||||
Stericycle, Inc.* | 36 | 2,748 | ||||||
Fluor Corp. | 60 | 2,747 | ||||||
Flowserve Corp. | 56 | 2,600 | ||||||
Garmin Ltd. | 49 | 2,500 | ||||||
FLIR Systems, Inc. | 58 | 2,010 | ||||||
Total Industrial | 894,388 | |||||||
Consumer, Cyclical - 2.2% | ||||||||
Home Depot, Inc. | 511 | 78,386 | ||||||
McDonald’s Corp. | 348 | 53,299 | ||||||
Wal-Mart Stores, Inc. | 631 | 47,753 | ||||||
Starbucks Corp. | 618 | 36,035 | ||||||
CVS Health Corp. | 435 | 35,000 | ||||||
NIKE, Inc. — Class B | 566 | 33,394 | ||||||
Costco Wholesale Corp. | 187 | 29,907 | ||||||
Walgreens Boots Alliance, Inc. | 365 | 28,583 | ||||||
Lowe’s Cos., Inc. | 366 | 28,376 | ||||||
General Motors Co. | 586 | 20,469 | ||||||
TJX Cos., Inc. | 275 | 19,847 | ||||||
Ford Motor Co. | 1,670 | 18,687 | ||||||
Delta Air Lines, Inc. | 314 | 16,875 | ||||||
Southwest Airlines Co. | 258 | 16,032 | ||||||
Marriott International, Inc. — Class A | 133 | 13,342 | ||||||
Target Corp. | 236 | 12,340 | ||||||
Carnival Corp. | 179 | 11,736 | ||||||
Newell Brands, Inc. | 206 | 11,046 | ||||||
American Airlines Group, Inc. | 210 | 10,567 | ||||||
Yum! Brands, Inc. | 141 | 10,400 | ||||||
Delphi Automotive plc | 114 | 9,991 | ||||||
PACCAR, Inc. | 150 | 9,906 | ||||||
Ross Stores, Inc. | 167 | 9,641 | ||||||
United Continental Holdings, Inc.* | 120 | 9,030 | ||||||
O’Reilly Automotive, Inc.* | 39 | 8,531 | ||||||
VF Corp. | 137 | 7,891 | ||||||
Royal Caribbean Cruises Ltd. | 72 | 7,865 | ||||||
Dollar General Corp. | 108 | 7,786 | ||||||
Ulta Beauty, Inc.* | 25 | 7,184 | ||||||
Dollar Tree, Inc.* | 101 | 7,062 | ||||||
AutoZone, Inc.* | 12 | 6,846 | ||||||
Mohawk Industries, Inc.* | 27 | 6,526 | ||||||
Best Buy Co., Inc. | 113 | 6,478 | ||||||
Whirlpool Corp. | 32 | 6,132 | ||||||
Genuine Parts Co. | 63 | 5,844 | ||||||
Coach, Inc. | 120 | 5,681 | ||||||
L Brands, Inc. | 103 | 5,551 | ||||||
Fastenal Co. | 124 | 5,398 | ||||||
Hilton Worldwide Holdings, Inc. | 87 | 5,381 | ||||||
Hasbro, Inc. | 48 | 5,353 | ||||||
DR Horton, Inc. | 146 | 5,047 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 12 | 4,993 | ||||||
CarMax, Inc.*,1 | 79 | 4,982 | ||||||
Darden Restaurants, Inc. | 53 | 4,793 | ||||||
Alaska Air Group, Inc. | 53 | 4,757 | ||||||
Lennar Corp. — Class A | 87 | 4,639 | ||||||
Wynn Resorts Ltd. | 34 | 4,560 | ||||||
Wyndham Worldwide Corp. | 45 | 4,518 | ||||||
LKQ Corp.* | 132 | 4,349 | ||||||
Tiffany & Co. | 45 | 4,224 | ||||||
WW Grainger, Inc. | 23 | 4,152 | ||||||
Harley-Davidson, Inc. | 75 | 4,052 | ||||||
PVH Corp. | 33 | 3,779 | ||||||
Goodyear Tire & Rubber Co. | 108 | 3,776 | ||||||
Advance Auto Parts, Inc. | 32 | 3,731 | ||||||
BorgWarner, Inc. | 85 | 3,601 | ||||||
Hanesbrands, Inc. | 155 | 3,590 | ||||||
Mattel, Inc. | 146 | 3,143 | ||||||
Macy’s, Inc. | 130 | 3,021 | ||||||
Tractor Supply Co. | 55 | 2,982 | ||||||
PulteGroup, Inc. | 121 | 2,968 | ||||||
Leggett & Platt, Inc. | 56 | 2,942 | ||||||
Kohl’s Corp. | 73 | 2,823 | ||||||
Staples, Inc. | 279 | 2,810 | ||||||
Foot Locker, Inc. | 56 | 2,760 | ||||||
Michael Kors Holdings Ltd.* | 67 | 2,429 | ||||||
Nordstrom, Inc. | 48 | 2,296 | ||||||
Gap, Inc. | 94 | 2,067 | ||||||
Bed Bath & Beyond, Inc. | 62 | 1,885 | ||||||
Signet Jewelers Ltd.1 | 29 | 1,834 | ||||||
Ralph Lauren Corp. — Class A | 24 | 1,771 | ||||||
Under Armour, Inc. — Class A*,1 | 79 | 1,719 | ||||||
Under Armour, Inc. — Class C*,1 | 79 | 1,593 | ||||||
AutoNation, Inc.* | 28 | 1,180 | ||||||
Total Consumer, Cyclical | 789,917 |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
NOVA FUND |
Shares | Value | |||||||
Energy - 1.5% | ||||||||
Exxon Mobil Corp. | 1,809 | $ | 146,042 | |||||
Chevron Corp. | 809 | 84,403 | ||||||
Schlumberger Ltd. | 593 | 39,043 | ||||||
ConocoPhillips | 528 | 23,211 | ||||||
EOG Resources, Inc. | 247 | 22,358 | ||||||
Occidental Petroleum Corp. | 326 | 19,518 | ||||||
Halliburton Co. | 371 | 15,845 | ||||||
Kinder Morgan, Inc. | 820 | 15,711 | ||||||
Phillips 66 | 187 | 15,463 | ||||||
Valero Energy Corp. | 191 | 12,885 | ||||||
Pioneer Natural Resources Co. | 73 | 11,649 | ||||||
Marathon Petroleum Corp. | 222 | 11,617 | ||||||
Anadarko Petroleum Corp. | 239 | 10,836 | ||||||
Williams Companies, Inc. | 353 | 10,689 | ||||||
Baker Hughes, Inc. | 182 | 9,921 | ||||||
ONEOK, Inc. | 162 | 8,450 | ||||||
Apache Corp. | 162 | 7,765 | ||||||
Concho Resources, Inc.* | 63 | 7,656 | ||||||
Devon Energy Corp. | 224 | 7,161 | ||||||
Tesoro Corp. | 65 | 6,084 | ||||||
Noble Energy, Inc. | 194 | 5,490 | ||||||
TechnipFMC plc* | 199 | 5,413 | ||||||
National Oilwell Varco, Inc. | 162 | 5,336 | ||||||
Hess Corp. | 115 | 5,045 | ||||||
Cabot Oil & Gas Corp. — Class A | 199 | 4,991 | ||||||
Equities Corp. | 74 | 4,336 | ||||||
Marathon Oil Corp. | 363 | 4,302 | ||||||
Cimarex Energy Co. | 41 | 3,854 | ||||||
Helmerich & Payne, Inc.1 | 46 | 2,500 | ||||||
Newfield Exploration Co.* | 85 | 2,419 | ||||||
Range Resources Corp. | 80 | 1,854 | ||||||
Murphy Oil Corp. | 69 | 1,768 | ||||||
Chesapeake Energy Corp.*,1 | 326 | 1,620 | ||||||
Transocean Ltd.* | 167 | 1,374 | ||||||
Total Energy | 536,609 | |||||||
Utilities - 0.8% | ||||||||
NextEra Energy, Inc. | 200 | 28,025 | ||||||
Duke Energy Corp. | 299 | 24,993 | ||||||
Dominion Energy, Inc. | 269 | 20,613 | ||||||
Southern Co. | 425 | 20,349 | ||||||
American Electric Power Company, Inc. | 210 | 14,589 | ||||||
PG&E Corp. | 218 | 14,469 | ||||||
Exelon Corp. | 395 | 14,248 | ||||||
Sempra Energy | 107 | 12,064 | ||||||
PPL Corp. | 292 | 11,289 | ||||||
Edison International | 139 | 10,868 | ||||||
Consolidated Edison, Inc. | 130 | 10,507 | ||||||
Xcel Energy, Inc. | 217 | 9,956 | ||||||
Public Service Enterprise Group, Inc. | 216 | 9,290 | ||||||
WEC Energy Group, Inc. | 135 | 8,286 | ||||||
Eversource Energy | 135 | 8,196 | ||||||
DTE Energy Co. | 77 | 8,146 | ||||||
American Water Works Co., Inc. | 76 | 5,924 | ||||||
Entergy Corp. | 77 | 5,911 | ||||||
Ameren Corp. | 104 | 5,686 | ||||||
CMS Energy Corp. | 120 | 5,550 | ||||||
FirstEnergy Corp. | 189 | 5,511 | ||||||
CenterPoint Energy, Inc. | 184 | 5,038 | ||||||
Pinnacle West Capital Corp. | 48 | 4,088 | ||||||
SCANA Corp. | 61 | 4,088 | ||||||
Alliant Energy Corp. | 97 | 3,896 | ||||||
NiSource, Inc. | 138 | 3,500 | ||||||
AES Corp. | 282 | 3,133 | ||||||
NRG Energy, Inc. | 135 | 2,325 | ||||||
Total Utilities | 280,538 | |||||||
Basic Materials - 0.6% | ||||||||
Dow Chemical Co. | 480 | 30,273 | ||||||
EI du Pont de Nemours & Co. | 370 | 29,863 | ||||||
Monsanto Co. | 187 | 22,133 | ||||||
Praxair, Inc. | 122 | 16,171 | ||||||
Air Products & Chemicals, Inc. | 93 | 13,305 | ||||||
Sherwin-Williams Co. | 35 | 12,284 | ||||||
PPG Industries, Inc. | 109 | 11,986 | ||||||
LyondellBasell Industries N.V. — Class A | 141 | 11,899 | ||||||
International Paper Co. | 176 | 9,963 | ||||||
Nucor Corp. | 136 | 7,870 | ||||||
Newmont Mining Corp. | 228 | 7,385 | ||||||
Freeport-McMoRan, Inc.* | 568 | 6,822 | ||||||
Eastman Chemical Co. | 62 | 5,207 | ||||||
Albemarle Corp. | 47 | 4,960 | ||||||
International Flavors & Fragrances, Inc. | 34 | 4,590 | ||||||
FMC Corp. | 57 | 4,164 | ||||||
Mosaic Co. | 150 | 3,425 | ||||||
CF Industries Holdings, Inc. | 100 | 2,796 | ||||||
Total Basic Materials | 205,096 | |||||||
Diversified - 0.0% | ||||||||
Leucadia National Corp. | 138 | 3,610 | ||||||
Total Common Stocks | ||||||||
(Cost $7,606,962) | 8,868,666 | |||||||
MUTUAL FUNDS† - 54.3% | ||||||||
Guggenheim Strategy Fund II2 | 404,361 | 10,113,079 | ||||||
Guggenheim Strategy Fund I2 | 390,041 | 9,778,331 | ||||||
Total Mutual Funds | ||||||||
(Cost $19,792,245) | 19,891,410 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
NOVA FUND |
Face | Value | |||||||
U.S. TREASURY BILLS†† - 2.0% | ||||||||
U.S. Treasury Bill | ||||||||
0.96% due 09/07/173,4,10 | $ | 500,000 | $ | 499,129 | ||||
0.91% due 08/03/174,10 | 250,000 | 249,817 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $748,867) | 748,946 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 1.4% | ||||||||
Freddie Mac5 | ||||||||
0.96% due 07/12/17 | 500,000 | 499,853 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $499,853) | 499,853 | |||||||
REPURCHASE AGREEMENTS††,6 - 16.8% | ||||||||
HSBC Securities, Inc. | 3,614,116 | 3,614,116 | ||||||
Bank of America Merrill Lynch | 1,658,062 | 1,658,062 | ||||||
RBC Capital Markets LLC | 863,421 | 863,421 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $6,135,599) | 6,135,599 | |||||||
Shares |
| |||||||
SECURITIES LENDING COLLATERAL†,7 - 0.0% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%8 | 14,888 | 14,888 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $14,888) | 14,888 | |||||||
Total Investments - 98.7% | ||||||||
(Cost $34,798,414) | $ | 36,159,362 | ||||||
Other Assets & Liabilities, net - 1.3% | 464,164 | |||||||
Total Net Assets - 100.0% | $ | 36,623,526 | ||||||
Units | Unrealized | |||||||
OTC EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Barclays Bank plc | 6,331 | $ | 22,193 | |||||
BNP Paribas | 3,758 | (56,623 | ) | |||||
Goldman Sachs International | 8,902 | (137,397 | ) | |||||
(Total Notional Value $46,023,557) | $ | (171,827 | ) |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Affiliated issuer — See Note 10. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2017. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | 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. |
6 | Repurchase Agreements — See Note 5. |
7 | Securities lending collateral — See Note 6. |
8 | Rate indicated is the 7 day yield as of June 30, 2017. |
9 | Total Return based on S&P 500 Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. |
10 | Zero coupon security. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
NOVA FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 8,868,666 | $ | — | $ | — | $ | — | $ | 8,868,666 | ||||||||||
Equity Index Swap Agreements | — | — | 22,193 | — | 22,193 | |||||||||||||||
Federal Agency Discount Notes | — | 499,853 | — | — | 499,853 | |||||||||||||||
Mutual Funds | 19,891,410 | — | — | — | 19,891,410 | |||||||||||||||
Repurchase Agreements | — | 6,135,599 | — | — | 6,135,599 | |||||||||||||||
Securities Lending Collateral | 14,888 | — | — | — | 14,888 | |||||||||||||||
U.S. Treasury Bills | — | 748,946 | — | — | 748,946 | |||||||||||||||
Total Assets | $ | 28,774,964 | $ | 7,384,398 | $ | 22,193 | $ | — | $ | 36,181,555 | ||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | 194,020 | $ | — | $ | 194,020 |
* | Other financial instruments include swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
NOVA FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $14,534 of securities loaned (cost $8,870,570) | $ | 10,132,353 | ||
Investments in affiliated issuers, at value (cost $19,792,245) | 19,891,410 | |||
Repurchase agreements, at value (cost $6,135,599) | 6,135,599 | |||
Total investments (cost $34,798,414) | 36,159,362 | |||
Segregated cash with broker | 1,051,423 | |||
Unrealized appreciation on swap agreements | 22,193 | |||
Cash | 104 | |||
Receivables: | ||||
Swap settlement | 138 | |||
Fund shares sold | 220,620 | |||
Dividends | 33,837 | |||
Interest | 174 | |||
Securities lending income | 4 | |||
Total assets | 37,487,855 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 194,020 | |||
Payable for: | ||||
Securities purchased | 535,199 | |||
Fund shares redeemed | 36,931 | |||
Management fees | 20,002 | |||
Return of securities loaned | 14,888 | |||
Transfer agent and administrative fees | 6,668 | |||
Investor service fees | 6,668 | |||
Portfolio accounting fees | 2,667 | |||
Miscellaneous | 47,286 | |||
Total liabilities | 864,329 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 36,623,526 | ||
Net assets consist of: | ||||
Paid in capital | $ | 29,839,270 | ||
Undistributed net investment income | 11,381 | |||
Accumulated net realized gain on investments | 5,583,754 | |||
Net unrealized appreciation on investments | 1,189,121 | |||
Net assets | $ | 36,623,526 | ||
Capital shares outstanding | 360,932 | |||
Net asset value per share | $ | 101.47 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 190,228 | ||
Dividends from securities of unaffiliated issuers | 49,738 | |||
Interest | 19,701 | |||
Income from securities lending, net | 26 | |||
Total investment income | 259,693 | |||
Expenses: | ||||
Management fees | 123,233 | |||
Transfer agent and administrative fees | 41,078 | |||
Investor service fees | 41,078 | |||
Portfolio accounting fees | 16,431 | |||
Professional fees | 33,227 | |||
Custodian fees | 3,104 | |||
Trustees’ fees* | 2,232 | |||
Miscellaneous | 2,574 | |||
Total expenses | 262,957 | |||
Net investment loss | (3,264 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 293,391 | |||
Investments in affiliated issuers | 2,421 | |||
Swap agreements | 3,747,831 | |||
Futures contracts | 574,484 | |||
Net realized gain | 4,618,127 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (95,522 | ) | ||
Investments in affiliated issuers | 45,629 | |||
Swap agreements | (305,530 | ) | ||
Futures contracts | 8,173 | |||
Net change in unrealized appreciation (depreciation) | (347,250 | ) | ||
Net realized and unrealized gain | 4,270,877 | |||
Net increase in net assets resulting from operations | $ | 4,267,613 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOVA FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (3,264 | ) | $ | 12,574 | |||
Net realized gain on investments | 4,618,127 | 9,428,343 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (347,250 | ) | (5,230,098 | ) | ||||
Net increase in net assets resulting from operations | 4,267,613 | 4,210,819 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 149,671,892 | 185,187,116 | ||||||
Cost of shares redeemed | (156,083,929 | ) | (181,112,737 | ) | ||||
Net increase (decrease) from capital share transactions | (6,412,037 | ) | 4,074,379 | |||||
Net increase (decrease) in net assets | (2,144,424 | ) | 8,285,198 | |||||
Net assets: | ||||||||
Beginning of period | 38,767,950 | 30,482,752 | ||||||
End of period | $ | 36,623,526 | $ | 38,767,950 | ||||
Undistributed net investment income at end of period | $ | 11,381 | $ | 14,645 | ||||
Capital share activity: | ||||||||
Shares sold | 1,544,487 | 2,282,588 | * | |||||
Shares redeemed | (1,616,332 | ) | (2,243,557 | )* | ||||
Net increase (decrease) in shares | (71,845 | ) | 39,031 | * |
* | Capital share activity for the year ended December 31, 2016 has been restated to reflect a 2:1 share split effective December 1, 2016 — See Note 12. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
NOVA FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 89.58 | $ | 77.42 | $ | 77.97 | $ | 65.81 | $ | 44.21 | $ | 36.17 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.01 | ) | .06 | (.12 | ) | (.02 | ) | .07 | .05 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 11.90 | 12.10 | (.43 | ) | 12.25 | 21.59 | 7.99 | |||||||||||||||||
Total from investment operations | 11.89 | 12.16 | (.55 | ) | 12.23 | 21.66 | 8.04 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | (.07 | ) | (.06 | ) | — | ||||||||||||||||
Total distributions | — | — | — | (.07 | ) | (.06 | ) | — | ||||||||||||||||
Net asset value, end of period | $ | 101.47 | $ | 89.58 | $ | 77.42 | $ | 77.97 | $ | 65.81 | $ | 44.21 | ||||||||||||
Total Returnc | 13.27 | % | 15.72 | % | (0.72 | %) | 18.59 | % | 48.99 | % | 22.25 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 36,624 | $ | 38,768 | $ | 30,483 | $ | 38,983 | $ | 53,515 | $ | 25,079 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.02 | %) | 0.04 | % | (0.15 | %) | (0.03 | %) | 0.13 | % | 0.12 | % | ||||||||||||
Total expensesd | 1.60 | % | 1.56 | % | 1.51 | % | 1.59 | % | 1.54 | % | 1.58 | % | ||||||||||||
Portfolio turnover rate | 175 | % | 636 | % | 342 | % | 694 | % | 298 | % | 119 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 2:1 share split effective December 1, 2016 — See Note 12. |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
INVERSE S&P 500® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, 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 500® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: June 9, 1997 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 29.9% |
Guggenheim Strategy Fund I | 27.2% |
Total | 57.1% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Inverse S&P 500® Strategy Fund | (8.42%) | (15.10%) | (14.75%) | (10.81%) |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
INVERSE S&P 500® STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 57.1% | ||||||||
Guggenheim Strategy Fund II1 | 42,508 | $ | 1,063,128 | |||||
Guggenheim Strategy Fund I1 | 38,617 | 968,129 | ||||||
Total Mutual Funds | ||||||||
(Cost $2,011,746) | 2,031,257 | |||||||
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 22.5% | ||||||||
Federal Home Loan Bank2 | ||||||||
0.93% due 07/05/17 | $ | 400,000 | 399,957 | |||||
Farmer Mac2 | ||||||||
0.99% due 07/07/17 | 200,000 | 199,967 | ||||||
Freddie Mac3 | ||||||||
0.96% due 07/12/17 | 200,000 | 199,941 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $799,865) | 799,865 | |||||||
FEDERAL AGENCY NOTES†† - 2.8% | ||||||||
Freddie Mac3 | ||||||||
0.75% due 07/14/17 | 100,000 | 99,991 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $99,991) | 99,991 | |||||||
REPURCHASE AGREEMENTS††,4 - 20.3% | ||||||||
HSBC Securities, Inc. | 347,530 | 347,530 | ||||||
Bank of America Merrill Lynch | 194,853 | 194,853 |
RBC Capital Markets LLC | 178,662 | 178,662 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $721,045) | 721,045 | |||||||
Total Investments - 102.7% | ||||||||
(Cost $3,632,647) | $ | 3,652,158 | ||||||
Other Assets & Liabilities, net - (2.7)% | (95,460 | ) | ||||||
Total Net Assets - 100.0% | $ | 3,556,698 | ||||||
Contracts | Unrealized | |||||||
EQUITY FUTURES CONTRACTS SOLD SHORT† | ||||||||
September 2017 S&P 500 Index | 16 | $ | 10,831 | |||||
Units | ||||||||
OTC EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | ||||||||
Goldman Sachs International | 250 | $ | 3,609 | |||||
BNP Paribas | 205 | 3,152 | ||||||
Barclays Bank plc | 221 | (797 | ) | |||||
(Total Notional Value $1,639,761) | $ | 5,964 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 10. |
2 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | 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. |
4 | Repurchase Agreements — See Note 5. |
5 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2017. |
6 | Total Return based on S&P 500 Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
INVERSE S&P 500® STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Equity Futures Contracts | $ | — | $ | 10,831 | $ | — | $ | — | $ | — | $ | 10,831 | ||||||||||||
Equity Index Swap Agreements | — | — | — | 6,761 | — | 6,761 | ||||||||||||||||||
Federal Agency Discount Notes | — | — | 799,865 | — | — | 799,865 | ||||||||||||||||||
Federal Agency Notes | — | — | 99,991 | — | — | 99,991 | ||||||||||||||||||
Mutual Funds | 2,031,257 | — | — | — | — | 2,031,257 | ||||||||||||||||||
Repurchase Agreements | — | — | 721,045 | — | — | 721,045 | ||||||||||||||||||
Total Assets | $ | 2,031,257 | $ | 10,831 | $ | 1,620,901 | $ | 6,761 | $ | — | $ | 3,669,750 | ||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | — | $ | 797 | $ | — | $ | 797 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
INVERSE S&P 500® STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $899,856) | $ | 899,856 | ||
Investments in affiliated issuers, at value (cost $2,011,746) | 2,031,257 | |||
Repurchase agreements, at value (cost $721,045) | 721,045 | |||
Total investments (cost $3,632,647) | 3,652,158 | |||
Segregated cash with broker | 280,400 | |||
Unrealized appreciation on swap agreements | 6,761 | |||
Receivables: | ||||
Swap settlement | 4,521 | |||
Securities sold | 500,000 | |||
Fund shares sold | 39,058 | |||
Dividends | 4,735 | |||
Interest | 368 | |||
Total assets | 4,488,001 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 797 | |||
Payable for: | ||||
Fund shares redeemed | 914,056 | |||
Securities purchased | 4,964 | |||
Management fees | 3,675 | |||
Transfer agent and administrative fees | 1,021 | |||
Investor service fees | 1,021 | |||
Variation margin | 800 | |||
Portfolio accounting fees | 408 | |||
Miscellaneous | 4,561 | |||
Total liabilities | 931,303 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 3,556,698 | ||
Net assets consist of: | ||||
Paid in capital | $ | 17,128,987 | ||
Accumulated net investment loss | (7,184 | ) | ||
Accumulated net realized loss on investments | (13,601,411 | ) | ||
Net unrealized appreciation on investments | 36,306 | |||
Net assets | $ | 3,556,698 | ||
Capital shares outstanding | 46,116 | |||
Net asset value per share | $ | 77.13 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 29,845 | ||
Interest | 5,683 | |||
Total investment income | 35,528 | |||
Expenses: | ||||
Management fees | 21,956 | |||
Transfer agent and administrative fees | 6,099 | |||
Investor service fees | 6,099 | |||
Portfolio accounting fees | 2,439 | |||
Professional fees | 8,025 | |||
Printing expenses | 2,609 | |||
Custodian fees | 592 | |||
Trustees’ fees* | 558 | |||
Miscellaneous | (5,665 | ) | ||
Total expenses | 42,712 | |||
Net investment loss | (7,184 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | 6,202 | |||
Swap agreements | (396,436 | ) | ||
Futures contracts | (6,757 | ) | ||
Net realized loss | (396,991 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 152 | |||
Investments in affiliated issuers | 1,159 | |||
Swap agreements | (26,632 | ) | ||
Futures contracts | 9,910 | |||
Net change in unrealized appreciation (depreciation) | (15,411 | ) | ||
Net realized and unrealized loss | (412,402 | ) | ||
Net decrease in net assets resulting from operations | $ | (419,586 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE S&P 500® STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (7,184 | ) | $ | (59,123 | ) | ||
Net realized loss on investments | (396,991 | ) | (925,533 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (15,411 | ) | (4,832 | ) | ||||
Net decrease in net assets resulting from operations | (419,586 | ) | (989,488 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 19,192,848 | 108,998,026 | ||||||
Cost of shares redeemed | (19,800,923 | ) | (112,921,663 | ) | ||||
Net decrease from capital share transactions | (608,075 | ) | (3,923,637 | ) | ||||
Net decrease in net assets | (1,027,661 | ) | (4,913,125 | ) | ||||
Net assets: | ||||||||
Beginning of period | 4,584,359 | 9,497,484 | ||||||
End of period | $ | 3,556,698 | $ | 4,584,359 | ||||
Accumulated net investment loss at end of period | $ | (7,184 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 243,210 | 1,168,659 | * | |||||
Shares redeemed | (251,531 | ) | (1,213,455 | )* | ||||
Net decrease in shares | (8,321 | ) | (44,796 | )* |
* | Capital share activity for the year ended December 31, 2016 has been restated to reflect a 1:6 reverse share split effective December 1, 2016 — See Note 12. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
INVERSE S&P 500® STRATEGY FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 84.21 | $ | 95.71 | $ | 100.13 | $ | 117.09 | $ | 159.28 | $ | 191.89 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.12 | ) | (.11 | ) | (1.32 | ) | (1.62 | ) | (2.22 | ) | (2.70 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (6.96 | ) | (11.39 | ) | (3.10 | ) | (15.34 | ) | (39.97 | ) | (29.91 | ) | ||||||||||||
Total from investment operations | (7.08 | ) | (11.50 | ) | (4.42 | ) | (16.96 | ) | (42.19 | ) | (32.61 | ) | ||||||||||||
Net asset value, end of period | $ | 77.13 | $ | 84.21 | $ | 95.71 | $ | 100.13 | $ | 117.09 | $ | 159.28 | ||||||||||||
Total Returnc | (8.42 | %) | (12.01 | %) | (4.43 | %) | (14.45 | %) | (26.52 | %) | (16.98 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,557 | $ | 4,584 | $ | 9,497 | $ | 4,456 | $ | 6,797 | $ | 10,178 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.29 | %) | (0.69 | %) | (1.38 | %) | (1.46 | %) | (1.64 | %) | (1.60 | %) | ||||||||||||
Total expensesd | 1.75 | % | 1.71 | % | 1.66 | % | 1.72 | % | 1.69 | % | 1.72 | % | ||||||||||||
Portfolio turnover rate | 31 | % | 311 | % | 137 | % | 398 | % | — | — |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:6 reverse share split effective December 1, 2016 — See Note 12. |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
NASDAQ-100® FUND
OBJECTIVE: Seeks to provide investment results that correspond, before fees and expenses, 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”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: May 7, 1997 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 22.4% |
Guggenheim Strategy Fund II | 9.8% |
Apple, Inc. | 7.5% |
Microsoft Corp. | 5.3% |
Amazon.com, Inc. | 4.6% |
Facebook, Inc. — Class A | 3.6% |
Alphabet, Inc. — Class C | 3.1% |
Alphabet, Inc. — Class A | 2.8% |
Comcast Corp. — Class A | 1.8% |
Intel Corp. | 1.6% |
Top Ten Total | 62.5% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
NASDAQ-100® Fund | 15.93% | 27.73% | 16.43% | 10.90% |
NASDAQ-100 Index | 16.78% | 29.39% | 18.17% | 12.46% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
NASDAQ-100® FUND |
Shares | Value | |||||||
COMMON STOCKS† - 64.6% | ||||||||
Technology - 24.1% | ||||||||
Apple, Inc. | 41,863 | $ | 6,029,108 | |||||
Microsoft Corp. | 61,988 | 4,272,833 | ||||||
Intel Corp. | 37,808 | 1,275,641 | ||||||
Broadcom Ltd. | 3,223 | 751,120 | ||||||
NVIDIA Corp. | 4,775 | 690,274 | ||||||
QUALCOMM, Inc. | 11,863 | 655,075 | ||||||
Texas Instruments, Inc. | 8,000 | 615,440 | ||||||
Adobe Systems, Inc.* | 3,972 | 561,800 | ||||||
Applied Materials, Inc. | 8,629 | 356,464 | ||||||
Activision Blizzard, Inc. | 6,051 | 348,356 | ||||||
Cognizant Technology Solutions Corp. — Class A | 4,729 | 314,006 | ||||||
Intuit, Inc. | 2,057 | 273,190 | ||||||
Micron Technology, Inc.* | 8,883 | 265,246 | ||||||
Electronic Arts, Inc.* | 2,489 | 263,137 | ||||||
Analog Devices, Inc. | 2,947 | 229,277 | ||||||
Fiserv, Inc.* | 1,705 | 208,590 | ||||||
Western Digital Corp. | 2,339 | 207,235 | ||||||
NetEase, Inc. ADR | 612 | 183,986 | ||||||
Lam Research Corp. | 1,295 | 183,152 | ||||||
Autodesk, Inc.* | 1,770 | 178,451 | ||||||
Cerner Corp.* | 2,653 | 176,345 | ||||||
Paychex, Inc. | 2,884 | 164,215 | ||||||
Check Point Software Technologies Ltd.* | 1,332 | 145,295 | ||||||
Microchip Technology, Inc. | 1,842 | 142,166 | ||||||
Skyworks Solutions, Inc. | 1,481 | 142,102 | ||||||
Xilinx, Inc. | 1,991 | 128,061 | ||||||
CA, Inc. | 3,355 | 115,647 | ||||||
KLA-Tencor Corp. | 1,258 | 115,120 | ||||||
Maxim Integrated Products, Inc. | 2,269 | 101,878 | ||||||
Citrix Systems, Inc.* | 1,213 | 96,531 | ||||||
Seagate Technology plc | 2,382 | 92,303 | ||||||
Akamai Technologies, Inc.* | 1,388 | 69,136 | ||||||
Total Technology | 19,351,180 | |||||||
Communications - 24.0% | ||||||||
Amazon.com, Inc.* | 3,838 | 3,715,185 | ||||||
Facebook, Inc. — Class A* | 18,988 | 2,866,808 | ||||||
Alphabet, Inc. — Class C* | 2,786 | 2,531,722 | ||||||
Alphabet, Inc. — Class A* | 2,389 | 2,221,006 | ||||||
Comcast Corp. — Class A | 38,004 | 1,479,117 | ||||||
Cisco Systems, Inc. | 40,145 | 1,256,539 | ||||||
Priceline Group, Inc.* | 395 | 738,855 | ||||||
Charter Communications, Inc. — Class A* | 2,148 | 723,554 | ||||||
Netflix, Inc.* | 3,461 | 517,108 | ||||||
T-Mobile US, Inc.* | 6,671 | 404,396 | ||||||
Baidu, Inc. ADR* | 2,218 | 396,711 | ||||||
eBay, Inc.* | 8,691 | 303,490 | ||||||
JD.com, Inc. ADR* | 7,364 | 288,816 | ||||||
Twenty-First Century Fox, Inc. — Class A | 8,448 | 239,416 | ||||||
Sirius XM Holdings, Inc.1 | 37,456 | 204,884 | ||||||
Ctrip.com International Ltd. ADR* | 3,577 | 192,657 | ||||||
Twenty-First Century Fox, Inc. — Class B | 6,411 | 178,675 | ||||||
Expedia, Inc. | 1,109 | 165,186 | ||||||
Liberty Global plc — Class C* | 4,890 | 152,470 | ||||||
Symantec Corp. | 4,884 | 137,973 | ||||||
DISH Network Corp. — Class A* | 1,826 | 114,600 | ||||||
Vodafone Group plc ADR | 3,495 | 100,411 | ||||||
Viacom, Inc. — Class B | 2,828 | 94,936 | ||||||
MercadoLibre, Inc. | 355 | 89,062 | ||||||
Liberty Global plc — Class A* | 1,904 | 61,156 | ||||||
Discovery Communications, Inc. — Class C* | 1,801 | 45,403 | ||||||
Liberty Ventures* | 652 | 34,093 | ||||||
Discovery Communications, Inc. — Class A* | 1,234 | 31,874 | ||||||
Liberty Global plc LiLAC — Class C* | 969 | 20,746 | ||||||
Liberty Global plc LiLAC — Class A* | 398 | 8,664 | ||||||
Total Communications | 19,315,513 | |||||||
Consumer, Non-cyclical - 10.5% | ||||||||
Amgen, Inc. | 5,905 | 1,017,019 | ||||||
Kraft Heinz Co. | 9,777 | 837,302 | ||||||
Celgene Corp.* | 6,269 | 814,155 | ||||||
Gilead Sciences, Inc. | 10,492 | 742,624 | ||||||
Mondelez International, Inc. — Class A | 12,183 | 526,184 | ||||||
PayPal Holdings, Inc.* | 9,646 | 517,701 | ||||||
Biogen, Inc.* | 1,703 | 462,126 | ||||||
Regeneron Pharmaceuticals, Inc.* | 838 | 411,575 | ||||||
Automatic Data Processing, Inc. | 3,592 | 368,036 | ||||||
Express Scripts Holding Co.* | 4,766 | 304,262 | ||||||
Intuitive Surgical, Inc.* | 296 | 276,870 | ||||||
Vertex Pharmaceuticals, Inc.* | 2,000 | 257,740 | ||||||
Monster Beverage Corp.* | 4,559 | 226,491 | ||||||
Alexion Pharmaceuticals, Inc.* | 1,803 | 219,371 | ||||||
Incyte Corp.* | 1,643 | 206,870 | ||||||
Illumina, Inc.* | 1,172 | 203,365 | ||||||
Mylan N.V.* | 4,303 | 167,042 | ||||||
BioMarin Pharmaceutical, Inc.* | 1,401 | 127,239 | ||||||
Dentsply Sirona, Inc. | 1,841 | 119,370 | ||||||
Henry Schein, Inc.* | 637 | 116,584 | ||||||
IDEXX Laboratories, Inc.* | 708 | 114,285 | ||||||
Verisk Analytics, Inc. — Class A* | 1,328 | 112,043 | ||||||
Cintas Corp. | 846 | 106,630 | ||||||
Shire plc ADR | 629 | 103,955 | ||||||
Hologic, Inc.* | 2,248 | 102,014 | ||||||
Total Consumer, Non-cyclical | 8,460,853 | |||||||
Consumer, Cyclical - 5.4% | ||||||||
Walgreens Boots Alliance, Inc. | 8,680 | 679,730 | ||||||
Starbucks Corp. | 11,628 | 678,028 | ||||||
Costco Wholesale Corp. | 3,524 | 563,593 | ||||||
Tesla, Inc.*,1 | 1,319 | 476,963 | ||||||
Marriott International, Inc. — Class A | 3,042 | 305,143 | ||||||
American Airlines Group, Inc. | 3,955 | 199,016 | ||||||
PACCAR, Inc. | 2,821 | 186,299 | ||||||
Ross Stores, Inc. | 3,147 | 181,676 | ||||||
O’Reilly Automotive, Inc.* | 731 | 159,899 | ||||||
Ulta Beauty, Inc.* | 499 | 143,383 | ||||||
Dollar Tree, Inc.* | 1,900 | 132,848 | ||||||
Hasbro, Inc. | 1,004 | 111,956 |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
NASDAQ-100® FUND |
Shares | Value | |||||||
Wynn Resorts Ltd. | 822 | $ | 110,247 | |||||
Fastenal Co. | 2,323 | 101,120 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 1,830 | 99,351 | ||||||
Liberty Interactive Corporation QVC Group — Class A* | 3,385 | 83,068 | ||||||
Mattel, Inc. | 2,750 | 59,208 | ||||||
Tractor Supply Co. | 1,032 | 55,945 | ||||||
Total Consumer, Cyclical | 4,327,473 | |||||||
Industrial - 0.6% | ||||||||
CSX Corp. | 7,408 | 404,180 | ||||||
J.B. Hunt Transport Services, Inc. | 883 | 80,689 | ||||||
Total Industrial | 484,869 | |||||||
Total Common Stocks | ||||||||
(Cost $33,462,483) | 51,939,888 | |||||||
MUTUAL FUNDS† - 32.2% | ||||||||
Guggenheim Strategy Fund I2 | 719,923 | 18,048,460 | ||||||
Guggenheim Strategy Fund II2 | 316,260 | 7,909,673 | ||||||
Total Mutual Funds | ||||||||
(Cost $25,874,447) | 25,958,133 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,3 - 7.0% | ||||||||
HSBC Securities, Inc. | $ | 2,920,605 | 2,920,605 | |||||
Bank of America Merrill Lynch | 1,522,821 | 1,522,821 | ||||||
RBC Capital Markets LLC | 1,191,719 | 1,191,719 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $5,635,145) | 5,635,145 | |||||||
SECURITIES LENDING COLLATERAL†,5 - 0.6% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%6 | 493,754 | 493,754 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $493,754) | 493,754 | |||||||
Total Investments - 104.4% | ||||||||
(Cost $65,465,829) | $ | 84,026,920 | ||||||
Other Assets & Liabilities, net - (4.4)% | (3,508,046 | ) | ||||||
Total Net Assets - 100.0% | $ | 80,518,874 | ||||||
Units | Unrealized | |||||||
OTC EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Barclays Bank plc | 509 | $ | (3,181 | ) | ||||
Goldman Sachs International | 357 | (41,335 | ) | |||||
BNP Paribas | 4,200 | (544,696 | ) | |||||
(Total Notional Value $28,608,572) | $ | (589,212 | ) |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Affiliated issuer — See Note 10. |
3 | Repurchase Agreements — See Note 5. |
4 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2017. |
5 | Securities lending collateral — See Note 6. |
6 | Rate indicated is the 7 day yield as of June 30, 2017. |
7 | Total Return based on NASDAQ-100 Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
NASDAQ-100® FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 51,939,888 | $ | — | $ | — | $ | — | $ | 51,939,888 | ||||||||||
Mutual Funds | 25,958,133 | — | — | — | 25,958,133 | |||||||||||||||
Repurchase Agreements | — | 5,635,145 | — | — | 5,635,145 | |||||||||||||||
Securities Lending Collateral | 493,754 | — | — | — | 493,754 | |||||||||||||||
Total Assets | $ | 78,391,775 | $ | 5,635,145 | $ | — | $ | — | $ | 84,026,920 | ||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | 589,212 | $ | — | $ | 589,212 |
* | Other financial instruments include swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NASDAQ-100® FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $486,932 of securities loaned (cost $33,956,237) | $ | 52,433,642 | ||
Investments in affiliated issuers, at value (cost $25,874,447) | 25,958,133 | |||
Repurchase agreements, at value (cost $5,635,145) | 5,635,145 | |||
Total investments (cost $65,465,829) | 84,026,920 | |||
Segregated cash with broker | 200,000 | |||
Cash | 3,075 | |||
Receivables: | ||||
Fund shares sold | 524,884 | |||
Dividends | 53,342 | |||
Interest | 159 | |||
Securities lending income | 389 | |||
Total assets | 84,808,769 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 589,212 | |||
Payable for: | ||||
Securities purchased | 2,928,247 | |||
Return of securities loaned | 493,754 | |||
Fund shares redeemed | 54,315 | |||
Management fees | 49,304 | |||
Swap settlement | 46,280 | |||
Transfer agent and administrative fees | 16,435 | |||
Investor service fees | 16,435 | |||
Portfolio accounting fees | 6,574 | |||
Miscellaneous | 89,339 | |||
Total liabilities | 4,289,895 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 80,518,874 | ||
Net assets consist of: | ||||
Paid in capital | $ | 53,772,648 | ||
Accumulated net investment loss | (92,682 | ) | ||
Accumulated net realized gain on investments | 8,867,029 | |||
Net unrealized appreciation on investments | 17,971,879 | |||
Net assets | $ | 80,518,874 | ||
Capital shares outstanding | 2,178,653 | |||
Net asset value per share | $ | 36.96 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $153) | $ | 307,287 | ||
Dividends from securities of affiliated issuers | 161,839 | |||
Interest | 19,085 | |||
Income from securities lending, net | 2,139 | |||
Total investment income | 490,350 | |||
Expenses: | ||||
Management fees | 266,733 | |||
Transfer agent and administrative fees | 88,911 | |||
Investor service fees | 88,911 | |||
Portfolio accounting fees | 35,564 | |||
Professional fees | 70,820 | |||
Custodian fees | 6,855 | |||
Trustees’ fees* | 4,803 | |||
Line of credit fees | 336 | |||
Miscellaneous | 20,099 | |||
Total expenses | 583,032 | |||
Net investment loss | (92,682 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 494,507 | |||
Investments in affiliated issuers | 928 | |||
Swap agreements | 2,109,244 | |||
Futures contracts | 1,563,322 | |||
Net realized gain | 4,168,001 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 6,391,341 | |||
Investments in affiliated issuers | 40,857 | |||
Swap agreements | (494,359 | ) | ||
Futures contracts | 53,432 | |||
Net change in unrealized appreciation (depreciation) | 5,991,271 | |||
Net realized and unrealized gain | 10,159,272 | |||
Net increase in net assets resulting from operations | $ | 10,066,590 |
* | 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 FUNDS SEMI-ANNUAL REPORT | 29 |
NASDAQ-100® FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (92,682 | ) | $ | (214,760 | ) | ||
Net realized gain on investments | 4,168,001 | 13,610,926 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 5,991,271 | (14,788,491 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 10,066,590 | (1,392,325 | ) | |||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (7,342,071 | ) | |||||
Total distributions to shareholders | — | (7,342,071 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 86,571,174 | 177,841,642 | ||||||
Distributions reinvested | — | 7,342,071 | ||||||
Cost of shares redeemed | (77,634,884 | ) | (213,476,697 | ) | ||||
Net increase (decrease) from capital share transactions | 8,936,290 | (28,292,984 | ) | |||||
Net increase (decrease) in net assets | 19,002,880 | (37,027,380 | ) | |||||
Net assets: | ||||||||
Beginning of period | 61,515,994 | 98,543,374 | ||||||
End of period | $ | 80,518,874 | $ | 61,515,994 | ||||
Accumulated net investment loss at end of period | $ | (92,682 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 2,436,158 | 5,529,359 | ||||||
Shares issued from reinvestment of distributions | — | 243,761 | ||||||
Shares redeemed | (2,186,769 | ) | (6,728,211 | ) | ||||
Net increase (decrease) in shares | 249,389 | (955,091 | ) |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NASDAQ-100® FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 31.89 | $ | 34.16 | $ | 33.70 | $ | 30.37 | $ | 22.57 | $ | 19.32 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.05 | ) | (.11 | ) | (.16 | ) | (.11 | ) | (.09 | ) | (.08 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.12 | 1.92 | 2.90 | 5.40 | 7.89 | 3.33 | ||||||||||||||||||
Total from investment operations | 5.07 | 1.81 | 2.74 | 5.29 | 7.80 | 3.25 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (4.08 | ) | (2.28 | ) | (1.96 | ) | — | — | |||||||||||||||
Total distributions | — | (4.08 | ) | (2.28 | ) | (1.96 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 36.96 | $ | 31.89 | $ | 34.16 | $ | 33.70 | $ | 30.37 | $ | 22.57 | ||||||||||||
Total Returnc | 15.93 | % | 5.98 | % | 8.24 | % | 17.45 | % | 34.62 | % | 16.77 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 80,519 | $ | 61,516 | $ | 98,543 | $ | 82,082 | $ | 72,810 | $ | 39,047 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.26 | %) | (0.34 | %) | (0.47 | %) | (0.33 | %) | (0.36 | %) | (0.34 | %) | ||||||||||||
Total expensesd | 1.64 | % | 1.60 | % | 1.54 | % | 1.60 | % | 1.57 | % | 1.61 | % | ||||||||||||
Portfolio turnover rate | 28 | % | 284 | % | 241 | % | 225 | % | 186 | % | 77 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
INVERSE NASDAQ-100® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, 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”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: May 21, 2001 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 29.6% |
Guggenheim Strategy Fund I | 19.9% |
Total | 49.5% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Inverse NASDAQ-100® Strategy Fund | (14.17%) | (22.77%) | (17.80%) | (15.39%) |
NASDAQ-100 Index | 16.78% | 29.39% | 18.17% | 12.46% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
INVERSE NASDAQ-100® STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 49.5% | ||||||||
Guggenheim Strategy Fund II1 | 18,118 | $ | 453,122 | |||||
Guggenheim Strategy Fund I1 | 12,165 | 304,987 | ||||||
Total Mutual Funds | ||||||||
(Cost $750,936) | 758,109 | |||||||
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 13.1% | ||||||||
Farmer Mac2 | ||||||||
0.99% due 07/07/17 | $ | 100,000 | 99,983 | |||||
Freddie Mac3 | ||||||||
0.96% due 07/12/17 | 100,000 | 99,971 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $199,954) | 199,954 | |||||||
FEDERAL AGENCY NOTES†† - 6.5% | ||||||||
Freddie Mac3 | ||||||||
0.75% due 07/14/17 | 100,000 | 99,991 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $99,991) | 99,991 | |||||||
REPURCHASE AGREEMENTS††,4 - 18.6% | ||||||||
HSBC Securities, Inc. | 149,495 | 149,495 | ||||||
Bank of America Merrill Lynch | 76,746 | 76,746 | ||||||
RBC Capital Markets LLC | 57,753 | 57,753 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $283,994) | 283,994 | |||||||
Total Investments - 87.7% | ||||||||
(Cost $1,334,875) | $ | 1,342,048 | ||||||
Other Assets & Liabilities, net - 12.3% | 188,461 | |||||||
Total Net Assets - 100.0% | $ | 1,530,509 |
Contracts | Unrealized | |||||||
EQUITY FUTURES CONTRACTS SOLD SHORT† | ||||||||
September 2017 NASDAQ-100 Index | 8 | $ | 8,861 | |||||
Units | ||||||||
OTC EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | ||||||||
BNP Paribas | 50 |
| 6,567 | |||||
Goldman Sachs International | 33 | 4,156 | ||||||
Barclays Bank plc | 28 | 165 | ||||||
(Total Notional Value $622,369) | $ | 10,888 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 10 |
2 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | 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. |
4 | Repurchase Agreements — See Note 5. |
5 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2017. |
6 | Total Return based on NASDAQ-100 Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
INVERSE NASDAQ-100® STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Equity Futures Contracts | $ | — | $ | 8,861 | $ | — | $ | — | $ | — | $ | 8,861 | ||||||||||||
Equity Index Swap Agreements | — | — | — | 10,888 | — | 10,888 | ||||||||||||||||||
Federal Agency Discount Notes | — | — | 199,954 | — | — | 199,954 | ||||||||||||||||||
Federal Agency Notes | — | — | 99,991 | — | — | 99,991 | ||||||||||||||||||
Mutual Funds | 758,109 | — | — | — | — | 758,109 | ||||||||||||||||||
Repurchase Agreements | — | — | 283,994 | — | — | 283,994 | ||||||||||||||||||
Total Assets | $ | 758,109 | $ | 8,861 | $ | 583,939 | $ | 10,888 | $ | — | $ | 1,361,797 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE NASDAQ-100® STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $299,945) | $ | 299,945 | ||
Investments in affiliated issuers, at value (cost $750,936) | 758,109 | |||
Repurchase agreements, at value (cost $283,994) | 283,994 | |||
Total investments (cost $1,334,875) | 1,342,048 | |||
Segregated cash with broker | 51,700 | |||
Unrealized appreciation on swap agreements | 10,888 | |||
Receivables: | ||||
Variation margin | 261 | |||
Fund shares sold | 156,650 | |||
Dividends | 1,341 | |||
Interest | 356 | |||
Total assets | 1,563,244 | |||
Liabilities: | ||||
Payable for: | ||||
Swap settlement | 25,488 | |||
Securities purchased | 1,410 | |||
Management fees | 1,223 | |||
Transfer agent and administrative fees | 340 | |||
Investor service fees | 340 | |||
Portfolio accounting fees | 136 | |||
Fund shares redeemed | 30 | |||
Miscellaneous | 3,768 | |||
Total liabilities | 32,735 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 1,530,509 | ||
Net assets consist of: | ||||
Paid in capital | $ | 7,543,924 | ||
Accumulated net investment loss | (2,138 | ) | ||
Accumulated net realized loss on investments | (6,038,199 | ) | ||
Net unrealized appreciation on investments | 26,922 | |||
Net assets | $ | 1,530,509 | ||
Capital shares outstanding | 22,665 | |||
Net asset value per share | $ | 67.53 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 10,307 | ||
Interest | 1,921 | |||
Total investment income | 12,228 | |||
Expenses: | ||||
Management fees | 7,238 | |||
Transfer agent and administrative fees | 2,011 | |||
Investor service fees | 2,011 | |||
Portfolio accounting fees | 804 | |||
Professional fees | 2,984 | |||
Printing expenses | 1,124 | |||
Trustees’ fees* | 212 | |||
Custodian fees | 210 | |||
Miscellaneous | (2,228 | ) | ||
Total expenses | 14,366 | |||
Net investment loss | (2,138 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | 2,191 | |||
Swap agreements | (284,018 | ) | ||
Futures contracts | (19,419 | ) | ||
Net realized loss | (301,246 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in affiliated issuers | 760 | |||
Swap agreements | (18,144 | ) | ||
Futures contracts | 8,293 | |||
Net change in unrealized appreciation (depreciation) | (9,091 | ) | ||
Net realized and unrealized loss | (310,337 | ) | ||
Net decrease in net assets resulting from operations | $ | (312,475 | ) |
* | 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 FUNDS SEMI-ANNUAL REPORT | 35 |
INVERSE NASDAQ-100® STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (2,138 | ) | $ | (25,159 | ) | ||
Net realized loss on investments | (301,246 | ) | (630,788 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (9,091 | ) | 23,824 | |||||
Net decrease in net assets resulting from operations | (312,475 | ) | (632,123 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 22,483,136 | 60,176,348 | ||||||
Cost of shares redeemed | (23,292,246 | ) | (58,419,384 | ) | ||||
Net increase (decrease) from capital share transactions | (809,110 | ) | 1,756,964 | |||||
Net increase (decrease) in net assets | (1,121,585 | ) | 1,124,841 | |||||
Net assets: | ||||||||
Beginning of period | 2,652,094 | 1,527,253 | ||||||
End of period | $ | 1,530,509 | $ | 2,652,094 | ||||
Accumulated net investment loss at end of period | $ | (2,138 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 325,905 | 677,118 | * | |||||
Shares redeemed | (336,946 | ) | (660,980 | )* | ||||
Net increase (decrease) in shares | (11,041 | ) | 16,138 | * |
* | Capital share activity for the year ended December 31, 2016 has been restated to reflect a 1:4 reverse share split effective December 1, 2016 — See Note 12. |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE NASDAQ-100® STRATEGY FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 78.68 | $ | 86.94 | $ | 99.74 | $ | 122.62 | $ | 172.83 | $ | 212.44 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.09 | ) | (.18 | ) | (1.36 | ) | (1.68 | ) | (2.60 | ) | (3.00 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (11.06 | ) | (8.08 | ) | (11.44 | ) | (21.20 | ) | (47.61 | ) | (36.61 | ) | ||||||||||||
Total from investment operations | (11.15 | ) | (8.26 | ) | (12.80 | ) | (22.88 | ) | (50.21 | ) | (39.61 | ) | ||||||||||||
Net asset value, end of period | $ | 67.53 | $ | 78.68 | $ | 86.94 | $ | 99.74 | $ | 122.62 | $ | 172.83 | ||||||||||||
Total Returnc | (14.17 | %) | (9.48 | %) | (12.87 | %) | (18.63 | %) | (29.05 | %) | (18.64 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,531 | $ | 2,652 | $ | 1,527 | $ | 1,634 | $ | 2,466 | $ | 6,806 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.27 | %) | (0.78 | %) | (1.47 | %) | (1.47 | %) | (1.68 | %) | (1.64 | %) | ||||||||||||
Total expensesd | 1.79 | % | 1.74 | % | 1.70 | % | 1.77 | % | 1.73 | % | 1.76 | % | ||||||||||||
Portfolio turnover rate | 62 | % | 382 | % | 406 | % | 302 | % | — | — |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:4 reverse share split effective December 1, 2016 — See Note 12. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
S&P 500® 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, 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”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: October 1, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 27.5% |
Guggenheim Strategy Fund II | 25.5% |
Apple, Inc. | 0.6% |
Microsoft Corp. | 0.4% |
Amazon.com, Inc. | 0.3% |
Facebook, Inc. — Class A | 0.3% |
Johnson & Johnson | 0.3% |
Exxon Mobil Corp. | 0.3% |
JPMorgan Chase & Co. | 0.2% |
Berkshire Hathaway, Inc. — Class B | 0.2% |
Top Ten Total | 55.6% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
S&P 500® 2x Strategy Fund | 17.63% | 34.75% | 26.42% | 6.98% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
S&P 500® 2x STRATEGY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 15.4% | ||||||||
Consumer, Non-cyclical - 3.5% | ||||||||
Johnson & Johnson | 820 | $ | 108,477 | |||||
Procter & Gamble Co. | 778 | 67,802 | ||||||
Pfizer, Inc. | 1,816 | 60,998 | ||||||
Philip Morris International, Inc. | 473 | 55,554 | ||||||
UnitedHealth Group, Inc. | 294 | 54,514 | ||||||
Merck & Co., Inc. | 832 | 53,323 | ||||||
Coca-Cola Co. | 1,170 | 52,475 | ||||||
PepsiCo, Inc. | 435 | 50,238 | ||||||
Altria Group, Inc. | 588 | 43,788 | ||||||
Amgen, Inc. | 224 | 38,581 | ||||||
Medtronic plc | 416 | 36,921 | ||||||
AbbVie, Inc. | 484 | 35,095 | ||||||
Celgene Corp.* | 238 | 30,909 | ||||||
Gilead Sciences, Inc. | 399 | 28,241 | ||||||
Bristol-Myers Squibb Co. | 502 | 27,971 | ||||||
Abbott Laboratories | 528 | 25,666 | ||||||
Allergan plc | 102 | 24,795 | ||||||
Eli Lilly & Co. | 295 | 24,279 | ||||||
Thermo Fisher Scientific, Inc. | 119 | 20,762 | ||||||
Mondelez International, Inc. — Class A | 462 | 19,955 | ||||||
Colgate-Palmolive Co. | 269 | 19,941 | ||||||
PayPal Holdings, Inc.* | 341 | 18,302 | ||||||
Biogen, Inc.* | 65 | 17,638 | ||||||
Reynolds American, Inc. | 252 | 16,390 | ||||||
Danaher Corp. | 186 | 15,697 | ||||||
Kraft Heinz Co. | 182 | 15,586 | ||||||
Aetna, Inc. | 101 | 15,336 | ||||||
Anthem, Inc. | 81 | 15,239 | ||||||
Automatic Data Processing, Inc. | 137 | 14,038 | ||||||
Kimberly-Clark Corp. | 108 | 13,943 | ||||||
Becton Dickinson and Co. | 69 | 13,463 | ||||||
Stryker Corp. | 95 | 13,184 | ||||||
Cigna Corp. | 78 | 13,056 | ||||||
Boston Scientific Corp.* | 417 | 11,559 | ||||||
Express Scripts Holding Co.* | 181 | 11,555 | ||||||
S&P Global, Inc. | 78 | 11,387 | ||||||
Regeneron Pharmaceuticals, Inc.* | 23 | 11,296 | ||||||
Ecolab, Inc. | 80 | 10,620 | ||||||
Humana, Inc. | 44 | 10,587 | ||||||
McKesson Corp. | 64 | 10,531 | ||||||
Intuitive Surgical, Inc.* | 11 | 10,289 | ||||||
Constellation Brands, Inc. — Class A | 52 | 10,074 | ||||||
Vertex Pharmaceuticals, Inc.* | 77 | 9,923 | ||||||
General Mills, Inc. | 176 | 9,750 | ||||||
Zoetis, Inc. | 149 | 9,295 | ||||||
Baxter International, Inc. | 148 | 8,960 | ||||||
Alexion Pharmaceuticals, Inc.* | 69 | 8,395 | ||||||
Zimmer Biomet Holdings, Inc. | 61 | 7,832 | ||||||
Illumina, Inc.* | 44 | 7,635 | ||||||
HCA Healthcare, Inc.* | 87 | 7,586 | ||||||
Edwards Lifesciences Corp.* | 64 | 7,567 | ||||||
Cardinal Health, Inc. | 97 | 7,558 | ||||||
Sysco Corp. | 150 | 7,550 | ||||||
CR Bard, Inc. | 23 | 7,271 | ||||||
Archer-Daniels-Midland Co. | 174 | 7,200 | ||||||
Incyte Corp.* | 52 | 6,547 | ||||||
Estee Lauder Cos., Inc. — Class A | 68 | 6,527 | ||||||
Kroger Co. | 278 | 6,483 | ||||||
Moody’s Corp. | 51 | 6,206 | ||||||
Monster Beverage Corp.* | 123 | 6,111 | ||||||
Tyson Foods, Inc. — Class A | 88 | 5,511 | ||||||
Mylan N.V.* | 141 | 5,474 | ||||||
Kellogg Co. | 77 | 5,348 | ||||||
Clorox Co. | 40 | 5,330 | ||||||
Dr Pepper Snapple Group, Inc. | 56 | 5,102 | ||||||
Equifax, Inc. | 37 | 5,085 | ||||||
Molson Coors Brewing Co. — Class B | 56 | 4,835 | ||||||
Quest Diagnostics, Inc. | 43 | 4,780 | ||||||
Laboratory Corp. of America Holdings* | 31 | 4,778 | ||||||
AmerisourceBergen Corp. — Class A | 50 | 4,727 | ||||||
Hershey Co. | 43 | 4,617 | ||||||
Dentsply Sirona, Inc. | 71 | 4,604 | ||||||
Conagra Brands, Inc. | 123 | 4,398 | ||||||
Henry Schein, Inc.* | 24 | 4,392 | ||||||
IDEXX Laboratories, Inc.* | 27 | 4,358 | ||||||
IHS Markit Ltd.* | 97 | 4,272 | ||||||
JM Smucker Co. | 36 | 4,260 | ||||||
Global Payments, Inc. | 46 | 4,155 | ||||||
Centene Corp.* | 52 | 4,154 | ||||||
Whole Foods Market, Inc. | 98 | 4,127 | ||||||
Church & Dwight Company, Inc. | 77 | 3,995 | ||||||
Verisk Analytics, Inc. — Class A* | 47 | 3,965 | ||||||
Nielsen Holdings plc | 102 | 3,943 | ||||||
Hologic, Inc.* | 85 | 3,857 | ||||||
Align Technology, Inc.* | 24 | 3,603 | ||||||
Cooper Cos., Inc. | 15 | 3,591 | ||||||
Gartner, Inc.* | 28 | 3,458 | ||||||
McCormick & Co., Inc. | 35 | 3,413 | ||||||
Perrigo Company plc | 44 | 3,323 | ||||||
Universal Health Services, Inc. — Class B | 27 | 3,296 | ||||||
Cintas Corp. | 26 | 3,277 | ||||||
DaVita, Inc.* | 48 | 3,108 | ||||||
Campbell Soup Co. | 58 | 3,025 | ||||||
United Rentals, Inc.* | 26 | 2,930 | ||||||
Total System Services, Inc. | 50 | 2,913 | ||||||
Varian Medical Systems, Inc.* | 28 | 2,889 | ||||||
Hormel Foods Corp. | 82 | 2,797 | ||||||
Western Union Co. | 144 | 2,743 | ||||||
Coty, Inc. — Class A | 143 | 2,683 | ||||||
Brown-Forman Corp. — Class B | 54 | 2,624 | ||||||
Avery Dennison Corp. | 27 | 2,386 | ||||||
Envision Healthcare Corp.* | 36 | 2,256 | ||||||
H&R Block, Inc. | 63 | 1,947 | ||||||
Robert Half International, Inc. | 39 | 1,869 | ||||||
Quanta Services, Inc.* | 46 | 1,514 | ||||||
Mallinckrodt plc* | 31 | 1,389 | ||||||
Patterson Companies, Inc. | 25 | 1,174 | ||||||
Total Consumer, Non-cyclical | 1,470,726 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
S&P 500® 2x STRATEGY FUND |
Shares | Value | |||||||
Financial - 2.8% | ||||||||
JPMorgan Chase & Co. | 1,081 | $ | 98,804 | |||||
Berkshire Hathaway, Inc. — Class B* | 579 | 98,064 | ||||||
Wells Fargo & Co. | 1,368 | 75,801 | ||||||
Bank of America Corp. | 3,029 | 73,484 | ||||||
Citigroup, Inc. | 838 | 56,045 | ||||||
Visa, Inc. — Class A | 563 | 52,797 | ||||||
Mastercard, Inc. — Class A | 285 | 34,613 | ||||||
U.S. Bancorp | 483 | 25,077 | ||||||
Goldman Sachs Group, Inc. | 111 | 24,631 | ||||||
Chubb Ltd. | 142 | 20,644 | ||||||
Morgan Stanley | 433 | 19,294 | ||||||
American Express Co. | 228 | 19,207 | ||||||
PNC Financial Services Group, Inc. | 147 | 18,356 | ||||||
MetLife, Inc. | 329 | 18,075 | ||||||
American Tower Corp. REIT — Class A | 130 | 17,201 | ||||||
American International Group, Inc. | 268 | 16,755 | ||||||
Bank of New York Mellon Corp. | 317 | 16,173 | ||||||
Charles Schwab Corp. | 370 | 15,895 | ||||||
BlackRock, Inc. — Class A | 37 | 15,629 | ||||||
Simon Property Group, Inc. | 96 | 15,528 | ||||||
Prudential Financial, Inc. | 132 | 14,274 | ||||||
CME Group, Inc. — Class A | 103 | 12,900 | ||||||
Marsh & McLennan Companies, Inc. | 157 | 12,240 | ||||||
Capital One Financial Corp. | 147 | 12,145 | ||||||
Intercontinental Exchange, Inc. | 180 | 11,866 | ||||||
BB&T Corp. | 248 | 11,262 | ||||||
Crown Castle International Corp. | 111 | 11,119 | ||||||
Travelers Cos., Inc. | 85 | 10,755 | ||||||
Aon plc | 80 | 10,636 | ||||||
Equinix, Inc. REIT | 24 | 10,299 | ||||||
Allstate Corp. | 111 | 9,817 | ||||||
State Street Corp. | 108 | 9,691 | ||||||
Prologis, Inc. | 162 | 9,500 | ||||||
Aflac, Inc. | 122 | 9,477 | ||||||
Public Storage | 45 | 9,384 | ||||||
Welltower, Inc. | 113 | 8,458 | ||||||
SunTrust Banks, Inc. | 148 | 8,395 | ||||||
AvalonBay Communities, Inc. | 42 | 8,071 | ||||||
Progressive Corp. | 177 | 7,804 | ||||||
Weyerhaeuser Co. REIT | 229 | 7,672 | ||||||
M&T Bank Corp. | 47 | 7,612 | ||||||
Ventas, Inc. | 108 | 7,504 | ||||||
Equity Residential | 112 | 7,373 | ||||||
Discover Financial Services | 117 | 7,276 | ||||||
Synchrony Financial | 234 | 6,978 | ||||||
Northern Trust Corp. | 67 | 6,513 | ||||||
KeyCorp | 334 | 6,259 | ||||||
Fifth Third Bancorp | 230 | 5,971 | ||||||
Hartford Financial Services Group, Inc. | 112 | 5,888 | ||||||
Ameriprise Financial, Inc. | 46 | 5,855 | ||||||
Boston Properties, Inc. | 47 | 5,782 | ||||||
Willis Towers Watson plc | 39 | 5,673 | ||||||
Digital Realty Trust, Inc. | 49 | 5,535 | ||||||
Citizens Financial Group, Inc. | 155 | 5,530 | ||||||
T. Rowe Price Group, Inc. | 73 | 5,417 | ||||||
Essex Property Trust, Inc.1 | 21 | 5,403 | ||||||
Regions Financial Corp. | 366 | 5,358 | ||||||
Principal Financial Group, Inc. | 82 | 5,254 | ||||||
Vornado Realty Trust | 52 | 4,883 | ||||||
Lincoln National Corp. | 69 | 4,663 | ||||||
Franklin Resources, Inc. | 104 | 4,658 | ||||||
Realty Income Corp. | 83 | 4,580 | ||||||
HCP, Inc. | 143 | 4,570 | ||||||
Huntington Bancshares, Inc. | 331 | 4,475 | ||||||
Alliance Data Systems Corp. | 17 | 4,364 | ||||||
Invesco Ltd. | 124 | 4,364 | ||||||
GGP, Inc. | 177 | 4,170 | ||||||
Host Hotels & Resorts, Inc. | 225 | 4,111 | ||||||
Comerica, Inc.1 | 54 | 3,955 | ||||||
Loews Corp. | 84 | 3,932 | ||||||
Mid-America Apartment Communities, Inc. | 35 | 3,688 | ||||||
XL Group Ltd. | 80 | 3,504 | ||||||
Alexandria Real Estate Equities, Inc. | 28 | 3,373 | ||||||
CBRE Group, Inc. — Class A* | 92 | 3,349 | ||||||
Cincinnati Financial Corp. | 46 | 3,333 | ||||||
SL Green Realty Corp. | 31 | 3,280 | ||||||
Unum Group | 70 | 3,264 | ||||||
UDR, Inc. | 82 | 3,196 | ||||||
E*TRADE Financial Corp.* | 84 | 3,195 | ||||||
Arthur J Gallagher & Co. | 55 | 3,149 | ||||||
Raymond James Financial, Inc. | 39 | 3,129 | ||||||
Everest Re Group Ltd. | 12 | 3,055 | ||||||
Extra Space Storage, Inc. | 38 | 2,964 | ||||||
Affiliated Managers Group, Inc.1 | 17 | 2,820 | ||||||
Regency Centers Corp. | 45 | 2,819 | ||||||
Federal Realty Investment Trust | 22 | 2,781 | ||||||
Zions Bancorporation | 62 | 2,722 | ||||||
Iron Mountain, Inc. | 75 | 2,577 | ||||||
CBOE Holdings, Inc. | 28 | 2,559 | ||||||
Torchmark Corp. | 33 | 2,525 | ||||||
Nasdaq, Inc. | 35 | 2,502 | ||||||
Kimco Realty Corp. | 130 | 2,386 | ||||||
Macerich Co. | 36 | 2,090 | ||||||
Apartment Investment & Management Co. REIT — Class A | 48 | 2,063 | ||||||
People’s United Financial, Inc. | 105 | 1,854 | ||||||
Assurant, Inc. | 17 | 1,763 | ||||||
Navient Corp. | 87 | 1,449 | ||||||
Total Financial | 1,177,133 | |||||||
Technology - 2.2% | ||||||||
Apple, Inc. | 1,587 | 228,559 | ||||||
Microsoft Corp. | 2,350 | 161,985 | ||||||
Intel Corp. | 1,433 | 48,350 | ||||||
Oracle Corp. | 914 | 45,828 | ||||||
International Business Machines Corp. | 260 | 39,996 | ||||||
Broadcom Ltd. | 122 | 28,432 | ||||||
NVIDIA Corp. | 181 | 26,165 | ||||||
QUALCOMM, Inc. | 450 | 24,849 | ||||||
Texas Instruments, Inc. | 304 | 23,387 | ||||||
Accenture plc — Class A | 189 | 23,376 | ||||||
Adobe Systems, Inc.* | 151 | 21,357 |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
S&P 500® 2x STRATEGY FUND |
Shares | Value | |||||||
Salesforce.com, Inc.* | 203 | $ | 17,580 | |||||
Applied Materials, Inc. | 327 | 13,508 | ||||||
Activision Blizzard, Inc. | 211 | 12,147 | ||||||
Cognizant Technology Solutions Corp. — Class A | 179 | 11,886 | ||||||
Electronic Arts, Inc.* | 94 | 9,938 | ||||||
Intuit, Inc. | 74 | 9,828 | ||||||
Micron Technology, Inc.* | 317 | 9,466 | ||||||
HP, Inc. | 512 | 8,950 | ||||||
Analog Devices, Inc. | 112 | 8,714 | ||||||
Fidelity National Information Services, Inc. | 101 | 8,625 | ||||||
Hewlett Packard Enterprise Co. | 507 | 8,411 | ||||||
Fiserv, Inc.* | 65 | 7,952 | ||||||
Western Digital Corp. | 89 | 7,885 | ||||||
Lam Research Corp. | 49 | 6,930 | ||||||
DXC Technology Co. | 86 | 6,598 | ||||||
Autodesk, Inc.* | 59 | 5,948 | ||||||
Cerner Corp.* | 89 | 5,916 | ||||||
Paychex, Inc. | 98 | 5,580 | ||||||
Microchip Technology, Inc. | 70 | 5,403 | ||||||
Skyworks Solutions, Inc. | 56 | 5,373 | ||||||
Red Hat, Inc.* | 54 | 5,171 | ||||||
Xilinx, Inc. | 75 | 4,824 | ||||||
KLA-Tencor Corp. | 48 | 4,392 | ||||||
Citrix Systems, Inc.* | 46 | 3,661 | ||||||
Seagate Technology plc | 91 | 3,526 | ||||||
Synopsys, Inc.* | 47 | 3,428 | ||||||
NetApp, Inc. | 82 | 3,284 | ||||||
CA, Inc. | 95 | 3,275 | ||||||
ANSYS, Inc.* | 26 | 3,164 | ||||||
Advanced Micro Devices, Inc.* | 236 | 2,945 | ||||||
Akamai Technologies, Inc.* | 53 | 2,640 | ||||||
Qorvo, Inc.* | 39 | 2,469 | ||||||
Xerox Corp. | 66 | 1,896 | ||||||
CSRA, Inc. | 44 | 1,397 | ||||||
Total Technology | 894,994 | |||||||
Communications - 2.1% | ||||||||
Amazon.com, Inc.* | 121 | 117,128 | ||||||
Facebook, Inc. — Class A* | 720 | 108,706 | ||||||
Alphabet, Inc. — Class A* | 91 | 84,601 | ||||||
Alphabet, Inc. — Class C* | 91 | 82,694 | ||||||
AT&T, Inc. | 1,871 | 70,593 | ||||||
Comcast Corp. — Class A | 1,440 | 56,044 | ||||||
Verizon Communications, Inc. | 1,241 | 55,423 | ||||||
Cisco Systems, Inc. | 1,521 | 47,607 | ||||||
Walt Disney Co. | 443 | 47,068 | ||||||
Priceline Group, Inc.* | 15 | 28,058 | ||||||
Time Warner, Inc. | 236 | 23,697 | ||||||
Charter Communications, Inc. — Class A* | 66 | 22,232 | ||||||
Netflix, Inc.* | 131 | 19,573 | ||||||
eBay, Inc.* | 306 | 10,686 | ||||||
Twenty-First Century Fox, Inc. — Class A | 320 | 9,069 | ||||||
CBS Corp. — Class B | 112 | 7,143 | ||||||
Omnicom Group, Inc. | 72 | 5,968 | ||||||
Expedia, Inc. | 37 | 5,511 | ||||||
Level 3 Communications, Inc.* | 89 | 5,278 | ||||||
Symantec Corp. | 185 | 5,226 | ||||||
DISH Network Corp. — Class A* | 70 | 4,393 | ||||||
Motorola Solutions, Inc. | 50 | 4,337 | ||||||
Twenty-First Century Fox, Inc. — Class B | 149 | 4,153 | ||||||
CenturyLink, Inc.1 | 168 | 4,012 | ||||||
Viacom, Inc. — Class B | 108 | 3,626 | ||||||
Juniper Networks, Inc. | 116 | 3,234 | ||||||
Interpublic Group of Cos., Inc. | 121 | 2,977 | ||||||
F5 Networks, Inc.* | 20 | 2,541 | ||||||
VeriSign, Inc.* | 27 | 2,510 | ||||||
Scripps Networks Interactive, Inc. — Class A | 29 | 1,981 | ||||||
Discovery Communications, Inc. — Class C* | 65 | 1,639 | ||||||
News Corp. — Class A | 116 | 1,589 | ||||||
TripAdvisor, Inc.* | 34 | 1,299 | ||||||
Discovery Communications, Inc. — Class A* | 47 | 1,214 | ||||||
News Corp. — Class B | 37 | 524 | ||||||
Total Communications | 852,334 | |||||||
Industrial - 1.6% | ||||||||
General Electric Co. | 2,650 | 71,576 | ||||||
3M Co. | 182 | 37,891 | ||||||
Boeing Co. | 171 | 33,815 | ||||||
Honeywell International, Inc. | 232 | 30,924 | ||||||
United Technologies Corp. | 227 | 27,719 | ||||||
Union Pacific Corp. | 246 | 26,792 | ||||||
United Parcel Service, Inc. — Class B | 210 | 23,224 | ||||||
Lockheed Martin Corp. | 76 | 21,098 | ||||||
Caterpillar, Inc. | 179 | 19,235 | ||||||
General Dynamics Corp. | 86 | 17,037 | ||||||
FedEx Corp. | 75 | 16,300 | ||||||
CSX Corp. | 281 | 15,331 | ||||||
Raytheon Co. | 89 | 14,372 | ||||||
Illinois Tool Works, Inc. | 95 | 13,609 | ||||||
Northrop Grumman Corp. | 53 | 13,606 | ||||||
Johnson Controls International plc | 286 | 12,402 | ||||||
Emerson Electric Co. | 197 | 11,745 | ||||||
Deere & Co. | 90 | 11,124 | ||||||
Norfolk Southern Corp. | 88 | 10,710 | ||||||
Eaton Corp. plc | 136 | 10,585 | ||||||
Waste Management, Inc. | 124 | 9,096 | ||||||
TE Connectivity Ltd. | 108 | 8,498 | ||||||
Corning, Inc. | 280 | 8,414 | ||||||
Cummins, Inc. | 47 | 7,624 | ||||||
Roper Technologies, Inc. | 31 | 7,177 | ||||||
Ingersoll-Rand plc | 78 | 7,128 | ||||||
Amphenol Corp. — Class A | 93 | 6,865 | ||||||
Stanley Black & Decker, Inc. | 47 | 6,614 | ||||||
Parker-Hannifin Corp. | 41 | 6,553 | ||||||
Rockwell Automation, Inc. | 39 | 6,316 | ||||||
Fortive Corp. | 92 | 5,828 | ||||||
Agilent Technologies, Inc. | 98 | 5,812 | ||||||
Rockwell Collins, Inc. | 50 | 5,254 | ||||||
Vulcan Materials Co. | 40 | 5,067 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
S&P 500® 2x STRATEGY FUND |
Shares | Value | |||||||
Mettler-Toledo International, Inc.* | 8 | $ | 4,708 | |||||
Waters Corp.* | 25 | 4,596 | ||||||
Ball Corp. | 107 | 4,516 | ||||||
Republic Services, Inc. — Class A | 70 | 4,461 | ||||||
WestRock Co. | 76 | 4,306 | ||||||
AMETEK, Inc. | 70 | 4,240 | ||||||
Martin Marietta Materials, Inc. | 19 | 4,229 | ||||||
Harris Corp. | 38 | 4,145 | ||||||
TransDigm Group, Inc. | 15 | 4,033 | ||||||
L3 Technologies, Inc. | 24 | 4,010 | ||||||
Dover Corp. | 48 | 3,851 | ||||||
Textron, Inc. | 81 | 3,815 | ||||||
Masco Corp. | 97 | 3,706 | ||||||
Kansas City Southern | 33 | 3,453 | ||||||
Pentair plc | 51 | 3,394 | ||||||
Expeditors International of Washington, Inc. | 55 | 3,106 | ||||||
Fortune Brands Home & Security, Inc. | 47 | 3,066 | ||||||
Arconic, Inc. | 135 | 3,058 | ||||||
Xylem, Inc. | 55 | 3,049 | ||||||
CH Robinson Worldwide, Inc. | 43 | 2,953 | ||||||
Acuity Brands, Inc. | 14 | 2,846 | ||||||
Snap-on, Inc. | 18 | 2,844 | ||||||
Sealed Air Corp. | 60 | 2,686 | ||||||
J.B. Hunt Transport Services, Inc. | 26 | 2,376 | ||||||
Allegion plc | 29 | 2,352 | ||||||
PerkinElmer, Inc. | 33 | 2,249 | ||||||
Jacobs Engineering Group, Inc. | 37 | 2,012 | ||||||
Stericycle, Inc.* | 26 | 1,984 | ||||||
Fluor Corp. | 43 | 1,969 | ||||||
Flowserve Corp. | 40 | 1,857 | ||||||
Garmin Ltd. | 36 | 1,837 | ||||||
FLIR Systems, Inc. | 43 | 1,490 | ||||||
Total Industrial | 638,538 | |||||||
Consumer, Cyclical - 1.4% | ||||||||
Home Depot, Inc. | 364 | 55,837 | ||||||
McDonald’s Corp. | 248 | 37,983 | ||||||
Wal-Mart Stores, Inc. | 449 | 33,980 | ||||||
Starbucks Corp. | 441 | 25,715 | ||||||
CVS Health Corp. | 310 | 24,943 | ||||||
NIKE, Inc. — Class B | 404 | 23,835 | ||||||
Costco Wholesale Corp. | 133 | 21,271 | ||||||
Walgreens Boots Alliance, Inc. | 260 | 20,361 | ||||||
Lowe’s Cos., Inc. | 261 | 20,235 | ||||||
General Motors Co. | 418 | 14,601 | ||||||
TJX Cos., Inc. | 196 | 14,145 | ||||||
Ford Motor Co. | 1,191 | 13,327 | ||||||
Delta Air Lines, Inc. | 225 | 12,091 | ||||||
Southwest Airlines Co. | 184 | 11,434 | ||||||
Marriott International, Inc. — Class A | 95 | 9,529 | ||||||
Target Corp. | 168 | 8,785 | ||||||
Carnival Corp. | 127 | 8,327 | ||||||
Newell Brands, Inc. | 148 | 7,936 | ||||||
American Airlines Group, Inc. | 150 | 7,548 | ||||||
Yum! Brands, Inc. | 102 | 7,524 | ||||||
Delphi Automotive plc | 82 | 7,188 | ||||||
PACCAR, Inc. | 108 | 7,132 | ||||||
Ross Stores, Inc. | 120 | 6,928 | ||||||
United Continental Holdings, Inc.* | 86 | 6,472 | ||||||
O’Reilly Automotive, Inc.* | 28 | 6,125 | ||||||
VF Corp. | 97 | 5,587 | ||||||
Royal Caribbean Cruises Ltd. | 51 | 5,571 | ||||||
Dollar General Corp. | 77 | 5,551 | ||||||
Ulta Beauty, Inc.* | 18 | 5,172 | ||||||
AutoZone, Inc.* | 9 | 5,134 | ||||||
Dollar Tree, Inc.* | 72 | 5,034 | ||||||
Best Buy Co., Inc. | 81 | 4,644 | ||||||
Mohawk Industries, Inc.* | 19 | 4,592 | ||||||
Whirlpool Corp. | 23 | 4,407 | ||||||
Genuine Parts Co. | 45 | 4,174 | ||||||
Coach, Inc. | 86 | 4,071 | ||||||
L Brands, Inc. | 73 | 3,934 | ||||||
Hasbro, Inc. | 35 | 3,903 | ||||||
Hilton Worldwide Holdings, Inc. | 62 | 3,835 | ||||||
Fastenal Co. | 88 | 3,831 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 9 | 3,745 | ||||||
CarMax, Inc.*,1 | 58 | 3,657 | ||||||
DR Horton, Inc. | 104 | 3,595 | ||||||
Darden Restaurants, Inc. | 38 | 3,437 | ||||||
Alaska Air Group, Inc. | 38 | 3,411 | ||||||
Wynn Resorts Ltd. | 25 | 3,353 | ||||||
Lennar Corp. — Class A | 62 | 3,306 | ||||||
Wyndham Worldwide Corp. | 32 | 3,213 | ||||||
Tiffany & Co. | 33 | 3,098 | ||||||
LKQ Corp.* | 94 | 3,097 | ||||||
WW Grainger, Inc. | 16 | 2,888 | ||||||
Harley-Davidson, Inc. | 53 | 2,863 | ||||||
PVH Corp. | 24 | 2,748 | ||||||
Goodyear Tire & Rubber Co. | 77 | 2,692 | ||||||
Advance Auto Parts, Inc. | 23 | 2,682 | ||||||
BorgWarner, Inc. | 62 | 2,626 | ||||||
Hanesbrands, Inc. | 111 | 2,571 | ||||||
Mattel, Inc. | 105 | 2,261 | ||||||
Macy’s, Inc. | 93 | 2,161 | ||||||
PulteGroup, Inc. | 88 | 2,159 | ||||||
Leggett & Platt, Inc. | 41 | 2,154 | ||||||
Tractor Supply Co. | 39 | 2,114 | ||||||
Kohl’s Corp. | 52 | 2,011 | ||||||
Staples, Inc. | 199 | 2,004 | ||||||
Foot Locker, Inc. | 40 | 1,971 | ||||||
Michael Kors Holdings Ltd.* | 47 | 1,704 | ||||||
Nordstrom, Inc.1 | 34 | 1,626 | ||||||
Gap, Inc. | 67 | 1,473 | ||||||
Bed Bath & Beyond, Inc. | 44 | 1,338 | ||||||
Signet Jewelers Ltd.1 | 21 | 1,328 | ||||||
Ralph Lauren Corp. — Class A | 17 | 1,255 | ||||||
Under Armour, Inc. — Class A*,1 | 56 | 1,219 | ||||||
Under Armour, Inc. — Class C* | 56 | 1,129 | ||||||
AutoNation, Inc.*,1 | 20 | 843 | ||||||
Total Consumer, Cyclical | 564,424 |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
S&P 500® 2x STRATEGY FUND |
Shares | Value | |||||||
Energy - 0.9% | ||||||||
Exxon Mobil Corp. | 1,290 | $ | 104,141 | |||||
Chevron Corp. | 577 | 60,198 | ||||||
Schlumberger Ltd. | 424 | 27,917 | ||||||
ConocoPhillips | 377 | 16,573 | ||||||
EOG Resources, Inc. | 176 | 15,932 | ||||||
Occidental Petroleum Corp. | 234 | 14,010 | ||||||
Halliburton Co. | 264 | 11,275 | ||||||
Kinder Morgan, Inc. | 584 | 11,189 | ||||||
Phillips 66 | 133 | 10,998 | ||||||
Valero Energy Corp. | 136 | 9,175 | ||||||
Pioneer Natural Resources Co. | 52 | 8,298 | ||||||
Marathon Petroleum Corp. | 158 | 8,268 | ||||||
Anadarko Petroleum Corp. | 171 | 7,753 | ||||||
Williams Companies, Inc. | 252 | 7,631 | ||||||
Baker Hughes, Inc. | 130 | 7,086 | ||||||
ONEOK, Inc. | 116 | 6,051 | ||||||
Concho Resources, Inc.* | 46 | 5,590 | ||||||
Apache Corp. | 116 | 5,560 | ||||||
Devon Energy Corp. | 161 | 5,147 | ||||||
Tesoro Corp. | 46 | 4,306 | ||||||
Noble Energy, Inc. | 139 | 3,934 | ||||||
TechnipFMC plc* | 142 | 3,862 | ||||||
National Oilwell Varco, Inc. | 117 | 3,854 | ||||||
Hess Corp. | 83 | 3,641 | ||||||
Cabot Oil & Gas Corp. — Class A | 142 | 3,561 | ||||||
Equities Corp. | 53 | 3,105 | ||||||
Marathon Oil Corp. | 259 | 3,069 | ||||||
Cimarex Energy Co. | 29 | 2,726 | ||||||
Helmerich & Payne, Inc.1 | 34 | 1,848 | ||||||
Newfield Exploration Co.* | 61 | 1,736 | ||||||
Range Resources Corp. | 57 | 1,321 | ||||||
Murphy Oil Corp. | 50 | 1,282 | ||||||
Chesapeake Energy Corp.*,1 | 232 | 1,153 | ||||||
Transocean Ltd.* | 119 | 979 | ||||||
Total Energy | 383,169 | |||||||
Utilities - 0.5% | ||||||||
NextEra Energy, Inc. | 143 | 20,038 | ||||||
Duke Energy Corp. | 213 | 17,804 | ||||||
Dominion Energy, Inc. | 191 | 14,636 | ||||||
Southern Co. | 303 | 14,508 | ||||||
American Electric Power Company, Inc. | 150 | 10,421 | ||||||
PG&E Corp. | 156 | 10,354 | ||||||
Exelon Corp. | 283 | 10,208 | ||||||
Sempra Energy | 76 | 8,569 | ||||||
PPL Corp. | 208 | 8,041 | ||||||
Edison International | 99 | 7,741 | ||||||
Consolidated Edison, Inc. | 94 | 7,597 | ||||||
Xcel Energy, Inc. | 154 | 7,066 | ||||||
Public Service Enterprise Group, Inc. | 154 | 6,624 | ||||||
WEC Energy Group, Inc. | 96 | 5,892 | ||||||
Eversource Energy | 96 | 5,828 | ||||||
DTE Energy Co. | 55 | 5,818 | ||||||
American Water Works Co., Inc. | 55 | 4,287 | ||||||
Entergy Corp. | 55 | 4,222 | ||||||
Ameren Corp. | 74 | 4,046 | ||||||
CMS Energy Corp. | 86 | 3,978 | ||||||
FirstEnergy Corp. | 135 | 3,937 | ||||||
CenterPoint Energy, Inc. | 131 | 3,587 | ||||||
SCANA Corp. | 44 | 2,948 | ||||||
Pinnacle West Capital Corp. | 34 | 2,895 | ||||||
Alliant Energy Corp. | 70 | 2,812 | ||||||
NiSource, Inc. | 99 | 2,511 | ||||||
AES Corp. | 201 | 2,233 | ||||||
NRG Energy, Inc. | 96 | 1,653 | ||||||
Total Utilities | 200,254 | |||||||
Basic Materials - 0.4% | ||||||||
Dow Chemical Co. | 343 | 21,633 | ||||||
EI du Pont de Nemours & Co. | 265 | 21,388 | ||||||
Monsanto Co. | 134 | 15,860 | ||||||
Praxair, Inc. | 87 | 11,532 | ||||||
Air Products & Chemicals, Inc. | 67 | 9,585 | ||||||
Sherwin-Williams Co. | 25 | 8,774 | ||||||
PPG Industries, Inc. | 78 | 8,577 | ||||||
LyondellBasell Industries N.V. — Class A | 100 | 8,439 | ||||||
International Paper Co. | 126 | 7,133 | ||||||
Nucor Corp. | 97 | 5,613 | ||||||
Newmont Mining Corp. | 162 | 5,247 | ||||||
Freeport-McMoRan, Inc.* | 405 | 4,864 | ||||||
Eastman Chemical Co. | 44 | 3,696 | ||||||
Albemarle Corp. | 34 | 3,588 | ||||||
International Flavors & Fragrances, Inc. | 24 | 3,240 | ||||||
FMC Corp. | 41 | 2,995 | ||||||
Mosaic Co. | 108 | 2,466 | ||||||
CF Industries Holdings, Inc. | 71 | 1,985 | ||||||
Total Basic Materials | 146,615 | |||||||
Diversified - 0.0% | ||||||||
Leucadia National Corp. | 99 | 2,590 | ||||||
Total Common Stocks | ||||||||
(Cost $5,645,734) | 6,330,777 | |||||||
MUTUAL FUNDS† - 53.0% | ||||||||
Guggenheim Strategy Fund I2 | 450,991 | 11,306,345 | ||||||
Guggenheim Strategy Fund II2 | 418,622 | 10,469,728 | ||||||
Total Mutual Funds | ||||||||
(Cost $21,729,252) | 21,776,073 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 2.7% | ||||||||
U.S. Treasury Bill | ||||||||
0.96% due 09/07/173,4,10 | $ | 1,000,000 | 998,258 | |||||
0.91% due 08/03/174,5,10 | 100,000 | 99,927 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $1,098,074) | 1,098,185 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
S&P 500® 2x STRATEGY FUND |
Face | Value | |||||||
REPURCHASE AGREEMENTS††,6 - 28.7% | ||||||||
HSBC Securities, Inc. | $ | 5,938,104 | $ | 5,938,104 | ||||
Bank of America Merrill Lynch | 3,178,391 | 3,178,391 | ||||||
RBC Capital Markets LLC | 2,645,026 | 2,645,026 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $11,761,521) | 11,761,521 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,7 - 0.0% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%8 | 16,673 | 16,673 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $16,673) | 16,673 | |||||||
Total Investments - 99.8% | ||||||||
(Cost $40,251,254) | $ | 40,983,229 | ||||||
Other Assets & Liabilities, net - 0.2% | 67,019 | |||||||
Total Net Assets - 100.0% | $ | 41,050,248 |
Contracts | Unrealized | |||||||
EQUITY FUTURES CONTRACTS PURCHASED† | ||||||||
September 2017 S&P 500 Index | 120 | $ | 3,885 | |||||
Units | ||||||||
OTC EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Barclays Bank plc | 7,123 |
| 24,968 | |||||
Goldman Sachs International | 5,401 | (83,358 | ) | |||||
BNP Paribas | 12,895 | (86,451 | ) | |||||
(Total Notional Value $61,599,209) | $ | (144,841 | ) |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Affiliated issuer — See Note 10. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2017. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | All or a portion of this security is pledged as futures collateral at June 30, 2017. |
6 | Repurchase Agreements — See Note 5. |
7 | Securities lending collateral — See Note 6. |
8 | Rate indicated is the 7 day yield as of June 30, 2017. |
9 | Total Return based on S&P 500 Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. |
10 | Zero coupon security. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
S&P 500® 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Common Stocks | $ | 6,330,777 | $ | — | $ | — | $ | — | $ | — | $ | 6,330,777 | ||||||||||||
Equity Futures Contracts | — | 3,885 | — | — | — | 3,885 | ||||||||||||||||||
Equity Index Swap Agreements | — | — | — | 24,968 | — | 24,968 | ||||||||||||||||||
Mutual Funds | 21,776,073 | — | — | — | — | 21,776,073 | ||||||||||||||||||
Repurchase Agreements | — | — | 11,761,521 | — | — | 11,761,521 | ||||||||||||||||||
Securities Lending Collateral | 16,673 | — | — | — | — | 16,673 | ||||||||||||||||||
U.S. Treasury Bills | — | — | 1,098,185 | — | — | 1,098,185 | ||||||||||||||||||
Total Assets | $ | 28,123,523 | $ | 3,885 | $ | 12,859,706 | $ | 24,968 | $ | — | $ | 41,012,082 | ||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | — | $ | 169,809 | $ | — | $ | 169,809 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
S&P 500® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $16,265 of securities loaned (cost $6,760,481) | $ | 7,445,635 | ||
Investments in affiliated issuers, at value (cost $21,729,252) | 21,776,073 | |||
Repurchase agreements, at value (cost $11,761,521) | 11,761,521 | |||
Total investments (cost $40,251,254) | 40,983,229 | |||
Segregated cash with broker | 442,452 | |||
Unrealized appreciation on swap agreements | 24,968 | |||
Cash | 190 | |||
Receivables: | ||||
Variation margin | 3,885 | |||
Fund shares sold | 22,111 | |||
Dividends | 39,878 | |||
Interest | 333 | |||
Securities lending income | 7 | |||
Total assets | 41,517,053 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 169,809 | |||
Payable for: | ||||
Swap settlement | 92,955 | |||
Fund shares redeemed | 58,084 | |||
Securities purchased | 36,314 | |||
Management fees | 27,724 | |||
Return of securities loaned | 16,673 | |||
Transfer agent and administrative fees | 7,701 | |||
Investor service fees | 7,701 | |||
Portfolio accounting fees | 3,080 | |||
Miscellaneous | 46,764 | |||
Total liabilities | 466,805 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 41,050,248 | ||
Net assets consist of: | ||||
Paid in capital | $ | 36,316,285 | ||
Accumulated net investment loss | (17,744 | ) | ||
Accumulated net realized gain on investments | 4,160,688 | |||
Net unrealized appreciation on investments | 591,019 | |||
Net assets | $ | 41,050,248 | ||
Capital shares outstanding | 197,700 | |||
Net asset value per share | $ | 207.64 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 147,322 | ||
Dividends from securities of unaffiliated issuers | 93,382 | |||
Interest | 19,675 | |||
Income from securities lending, net | 53 | |||
Total investment income | 260,432 | |||
Expenses: | ||||
Management fees | 142,928 | |||
Transfer agent and administrative fees | 39,702 | |||
Investor service fees | 39,702 | |||
Portfolio accounting fees | 15,881 | |||
Professional fees | 25,901 | |||
Custodian fees | 2,810 | |||
Trustees’ fees* | 1,783 | |||
Line of credit fees | 237 | |||
Miscellaneous | 9,232 | |||
Total expenses | 278,176 | |||
Net investment loss | (17,744 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 516,515 | |||
Swap agreements | 3,443,818 | |||
Futures contracts | 205,943 | |||
Net realized gain | 4,166,276 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 208,813 | |||
Investments in affiliated issuers | 31,158 | |||
Swap agreements | 182,972 | |||
Futures contracts | 5,573 | |||
Net change in unrealized appreciation (depreciation) | 428,516 | |||
Net realized and unrealized gain | 4,594,792 | |||
Net increase in net assets resulting from operations | $ | 4,577,048 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (17,744 | ) | $ | (73,707 | ) | ||
Net realized gain on investments | 4,166,276 | 6,362,818 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 428,516 | (730,776 | ) | |||||
Net increase in net assets resulting from operations | 4,577,048 | 5,558,335 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (2,430,576 | ) | |||||
Total distributions to shareholders | — | (2,430,576 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 149,951,173 | 262,943,430 | ||||||
Distributions reinvested | — | 2,430,576 | ||||||
Cost of shares redeemed | (138,372,477 | ) | (264,774,391 | ) | ||||
Net increase from capital share transactions | 11,578,696 | 599,615 | ||||||
Net increase in net assets | 16,155,744 | 3,727,374 | ||||||
Net assets: | ||||||||
Beginning of period | 24,894,504 | 21,167,130 | ||||||
End of period | $ | 41,050,248 | $ | 24,894,504 | ||||
Accumulated net investment loss at end of period | $ | (17,744 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 747,619 | 1,621,447 | ||||||
Shares issued from reinvestment of distributions | — | 14,823 | ||||||
Shares redeemed | (690,947 | ) | (1,623,359 | ) | ||||
Net increase in shares | 56,672 | 12,911 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
S&P 500® 2x STRATEGY FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 176.52 | $ | 165.22 | $ | 227.28 | $ | 235.85 | $ | 139.79 | $ | 108.05 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.11 | ) | (.53 | ) | (1.11 | ) | (.86 | ) | (.91 | ) | (.36 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 31.23 | 32.62 | 1.42 | 57.67 | 96.97 | 32.10 | ||||||||||||||||||
Total from investment operations | 31.12 | 32.09 | .31 | 56.81 | 96.06 | 31.74 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (20.79 | ) | (62.37 | ) | (65.38 | ) | — | — | |||||||||||||||
Total distributions | — | (20.79 | ) | (62.37 | ) | (65.38 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 207.64 | $ | 176.52 | $ | 165.22 | $ | 227.28 | $ | 235.85 | $ | 139.79 | ||||||||||||
Total Returnc | 17.63 | % | 20.40 | % | (1.66 | %) | 24.66 | % | 68.71 | % | 29.39 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 41,050 | $ | 24,895 | $ | 21,167 | $ | 38,795 | $ | 27,492 | $ | 12,484 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.11 | %) | (0.32 | %) | (0.55 | %) | (0.35 | %) | (0.49 | %) | (0.28 | %) | ||||||||||||
Total expensesd | 1.75 | % | 1.71 | % | 1.66 | % | 1.74 | % | 1.69 | % | 1.73 | % | ||||||||||||
Portfolio turnover rate | 194 | % | 578 | % | 558 | % | 475 | % | 225 | % | 301 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
NASDAQ-100® 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, 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”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: October 1, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 24.5% |
Guggenheim Strategy Fund II | 14.6% |
Apple, Inc. | 5.6% |
Microsoft Corp. | 4.0% |
Amazon.com, Inc. | 3.4% |
Facebook, Inc. — Class A | 2.7% |
Alphabet, Inc. — Class C | 2.3% |
Alphabet, Inc. — Class A | 2.1% |
Comcast Corp. — Class A | 1.4% |
Intel Corp. | 1.2% |
Top Ten Total | 61.8% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
NASDAQ-100® 2x Strategy Fund | 33.65% | 61.19% | 33.58% | 17.31% |
NASDAQ-100 Index | 16.78% | 29.39% | 18.17% | 12.46% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
NASDAQ-100® 2x STRATEGY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 48.1% | ||||||||
Technology - 18.0% | ||||||||
Apple, Inc. | 22,888 | $ | 3,296,329 | |||||
Microsoft Corp. | 33,892 | 2,336,175 | ||||||
Intel Corp. | 20,672 | 697,474 | ||||||
Broadcom Ltd. | 1,762 | 410,634 | ||||||
NVIDIA Corp. | 2,612 | 377,591 | ||||||
QUALCOMM, Inc. | 6,486 | 358,157 | ||||||
Texas Instruments, Inc. | 4,374 | 336,492 | ||||||
Adobe Systems, Inc.* | 2,172 | 307,207 | ||||||
Applied Materials, Inc. | 4,717 | 194,859 | ||||||
Activision Blizzard, Inc. | 3,308 | 190,442 | ||||||
Cognizant Technology Solutions Corp. — Class A | 2,586 | 171,710 | ||||||
Intuit, Inc. | 1,125 | 149,411 | ||||||
Micron Technology, Inc.* | 4,856 | 145,000 | ||||||
Electronic Arts, Inc.* | 1,361 | 143,885 | ||||||
Analog Devices, Inc. | 1,611 | 125,336 | ||||||
Fiserv, Inc.* | 932 | 114,021 | ||||||
Western Digital Corp. | 1,278 | 113,231 | ||||||
NetEase, Inc. ADR | 335 | 100,711 | ||||||
Lam Research Corp. | 708 | 100,132 | ||||||
Autodesk, Inc.* | 967 | 97,493 | ||||||
Cerner Corp.* | 1,451 | 96,448 | ||||||
Paychex, Inc. | 1,577 | 89,794 | ||||||
Check Point Software Technologies Ltd.* | 729 | 79,519 | ||||||
Microchip Technology, Inc. | 1,007 | 77,720 | ||||||
Skyworks Solutions, Inc. | 810 | 77,720 | ||||||
Xilinx, Inc. | 1,089 | 70,044 | ||||||
CA, Inc. | 1,834 | 63,218 | ||||||
KLA-Tencor Corp. | 688 | 62,959 | ||||||
Maxim Integrated Products, Inc. | 1,240 | 55,676 | ||||||
Citrix Systems, Inc.* | 664 | 52,841 | ||||||
Seagate Technology plc | 1,302 | 50,453 | ||||||
Akamai Technologies, Inc.* | 759 | 37,806 | ||||||
Total Technology | 10,580,488 | |||||||
Communications - 17.9% | ||||||||
Amazon.com, Inc.* | 2,098 | 2,030,864 | ||||||
Facebook, Inc. — Class A* | 10,381 | 1,567,323 | ||||||
Alphabet, Inc. — Class C* | 1,523 | 1,383,996 | ||||||
Alphabet, Inc. — Class A* | 1,307 | 1,215,092 | ||||||
Comcast Corp. — Class A | 20,779 | 808,719 | ||||||
Cisco Systems, Inc. | 21,949 | 687,004 | ||||||
Priceline Group, Inc.* | 216 | 404,032 | ||||||
Charter Communications, Inc. — Class A* | 1,174 | 395,462 | ||||||
Netflix, Inc.* | 1,892 | 282,684 | ||||||
T-Mobile US, Inc.* | 3,647 | 221,081 | ||||||
Baidu, Inc. ADR* | 1,212 | 216,778 | ||||||
eBay, Inc.* | 4,751 | 165,905 | ||||||
JD.com, Inc. ADR* | 4,026 | 157,900 | ||||||
Twenty-First Century Fox, Inc. — Class A | 4,620 | 130,931 | ||||||
Sirius XM Holdings, Inc.1 | 20,479 | 112,020 | ||||||
Ctrip.com International Ltd. ADR* | 1,956 | 105,350 | ||||||
Twenty-First Century Fox, Inc. — Class B | 3,505 | 97,684 | ||||||
Expedia, Inc. | 606 | 90,264 | ||||||
Liberty Global plc — Class C* | 2,674 | 83,375 | ||||||
Symantec Corp. | 2,670 | 75,428 | ||||||
DISH Network Corp. — Class A* | 999 | 62,697 | ||||||
Vodafone Group plc ADR | 1,911 | 54,903 | ||||||
Viacom, Inc. — Class B | 1,547 | 51,933 | ||||||
MercadoLibre, Inc. | 194 | 48,671 | ||||||
Liberty Global plc — Class A* | 1,041 | 33,437 | ||||||
Discovery Communications, Inc. — Class C* | 985 | 24,832 | ||||||
Liberty Ventures* | 356 | 18,615 | ||||||
Discovery Communications, Inc. — Class A* | 675 | 17,435 | ||||||
Liberty Global plc LiLAC — Class C* | 530 | 11,347 | ||||||
Liberty Global plc LiLAC — Class A* | 218 | 4,746 | ||||||
Total Communications | 10,560,508 | |||||||
Consumer, Non-cyclical - 7.8% | ||||||||
Amgen, Inc. | 3,228 | 555,959 | ||||||
Kraft Heinz Co. | 5,345 | 457,745 | ||||||
Celgene Corp.* | 3,428 | 445,194 | ||||||
Gilead Sciences, Inc. | 5,736 | 405,994 | ||||||
Mondelez International, Inc. — Class A | 6,661 | 287,689 | ||||||
PayPal Holdings, Inc.* | 5,273 | 283,002 | ||||||
Biogen, Inc.* | 931 | 252,636 | ||||||
Regeneron Pharmaceuticals, Inc.* | 458 | 224,942 | ||||||
Automatic Data Processing, Inc. | 1,964 | 201,231 | ||||||
Express Scripts Holding Co.* | 2,605 | 166,304 | ||||||
Intuitive Surgical, Inc.* | 162 | 151,530 | ||||||
Vertex Pharmaceuticals, Inc.* | 1,093 | 140,855 | ||||||
Monster Beverage Corp.* | 2,493 | 123,852 | ||||||
Alexion Pharmaceuticals, Inc.* | 986 | 119,967 | ||||||
Incyte Corp.* | 899 | 113,193 | ||||||
Illumina, Inc.* | 641 | 111,226 | ||||||
Mylan N.V.* | 2,353 | 91,343 | ||||||
BioMarin Pharmaceutical, Inc.* | 766 | 69,568 | ||||||
Dentsply Sirona, Inc. | 1,006 | 65,229 | ||||||
Henry Schein, Inc.* | 348 | 63,691 | ||||||
IDEXX Laboratories, Inc.* | 387 | 62,470 | ||||||
Verisk Analytics, Inc. — Class A* | 726 | 61,253 | ||||||
Cintas Corp. | 462 | 58,230 | ||||||
Shire plc ADR | 344 | 56,853 | ||||||
Hologic, Inc.* | 1,229 | 55,772 | ||||||
Total Consumer, Non-cyclical | 4,625,728 | |||||||
Consumer, Cyclical - 4.0% | ||||||||
Walgreens Boots Alliance, Inc. | 4,745 | 371,582 | ||||||
Starbucks Corp. | 6,357 | 370,677 | ||||||
Costco Wholesale Corp. | 1,927 | 308,185 | ||||||
Tesla, Inc.*,1 | 721 | 260,720 | ||||||
Marriott International, Inc. — Class A | 1,663 | 166,815 | ||||||
American Airlines Group, Inc. | 2,162 | 108,792 | ||||||
PACCAR, Inc. | 1,542 | 101,834 | ||||||
Ross Stores, Inc. | 1,721 | 99,353 | ||||||
O’Reilly Automotive, Inc.* | 399 | 87,277 | ||||||
Ulta Beauty, Inc.* | 273 | 78,444 | ||||||
Dollar Tree, Inc.* | 1,039 | 72,647 | ||||||
Hasbro, Inc. | 549 | 61,219 |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
NASDAQ-100® 2x STRATEGY FUND |
Shares | Value | |||||||
Wynn Resorts Ltd. | 449 | $ | 60,220 | |||||
Fastenal Co. | 1,270 | 55,283 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 1,000 | 54,290 | ||||||
Liberty Interactive Corporation QVC Group — Class A* | 1,850 | 45,399 | ||||||
Mattel, Inc. | 1,504 | 32,381 | ||||||
Tractor Supply Co. | 565 | 30,629 | ||||||
Total Consumer, Cyclical | 2,365,747 | |||||||
Industrial - 0.4% | ||||||||
CSX Corp. | 4,050 | 220,968 | ||||||
J.B. Hunt Transport Services, Inc. | 483 | 44,137 | ||||||
Total Industrial | 265,105 | |||||||
Total Common Stocks | ||||||||
(Cost $23,025,598) | 28,397,576 | |||||||
MUTUAL FUNDS† - 39.1% | ||||||||
Guggenheim Strategy Fund I2 | 578,792 | 14,510,326 | ||||||
Guggenheim Strategy Fund II2 | 345,180 | 8,632,949 | ||||||
Total Mutual Funds | ||||||||
(Cost $23,087,636) | 23,143,275 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 0.8% | ||||||||
U.S. Treasury Bill | ||||||||
0.96% due 09/07/173,4,9 | $ | 500,000 | 499,129 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $499,079) | 499,129 | |||||||
REPURCHASE AGREEMENTS††,5 - 12.0% | ||||||||
HSBC Securities, Inc. | 5,176,861 | 5,176,861 |
Bank of America Merrill Lynch | 1,917,027 | 1,917,027 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $7,093,888) | 7,093,888 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,6 - 0.5% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%7 | 293,146 | 293,146 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $293,146) | 293,146 | |||||||
Total Investments - 100.5% | ||||||||
(Cost $53,999,347) | $ | 59,427,014 | ||||||
Other Assets & Liabilities, net - (0.5)% | (296,002 | ) | ||||||
Total Net Assets - 100.0% | $ | 59,131,012 | ||||||
Units | Unrealized | |||||||
OTC EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Barclays Bank plc | 3,339 | $ | (20,865 | ) | ||||
Goldman Sachs International | 3,116 | (400,660 | ) | |||||
BNP Paribas | 9,461 | (1,242,142 | ) | |||||
(Total Notional Value $89,882,865) | $ | (1,663,667 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
NASDAQ-100® 2x STRATEGY FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Affiliated issuer — See Note 10. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2017. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 5. |
6 | Securities lending collateral — See Note 6. |
7 | Rate indicated is the 7 day yield as of June 30, 2017. |
8 | Total Return based on NASDAQ-100 Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. |
9 | Zero coupon security. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 28,397,576 | $ | — | $ | — | $ | — | $ | 28,397,576 | ||||||||||
Mutual Funds | 23,143,275 | — | — | — | 23,143,275 | |||||||||||||||
Repurchase Agreements | — | 7,093,888 | — | — | 7,093,888 | |||||||||||||||
Securities Lending Collateral | 293,146 | — | — | — | 293,146 | |||||||||||||||
U.S. Treasury Bills | — | 499,129 | — | — | 499,129 | |||||||||||||||
Total Assets | $ | 51,833,997 | $ | 7,593,017 | $ | — | $ | — | $ | 59,427,014 | ||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | 1,663,667 | $ | — | $ | 1,663,667 |
* | Other financial instruments include swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NASDAQ-100® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $289,097 of securities loaned (cost $23,817,823) | $ | 29,189,851 | ||
Investments in affiliated issuers, at value (cost $23,087,636) | 23,143,275 | |||
Repurchase agreements, at value (cost $7,093,888) | 7,093,888 | |||
Total investments (cost $53,999,347) | 59,427,014 | |||
Segregated cash with broker | 1,983,839 | |||
Cash | 1,844 | |||
Receivables: | ||||
Securities sold | 1,396,574 | |||
Fund shares sold | 157,563 | |||
Dividends | 45,153 | |||
Interest | 200 | |||
Securities lending income | 237 | |||
Total assets | 63,012,424 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 1,663,667 | |||
Line of Credit | 1,256,000 | |||
Payable for: | ||||
Fund shares redeemed | 351,991 | |||
Return of securities loaned | 293,146 | |||
Swap settlement | 119,897 | |||
Management fees | 47,460 | |||
Securities purchased | 37,339 | |||
Transfer agent and administrative fees | 13,183 | |||
Investor service fees | 13,183 | |||
Portfolio accounting fees | 5,273 | |||
Miscellaneous | 80,273 | |||
Total liabilities | 3,881,412 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 59,131,012 | ||
Net assets consist of: | ||||
Paid in capital | $ | 45,379,076 | ||
Accumulated net investment loss | (109,189 | ) | ||
Accumulated net realized gain on investments | 10,097,125 | |||
Net unrealized appreciation on investments | 3,764,000 | |||
Net assets | $ | 59,131,012 | ||
Capital shares outstanding | 1,140,762 | |||
Net asset value per share | $ | 51.83 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $87) | $ | 168,208 | ||
Dividends from securities of affiliated issuers | 156,102 | |||
Interest | 25,667 | |||
Income from securities lending, net | 1,137 | |||
Total investment income | 351,114 | |||
Expenses: | ||||
Management fees | 231,616 | |||
Transfer agent and administrative fees | 64,338 | |||
Investor service fees | 64,338 | |||
Portfolio accounting fees | 25,735 | |||
Professional fees | 39,629 | |||
Custodian fees | 4,666 | |||
Trustees’ fees* | 2,811 | |||
Line of credit fees | 33 | |||
Miscellaneous | 27,137 | |||
Total expenses | 460,303 | |||
Net investment loss | (109,189 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (231,085 | ) | ||
Investments in affiliated issuers | 444 | |||
Swap agreements | 9,706,159 | |||
Futures contracts | 832,405 | |||
Net realized gain | 10,307,923 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 3,759,342 | |||
Investments in affiliated issuers | 30,134 | |||
Swap agreements | (1,164,469 | ) | ||
Futures contracts | 36,243 | |||
Net change in unrealized appreciation (depreciation) | 2,661,250 | |||
Net realized and unrealized gain | 12,969,173 | |||
Net increase in net assets resulting from operations | $ | 12,859,984 |
* | 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 FUNDS SEMI-ANNUAL REPORT | 53 |
NASDAQ-100® 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (109,189 | ) | $ | (195,637 | ) | ||
Net realized gain on investments | 10,307,923 | 1,680,673 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 2,661,250 | (1,791,988 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 12,859,984 | (306,952 | ) | |||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (2,940,879 | ) | |||||
Total distributions to shareholders | — | (2,940,879 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 69,085,133 | 152,962,175 | ||||||
Distributions reinvested | — | 2,940,879 | ||||||
Cost of shares redeemed | (63,929,544 | ) | (161,533,807 | ) | ||||
Net increase (decrease) from capital share transactions | 5,155,589 | (5,630,753 | ) | |||||
Net increase (decrease) in net assets | 18,015,573 | (8,878,584 | ) | |||||
Net assets: | ||||||||
Beginning of period | 41,115,439 | 49,994,023 | ||||||
End of period | $ | 59,131,012 | $ | 41,115,439 | ||||
Accumulated net investment loss at end of period | $ | (109,189 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 1,430,222 | 4,160,580 | ||||||
Shares issued from reinvestment of distributions | — | 84,508 | ||||||
Shares redeemed | (1,349,532 | ) | (4,477,772 | ) | ||||
Net increase (decrease) in shares | 80,690 | (232,684 | ) |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NASDAQ-100® 2x STRATEGY FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 38.79 | $ | 38.67 | $ | 41.60 | $ | 45.40 | $ | 27.75 | $ | 20.69 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.10 | ) | (.22 | ) | (.31 | ) | (.34 | ) | (.25 | ) | (.22 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 13.14 | 3.57 | 6.26 | 16.78 | 21.99 | 7.28 | ||||||||||||||||||
Total from investment operations | 13.04 | 3.35 | 5.95 | 16.44 | 21.74 | 7.06 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (3.23 | ) | (8.88 | ) | (20.24 | ) | (4.09 | ) | — | ||||||||||||||
Total distributions | — | (3.23 | ) | (8.88 | ) | (20.24 | ) | (4.09 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 51.83 | $ | 38.79 | $ | 38.67 | $ | 41.60 | $ | 45.40 | $ | 27.75 | ||||||||||||
Total Returnc | 33.65 | % | 9.60 | % | 14.63 | % | 36.57 | % | 80.21 | % | 34.12 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 59,131 | $ | 41,115 | $ | 49,994 | $ | 58,484 | $ | 46,018 | $ | 24,938 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.42 | %) | (0.62 | %) | (0.75 | %) | (0.69 | %) | (0.70 | %) | (0.80 | %) | ||||||||||||
Total expensesd | 1.79 | % | 1.75 | % | 1.68 | % | 1.75 | % | 1.72 | % | 1.76 | % | ||||||||||||
Portfolio turnover rate | 50 | % | 494 | % | 294 | % | 275 | % | 174 | % | 120 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
MID-CAP 1.5x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark for mid-cap securities on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P MidCap 400® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: October 1, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 24.7% |
Guggenheim Strategy Fund I | 13.7% |
ResMed, Inc. | 0.4% |
Packaging Corporation of America | 0.3% |
Domino’s Pizza, Inc. | 0.3% |
Duke Realty Corp. | 0.3% |
Cadence Design Systems, Inc. | 0.3% |
Teleflex, Inc. | 0.3% |
MSCI, Inc. — Class A | 0.3% |
SVB Financial Group | 0.3% |
Top Ten Total | 40.9% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Mid-Cap 1.5x Strategy Fund | 7.93% | 26.51% | 20.11% | 8.03% |
S&P MidCap 400 Index | 5.99% | 18.57% | 14.92% | 8.56% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
MID-CAP 1.5x STRATEGY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 53.1% | ||||||||
Financial - 13.2% | ||||||||
Duke Realty Corp. | 742 | $ | 20,740 | |||||
SVB Financial Group* | 110 | 19,336 | ||||||
Alleghany Corp.* | 32 | 19,034 | ||||||
East West Bancorp, Inc. | 302 | 17,690 | ||||||
Reinsurance Group of America, Inc. — Class A | 134 | 17,204 | ||||||
Signature Bank* | 111 | 15,932 | ||||||
Camden Property Trust | 183 | 15,649 | ||||||
Kilroy Realty Corp. | 205 | 15,407 | ||||||
American Financial Group, Inc. | 153 | 15,204 | ||||||
SEI Investments Co. | 278 | 14,952 | ||||||
WR Berkley Corp. | 202 | 13,972 | ||||||
Omega Healthcare Investors, Inc. | 411 | 13,571 | ||||||
New York Community Bancorp, Inc. | 1,020 | 13,393 | ||||||
American Campus Communities, Inc. | 280 | 13,244 | ||||||
Lamar Advertising Co. — Class A | 174 | 12,801 | ||||||
Liberty Property Trust | 307 | 12,498 | ||||||
Janus Henderson Group plc* | 376 | 12,449 | ||||||
National Retail Properties, Inc. | 311 | 12,160 | ||||||
Bank of the Ozarks | 253 | 11,858 | ||||||
RenaissanceRe Holdings Ltd. | 85 | 11,819 | ||||||
Jones Lang LaSalle, Inc. | 94 | 11,750 | ||||||
Douglas Emmett, Inc. | 307 | 11,730 | ||||||
PacWest Bancorp | 250 | 11,675 | ||||||
Eaton Vance Corp. | 240 | 11,357 | ||||||
Synovus Financial Corp. | 255 | 11,281 | ||||||
Cullen/Frost Bankers, Inc. | 119 | 11,175 | ||||||
Highwoods Properties, Inc. | 213 | 10,801 | ||||||
SLM Corp.* | 900 | 10,350 | ||||||
Commerce Bancshares, Inc. | 182 | 10,343 | ||||||
Brown & Brown, Inc. | 240 | 10,337 | ||||||
First American Financial Corp. | 230 | 10,279 | ||||||
DCT Industrial Trust, Inc. | 192 | 10,260 | ||||||
Senior Housing Properties Trust | 495 | 10,118 | ||||||
Webster Financial Corp. | 192 | 10,026 | ||||||
Old Republic International Corp. | 512 | 9,999 | ||||||
Hospitality Properties Trust | 343 | 9,998 | ||||||
Medical Properties Trust, Inc. | 760 | 9,781 | ||||||
EPR Properties | 134 | 9,631 | ||||||
FNB Corp. | 674 | 9,544 | ||||||
Pinnacle Financial Partners, Inc. | 151 | 9,483 | ||||||
Prosperity Bancshares, Inc. | 145 | 9,315 | ||||||
CyrusOne, Inc. REIT | 163 | 9,087 | ||||||
Wintrust Financial Corp. | 116 | 8,867 | ||||||
Hancock Holding Co. | 176 | 8,624 | ||||||
United Bankshares, Inc. | 219 | 8,585 | ||||||
First Horizon National Corp. | 488 | 8,501 | ||||||
Umpqua Holdings Corp. | 460 | 8,446 | ||||||
Healthcare Realty Trust, Inc. | 243 | 8,298 | ||||||
Uniti Group, Inc. REIT* | 330 | 8,296 | ||||||
Associated Banc-Corp. | 318 | 8,014 | ||||||
Texas Capital Bancshares, Inc.* | 103 | 7,972 | ||||||
Hanover Insurance Group, Inc. | 89 | 7,888 | ||||||
Rayonier, Inc. | 269 | 7,739 | ||||||
GEO Group, Inc. | 260 | 7,688 | ||||||
Cousins Properties, Inc. | 874 | 7,682 | ||||||
Taubman Centers, Inc. | 127 | 7,563 | ||||||
CNO Financial Group, Inc. | 357 | 7,454 | ||||||
Weingarten Realty Investors | 246 | 7,405 | ||||||
Bank of Hawaii Corp. | 89 | 7,384 | ||||||
Corporate Office Properties Trust | 208 | 7,286 | ||||||
Primerica, Inc. | 95 | 7,196 | ||||||
Life Storage, Inc. | 97 | 7,188 | ||||||
Chemical Financial Corp. | 148 | 7,165 | ||||||
LaSalle Hotel Properties | 236 | 7,033 | ||||||
First Industrial Realty Trust, Inc. | 244 | 6,983 | ||||||
Fulton Financial Corp. | 365 | 6,935 | ||||||
UMB Financial Corp. | 91 | 6,812 | ||||||
Legg Mason, Inc. | 178 | 6,792 | ||||||
CoreCivic, Inc. | 246 | 6,785 | ||||||
Stifel Financial Corp.* | 143 | 6,575 | ||||||
Home BancShares, Inc. | 263 | 6,549 | ||||||
MB Financial, Inc. | 148 | 6,518 | ||||||
Valley National Bancorp | 551 | 6,507 | ||||||
Aspen Insurance Holdings Ltd. | 125 | 6,231 | ||||||
Washington Federal, Inc. | 186 | 6,175 | ||||||
Cathay General Bancorp | 157 | 5,958 | ||||||
Education Realty Trust, Inc. | 152 | 5,890 | ||||||
TCF Financial Corp. | 357 | 5,691 | ||||||
Federated Investors, Inc. — Class B | 193 | 5,452 | ||||||
BancorpSouth, Inc. | 173 | 5,277 | ||||||
Tanger Factory Outlet Centers, Inc. | 201 | 5,222 | ||||||
Mack-Cali Realty Corp. | 187 | 5,075 | ||||||
Urban Edge Properties | 206 | 4,888 | ||||||
Care Capital Properties, Inc. | 175 | 4,673 | ||||||
Trustmark Corp. | 141 | 4,535 | ||||||
International Bancshares Corp. | 121 | 4,241 | ||||||
Mercury General Corp. | 76 | 4,104 | ||||||
Alexander & Baldwin, Inc. | 96 | 3,972 | ||||||
Genworth Financial, Inc. — Class A* | 1,041 | 3,925 | ||||||
Kemper Corp. | 101 | 3,899 | ||||||
Potlatch Corp. | 85 | 3,885 | ||||||
Quality Care Properties, Inc.* | 195 | 3,570 | ||||||
Washington Prime Group, Inc. | 387 | 3,239 | ||||||
Total Financial | 855,865 | |||||||
Industrial - 10.2% | ||||||||
Packaging Corporation of America | 196 | 21,833 | ||||||
Trimble, Inc.* | 528 | 18,833 | ||||||
IDEX Corp. | 159 | 17,969 | ||||||
Huntington Ingalls Industries, Inc. | 96 | 17,871 | ||||||
AO Smith Corp. | 307 | 17,293 | ||||||
Wabtec Corp. | 180 | 16,470 | ||||||
Cognex Corp. | 181 | 15,367 | ||||||
Keysight Technologies, Inc.* | 385 | 14,988 | ||||||
Lennox International, Inc. | 80 | 14,692 | ||||||
Arrow Electronics, Inc.* | 185 | 14,508 | ||||||
Old Dominion Freight Line, Inc. | 144 | 13,714 | ||||||
Nordson Corp. | 111 | 13,467 | ||||||
Carlisle Companies, Inc. | 135 | 12,879 | ||||||
Graco, Inc. | 115 | 12,567 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MID-CAP 1.5x STRATEGY FUND |
Shares | Value | |||||||
Donaldson Company, Inc. | 275 | $ | 12,524 | |||||
Hubbell, Inc. | 107 | 12,108 | ||||||
Lincoln Electric Holdings, Inc. | 129 | 11,879 | ||||||
Orbital ATK, Inc. | 120 | 11,803 | ||||||
Coherent, Inc.* | 51 | 11,474 | ||||||
Gentex Corp. | 600 | 11,382 | ||||||
AptarGroup, Inc. | 130 | 11,292 | ||||||
Jabil, Inc. | 380 | 11,092 | ||||||
Zebra Technologies Corp. — Class A* | 110 | 11,057 | ||||||
Oshkosh Corp. | 156 | 10,745 | ||||||
Sonoco Products Co. | 207 | 10,644 | ||||||
AECOM* | 325 | 10,507 | ||||||
Avnet, Inc. | 261 | 10,148 | ||||||
Teledyne Technologies, Inc.* | 74 | 9,446 | ||||||
AGCO Corp. | 139 | 9,367 | ||||||
Eagle Materials, Inc. | 101 | 9,334 | ||||||
National Instruments Corp. | 222 | 8,929 | ||||||
Trinity Industries, Inc. | 318 | 8,914 | ||||||
Bemis Company, Inc. | 192 | 8,880 | ||||||
Genesee & Wyoming, Inc. — Class A* | 128 | 8,754 | ||||||
Curtiss-Wright Corp. | 92 | 8,444 | ||||||
Crane Co. | 106 | 8,414 | ||||||
Owens-Illinois, Inc.* | 340 | 8,133 | ||||||
EMCOR Group, Inc. | 124 | 8,107 | ||||||
Ryder System, Inc. | 111 | 7,990 | ||||||
Woodward, Inc. | 115 | 7,772 | ||||||
Littelfuse, Inc. | 47 | 7,755 | ||||||
Terex Corp. | 203 | 7,613 | ||||||
Regal Beloit Corp. | 93 | 7,584 | ||||||
Kirby Corp.* | 113 | 7,554 | ||||||
Landstar System, Inc. | 87 | 7,447 | ||||||
ITT, Inc. | 185 | 7,433 | ||||||
Louisiana-Pacific Corp.* | 302 | 7,281 | ||||||
Tech Data Corp.* | 72 | 7,272 | ||||||
SYNNEX Corp. | 60 | 7,198 | ||||||
Valmont Industries, Inc. | 47 | 7,031 | ||||||
Timken Co. | 146 | 6,753 | ||||||
Belden, Inc. | 88 | 6,638 | ||||||
EnerSys | 90 | 6,521 | ||||||
Kennametal, Inc. | 168 | 6,287 | ||||||
Energizer Holdings, Inc. | 129 | 6,195 | ||||||
Clean Harbors, Inc.* | 109 | 6,086 | ||||||
Esterline Technologies Corp.* | 62 | 5,878 | ||||||
Dycom Industries, Inc.* | 64 | 5,729 | ||||||
KLX, Inc.* | 108 | 5,400 | ||||||
MSA Safety, Inc. | 66 | 5,357 | ||||||
GATX Corp. | 82 | 5,270 | ||||||
Cree, Inc.* | 203 | 5,004 | ||||||
Silgan Holdings, Inc. | 157 | 4,989 | ||||||
Vishay Intertechnology, Inc. | 280 | 4,648 | ||||||
Worthington Industries, Inc. | 92 | 4,620 | ||||||
KBR, Inc. | 299 | 4,551 | ||||||
Granite Construction, Inc. | 83 | 4,004 | ||||||
Knowles Corp.* | 186 | 3,147 | ||||||
Greif, Inc. — Class A | 53 | 2,956 | ||||||
Werner Enterprises, Inc. | 93 | 2,730 | ||||||
Total Industrial | 658,521 | |||||||
Consumer, Non-cyclical - 8.6% | ||||||||
ResMed, Inc. | 296 | 23,049 | ||||||
Teleflex, Inc. | 94 | 19,529 | ||||||
CDK Global, Inc. | 303 | 18,803 | ||||||
Ingredion, Inc. | 149 | 17,763 | ||||||
WellCare Health Plans, Inc.* | 93 | 16,699 | ||||||
VCA, Inc.* | 170 | 15,694 | ||||||
MarketAxess Holdings, Inc. | 78 | 15,686 | ||||||
ManpowerGroup, Inc. | 140 | 15,631 | ||||||
West Pharmaceutical Services, Inc. | 154 | 14,556 | ||||||
STERIS plc | 177 | 14,426 | ||||||
Bioverativ, Inc.* | 226 | 13,598 | ||||||
Service Corp. International | 392 | 13,112 | ||||||
Lamb Weston Holdings, Inc. | 289 | 12,728 | ||||||
United Therapeutics Corp.* | 94 | 12,195 | ||||||
ABIOMED, Inc.* | 85 | 12,181 | ||||||
MEDNAX, Inc.* | 194 | 11,712 | ||||||
Post Holdings, Inc.* | 138 | 10,716 | ||||||
Charles River Laboratories International, Inc.* | 99 | 10,014 | ||||||
Hill-Rom Holdings, Inc. | 125 | 9,951 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 43 | 9,731 | ||||||
Live Nation Entertainment, Inc.* | 279 | 9,723 | ||||||
TreeHouse Foods, Inc.* | 119 | 9,721 | ||||||
Sabre Corp. | 429 | 9,339 | ||||||
PAREXEL International Corp.* | 106 | 9,212 | ||||||
Bio-Techne Corp. | 78 | 9,165 | ||||||
Catalent, Inc.* | 261 | 9,161 | ||||||
Edgewell Personal Care Co.* | 120 | 9,123 | ||||||
HealthSouth Corp. | 187 | 9,051 | ||||||
Masimo Corp.* | 95 | 8,662 | ||||||
Hain Celestial Group, Inc.* | 215 | 8,346 | ||||||
WEX, Inc.* | 80 | 8,342 | ||||||
Rollins, Inc. | 200 | 8,142 | ||||||
NuVasive, Inc.* | 105 | 8,077 | ||||||
Acadia Healthcare Co., Inc.* | 159 | 7,851 | ||||||
CoreLogic, Inc.* | 177 | 7,678 | ||||||
Deluxe Corp. | 101 | 6,991 | ||||||
Flowers Foods, Inc. | 384 | 6,647 | ||||||
Incorporated Research Holdings, Inc. — Class A* | 113 | 6,611 | ||||||
Snyder’s-Lance, Inc. | 179 | 6,197 | ||||||
Molina Healthcare, Inc.* | 89 | 6,157 | ||||||
Sprouts Farmers Market, Inc.* | 270 | 6,121 | ||||||
Akorn, Inc.* | 182 | 6,104 | ||||||
Prestige Brands Holdings, Inc.* | 110 | 5,809 | ||||||
LifePoint Health, Inc.* | 84 | 5,641 | ||||||
LivaNova plc* | 90 | 5,509 | ||||||
Graham Holdings Co. — Class B | 9 | 5,397 | ||||||
Helen of Troy Ltd.* | 56 | 5,270 | ||||||
Sotheby’s* | 96 | 5,152 | ||||||
Aaron’s, Inc. | 131 | 5,096 | ||||||
Lancaster Colony Corp. | 41 | 5,027 |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MID-CAP 1.5x STRATEGY FUND |
Shares | Value | |||||||
Globus Medical, Inc. — Class A* | 151 | $ | 5,006 | |||||
Avis Budget Group, Inc.* | 176 | 4,800 | ||||||
Endo International plc* | 414 | 4,624 | ||||||
Adtalem Global Education, Inc.* | 118 | 4,478 | ||||||
Owens & Minor, Inc. | 128 | 4,120 | ||||||
United Natural Foods, Inc.* | 106 | 3,890 | ||||||
Halyard Health, Inc.* | 97 | 3,810 | ||||||
Avon Products, Inc.* | 918 | 3,488 | ||||||
Tenet Healthcare Corp.* | 168 | 3,249 | ||||||
Dean Foods Co. | 189 | 3,213 | ||||||
FTI Consulting, Inc.* | 86 | 3,007 | ||||||
Boston Beer Company, Inc. — Class A* | 19 | 2,511 | ||||||
Tootsie Roll Industries, Inc. | 37 | 1,289 | ||||||
Total Consumer, Non-cyclical | 554,581 | |||||||
Consumer, Cyclical - 6.2% | ||||||||
Domino’s Pizza, Inc. | 100 | 21,152 | ||||||
NVR, Inc.*,1 | 7 | 16,873 | ||||||
JetBlue Airways Corp.* | 696 | 15,890 | ||||||
Toro Co. | 224 | 15,522 | ||||||
Panera Bread Co. — Class A*,1 | 45 | 14,158 | ||||||
Copart, Inc.* | 428 | 13,606 | ||||||
Toll Brothers, Inc. | 309 | 12,209 | ||||||
Brunswick Corp. | 186 | 11,668 | ||||||
Polaris Industries, Inc.1 | 122 | 11,252 | ||||||
Dunkin’ Brands Group, Inc. | 192 | 10,583 | ||||||
Thor Industries, Inc. | 100 | 10,452 | ||||||
Pool Corp. | 86 | 10,111 | ||||||
Watsco, Inc. | 63 | 9,715 | ||||||
Carter’s, Inc. | 101 | 8,984 | ||||||
Casey’s General Stores, Inc. | 82 | 8,783 | ||||||
Cinemark Holdings, Inc. | 221 | 8,585 | ||||||
Cracker Barrel Old Country Store, Inc.1 | 50 | 8,363 | ||||||
Skechers U.S.A., Inc. — Class A* | 279 | 8,231 | ||||||
Scotts Miracle-Gro Co. — Class A | 92 | 8,230 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 94 | 8,080 | ||||||
Williams-Sonoma, Inc. | 166 | 8,051 | ||||||
Tupperware Brands Corp. | 106 | 7,444 | ||||||
Dick’s Sporting Goods, Inc. | 183 | 7,289 | ||||||
Texas Roadhouse, Inc. — Class A | 134 | 6,827 | ||||||
Dana, Inc. | 302 | 6,744 | ||||||
Nu Skin Enterprises, Inc. — Class A | 103 | 6,473 | ||||||
Cabela’s, Inc.* | 107 | 6,358 | ||||||
Wendy’s Co. | 400 | 6,204 | ||||||
Office Depot, Inc. | 1,078 | 6,106 | ||||||
Jack in the Box, Inc. | 61 | 6,009 | ||||||
Sally Beauty Holdings, Inc.* | 287 | 5,812 | ||||||
World Fuel Services Corp. | 144 | 5,537 | ||||||
CalAtlantic Group, Inc. | 150 | 5,303 | ||||||
Tempur Sealy International, Inc.* | 97 | 5,179 | ||||||
Kate Spade & Co.* | 268 | 4,955 | ||||||
Churchill Downs, Inc. | 26 | 4,766 | ||||||
Cheesecake Factory, Inc. | 93 | 4,678 | ||||||
Deckers Outdoor Corp.* | 67 | 4,573 | ||||||
GameStop Corp. — Class A | 211 | 4,560 | ||||||
Big Lots, Inc.1 | 93 | 4,492 | ||||||
TRI Pointe Group, Inc.* | 332 | 4,379 | ||||||
Buffalo Wild Wings, Inc.* | 34 | 4,308 | ||||||
American Eagle Outfitters, Inc. | 347 | 4,181 | ||||||
KB Home | 173 | 4,147 | ||||||
Michaels Companies, Inc.* | 221 | 4,093 | ||||||
Cooper Tire & Rubber Co. | 110 | 3,971 | ||||||
Papa John’s International, Inc. | 55 | 3,947 | ||||||
Brinker International, Inc. | 102 | 3,886 | ||||||
Herman Miller, Inc. | 125 | 3,800 | ||||||
HNI Corp. | 92 | 3,668 | ||||||
Urban Outfitters, Inc.* | 184 | 3,411 | ||||||
Dillard’s, Inc. — Class A1 | 49 | 2,827 | ||||||
Chico’s FAS, Inc. | 270 | 2,543 | ||||||
HSN, Inc. | 67 | 2,137 | ||||||
International Speedway Corp. — Class A | 52 | 1,953 | ||||||
Total Consumer, Cyclical | 403,058 | |||||||
Technology - 6.0% | ||||||||
Cadence Design Systems, Inc.* | 584 | 19,558 | ||||||
MSCI, Inc. — Class A | 189 | 19,465 | ||||||
Broadridge Financial Solutions, Inc. | 245 | 18,512 | ||||||
Jack Henry & Associates, Inc. | 162 | 16,827 | ||||||
Take-Two Interactive Software, Inc.* | 217 | 15,923 | ||||||
Leidos Holdings, Inc. | 299 | 15,456 | ||||||
PTC, Inc.* | 241 | 13,284 | ||||||
Ultimate Software Group, Inc.* | 62 | 13,024 | ||||||
Teradyne, Inc. | 415 | 12,461 | ||||||
Tyler Technologies, Inc.* | 70 | 12,297 | ||||||
Fortinet, Inc.* | 312 | 11,681 | ||||||
IPG Photonics Corp.* | 78 | 11,318 | ||||||
Microsemi Corp.* | 241 | 11,279 | ||||||
Brocade Communications Systems, Inc. | 856 | 10,794 | ||||||
NCR Corp.* | 253 | 10,333 | ||||||
Cypress Semiconductor Corp. | 687 | 9,378 | ||||||
Fair Isaac Corp. | 65 | 9,062 | ||||||
Medidata Solutions, Inc.* | 115 | 8,993 | ||||||
Blackbaud, Inc. | 100 | 8,575 | ||||||
j2 Global, Inc. | 100 | 8,509 | ||||||
MAXIMUS, Inc. | 135 | 8,455 | ||||||
Cirrus Logic, Inc.* | 134 | 8,404 | ||||||
Dun & Bradstreet Corp. | 77 | 8,328 | ||||||
Teradata Corp.* | 273 | 8,051 | ||||||
DST Systems, Inc. | 129 | 7,959 | ||||||
Monolithic Power Systems, Inc. | 79 | 7,616 | ||||||
Integrated Device Technology, Inc.* | 278 | 7,170 | ||||||
Manhattan Associates, Inc.* | 145 | 6,969 | ||||||
NetScout Systems, Inc.* | 191 | 6,570 | ||||||
Science Applications International Corp. | 91 | 6,317 | ||||||
Silicon Laboratories, Inc.* | 88 | 6,015 | ||||||
Pitney Bowes, Inc. | 389 | 5,874 | ||||||
ACI Worldwide, Inc.* | 246 | 5,503 | ||||||
CommVault Systems, Inc.* | 87 | 4,911 | ||||||
Allscripts Healthcare Solutions, Inc.* | 378 | 4,823 | ||||||
Convergys Corp. | 196 | 4,661 | ||||||
Diebold Nixdorf, Inc. | 158 | 4,424 | ||||||
Acxiom Corp.* | 163 | 4,235 | ||||||
3D Systems Corp.*,1 | 226 | 4,226 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MID-CAP 1.5x STRATEGY FUND |
Shares | Value | |||||||
VeriFone Systems, Inc.* | 233 | $ | 4,217 | |||||
NeuStar, Inc. — Class A* | 116 | 3,869 | ||||||
Synaptics, Inc.* | 72 | 3,723 | ||||||
Total Technology | 389,049 | |||||||
Utilities - 2.9% | ||||||||
Atmos Energy Corp. | 220 | 18,249 | ||||||
UGI Corp. | 361 | 17,476 | ||||||
Westar Energy, Inc. | 296 | 15,693 | ||||||
OGE Energy Corp. | 417 | 14,507 | ||||||
Great Plains Energy, Inc. | 450 | 13,176 | ||||||
Aqua America, Inc. | 371 | 12,354 | ||||||
MDU Resources Group, Inc. | 408 | 10,690 | ||||||
Vectren Corp. | 173 | 10,110 | ||||||
National Fuel Gas Co. | 178 | 9,940 | ||||||
IDACORP, Inc. | 105 | 8,962 | ||||||
WGL Holdings, Inc. | 107 | 8,927 | ||||||
ONE Gas, Inc. | 109 | 7,609 | ||||||
Black Hills Corp. | 112 | 7,557 | ||||||
Hawaiian Electric Industries, Inc. | 227 | 7,350 | ||||||
Southwest Gas Holdings, Inc. | 99 | 7,233 | ||||||
New Jersey Resources Corp. | 180 | 7,146 | ||||||
PNM Resources, Inc. | 166 | 6,350 | ||||||
NorthWestern Corp. | 101 | 6,163 | ||||||
Total Utilities | 189,492 | |||||||
Basic Materials - 2.6% | ||||||||
Steel Dynamics, Inc. | 505 | 18,084 | ||||||
RPM International, Inc. | 279 | 15,218 | ||||||
Chemours Co. | 385 | 14,599 | ||||||
Reliance Steel & Aluminum Co. | 152 | 11,067 | ||||||
Royal Gold, Inc. | 136 | 10,631 | ||||||
Olin Corp. | 346 | 10,477 | ||||||
Valvoline, Inc. | 428 | 10,148 | ||||||
NewMarket Corp. | 19 | 8,749 | ||||||
Ashland Global Holdings, Inc. | 130 | 8,568 | ||||||
United States Steel Corp. | 364 | 8,059 | ||||||
Sensient Technologies Corp. | 92 | 7,409 | ||||||
Versum Materials, Inc. | 227 | 7,378 | ||||||
Cabot Corp. | 130 | 6,946 | ||||||
PolyOne Corp. | 171 | 6,625 | ||||||
Minerals Technologies, Inc. | 73 | 5,344 | ||||||
Domtar Corp. | 131 | 5,033 | ||||||
Commercial Metals Co. | 241 | 4,683 | ||||||
Compass Minerals International, Inc.1 | 71 | 4,636 | ||||||
Allegheny Technologies, Inc. | 227 | 3,861 | ||||||
Carpenter Technology Corp. | 97 | 3,631 | ||||||
Total Basic Materials | 171,146 | |||||||
Energy - 1.7% | ||||||||
HollyFrontier Corp. | 370 | 10,163 | ||||||
Energen Corp.* | 203 | 10,022 | ||||||
WPX Energy, Inc.* | 830 | 8,018 | ||||||
Patterson-UTI Energy, Inc. | 345 | 6,966 | ||||||
First Solar, Inc.* | 163 | 6,500 | ||||||
Southwestern Energy Co.* | 1,056 | 6,420 | ||||||
CONSOL Energy, Inc.* | 370 | 5,528 | ||||||
Murphy USA, Inc.* | 72 | 5,336 | ||||||
PBF Energy, Inc. — Class A1 | 229 | 5,098 | ||||||
QEP Resources, Inc.* | 502 | 5,070 | ||||||
Gulfport Energy Corp.* | 332 | 4,897 | ||||||
Nabors Industries Ltd. | 597 | 4,860 | ||||||
Oceaneering International, Inc. | 205 | 4,683 | ||||||
Matador Resources Co.* | 194 | 4,146 | ||||||
Dril-Quip, Inc.* | 79 | 3,855 | ||||||
NOW, Inc.* | 225 | 3,618 | ||||||
SM Energy Co. | 204 | 3,372 | ||||||
Superior Energy Services, Inc.* | 319 | 3,327 | ||||||
Ensco plc — Class A | 633 | 3,266 | ||||||
Oil States International, Inc.* | 107 | 2,905 | ||||||
Rowan Companies plc — Class A* | 263 | 2,693 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 134 | 1,451 | ||||||
Total Energy | 112,194 | |||||||
Communications - 1.7% | ||||||||
FactSet Research Systems, Inc. | 82 | 13,626 | ||||||
LogMeIn, Inc. | 110 | 11,494 | ||||||
ARRIS International plc* | 392 | 10,984 | ||||||
Ciena Corp.* | 296 | 7,406 | ||||||
ViaSat, Inc.* | 111 | 7,348 | ||||||
TEGNA, Inc. | 448 | 6,456 | ||||||
Cable One, Inc. | 9 | 6,398 | ||||||
AMC Networks, Inc. — Class A* | 115 | 6,142 | ||||||
InterDigital, Inc. | 72 | 5,566 | ||||||
Telephone & Data Systems, Inc. | 196 | 5,439 | ||||||
John Wiley & Sons, Inc. — Class A | 93 | 4,906 | ||||||
WebMD Health Corp. — Class A* | 79 | 4,633 | ||||||
Meredith Corp. | 76 | 4,518 | ||||||
New York Times Co. — Class A | 255 | 4,514 | ||||||
Cars.com, Inc.* | 149 | 3,968 | ||||||
Plantronics, Inc. | 70 | 3,662 | ||||||
Frontier Communications Corp.1 | 2,448 | 2,840 | ||||||
Total Communications | 109,900 | |||||||
Total Common Stocks | ||||||||
(Cost $3,231,515) | 3,443,806 | |||||||
MUTUAL FUNDS† - 38.4% | ||||||||
Guggenheim Strategy Fund II2 | 63,893 | 1,597,953 | ||||||
Guggenheim Strategy Fund I2 | 35,481 | 889,505 | ||||||
Total Mutual Funds | ||||||||
(Cost $2,469,671) | 2,487,458 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,3 - 5.4% | ||||||||
HSBC Securities, Inc. | $ | 203,721 | 203,721 | |||||
Bank of America Merrill Lynch | 93,902 | 93,902 |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MID-CAP 1.5x STRATEGY FUND |
Face | Value | |||||||
RBC Capital Markets LLC | $ | 49,859 | $ | 49,859 | ||||
Total Repurchase Agreements | ||||||||
(Cost $347,482) | 347,482 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,5 - 0.8% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%6 | 54,950 | 54,950 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $54,950) | 54,950 | |||||||
Total Investments - 97.7% | ||||||||
(Cost $6,103,618) | $ | 6,333,696 | ||||||
Other Assets & Liabilities, net - 2.3% | 145,610 | |||||||
Total Net Assets - 100.0% | $ | 6,479,306 |
Units | Unrealized | |||||||
OTC EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Barclays Bank plc | 516 | $ | 1,246 | |||||
Goldman Sachs International | 83 | (212 | ) | |||||
BNP Paribas | 3,008 | (10,379 | ) | |||||
(Total Notional Value $6,299,446) | $ | (9,345 | ) |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Affiliated issuer — See Note 10. |
3 | Repurchase Agreements — See Note 5. |
4 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2017. |
5 | Securities lending collateral — See Note 6. |
6 | Rate indicated is the 7 day yield as of June 30, 2017. |
7 | Total Return based on S&P MidCap 400 Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
MID-CAP 1.5x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 3,443,806 | $ | — | $ | — | $ | — | $ | 3,443,806 | ||||||||||
Equity Index Swap Agreements | — | — | 1,246 | — | 1,246 | |||||||||||||||
Mutual Funds | 2,487,458 | — | — | — | 2,487,458 | |||||||||||||||
Repurchase Agreements | — | 347,482 | — | — | 347,482 | |||||||||||||||
Securities Lending Collateral | 54,950 | — | — | — | 54,950 | |||||||||||||||
Total Assets | $ | 5,986,214 | $ | 347,482 | $ | 1,246 | $ | — | $ | 6,334,942 | ||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | 10,591 | $ | — | $ | 10,591 |
* | Other financial instruments include swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MID-CAP 1.5x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $53,714 of securities loaned (cost $3,286,465) | $ | 3,498,756 | ||
Investments in affiliated issuers, at value (cost $2,469,671) | 2,487,458 | |||
Repurchase agreements, at value (cost $347,482) | 347,482 | |||
Total investments (cost $6,103,618) | 6,333,696 | |||
Segregated cash with broker | 240,000 | |||
Unrealized appreciation on swap agreements | 1,246 | |||
Cash | 19 | |||
Receivables: | ||||
Swap settlement | 20 | |||
Fund shares sold | 29,129 | |||
Dividends | 8,180 | |||
Interest | 10 | |||
Securities lending income | 22 | |||
Total assets | 6,612,322 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 10,591 | |||
Payable for: | ||||
Return of securities loaned | 54,950 | |||
Fund shares redeemed | 49,204 | |||
Securities purchased | 5,307 | |||
Management fees | 5,025 | |||
Transfer agent and administrative fees | 1,396 | |||
Investor service fees | 1,396 | |||
Portfolio accounting fees | 558 | |||
Miscellaneous | 4,589 | |||
Total liabilities | 133,016 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 6,479,306 | ||
Net assets consist of: | ||||
Paid in capital | $ | 2,382,369 | ||
Accumulated net investment loss | (20,661 | ) | ||
Accumulated net realized gain on investments | 3,896,865 | |||
Net unrealized appreciation on investments | 220,733 | |||
Net assets | $ | 6,479,306 | ||
Capital shares outstanding | 165,896 | |||
Net asset value per share | $ | 39.06 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 64,399 | ||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $10) | 13,309 | |||
Interest | 4,592 | |||
Income from securities lending, net | 150 | |||
Total investment income | 82,450 | |||
Expenses: | ||||
Management fees | 52,973 | |||
Transfer agent and administrative fees | 14,715 | |||
Investor service fees | 14,715 | |||
Portfolio accounting fees | 5,886 | |||
Professional fees | 17,620 | |||
Custodian fees | 1,148 | |||
Trustees’ fees* | 998 | |||
Line of credit fees | 67 | |||
Miscellaneous | (5,023 | ) | ||
Total expenses | 103,099 | |||
Net investment loss | (20,649 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 210,061 | |||
Investments in affiliated issuers | 20,895 | |||
Swap agreements | 885,409 | |||
Futures contracts | 86,182 | |||
Net realized gain | 1,202,547 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 54,122 | |||
Investments in affiliated issuers | 3,384 | |||
Swap agreements | (16,742 | ) | ||
Futures contracts | 133,825 | |||
Net change in unrealized appreciation (depreciation) | 174,589 | |||
Net realized and unrealized gain | 1,377,136 | |||
Net increase in net assets resulting from operations | $ | 1,356,487 |
* | 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 FUNDS SEMI-ANNUAL REPORT | 63 |
MID-CAP 1.5x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (20,649 | ) | $ | (40,213 | ) | ||
Net realized gain on investments | 1,202,547 | 3,553,702 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 174,589 | (40,690 | ) | |||||
Net increase in net assets resulting from operations | 1,356,487 | 3,472,799 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (750,000 | ) | |||||
Total distributions to shareholders | — | (750,000 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 11,869,086 | 60,370,097 | ||||||
Distributions reinvested | — | 750,000 | ||||||
Cost of shares redeemed | (26,694,431 | ) | (58,987,307 | ) | ||||
Net increase (decrease) from capital share transactions | (14,825,345 | ) | 2,132,790 | |||||
Net increase (decrease) in net assets | (13,468,858 | ) | 4,855,589 | |||||
Net assets: | ||||||||
Beginning of period | 19,948,164 | 15,092,575 | ||||||
End of period | $ | 6,479,306 | $ | 19,948,164 | ||||
Accumulated net investment loss at end of period | $ | (20,661 | ) | $ | (12 | ) | ||
Capital share activity: | ||||||||
Shares sold | 310,771 | 1,829,775 | ||||||
Shares issued from reinvestment of distributions | — | 23,177 | ||||||
Shares redeemed | (696,156 | ) | (1,786,357 | ) | ||||
Net increase (decrease) in shares | (385,385 | ) | 66,595 |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MID-CAP 1.5x STRATEGY FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.19 | $ | 31.14 | $ | 35.05 | $ | 35.47 | $ | 23.61 | $ | 18.99 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.07 | ) | (.10 | ) | (.20 | ) | (.25 | ) | (.17 | ) | (.12 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.94 | 8.87 | (1.45 | ) | 4.39 | 12.03 | 4.74 | |||||||||||||||||
Total from investment operations | 2.87 | 8.77 | (1.65 | ) | 4.14 | 11.86 | 4.62 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (3.72 | ) | (2.26 | ) | (4.56 | ) | — | — | |||||||||||||||
Total distributions | — | (3.72 | ) | (2.26 | ) | (4.56 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 39.06 | $ | 36.19 | $ | 31.14 | $ | 35.05 | $ | 35.47 | $ | 23.61 | ||||||||||||
Total Returnc | 7.93 | % | 29.64 | % | (5.50 | %) | 11.93 | % | 50.23 | % | 24.33 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,479 | $ | 19,948 | $ | 15,093 | $ | 10,673 | $ | 17,076 | $ | 14,051 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.35 | %) | (0.30 | %) | (0.58 | %) | (0.69 | %) | (0.56 | %) | (0.54 | %) | ||||||||||||
Total expensesd | 1.75 | % | 1.72 | % | 1.67 | % | 1.72 | % | 1.69 | % | 1.72 | % | ||||||||||||
Portfolio turnover rate | 95 | % | 368 | % | 477 | % | 255 | % | 279 | % | 247 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
INVERSE MID-CAP STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, 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”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: May 3, 2004 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 32.8% |
Guggenheim Strategy Fund I | 14.0% |
Total | 46.8% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Inverse Mid-Cap Strategy Fund | (5.57%) | (15.88%) | (15.25%) | (12.84%) |
S&P MidCap 400 Index | 5.99% | 18.57% | 14.92% | 8.56% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
INVERSE MID-CAP STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 46.8% | ||||||||
Guggenheim Strategy Fund II1 | 3,553 | $ | 88,854 | |||||
Guggenheim Strategy Fund I1 | 1,510 | 37,861 | ||||||
Total Mutual Funds | ||||||||
(Cost $125,677) | 126,715 | |||||||
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 14.8% | ||||||||
Fannie Mae2 | ||||||||
0.99% due 07/07/17 | $ | 20,000 | 19,997 | |||||
Freddie Mac2 | ||||||||
0.96% due 07/12/17 | 20,000 | 19,994 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $39,991) | 39,991 | |||||||
REPURCHASE AGREEMENTS††,3 - 89.1% | ||||||||
HSBC Securities, Inc. | 106,309 | 106,309 | ||||||
RBC Capital Markets LLC | 69,863 | 69,863 | ||||||
Bank of America Merrill Lynch | 65,237 | 65,237 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $241,409) | 241,409 | |||||||
Total Investments - 150.7% | ||||||||
(Cost $407,077) | $ | 408,115 | ||||||
Other Assets & Liabilities, net - (50.7)% | (137,282 | ) | ||||||
Total Net Assets - 100.0% | $ | 270,833 |
Units | Unrealized | |||||||
OTC EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | ||||||||
Goldman Sachs International | 77 | $ | 264 | |||||
BNP Paribas | 54 | 232 | ||||||
Barclays Bank plc | 23 | (58 | ) | |||||
(Total Notional Value $270,143) | $ | 438 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 10. |
2 | 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. |
3 | Repurchase Agreements — See Note 5. |
4 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2017. |
5 | Total Return based on S&P MidCap 400 Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
INVERSE MID-CAP STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | 496 | $ | — | $ | 496 | ||||||||||
Federal Agency Discount Notes | — | 39,991 | — | — | 39,991 | |||||||||||||||
Mutual Funds | 126,715 | — | — | — | 126,715 | |||||||||||||||
Repurchase Agreements | — | 241,409 | — | — | 241,409 | |||||||||||||||
Total Assets | $ | 126,715 | $ | 281,400 | $ | 496 | $ | — | $ | 408,611 | ||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | 58 | $ | — | $ | 58 |
* | Other financial instruments include swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE MID-CAP STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $39,991) | $ | 39,991 | ||
Investments in affiliated issuers, at value (cost $125,677) | 126,715 | |||
Repurchase agreements, at value (cost $241,409) | 241,409 | |||
Total investments (cost $407,077) | 408,115 | |||
Unrealized appreciation on swap agreements | 496 | |||
Receivables: | ||||
Variation margin | 56 | |||
Fund shares sold | 26,874 | |||
Dividends | 248 | |||
Interest | 7 | |||
Total assets | 435,796 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 58 | |||
Payable for: | ||||
Fund shares redeemed | 163,891 | |||
Securities purchased | 260 | |||
Swap settlement | 200 | |||
Management fees | 192 | |||
Transfer agent and administrative fees | 53 | |||
Investor service fees | 53 | |||
Portfolio accounting fees | 21 | |||
Miscellaneous | 235 | |||
Total liabilities | 164,963 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 270,833 | ||
Net assets consist of: | ||||
Paid in capital | $ | 1,903,317 | ||
Accumulated net investment loss | (521 | ) | ||
Accumulated net realized loss on investments | (1,633,439 | ) | ||
Net unrealized appreciation on investments | 1,476 | |||
Net assets | $ | 270,833 | ||
Capital shares outstanding | 3,634 | |||
Net asset value per share | $ | 74.53 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 2,069 | ||
Interest | 434 | |||
Total investment income | 2,503 | |||
Expenses: | ||||
Management fees | 1,554 | |||
Transfer agent and administrative fees | 432 | |||
Investor service fees | 432 | |||
Portfolio accounting fees | 173 | |||
Professional fees | 645 | |||
Printing expenses | 200 | |||
Custodian fees | 45 | |||
Trustees’ fees* | 43 | |||
Miscellaneous | (500 | ) | ||
Total expenses | 3,024 | |||
Net investment loss | (521 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | 694 | |||
Swap agreements | (26,207 | ) | ||
Net realized loss | (25,513 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in affiliated issuers | (198 | ) | ||
Swap agreements | (717 | ) | ||
Net change in unrealized appreciation (depreciation) | (915 | ) | ||
Net realized and unrealized loss | (26,428 | ) | ||
Net decrease in net assets resulting from operations | $ | (26,949 | ) |
* | 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 FUNDS SEMI-ANNUAL REPORT | 69 |
INVERSE MID-CAP STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (521 | ) | $ | (5,585 | ) | ||
Net realized loss on investments | (25,513 | ) | (195,331 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (915 | ) | (3,049 | ) | ||||
Net decrease in net assets resulting from operations | (26,949 | ) | (203,965 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 2,048,475 | 7,479,212 | ||||||
Cost of shares redeemed | (2,130,773 | ) | (7,505,865 | ) | ||||
Net decrease from capital share transactions | (82,298 | ) | (26,653 | ) | ||||
Net decrease in net assets | (109,247 | ) | (230,618 | ) | ||||
Net assets: | ||||||||
Beginning of period | 380,080 | 610,698 | ||||||
End of period | $ | 270,833 | $ | 380,080 | ||||
Accumulated net investment loss at end of period | $ | (521 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 26,897 | 79,141 | * | |||||
Shares redeemed | (28,079 | ) | (80,582 | )* | ||||
Net decrease in shares | (1,182 | ) | (1,441 | )* |
* | Capital share activity for the year ended December 31, 2016 has been restated to reflect a 1:3 reverse share split effective December 1, 2016 — See Note 12. |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE MID-CAP STRATEGY FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 78.92 | $ | 97.61 | $ | 98.69 | $ | 111.65 | $ | 154.08 | $ | 188.75 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.11 | ) | (.26 | ) | (1.38 | ) | (1.59 | ) | (2.07 | ) | (2.70 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.28 | ) | (18.43 | ) | .30 | (11.37 | ) | (40.36 | ) | (31.97 | ) | |||||||||||||
Total from investment operations | (4.39 | ) | (18.69 | ) | (1.08 | ) | (12.96 | ) | (42.43 | ) | (34.67 | ) | ||||||||||||
Net asset value, end of period | $ | 74.53 | $ | 78.92 | $ | 97.61 | $ | 98.69 | $ | 111.65 | $ | 154.08 | ||||||||||||
Total Returnc | (5.57 | %) | (19.13 | %) | (1.12 | %) | (11.56 | %) | (27.57 | %) | (18.36 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 271 | $ | 380 | $ | 611 | $ | 850 | $ | 911 | $ | 2,329 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.30 | %) | (0.82 | %) | (1.46 | %) | (1.51 | %) | (1.65 | %) | (1.62 | %) | ||||||||||||
Total expensesd | 1.75 | % | 1.71 | % | 1.66 | % | 1.72 | % | 1.68 | % | 1.73 | % | ||||||||||||
Portfolio turnover rate | 42 | % | 565 | % | 220 | % | 323 | % | — | — |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse Share Split — Per share amounts for periods presented through December 31, 2016 have been restated to reflect a 1:3 reverse share split effective December 1, 2016 — See Note 12. |
f | Reverse Share Split — Per share amounts for periods presented through December 31, 2014, have been restated to reflect a 1:3 reverse share split effective January 24, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, 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”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: October 27, 2006 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 33.2% |
Guggenheim Strategy Fund II | 18.4% |
Kite Pharma, Inc. | 0.1% |
Gramercy Property Trust | 0.1% |
Catalent, Inc. | 0.1% |
Medidata Solutions, Inc. | 0.1% |
IDACORP, Inc. | 0.1% |
PAREXEL International Corp. | 0.1% |
Bluebird Bio, Inc. | 0.1% |
HealthSouth Corp. | 0.1% |
Top Ten Total | 52.4% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Russell 2000® 2x Strategy Fund | 8.00% | 47.55% | 23.27% | 3.70% |
Russell 2000 Index | 4.99% | 24.60% | 17.13% | 9.09% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 30.1% | ||||||||
Financial - 7.8% | ||||||||
Gramercy Property Trust | 139 | $ | 4,129 | |||||
Wintrust Financial Corp. | 51 | 3,897 | ||||||
IBERIABANK Corp. | 47 | 3,830 | ||||||
Hancock Holding Co. | 78 | 3,821 | ||||||
MGIC Investment Corp.* | 341 | 3,819 | ||||||
Umpqua Holdings Corp. | 204 | 3,746 | ||||||
Healthcare Realty Trust, Inc. | 106 | 3,619 | ||||||
United Bankshares, Inc. | 92 | 3,606 | ||||||
Texas Capital Bancshares, Inc.* | 46 | 3,560 | ||||||
Ellie Mae, Inc.* | 31 | 3,406 | ||||||
Cousins Properties, Inc. | 385 | 3,383 | ||||||
GEO Group, Inc. | 113 | 3,340 | ||||||
Radian Group, Inc. | 200 | 3,309 | ||||||
MB Financial, Inc. | 75 | 3,303 | ||||||
CNO Financial Group, Inc. | 158 | 3,299 | ||||||
Sunstone Hotel Investors, Inc. | 204 | 3,287 | ||||||
Investors Bancorp, Inc. | 239 | 3,192 | ||||||
Colony Starwood Homes | 93 | 3,190 | ||||||
Primerica, Inc. | 42 | 3,182 | ||||||
Chemical Financial Corp. | 65 | 3,147 | ||||||
UMB Financial Corp. | 42 | 3,144 | ||||||
LaSalle Hotel Properties | 105 | 3,128 | ||||||
First Industrial Realty Trust, Inc. | 107 | 3,062 | ||||||
Fulton Financial Corp. | 158 | 3,002 | ||||||
Home BancShares, Inc. | 119 | 2,963 | ||||||
National Health Investors, Inc. | 37 | 2,930 | ||||||
Physicians Realty Trust REIT | 142 | 2,860 | ||||||
Sterling Bancorp | 121 | 2,813 | ||||||
Valley National Bancorp | 238 | 2,811 | ||||||
Stifel Financial Corp.* | 61 | 2,804 | ||||||
Washington Federal, Inc. | 82 | 2,722 | ||||||
Evercore Partners, Inc. — Class A | 38 | 2,678 | ||||||
Selective Insurance Group, Inc. | 53 | 2,653 | ||||||
Essent Group Ltd.* | 71 | 2,637 | ||||||
Education Realty Trust, Inc. | 68 | 2,635 | ||||||
Ryman Hospitality Properties, Inc. | 41 | 2,624 | ||||||
Cathay General Bancorp | 69 | 2,619 | ||||||
First Citizens BancShares, Inc. — Class A | 7 | 2,609 | ||||||
Glacier Bancorp, Inc. | 71 | 2,599 | ||||||
EastGroup Properties, Inc. | 31 | 2,598 | ||||||
First Financial Bankshares, Inc. | 58 | 2,564 | ||||||
Community Bank System, Inc. | 45 | 2,510 | ||||||
BancorpSouth, Inc. | 79 | 2,410 | ||||||
PS Business Parks, Inc. | 18 | 2,383 | ||||||
South State Corp. | 27 | 2,314 | ||||||
WageWorks, Inc.* | 34 | 2,284 | ||||||
Washington Real Estate Investment Trust | 71 | 2,265 | ||||||
STAG Industrial, Inc. | 82 | 2,263 | ||||||
Mack-Cali Realty Corp. | 83 | 2,253 | ||||||
QTS Realty Trust, Inc. — Class A | 43 | 2,250 | ||||||
RLJ Lodging Trust | 113 | 2,245 | ||||||
Great Western Bancorp, Inc. | 55 | 2,245 | ||||||
Hope Bancorp, Inc. | 120 | 2,238 | ||||||
First Midwest Bancorp, Inc. | 94 | 2,191 | ||||||
Blackhawk Network Holdings, Inc.* | 50 | 2,179 | ||||||
Columbia Banking System, Inc. | 54 | 2,152 | ||||||
Acadia Realty Trust | 77 | 2,141 | ||||||
Old National Bancorp | 124 | 2,139 | ||||||
Urban Edge Properties | 90 | 2,136 | ||||||
CVB Financial Corp. | 95 | 2,131 | ||||||
American Equity Investment Life Holding Co. | 80 | 2,102 | ||||||
Care Capital Properties, Inc. | 78 | 2,083 | ||||||
Pebblebrook Hotel Trust1 | 63 | 2,031 | ||||||
DiamondRock Hospitality Co. | 184 | 2,015 | ||||||
Lexington Realty Trust | 200 | 2,008 | ||||||
Trustmark Corp. | 62 | 1,994 | ||||||
Enstar Group Ltd.* | 10 | 1,987 | ||||||
Financial Engines, Inc. | 54 | 1,976 | ||||||
RLI Corp. | 36 | 1,966 | ||||||
Retail Opportunity Investments Corp. REIT | 100 | 1,919 | ||||||
Xenia Hotels & Resorts, Inc. | 99 | 1,918 | ||||||
LTC Properties, Inc. | 36 | 1,850 | ||||||
Eagle Bancorp, Inc.* | 29 | 1,836 | ||||||
Hilltop Holdings, Inc. | 69 | 1,808 | ||||||
United Community Banks, Inc. | 65 | 1,807 | ||||||
Alexander & Baldwin, Inc. | 43 | 1,779 | ||||||
Summit Hotel Properties, Inc. | 94 | 1,753 | ||||||
International Bancshares Corp. | 50 | 1,753 | ||||||
Renasant Corp. | 40 | 1,750 | ||||||
Genworth Financial, Inc. — Class A* | 463 | 1,746 | ||||||
Invesco Mortgage Capital, Inc. | 104 | 1,738 | ||||||
Astoria Financial Corp. | 86 | 1,733 | ||||||
Bank of NT Butterfield & Son Ltd. | 50 | 1,705 | ||||||
Banner Corp. | 30 | 1,695 | ||||||
Potlatch Corp. | 37 | 1,691 | ||||||
LegacyTexas Financial Group, Inc. | 44 | 1,678 | ||||||
Capitol Federal Financial, Inc. | 118 | 1,677 | ||||||
Rexford Industrial Realty, Inc. | 61 | 1,674 | ||||||
Independent Bank Corp. | 25 | 1,666 | ||||||
Argo Group International Holdings Ltd. | 27 | 1,636 | ||||||
LendingClub Corp.* | 293 | 1,614 | ||||||
TowneBank | 52 | 1,602 | ||||||
Quality Care Properties, Inc.* | 87 | 1,593 | ||||||
PRA Group, Inc.* | 42 | 1,592 | ||||||
Ameris Bancorp | 33 | 1,591 | ||||||
ServisFirst Bancshares, Inc. | 43 | 1,586 | ||||||
First Financial Bancorp | 57 | 1,579 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 85 | 1,577 | ||||||
WesBanco, Inc. | 39 | 1,542 | ||||||
FCB Financial Holdings, Inc. — Class A* | 32 | 1,528 | ||||||
First Merchants Corp. | 38 | 1,525 | ||||||
Terreno Realty Corp. | 45 | 1,515 | ||||||
Monogram Residential Trust, Inc. | 155 | 1,505 | ||||||
Simmons First National Corp. — Class A | 28 | 1,481 | ||||||
Kennedy-Wilson Holdings, Inc. | 77 | 1,467 | ||||||
American Assets Trust, Inc. | 37 | 1,457 | ||||||
Provident Financial Services, Inc. | 57 | 1,447 | ||||||
NBT Bancorp, Inc. | 39 | 1,441 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Washington Prime Group, Inc. | 172 | $ | 1,440 | |||||
Kite Realty Group Trust REIT | 76 | 1,439 | ||||||
Horace Mann Educators Corp. | 38 | 1,436 | ||||||
Kemper Corp. | 37 | 1,428 | ||||||
Sabra Health Care REIT, Inc. | 59 | 1,422 | ||||||
Waddell & Reed Financial, Inc. — Class A | 75 | 1,416 | ||||||
Four Corners Property Trust, Inc. | 56 | 1,406 | ||||||
Select Income REIT | 58 | 1,394 | ||||||
Global Net Lease, Inc. | 62 | 1,379 | ||||||
Northwest Bancshares, Inc. | 87 | 1,358 | ||||||
Union Bankshares Corp. | 40 | 1,356 | ||||||
Chesapeake Lodging Trust | 55 | 1,346 | ||||||
Pacific Premier Bancorp, Inc.* | 36 | 1,328 | ||||||
CBL & Associates Properties, Inc.1 | 155 | 1,307 | ||||||
BofI Holding, Inc.*,1 | 55 | 1,305 | ||||||
Westamerica Bancorporation | 23 | 1,289 | ||||||
WSFS Financial Corp. | 28 | 1,270 | ||||||
Walker & Dunlop, Inc.* | 26 | 1,270 | ||||||
Artisan Partners Asset Management, Inc. — Class A | 41 | 1,259 | ||||||
Park National Corp. | 12 | 1,245 | ||||||
CenterState Banks, Inc. | 50 | 1,243 | ||||||
Employers Holdings, Inc. | 29 | 1,227 | ||||||
CareTrust REIT, Inc. | 66 | 1,224 | ||||||
Redwood Trust, Inc. | 71 | 1,210 | ||||||
AmTrust Financial Services, Inc.1 | 79 | 1,196 | ||||||
HFF, Inc. — Class A | 34 | 1,182 | ||||||
Boston Private Financial Holdings, Inc. | 77 | 1,182 | ||||||
CYS Investments, Inc. | 140 | 1,177 | ||||||
Government Properties Income Trust | 64 | 1,172 | ||||||
Berkshire Hills Bancorp, Inc. | 33 | 1,160 | ||||||
Kearny Financial Corp. | 78 | 1,158 | ||||||
S&T Bancorp, Inc. | 32 | 1,148 | ||||||
First Commonwealth Financial Corp. | 89 | 1,129 | ||||||
PennyMac Mortgage Investment Trust | 61 | 1,116 | ||||||
MBIA, Inc.* | 116 | 1,094 | ||||||
Heartland Financial USA, Inc. | 23 | 1,083 | ||||||
WisdomTree Investments, Inc.1 | 106 | 1,078 | ||||||
Franklin Street Properties Corp. | 96 | 1,064 | ||||||
Agree Realty Corp. | 23 | 1,055 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 46 | 1,052 | ||||||
Navigators Group, Inc. | 19 | 1,043 | ||||||
Capital Bank Financial Corp. — Class A | 27 | 1,029 | ||||||
AMERISAFE, Inc.1 | 18 | 1,025 | ||||||
Tompkins Financial Corp. | 13 | 1,023 | ||||||
Lakeland Financial Corp. | 22 | 1,009 | ||||||
Brookline Bancorp, Inc. | 69 | 1,007 | ||||||
Third Point Reinsurance Ltd.* | 71 | 987 | ||||||
Seritage Growth Properties1 | 23 | 965 | ||||||
Monmouth Real Estate Investment Corp. | 64 | 963 | ||||||
Beneficial Bancorp, Inc. | 64 | 960 | ||||||
Aircastle Ltd. | 44 | 957 | ||||||
Universal Health Realty Income Trust | 12 | 954 | ||||||
Independent Bank Group, Inc. | 16 | 952 | ||||||
National General Holdings Corp. | 45 | 950 | ||||||
State Bank Financial Corp. | 35 | 949 | ||||||
National Storage Affiliates Trust | 41 | 948 | ||||||
Infinity Property & Casualty Corp. | 10 | 940 | ||||||
Southside Bancshares, Inc. | 27 | 929 | ||||||
Ramco-Gershenson Properties Trust | 72 | 929 | ||||||
City Holding Co. | 14 | 922 | ||||||
Capstead Mortgage Corp. | 88 | 918 | ||||||
FNFV Group* | 58 | 916 | ||||||
First Interstate BancSystem, Inc. — Class A | 25 | 915 | ||||||
RE/MAX Holdings, Inc. — Class A | 16 | 897 | ||||||
Sandy Spring Bancorp, Inc. | 22 | 895 | ||||||
Moelis & Co. — Class A | 23 | 894 | ||||||
Parkway, Inc. | 39 | 893 | ||||||
Seacoast Banking Corporation of Florida* | 37 | 892 | ||||||
Safety Insurance Group, Inc. | 13 | 888 | ||||||
Encore Capital Group, Inc.*,1 | 22 | 883 | ||||||
United Fire Group, Inc. | 20 | 881 | ||||||
First Busey Corp. | 30 | 880 | ||||||
First BanCorp* | 151 | 874 | ||||||
Ladder Capital Corp. — Class A | 65 | 872 | ||||||
Stewart Information Services Corp. | 19 | 862 | ||||||
Banc of California, Inc.1 | 40 | 860 | ||||||
FelCor Lodging Trust, Inc. | 119 | 858 | ||||||
Enterprise Financial Services Corp. | 21 | 857 | ||||||
ARMOUR Residential REIT, Inc. | 34 | 850 | ||||||
Central Pacific Financial Corp. | 27 | 850 | ||||||
Nelnet, Inc. — Class A | 18 | 846 | ||||||
Alexander’s, Inc. | 2 | 843 | ||||||
Hanmi Financial Corp. | 29 | 825 | ||||||
St. Joe Co.* | 44 | 825 | ||||||
KCG Holdings, Inc. — Class A* | 41 | 818 | ||||||
Tier REIT, Inc. | 44 | 813 | ||||||
Cohen & Steers, Inc. | 20 | 811 | ||||||
MTGE Investment Corp. | 42 | 790 | ||||||
OceanFirst Financial Corp. | 29 | 786 | ||||||
United Financial Bancorp, Inc. | 47 | 784 | ||||||
Piper Jaffray Cos. | 13 | 779 | ||||||
Stock Yards Bancorp, Inc. | 20 | 778 | ||||||
Lakeland Bancorp, Inc. | 41 | 773 | ||||||
BancFirst Corp. | 8 | 773 | ||||||
MainSource Financial Group, Inc. | 23 | 771 | ||||||
iStar, Inc.* | 64 | 771 | ||||||
New Senior Investment Group, Inc. | 76 | 764 | ||||||
National Bank Holdings Corp. — Class A | 23 | 762 | ||||||
OM Asset Management plc | 51 | 758 | ||||||
HomeStreet, Inc.* | 27 | 747 | ||||||
InfraREIT, Inc. | 39 | 747 | ||||||
Meridian Bancorp, Inc. | 44 | 744 | ||||||
Customers Bancorp, Inc.* | 26 | 735 | ||||||
Flushing Financial Corp. | 26 | 733 | ||||||
Maiden Holdings Ltd. | 66 | 733 | ||||||
Universal Insurance Holdings, Inc.1 | 29 | 731 | ||||||
Ambac Financial Group, Inc.* | 42 | 729 | ||||||
Washington Trust Bancorp, Inc. | 14 | 722 | ||||||
1st Source Corp. | 15 | 719 | ||||||
First Bancorp | 23 | 719 |
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Univest Corporation of Pennsylvania | 24 | $ | 719 | |||||
Heritage Financial Corp. | 27 | 716 | ||||||
Pennsylvania Real Estate Investment Trust | 63 | 713 | ||||||
Easterly Government Properties, Inc. | 34 | 712 | ||||||
Meta Financial Group, Inc. | 8 | 712 | ||||||
Chatham Lodging Trust | 35 | 703 | ||||||
Houlihan Lokey, Inc. | 20 | 698 | ||||||
Investors Real Estate Trust | 112 | 696 | ||||||
Northfield Bancorp, Inc. | 40 | 686 | ||||||
PJT Partners, Inc. — Class A | 17 | 684 | ||||||
German American Bancorp, Inc. | 20 | 682 | ||||||
James River Group Holdings Ltd. | 17 | 675 | ||||||
PHH Corp.* | 49 | 675 | ||||||
Forestar Group, Inc.* | 39 | 669 | ||||||
TriCo Bancshares | 19 | 668 | ||||||
Hersha Hospitality Trust | 36 | 666 | ||||||
Virtus Investment Partners, Inc. | 6 | 666 | ||||||
TrustCo Bank Corp. NY | 85 | 659 | ||||||
Cass Information Systems, Inc. | 10 | 656 | ||||||
Preferred Bank/Los Angeles CA | 12 | 642 | ||||||
New York Mortgage Trust, Inc. | 103 | 641 | ||||||
National Western Life Group, Inc. — Class A | 2 | 639 | ||||||
Bryn Mawr Bank Corp. | 15 | 638 | ||||||
Investment Technology Group, Inc. | 30 | 637 | ||||||
NorthStar Realty Europe Corp. | 50 | 634 | ||||||
Independence Realty Trust, Inc. | 64 | 632 | ||||||
ConnectOne Bancorp, Inc. | 28 | 631 | ||||||
First of Long Island Corp. | 22 | 629 | ||||||
Getty Realty Corp. | 25 | 628 | ||||||
Flagstar Bancorp, Inc.* | 20 | 616 | ||||||
Oritani Financial Corp. | 36 | 614 | ||||||
Community Trust Bancorp, Inc. | 14 | 613 | ||||||
CoBiz Financial, Inc. | 35 | 609 | ||||||
NMI Holdings, Inc. — Class A* | 53 | 607 | ||||||
Camden National Corp. | 14 | 601 | ||||||
Stonegate Bank | 13 | 600 | ||||||
First Potomac Realty Trust | 54 | 600 | ||||||
Guaranty Bancorp | 22 | 598 | ||||||
Diamond Hill Investment Group, Inc. | 3 | 598 | ||||||
Altisource Residential Corp. | 46 | 595 | ||||||
Greenlight Capital Re Ltd. — Class A* | 28 | 585 | ||||||
Saul Centers, Inc. | 10 | 580 | ||||||
Park Sterling Corp. | 48 | 570 | ||||||
Dime Community Bancshares, Inc. | 29 | 568 | ||||||
Bridge Bancorp, Inc. | 17 | 566 | ||||||
FBL Financial Group, Inc. — Class A | 9 | 554 | ||||||
CU Bancorp* | 15 | 542 | ||||||
Great Southern Bancorp, Inc. | 10 | 535 | ||||||
Urstadt Biddle Properties, Inc. — Class A | 27 | 535 | ||||||
Armada Hoffler Properties, Inc. | 41 | 531 | ||||||
TriState Capital Holdings, Inc.* | 21 | 529 | ||||||
INTL FCStone, Inc.* | 14 | 529 | ||||||
Horizon Bancorp | 20 | 527 | ||||||
Anworth Mortgage Asset Corp. | 87 | 523 | ||||||
QCR Holdings, Inc. | 11 | 521 | ||||||
Federal Agricultural Mortgage Corp. — Class C | 8 | 518 | ||||||
Pacific Continental Corp. | 20 | 511 | ||||||
Greenhill & Company, Inc. | 25 | 503 | ||||||
Gladstone Commercial Corp. | 23 | 501 | ||||||
State National Companies, Inc. | 27 | 496 | ||||||
Kinsale Capital Group, Inc. | 13 | 485 | ||||||
Nationstar Mortgage Holdings, Inc.* | 27 | 483 | ||||||
Peoples Bancorp, Inc. | 15 | 482 | ||||||
First Defiance Financial Corp. | 9 | 474 | ||||||
First Financial Corp. | 10 | 473 | ||||||
Mercantile Bank Corp. | 15 | 472 | ||||||
Trupanion, Inc.* | 21 | 470 | ||||||
Peapack Gladstone Financial Corp. | 15 | 469 | ||||||
Midland States Bancorp, Inc. | 14 | 469 | ||||||
Opus Bank | 19 | 460 | ||||||
AG Mortgage Investment Trust, Inc. | 25 | 458 | ||||||
Fidelity Southern Corp. | 20 | 457 | ||||||
Heritage Commerce Corp. | 33 | 455 | ||||||
Franklin Financial Network, Inc.* | 11 | 454 | ||||||
Waterstone Financial, Inc. | 24 | 452 | ||||||
Enova International, Inc.* | 30 | 446 | ||||||
UMH Properties, Inc. | 26 | 443 | ||||||
Preferred Apartment Communities, Inc. — Class A | 28 | 441 | ||||||
Nicolet Bankshares, Inc.* | 8 | 438 | ||||||
Live Oak Bancshares, Inc. | 18 | 436 | ||||||
Ashford Hospitality Trust, Inc. | 71 | 432 | ||||||
Bar Harbor Bankshares | 14 | 431 | ||||||
First Foundation, Inc.* | 26 | 427 | ||||||
Allegiance Bancshares, Inc.* | 11 | 421 | ||||||
Carolina Financial Corp. | 13 | 420 | ||||||
Whitestone REIT — Class B | 34 | 417 | ||||||
Republic First Bancorp, Inc.* | 45 | 416 | ||||||
Independent Bank Corp. | 19 | 413 | ||||||
First Community Bancshares, Inc. | 15 | 410 | ||||||
CatchMark Timber Trust, Inc. — Class A | 36 | 409 | ||||||
Southwest Bancorp, Inc. | 16 | 409 | ||||||
Virtu Financial, Inc. — Class A1 | 23 | 406 | ||||||
OFG Bancorp | 40 | 400 | ||||||
NexPoint Residential Trust, Inc. | 16 | 398 | ||||||
Westwood Holdings Group, Inc. | 7 | 397 | ||||||
National Commerce Corp.* | 10 | 396 | ||||||
Marcus & Millichap, Inc.* | 15 | 395 | ||||||
Blue Hills Bancorp, Inc. | 22 | 394 | ||||||
Western Asset Mortgage Capital Corp. | 38 | 391 | ||||||
Cowen, Inc. — Class A* | 24 | 390 | ||||||
Green Bancorp, Inc.* | 20 | 388 | ||||||
Financial Institutions, Inc. | 13 | 387 | ||||||
State Auto Financial Corp. | 15 | 386 | ||||||
World Acceptance Corp.* | 5 | 375 | ||||||
United Community Financial Corp. | 45 | 374 | ||||||
Access National Corp. | 14 | 371 | ||||||
CorEnergy Infrastructure Trust, Inc. | 11 | 369 | ||||||
Bank of Marin Bancorp | 6 | 369 | ||||||
Cedar Realty Trust, Inc. | 76 | 369 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
HomeTrust Bancshares, Inc.* | 15 | $ | 366 | |||||
Atlantic Capital Bancshares, Inc.* | 19 | 361 | ||||||
Bank Mutual Corp. | 39 | 357 | ||||||
West Bancorporation, Inc. | 15 | 355 | ||||||
Arrow Financial Corp. | 11 | 348 | ||||||
OneBeacon Insurance Group Ltd. — Class A | 19 | 346 | ||||||
R1 RCM, Inc.* | 92 | 345 | ||||||
Triumph Bancorp, Inc.* | 14 | 344 | ||||||
City Office REIT, Inc. | 27 | 343 | ||||||
Veritex Holdings, Inc.* | 13 | 342 | ||||||
Fidelity & Guaranty Life | 11 | 342 | ||||||
Bancorp, Inc.* | 45 | 341 | ||||||
MidWestOne Financial Group, Inc. | 10 | 339 | ||||||
CNB Financial Corp. | 14 | 336 | ||||||
Farmers National Banc Corp. | 23 | 334 | ||||||
First Connecticut Bancorp, Inc. | 13 | 333 | ||||||
HCI Group, Inc. | 7 | 329 | ||||||
MedEquities Realty Trust, Inc. | 26 | 328 | ||||||
Ares Commercial Real Estate Corp. | 25 | 327 | ||||||
People’s Utah Bancorp | 12 | 322 | ||||||
Republic Bancorp, Inc. — Class A | 9 | 321 | ||||||
Enterprise Bancorp, Inc. | 9 | 320 | ||||||
Citizens, Inc.*,1 | 43 | 317 | ||||||
Clifton Bancorp, Inc. | 19 | 314 | ||||||
Heritage Insurance Holdings, Inc. | 24 | 312 | ||||||
Old Second Bancorp, Inc. | 27 | 312 | ||||||
WashingtonFirst Bankshares, Inc. | 9 | 311 | ||||||
Global Indemnity Ltd.* | 8 | 310 | ||||||
First Mid-Illinois Bancshares, Inc. | 9 | 308 | ||||||
Community Healthcare Trust, Inc. | 12 | 307 | ||||||
Equity Bancshares, Inc. — Class A* | 10 | 306 | ||||||
Orchid Island Capital, Inc. | 31 | 306 | ||||||
Dynex Capital, Inc. | 43 | 305 | ||||||
One Liberty Properties, Inc. | 13 | 305 | ||||||
American National Bankshares, Inc. | 8 | 296 | ||||||
NewStar Financial, Inc. | 28 | 294 | ||||||
RMR Group, Inc. — Class A | 6 | 292 | ||||||
PCSB Financial Corp.* | 17 | 290 | ||||||
Arlington Asset Investment Corp. — Class A | 21 | 287 | ||||||
Hamilton Lane, Inc. — Class A | 13 | 286 | ||||||
Resource Capital Corp. | 28 | 285 | ||||||
FRP Holdings, Inc.* | 6 | 277 | ||||||
Bluerock Residential Growth REIT, Inc. | 21 | 271 | ||||||
Sierra Bancorp | 11 | 270 | ||||||
Farmers Capital Bank Corp. | 7 | 270 | ||||||
eHealth, Inc.* | 14 | 263 | ||||||
Peoples Financial Services Corp. | 6 | 262 | ||||||
Ocwen Financial Corp.* | 97 | 261 | ||||||
Farmland Partners, Inc. | 29 | 259 | ||||||
Citizens & Northern Corp. | 11 | 256 | ||||||
Western New England Bancorp, Inc. | 25 | 254 | ||||||
United Insurance Holdings Corp. | 16 | 252 | ||||||
PennyMac Financial Services, Inc. — Class A* | 15 | 251 | ||||||
Farmers & Merchants Bancorp Incorporated/Archbold OH | 4 | 248 | ||||||
Ashford Hospitality Prime, Inc. | 24 | 247 | ||||||
Sun Bancorp, Inc. | 10 | 247 | ||||||
National Bankshares, Inc. | 6 | 245 | ||||||
Ames National Corp. | 8 | 245 | ||||||
First Bancorp, Inc. | 9 | 244 | ||||||
HarborOne Bancorp, Inc.* | 12 | 240 | ||||||
Sutherland Asset Management Corp. | 16 | 238 | ||||||
Health Insurance Innovations, Inc. — Class A* | 10 | 235 | ||||||
BSB Bancorp, Inc.* | 8 | 234 | ||||||
Ladenburg Thalmann Financial Services, Inc.* | 94 | 229 | ||||||
Macatawa Bank Corp. | 24 | 229 | ||||||
Consolidated-Tomoka Land Co. | 4 | 228 | ||||||
Safeguard Scientifics, Inc.* | 19 | 226 | ||||||
Old Line Bancshares, Inc. | 8 | 225 | ||||||
WMIH Corp.* | 178 | 223 | ||||||
Southern First Bancshares, Inc.* | 6 | 222 | ||||||
EMC Insurance Group, Inc. | 8 | 222 | ||||||
First Bancshares, Inc. | 8 | 221 | ||||||
Baldwin & Lyons, Inc. — Class B | 9 | 221 | ||||||
Summit Financial Group, Inc. | 10 | 220 | ||||||
Territorial Bancorp, Inc. | 7 | 218 | ||||||
Altisource Portfolio Solutions S.A.*,1 | 10 | 218 | ||||||
FB Financial Corp.* | 6 | 217 | ||||||
KKR Real Estate Finance Trust, Inc. | 10 | 215 | ||||||
MutualFirst Financial, Inc. | 6 | 214 | ||||||
Regional Management Corp.* | 9 | 213 | ||||||
Home Bancorp, Inc. | 5 | 213 | ||||||
Paragon Commercial Corp.* | 4 | 210 | ||||||
On Deck Capital, Inc.* | 45 | 210 | ||||||
GAIN Capital Holdings, Inc. | 33 | 206 | ||||||
Capital City Bank Group, Inc. | 10 | 204 | ||||||
Cherry Hill Mortgage Investment Corp. | 11 | 203 | ||||||
Marlin Business Services Corp. | 8 | 201 | ||||||
Central Valley Community Bancorp | 9 | 199 | ||||||
Codorus Valley Bancorp, Inc. | 7 | 199 | ||||||
Charter Financial Corp. | 11 | 198 | ||||||
Jernigan Capital, Inc. | 9 | 198 | ||||||
Shore Bancshares, Inc. | 12 | 197 | ||||||
Great Ajax Corp. | 14 | 196 | ||||||
BankFinancial Corp. | 13 | 194 | ||||||
Investors Title Co. | 1 | 193 | ||||||
Federated National Holding Co. | 12 | 192 | ||||||
Century Bancorp, Inc. — Class A | 3 | 191 | ||||||
Union Bankshares, Inc. | 4 | 190 | ||||||
Civista Bancshares, Inc. | 9 | 188 | ||||||
Bankwell Financial Group, Inc. | 6 | 187 | ||||||
RAIT Financial Trust | 85 | 186 | ||||||
Premier Financial Bancorp, Inc. | 9 | 185 | ||||||
First Business Financial Services, Inc. | 8 | 185 | ||||||
Investar Holding Corp. | 8 | 183 | ||||||
Northrim BanCorp, Inc. | 6 | 182 | ||||||
Hingham Institution for Savings | 1 | 182 |
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Bear State Financial, Inc. | 19 | $ | 180 | |||||
Southern National Bancorp of Virginia, Inc. | 10 | 176 | ||||||
Cadence BanCorp* | 8 | 175 | ||||||
Clipper Realty, Inc. | 14 | 173 | ||||||
Associated Capital Group, Inc. — Class A | 5 | 170 | ||||||
Norwood Financial Corp. | 4 | 169 | ||||||
First Internet Bancorp | 6 | 168 | ||||||
First Community Financial Partners, Inc.* | 13 | 168 | ||||||
SmartFinancial, Inc.* | 7 | 167 | ||||||
Community Bankers Trust Corp.* | 20 | 165 | ||||||
Penns Woods Bancorp, Inc. | 4 | 165 | ||||||
Pzena Investment Management, Inc. — Class A | 16 | 163 | ||||||
Tiptree, Inc. — Class A | 23 | 162 | ||||||
Southern Missouri Bancorp, Inc. | 5 | 161 | ||||||
SI Financial Group, Inc. | 10 | 161 | ||||||
NI Holdings, Inc.* | 9 | 161 | ||||||
LCNB Corp. | 8 | 160 | ||||||
Orrstown Financial Services, Inc. | 7 | 160 | ||||||
Evans Bancorp, Inc. | 4 | 160 | ||||||
Xenith Bankshares, Inc.* | 5 | 155 | ||||||
MBT Financial Corp. | 16 | 155 | ||||||
Bank of Commerce Holdings | 14 | 155 | ||||||
Community Financial Corp. | 4 | 154 | ||||||
Howard Bancorp, Inc.* | 8 | 154 | ||||||
Owens Realty Mortgage, Inc. | 9 | 153 | ||||||
ACNB Corp. | 5 | 153 | ||||||
Timberland Bancorp, Inc. | 6 | 152 | ||||||
Impac Mortgage Holdings, Inc.* | 10 | 151 | ||||||
Sunshine Bancorp, Inc.* | 7 | 149 | ||||||
Atlas Financial Holdings, Inc.* | 10 | 149 | ||||||
Oppenheimer Holdings, Inc. — Class A | 9 | 148 | ||||||
Stratus Properties, Inc. | 5 | 147 | ||||||
Ohio Valley Banc Corp. | 4 | 144 | ||||||
Malvern Bancorp, Inc.* | 6 | 144 | ||||||
Commerce Union Bancshares, Inc. | 6 | 143 | ||||||
Northeast Bancorp | 7 | 142 | ||||||
First Northwest Bancorp* | 9 | 142 | ||||||
Capstar Financial Holdings, Inc.* | 8 | 142 | ||||||
C&F Financial Corp. | 3 | 141 | ||||||
BCB Bancorp, Inc. | 9 | 138 | ||||||
FNB Bancorp | 5 | 137 | ||||||
Entegra Financial Corp.* | 6 | 137 | ||||||
Hallmark Financial Services, Inc.* | 12 | 135 | ||||||
ASB Bancorp, Inc.* | 3 | 132 | ||||||
Two River Bancorp | 7 | 130 | ||||||
First Financial Northwest, Inc. | 8 | 129 | ||||||
Donegal Group, Inc. — Class A | 8 | 127 | ||||||
Prudential Bancorp, Inc. | 7 | 127 | ||||||
Peoples Bancorp of North Carolina, Inc. | 4 | 126 | ||||||
Global Medical REIT, Inc. | 14 | 125 | ||||||
Pacific Mercantile Bancorp* | 14 | 123 | ||||||
Independence Holding Co. | 6 | 123 | ||||||
Chemung Financial Corp. | 3 | 123 | ||||||
Kingstone Companies, Inc. | 8 | 122 | ||||||
Maui Land & Pineapple Company, Inc.* | 6 | 122 | ||||||
Trinity Place Holdings, Inc.* | 17 | 121 | ||||||
Unity Bancorp, Inc. | 7 | 120 | ||||||
Riverview Bancorp, Inc. | 18 | 120 | ||||||
GAMCO Investors, Inc. — Class A | 4 | 118 | ||||||
ESSA Bancorp, Inc. | 8 | 118 | ||||||
Ellington Residential Mortgage REIT | 8 | 117 | ||||||
Provident Financial Holdings, Inc. | 6 | 116 | ||||||
Parke Bancorp, Inc. | 5 | 112 | ||||||
United Security Bancshares | 12 | 111 | ||||||
First Guaranty Bancshares, Inc. | 4 | 109 | ||||||
Elevate Credit, Inc.* | 13 | 103 | ||||||
DNB Financial Corp. | 3 | 103 | ||||||
Crawford & Co. — Class B | 11 | 102 | ||||||
Middlefield Banc Corp. | 2 | 101 | ||||||
Old Point Financial Corp. | 3 | 99 | ||||||
County Bancorp, Inc. | 4 | 96 | ||||||
Silvercrest Asset Management Group, Inc. — Class A | 7 | 94 | ||||||
MidSouth Bancorp, Inc.1 | 8 | 94 | ||||||
Blue Capital Reinsurance Holdings Ltd. | 5 | 92 | ||||||
Provident Bancorp, Inc.* | 4 | 90 | ||||||
Greene County Bancorp, Inc. | 3 | 82 | ||||||
Guaranty Bancshares, Inc. | 2 | 64 | ||||||
Transcontinental Realty Investors, Inc.* | 2 | 54 | ||||||
California First National Bancorp | 2 | 38 | ||||||
Fifth Street Asset Management, Inc. | 7 | 34 | ||||||
Medley Management, Inc. — Class A | 5 | 33 | ||||||
Griffin Industrial Realty, Inc. | 1 | 31 | ||||||
Oconee Federal Financial Corp. | 1 | 28 | ||||||
Total Financial | 459,988 | |||||||
Consumer, Non-cyclical - 6.4% | ||||||||
Kite Pharma, Inc.*,1 | 45 | 4,664 | ||||||
Catalent, Inc.* | 116 | 4,072 | ||||||
PAREXEL International Corp.* | 46 | 3,997 | ||||||
Bluebird Bio, Inc.* | 38 | 3,991 | ||||||
HealthSouth Corp. | 82 | 3,969 | ||||||
Masimo Corp.* | 41 | 3,737 | ||||||
NuVasive, Inc.* | 47 | 3,614 | ||||||
Exact Sciences Corp.*,1 | 101 | 3,571 | ||||||
Grand Canyon Education, Inc.* | 43 | 3,371 | ||||||
Clovis Oncology, Inc.* | 36 | 3,371 | ||||||
Deluxe Corp. | 45 | 3,114 | ||||||
Integra LifeSciences Holdings Corp.* | 57 | 3,107 | ||||||
Healthcare Services Group, Inc. | 66 | 3,091 | ||||||
Incorporated Research Holdings, Inc. — Class A* | 50 | 2,925 | ||||||
Chemed Corp. | 14 | 2,863 | ||||||
Molina Healthcare, Inc.* | 41 | 2,836 | ||||||
Brink’s Co. | 42 | 2,814 | ||||||
Insulet Corp.* | 54 | 2,771 | ||||||
LivaNova plc* | 45 | 2,754 | ||||||
Snyder’s-Lance, Inc. | 79 | 2,735 | ||||||
PRA Health Sciences, Inc.* | 36 | 2,700 | ||||||
Nektar Therapeutics* | 137 | 2,678 | ||||||
Cantel Medical Corp. | 34 | 2,649 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Wright Medical Group N.V.* | 96 | $ | 2,639 | |||||
Prestige Brands Holdings, Inc.* | 49 | 2,588 | ||||||
Portola Pharmaceuticals, Inc.* | 46 | 2,584 | ||||||
Sage Therapeutics, Inc.* | 32 | 2,547 | ||||||
On Assignment, Inc.* | 47 | 2,545 | ||||||
Medicines Co.*,1 | 64 | 2,433 | ||||||
ICU Medical, Inc.* | 14 | 2,415 | ||||||
Darling Ingredients, Inc.* | 151 | 2,377 | ||||||
Penumbra, Inc.* | 27 | 2,369 | ||||||
Helen of Troy Ltd.* | 25 | 2,352 | ||||||
Neogen Corp.* | 34 | 2,350 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 124 | 2,341 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 19 | 2,307 | ||||||
HealthEquity, Inc.* | 46 | 2,292 | ||||||
Puma Biotechnology, Inc.* | 26 | 2,272 | ||||||
Aaron’s, Inc. | 58 | 2,256 | ||||||
Ultragenyx Pharmaceutical, Inc.* | 36 | 2,236 | ||||||
Sanderson Farms, Inc. | 19 | 2,197 | ||||||
Cimpress N.V.* | 23 | 2,174 | ||||||
B&G Foods, Inc. | 61 | 2,172 | ||||||
Adtalem Global Education, Inc.* | 57 | 2,163 | ||||||
ABM Industries, Inc. | 52 | 2,159 | ||||||
Globus Medical, Inc. — Class A* | 65 | 2,155 | ||||||
Lancaster Colony Corp. | 17 | 2,085 | ||||||
Nevro Corp.* | 26 | 1,935 | ||||||
Advisory Board Co.* | 37 | 1,906 | ||||||
Supernus Pharmaceuticals, Inc.* | 44 | 1,896 | ||||||
Haemonetics Corp.* | 48 | 1,896 | ||||||
Prothena Corporation plc* | 35 | 1,894 | ||||||
Avis Budget Group, Inc.* | 69 | 1,882 | ||||||
Sotheby’s* | 35 | 1,878 | ||||||
J&J Snack Foods Corp. | 14 | 1,849 | ||||||
Vector Group Ltd. | 86 | 1,833 | ||||||
Blueprint Medicines Corp.* | 36 | 1,824 | ||||||
Performance Food Group Co.* | 66 | 1,808 | ||||||
Owens & Minor, Inc. | 56 | 1,803 | ||||||
Cambrex Corp.* | 30 | 1,793 | ||||||
Horizon Pharma plc* | 150 | 1,781 | ||||||
FibroGen, Inc.* | 55 | 1,777 | ||||||
Matthews International Corp. — Class A | 29 | 1,776 | ||||||
Teladoc, Inc.*,1 | 50 | 1,735 | ||||||
United Natural Foods, Inc.* | 47 | 1,725 | ||||||
Pacira Pharmaceuticals, Inc.* | 36 | 1,717 | ||||||
Merit Medical Systems, Inc.* | 45 | 1,717 | ||||||
Halyard Health, Inc.* | 43 | 1,689 | ||||||
AMN Healthcare Services, Inc.* | 43 | 1,679 | ||||||
Amedisys, Inc.* | 26 | 1,633 | ||||||
Korn/Ferry International | 47 | 1,623 | ||||||
Green Dot Corp. — Class A* | 42 | 1,618 | ||||||
Sarepta Therapeutics, Inc.* | 48 | 1,618 | ||||||
Magellan Health, Inc.* | 22 | 1,604 | ||||||
Travelport Worldwide Ltd. | 114 | 1,569 | ||||||
Avexis, Inc.* | 19 | 1,561 | ||||||
Radius Health, Inc.*,1 | 34 | 1,538 | ||||||
Spectranetics Corp.* | 40 | 1,536 | ||||||
Fresh Del Monte Produce, Inc. | 30 | 1,527 | ||||||
Inogen, Inc.* | 16 | 1,527 | ||||||
Myriad Genetics, Inc.* | 59 | 1,525 | ||||||
Select Medical Holdings Corp.* | 99 | 1,520 | ||||||
Theravance Biopharma, Inc.* | 38 | 1,514 | ||||||
NxStage Medical, Inc.* | 60 | 1,504 | ||||||
Universal Corp. | 23 | 1,487 | ||||||
Aerie Pharmaceuticals, Inc.* | 28 | 1,471 | ||||||
Tenet Healthcare Corp.* | 75 | 1,451 | ||||||
Loxo Oncology, Inc.* | 18 | 1,443 | ||||||
WD-40 Co. | 13 | 1,435 | ||||||
Dean Foods Co. | 84 | 1,428 | ||||||
HMS Holdings Corp.* | 77 | 1,425 | ||||||
MiMedx Group, Inc.*,1 | 95 | 1,422 | ||||||
NutriSystem, Inc. | 27 | 1,405 | ||||||
Cardtronics plc — Class A* | 42 | 1,380 | ||||||
Tivity Health, Inc.* | 34 | 1,355 | ||||||
Array BioPharma, Inc.*,1 | 159 | 1,331 | ||||||
Amicus Therapeutics, Inc.* | 132 | 1,329 | ||||||
FTI Consulting, Inc.* | 38 | 1,328 | ||||||
Repligen Corp.* | 32 | 1,326 | ||||||
Halozyme Therapeutics, Inc.* | 101 | 1,295 | ||||||
Bob Evans Farms, Inc. | 18 | 1,293 | ||||||
CONMED Corp.1 | 25 | 1,274 | ||||||
Spark Therapeutics, Inc.* | 21 | 1,255 | ||||||
Integer Holdings Corp.* | 29 | 1,254 | ||||||
TriNet Group, Inc.* | 38 | 1,244 | ||||||
Monro Muffler Brake, Inc. | 29 | 1,211 | ||||||
Insperity, Inc. | 17 | 1,207 | ||||||
Hostess Brands, Inc.* | 74 | 1,191 | ||||||
Varex Imaging Corp.* | 35 | 1,183 | ||||||
ACCO Brands Corp.* | 100 | 1,165 | ||||||
Momenta Pharmaceuticals, Inc.* | 68 | 1,149 | ||||||
Cal-Maine Foods, Inc.*,1 | 29 | 1,148 | ||||||
Natus Medical, Inc.* | 30 | 1,119 | ||||||
Impax Laboratories, Inc.* | 68 | 1,095 | ||||||
Paylocity Holding Corp.* | 24 | 1,084 | ||||||
Glaukos Corp.*,1 | 26 | 1,078 | ||||||
Abaxis, Inc. | 20 | 1,060 | ||||||
Boston Beer Company, Inc. — Class A* | 8 | 1,058 | ||||||
Emergent BioSolutions, Inc.* | 31 | 1,051 | ||||||
Calavo Growers, Inc. | 15 | 1,036 | ||||||
TrueBlue, Inc.* | 39 | 1,034 | ||||||
LendingTree, Inc.* | 6 | 1,033 | ||||||
National Beverage Corp. | 11 | 1,029 | ||||||
Dermira, Inc.* | 35 | 1,020 | ||||||
LHC Group, Inc.* | 15 | 1,018 | ||||||
Corcept Therapeutics, Inc.* | 84 | 991 | ||||||
Central Garden & Pet Co. — Class A* | 33 | 991 | ||||||
Insmed, Inc.* | 57 | 978 | ||||||
EVERTEC, Inc. | 56 | 969 | ||||||
Ensign Group, Inc. | 44 | 958 | ||||||
Capella Education Co. | 11 | 942 | ||||||
Cardiovascular Systems, Inc.* | 29 | 935 | ||||||
Strayer Education, Inc. | 10 | 932 | ||||||
Synergy Pharmaceuticals, Inc.* | 209 | 930 |
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Global Blood Therapeutics, Inc.* | 34 | $ | 930 | |||||
Novocure Ltd.* | 53 | 917 | ||||||
Coca-Cola Bottling Company Consolidated | 4 | 915 | ||||||
Acceleron Pharma, Inc.* | 30 | 912 | ||||||
SpartanNash Co. | 35 | 909 | ||||||
K2M Group Holdings, Inc.* | 37 | 901 | ||||||
Viad Corp. | 19 | 898 | ||||||
OraSure Technologies, Inc.* | 52 | 898 | ||||||
Kindred Healthcare, Inc. | 77 | 897 | ||||||
Innoviva, Inc.* | 70 | 896 | ||||||
Community Health Systems, Inc.* | 88 | 876 | ||||||
Analogic Corp. | 12 | 872 | ||||||
BioTelemetry, Inc.* | 26 | 870 | ||||||
Weight Watchers International, Inc.* | 26 | 869 | ||||||
Herc Holdings, Inc.* | 22 | 865 | ||||||
Huron Consulting Group, Inc.* | 20 | 864 | ||||||
Andersons, Inc. | 25 | 854 | ||||||
Navigant Consulting, Inc.* | 43 | 850 | ||||||
Immunomedics, Inc.* | 94 | 830 | ||||||
RR Donnelley & Sons Co. | 65 | 815 | ||||||
SUPERVALU, Inc.* | 247 | 813 | ||||||
Luminex Corp. | 38 | 803 | ||||||
ICF International, Inc.* | 17 | 801 | ||||||
Acorda Therapeutics, Inc.* | 40 | 788 | ||||||
McGrath RentCorp | 22 | 762 | ||||||
TherapeuticsMD, Inc.*,1 | 144 | 759 | ||||||
Omeros Corp.* | 38 | 756 | ||||||
Five Prime Therapeutics, Inc.* | 25 | 753 | ||||||
ZIOPHARM Oncology, Inc.*,1 | 121 | 753 | ||||||
Orthofix International N.V.* | 16 | 744 | ||||||
Almost Family, Inc.* | 12 | 740 | ||||||
Xencor, Inc.* | 35 | 739 | ||||||
Alarm.com Holdings, Inc.* | 19 | 715 | ||||||
PharMerica Corp.* | 27 | 709 | ||||||
Quidel Corp.* | 26 | 706 | ||||||
USANA Health Sciences, Inc.* | 11 | 705 | ||||||
CBIZ, Inc.* | 47 | 705 | ||||||
AtriCure, Inc.* | 29 | 703 | ||||||
National Healthcare Corp. | 10 | 701 | ||||||
Retrophin, Inc.* | 35 | 679 | ||||||
Intersect ENT, Inc.* | 24 | 671 | ||||||
Vanda Pharmaceuticals, Inc.* | 41 | 668 | ||||||
Quad/Graphics, Inc. | 29 | 665 | ||||||
US Physical Therapy, Inc. | 11 | 664 | ||||||
LSC Communications, Inc. | 31 | 663 | ||||||
Lexicon Pharmaceuticals, Inc.* | 40 | 658 | ||||||
Aimmune Therapeutics, Inc.* | 32 | 658 | ||||||
Accelerate Diagnostics, Inc.* | 24 | 656 | ||||||
Diplomat Pharmacy, Inc.* | 44 | 651 | ||||||
Axovant Sciences Ltd.* | 28 | 649 | ||||||
Esperion Therapeutics, Inc.* | 14 | 648 | ||||||
Atrion Corp. | 1 | 643 | ||||||
Anika Therapeutics, Inc.* | 13 | 641 | ||||||
Team, Inc.* | 27 | 633 | ||||||
Eagle Pharmaceuticals, Inc.* | 8 | 631 | ||||||
Phibro Animal Health Corp. — Class A | 17 | 630 | ||||||
Kelly Services, Inc. — Class A | 28 | 629 | ||||||
MGP Ingredients, Inc. | 12 | 614 | ||||||
Heska Corp.* | 6 | 612 | ||||||
Meridian Bioscience, Inc. | 38 | 599 | ||||||
CryoLife, Inc.* | 30 | 599 | ||||||
Career Education Corp.* | 62 | 595 | ||||||
Amphastar Pharmaceuticals, Inc.* | 33 | 589 | ||||||
AMAG Pharmaceuticals, Inc.* | 32 | 589 | ||||||
Achaogen, Inc.* | 27 | 587 | ||||||
Inter Parfums, Inc. | 16 | 586 | ||||||
Genomic Health, Inc.* | 18 | 586 | ||||||
RPX Corp.* | 42 | 586 | ||||||
Heron Therapeutics, Inc.*,1 | 42 | 582 | ||||||
Sangamo Therapeutics, Inc.* | 66 | 581 | ||||||
Laureate Education, Inc. — Class A* | 33 | 578 | ||||||
Hertz Global Holdings, Inc.* | 50 | 575 | ||||||
Epizyme, Inc.* | 38 | 574 | ||||||
Depomed, Inc.* | 53 | 569 | ||||||
PTC Therapeutics, Inc.* | 31 | 568 | ||||||
Tootsie Roll Industries, Inc. | 16 | 558 | ||||||
Providence Service Corp.* | 11 | 557 | ||||||
K12, Inc.* | 31 | 556 | ||||||
ImmunoGen, Inc.* | 78 | 555 | ||||||
Revance Therapeutics, Inc.* | 21 | 554 | ||||||
iRhythm Technologies, Inc.* | 13 | 552 | ||||||
AngioDynamics, Inc.* | 34 | 551 | ||||||
MacroGenics, Inc.* | 31 | 543 | ||||||
Keryx Biopharmaceuticals, Inc.*,1 | 75 | 542 | ||||||
Spectrum Pharmaceuticals, Inc.* | 72 | 536 | ||||||
Lannett Company, Inc.*,1 | 26 | 530 | ||||||
Paratek Pharmaceuticals, Inc.* | 22 | 530 | ||||||
SciClone Pharmaceuticals, Inc.* | 48 | 528 | ||||||
Flexion Therapeutics, Inc.* | 26 | 526 | ||||||
Versartis, Inc.* | 30 | 524 | ||||||
Arena Pharmaceuticals, Inc.* | 31 | 521 | ||||||
Albany Molecular Research, Inc.* | 24 | 521 | ||||||
Editas Medicine, Inc.* | 31 | 520 | ||||||
elf Beauty, Inc.*,1 | 19 | 517 | ||||||
Foundation Medicine, Inc.* | 13 | 517 | ||||||
Aclaris Therapeutics, Inc.* | 19 | 515 | ||||||
John B Sanfilippo & Son, Inc. | 8 | 505 | ||||||
Enanta Pharmaceuticals, Inc.* | 14 | 504 | ||||||
Coherus Biosciences, Inc.* | 35 | 502 | ||||||
Achillion Pharmaceuticals, Inc.* | 108 | 496 | ||||||
REGENXBIO, Inc.* | 25 | 494 | ||||||
Alder Biopharmaceuticals, Inc.* | 43 | 492 | ||||||
Otonomy, Inc.* | 26 | 490 | ||||||
SP Plus Corp.* | 16 | 489 | ||||||
Akebia Therapeutics, Inc.* | 34 | 489 | ||||||
Inovio Pharmaceuticals, Inc.* | 62 | 486 | ||||||
La Jolla Pharmaceutical Co.* | 16 | 476 | ||||||
Ignyta, Inc.* | 46 | 476 | ||||||
GenMark Diagnostics, Inc.* | 40 | 473 | ||||||
MoneyGram International, Inc.* | 27 | 466 | ||||||
Cytokinetics, Inc.* | 38 | 460 | ||||||
Rent-A-Center, Inc.1 | 39 | 457 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
NeoGenomics, Inc.* | 51 | $ | 457 | |||||
TG Therapeutics, Inc.* | 45 | 452 | ||||||
Progenics Pharmaceuticals, Inc.* | 65 | 441 | ||||||
Ennis, Inc. | 23 | 439 | ||||||
Weis Markets, Inc. | 9 | 438 | ||||||
LeMaitre Vascular, Inc. | 14 | 437 | ||||||
Dynavax Technologies Corp.* | 45 | 434 | ||||||
Aduro Biotech, Inc.* | 38 | 433 | ||||||
Ingles Markets, Inc. — Class A | 13 | 433 | ||||||
Kforce, Inc. | 22 | 431 | ||||||
Everi Holdings, Inc.* | 59 | 430 | ||||||
CorVel Corp.* | 9 | 427 | ||||||
Cross Country Healthcare, Inc.* | 33 | 426 | ||||||
Antares Pharma, Inc.* | 132 | 425 | ||||||
Lantheus Holdings, Inc.* | 24 | 424 | ||||||
Enzo Biochem, Inc.* | 38 | 420 | ||||||
AxoGen, Inc.* | 25 | 419 | ||||||
CytomX Therapeutics, Inc.* | 27 | 419 | ||||||
Landauer, Inc. | 8 | 418 | ||||||
Calithera Biosciences, Inc.* | 28 | 416 | ||||||
Medifast, Inc. | 10 | 415 | ||||||
BioCryst Pharmaceuticals, Inc.* | 74 | 411 | ||||||
STAAR Surgical Co.* | 38 | 410 | ||||||
Barrett Business Services, Inc. | 7 | 401 | ||||||
Surgery Partners, Inc.* | 17 | 387 | ||||||
Intra-Cellular Therapies, Inc.* | 31 | 385 | ||||||
Cara Therapeutics, Inc.*,1 | 25 | 385 | ||||||
Invacare Corp. | 29 | 383 | ||||||
Geron Corp.* | 137 | 379 | ||||||
Carriage Services, Inc. — Class A | 14 | 377 | ||||||
Triple-S Management Corp. — Class B* | 22 | 372 | ||||||
Heidrick & Struggles International, Inc. | 17 | 370 | ||||||
Endologix, Inc.* | 76 | 369 | ||||||
PDL BioPharma, Inc.* | 147 | 363 | ||||||
Textainer Group Holdings Ltd.* | 25 | 363 | ||||||
Iovance Biotherapeutics, Inc.* | 49 | 360 | ||||||
Omega Protein Corp. | 20 | 358 | ||||||
Accuray, Inc.* | 75 | 356 | ||||||
Resources Connection, Inc. | 26 | 356 | ||||||
American Public Education, Inc.* | 15 | 355 | ||||||
Oxford Immunotec Global plc* | 21 | 353 | ||||||
Forrester Research, Inc. | 9 | 352 | ||||||
Capital Senior Living Corp.* | 23 | 350 | ||||||
Rockwell Medical, Inc.* | 44 | 349 | ||||||
Teligent, Inc.* | 38 | 348 | ||||||
Invitae Corp.* | 36 | 344 | ||||||
Hackett Group, Inc. | 22 | 341 | ||||||
Surmodics, Inc.* | 12 | 338 | ||||||
Zogenix, Inc.* | 23 | 334 | ||||||
CAI International, Inc.* | 14 | 330 | ||||||
ANI Pharmaceuticals, Inc.* | 7 | 328 | ||||||
Vectrus, Inc.* | 10 | 323 | ||||||
Atara Biotherapeutics, Inc.* | 23 | 322 | ||||||
Central Garden & Pet Co.* | 10 | 318 | ||||||
Natera, Inc.* | 29 | 315 | ||||||
Rigel Pharmaceuticals, Inc.* | 114 | 311 | ||||||
Cutera, Inc.* | 12 | 311 | ||||||
Emerald Expositions Events, Inc. | 14 | 307 | ||||||
SEACOR Marine Holdings, Inc.* | 15 | 305 | ||||||
Amplify Snack Brands, Inc.*,1 | 31 | 299 | ||||||
Exactech, Inc.*,1 | 10 | 298 | ||||||
Novavax, Inc.* | 259 | 298 | ||||||
RTI Surgical, Inc.* | 50 | 293 | ||||||
Primo Water Corp.* | 23 | 292 | ||||||
Bellicum Pharmaceuticals, Inc.* | 25 | 292 | ||||||
Nutraceutical International Corp. | 7 | 292 | ||||||
CRA International, Inc. | 8 | 291 | ||||||
BioScrip, Inc.* | 107 | 291 | ||||||
Tejon Ranch Co.* | 14 | 289 | ||||||
Karyopharm Therapeutics, Inc.* | 31 | 281 | ||||||
Insys Therapeutics, Inc.*,1 | 22 | 278 | ||||||
Pulse Biosciences, Inc.* | 8 | 276 | ||||||
Celldex Therapeutics, Inc.* | 111 | 274 | ||||||
Pacific Biosciences of California, Inc.* | 77 | 274 | ||||||
ServiceSource International, Inc.* | 70 | 272 | ||||||
Assembly Biosciences, Inc.* | 13 | 268 | ||||||
Audentes Therapeutics, Inc.* | 14 | 268 | ||||||
Aratana Therapeutics, Inc.* | 37 | 268 | ||||||
Agenus, Inc.* | 68 | 266 | ||||||
NanoString Technologies, Inc.* | 16 | 265 | ||||||
RadNet, Inc.* | 34 | 264 | ||||||
Collegium Pharmaceutical, Inc.*,1 | 21 | 263 | ||||||
Civitas Solutions, Inc.* | 15 | 263 | ||||||
Revlon, Inc. — Class A* | 11 | 261 | ||||||
Addus HomeCare Corp.* | 7 | 260 | ||||||
Limoneira Co. | 11 | 260 | ||||||
Corbus Pharmaceuticals Holdings, Inc.* | 41 | 258 | ||||||
Cadiz, Inc.*,1 | 19 | 257 | ||||||
Reata Pharmaceuticals, Inc. — Class A* | 8 | 253 | ||||||
Bridgepoint Education, Inc.*,1 | 17 | 251 | ||||||
Tetraphase Pharmaceuticals, Inc.* | 35 | 250 | ||||||
B. Riley Financial, Inc. | 13 | 248 | ||||||
BioSpecifics Technologies Corp.* | 5 | 248 | ||||||
Adamas Pharmaceuticals, Inc.* | 14 | 245 | ||||||
National Research Corp. — Class A | 9 | 242 | ||||||
Farmer Brothers Co.* | 8 | 242 | ||||||
Organovo Holdings, Inc.* | 91 | 239 | ||||||
Cerus Corp.* | 95 | 238 | ||||||
Concert Pharmaceuticals, Inc.* | 17 | 237 | ||||||
Chimerix, Inc.* | 43 | 234 | ||||||
Chefs’ Warehouse, Inc.* | 18 | 234 | ||||||
Sucampo Pharmaceuticals, Inc. — Class A* | 22 | 231 | ||||||
Tactile Systems Technology, Inc.* | 8 | 229 | ||||||
Biohaven Pharmaceutical Holding Company Ltd.* | 9 | 225 | ||||||
Great Lakes Dredge & Dock Corp.* | 52 | 224 | ||||||
Advaxis, Inc.* | 34 | 221 | ||||||
BioTime, Inc.* | 70 | 221 | ||||||
Selecta Biosciences, Inc.* | 11 | 218 | ||||||
Utah Medical Products, Inc. | 3 | 217 | ||||||
Seres Therapeutics, Inc.* | 19 | 215 |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Willdan Group, Inc.* | 7 | $ | 214 | |||||
NantKwest, Inc.* | 28 | 213 | ||||||
CardConnect Corp.* | 14 | 211 | ||||||
MyoKardia, Inc.* | 16 | 210 | ||||||
CSS Industries, Inc. | 8 | 209 | ||||||
Intellia Therapeutics, Inc.* | 13 | 208 | ||||||
Ra Pharmaceuticals, Inc.* | 11 | 206 | ||||||
ChemoCentryx, Inc.* | 22 | 206 | ||||||
WaVe Life Sciences Ltd.* | 11 | 205 | ||||||
Minerva Neurosciences, Inc.* | 23 | 204 | ||||||
Medpace Holdings, Inc.* | 7 | 203 | ||||||
Cempra, Inc.* | 44 | 202 | ||||||
Curis, Inc.* | 107 | 202 | ||||||
Craft Brew Alliance, Inc.* | 12 | 202 | ||||||
Durect Corp.* | 126 | 197 | ||||||
Natural Health Trends Corp. | 7 | 195 | ||||||
Ocular Therapeutix, Inc.* | 21 | 195 | ||||||
Stemline Therapeutics, Inc.* | 21 | 193 | ||||||
Syros Pharmaceuticals, Inc.* | 12 | 193 | ||||||
Smart & Final Stores, Inc.* | 21 | 191 | ||||||
Acacia Research Corp.* | 46 | 189 | ||||||
Zynerba Pharmaceuticals, Inc.* | 11 | 187 | ||||||
Seneca Foods Corp. — Class A* | 6 | 186 | ||||||
Edge Therapeutics, Inc.* | 18 | 185 | ||||||
Quotient Ltd.* | 25 | 184 | ||||||
Veracyte, Inc.* | 22 | 183 | ||||||
Catalyst Pharmaceuticals, Inc.* | 66 | 182 | ||||||
Entellus Medical, Inc.* | 11 | 182 | ||||||
Village Super Market, Inc. — Class A | 7 | 181 | ||||||
Care.com, Inc.* | 12 | 181 | ||||||
Anavex Life Sciences Corp.* | 34 | 181 | ||||||
ViewRay, Inc.* | 27 | 175 | ||||||
Collectors Universe, Inc. | 7 | 174 | ||||||
Franklin Covey Co.* | 9 | 174 | ||||||
Clearside Biomedical, Inc.* | 19 | 173 | ||||||
Idera Pharmaceuticals, Inc.* | 99 | 170 | ||||||
American Renal Associates Holdings, Inc.* | 9 | 167 | ||||||
FONAR Corp.* | 6 | 167 | ||||||
Kindred Biosciences, Inc.* | 19 | 163 | ||||||
Pieris Pharmaceuticals, Inc.* | 32 | 162 | ||||||
ConforMIS, Inc.* | 37 | 159 | ||||||
Ardelyx, Inc.* | 31 | 158 | ||||||
MediciNova, Inc.* | 30 | 158 | ||||||
Immune Design Corp.* | 16 | 156 | ||||||
Miragen Therapeutics, Inc.* | 12 | 155 | ||||||
ARC Document Solutions, Inc.* | 37 | 154 | ||||||
Ascent Capital Group, Inc. — Class A* | 10 | 154 | ||||||
NewLink Genetics Corp.* | 20 | 147 | ||||||
Merrimack Pharmaceuticals, Inc. | 118 | 146 | ||||||
Strongbridge Biopharma plc* | 20 | 143 | ||||||
Fortress Biotech, Inc.* | 30 | 143 | ||||||
Athersys, Inc.* | 94 | 142 | ||||||
Abeona Therapeutics, Inc.* | 22 | 141 | ||||||
Conatus Pharmaceuticals, Inc.* | 24 | 138 | ||||||
Genocea Biosciences, Inc.* | 26 | 136 | ||||||
Corium International, Inc.* | 18 | 134 | ||||||
Neff Corp. — Class A* | 7 | 133 | ||||||
Nature’s Sunshine Products, Inc. | 10 | 133 | ||||||
Neos Therapeutics, Inc.* | 18 | 131 | ||||||
Novelion Therapeutics, Inc.* | 14 | 129 | ||||||
Sientra, Inc.* | 13 | 126 | ||||||
Information Services Group, Inc.* | 30 | 123 | ||||||
Kura Oncology, Inc.* | 13 | 121 | ||||||
AnaptysBio, Inc.* | 5 | 120 | ||||||
Cascadian Therapeutics, Inc.* | 32 | 119 | ||||||
Voyager Therapeutics, Inc.* | 13 | 116 | ||||||
Trevena, Inc.* | 50 | 115 | ||||||
Nymox Pharmaceutical Corp.* | 26 | 114 | ||||||
Fate Therapeutics, Inc.* | 35 | 113 | ||||||
Syndax Pharmaceuticals, Inc.* | 8 | 112 | ||||||
BG Staffing, Inc. | 6 | 104 | ||||||
Protagonist Therapeutics, Inc.* | 9 | 102 | ||||||
Viveve Medical, Inc.* | 14 | 101 | ||||||
Corvus Pharmaceuticals, Inc.* | 8 | 97 | ||||||
Tocagen, Inc.* | 8 | 96 | ||||||
Alico, Inc. | 3 | 94 | ||||||
Recro Pharma, Inc.* | 13 | 91 | ||||||
Asterias Biotherapeutics, Inc.* | 25 | 89 | ||||||
VBI Vaccines, Inc.* | 20 | 87 | ||||||
XBiotech, Inc.* | 18 | 85 | ||||||
Jounce Therapeutics, Inc.* | 6 | 84 | ||||||
Matinas BioPharma Holdings, Inc.* | 49 | 83 | ||||||
Pendrell Corp.* | 11 | 80 | ||||||
Obalon Therapeutics, Inc.* | 8 | 79 | ||||||
Liberty Tax, Inc. | 6 | 78 | ||||||
Turning Point Brands, Inc.* | 5 | 77 | ||||||
AAC Holdings, Inc.* | 11 | 76 | ||||||
Natural Grocers by Vitamin Cottage, Inc.* | 8 | 66 | ||||||
Cambium Learning Group, Inc.* | 13 | 66 | ||||||
Madrigal Pharmaceuticals, Inc.* | 4 | 65 | ||||||
Genesis Healthcare, Inc.* | 34 | 59 | ||||||
CPI Card Group, Inc. | 19 | 54 | ||||||
Ovid therapeutics, Inc.* | 5 | 52 | ||||||
Lifeway Foods, Inc.* | 4 | 37 | ||||||
vTv Therapeutics, Inc. — Class A* | 7 | 35 | ||||||
Oncocyte Corp.* | 3 | 16 | ||||||
Total Consumer, Non-cyclical | 376,198 | |||||||
Industrial - 4.2% | ||||||||
Curtiss-Wright Corp. | 41 | 3,763 | ||||||
EMCOR Group, Inc. | 54 | 3,530 | ||||||
Littelfuse, Inc. | 21 | 3,465 | ||||||
Woodward, Inc. | 49 | 3,310 | ||||||
SYNNEX Corp. | 27 | 3,239 | ||||||
Tech Data Corp.* | 32 | 3,232 | ||||||
Louisiana-Pacific Corp.* | 134 | 3,230 | ||||||
Belden, Inc. | 39 | 2,942 | ||||||
EnerSys | 40 | 2,898 | ||||||
Summit Materials, Inc. — Class A* | 99 | 2,857 | ||||||
John Bean Technologies Corp. | 29 | 2,843 | ||||||
Trinseo S.A. | 41 | 2,817 | ||||||
Kennametal, Inc. | 74 | 2,769 | ||||||
MasTec, Inc.* | 61 | 2,754 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Barnes Group, Inc. | 46 | $ | 2,692 | |||||
Sanmina Corp.* | 68 | 2,591 | ||||||
MSA Safety, Inc. | 31 | 2,515 | ||||||
Dycom Industries, Inc.* | 28 | 2,507 | ||||||
Knight Transportation, Inc. | 67 | 2,481 | ||||||
Tetra Tech, Inc. | 53 | 2,425 | ||||||
KLX, Inc.* | 48 | 2,400 | ||||||
Advanced Energy Industries, Inc.* | 37 | 2,394 | ||||||
GATX Corp. | 36 | 2,314 | ||||||
Esterline Technologies Corp.* | 24 | 2,275 | ||||||
Rexnord Corp.* | 96 | 2,231 | ||||||
Cree, Inc.* | 90 | 2,219 | ||||||
RBC Bearings, Inc.*,1 | 21 | 2,137 | ||||||
Itron, Inc.* | 31 | 2,100 | ||||||
Hillenbrand, Inc. | 58 | 2,094 | ||||||
Moog, Inc. — Class A* | 29 | 2,080 | ||||||
Applied Industrial Technologies, Inc. | 35 | 2,066 | ||||||
Generac Holdings, Inc.* | 57 | 2,059 | ||||||
Worthington Industries, Inc. | 41 | 2,059 | ||||||
Vishay Intertechnology, Inc. | 124 | 2,058 | ||||||
Masonite International Corp.* | 27 | 2,039 | ||||||
KBR, Inc. | 133 | 2,024 | ||||||
Golar LNG Ltd. | 89 | 1,979 | ||||||
II-VI, Inc.* | 56 | 1,921 | ||||||
Rogers Corp.* | 17 | 1,847 | ||||||
Chicago Bridge & Iron Company N.V.1 | 93 | 1,835 | ||||||
Trex Company, Inc.* | 27 | 1,827 | ||||||
TopBuild Corp.* | 34 | 1,804 | ||||||
Granite Construction, Inc. | 37 | 1,785 | ||||||
Franklin Electric Company, Inc. | 43 | 1,780 | ||||||
Swift Transportation Co. — Class A*,1 | 67 | 1,775 | ||||||
Simpson Manufacturing Company, Inc. | 38 | 1,661 | ||||||
Mueller Water Products, Inc. — Class A | 142 | 1,659 | ||||||
KapStone Paper and Packaging Corp. | 80 | 1,650 | ||||||
Watts Water Technologies, Inc. — Class A | 26 | 1,643 | ||||||
Plexus Corp.* | 31 | 1,630 | ||||||
Mueller Industries, Inc. | 52 | 1,583 | ||||||
Universal Forest Products, Inc. | 18 | 1,572 | ||||||
Proto Labs, Inc.* | 23 | 1,547 | ||||||
Forward Air Corp. | 28 | 1,492 | ||||||
Benchmark Electronics, Inc.* | 46 | 1,486 | ||||||
Apogee Enterprises, Inc. | 26 | 1,478 | ||||||
TTM Technologies, Inc.* | 85 | 1,476 | ||||||
Brady Corp. — Class A | 43 | 1,458 | ||||||
Covanta Holding Corp. | 108 | 1,426 | ||||||
Triumph Group, Inc. | 45 | 1,422 | ||||||
Fabrinet* | 33 | 1,408 | ||||||
SPX FLOW, Inc.* | 38 | 1,401 | ||||||
AAON, Inc. | 38 | 1,400 | ||||||
Exponent, Inc. | 24 | 1,399 | ||||||
Albany International Corp. — Class A | 26 | 1,388 | ||||||
ESCO Technologies, Inc. | 23 | 1,372 | ||||||
Knowles Corp.* | 81 | 1,371 | ||||||
Builders FirstSource, Inc.* | 89 | 1,363 | ||||||
Methode Electronics, Inc. | 33 | 1,360 | ||||||
EnPro Industries, Inc. | 19 | 1,356 | ||||||
Actuant Corp. — Class A | 55 | 1,353 | ||||||
AZZ, Inc. | 24 | 1,339 | ||||||
Greif, Inc. — Class A | 24 | 1,339 | ||||||
Aerojet Rocketdyne Holdings, Inc.* | 64 | 1,331 | ||||||
Werner Enterprises, Inc. | 44 | 1,291 | ||||||
Comfort Systems USA, Inc. | 34 | 1,261 | ||||||
Kaman Corp. | 25 | 1,247 | ||||||
Axon Enterprise, Inc.*,1 | 48 | 1,207 | ||||||
OSI Systems, Inc.* | 16 | 1,202 | ||||||
Harsco Corp.* | 74 | 1,191 | ||||||
Tennant Co. | 16 | 1,181 | ||||||
Saia, Inc.* | 23 | 1,180 | ||||||
Matson, Inc. | 39 | 1,172 | ||||||
Greenbrier Companies, Inc. | 25 | 1,156 | ||||||
American Outdoor Brands Corp.* | 52 | 1,152 | ||||||
Hub Group, Inc. — Class A* | 30 | 1,151 | ||||||
Astec Industries, Inc. | 20 | 1,110 | ||||||
US Concrete, Inc.*,1 | 14 | 1,100 | ||||||
Raven Industries, Inc. | 33 | 1,099 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 21 | 1,095 | ||||||
Boise Cascade Co.* | 36 | 1,094 | ||||||
Patrick Industries, Inc.* | 15 | 1,093 | ||||||
Standex International Corp. | 12 | 1,088 | ||||||
Novanta, Inc.* | 30 | 1,080 | ||||||
Cubic Corp. | 23 | 1,065 | ||||||
Multi-Color Corp. | 13 | 1,061 | ||||||
Applied Optoelectronics, Inc.*,1 | 17 | 1,050 | ||||||
Air Transport Services Group, Inc.* | 48 | 1,045 | ||||||
AAR Corp. | 30 | 1,043 | ||||||
Badger Meter, Inc. | 26 | 1,036 | ||||||
Altra Industrial Motion Corp. | 26 | �� | 1,035 | |||||
Gibraltar Industries, Inc.* | 29 | 1,034 | ||||||
US Ecology, Inc. | 20 | 1,010 | ||||||
Sturm Ruger & Company, Inc. | 16 | 994 | ||||||
SPX Corp.* | 39 | 981 | ||||||
Tutor Perini Corp.* | 34 | 978 | ||||||
Chart Industries, Inc.* | 28 | 972 | ||||||
Sun Hydraulics Corp. | 22 | 939 | ||||||
Federal Signal Corp. | 54 | 937 | ||||||
Heartland Express, Inc. | 44 | 916 | ||||||
Briggs & Stratton Corp. | 38 | 916 | ||||||
Primoris Services Corp. | 36 | 898 | ||||||
Lindsay Corp. | 10 | 893 | ||||||
CIRCOR International, Inc. | 15 | 891 | ||||||
TriMas Corp.* | 42 | 876 | ||||||
Fitbit, Inc. — Class A*,1 | 161 | 855 | ||||||
Continental Building Products, Inc.* | 36 | 839 | ||||||
Alamo Group, Inc. | 9 | 817 | ||||||
Encore Wire Corp. | 19 | 811 | ||||||
GoPro, Inc. — Class A*,1 | 99 | 805 | ||||||
Kratos Defense & Security Solutions, Inc.* | 66 | 783 | ||||||
Argan, Inc. | 13 | 780 | ||||||
Lydall, Inc.* | 15 | 776 | ||||||
Kadant, Inc. | 10 | 752 | ||||||
Ship Finance International Ltd. | 55 | 748 | ||||||
Chase Corp. | 7 | 747 |
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Caesarstone Ltd.* | 21 | $ | 736 | |||||
General Cable Corp. | 45 | 736 | ||||||
Aerovironment, Inc.* | 19 | 726 | ||||||
Milacron Holdings Corp.* | 41 | 721 | ||||||
Manitowoc Company, Inc.* | 118 | 709 | ||||||
Hyster-Yale Materials Handling, Inc. | 10 | 703 | ||||||
AVX Corp. | 42 | 686 | ||||||
NN, Inc. | 25 | 686 | ||||||
JELD-WEN Holding, Inc.* | 21 | 682 | ||||||
Aegion Corp. — Class A* | 31 | 678 | ||||||
Quanex Building Products Corp. | 32 | 677 | ||||||
Atkore International Group, Inc.* | 30 | 677 | ||||||
Schneider National, Inc. — Class B | 30 | 671 | ||||||
Advanced Drainage Systems, Inc. | 33 | 663 | ||||||
CTS Corp. | 29 | 626 | ||||||
NCI Building Systems, Inc.* | 37 | 618 | ||||||
Global Brass & Copper Holdings, Inc. | 20 | 611 | ||||||
Astronics Corp.* | 20 | 609 | ||||||
Scorpio Tankers, Inc. | 152 | 603 | ||||||
Marten Transport Ltd. | 22 | 603 | ||||||
Griffon Corp. | 27 | 593 | ||||||
Casella Waste Systems, Inc. — Class A* | 36 | 591 | ||||||
International Seaways, Inc.* | 27 | 585 | ||||||
Nordic American Tankers Ltd. | 92 | 583 | ||||||
GasLog Ltd. | 38 | 580 | ||||||
PGT Innovations, Inc.* | 45 | 576 | ||||||
TimkenSteel Corp.* | 37 | 569 | ||||||
FARO Technologies, Inc.* | 15 | 567 | ||||||
Insteel Industries, Inc. | 17 | 560 | ||||||
National Presto Industries, Inc. | 5 | 553 | ||||||
KEMET Corp.* | 42 | 538 | ||||||
Babcock & Wilcox Enterprises, Inc.* | 45 | 529 | ||||||
Advanced Disposal Services, Inc.* | 23 | 523 | ||||||
DXP Enterprises, Inc.* | 15 | 518 | ||||||
SunPower Corp. — Class A*,1 | 55 | 514 | ||||||
Echo Global Logistics, Inc.* | 25 | 498 | ||||||
ArcBest Corp. | 24 | 494 | ||||||
MYR Group, Inc.* | 15 | 465 | ||||||
Columbus McKinnon Corp. | 18 | 458 | ||||||
Kimball Electronics, Inc.* | 24 | 433 | ||||||
Control4 Corp.* | 22 | 431 | ||||||
Mesa Laboratories, Inc. | 3 | 430 | ||||||
Gorman-Rupp Co. | 16 | 408 | ||||||
Frontline Ltd. | 71 | 407 | ||||||
Haynes International, Inc. | 11 | 399 | ||||||
Stoneridge, Inc.* | 25 | 385 | ||||||
Scorpio Bulkers, Inc.*,1 | 54 | 383 | ||||||
Armstrong Flooring, Inc.* | 21 | 377 | ||||||
Myers Industries, Inc. | 21 | 377 | ||||||
Tredegar Corp. | 24 | 366 | ||||||
VSE Corp. | 8 | 360 | ||||||
Ply Gem Holdings, Inc.* | 20 | 359 | ||||||
Mistras Group, Inc.* | 16 | 352 | ||||||
YRC Worldwide, Inc.* | 30 | 334 | ||||||
Teekay Corp. | 50 | 334 | ||||||
Park Electrochemical Corp. | 18 | 332 | ||||||
GP Strategies Corp.* | 12 | 317 | ||||||
Ducommun, Inc.* | 10 | 316 | ||||||
Sterling Construction Company, Inc.* | 24 | 314 | ||||||
NVE Corp. | 4 | 308 | ||||||
Park-Ohio Holdings Corp. | 8 | 305 | ||||||
Greif, Inc. — Class B | 5 | 302 | ||||||
NV5 Global, Inc.* | 7 | 298 | ||||||
DHT Holdings, Inc. | 71 | 295 | ||||||
Hudson Technologies, Inc.* | 34 | 287 | ||||||
Energous Corp.* | 17 | 276 | ||||||
Energy Recovery, Inc.* | 33 | 274 | ||||||
Vicor Corp.* | 15 | 269 | ||||||
American Railcar Industries, Inc. | 7 | 268 | ||||||
CECO Environmental Corp. | 28 | 257 | ||||||
Powell Industries, Inc. | 8 | 256 | ||||||
Costamare, Inc. | 34 | 249 | ||||||
Gener8 Maritime, Inc.* | 43 | 245 | ||||||
Electro Scientific Industries, Inc.* | 29 | 239 | ||||||
Bel Fuse, Inc. — Class B | 9 | 222 | ||||||
Ichor Holdings Ltd.* | 11 | 222 | ||||||
ZAGG, Inc.* | 25 | 216 | ||||||
Ardmore Shipping Corp.1 | 26 | 212 | ||||||
Daseke, Inc.* | 19 | 211 | ||||||
Teekay Tankers Ltd. — Class A | 112 | 211 | ||||||
Hurco Companies, Inc. | 6 | 209 | ||||||
Heritage-Crystal Clean, Inc.* | 13 | 207 | ||||||
LSB Industries, Inc.* | 20 | 207 | ||||||
Roadrunner Transportation Systems, Inc.* | 28 | 204 | ||||||
Intevac, Inc.* | 18 | 200 | ||||||
LSI Industries, Inc. | 22 | 199 | ||||||
Sparton Corp.* | 9 | 198 | ||||||
Omega Flex, Inc. | 3 | 193 | ||||||
Covenant Transportation Group, Inc. — Class A* | 11 | 193 | ||||||
FreightCar America, Inc. | 11 | 191 | ||||||
Radiant Logistics, Inc.* | 35 | 188 | ||||||
Aqua Metals, Inc.* | 15 | 188 | ||||||
Orion Group Holdings, Inc.* | 25 | 187 | ||||||
Graham Corp. | 9 | 177 | ||||||
Advanced Emissions Solutions, Inc. | 19 | 174 | ||||||
LB Foster Co. — Class A* | 8 | 172 | ||||||
UFP Technologies, Inc.* | 6 | 170 | ||||||
AquaVenture Holdings Ltd.* | 11 | 168 | ||||||
Eagle Bulk Shipping, Inc.* | 35 | 166 | ||||||
Allied Motion Technologies, Inc. | 6 | 163 | ||||||
Hill International, Inc.* | 31 | 161 | ||||||
Olympic Steel, Inc. | 8 | 156 | ||||||
Vishay Precision Group, Inc.* | 9 | 156 | ||||||
Core Molding Technologies, Inc.* | 7 | 151 | ||||||
Eastern Co. | 5 | 150 | ||||||
Layne Christensen Co.* | 17 | 149 | ||||||
Northwest Pipe Co.* | 9 | 146 | ||||||
IES Holdings, Inc.* | 8 | 145 | ||||||
Forterra, Inc.* | 17 | 140 | ||||||
Dorian LPG Ltd.* | 17 | 139 | ||||||
Iteris, Inc.* | 22 | 137 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Hardinge, Inc. | 11 | $ | 137 | |||||
MicroVision, Inc.* | 63 | 134 | ||||||
Lawson Products, Inc.* | 6 | 133 | ||||||
Twin Disc, Inc.* | 8 | 129 | ||||||
Pure Cycle Corp.* | 16 | 124 | ||||||
CyberOptics Corp.* | 6 | 124 | ||||||
Universal Logistics Holdings, Inc. | 8 | 120 | ||||||
Ampco-Pittsburgh Corp. | 8 | 118 | ||||||
Navios Maritime Holdings, Inc.* | 83 | 114 | ||||||
Gencor Industries, Inc.* | 7 | 113 | ||||||
Overseas Shipholding Group, Inc. — Class A* | 42 | 112 | ||||||
Navios Maritime Acquisition Corp. | 76 | 112 | ||||||
Fluidigm Corp.* | 27 | 109 | ||||||
Napco Security Technologies, Inc.* | 11 | 103 | ||||||
Safe Bulkers, Inc.*,1 | 44 | 101 | ||||||
Handy & Harman Ltd.* | 3 | 94 | ||||||
Willis Lease Finance Corp.* | 3 | 80 | ||||||
Revolution Lighting Technologies, Inc.* | 11 | 72 | ||||||
Akoustis Technologies, Inc.* | 8 | 70 | ||||||
Genco Shipping & Trading Ltd.* | 7 | 66 | ||||||
NL Industries, Inc.* | 8 | 56 | ||||||
Total Industrial | 248,914 | |||||||
Consumer, Cyclical - 3.5% | ||||||||
Texas Roadhouse, Inc. — Class A | 62 | 3,158 | ||||||
Cracker Barrel Old Country Store, Inc.1 | 18 | 3,010 | ||||||
Dana, Inc. | 134 | 2,993 | ||||||
Jack in the Box, Inc. | 29 | 2,856 | ||||||
Tenneco, Inc. | 49 | 2,834 | ||||||
Beacon Roofing Supply, Inc.* | 56 | 2,743 | ||||||
ILG, Inc. | 98 | 2,694 | ||||||
Office Depot, Inc. | 472 | 2,661 | ||||||
Dave & Buster’s Entertainment, Inc.* | 39 | 2,593 | ||||||
FirstCash, Inc. | 44 | 2,564 | ||||||
Five Below, Inc.* | 50 | 2,468 | ||||||
Wolverine World Wide, Inc. | 87 | 2,436 | ||||||
Marriott Vacations Worldwide Corp. | 20 | 2,355 | ||||||
Hawaiian Holdings, Inc.* | 49 | 2,300 | ||||||
LCI Industries | 22 | 2,253 | ||||||
Churchill Downs, Inc. | 12 | 2,200 | ||||||
Steven Madden Ltd.* | 54 | 2,157 | ||||||
Anixter International, Inc.* | 27 | 2,111 | ||||||
Dorman Products, Inc.* | 25 | 2,069 | ||||||
Cheesecake Factory, Inc. | 41 | 2,061 | ||||||
iRobot Corp.* | 24 | 2,018 | ||||||
RH*,1 | 31 | 1,999 | ||||||
Big Lots, Inc.1 | 41 | 1,980 | ||||||
Deckers Outdoor Corp.* | 29 | 1,980 | ||||||
Lithia Motors, Inc. — Class A | 21 | 1,979 | ||||||
UniFirst Corp. | 14 | 1,970 | ||||||
Bloomin’ Brands, Inc. | 92 | 1,953 | ||||||
TRI Pointe Group, Inc.* | 145 | 1,912 | ||||||
Boyd Gaming Corp. | 77 | 1,910 | ||||||
Buffalo Wild Wings, Inc.* | 15 | 1,901 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 44 | 1,874 | ||||||
KB Home | 77 | 1,845 | ||||||
Planet Fitness, Inc. — Class A | 78 | 1,821 | ||||||
American Eagle Outfitters, Inc. | 150 | 1,808 | ||||||
Papa John’s International, Inc. | 25 | 1,794 | ||||||
Cooper Tire & Rubber Co. | 49 | 1,769 | ||||||
PriceSmart, Inc. | 20 | 1,752 | ||||||
Brinker International, Inc. | 45 | 1,715 | ||||||
Herman Miller, Inc. | 55 | 1,672 | ||||||
Penn National Gaming, Inc.* | 78 | 1,669 | ||||||
SkyWest, Inc. | 47 | 1,650 | ||||||
HNI Corp. | 41 | 1,635 | ||||||
Children’s Place, Inc. | 16 | 1,634 | ||||||
Allegiant Travel Co. — Class A | 12 | 1,627 | ||||||
Cooper-Standard Holdings, Inc.* | 16 | 1,614 | ||||||
SiteOne Landscape Supply, Inc.* | 31 | 1,614 | ||||||
Columbia Sportswear Co. | 27 | 1,568 | ||||||
Red Rock Resorts, Inc. — Class A | 63 | 1,484 | ||||||
Meritage Homes Corp.* | 35 | 1,477 | ||||||
La-Z-Boy, Inc. | 45 | 1,463 | ||||||
Core-Mark Holding Company, Inc. | 42 | 1,389 | ||||||
Select Comfort Corp.* | 38 | 1,349 | ||||||
Taylor Morrison Home Corp. — Class A* | 56 | 1,345 | ||||||
MDC Holdings, Inc. | 38 | 1,343 | ||||||
Triton International Ltd. | 40 | 1,338 | ||||||
J.C. Penney Company, Inc.* | 286 | 1,330 | ||||||
Gentherm, Inc.* | 34 | 1,319 | ||||||
BMC Stock Holdings, Inc.* | 60 | 1,311 | ||||||
Meritor, Inc.* | 77 | 1,279 | ||||||
Scientific Games Corp. — Class A* | 49 | 1,279 | ||||||
American Woodmark Corp.* | 13 | 1,242 | ||||||
Mobile Mini, Inc. | 41 | 1,224 | ||||||
Wabash National Corp. | 55 | 1,209 | ||||||
Navistar International Corp.* | 46 | 1,207 | ||||||
Group 1 Automotive, Inc. | 19 | 1,203 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 77 | 1,201 | ||||||
Vista Outdoor, Inc.* | 53 | 1,193 | ||||||
IMAX Corp.* | 53 | 1,166 | ||||||
AMC Entertainment Holdings, Inc. — Class A | 51 | 1,160 | ||||||
Fox Factory Holding Corp.* | 32 | 1,139 | ||||||
Chico’s FAS, Inc. | 119 | 1,121 | ||||||
Interface, Inc. — Class A | 57 | 1,120 | ||||||
La Quinta Holdings, Inc.* | 75 | 1,108 | ||||||
Steelcase, Inc. — Class A | 79 | 1,106 | ||||||
Callaway Golf Co. | 86 | 1,099 | ||||||
Belmond Ltd. — Class A* | 82 | 1,091 | ||||||
Caleres, Inc. | 39 | 1,083 | ||||||
DSW, Inc. — Class A | 61 | 1,080 | ||||||
Installed Building Products, Inc.* | 20 | 1,059 | ||||||
Standard Motor Products, Inc. | 20 | 1,044 | ||||||
Cavco Industries, Inc.* | 8 | 1,037 | ||||||
SeaWorld Entertainment, Inc.* | 63 | 1,025 | ||||||
Winnebago Industries, Inc. | 29 | 1,015 | ||||||
Sonic Corp. | 38 | 1,007 | ||||||
Rush Enterprises, Inc. — Class A* | 27 | 1,004 | ||||||
G-III Apparel Group Ltd.* | 40 | 998 |
84 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Pinnacle Entertainment, Inc.* | 49 | $ | 968 | |||||
Asbury Automotive Group, Inc.* | 17 | 961 | ||||||
HSN, Inc. | 30 | 957 | ||||||
Oxford Industries, Inc. | 15 | 937 | ||||||
ScanSource, Inc.* | 23 | 927 | ||||||
Knoll, Inc. | 45 | 902 | ||||||
Universal Electronics, Inc.* | 13 | 869 | ||||||
International Speedway Corp. — Class A | 23 | 864 | ||||||
Caesars Acquisition Co. — Class A* | 45 | 857 | ||||||
Eldorado Resorts, Inc.* | 42 | 840 | ||||||
Wingstop, Inc. | 27 | 834 | ||||||
Dillard’s, Inc. — Class A1 | 14 | 808 | ||||||
Abercrombie & Fitch Co. — Class A | 63 | 784 | ||||||
Red Robin Gourmet Burgers, Inc.* | 12 | 783 | ||||||
Liberty TripAdvisor Holdings, Inc. — Class A* | 67 | 777 | ||||||
ClubCorp Holdings, Inc. | 59 | 773 | ||||||
Modine Manufacturing Co.* | 46 | 761 | ||||||
Ethan Allen Interiors, Inc. | 23 | 743 | ||||||
Denny’s Corp.* | 63 | 742 | ||||||
PetMed Express, Inc. | 18 | 731 | ||||||
BJ’s Restaurants, Inc.* | 19 | 708 | ||||||
DineEquity, Inc. | 16 | 705 | ||||||
Guess?, Inc. | 55 | 703 | ||||||
Shake Shack, Inc. — Class A*,1 | 20 | 698 | ||||||
Douglas Dynamics, Inc. | 20 | 658 | ||||||
Lumber Liquidators Holdings, Inc.*,1 | 26 | 652 | ||||||
LGI Homes, Inc.*,1 | 16 | 643 | ||||||
Tile Shop Holdings, Inc. | 31 | 640 | ||||||
Caesars Entertainment Corp.*,1 | 53 | 636 | ||||||
M/I Homes, Inc.* | 22 | 628 | ||||||
GMS, Inc.* | 22 | 618 | ||||||
Genesco, Inc.* | 18 | 610 | ||||||
Ruth’s Hospitality Group, Inc. | 28 | 609 | ||||||
H&E Equipment Services, Inc. | 29 | 592 | ||||||
Kimball International, Inc. — Class B | 34 | 567 | ||||||
Wesco Aircraft Holdings, Inc.* | 51 | 553 | ||||||
Titan International, Inc. | 46 | 552 | ||||||
Nautilus, Inc.* | 28 | 536 | ||||||
William Lyon Homes — Class A* | 22 | 531 | ||||||
Finish Line, Inc. — Class A | 37 | 524 | ||||||
Crocs, Inc.* | 68 | 524 | ||||||
GNC Holdings, Inc. — Class A1 | 62 | 523 | ||||||
Marcus Corp. | 17 | 513 | ||||||
Essendant, Inc. | 34 | 504 | ||||||
Tailored Brands, Inc. | 45 | 502 | ||||||
Fiesta Restaurant Group, Inc.* | 24 | 496 | ||||||
Veritiv Corp.* | 11 | 495 | ||||||
Sonic Automotive, Inc. — Class A | 25 | 486 | ||||||
Buckle, Inc.1 | 27 | 481 | ||||||
Motorcar Parts of America, Inc.* | 17 | 480 | ||||||
Express, Inc.* | 71 | 479 | ||||||
Superior Industries International, Inc. | 23 | 473 | ||||||
MarineMax, Inc.* | 23 | 450 | ||||||
Malibu Boats, Inc. — Class A* | 17 | 440 | ||||||
Unifi, Inc.* | 14 | 431 | ||||||
Haverty Furniture Companies, Inc. | 17 | 427 | ||||||
National CineMedia, Inc. | 57 | 423 | ||||||
Barnes & Noble, Inc. | 55 | 418 | ||||||
Acushnet Holdings Corp. | 21 | 417 | ||||||
Hibbett Sports, Inc.* | 20 | 415 | ||||||
Del Taco Restaurants, Inc.* | �� | 30 | 413 | |||||
Hooker Furniture Corp. | 10 | 412 | ||||||
Tower International, Inc. | 18 | 404 | ||||||
Fossil Group, Inc.* | 39 | 404 | ||||||
Biglari Holdings, Inc.* | 1 | 400 | ||||||
Beazer Homes USA, Inc.* | 29 | 398 | ||||||
Century Communities, Inc.* | 16 | 397 | ||||||
Carrols Restaurant Group, Inc.* | 32 | 392 | ||||||
Party City Holdco, Inc.* | 25 | 391 | ||||||
Pier 1 Imports, Inc. | 75 | 389 | ||||||
Cato Corp. — Class A | 22 | 387 | ||||||
Freshpet, Inc.* | 23 | 382 | ||||||
Flexsteel Industries, Inc. | 7 | 379 | ||||||
Barnes & Noble Education, Inc.* | 35 | 372 | ||||||
Francesca’s Holdings Corp.* | 34 | 372 | ||||||
EZCORP, Inc. — Class A* | 46 | 354 | ||||||
Movado Group, Inc.1 | 14 | 354 | ||||||
Chuy’s Holdings, Inc.* | 15 | 351 | ||||||
PICO Holdings, Inc.* | 20 | 350 | ||||||
Horizon Global Corp.* | 24 | 345 | ||||||
Ascena Retail Group, Inc.*,1 | 159 | 342 | ||||||
Bassett Furniture Industries, Inc. | 9 | 342 | ||||||
Camping World Holdings, Inc. — Class A | 11 | 339 | ||||||
Regis Corp.* | 33 | 339 | ||||||
MCBC Holdings, Inc.* | 17 | 332 | ||||||
REV Group, Inc. | 12 | 332 | ||||||
Culp, Inc. | 10 | 325 | ||||||
Conn’s, Inc.* | 17 | 325 | ||||||
Del Frisco’s Restaurant Group, Inc.* | 20 | 322 | ||||||
Hovnanian Enterprises, Inc. — Class A* | 114 | 319 | ||||||
Iconix Brand Group, Inc.* | 46 | 318 | ||||||
Daktronics, Inc. | 33 | 318 | ||||||
Titan Machinery, Inc.* | 17 | 306 | ||||||
Fred’s, Inc. — Class A1 | 33 | 305 | ||||||
Monarch Casino & Resort, Inc.* | 10 | 303 | ||||||
Habit Restaurants, Inc. — Class A* | 19 | 300 | ||||||
PC Connection, Inc. | 11 | 298 | ||||||
Eros International plc*,1 | 25 | 286 | ||||||
Intrawest Resorts Holdings, Inc.* | 12 | 285 | ||||||
NACCO Industries, Inc. — Class A | 4 | 284 | ||||||
Citi Trends, Inc. | 13 | 276 | ||||||
Spartan Motors, Inc. | 31 | 274 | ||||||
America’s Car-Mart, Inc.* | 7 | 272 | ||||||
El Pollo Loco Holdings, Inc.* | 19 | 263 | ||||||
Bojangles’, Inc.* | 16 | 260 | ||||||
Reading International, Inc. — Class A* | 16 | 258 | ||||||
Winmark Corp. | 2 | 258 | ||||||
Miller Industries, Inc. | 10 | 249 | ||||||
Big 5 Sporting Goods Corp. | 19 | 248 | ||||||
Potbelly Corp.* | 21 | 242 | ||||||
Green Brick Partners, Inc.* | 21 | 240 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 85 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Perry Ellis International, Inc.* | 12 | $ | 234 | |||||
Vitamin Shoppe, Inc.* | 20 | 233 | ||||||
Shoe Carnival, Inc. | 11 | 230 | ||||||
AV Homes, Inc.* | 11 | 221 | ||||||
West Marine, Inc. | 17 | 218 | ||||||
Zoe’s Kitchen, Inc.* | 18 | 214 | ||||||
Supreme Industries, Inc. — Class A | 13 | 214 | ||||||
Zumiez, Inc.* | 17 | 210 | ||||||
Golden Entertainment, Inc.* | 10 | 207 | ||||||
Systemax, Inc. | 11 | 207 | ||||||
Speedway Motorsports, Inc. | 11 | 201 | ||||||
Nexeo Solutions, Inc.*,1 | 24 | 199 | ||||||
Commercial Vehicle Group, Inc.* | 23 | 194 | ||||||
Johnson Outdoors, Inc. — Class A | 4 | 193 | ||||||
RCI Hospitality Holdings, Inc. | 8 | 191 | ||||||
Lindblad Expeditions Holdings, Inc.* | 18 | 189 | ||||||
Nathan’s Famous, Inc.* | 3 | 189 | ||||||
Vera Bradley, Inc.* | 19 | 186 | ||||||
Rush Enterprises, Inc. — Class B* | 5 | 182 | ||||||
Drive Shack, Inc.* | 57 | 180 | ||||||
Superior Uniform Group, Inc. | 8 | 179 | ||||||
Sportsman’s Warehouse Holdings, Inc.*,1 | 33 | 178 | ||||||
PCM, Inc.* | 9 | 169 | ||||||
Weyco Group, Inc. | 6 | 167 | ||||||
Duluth Holdings, Inc. — Class B* | 9 | 164 | ||||||
Lifetime Brands, Inc. | 9 | 163 | ||||||
Libbey, Inc. | 20 | 161 | ||||||
Foundation Building Materials, Inc.* | 12 | 154 | ||||||
Huttig Building Products, Inc.* | 22 | 154 | ||||||
Sequential Brands Group, Inc.*,1 | 37 | 148 | ||||||
VOXX International Corp. — Class A* | 18 | 148 | ||||||
J Alexander’s Holdings, Inc.* | 12 | 147 | ||||||
Kirkland’s, Inc.* | 14 | 144 | ||||||
Century Casinos, Inc.* | 19 | 140 | ||||||
Castle Brands, Inc.* | 80 | 138 | ||||||
Build-A-Bear Workshop, Inc. — Class A* | 13 | 136 | ||||||
J. Jill, Inc.* | 11 | 135 | ||||||
Delta Apparel, Inc.* | 6 | 133 | ||||||
Escalade, Inc. | 10 | 131 | ||||||
Black Diamond, Inc.* | 19 | 126 | ||||||
New Home Company, Inc.* | 11 | 126 | ||||||
Fogo De Chao, Inc.* | 9 | 125 | ||||||
Tilly’s, Inc. — Class A | 12 | 122 | ||||||
Blue Bird Corp.* | 7 | 119 | ||||||
At Home Group, Inc.* | 5 | 116 | ||||||
Ruby Tuesday, Inc.* | 55 | 111 | ||||||
Red Lion Hotels Corp.* | 15 | 110 | ||||||
Marine Products Corp. | 7 | 109 | ||||||
Sears Holdings Corp.* | 11 | 97 | ||||||
Gaia, Inc.* | 8 | 90 | ||||||
Container Store Group, Inc.* | 15 | 89 | ||||||
EnviroStar, Inc. | 3 | 81 | ||||||
Boot Barn Holdings, Inc.*,1 | 11 | 78 | ||||||
UCP, Inc. — Class A* | 7 | 77 | ||||||
Empire Resorts, Inc.* | 3 | 72 | ||||||
Inspired Entertainment, Inc.* | 4 | 52 | ||||||
Noodles & Co.* | 11 | 43 | ||||||
CompX International, Inc. | 2 | 31 | ||||||
Total Consumer, Cyclical | 209,945 | |||||||
Technology - 3.1% | ||||||||
Medidata Solutions, Inc.* | 52 | 4,067 | ||||||
Fair Isaac Corp. | 28 | 3,903 | ||||||
Aspen Technology, Inc.* | 69 | 3,813 | ||||||
EPAM Systems, Inc.* | 45 | 3,784 | ||||||
Blackbaud, Inc. | 44 | 3,773 | ||||||
Cirrus Logic, Inc.* | 59 | 3,701 | ||||||
MAXIMUS, Inc. | 59 | 3,695 | ||||||
j2 Global, Inc. | 43 | 3,659 | ||||||
Monolithic Power Systems, Inc. | 37 | 3,567 | ||||||
MKS Instruments, Inc. | 50 | 3,365 | ||||||
Lumentum Holdings, Inc.* | 56 | 3,195 | ||||||
Integrated Device Technology, Inc.* | 123 | 3,172 | ||||||
Paycom Software, Inc.* | 45 | 3,078 | ||||||
CACI International, Inc. — Class A* | 23 | 2,876 | ||||||
Entegris, Inc.* | 131 | 2,875 | ||||||
NetScout Systems, Inc.* | 82 | 2,821 | ||||||
Science Applications International Corp. | 40 | 2,777 | ||||||
Silicon Laboratories, Inc.* | 39 | 2,666 | ||||||
ACI Worldwide, Inc.* | 107 | 2,394 | ||||||
Verint Systems, Inc.* | 58 | 2,361 | ||||||
Semtech Corp.* | 60 | 2,145 | ||||||
Allscripts Healthcare Solutions, Inc.* | 167 | 2,131 | ||||||
Convergys Corp. | 87 | 2,069 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 37 | 2,063 | ||||||
HubSpot, Inc.* | 31 | 2,038 | ||||||
Electronics for Imaging, Inc.* | 43 | 2,037 | ||||||
CommVault Systems, Inc.* | 36 | 2,032 | ||||||
Pegasystems, Inc. | 34 | 1,984 | ||||||
Diebold Nixdorf, Inc. | 70 | 1,960 | ||||||
RealPage, Inc.* | 54 | 1,941 | ||||||
Power Integrations, Inc. | 26 | 1,895 | ||||||
3D Systems Corp.*,1 | 101 | 1,889 | ||||||
2U, Inc.* | 40 | 1,877 | ||||||
Acxiom Corp.* | 72 | 1,871 | ||||||
VeriFone Systems, Inc.* | 103 | 1,864 | ||||||
Mercury Systems, Inc.* | 43 | 1,810 | ||||||
MicroStrategy, Inc. — Class A* | 9 | 1,725 | ||||||
Cornerstone OnDemand, Inc.* | 48 | 1,716 | ||||||
NeuStar, Inc. — Class A* | 51 | 1,701 | ||||||
Cabot Microelectronics Corp. | 23 | 1,698 | ||||||
ExlService Holdings, Inc.* | 30 | 1,667 | ||||||
Twilio, Inc. — Class A*,1 | 57 | 1,659 | ||||||
Synaptics, Inc.* | 32 | 1,655 | ||||||
Envestnet, Inc.* | 40 | 1,584 | ||||||
MaxLinear, Inc. — Class A* | 55 | 1,534 | ||||||
Omnicell, Inc.* | 34 | 1,465 | ||||||
Ambarella, Inc.*,1 | 30 | 1,457 | ||||||
Callidus Software, Inc.* | 59 | 1,428 | ||||||
Brooks Automation, Inc. | 63 | 1,366 | ||||||
Progress Software Corp. | 44 | 1,359 | ||||||
Xperi Corp. | 45 | 1,341 |
86 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Inphi Corp.* | 39 | $ | 1,338 | |||||
Insight Enterprises, Inc.* | 33 | 1,320 | ||||||
Box, Inc. — Class A* | 72 | 1,313 | ||||||
CSG Systems International, Inc. | 31 | 1,258 | ||||||
Sykes Enterprises, Inc.* | 36 | 1,207 | ||||||
BroadSoft, Inc.* | 28 | 1,205 | ||||||
Veeco Instruments, Inc.* | 43 | 1,200 | ||||||
Ebix, Inc. | 22 | 1,186 | ||||||
Qualys, Inc.* | 29 | 1,183 | ||||||
Rambus, Inc.* | 102 | 1,166 | ||||||
New Relic, Inc.* | 27 | 1,161 | ||||||
Pure Storage, Inc. — Class A* | 86 | 1,102 | ||||||
Stratasys Ltd.*,1 | 46 | 1,072 | ||||||
Five9, Inc.* | 48 | 1,033 | ||||||
SPS Commerce, Inc.* | 16 | 1,020 | ||||||
ManTech International Corp. — Class A | 24 | 993 | ||||||
Bottomline Technologies de, Inc.* | 37 | 951 | ||||||
Cotiviti Holdings, Inc.* | 25 | 929 | ||||||
MINDBODY, Inc. — Class A* | 34 | 925 | ||||||
Amkor Technology, Inc.* | 94 | 918 | ||||||
Evolent Health, Inc. — Class A* | 36 | 913 | ||||||
CEVA, Inc.* | 20 | 909 | ||||||
Super Micro Computer, Inc.* | 36 | 887 | ||||||
Diodes, Inc.* | 35 | 841 | ||||||
Impinj, Inc.* | 17 | 827 | ||||||
Quality Systems, Inc.* | 48 | 826 | ||||||
FormFactor, Inc.* | 66 | 818 | ||||||
Coupa Software, Inc.* | 27 | 782 | ||||||
MTS Systems Corp. | 15 | 777 | ||||||
Inovalon Holdings, Inc. — Class A*,1 | 58 | 763 | ||||||
Lattice Semiconductor Corp.* | 113 | 753 | ||||||
Virtusa Corp.* | 25 | 735 | ||||||
Monotype Imaging Holdings, Inc. | 38 | 695 | ||||||
Vocera Communications, Inc.* | 26 | 687 | ||||||
Cray, Inc.* | 37 | 681 | ||||||
Varonis Systems, Inc.* | 18 | 670 | ||||||
Rudolph Technologies, Inc.* | 29 | 663 | ||||||
PROS Holdings, Inc.* | 24 | 657 | ||||||
Nutanix, Inc. — Class A* | 32 | 645 | ||||||
Synchronoss Technologies, Inc.* | 39 | 642 | ||||||
Instructure, Inc.* | 20 | 590 | ||||||
Unisys Corp.* | 46 | 589 | ||||||
Axcelis Technologies, Inc.* | 28 | 587 | ||||||
Photronics, Inc.* | 62 | 583 | ||||||
Hortonworks, Inc.* | 44 | 567 | ||||||
Ultra Clean Holdings, Inc.* | 30 | 563 | ||||||
Nanometrics, Inc.* | 22 | 556 | ||||||
Donnelley Financial Solutions, Inc.* | 24 | 551 | ||||||
LivePerson, Inc.* | 50 | 550 | ||||||
Benefitfocus, Inc.* | 15 | 545 | ||||||
TeleTech Holdings, Inc. | 13 | 530 | ||||||
Barracuda Networks, Inc.* | 23 | 530 | ||||||
Syntel, Inc. | 30 | 509 | ||||||
Carbonite, Inc.* | 23 | 501 | ||||||
InnerWorkings, Inc.* | 42 | 487 | ||||||
Engility Holdings, Inc.* | 17 | 483 | ||||||
Xcerra Corp.* | 49 | 479 | ||||||
CommerceHub, Inc.* | 27 | 471 | ||||||
Silver Spring Networks, Inc.* | 39 | 440 | ||||||
Workiva, Inc.* | 23 | 438 | ||||||
PDF Solutions, Inc.* | 26 | 428 | ||||||
KeyW Holding Corp.*,1 | 44 | 411 | ||||||
Cohu, Inc. | 25 | 394 | ||||||
Actua Corp.* | 28 | 393 | ||||||
Everbridge, Inc.* | 16 | 390 | ||||||
Bazaarvoice, Inc.* | 77 | 381 | ||||||
IXYS Corp.* | 23 | 378 | ||||||
Xactly Corp.* | 24 | 376 | ||||||
Digimarc Corp.* | 9 | 361 | ||||||
Blackline, Inc.* | 10 | 357 | ||||||
MuleSoft, Inc. — Class A* | 14 | 349 | ||||||
Computer Programs & Systems, Inc. | 10 | 328 | ||||||
MobileIron, Inc.* | 51 | 309 | ||||||
QAD, Inc. — Class A | 9 | 288 | ||||||
Alpha & Omega Semiconductor Ltd.* | 17 | 283 | ||||||
Model N, Inc.* | 21 | 279 | ||||||
Apptio, Inc. — Class A* | 16 | 278 | ||||||
EMCORE Corp. | 25 | 266 | ||||||
Presidio, Inc.* | 18 | 258 | ||||||
American Software, Inc. — Class A | 24 | 247 | ||||||
Immersion Corp.* | 27 | 245 | ||||||
Castlight Health, Inc. — Class B* | 59 | 245 | ||||||
Digi International, Inc.* | 24 | 244 | ||||||
Glu Mobile, Inc.* | 96 | 240 | ||||||
Mitek Systems, Inc.* | 28 | 235 | ||||||
DSP Group, Inc.* | 20 | 232 | ||||||
Appfolio, Inc. — Class A* | 7 | 228 | ||||||
CommerceHub, Inc.* | 13 | 226 | ||||||
AXT, Inc.* | 34 | 216 | ||||||
Kopin Corp.* | 57 | 211 | ||||||
pdvWireless, Inc.* | 9 | 210 | ||||||
Cloudera, Inc.* | 13 | 208 | ||||||
Sigma Designs, Inc.* | 35 | 205 | ||||||
Quantum Corp.* | 26 | 203 | ||||||
Maxwell Technologies, Inc.* | 33 | 198 | ||||||
Brightcove, Inc.* | 31 | 192 | ||||||
USA Technologies, Inc.* | 36 | 187 | ||||||
Exa Corp.* | 13 | 179 | ||||||
Rosetta Stone, Inc.* | 16 | 172 | ||||||
DMC Global, Inc. | 13 | 170 | ||||||
Avid Technology, Inc.* | 31 | 163 | ||||||
Alteryx, Inc. — Class A* | 8 | 156 | ||||||
Amber Road, Inc.* | 18 | 154 | ||||||
Upland Software, Inc.* | 7 | 154 | ||||||
Park City Group, Inc.* | 12 | 146 | ||||||
Agilysys, Inc.* | 14 | 142 | ||||||
Eastman Kodak Co.* | 15 | 137 | ||||||
Tabula Rasa HealthCare, Inc.* | 9 | 135 | ||||||
Guidance Software, Inc.* | 20 | 132 | ||||||
Planet Payment, Inc.* | 39 | 129 | ||||||
Radisys Corp.* | 34 | 128 | ||||||
NCI, Inc. — Class A* | 6 | 127 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 87 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Simulations Plus, Inc. | 10 | $ | 124 | |||||
Pixelworks, Inc.* | 26 | 119 | ||||||
ExOne Co.* | 10 | 115 | ||||||
StarTek, Inc.* | 9 | 110 | ||||||
GSI Technology, Inc.* | 13 | 102 | ||||||
Cogint, Inc.* | 19 | 96 | ||||||
NantHealth, Inc.* | 16 | 68 | ||||||
SecureWorks Corp. — Class A* | 7 | 65 | ||||||
Tangoe, Inc.* | 8 | 52 | ||||||
Majesco* | 5 | 25 | ||||||
Veritone, Inc.* | 2 | 23 | ||||||
Total Technology | 182,305 | |||||||
Communications - 2.0% | ||||||||
Proofpoint, Inc.* | 40 | 3,472 | ||||||
GrubHub, Inc.* | 79 | 3,443 | ||||||
Ciena Corp.* | 130 | 3,253 | ||||||
ViaSat, Inc.* | 49 | 3,244 | ||||||
Finisar Corp.* | 103 | 2,676 | ||||||
Nexstar Media Group, Inc. — Class A | 42 | 2,513 | ||||||
Zendesk, Inc.* | 90 | 2,499 | ||||||
InterDigital, Inc. | 32 | 2,474 | ||||||
Stamps.com, Inc.* | 15 | 2,323 | ||||||
Viavi Solutions, Inc.* | 211 | 2,222 | ||||||
Sinclair Broadcast Group, Inc. — Class A | 67 | 2,204 | ||||||
Yelp, Inc. — Class A* | 72 | 2,161 | ||||||
Meredith Corp. | 36 | 2,140 | ||||||
RingCentral, Inc. — Class A* | 58 | 2,120 | ||||||
New York Times Co. — Class A | 116 | 2,053 | ||||||
TiVo Corp. | 108 | 2,014 | ||||||
WebMD Health Corp. — Class A* | 34 | 1,994 | ||||||
DigitalGlobe, Inc.* | 57 | 1,898 | ||||||
Cars.com, Inc.*,1 | 66 | 1,758 | ||||||
Plantronics, Inc. | 31 | 1,622 | ||||||
Etsy, Inc.* | 107 | 1,605 | ||||||
Cogent Communications Holdings, Inc. | 38 | 1,524 | ||||||
Imperva, Inc.* | 31 | 1,483 | ||||||
Shutterfly, Inc.* | 31 | 1,473 | ||||||
Straight Path Communications, Inc. — Class B* | 8 | 1,437 | ||||||
Oclaro, Inc.*,1 | 153 | 1,429 | ||||||
Infinera Corp.* | 133 | 1,419 | ||||||
Time, Inc. | 92 | 1,320 | ||||||
Shenandoah Telecommunications Co. | 43 | 1,320 | ||||||
Gigamon, Inc.* | 33 | 1,299 | ||||||
NETGEAR, Inc.* | 30 | 1,293 | ||||||
Frontier Communications Corp.1 | 1,087 | 1,261 | ||||||
MSG Networks, Inc. — Class A* | 55 | 1,235 | ||||||
Vonage Holdings Corp.* | 184 | 1,203 | ||||||
Groupon, Inc. — Class A* | 313 | 1,202 | ||||||
8x8, Inc.* | 81 | 1,179 | ||||||
Houghton Mifflin Harcourt Co.* | 95 | 1,169 | ||||||
TrueCar, Inc.* | 58 | 1,156 | ||||||
Scholastic Corp. | 26 | 1,133 | ||||||
NIC, Inc. | 59 | 1,118 | ||||||
Ubiquiti Networks, Inc.*,1 | 21 | 1,091 | ||||||
Q2 Holdings, Inc.* | 29 | 1,072 | ||||||
Consolidated Communications Holdings, Inc. | 46 | 988 | ||||||
Chegg, Inc.*,1 | 77 | 946 | ||||||
EW Scripps Co. — Class A* | 53 | 944 | ||||||
West Corp.1 | 40 | 933 | ||||||
Extreme Networks, Inc.* | 101 | 931 | ||||||
ADTRAN, Inc. | 45 | 929 | ||||||
GTT Communications, Inc.* | 29 | 918 | ||||||
General Communication, Inc. — Class A* | 25 | 916 | ||||||
Gannett Company, Inc. | 105 | 916 | ||||||
ePlus, Inc.* | 12 | 889 | ||||||
Web.com Group, Inc.* | 35 | 886 | ||||||
Globalstar, Inc.*,1 | 409 | 871 | ||||||
Iridium Communications, Inc.* | 77 | 851 | ||||||
Gray Television, Inc.* | 59 | 808 | ||||||
Blucora, Inc.* | 38 | 806 | ||||||
Trade Desk, Inc. — Class A* | 16 | 802 | ||||||
Quotient Technology, Inc.* | 68 | 782 | ||||||
Liberty Media Corporation-Liberty Braves — Class C* | 32 | 767 | ||||||
Cincinnati Bell, Inc.* | 39 | 762 | ||||||
Shutterstock, Inc.* | 17 | 749 | ||||||
World Wrestling Entertainment, Inc. — Class A | 35 | 713 | ||||||
Acacia Communications, Inc.*,1 | 17 | 705 | ||||||
ATN International, Inc. | 10 | 684 | ||||||
Windstream Holdings, Inc. | 176 | 683 | ||||||
ORBCOMM, Inc.* | 60 | 678 | ||||||
CalAmp Corp.* | 32 | 651 | ||||||
New Media Investment Group, Inc. | 47 | 634 | ||||||
HealthStream, Inc.* | 24 | 632 | ||||||
Gogo, Inc.*,1 | 53 | 611 | ||||||
Perficient, Inc.* | 32 | 596 | ||||||
Bankrate, Inc.* | 44 | 565 | ||||||
MDC Partners, Inc. — Class A | 51 | 505 | ||||||
Loral Space & Communications, Inc.* | 12 | 499 | ||||||
Boingo Wireless, Inc.* | 33 | 494 | ||||||
Angie’s List, Inc.* | 37 | 473 | ||||||
Endurance International Group Holdings, Inc.* | 53 | 443 | ||||||
Tucows, Inc. — Class A* | 8 | 428 | ||||||
XO Group, Inc.* | 23 | 405 | ||||||
Entravision Communications Corp. — Class A | 61 | 403 | ||||||
VASCO Data Security International, Inc.* | 28 | 402 | ||||||
Comtech Telecommunications Corp. | 21 | 398 | ||||||
Harmonic, Inc.* | 73 | 383 | ||||||
A10 Networks, Inc.* | 45 | 380 | ||||||
ShoreTel, Inc.* | 63 | 365 | ||||||
Quantenna Communications, Inc.* | 19 | 361 | ||||||
Lumos Networks Corp.* | 20 | 357 | ||||||
Spok Holdings, Inc. | 19 | 336 | ||||||
Sonus Networks, Inc.* | 44 | 327 | ||||||
FTD Companies, Inc.* | 16 | 320 | ||||||
Rapid7, Inc.* | 19 | 320 | ||||||
Meet Group, Inc.* | 62 | 313 |
88 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
FairPoint Communications, Inc.* | 20 | $ | 313 | |||||
Central European Media Enterprises Ltd. — Class A* | 76 | 304 | ||||||
Carvana Co.* | 14 | 287 | ||||||
Zix Corp.* | 49 | 279 | ||||||
Calix, Inc.* | 40 | 274 | ||||||
Internap Corp.* | 74 | 272 | ||||||
Entercom Communications Corp. — Class A1 | 26 | 269 | ||||||
ChannelAdvisor Corp.* | 23 | 266 | ||||||
Overstock.com, Inc.* | 15 | 245 | ||||||
1-800-Flowers.com, Inc. — Class A* | 24 | 234 | ||||||
tronc, Inc.* | 18 | 232 | ||||||
NeoPhotonics Corp.* | 30 | 232 | ||||||
IDT Corp. — Class B | 16 | 230 | ||||||
Okta, Inc.* | 10 | 228 | ||||||
Telenav, Inc.* | 28 | 227 | ||||||
HC2 Holdings, Inc.* | 38 | 223 | ||||||
Liberty Media Corporation - Liberty Braves — Class A* | 9 | 215 | ||||||
VirnetX Holding Corp.* | 47 | 214 | ||||||
Rubicon Project, Inc.* | 41 | 211 | ||||||
Daily Journal Corp.* | 1 | 206 | ||||||
Limelight Networks, Inc.* | 69 | 199 | ||||||
Ominto, Inc.* | 13 | 198 | ||||||
RigNet, Inc.* | 12 | 193 | ||||||
TechTarget, Inc.* | 18 | 187 | ||||||
Lands’ End, Inc.* | 12 | 179 | ||||||
Reis, Inc. | 8 | 170 | ||||||
Global Eagle Entertainment, Inc.* | 47 | 167 | ||||||
Hemisphere Media Group, Inc.* | 14 | 166 | ||||||
Clear Channel Outdoor Holdings, Inc. — Class A | 33 | 160 | ||||||
Liquidity Services, Inc.* | 24 | 152 | ||||||
Hawaiian Telcom Holdco, Inc.* | 6 | 150 | ||||||
Yext, Inc.* | 11 | 147 | ||||||
Clearfield, Inc.* | 11 | 145 | ||||||
Aerohive Networks, Inc.* | 29 | 145 | ||||||
Corindus Vascular Robotics, Inc.* | 77 | 143 | ||||||
QuinStreet, Inc.* | 34 | 142 | ||||||
Global Sources Ltd.* | 7 | 140 | ||||||
Preformed Line Products Co. | 3 | 139 | ||||||
Saga Communications, Inc. — Class A | 3 | 137 | ||||||
KVH Industries, Inc.* | 14 | 133 | ||||||
DHI Group, Inc.* | 45 | 128 | ||||||
Ooma, Inc.* | 16 | 128 | ||||||
Rightside Group Ltd.* | 11 | 117 | ||||||
Intelsat S.A.* | 33 | 101 | ||||||
RealNetworks, Inc.* | 22 | 95 | ||||||
Rocket Fuel, Inc.* | 33 | 91 | ||||||
Leaf Group Ltd.* | 11 | 86 | ||||||
Townsquare Media, Inc. — Class A* | 8 | 82 | ||||||
Salem Media Group, Inc. — Class A | 11 | 78 | ||||||
Beasley Broadcast Group, Inc. — Class A | 4 | 39 | ||||||
Value Line, Inc. | 1 | 18 | ||||||
Total Communications | 118,078 | |||||||
Energy - 1.1% | ||||||||
PDC Energy, Inc.* | 61 | 2,629 | ||||||
Callon Petroleum Co.* | 187 | 1,975 | ||||||
Ultra Petroleum Corp.* | 180 | 1,953 | ||||||
McDermott International, Inc.* | 261 | 1,872 | ||||||
Matador Resources Co.* | 83 | 1,774 | ||||||
Oasis Petroleum, Inc.* | 217 | 1,747 | ||||||
Dril-Quip, Inc.* | 35 | 1,708 | ||||||
SemGroup Corp. — Class A | 61 | 1,647 | ||||||
NOW, Inc.* | 99 | 1,592 | ||||||
Pattern Energy Group, Inc. | 65 | 1,550 | ||||||
Delek US Holdings, Inc. | 57 | 1,507 | ||||||
C&J Energy Services, Inc.* | 43 | 1,474 | ||||||
Superior Energy Services, Inc.* | 140 | 1,460 | ||||||
Ensco plc — Class A | 281 | 1,450 | ||||||
Arch Coal, Inc. — Class A | 20 | 1,366 | ||||||
MRC Global, Inc.* | 82 | 1,355 | ||||||
SRC Energy, Inc.*,1 | 186 | 1,304 | ||||||
Oil States International, Inc.* | 47 | 1,276 | ||||||
Rowan Companies plc — Class A* | 108 | 1,106 | ||||||
Peabody Energy Corp.* | 45 | 1,100 | ||||||
Carrizo Oil & Gas, Inc.* | 58 | 1,010 | ||||||
Forum Energy Technologies, Inc.* | 64 | 998 | ||||||
Unit Corp.* | 48 | 899 | ||||||
TerraForm Power, Inc. — Class A* | 74 | 888 | ||||||
Noble Corporation plc | 225 | 815 | ||||||
Exterran Corp.* | 30 | 801 | ||||||
Helix Energy Solutions Group, Inc.* | 130 | 733 | ||||||
Archrock, Inc. | 64 | 730 | ||||||
Green Plains, Inc. | 35 | 719 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 60 | 650 | ||||||
SunCoke Energy, Inc.* | 59 | 643 | ||||||
Bonanza Creek Energy, Inc.* | 19 | 602 | ||||||
Resolute Energy Corp.* | 20 | 595 | ||||||
Newpark Resources, Inc.* | 81 | 595 | ||||||
Atwood Oceanics, Inc.* | 71 | 579 | ||||||
Thermon Group Holdings, Inc.* | 30 | 575 | ||||||
Denbury Resources, Inc.* | 366 | 560 | ||||||
Sunrun, Inc.* | 78 | 555 | ||||||
SandRidge Energy, Inc.* | 32 | 551 | ||||||
Ring Energy, Inc.* | 42 | 546 | ||||||
Par Pacific Holdings, Inc.* | 29 | 523 | ||||||
SEACOR Holdings, Inc.* | 15 | 515 | ||||||
Tellurian, Inc.* | 51 | 512 | ||||||
Energy XXI Gulf Coast, Inc.* | 27 | 501 | ||||||
REX American Resources Corp.* | 5 | 483 | ||||||
Penn Virginia Corp.* | 13 | 478 | ||||||
Sanchez Energy Corp.* | 65 | 467 | ||||||
Keane Group, Inc.* | 29 | 464 | ||||||
Flotek Industries, Inc.* | 51 | 456 | ||||||
Renewable Energy Group, Inc.* | 35 | 453 | ||||||
Plug Power, Inc.*,1 | 206 | 420 | ||||||
TerraForm Global, Inc. — Class A* | 82 | 414 | ||||||
Alon USA Energy, Inc. | 30 | 400 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 89 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Basic Energy Services, Inc.* | 16 | $ | 398 | |||||
Jagged Peak Energy, Inc.*,1 | 29 | 387 | ||||||
Frank’s International N.V. | 46 | 381 | ||||||
FutureFuel Corp. | 23 | 347 | ||||||
California Resources Corp.* | 39 | 333 | ||||||
Stone Energy Corp.* | 18 | 331 | ||||||
CVR Energy, Inc.1 | 15 | 326 | ||||||
Panhandle Oil and Gas, Inc. — Class A | 14 | 323 | ||||||
ProPetro Holding Corp.* | 23 | 321 | ||||||
Clean Energy Fuels Corp.* | 126 | 320 | ||||||
TETRA Technologies, Inc.* | 106 | 296 | ||||||
Warrior Met Coal, Inc. | 16 | 274 | ||||||
Natural Gas Services Group, Inc.* | 11 | 273 | ||||||
Halcon Resources Corp.* | 56 | 254 | ||||||
NCS Multistage Holdings, Inc.* | 10 | 252 | ||||||
Cloud Peak Energy, Inc.* | 68 | 240 | ||||||
Pacific Ethanol, Inc.* | 38 | 238 | ||||||
Eclipse Resources Corp.* | 81 | 232 | ||||||
Bristow Group, Inc.1 | 30 | 230 | ||||||
Abraxas Petroleum Corp.* | 140 | 227 | ||||||
Matrix Service Co.* | 24 | 224 | ||||||
WildHorse Resource Development Corp.* | 18 | 223 | ||||||
Bill Barrett Corp.* | 70 | 215 | ||||||
Trecora Resources* | 18 | 203 | ||||||
Key Energy Services, Inc.* | 10 | 192 | ||||||
Tesco Corp.* | 43 | 191 | ||||||
Lilis Energy, Inc.* | 39 | 191 | ||||||
Evolution Petroleum Corp. | 23 | 186 | ||||||
TPI Composites, Inc.* | 10 | 185 | ||||||
Era Group, Inc.* | 18 | 170 | ||||||
W&T Offshore, Inc.* | 86 | 169 | ||||||
Parker Drilling Co.* | 124 | 167 | ||||||
Geospace Technologies Corp.* | 12 | 166 | ||||||
SilverBow Resources, Inc.* | 6 | 157 | ||||||
Gulf Island Fabrication, Inc. | 13 | 151 | ||||||
Gastar Exploration, Inc.* | 161 | 149 | ||||||
Contango Oil & Gas Co.* | 22 | 146 | ||||||
CARBO Ceramics, Inc.* | 21 | 144 | ||||||
Pioneer Energy Services Corp.* | 70 | 144 | ||||||
Vivint Solar, Inc.* | 24 | 140 | ||||||
Approach Resources, Inc.* | 40 | 135 | ||||||
Mammoth Energy Services, Inc.* | 7 | 130 | ||||||
EP Energy Corp. — Class A* | 35 | 128 | ||||||
Midstates Petroleum Company, Inc.* | 10 | 127 | ||||||
Independence Contract Drilling, Inc.* | 32 | 124 | ||||||
Hallador Energy Co. | 15 | 117 | ||||||
Isramco, Inc.* | 1 | 114 | ||||||
PHI, Inc.* | 11 | 107 | ||||||
Solaris Oilfield Infrastructure, Inc. — Class A* | 9 | 104 | ||||||
Willbros Group, Inc.* | 40 | 99 | ||||||
Earthstone Energy, Inc. — Class A* | 9 | 90 | ||||||
Westmoreland Coal Co.* | 17 | 83 | ||||||
Adams Resources & Energy, Inc. | 2 | 82 | ||||||
Jones Energy, Inc. — Class A* | 42 | 67 | ||||||
Select Energy Services, Inc. — Class A* | 4 | 49 | ||||||
Ramaco Resources, Inc.* | 6 | 36 | ||||||
Rosehill Resources, Inc.* | 2 | 17 | ||||||
Total Energy | 63,080 | |||||||
Utilities - 1.0% | ||||||||
IDACORP, Inc. | 47 | 4,010 | ||||||
WGL Holdings, Inc. | 47 | 3,921 | ||||||
Portland General Electric Co. | 82 | 3,747 | ||||||
ALLETE, Inc. | 47 | 3,369 | ||||||
ONE Gas, Inc. | 48 | 3,351 | ||||||
Black Hills Corp. | 49 | 3,306 | ||||||
Southwest Gas Holdings, Inc. | 44 | 3,215 | ||||||
New Jersey Resources Corp. | 79 | 3,136 | ||||||
Spire, Inc. | 44 | 3,069 | ||||||
PNM Resources, Inc. | 74 | 2,831 | ||||||
NorthWestern Corp. | 45 | 2,746 | ||||||
South Jersey Industries, Inc. | 74 | 2,529 | ||||||
Avista Corp. | 59 | 2,505 | ||||||
Ormat Technologies, Inc. | 37 | 2,171 | ||||||
MGE Energy, Inc. | 32 | 2,059 | ||||||
El Paso Electric Co. | 37 | 1,913 | ||||||
California Water Service Group | 44 | 1,620 | ||||||
American States Water Co. | 33 | 1,565 | ||||||
Northwest Natural Gas Co. | 26 | 1,556 | ||||||
Otter Tail Corp. | 36 | 1,426 | ||||||
Chesapeake Utilities Corp. | 15 | 1,124 | ||||||
NRG Yield, Inc. — Class C | 59 | 1,038 | ||||||
Dynegy, Inc.* | 102 | 844 | ||||||
SJW Group | 15 | 738 | ||||||
Unitil Corp. | 13 | 628 | ||||||
Middlesex Water Co. | 15 | 594 | ||||||
Connecticut Water Service, Inc. | 10 | 555 | ||||||
NRG Yield, Inc. — Class A | 32 | 546 | ||||||
York Water Co. | 12 | 418 | ||||||
Artesian Resources Corp. — Class A | 7 | 263 | ||||||
Atlantic Power Corp.* | 106 | 254 | ||||||
Spark Energy, Inc. — Class A1 | 11 | 207 | ||||||
EnerNOC, Inc.* | 25 | 194 | ||||||
Delta Natural Gas Company, Inc. | 6 | 183 | ||||||
RGC Resources, Inc. | 6 | 170 | ||||||
Consolidated Water Company Ltd. | 13 | 161 | ||||||
Ameresco, Inc. — Class A* | 17 | 131 | ||||||
Genie Energy Ltd. — Class B | 12 | 91 | ||||||
Global Water Resources, Inc. | 9 | 89 | ||||||
Total Utilities | 62,273 | |||||||
Basic Materials - 1.0% | ||||||||
Sensient Technologies Corp. | 41 | 3,301 | ||||||
PolyOne Corp. | 75 | 2,905 | ||||||
US Silica Holdings, Inc. | 75 | 2,662 | ||||||
HB Fuller Co. | 46 | 2,350 | ||||||
Minerals Technologies, Inc. | 32 | 2,341 | ||||||
Balchem Corp. | 29 | 2,254 | ||||||
Ingevity Corp.* | 39 | 2,239 | ||||||
Commercial Metals Co. | 107 | 2,079 | ||||||
Compass Minerals International, Inc. | 31 | 2,024 | ||||||
GCP Applied Technologies, Inc.* | 66 | 2,013 |
90 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
AK Steel Holding Corp.* | 291 | $ | 1,912 | |||||
Cliffs Natural Resources, Inc.* | 275 | 1,903 | ||||||
Hecla Mining Co. | 363 | 1,851 | ||||||
Quaker Chemical Corp. | 12 | 1,743 | ||||||
Allegheny Technologies, Inc. | 100 | 1,701 | ||||||
Carpenter Technology Corp. | 43 | 1,609 | ||||||
Stepan Co. | 18 | 1,569 | ||||||
Innospec, Inc. | 22 | 1,442 | ||||||
Coeur Mining, Inc.* | 167 | 1,433 | ||||||
Ferro Corp.* | 77 | 1,408 | ||||||
Kaiser Aluminum Corp. | 15 | 1,328 | ||||||
Neenah Paper, Inc. | 15 | 1,204 | ||||||
Schweitzer-Mauduit International, Inc. | 28 | 1,042 | ||||||
Kraton Corp.* | 28 | 964 | ||||||
Tronox Ltd. — Class A | 60 | 907 | ||||||
AdvanSix, Inc.* | 28 | 875 | ||||||
A. Schulman, Inc. | 26 | 832 | ||||||
Innophos Holdings, Inc. | 18 | 789 | ||||||
PH Glatfelter Co. | 40 | 782 | ||||||
Deltic Timber Corp. | 10 | 747 | ||||||
Century Aluminum Co.* | 46 | 717 | ||||||
Calgon Carbon Corp. | 47 | 710 | ||||||
Clearwater Paper Corp.* | 15 | 701 | ||||||
Koppers Holdings, Inc.*,1 | 19 | 687 | ||||||
Materion Corp. | 18 | 673 | ||||||
Rayonier Advanced Materials, Inc.1 | 40 | 629 | ||||||
Schnitzer Steel Industries, Inc. — Class A | 24 | 605 | ||||||
Fairmount Santrol Holdings, Inc.*,1 | 143 | 558 | ||||||
Klondex Mines Ltd.* | 162 | 546 | ||||||
CSW Industrials, Inc.* | 13 | 502 | ||||||
American Vanguard Corp. | 26 | 449 | ||||||
KMG Chemicals, Inc. | 9 | 438 | ||||||
Hawkins, Inc. | 9 | 417 | ||||||
Aceto Corp. | 27 | 417 | ||||||
OMNOVA Solutions, Inc.* | 40 | 390 | ||||||
Kronos Worldwide, Inc. | 21 | 383 | ||||||
Landec Corp.* | 25 | 371 | ||||||
Oil-Dri Corporation of America | 5 | 210 | ||||||
Codexis, Inc.* | 38 | 207 | ||||||
Uranium Energy Corp.* | 126 | 200 | ||||||
Intrepid Potash, Inc.* | 87 | 197 | ||||||
Gold Resource Corp.1 | 48 | 196 | ||||||
Smart Sand, Inc.* | 20 | 178 | ||||||
United States Lime & Minerals, Inc. | 2 | 157 | ||||||
Ryerson Holding Corp.* | 15 | 149 | ||||||
Verso Corp. — Class A* | 31 | 145 | ||||||
AgroFresh Solutions, Inc.*,1 | 20 | 144 | ||||||
Orchids Paper Products Co.1 | 8 | 104 | ||||||
Shiloh Industries, Inc.* | 8 | 94 | ||||||
Valhi, Inc. | 23 | 69 | ||||||
Total Basic Materials | 61,452 | |||||||
Diversified - 0.0% | ||||||||
HRG Group, Inc.* | 110 | 1,948 | ||||||
Wins Finance Holdings, Inc.*,†† | 1 | 205 | ||||||
Total Diversified | 2,153 | |||||||
Government - 0.0% | ||||||||
Banco Latinoamericano de Comercio Exterior S.A. — Class E | 28 | 767 | ||||||
Total Common Stocks | ||||||||
(Cost $1,603,182) | 1,785,153 | |||||||
WARRANTS†† - 0.0% | ||||||||
Imperial Holdings, Inc. | ||||||||
$10.75, 10/06/19* | 1 | — | ||||||
Total Warrants | ||||||||
(Cost $—) | — | |||||||
RIGHTS††† - 0.0% | ||||||||
Omthera Pharmaceuticals, Inc. | ||||||||
Expires 12/31/20* | 10 | — | ||||||
Tobira Therapeutics, Inc. | ||||||||
Expires 11/02/18* | 7 | — | ||||||
Dyax Corp. | ||||||||
Expires 01/25/18* | 106 | — | ||||||
Nexstar Media Group, Inc. | ||||||||
Expires 01/18/19* | 207 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — | |||||||
MUTUAL FUNDS† - 51.6% | ||||||||
Guggenheim Strategy Fund I2 | 78,658 | 1,971,948 | ||||||
Guggenheim Strategy Fund II2 | 43,688 | 1,092,633 | ||||||
Total Mutual Funds | ||||||||
(Cost $3,059,788) | 3,064,581 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,3 - 16.9% | ||||||||
HSBC Securities, Inc. | $ | 617,759 | 617,759 | |||||
Bank of America Merrill Lynch | 271,397 | 271,397 | ||||||
RBC Capital Markets LLC | 115,140 | 115,140 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,004,296) | 1,004,296 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 91 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
SECURITIES LENDING COLLATERAL†,5 - 1.0% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%6 | 61,720 | $ | 61,720 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $61,720) | 61,720 | |||||||
Total Investments - 99.6% | ||||||||
(Cost $5,728,986) | $ | 5,915,750 | ||||||
Other Assets & Liabilities, net - 0.4% | 23,386 | |||||||
Total Net Assets - 100.0% | $ | 5,939,136 |
Units | Unrealized | |||||||
OTC EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Goldman Sachs International | 1,079 | $ | 3,052 | |||||
Barclays Bank plc | 872 | (872 | ) | |||||
BNP Paribas | 5,268 | (3,543 | ) | |||||
(Total Notional Value $10,217,878) | $ | (1,363 | ) |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Affiliated issuer — See Note 10. |
3 | Repurchase Agreements — See Note 5. |
4 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2017. |
5 | Securities lending collateral — See Note 6. |
6 | Rate indicated is the 7 day yield as of June 30, 2017. |
7 | Total Return based on Russell 2000 Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
RUSSELL 2000® 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 1,784,948 | $ | 205 | $ | — | $ | — | $ | 1,785,153 | ||||||||||
Equity Index Swap Agreements | — | — | 3,052 | — | 3,052 | |||||||||||||||
Mutual Funds | 3,064,581 | — | — | — | 3,064,581 | |||||||||||||||
Repurchase Agreements | — | 1,004,296 | — | — | 1,004,296 | |||||||||||||||
Rights | — | — | — | — | ** | — | ||||||||||||||
Securities Lending Collateral | 61,720 | — | — | — | 61,720 | |||||||||||||||
Warrants | — | — | ** | — | — | — | ||||||||||||||
Total Assets | $ | 4,911,249 | $ | 1,004,501 | $ | 3,052 | $ | — | $ | 5,918,802 | ||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | 4,415 | $ | — | $ | 4,415 |
* | Other financial instruments include swaps, which are reported as unrealized gain/loss at period end. |
** | Security has a market value of $0. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, the Fund had a security with a total value of $360 transfer out of Level 1 into Level 2 due to the lack of an active market at period end.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 93 |
RUSSELL 2000® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $59,478 of securities loaned (cost $1,664,902) | $ | 1,846,873 | ||
Investments in affiliated issuers, at value (cost $3,059,788) | 3,064,581 | |||
Repurchase agreements, at value (cost $1,004,296) | 1,004,296 | |||
Total investments (cost $5,728,986) | 5,915,750 | |||
Segregated cash with broker | 166,750 | |||
Unrealized appreciation on swap agreements | 3,052 | |||
Receivables: | ||||
Variation margin | 3,235 | |||
Dividends | 5,958 | |||
Interest | 28 | |||
Securities lending income | 95 | |||
Total assets | 6,094,868 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 4,415 | |||
Overdraft due to custodian bank | 2,061 | |||
Payable for: | ||||
Return of securities loaned | 61,720 | |||
Fund shares redeemed | 59,311 | |||
Securities purchased | 4,247 | |||
Management fees | 3,979 | |||
Transfer agent and administrative fees | 1,105 | |||
Investor service fees | 1,105 | |||
Portfolio accounting fees | 442 | |||
Swap settlement | 208 | |||
Miscellaneous | 17,139 | |||
Total liabilities | 155,732 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 5,939,136 | ||
Net assets consist of: | ||||
Paid in capital | $ | 5,399,202 | ||
Accumulated net investment loss | (17,252 | ) | ||
Accumulated net realized gain on investments | 371,785 | |||
Net unrealized appreciation on investments | 185,401 | |||
Net assets | $ | 5,939,136 | ||
Capital shares outstanding | 28,507 | |||
Net asset value per share | $ | 208.34 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 15,916 | ||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $5) | 14,031 | |||
Interest | 4,248 | |||
Income from securities lending, net | 900 | |||
Total investment income | 35,095 | |||
Expenses: | ||||
Management fees | 26,034 | |||
Transfer agent and administrative fees | 7,232 | |||
Investor service fees | 7,232 | |||
Portfolio accounting fees | 2,893 | |||
Professional fees | 5,843 | |||
Printing expenses | 2,858 | |||
Custodian fees | 583 | |||
Trustees’ fees* | 435 | |||
Line of credit fees | 53 | |||
Miscellaneous | (1,068 | ) | ||
Total expenses | 52,095 | |||
Net investment loss | (17,000 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 278,832 | |||
Investments in affiliated issuers | 769 | |||
Swap agreements | 87,584 | |||
Futures contracts | 82,829 | |||
Net realized gain | 450,014 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (144,552 | ) | ||
Investments in affiliated issuers | 2,185 | |||
Swap agreements | (59,393 | ) | ||
Futures contracts | 216 | |||
Net change in unrealized appreciation (depreciation) | (201,544 | ) | ||
Net realized and unrealized gain | 248,470 | |||
Net increase in net assets resulting from operations | $ | 231,470 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
94 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (17,000 | ) | $ | (33,078 | ) | ||
Net realized gain on investments | 450,014 | 1,695,224 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (201,544 | ) | 193,861 | |||||
Net increase in net assets resulting from operations | 231,470 | 1,856,007 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 56,507,098 | 113,812,849 | ||||||
Cost of shares redeemed | (56,546,198 | ) | (112,691,802 | ) | ||||
Net increase (decrease) from capital share transactions | (39,100 | ) | 1,121,047 | |||||
Net increase in net assets | 192,370 | 2,977,054 | ||||||
Net assets: | ||||||||
Beginning of period | 5,746,766 | 2,769,712 | ||||||
End of period | $ | 5,939,136 | $ | 5,746,766 | ||||
Accumulated net investment loss at end of period | $ | (17,252 | ) | $ | (252 | ) | ||
Capital share activity: | ||||||||
Shares sold | 287,016 | 706,410 | ||||||
Shares redeemed | (288,298 | ) | (696,448 | ) | ||||
Net increase (decrease) in shares | (1,282 | ) | 9,962 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 95 |
RUSSELL 2000® 2x STRATEGY FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 192.92 | $ | 139.69 | $ | 180.03 | $ | 262.78 | $ | 141.50 | $ | 109.53 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.58 | ) | (1.11 | ) | (1.73 | ) | (2.53 | ) | (1.63 | ) | (.96 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 16.00 | 54.34 | (17.40 | ) | 11.64 | 122.91 | 32.93 | |||||||||||||||||
Total from investment operations | 15.42 | 53.23 | (19.13 | ) | 9.11 | 121.28 | 31.97 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (21.21 | ) | (91.86 | ) | — | — | ||||||||||||||||
Total distributions | — | — | (21.21 | ) | (91.86 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $ | 208.34 | $ | 192.92 | $ | 139.69 | $ | 180.03 | $ | 262.78 | $ | 141.50 | ||||||||||||
Total Returnc | 8.00 | % | 38.11 | % | (13.15 | %) | 5.17 | % | 85.72 | % | 29.19 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,939 | $ | 5,747 | $ | 2,770 | $ | 5,528 | $ | 5,196 | $ | 3,156 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.59 | %) | (0.74 | %) | (1.00 | %) | (1.07 | %) | (0.86 | %) | (0.76 | %) | ||||||||||||
Total expensesd | 1.80 | % | 1.77 | % | 1.70 | % | 1.77 | % | 1.75 | % | 1.77 | % | ||||||||||||
Portfolio turnover rate | 371 | % | 1,125 | % | 327 | % | 360 | % | 80 | % | 325 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
96 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark for small-cap securities on a daily basis. The Fund’s current benchmark is 150% of the performance of the Russell 2000® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: October 1, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 28.6% |
Guggenheim Strategy Fund I | 25.9% |
Kite Pharma, Inc. | 0.1% |
Gramercy Property Trust | 0.1% |
Catalent, Inc. | 0.1% |
Medidata Solutions, Inc. | 0.1% |
IDACORP, Inc. | 0.1% |
PAREXEL International Corp. | 0.1% |
Fair Isaac Corp. | 0.1% |
HealthSouth Corp. | 0.1% |
Top Ten Total | 55.3% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Russell 2000® 1.5x Strategy Fund | 6.44% | 36.44% | 18.02% | 5.61% |
Russell 2000 Index | 4.99% | 24.60% | 17.13% | 9.09% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 97 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 26.5% | ||||||||
Financial - 6.8% | ||||||||
Gramercy Property Trust | 152 | $ | 4,517 | |||||
Wintrust Financial Corp. | 56 | 4,280 | ||||||
MGIC Investment Corp.* | 372 | 4,221 | ||||||
IBERIABANK Corp. | 51 | 4,156 | ||||||
Hancock Holding Co. | 84 | 4,115 | ||||||
Umpqua Holdings Corp. | 222 | 4,075 | ||||||
Healthcare Realty Trust, Inc. | 116 | 3,962 | ||||||
United Bankshares, Inc. | 100 | 3,919 | ||||||
Texas Capital Bancshares, Inc.* | 50 | 3,869 | ||||||
Ellie Mae, Inc.* | 34 | 3,738 | ||||||
Cousins Properties, Inc. | 419 | 3,683 | ||||||
GEO Group, Inc. | 123 | 3,637 | ||||||
CNO Financial Group, Inc. | 171 | 3,569 | ||||||
MB Financial, Inc. | 81 | 3,566 | ||||||
Sunstone Hotel Investors, Inc. | 221 | 3,563 | ||||||
Radian Group, Inc. | 217 | 3,548 | ||||||
Primerica, Inc. | 46 | 3,485 | ||||||
Investors Bancorp, Inc. | 260 | 3,473 | ||||||
Colony Starwood Homes | 101 | 3,465 | ||||||
Chemical Financial Corp. | 71 | 3,436 | ||||||
LaSalle Hotel Properties | 114 | 3,397 | ||||||
UMB Financial Corp. | 45 | 3,368 | ||||||
First Industrial Realty Trust, Inc. | 117 | 3,349 | ||||||
Fulton Financial Corp. | 172 | 3,267 | ||||||
Home BancShares, Inc. | 129 | 3,212 | ||||||
National Health Investors, Inc. | 40 | 3,168 | ||||||
Physicians Realty Trust REIT | 154 | 3,102 | ||||||
Stifel Financial Corp.* | 67 | 3,081 | ||||||
Sterling Bancorp | 132 | 3,069 | ||||||
Valley National Bancorp | 259 | 3,059 | ||||||
Washington Federal, Inc. | 90 | 2,988 | ||||||
Selective Insurance Group, Inc. | 58 | 2,903 | ||||||
Evercore Partners, Inc. — Class A | 41 | 2,891 | ||||||
Education Realty Trust, Inc. | 74 | 2,868 | ||||||
Essent Group Ltd.* | 77 | 2,860 | ||||||
Cathay General Bancorp | 75 | 2,846 | ||||||
First Financial Bankshares, Inc. | 64 | 2,829 | ||||||
Glacier Bancorp, Inc. | 77 | 2,819 | ||||||
Ryman Hospitality Properties, Inc. | 44 | 2,816 | ||||||
EastGroup Properties, Inc. | 33 | 2,765 | ||||||
Community Bank System, Inc. | 49 | 2,733 | ||||||
PS Business Parks, Inc. | 20 | 2,648 | ||||||
BancorpSouth, Inc. | 86 | 2,623 | ||||||
First Citizens BancShares, Inc. — Class A | 7 | 2,609 | ||||||
WageWorks, Inc.* | 37 | 2,486 | ||||||
South State Corp. | 29 | 2,485 | ||||||
STAG Industrial, Inc. | 90 | 2,484 | ||||||
Mack-Cali Realty Corp. | 91 | 2,470 | ||||||
QTS Realty Trust, Inc. — Class A | 47 | 2,460 | ||||||
Washington Real Estate Investment Trust | 77 | 2,456 | ||||||
RLJ Lodging Trust | 123 | 2,444 | ||||||
Hope Bancorp, Inc. | 130 | 2,425 | ||||||
Great Western Bancorp, Inc. | 59 | 2,408 | ||||||
Blackhawk Network Holdings, Inc.* | 55 | 2,398 | ||||||
First Midwest Bancorp, Inc. | 102 | 2,378 | ||||||
Acadia Realty Trust | 84 | 2,335 | ||||||
CVB Financial Corp. | 104 | 2,333 | ||||||
Old National Bancorp | 135 | 2,329 | ||||||
Urban Edge Properties | 98 | 2,326 | ||||||
Columbia Banking System, Inc. | 58 | 2,311 | ||||||
American Equity Investment Life Holding Co. | 87 | 2,286 | ||||||
Care Capital Properties, Inc. | 84 | 2,243 | ||||||
Pebblebrook Hotel Trust1 | 69 | 2,225 | ||||||
DiamondRock Hospitality Co. | 200 | 2,190 | ||||||
Trustmark Corp. | 68 | 2,187 | ||||||
Enstar Group Ltd.* | 11 | 2,185 | ||||||
Financial Engines, Inc. | 59 | 2,159 | ||||||
Lexington Realty Trust | 217 | 2,150 | ||||||
RLI Corp. | 39 | 2,130 | ||||||
Xenia Hotels & Resorts, Inc. | 108 | 2,092 | ||||||
Retail Opportunity Investments Corp. REIT | 108 | 2,073 | ||||||
Eagle Bancorp, Inc.* | 32 | 2,026 | ||||||
LTC Properties, Inc. | 39 | 2,004 | ||||||
United Community Banks, Inc. | 71 | 1,974 | ||||||
Hilltop Holdings, Inc. | 75 | 1,966 | ||||||
Alexander & Baldwin, Inc. | 47 | 1,945 | ||||||
International Bancshares Corp. | 55 | 1,928 | ||||||
Summit Hotel Properties, Inc. | 102 | 1,902 | ||||||
Genworth Financial, Inc. — Class A* | 504 | 1,900 | ||||||
Invesco Mortgage Capital, Inc. | 113 | 1,888 | ||||||
Renasant Corp. | 43 | 1,881 | ||||||
Astoria Financial Corp. | 93 | 1,874 | ||||||
Potlatch Corp. | 41 | 1,874 | ||||||
Banner Corp. | 33 | 1,865 | ||||||
Bank of NT Butterfield & Son Ltd. | 54 | 1,841 | ||||||
Capitol Federal Financial, Inc. | 129 | 1,833 | ||||||
LendingClub Corp.* | 320 | 1,814 | ||||||
Rexford Industrial Realty, Inc. | 66 | 1,811 | ||||||
Independent Bank Corp. | 27 | 1,800 | ||||||
LegacyTexas Financial Group, Inc. | 47 | 1,792 | ||||||
Argo Group International Holdings Ltd. | 29 | 1,757 | ||||||
TowneBank | 57 | 1,756 | ||||||
PRA Group, Inc.* | 46 | 1,743 | ||||||
Quality Care Properties, Inc.* | 95 | 1,739 | ||||||
Ameris Bancorp | 36 | 1,735 | ||||||
First Financial Bancorp | 62 | 1,717 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 92 | 1,707 | ||||||
ServisFirst Bancshares, Inc. | 46 | 1,697 | ||||||
FCB Financial Holdings, Inc. — Class A* | 35 | 1,671 | ||||||
WesBanco, Inc. | 42 | 1,661 | ||||||
Terreno Realty Corp. | 49 | 1,649 | ||||||
First Merchants Corp. | 41 | 1,646 | ||||||
Monogram Residential Trust, Inc. | 169 | 1,641 | ||||||
NBT Bancorp, Inc. | 43 | 1,589 | ||||||
Simmons First National Corp. — Class A | 30 | 1,587 | ||||||
Kennedy-Wilson Holdings, Inc. | 83 | 1,581 | ||||||
American Assets Trust, Inc. | 40 | 1,576 | ||||||
Provident Financial Services, Inc. | 62 | 1,574 |
98 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Kite Realty Group Trust REIT | 83 | $ | 1,571 | |||||
Sabra Health Care REIT, Inc. | 65 | 1,567 | ||||||
Washington Prime Group, Inc. | 187 | 1,565 | ||||||
Horace Mann Educators Corp. | 41 | 1,550 | ||||||
Kemper Corp. | 40 | 1,544 | ||||||
Four Corners Property Trust, Inc. | 61 | 1,532 | ||||||
Waddell & Reed Financial, Inc. — Class A | 81 | 1,529 | ||||||
Select Income REIT | 63 | 1,514 | ||||||
Global Net Lease, Inc. | 67 | 1,490 | ||||||
Northwest Bancshares, Inc. | 95 | 1,483 | ||||||
Union Bankshares Corp. | 43 | 1,458 | ||||||
Chesapeake Lodging Trust | 59 | 1,444 | ||||||
Pacific Premier Bancorp, Inc.* | 39 | 1,439 | ||||||
CBL & Associates Properties, Inc.1 | 169 | 1,425 | ||||||
BofI Holding, Inc.*,1 | 60 | 1,423 | ||||||
Westamerica Bancorporation | 25 | 1,401 | ||||||
Artisan Partners Asset Management, Inc. — Class A | 45 | 1,382 | ||||||
Walker & Dunlop, Inc.* | 28 | 1,367 | ||||||
WSFS Financial Corp. | 30 | 1,361 | ||||||
Employers Holdings, Inc. | 32 | 1,354 | ||||||
Park National Corp. | 13 | 1,348 | ||||||
CenterState Banks, Inc. | 54 | 1,342 | ||||||
CareTrust REIT, Inc. | 72 | 1,335 | ||||||
Redwood Trust, Inc. | 77 | 1,312 | ||||||
Boston Private Financial Holdings, Inc. | 84 | 1,289 | ||||||
AmTrust Financial Services, Inc.1 | 85 | 1,287 | ||||||
HFF, Inc. — Class A | 37 | 1,286 | ||||||
Government Properties Income Trust | 70 | 1,282 | ||||||
CYS Investments, Inc. | 152 | 1,278 | ||||||
Berkshire Hills Bancorp, Inc. | 36 | 1,265 | ||||||
Kearny Financial Corp. | 85 | 1,262 | ||||||
First Commonwealth Financial Corp. | 97 | 1,230 | ||||||
S&T Bancorp, Inc. | 34 | 1,219 | ||||||
PennyMac Mortgage Investment Trust | 66 | 1,207 | ||||||
MBIA, Inc.* | 126 | 1,188 | ||||||
Tompkins Financial Corp. | 15 | 1,181 | ||||||
WisdomTree Investments, Inc.1 | 116 | 1,180 | ||||||
Heartland Financial USA, Inc. | 25 | 1,178 | ||||||
Franklin Street Properties Corp. | 105 | 1,163 | ||||||
Navigators Group, Inc. | 21 | 1,153 | ||||||
Agree Realty Corp. | 25 | 1,147 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 49 | 1,121 | ||||||
Capital Bank Financial Corp. — Class A | 29 | 1,105 | ||||||
Lakeland Financial Corp. | 24 | 1,101 | ||||||
Brookline Bancorp, Inc. | 75 | 1,095 | ||||||
AMERISAFE, Inc.1 | 19 | 1,082 | ||||||
Independent Bank Group, Inc. | 18 | 1,071 | ||||||
Third Point Reinsurance Ltd.* | 77 | 1,070 | ||||||
Seritage Growth Properties1 | 25 | 1,049 | ||||||
Aircastle Ltd. | 48 | 1,044 | ||||||
Monmouth Real Estate Investment Corp. | 69 | 1,038 | ||||||
Beneficial Bancorp, Inc. | 69 | 1,035 | ||||||
Universal Health Realty Income Trust | 13 | 1,034 | ||||||
Infinity Property & Casualty Corp. | 11 | 1,034 | ||||||
National General Holdings Corp. | 49 | 1,034 | ||||||
State Bank Financial Corp. | 38 | 1,031 | ||||||
Safety Insurance Group, Inc. | 15 | 1,025 | ||||||
Ramco-Gershenson Properties Trust | 79 | 1,019 | ||||||
National Storage Affiliates Trust | 44 | 1,017 | ||||||
RE/MAX Holdings, Inc. — Class A | 18 | 1,009 | ||||||
Capstead Mortgage Corp. | 96 | 1,001 | ||||||
FNFV Group* | 63 | 995 | ||||||
Southside Bancshares, Inc. | 28 | 994 | ||||||
City Holding Co. | 15 | 988 | ||||||
Sandy Spring Bancorp, Inc. | 24 | 976 | ||||||
First Interstate BancSystem, Inc. — Class A | 26 | 972 | ||||||
Moelis & Co. — Class A | 25 | 971 | ||||||
First Busey Corp. | 33 | 968 | ||||||
Seacoast Banking Corporation of Florida* | 40 | 964 | ||||||
Encore Capital Group, Inc.*,1 | 24 | 964 | ||||||
Parkway, Inc. | 42 | 961 | ||||||
Stewart Information Services Corp. | 21 | 953 | ||||||
Ladder Capital Corp. — Class A | 71 | 952 | ||||||
First BanCorp* | 164 | 950 | ||||||
Banc of California, Inc.1 | 44 | 946 | ||||||
Central Pacific Financial Corp. | 30 | 944 | ||||||
Nelnet, Inc. — Class A | 20 | 940 | ||||||
Enterprise Financial Services Corp. | 23 | 938 | ||||||
FelCor Lodging Trust, Inc. | 129 | 930 | ||||||
United Fire Group, Inc. | 21 | 925 | ||||||
ARMOUR Residential REIT, Inc. | 37 | 925 | ||||||
Hanmi Financial Corp. | 32 | 910 | ||||||
St. Joe Co.* | 48 | 900 | ||||||
KCG Holdings, Inc. — Class A* | 45 | 897 | ||||||
Tier REIT, Inc. | 48 | 887 | ||||||
OceanFirst Financial Corp. | 32 | 868 | ||||||
MTGE Investment Corp. | 46 | 865 | ||||||
Stock Yards Bancorp, Inc. | 22 | 856 | ||||||
Cohen & Steers, Inc. | 21 | 851 | ||||||
United Financial Bancorp, Inc. | 51 | 851 | ||||||
Lakeland Bancorp, Inc. | 45 | 848 | ||||||
Alexander’s, Inc. | 2 | 843 | ||||||
iStar, Inc.* | 70 | 843 | ||||||
Piper Jaffray Cos. | 14 | 839 | ||||||
MainSource Financial Group, Inc. | 25 | 838 | ||||||
National Bank Holdings Corp. — Class A | 25 | 828 | ||||||
New Senior Investment Group, Inc. | 82 | 824 | ||||||
InfraREIT, Inc. | 43 | 823 | ||||||
OM Asset Management plc | 55 | 817 | ||||||
Meridian Bancorp, Inc. | 48 | 811 | ||||||
Universal Insurance Holdings, Inc.1 | 32 | 806 | ||||||
HomeStreet, Inc.* | 29 | 803 | ||||||
Meta Financial Group, Inc. | 9 | 801 | ||||||
Maiden Holdings Ltd. | 72 | 799 | ||||||
Customers Bancorp, Inc.* | 28 | 792 | ||||||
Flushing Financial Corp. | 28 | 789 | ||||||
First Bancorp | 25 | 782 | ||||||
Pennsylvania Real Estate Investment Trust | 69 | 781 | ||||||
Ambac Financial Group, Inc.* | 45 | 781 | ||||||
Univest Corporation of Pennsylvania | 26 | 779 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 99 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Virtus Investment Partners, Inc. | 7 | $ | 777 | |||||
Easterly Government Properties, Inc. | 37 | 775 | ||||||
Washington Trust Bancorp, Inc. | 15 | 773 | ||||||
BancFirst Corp. | 8 | 773 | ||||||
Heritage Financial Corp. | 29 | 769 | ||||||
Houlihan Lokey, Inc. | 22 | 768 | ||||||
1st Source Corp. | 16 | 767 | ||||||
Chatham Lodging Trust | 38 | 763 | ||||||
Investors Real Estate Trust | 122 | 758 | ||||||
Northfield Bancorp, Inc. | 43 | 737 | ||||||
PHH Corp.* | 53 | 730 | ||||||
PJT Partners, Inc. — Class A | 18 | 724 | ||||||
Bryn Mawr Bank Corp. | 17 | 723 | ||||||
Cass Information Systems, Inc. | 11 | 722 | ||||||
Hersha Hospitality Trust | 39 | 722 | ||||||
TrustCo Bank Corp. NY | 93 | 721 | ||||||
Forestar Group, Inc.* | 42 | 720 | ||||||
German American Bancorp, Inc. | 21 | 716 | ||||||
James River Group Holdings Ltd. | 18 | 715 | ||||||
TriCo Bancshares | 20 | 703 | ||||||
Investment Technology Group, Inc. | 33 | 701 | ||||||
NorthStar Realty Europe Corp. | 55 | 697 | ||||||
New York Mortgage Trust, Inc. | 112 | 697 | ||||||
Preferred Bank/Los Angeles CA | 13 | 695 | ||||||
Independence Realty Trust, Inc. | 70 | 691 | ||||||
Oritani Financial Corp. | 40 | 682 | ||||||
Getty Realty Corp. | 27 | 678 | ||||||
ConnectOne Bancorp, Inc. | 30 | 677 | ||||||
CoBiz Financial, Inc. | 38 | 661 | ||||||
First of Long Island Corp. | 23 | 658 | ||||||
Community Trust Bancorp, Inc. | 15 | 656 | ||||||
Guaranty Bancorp | 24 | 653 | ||||||
NMI Holdings, Inc. — Class A* | 57 | 653 | ||||||
Flagstar Bancorp, Inc.* | 21 | 647 | ||||||
Altisource Residential Corp. | 50 | 647 | ||||||
Stonegate Bank | 14 | 647 | ||||||
First Potomac Realty Trust | 58 | 644 | ||||||
Camden National Corp. | 15 | 644 | ||||||
National Western Life Group, Inc. — Class A | 2 | 639 | ||||||
Saul Centers, Inc. | 11 | 638 | ||||||
Bridge Bancorp, Inc. | 19 | 633 | ||||||
Dime Community Bancshares, Inc. | 32 | 627 | ||||||
Greenlight Capital Re Ltd. — Class A* | 30 | 627 | ||||||
Park Sterling Corp. | 52 | 618 | ||||||
FBL Financial Group, Inc. — Class A | 10 | 615 | ||||||
CU Bancorp* | 17 | 615 | ||||||
Diamond Hill Investment Group, Inc. | 3 | 598 | ||||||
Urstadt Biddle Properties, Inc. — Class A | 30 | 594 | ||||||
Great Southern Bancorp, Inc. | 11 | 589 | ||||||
Armada Hoffler Properties, Inc. | 45 | 583 | ||||||
Federal Agricultural Mortgage Corp. — Class C | 9 | 582 | ||||||
Anworth Mortgage Asset Corp. | 95 | 571 | ||||||
QCR Holdings, Inc. | 12 | 569 | ||||||
INTL FCStone, Inc.* | 15 | 566 | ||||||
Pacific Continental Corp. | 22 | 562 | ||||||
TriState Capital Holdings, Inc.* | 22 | 554 | ||||||
Horizon Bancorp | 21 | 553 | ||||||
State National Companies, Inc. | 30 | 551 | ||||||
Gladstone Commercial Corp. | 25 | 545 | ||||||
Greenhill & Company, Inc. | 27 | 543 | ||||||
Peapack Gladstone Financial Corp. | 17 | 532 | ||||||
First Defiance Financial Corp. | 10 | 527 | ||||||
Kinsale Capital Group, Inc. | 14 | 522 | ||||||
First Financial Corp. | 11 | 520 | ||||||
Nationstar Mortgage Holdings, Inc.* | 29 | 519 | ||||||
Peoples Bancorp, Inc. | 16 | 514 | ||||||
AG Mortgage Investment Trust, Inc. | 28 | 512 | ||||||
Opus Bank | 21 | 508 | ||||||
Mercantile Bank Corp. | 16 | 504 | ||||||
Fidelity Southern Corp. | 22 | 503 | ||||||
Midland States Bancorp, Inc. | 15 | 503 | ||||||
Heritage Commerce Corp. | 36 | 496 | ||||||
Franklin Financial Network, Inc.* | 12 | 495 | ||||||
Nicolet Bankshares, Inc.* | 9 | 492 | ||||||
Trupanion, Inc.* | 22 | 492 | ||||||
Waterstone Financial, Inc. | 26 | 490 | ||||||
Enova International, Inc.* | 33 | 490 | ||||||
Preferred Apartment Communities, Inc. — Class A | 31 | 488 | ||||||
Live Oak Bancshares, Inc. | 20 | 484 | ||||||
UMH Properties, Inc. | 28 | 477 | ||||||
Ashford Hospitality Trust, Inc. | 77 | 468 | ||||||
First Community Bancshares, Inc. | 17 | 465 | ||||||
Bar Harbor Bankshares | 15 | 462 | ||||||
First Foundation, Inc.* | 28 | 460 | ||||||
Southwest Bancorp, Inc. | 18 | 460 | ||||||
Westwood Holdings Group, Inc. | 8 | 454 | ||||||
Republic First Bancorp, Inc.* | 49 | 453 | ||||||
Whitestone REIT — Class B | 37 | 453 | ||||||
Carolina Financial Corp. | 14 | 452 | ||||||
World Acceptance Corp.* | 6 | 449 | ||||||
CatchMark Timber Trust, Inc. — Class A | 39 | 443 | ||||||
Virtu Financial, Inc. — Class A1 | 25 | 441 | ||||||
National Commerce Corp.* | 11 | 435 | ||||||
Independent Bank Corp. | 20 | 435 | ||||||
OFG Bancorp | 43 | 430 | ||||||
Blue Hills Bancorp, Inc. | 24 | 430 | ||||||
NexPoint Residential Trust, Inc. | 17 | 423 | ||||||
Cowen, Inc. — Class A* | 26 | 423 | ||||||
Western Asset Mortgage Capital Corp. | 41 | 422 | ||||||
Marcus & Millichap, Inc.* | 16 | 422 | ||||||
Allegiance Bancshares, Inc.* | 11 | 421 | ||||||
Financial Institutions, Inc. | 14 | 417 | ||||||
HomeTrust Bancshares, Inc.* | 17 | 415 | ||||||
State Auto Financial Corp. | 16 | 412 | ||||||
Green Bancorp, Inc.* | 21 | 407 | ||||||
United Community Financial Corp. | 49 | 407 | ||||||
CorEnergy Infrastructure Trust, Inc. | 12 | 403 | ||||||
Cedar Realty Trust, Inc. | 83 | 403 | ||||||
Atlantic Capital Bancshares, Inc.* | 21 | 399 |
100 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Access National Corp. | 15 | $ | 398 | |||||
Bank Mutual Corp. | 42 | 384 | ||||||
City Office REIT, Inc. | 30 | 381 | ||||||
Arrow Financial Corp. | 12 | 380 | ||||||
West Bancorporation, Inc. | 16 | 378 | ||||||
HCI Group, Inc. | 8 | 376 | ||||||
People’s Utah Bancorp | 14 | 375 | ||||||
R1 RCM, Inc.* | 100 | 375 | ||||||
MidWestOne Financial Group, Inc. | 11 | 373 | ||||||
Bancorp, Inc.* | 49 | 371 | ||||||
Bank of Marin Bancorp | 6 | 369 | ||||||
Veritex Holdings, Inc.* | 14 | 369 | ||||||
Triumph Bancorp, Inc.* | 15 | 368 | ||||||
MedEquities Realty Trust, Inc. | 29 | 366 | ||||||
OneBeacon Insurance Group Ltd. — Class A | 20 | 365 | ||||||
Farmers National Banc Corp. | 25 | 363 | ||||||
CNB Financial Corp. | 15 | 360 | ||||||
First Connecticut Bancorp, Inc. | 14 | 359 | ||||||
Republic Bancorp, Inc. — Class A | 10 | 357 | ||||||
Ares Commercial Real Estate Corp. | 27 | 353 | ||||||
Clifton Bancorp, Inc. | 21 | 347 | ||||||
Citizens, Inc.*,1 | 47 | 347 | ||||||
WashingtonFirst Bankshares, Inc. | 10 | 345 | ||||||
First Mid-Illinois Bancshares, Inc. | 10 | 342 | ||||||
Fidelity & Guaranty Life | 11 | 342 | ||||||
RMR Group, Inc. — Class A | 7 | 341 | ||||||
Heritage Insurance Holdings, Inc. | 26 | 339 | ||||||
Equity Bancshares, Inc. — Class A* | 11 | 337 | ||||||
Old Second Bancorp, Inc. | 29 | 335 | ||||||
Community Healthcare Trust, Inc. | 13 | 333 | ||||||
One Liberty Properties, Inc. | 14 | 328 | ||||||
Dynex Capital, Inc. | 46 | 327 | ||||||
NewStar Financial, Inc. | 31 | 326 | ||||||
Orchid Island Capital, Inc. | 33 | 325 | ||||||
FRP Holdings, Inc.* | 7 | 323 | ||||||
Enterprise Bancorp, Inc. | 9 | 320 | ||||||
Arlington Asset Investment Corp. — Class A | 23 | 314 | ||||||
Global Indemnity Ltd* | 8 | 310 | ||||||
Hamilton Lane, Inc. — Class A | 14 | 308 | ||||||
PCSB Financial Corp.* | 18 | 307 | ||||||
Peoples Financial Services Corp. | 7 | 306 | ||||||
Resource Capital Corp. | 30 | 305 | ||||||
eHealth, Inc.* | 16 | 301 | ||||||
Bluerock Residential Growth REIT, Inc. | 23 | 296 | ||||||
American National Bankshares, Inc. | 8 | 296 | ||||||
Sierra Bancorp | 12 | 295 | ||||||
Farmland Partners, Inc. | 32 | 286 | ||||||
National Bankshares, Inc. | 7 | 286 | ||||||
Ocwen Financial Corp.* | 106 | 285 | ||||||
Western New England Bancorp, Inc. | 28 | 284 | ||||||
Citizens & Northern Corp. | 12 | 279 | ||||||
Ashford Hospitality Prime, Inc. | 27 | 278 | ||||||
Ames National Corp. | 9 | 275 | ||||||
Sun Bancorp, Inc. | 11 | 271 | ||||||
First Bancorp, Inc. | 10 | 271 | ||||||
Farmers Capital Bank Corp. | 7 | 270 | ||||||
United Insurance Holdings Corp. | 17 | 267 | ||||||
PennyMac Financial Services, Inc. — Class A* | 16 | 267 | ||||||
HarborOne Bancorp, Inc.* | 13 | 259 | ||||||
Health Insurance Innovations, Inc. — Class A* | 11 | 259 | ||||||
Home Bancorp, Inc. | 6 | 255 | ||||||
Old Line Bancshares, Inc. | 9 | 254 | ||||||
FB Financial Corp.* | 7 | 253 | ||||||
Sutherland Asset Management Corp. | 17 | 252 | ||||||
EMC Insurance Group, Inc. | 9 | 250 | ||||||
Territorial Bancorp, Inc. | 8 | 250 | ||||||
Ladenburg Thalmann Financial Services, Inc.* | 102 | 249 | ||||||
First Bancshares, Inc. | 9 | 248 | ||||||
Macatawa Bank Corp. | 26 | 248 | ||||||
Farmers & Merchants Bancorp Incorporated/Archbold OH | 4 | 248 | ||||||
WMIH Corp.* | 194 | 243 | ||||||
Summit Financial Group, Inc. | 11 | 242 | ||||||
Altisource Portfolio Solutions S.A.*,1 | 11 | 240 | ||||||
Safeguard Scientifics, Inc.* | 20 | 238 | ||||||
Regional Management Corp.* | 10 | 236 | ||||||
BSB Bancorp, Inc.* | 8 | 234 | ||||||
On Deck Capital, Inc.* | 49 | 228 | ||||||
Consolidated-Tomoka Land Co. | 4 | 228 | ||||||
Codorus Valley Bancorp, Inc. | 8 | 227 | ||||||
Marlin Business Services Corp. | 9 | 226 | ||||||
Capital City Bank Group, Inc. | 11 | 225 | ||||||
GAIN Capital Holdings, Inc. | 36 | 224 | ||||||
Great Ajax Corp. | 16 | 224 | ||||||
Southern First Bancshares, Inc.* | 6 | 222 | ||||||
Cherry Hill Mortgage Investment Corp. | 12 | 222 | ||||||
Central Valley Community Bancorp | 10 | 222 | ||||||
Baldwin & Lyons, Inc. — Class B | 9 | 221 | ||||||
Charter Financial Corp. | 12 | 216 | ||||||
KKR Real Estate Finance Trust, Inc. | 10 | 215 | ||||||
MutualFirst Financial, Inc. | 6 | 214 | ||||||
Shore Bancshares, Inc. | 13 | 214 | ||||||
Northrim BanCorp, Inc. | 7 | 213 | ||||||
Paragon Commercial Corp.* | 4 | 210 | ||||||
BankFinancial Corp. | 14 | 209 | ||||||
Civista Bancshares, Inc. | 10 | 209 | ||||||
Federated National Holding Co. | 13 | 208 | ||||||
Penns Woods Bancorp, Inc. | 5 | 206 | ||||||
RAIT Financial Trust | 92 | 201 | ||||||
Evans Bancorp, Inc. | 5 | 200 | ||||||
Bear State Financial, Inc. | 21 | 199 | ||||||
Jernigan Capital, Inc. | 9 | 198 | ||||||
Cadence BanCorp* | 9 | 197 | ||||||
Southern National Bancorp of Virginia, Inc. | 11 | 194 | ||||||
Southern Missouri Bancorp, Inc. | 6 | 194 | ||||||
Investors Title Co. | 1 | 193 | ||||||
Century Bancorp, Inc. — Class A | 3 | 191 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 101 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Union Bankshares, Inc. | 4 | $ | 190 | |||||
Bankwell Financial Group, Inc. | 6 | 187 | ||||||
Premier Financial Bancorp, Inc. | 9 | 185 | ||||||
Clipper Realty, Inc. | 15 | 185 | ||||||
First Business Financial Services, Inc. | 8 | 185 | ||||||
Investar Holding Corp. | 8 | 183 | ||||||
ACNB Corp. | 6 | 183 | ||||||
Hingham Institution for Savings | 1 | 182 | ||||||
First Community Financial Partners, Inc.* | 14 | 181 | ||||||
LCNB Corp. | 9 | 180 | ||||||
NI Holdings, Inc.* | 10 | 179 | ||||||
SI Financial Group, Inc. | 11 | 177 | ||||||
Bank of Commerce Holdings | 16 | 177 | ||||||
Stratus Properties, Inc. | 6 | 176 | ||||||
Tiptree, Inc. — Class A | 25 | 176 | ||||||
MBT Financial Corp. | 18 | 175 | ||||||
Howard Bancorp, Inc.* | 9 | 173 | ||||||
Community Bankers Trust Corp.* | 21 | 173 | ||||||
Pzena Investment Management, Inc. — Class A | 17 | 173 | ||||||
Associated Capital Group, Inc. — Class A | 5 | 170 | ||||||
Owens Realty Mortgage, Inc. | 10 | 170 | ||||||
Norwood Financial Corp. | 4 | 169 | ||||||
First Internet Bancorp | 6 | 168 | ||||||
SmartFinancial, Inc.* | 7 | 167 | ||||||
Commerce Union Bancshares, Inc. | 7 | 167 | ||||||
Impac Mortgage Holdings, Inc.* | 11 | 166 | ||||||
Oppenheimer Holdings, Inc. — Class A | 10 | 164 | ||||||
Atlas Financial Holdings, Inc.* | 11 | 164 | ||||||
Orrstown Financial Services, Inc. | 7 | 160 | ||||||
Capstar Financial Holdings, Inc.* | 9 | 160 | ||||||
Hallmark Financial Services, Inc.* | 14 | 158 | ||||||
First Northwest Bancorp* | 10 | 158 | ||||||
Xenith Bankshares, Inc.* | 5 | 155 | ||||||
Community Financial Corp. | 4 | 154 | ||||||
Timberland Bancorp, Inc. | 6 | 152 | ||||||
Middlefield Banc Corp. | 3 | 151 | ||||||
Sunshine Bancorp, Inc.* | 7 | 149 | ||||||
GAMCO Investors, Inc. — Class A | 5 | 148 | ||||||
Prudential Bancorp, Inc. | 8 | 145 | ||||||
Ohio Valley Banc Corp. | 4 | 144 | ||||||
Malvern Bancorp, Inc.* | 6 | 144 | ||||||
Independence Holding Co. | 7 | 143 | ||||||
Donegal Group, Inc. — Class A | 9 | 143 | ||||||
Northeast Bancorp | 7 | 142 | ||||||
Maui Land & Pineapple Company, Inc.* | 7 | 142 | ||||||
C&F Financial Corp. | 3 | 141 | ||||||
BCB Bancorp, Inc. | 9 | 138 | ||||||
Kingstone Companies, Inc. | 9 | 138 | ||||||
Unity Bancorp, Inc. | 8 | 138 | ||||||
FNB Bancorp | 5 | 137 | ||||||
Entegra Financial Corp.* | 6 | 137 | ||||||
Parke Bancorp, Inc. | 6 | 134 | ||||||
Global Medical REIT, Inc. | 15 | 134 | ||||||
ESSA Bancorp, Inc. | 9 | 132 | ||||||
Pacific Mercantile Bancorp* | 15 | 132 | ||||||
ASB Bancorp, Inc.* | 3 | 132 | ||||||
Old Point Financial Corp. | 4 | 132 | ||||||
Two River Bancorp | 7 | 130 | ||||||
First Financial Northwest, Inc. | 8 | 129 | ||||||
Trinity Place Holdings, Inc.* | 18 | 128 | ||||||
Peoples Bancorp of North Carolina, Inc. | 4 | 126 | ||||||
Riverview Bancorp, Inc. | 19 | 126 | ||||||
Chemung Financial Corp. | 3 | 123 | ||||||
United Security Bancshares | 13 | 120 | ||||||
County Bancorp, Inc. | 5 | 120 | ||||||
Ellington Residential Mortgage REIT | 8 | 117 | ||||||
Provident Financial Holdings, Inc. | 6 | 116 | ||||||
Crawford & Co. — Class B | 12 | 112 | ||||||
Elevate Credit, Inc.* | 14 | 111 | ||||||
Blue Capital Reinsurance Holdings Ltd. | 6 | 110 | ||||||
First Guaranty Bancshares, Inc. | 4 | 109 | ||||||
MidSouth Bancorp, Inc.1 | 9 | 106 | ||||||
DNB Financial Corp. | 3 | 103 | ||||||
Silvercrest Asset Management Group, Inc. — Class A | 7 | 94 | ||||||
Provident Bancorp, Inc.* | 4 | 90 | ||||||
Greene County Bancorp, Inc. | 3 | 82 | ||||||
Guaranty Bancshares, Inc. | 2 | 64 | ||||||
Transcontinental Realty Investors, Inc.* | 2 | 54 | ||||||
California First National Bancorp | 2 | 38 | ||||||
Fifth Street Asset Management, Inc. | 7 | 34 | ||||||
Medley Management, Inc. — Class A | 5 | 33 | ||||||
Griffin Industrial Realty, Inc. | 1 | 31 | ||||||
Oconee Federal Financial Corp. | 1 | 28 | ||||||
Total Financial | 499,715 | |||||||
Consumer, Non-cyclical - 5.6% | ||||||||
Kite Pharma, Inc.*,1 | 49 | 5,079 | ||||||
Catalent, Inc.* | 126 | 4,422 | ||||||
PAREXEL International Corp.* | 50 | 4,345 | ||||||
HealthSouth Corp. | 89 | 4,307 | ||||||
Bluebird Bio, Inc.* | 41 | 4,307 | ||||||
Masimo Corp.* | 45 | 4,102 | ||||||
NuVasive, Inc.* | 51 | 3,922 | ||||||
Exact Sciences Corp.* | 110 | 3,891 | ||||||
Grand Canyon Education, Inc.* | 47 | 3,684 | ||||||
Clovis Oncology, Inc.* | 39 | 3,651 | ||||||
Deluxe Corp. | 49 | 3,391 | ||||||
Integra LifeSciences Holdings Corp.* | 62 | 3,379 | ||||||
Healthcare Services Group, Inc. | 71 | 3,324 | ||||||
Chemed Corp. | 16 | 3,272 | ||||||
Incorporated Research Holdings, Inc. — Class A* | 55 | 3,218 | ||||||
Brink’s Co. | 46 | 3,082 | ||||||
Molina Healthcare, Inc.* | 44 | 3,044 | ||||||
LivaNova plc* | 49 | 2,998 | ||||||
Snyder’s-Lance, Inc. | 86 | 2,978 | ||||||
Insulet Corp.* | 58 | 2,976 | ||||||
PRA Health Sciences, Inc.* | 39 | 2,924 | ||||||
Nektar Therapeutics* | 148 | 2,892 | ||||||
Wright Medical Group N.V.* | 105 | 2,886 |
102 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Portola Pharmaceuticals, Inc.* | 50 | $ | 2,809 | |||||
Cantel Medical Corp. | 36 | 2,805 | ||||||
Prestige Brands Holdings, Inc.* | 53 | 2,799 | ||||||
Sage Therapeutics, Inc.* | 35 | 2,787 | ||||||
On Assignment, Inc.* | 51 | 2,762 | ||||||
Medicines Co.*,1 | 69 | 2,623 | ||||||
ICU Medical, Inc.* | 15 | 2,588 | ||||||
Darling Ingredients, Inc.* | 164 | 2,581 | ||||||
Neogen Corp.* | 37 | 2,557 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 21 | 2,549 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 135 | 2,549 | ||||||
Penumbra, Inc.* | 29 | 2,545 | ||||||
Helen of Troy Ltd.* | 27 | 2,541 | ||||||
Puma Biotechnology, Inc.* | 29 | 2,535 | ||||||
HealthEquity, Inc.* | 50 | 2,492 | ||||||
Ultragenyx Pharmaceutical, Inc.* | 40 | 2,484 | ||||||
Aaron’s, Inc. | 63 | 2,451 | ||||||
Cimpress N.V.* | 25 | 2,363 | ||||||
Globus Medical, Inc. — Class A* | 71 | 2,354 | ||||||
Adtalem Global Education, Inc.* | 62 | 2,353 | ||||||
B&G Foods, Inc. | 66 | 2,350 | ||||||
Lancaster Colony Corp. | 19 | 2,330 | ||||||
ABM Industries, Inc. | 56 | 2,325 | ||||||
Sanderson Farms, Inc.1 | 20 | 2,313 | ||||||
Nevro Corp.* | 28 | 2,084 | ||||||
Advisory Board Co.* | 40 | 2,060 | ||||||
Prothena Corporation plc* | 38 | 2,057 | ||||||
Haemonetics Corp.* | 52 | 2,053 | ||||||
Avis Budget Group, Inc.* | 75 | 2,045 | ||||||
Sotheby’s* | 38 | 2,039 | ||||||
Supernus Pharmaceuticals, Inc.* | 47 | 2,026 | ||||||
Vector Group Ltd. | 94 | 2,003 | ||||||
J&J Snack Foods Corp. | 15 | 1,981 | ||||||
Blueprint Medicines Corp.* | 39 | 1,976 | ||||||
Cambrex Corp.* | 33 | 1,972 | ||||||
Owens & Minor, Inc. | 61 | 1,964 | ||||||
Horizon Pharma plc* | 164 | 1,947 | ||||||
Performance Food Group Co.* | 71 | 1,945 | ||||||
FibroGen, Inc.* | 60 | 1,938 | ||||||
Matthews International Corp. — Class A | 31 | 1,899 | ||||||
Teladoc, Inc.*,1 | 54 | 1,874 | ||||||
United Natural Foods, Inc.* | 51 | 1,872 | ||||||
Merit Medical Systems, Inc.* | 49 | 1,869 | ||||||
Pacira Pharmaceuticals, Inc.* | 39 | 1,860 | ||||||
Halyard Health, Inc.* | 47 | 1,846 | ||||||
AMN Healthcare Services, Inc.* | 47 | 1,835 | ||||||
Amedisys, Inc.* | 29 | 1,821 | ||||||
Green Dot Corp. — Class A* | 46 | 1,772 | ||||||
Korn/Ferry International | 51 | 1,761 | ||||||
Sarepta Therapeutics, Inc.* | 52 | 1,753 | ||||||
Magellan Health, Inc.* | 24 | 1,750 | ||||||
Travelport Worldwide Ltd. | 124 | 1,706 | ||||||
Fresh Del Monte Produce, Inc. | 33 | 1,680 | ||||||
Radius Health, Inc.*,1 | 37 | 1,674 | ||||||
Theravance Biopharma, Inc.* | 42 | 1,673 | ||||||
Select Medical Holdings Corp.* | 108 | 1,658 | ||||||
Myriad Genetics, Inc.* | 64 | 1,654 | ||||||
Spectranetics Corp.* | 43 | 1,651 | ||||||
Avexis, Inc.* | 20 | 1,643 | ||||||
NxStage Medical, Inc.* | 65 | 1,630 | ||||||
Inogen, Inc.* | 17 | 1,622 | ||||||
Universal Corp. | 25 | 1,617 | ||||||
Loxo Oncology, Inc.* | 20 | 1,604 | ||||||
Aerie Pharmaceuticals, Inc.* | 30 | 1,577 | ||||||
Tenet Healthcare Corp.* | 81 | 1,567 | ||||||
NutriSystem, Inc. | 30 | 1,562 | ||||||
MiMedx Group, Inc.*,1 | 104 | 1,557 | ||||||
HMS Holdings Corp.* | 84 | 1,554 | ||||||
Dean Foods Co. | 91 | 1,547 | ||||||
WD-40 Co. | 14 | 1,545 | ||||||
Cardtronics plc — Class A* | 46 | 1,512 | ||||||
Tivity Health, Inc.* | 37 | 1,474 | ||||||
Amicus Therapeutics, Inc.* | 144 | 1,450 | ||||||
Array BioPharma, Inc.*,1 | 173 | 1,448 | ||||||
Bob Evans Farms, Inc. | 20 | 1,437 | ||||||
FTI Consulting, Inc.* | 41 | 1,433 | ||||||
Repligen Corp.* | 34 | 1,409 | ||||||
Halozyme Therapeutics, Inc.* | 109 | 1,397 | ||||||
CONMED Corp.1 | 27 | 1,375 | ||||||
Spark Therapeutics, Inc.* | 23 | 1,374 | ||||||
TriNet Group, Inc.* | 41 | 1,342 | ||||||
Integer Holdings Corp.* | 31 | 1,341 | ||||||
Monro Muffler Brake, Inc. | 32 | 1,336 | ||||||
Hostess Brands, Inc.* | 80 | 1,288 | ||||||
Varex Imaging Corp.* | 38 | 1,284 | ||||||
Insperity, Inc. | 18 | 1,278 | ||||||
ACCO Brands Corp.* | 108 | 1,258 | ||||||
Momenta Pharmaceuticals, Inc.* | 74 | 1,251 | ||||||
Cal-Maine Foods, Inc.*,1 | 31 | 1,228 | ||||||
Glaukos Corp.*,1 | 29 | 1,203 | ||||||
Natus Medical, Inc.* | 32 | 1,194 | ||||||
Impax Laboratories, Inc.* | 74 | 1,191 | ||||||
Boston Beer Company, Inc. — Class A* | 9 | 1,189 | ||||||
Paylocity Holding Corp.* | 26 | 1,175 | ||||||
Abaxis, Inc. | 22 | 1,166 | ||||||
Emergent BioSolutions, Inc.* | 34 | 1,153 | ||||||
Coca-Cola Bottling Company Consolidated | 5 | 1,144 | ||||||
National Beverage Corp. | 12 | 1,123 | ||||||
TrueBlue, Inc.* | 42 | 1,113 | ||||||
Dermira, Inc.* | 38 | 1,107 | ||||||
Calavo Growers, Inc. | 16 | 1,105 | ||||||
LHC Group, Inc.* | 16 | 1,086 | ||||||
Corcept Therapeutics, Inc.* | 91 | 1,074 | ||||||
Insmed, Inc.* | 62 | 1,064 | ||||||
EVERTEC, Inc. | 61 | 1,055 | ||||||
Central Garden & Pet Co. — Class A* | 35 | 1,051 | ||||||
Ensign Group, Inc. | 48 | 1,045 | ||||||
LendingTree, Inc.* | 6 | 1,033 | ||||||
Cardiovascular Systems, Inc.* | 32 | 1,031 | ||||||
Capella Education Co. | 12 | 1,027 | ||||||
Strayer Education, Inc. | 11 | 1,025 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 103 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Global Blood Therapeutics, Inc.* | 37 | $ | 1,012 | |||||
Synergy Pharmaceuticals, Inc.* | 227 | 1,010 | ||||||
Novocure Ltd.*,1 | 58 | 1,003 | ||||||
K2M Group Holdings, Inc.* | 41 | 999 | ||||||
SpartanNash Co. | 38 | 986 | ||||||
OraSure Technologies, Inc.* | 57 | 984 | ||||||
Kindred Healthcare, Inc. | 84 | 979 | ||||||
Innoviva, Inc.* | 76 | 973 | ||||||
Acceleron Pharma, Inc.* | 32 | 972 | ||||||
Huron Consulting Group, Inc.* | 22 | 950 | ||||||
Community Health Systems, Inc.* | 95 | 946 | ||||||
Viad Corp. | 20 | 945 | ||||||
Analogic Corp. | 13 | 944 | ||||||
Herc Holdings, Inc.* | 24 | 944 | ||||||
BioTelemetry, Inc.* | 28 | 937 | ||||||
Weight Watchers International, Inc.* | 28 | 936 | ||||||
Navigant Consulting, Inc.* | 47 | 929 | ||||||
Andersons, Inc. | 27 | 922 | ||||||
Immunomedics, Inc.* | 102 | 901 | ||||||
SUPERVALU, Inc.* | 269 | 885 | ||||||
RR Donnelley & Sons Co. | 70 | 878 | ||||||
Luminex Corp. | 41 | 866 | ||||||
ICF International, Inc.* | 18 | 848 | ||||||
Acorda Therapeutics, Inc.* | 43 | 847 | ||||||
Omeros Corp.* | 42 | 836 | ||||||
TherapeuticsMD, Inc.*,1 | 156 | 822 | ||||||
ZIOPHARM Oncology, Inc.*,1 | 132 | 821 | ||||||
Five Prime Therapeutics, Inc.* | 27 | 813 | ||||||
Xencor, Inc.* | 38 | 802 | ||||||
Almost Family, Inc.* | 13 | 801 | ||||||
McGrath RentCorp | 23 | 796 | ||||||
Orthofix International N.V.* | 17 | 790 | ||||||
PharMerica Corp.* | 30 | 788 | ||||||
AtriCure, Inc.* | 32 | 776 | ||||||
National Healthcare Corp. | 11 | 772 | ||||||
USANA Health Sciences, Inc.* | 12 | 769 | ||||||
CBIZ, Inc.* | 51 | 765 | ||||||
Quidel Corp.* | 28 | 760 | ||||||
Alarm.com Holdings, Inc.* | 20 | 753 | ||||||
Retrophin, Inc.* | 38 | 737 | ||||||
Intersect ENT, Inc.* | 26 | 727 | ||||||
US Physical Therapy, Inc. | 12 | 725 | ||||||
Aimmune Therapeutics, Inc.* | 35 | 720 | ||||||
Vanda Pharmaceuticals, Inc.* | 44 | 717 | ||||||
Accelerate Diagnostics, Inc.* | 26 | 711 | ||||||
Quad/Graphics, Inc. | 31 | 711 | ||||||
Diplomat Pharmacy, Inc.* | 48 | 710 | ||||||
Lexicon Pharmaceuticals, Inc.* | 43 | 707 | ||||||
LSC Communications, Inc. | 33 | 706 | ||||||
Phibro Animal Health Corp. — Class A | 19 | 704 | ||||||
Kelly Services, Inc. — Class A | 31 | 696 | ||||||
Axovant Sciences Ltd.* | 30 | 696 | ||||||
Esperion Therapeutics, Inc.* | 15 | 694 | ||||||
Anika Therapeutics, Inc.* | 14 | 691 | ||||||
Team, Inc.* | 29 | 680 | ||||||
MGP Ingredients, Inc. | 13 | 665 | ||||||
Meridian Bioscience, Inc. | 42 | 662 | ||||||
Career Education Corp.* | 68 | 653 | ||||||
Genomic Health, Inc.* | 20 | 651 | ||||||
AMAG Pharmaceuticals, Inc.* | 35 | 644 | ||||||
Atrion Corp. | 1 | 643 | ||||||
Amphastar Pharmaceuticals, Inc.* | 36 | 643 | ||||||
CryoLife, Inc.* | 32 | 638 | ||||||
Hertz Global Holdings, Inc.* | 55 | 633 | ||||||
Eagle Pharmaceuticals, Inc.* | 8 | 631 | ||||||
Laureate Education, Inc. — Class A* | 36 | 631 | ||||||
Achaogen, Inc.* | 29 | 630 | ||||||
RPX Corp.* | 45 | 628 | ||||||
Sangamo Therapeutics, Inc.* | 71 | 625 | ||||||
Heron Therapeutics, Inc.*,1 | 45 | 623 | ||||||
Inter Parfums, Inc. | 17 | 624 | ||||||
Epizyme, Inc.* | 41 | 619 | ||||||
Heska Corp.* | 6 | 612 | ||||||
Depomed, Inc.* | 57 | 612 | ||||||
K12, Inc.* | 34 | 609 | ||||||
PTC Therapeutics, Inc.* | 33 | 605 | ||||||
AngioDynamics, Inc.* | 37 | 600 | ||||||
ImmunoGen, Inc.* | 84 | 597 | ||||||
iRhythm Technologies, Inc.* | 14 | 595 | ||||||
Keryx Biopharmaceuticals, Inc.*,1 | 82 | 593 | ||||||
Tootsie Roll Industries, Inc. | 17 | 592 | ||||||
Spectrum Pharmaceuticals, Inc.* | 78 | 581 | ||||||
Revance Therapeutics, Inc.* | 22 | 581 | ||||||
Paratek Pharmaceuticals, Inc.* | 24 | 578 | ||||||
MacroGenics, Inc.* | 33 | 578 | ||||||
Versartis, Inc.* | 33 | 576 | ||||||
Enanta Pharmaceuticals, Inc.* | 16 | 576 | ||||||
SciClone Pharmaceuticals, Inc.* | 52 | 572 | ||||||
elf Beauty, Inc.*,1 | 21 | 571 | ||||||
Lannett Company, Inc.*,1 | 28 | 571 | ||||||
Editas Medicine, Inc.* | 34 | 571 | ||||||
John B Sanfilippo & Son, Inc. | 9 | 568 | ||||||
Flexion Therapeutics, Inc.* | 28 | 566 | ||||||
Albany Molecular Research, Inc.* | 26 | 564 | ||||||
Providence Service Corp.* | 11 | 557 | ||||||
Foundation Medicine, Inc.* | 14 | 557 | ||||||
REGENXBIO, Inc.* | 28 | 553 | ||||||
Arena Pharmaceuticals, Inc.* | 32 | 547 | ||||||
Coherus Biosciences, Inc.* | 38 | 545 | ||||||
Aclaris Therapeutics, Inc.* | 20 | 542 | ||||||
Alder Biopharmaceuticals, Inc.*,1 | 47 | 538 | ||||||
Achillion Pharmaceuticals, Inc.* | 117 | 537 | ||||||
La Jolla Pharmaceutical Co.* | 18 | 536 | ||||||
Akebia Therapeutics, Inc.* | 37 | 532 | ||||||
Otonomy, Inc.* | 28 | 528 | ||||||
Inovio Pharmaceuticals, Inc.* | 67 | 525 | ||||||
GenMark Diagnostics, Inc.* | 44 | 521 | ||||||
SP Plus Corp.* | 17 | 519 | ||||||
Ignyta, Inc.* | 50 | 518 | ||||||
Cytokinetics, Inc.* | 42 | 508 | ||||||
Rent-A-Center, Inc.1 | 43 | 504 | ||||||
NeoGenomics, Inc.* | 56 | 502 |
104 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
MoneyGram International, Inc.* | 29 | $ | 500 | |||||
TG Therapeutics, Inc.* | 49 | 492 | ||||||
Weis Markets, Inc. | 10 | 487 | ||||||
Progenics Pharmaceuticals, Inc.* | 71 | 482 | ||||||
Ennis, Inc. | 25 | 478 | ||||||
Dynavax Technologies Corp.* | 49 | 473 | ||||||
Landauer, Inc. | 9 | 471 | ||||||
LeMaitre Vascular, Inc. | 15 | 468 | ||||||
Aduro Biotech, Inc.* | 41 | 467 | ||||||
Ingles Markets, Inc. — Class A | 14 | 466 | ||||||
Everi Holdings, Inc.* | 64 | 466 | ||||||
Antares Pharma, Inc.* | 144 | 464 | ||||||
Calithera Biosciences, Inc.* | 31 | 460 | ||||||
Lantheus Holdings, Inc.* | 26 | 459 | ||||||
Medifast, Inc. | 11 | 456 | ||||||
Enzo Biochem, Inc.* | 41 | 453 | ||||||
AxoGen, Inc.* | 27 | 452 | ||||||
Cross Country Healthcare, Inc.* | 35 | 452 | ||||||
Kforce, Inc. | 23 | 451 | ||||||
CytomX Therapeutics, Inc.* | 29 | 450 | ||||||
BioCryst Pharmaceuticals, Inc.* | 80 | 445 | ||||||
STAAR Surgical Co.* | 41 | 443 | ||||||
Surgery Partners, Inc.* | 19 | 432 | ||||||
CorVel Corp.* | 9 | 427 | ||||||
Invacare Corp. | 32 | 422 | ||||||
Intra-Cellular Therapies, Inc.* | 34 | 422 | ||||||
Cara Therapeutics, Inc.*,1 | 27 | 416 | ||||||
Geron Corp.* | 149 | 413 | ||||||
Carriage Services, Inc. — Class A | 15 | 404 | ||||||
Barrett Business Services, Inc. | 7 | 401 | ||||||
Endologix, Inc.* | 82 | 399 | ||||||
Resources Connection, Inc. | 29 | 397 | ||||||
Omega Protein Corp. | 22 | 394 | ||||||
PDL BioPharma, Inc.* | 159 | 393 | ||||||
Forrester Research, Inc. | 10 | 392 | ||||||
Textainer Group Holdings Ltd.* | 27 | 392 | ||||||
Heidrick & Struggles International, Inc. | 18 | 392 | ||||||
Iovance Biotherapeutics, Inc.* | 53 | 390 | ||||||
Accuray, Inc.* | 82 | 390 | ||||||
Triple-S Management Corp. — Class B* | 23 | 389 | ||||||
Oxford Immunotec Global plc* | 23 | 387 | ||||||
Rockwell Medical, Inc.* | 48 | 381 | ||||||
Capital Senior Living Corp.* | 25 | 380 | ||||||
American Public Education, Inc.* | 16 | 378 | ||||||
Teligent, Inc.* | 41 | 375 | ||||||
ANI Pharmaceuticals, Inc.* | 8 | 374 | ||||||
Invitae Corp.* | 39 | 373 | ||||||
Hackett Group, Inc. | 24 | 372 | ||||||
Surmodics, Inc.* | 13 | 366 | ||||||
Atara Biotherapeutics, Inc.* | 26 | 364 | ||||||
Zogenix, Inc.* | 25 | 363 | ||||||
Vectrus, Inc.* | 11 | 356 | ||||||
CAI International, Inc.* | 15 | 354 | ||||||
Emerald Expositions Events, Inc. | 16 | 350 | ||||||
Central Garden & Pet Co.* | 11 | 350 | ||||||
Rigel Pharmaceuticals, Inc.* | 124 | 339 | ||||||
Cutera, Inc.* | 13 | 337 | ||||||
Natera, Inc.* | 31 | 337 | ||||||
Nutraceutical International Corp. | 8 | 333 | ||||||
Exactech, Inc.*,1 | 11 | 328 | ||||||
SEACOR Marine Holdings, Inc.* | 16 | 326 | ||||||
Novavax, Inc.* | 282 | 324 | ||||||
RTI Surgical, Inc.* | 55 | 322 | ||||||
Amplify Snack Brands, Inc.*,1 | 33 | 318 | ||||||
Primo Water Corp.* | 25 | 318 | ||||||
Bellicum Pharmaceuticals, Inc.* | 27 | 315 | ||||||
BioScrip, Inc.* | 116 | 315 | ||||||
Pulse Biosciences, Inc.* | 9 | 311 | ||||||
Tejon Ranch Co.* | 15 | 310 | ||||||
Karyopharm Therapeutics, Inc.* | 34 | 308 | ||||||
Insys Therapeutics, Inc.*,1 | 24 | 304 | ||||||
Pacific Biosciences of California, Inc.* | 84 | 299 | ||||||
Celldex Therapeutics, Inc.* | 121 | 299 | ||||||
NanoString Technologies, Inc.* | 18 | 298 | ||||||
BioSpecifics Technologies Corp.* | 6 | 297 | ||||||
Aratana Therapeutics, Inc.* | 41 | 296 | ||||||
ServiceSource International, Inc.* | 76 | 295 | ||||||
CRA International, Inc. | 8 | 291 | ||||||
Agenus, Inc.* | 74 | 289 | ||||||
Assembly Biosciences, Inc.* | 14 | 289 | ||||||
Collegium Pharmaceutical, Inc.*,1 | 23 | 288 | ||||||
Audentes Therapeutics, Inc.* | 15 | 287 | ||||||
RadNet, Inc.* | 37 | 287 | ||||||
Reata Pharmaceuticals, Inc. — Class A* | 9 | 285 | ||||||
Revlon, Inc. — Class A* | 12 | 284 | ||||||
Limoneira Co. | 12 | 284 | ||||||
Cadiz, Inc.*,1 | 21 | 284 | ||||||
Civitas Solutions, Inc.* | 16 | 280 | ||||||
Corbus Pharmaceuticals Holdings, Inc.* | 44 | 277 | ||||||
Farmer Brothers Co.* | 9 | 272 | ||||||
Tetraphase Pharmaceuticals, Inc.* | 38 | 271 | ||||||
Bridgepoint Education, Inc.*,1 | 18 | 266 | ||||||
Adamas Pharmaceuticals, Inc.* | 15 | 262 | ||||||
Addus HomeCare Corp.* | 7 | 260 | ||||||
Organovo Holdings, Inc.* | 99 | 260 | ||||||
B. Riley Financial, Inc. | 14 | 260 | ||||||
Chefs’ Warehouse, Inc.* | 20 | 260 | ||||||
Cerus Corp.* | 103 | 259 | ||||||
Tactile Systems Technology, Inc.* | 9 | 257 | ||||||
Chimerix, Inc.* | 47 | 256 | ||||||
Sucampo Pharmaceuticals, Inc. — Class A* | 24 | 252 | ||||||
Concert Pharmaceuticals, Inc.* | 18 | 251 | ||||||
Biohaven Pharmaceutical Holding Company Ltd.* | 10 | 250 | ||||||
Great Lakes Dredge & Dock Corp.* | 57 | 245 | ||||||
Willdan Group, Inc.* | 8 | 244 | ||||||
National Research Corp. — Class A | 9 | 242 | ||||||
Advaxis, Inc.* | 37 | 240 | ||||||
BioTime, Inc.* | 76 | 239 | ||||||
Selecta Biosciences, Inc.* | 12 | 238 | ||||||
CSS Industries, Inc. | 9 | 235 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 105 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
NantKwest, Inc.* | 31 | $ | 235 | |||||
Seres Therapeutics, Inc.* | 20 | 226 | ||||||
CardConnect Corp.* | 15 | 226 | ||||||
Ra Pharmaceuticals, Inc.* | 12 | 225 | ||||||
ChemoCentryx, Inc.* | 24 | 225 | ||||||
Intellia Therapeutics, Inc.* | 14 | 224 | ||||||
WaVe Life Sciences Ltd.* | 12 | 223 | ||||||
MyoKardia, Inc.* | 17 | 223 | ||||||
Minerva Neurosciences, Inc.* | 25 | 221 | ||||||
Cempra, Inc.* | 48 | 221 | ||||||
Curis, Inc.* | 116 | 219 | ||||||
Craft Brew Alliance, Inc.* | 13 | 219 | ||||||
Seneca Foods Corp. — Class A* | 7 | 217 | ||||||
Utah Medical Products, Inc. | 3 | 217 | ||||||
Durect Corp.* | 137 | 214 | ||||||
Ocular Therapeutix, Inc.* | 23 | 213 | ||||||
Stemline Therapeutics, Inc.* | 23 | 212 | ||||||
Smart & Final Stores, Inc.* | 23 | 209 | ||||||
Syros Pharmaceuticals, Inc.* | 13 | 209 | ||||||
Village Super Market, Inc. — Class A | 8 | 207 | ||||||
Edge Therapeutics, Inc.* | 20 | 205 | ||||||
Acacia Research Corp.* | 50 | 205 | ||||||
Medpace Holdings, Inc.* | 7 | 203 | ||||||
Veracyte, Inc.* | 24 | 200 | ||||||
Entellus Medical, Inc.* | 12 | 199 | ||||||
Catalyst Pharmaceuticals, Inc.* | 72 | 199 | ||||||
Quotient Ltd.* | 27 | 199 | ||||||
Anavex Life Sciences Corp.* | 37 | 197 | ||||||
Care.com, Inc.* | 13 | 196 | ||||||
Natural Health Trends Corp. | 7 | 195 | ||||||
Franklin Covey Co.* | 10 | 193 | ||||||
Clearside Biomedical, Inc.* | 21 | 191 | ||||||
ViewRay, Inc.* | 29 | 188 | ||||||
Zynerba Pharmaceuticals, Inc.* | 11 | 187 | ||||||
Idera Pharmaceuticals, Inc.* | 108 | 186 | ||||||
American Renal Associates Holdings, Inc.* | 10 | 186 | ||||||
Kindred Biosciences, Inc.* | 21 | 181 | ||||||
Collectors Universe, Inc. | 7 | 174 | ||||||
MediciNova, Inc.* | 33 | 174 | ||||||
Pieris Pharmaceuticals, Inc.* | 34 | 172 | ||||||
ConforMIS, Inc.* | 40 | 172 | ||||||
Ascent Capital Group, Inc. — Class A* | 11 | 169 | ||||||
Ardelyx, Inc.* | 33 | 168 | ||||||
Miragen Therapeutics, Inc.* | 13 | 168 | ||||||
FONAR Corp.* | 6 | 167 | ||||||
ARC Document Solutions, Inc.* | 40 | 166 | ||||||
Immune Design Corp.* | 17 | 166 | ||||||
NewLink Genetics Corp.* | 22 | 162 | ||||||
Merrimack Pharmaceuticals, Inc. | 128 | 159 | ||||||
Strongbridge Biopharma plc* | 22 | 157 | ||||||
Fortress Biotech, Inc.* | 33 | 157 | ||||||
Athersys, Inc.* | 102 | 154 | ||||||
Abeona Therapeutics, Inc.* | 24 | 154 | ||||||
Neff Corp. — Class A* | 8 | 152 | ||||||
Genocea Biosciences, Inc.* | 29 | 151 | ||||||
Conatus Pharmaceuticals, Inc.* | 26 | 150 | ||||||
Corium International, Inc.* | 20 | 149 | ||||||
Nature’s Sunshine Products, Inc. | 11 | 146 | ||||||
Neos Therapeutics, Inc.* | 19 | 139 | ||||||
Novelion Therapeutics, Inc.* | 15 | 138 | ||||||
Sientra, Inc.* | 14 | 136 | ||||||
Voyager Therapeutics, Inc.* | 15 | 134 | ||||||
Information Services Group, Inc.* | 32 | 132 | ||||||
Kura Oncology, Inc.* | 14 | 130 | ||||||
Nymox Pharmaceutical Corp.* | 29 | 128 | ||||||
Trevena, Inc.* | 55 | 127 | ||||||
Cascadian Therapeutics, Inc.* | 34 | 126 | ||||||
Syndax Pharmaceuticals, Inc.* | 9 | 126 | ||||||
Fate Therapeutics, Inc.* | 38 | 123 | ||||||
BG Staffing, Inc. | 7 | 122 | ||||||
AnaptysBio, Inc.* | 5 | 120 | ||||||
Viveve Medical, Inc.* | 15 | 108 | ||||||
Protagonist Therapeutics, Inc.* | 9 | 102 | ||||||
Recro Pharma, Inc.* | 14 | 98 | ||||||
Jounce Therapeutics, Inc.* | 7 | 98 | ||||||
Corvus Pharmaceuticals, Inc.* | 8 | 97 | ||||||
Tocagen, Inc.* | 8 | 96 | ||||||
Asterias Biotherapeutics, Inc.* | 27 | 96 | ||||||
VBI Vaccines, Inc.* | 22 | 96 | ||||||
Alico, Inc. | 3 | 94 | ||||||
Liberty Tax, Inc. | 7 | 91 | ||||||
Matinas BioPharma Holdings, Inc.* | 53 | 90 | ||||||
XBiotech, Inc.* | 19 | 89 | ||||||
Obalon Therapeutics, Inc.* | 9 | 89 | ||||||
Pendrell Corp.* | 12 | 87 | ||||||
Turning Point Brands, Inc.* | 5 | 77 | ||||||
AAC Holdings, Inc.* | 11 | 76 | ||||||
Natural Grocers by Vitamin Cottage, Inc.* | 9 | 74 | ||||||
Cambium Learning Group, Inc.* | 14 | 71 | ||||||
Madrigal Pharmaceuticals, Inc.* | 4 | 65 | ||||||
Genesis Healthcare, Inc.* | 37 | 64 | ||||||
CPI Card Group, Inc. | 20 | 57 | ||||||
Ovid therapeutics, Inc.* | 5 | 52 | ||||||
Lifeway Foods, Inc.* | 5 | 47 | ||||||
vTv Therapeutics, Inc. — Class A* | 7 | 35 | ||||||
Oncocyte Corp.* | 4 | 21 | ||||||
Total Consumer, Non-cyclical | 408,412 | |||||||
Industrial - 3.7% | ||||||||
Curtiss-Wright Corp. | 44 | 4,039 | ||||||
EMCOR Group, Inc. | 59 | 3,856 | ||||||
Littelfuse, Inc. | 23 | 3,795 | ||||||
Woodward, Inc. | 53 | 3,581 | ||||||
Tech Data Corp.* | 35 | 3,535 | ||||||
Louisiana-Pacific Corp.* | 146 | 3,519 | ||||||
SYNNEX Corp. | 29 | 3,479 | ||||||
EnerSys | 44 | 3,188 | ||||||
Belden, Inc. | 42 | 3,168 | ||||||
Summit Materials, Inc. — Class A* | 107 | 3,089 | ||||||
John Bean Technologies Corp. | 31 | 3,037 | ||||||
MasTec, Inc.* | 67 | 3,025 | ||||||
Trinseo S.A. | 44 | 3,023 | ||||||
Kennametal, Inc. | 80 | 2,994 |
106 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Barnes Group, Inc. | 50 | $ | 2,927 | |||||
Sanmina Corp.* | 74 | 2,819 | ||||||
Dycom Industries, Inc.* | 31 | 2,775 | ||||||
Knight Transportation, Inc. | 73 | 2,705 | ||||||
MSA Safety, Inc. | 33 | 2,679 | ||||||
Tetra Tech, Inc. | 57 | 2,608 | ||||||
KLX, Inc.* | 52 | 2,600 | ||||||
Advanced Energy Industries, Inc.* | 40 | 2,588 | ||||||
GATX Corp. | 39 | 2,506 | ||||||
Esterline Technologies Corp.* | 26 | 2,465 | ||||||
Rexnord Corp.* | 104 | 2,417 | ||||||
Cree, Inc.* | 98 | 2,416 | ||||||
RBC Bearings, Inc.*,1 | 23 | 2,340 | ||||||
Itron, Inc.* | 34 | 2,304 | ||||||
Moog, Inc. — Class A* | 32 | 2,295 | ||||||
Hillenbrand, Inc. | 63 | 2,274 | ||||||
Masonite International Corp.* | 30 | 2,265 | ||||||
Worthington Industries, Inc. | 45 | 2,260 | ||||||
Applied Industrial Technologies, Inc. | 38 | 2,244 | ||||||
Vishay Intertechnology, Inc. | 135 | 2,241 | ||||||
Generac Holdings, Inc.* | 62 | 2,240 | ||||||
KBR, Inc. | 144 | 2,192 | ||||||
Golar LNG Ltd. | 96 | 2,136 | ||||||
II-VI, Inc.* | 61 | 2,092 | ||||||
Trex Company, Inc.* | 30 | 2,030 | ||||||
Chicago Bridge & Iron Company N.V.1 | 101 | 1,993 | ||||||
TopBuild Corp.* | 37 | 1,964 | ||||||
Rogers Corp.* | 18 | 1,955 | ||||||
Swift Transportation Co. — Class A*,1 | 73 | 1,935 | ||||||
Granite Construction, Inc. | 40 | 1,930 | ||||||
Franklin Electric Company, Inc. | 46 | 1,904 | ||||||
Mueller Water Products, Inc. — Class A | 154 | 1,799 | ||||||
KapStone Paper and Packaging Corp. | 87 | 1,796 | ||||||
Simpson Manufacturing Company, Inc. | 41 | 1,792 | ||||||
Plexus Corp.* | 34 | 1,787 | ||||||
Watts Water Technologies, Inc. — Class A | 28 | 1,770 | ||||||
Universal Forest Products, Inc. | 20 | 1,746 | ||||||
Mueller Industries, Inc. | 57 | 1,736 | ||||||
Proto Labs, Inc.* | 25 | 1,681 | ||||||
Benchmark Electronics, Inc.* | 50 | 1,615 | ||||||
TTM Technologies, Inc.* | 93 | 1,614 | ||||||
Forward Air Corp. | 30 | 1,598 | ||||||
Brady Corp. — Class A | 47 | 1,593 | ||||||
Apogee Enterprises, Inc. | 28 | 1,592 | ||||||
ESCO Technologies, Inc. | 26 | 1,551 | ||||||
Albany International Corp. — Class A | 29 | 1,549 | ||||||
Triumph Group, Inc. | 49 | 1,548 | ||||||
Covanta Holding Corp. | 117 | 1,544 | ||||||
Fabrinet* | 36 | 1,536 | ||||||
Exponent, Inc. | 26 | 1,516 | ||||||
SPX FLOW, Inc.* | 41 | 1,512 | ||||||
AAON, Inc. | 41 | 1,511 | ||||||
EnPro Industries, Inc. | 21 | 1,499 | ||||||
Knowles Corp.* | 88 | 1,489 | ||||||
Builders FirstSource, Inc.* | 97 | 1,486 | ||||||
Methode Electronics, Inc. | 36 | 1,483 | ||||||
Actuant Corp. — Class A | 60 | 1,476 | ||||||
AZZ, Inc. | 26 | 1,451 | ||||||
Greif, Inc. — Class A | 26 | 1,450 | ||||||
Aerojet Rocketdyne Holdings, Inc.* | 69 | 1,435 | ||||||
Werner Enterprises, Inc. | 48 | 1,409 | ||||||
Comfort Systems USA, Inc. | 37 | 1,373 | ||||||
Kaman Corp. | 27 | 1,346 | ||||||
Tennant Co. | 18 | 1,328 | ||||||
Axon Enterprise, Inc.*,1 | 52 | 1,307 | ||||||
Harsco Corp.* | 81 | 1,304 | ||||||
Matson, Inc. | 43 | 1,292 | ||||||
Saia, Inc.* | 25 | 1,283 | ||||||
OSI Systems, Inc.* | 17 | 1,278 | ||||||
Hub Group, Inc. — Class A* | 33 | 1,266 | ||||||
Greenbrier Companies, Inc. | 27 | 1,249 | ||||||
American Outdoor Brands Corp.* | 56 | 1,241 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 23 | 1,199 | ||||||
Raven Industries, Inc. | 36 | 1,199 | ||||||
Boise Cascade Co.* | 39 | 1,186 | ||||||
Standex International Corp. | 13 | 1,179 | ||||||
US Concrete, Inc.*,1 | 15 | 1,178 | ||||||
Astec Industries, Inc. | 21 | 1,165 | ||||||
Patrick Industries, Inc.* | 16 | 1,166 | ||||||
Cubic Corp. | 25 | 1,158 | ||||||
Altra Industrial Motion Corp. | 29 | 1,154 | ||||||
Novanta, Inc.* | 32 | 1,152 | ||||||
Multi-Color Corp. | 14 | 1,142 | ||||||
Gibraltar Industries, Inc.* | 32 | 1,141 | ||||||
Air Transport Services Group, Inc.* | 52 | 1,133 | ||||||
Badger Meter, Inc. | 28 | 1,116 | ||||||
AAR Corp. | 32 | 1,112 | ||||||
Applied Optoelectronics, Inc.*,1 | 18 | 1,112 | ||||||
US Ecology, Inc. | 22 | 1,111 | ||||||
SPX Corp.* | 43 | 1,082 | ||||||
Chart Industries, Inc.* | 31 | 1,077 | ||||||
Tutor Perini Corp.* | 37 | 1,064 | ||||||
Sturm Ruger & Company, Inc. | 17 | 1,057 | ||||||
Federal Signal Corp. | 59 | 1,024 | ||||||
Sun Hydraulics Corp. | 24 | 1,024 | ||||||
Briggs & Stratton Corp. | 42 | 1,012 | ||||||
CIRCOR International, Inc. | 17 | 1,009 | ||||||
Heartland Express, Inc. | 47 | 979 | ||||||
Primoris Services Corp. | 39 | 973 | ||||||
TriMas Corp.* | 46 | 959 | ||||||
Continental Building Products, Inc.* | 40 | 932 | ||||||
Fitbit, Inc. — Class A*,1 | 175 | 929 | ||||||
Argan, Inc. | 15 | 900 | ||||||
Lindsay Corp. | 10 | 893 | ||||||
Lydall, Inc.* | 17 | 879 | ||||||
GoPro, Inc. — Class A*,1 | 107 | 870 | ||||||
Kratos Defense & Security Solutions, Inc.* | 72 | 855 | ||||||
Encore Wire Corp. | 20 | 854 | ||||||
Kadant, Inc. | 11 | 827 | ||||||
Alamo Group, Inc. | 9 | 817 | ||||||
Ship Finance International Ltd. | 60 | 816 | ||||||
Caesarstone Ltd.* | 23 | 806 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 107 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Aerovironment, Inc.* | 21 | $ | 802 | |||||
General Cable Corp. | 49 | 801 | ||||||
Milacron Holdings Corp.* | 45 | 792 | ||||||
Manitowoc Company, Inc.* | 128 | 769 | ||||||
AVX Corp. | 46 | 752 | ||||||
Chase Corp. | 7 | 747 | ||||||
JELD-WEN Holding, Inc.* | 23 | 747 | ||||||
Atkore International Group, Inc.* | 33 | 744 | ||||||
NN, Inc. | 27 | 741 | ||||||
Schneider National, Inc. — Class B | 33 | 738 | ||||||
Aegion Corp. — Class A* | 33 | 722 | ||||||
Quanex Building Products Corp. | 34 | 719 | ||||||
Advanced Drainage Systems, Inc. | 35 | 704 | ||||||
Hyster-Yale Materials Handling, Inc. | 10 | 703 | ||||||
CTS Corp. | 32 | 691 | ||||||
Global Brass & Copper Holdings, Inc. | 22 | 672 | ||||||
NCI Building Systems, Inc.* | 40 | 668 | ||||||
Scorpio Tankers, Inc. | 165 | 655 | ||||||
FARO Technologies, Inc.* | 17 | 643 | ||||||
Casella Waste Systems, Inc. — Class A* | 39 | 640 | ||||||
Astronics Corp.* | 21 | 640 | ||||||
Griffon Corp. | 29 | 637 | ||||||
Nordic American Tankers Ltd.1 | 100 | 634 | ||||||
Marten Transport Ltd. | 23 | 630 | ||||||
International Seaways, Inc.* | 29 | 628 | ||||||
GasLog Ltd. | 41 | 625 | ||||||
TimkenSteel Corp.* | 40 | 615 | ||||||
PGT Innovations, Inc.* | 48 | 614 | ||||||
Insteel Industries, Inc. | 18 | 593 | ||||||
KEMET Corp.* | 46 | 589 | ||||||
Babcock & Wilcox Enterprises, Inc.* | 49 | 576 | ||||||
Advanced Disposal Services, Inc.* | 25 | 568 | ||||||
SunPower Corp. — Class A*,1 | 60 | 560 | ||||||
Echo Global Logistics, Inc.* | 28 | 557 | ||||||
National Presto Industries, Inc. | 5 | 553 | ||||||
DXP Enterprises, Inc.* | 16 | 552 | ||||||
ArcBest Corp. | 26 | 536 | ||||||
MYR Group, Inc.* | 16 | 496 | ||||||
Kimball Electronics, Inc.* | 27 | 487 | ||||||
Columbus McKinnon Corp. | 19 | 483 | ||||||
Control4 Corp.* | 24 | 471 | ||||||
Gorman-Rupp Co. | 18 | 458 | ||||||
Frontline Ltd. | 77 | 441 | ||||||
Haynes International, Inc. | 12 | 436 | ||||||
Mesa Laboratories, Inc. | 3 | 430 | ||||||
Scorpio Bulkers, Inc.*,1 | 59 | 419 | ||||||
Stoneridge, Inc.* | 27 | 416 | ||||||
Armstrong Flooring, Inc.* | 23 | 413 | ||||||
Myers Industries, Inc. | 23 | 413 | ||||||
VSE Corp. | 9 | 405 | ||||||
Tredegar Corp. | 26 | 397 | ||||||
Ply Gem Holdings, Inc.* | 22 | 395 | ||||||
NVE Corp. | 5 | 385 | ||||||
Mistras Group, Inc.* | 17 | 373 | ||||||
YRC Worldwide, Inc.* | 33 | 367 | ||||||
Greif, Inc. — Class B | 6 | 362 | ||||||
Teekay Corp. | 54 | 360 | ||||||
Park Electrochemical Corp. | 19 | 350 | ||||||
Ducommun, Inc.* | 11 | 347 | ||||||
GP Strategies Corp.* | 13 | 343 | ||||||
Park-Ohio Holdings Corp. | 9 | 343 | ||||||
NV5 Global, Inc.* | 8 | 340 | ||||||
Sterling Construction Company, Inc.* | 26 | 340 | ||||||
DHT Holdings, Inc. | 77 | 320 | ||||||
Hudson Technologies, Inc.* | 37 | 313 | ||||||
Energous Corp.* | 19 | 309 | ||||||
Vicor Corp.* | 17 | 304 | ||||||
Energy Recovery, Inc.* | 36 | 298 | ||||||
Powell Industries, Inc. | 9 | 288 | ||||||
CECO Environmental Corp. | 30 | 275 | ||||||
Costamare, Inc. | 37 | 270 | ||||||
American Railcar Industries, Inc. | 7 | 268 | ||||||
Gener8 Maritime, Inc.* | 47 | 267 | ||||||
Electro Scientific Industries, Inc.* | 32 | 264 | ||||||
Bel Fuse, Inc. — Class B | 10 | 247 | ||||||
Ichor Holdings Ltd.* | 12 | 242 | ||||||
Daseke, Inc.* | 21 | 234 | ||||||
ZAGG, Inc.* | 27 | 234 | ||||||
Teekay Tankers Ltd. — Class A | 122 | 229 | ||||||
Ardmore Shipping Corp.1 | 28 | 228 | ||||||
LSB Industries, Inc.* | 22 | 227 | ||||||
Roadrunner Transportation Systems, Inc.* | 31 | 225 | ||||||
Heritage-Crystal Clean, Inc.* | 14 | 223 | ||||||
Sparton Corp.* | 10 | 220 | ||||||
LSI Industries, Inc. | 24 | 217 | ||||||
Aqua Metals, Inc.* | 17 | 213 | ||||||
Intevac, Inc.* | 19 | 211 | ||||||
Covenant Transportation Group, Inc. — Class A* | 12 | 210 | ||||||
FreightCar America, Inc. | 12 | 209 | ||||||
Hurco Companies, Inc. | 6 | 209 | ||||||
Orion Group Holdings, Inc.* | 27 | 202 | ||||||
Radiant Logistics, Inc.* | 37 | 199 | ||||||
Graham Corp. | 10 | 197 | ||||||
Omega Flex, Inc. | 3 | 193 | ||||||
Advanced Emissions Solutions, Inc. | 21 | 192 | ||||||
Allied Motion Technologies, Inc. | 7 | 191 | ||||||
AquaVenture Holdings Ltd.* | 12 | 183 | ||||||
Eastern Co. | 6 | 180 | ||||||
Eagle Bulk Shipping, Inc.* | 38 | 180 | ||||||
Hill International, Inc.* | 34 | 177 | ||||||
Olympic Steel, Inc. | 9 | 175 | ||||||
Vishay Precision Group, Inc.* | 10 | 173 | ||||||
LB Foster Co. — Class A* | 8 | 172 | ||||||
UFP Technologies, Inc.* | 6 | 170 | ||||||
IES Holdings, Inc.* | 9 | 163 | ||||||
Northwest Pipe Co.* | 10 | 163 | ||||||
Layne Christensen Co.* | 18 | 158 | ||||||
Forterra, Inc.* | 19 | �� | 156 | |||||
Dorian LPG Ltd.* | 19 | 155 | ||||||
Core Molding Technologies, Inc.* | 7 | 151 | ||||||
Iteris, Inc.* | 24 | 149 |
108 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Hardinge, Inc. | 12 | $ | 149 | |||||
Twin Disc, Inc.* | 9 | 145 | ||||||
CyberOptics Corp.* | 7 | 145 | ||||||
MicroVision, Inc.* | 68 | 144 | ||||||
Lawson Products, Inc.* | 6 | 133 | ||||||
Ampco-Pittsburgh Corp. | 9 | 133 | ||||||
Pure Cycle Corp.* | 17 | 132 | ||||||
Gencor Industries, Inc.* | 8 | 130 | ||||||
Navios Maritime Holdings, Inc.* | 90 | 123 | ||||||
Navios Maritime Acquisition Corp. | 83 | 122 | ||||||
Universal Logistics Holdings, Inc. | 8 | 120 | ||||||
Overseas Shipholding Group, Inc. — Class A* | 45 | 120 | ||||||
Fluidigm Corp.* | 29 | 117 | ||||||
Napco Security Technologies, Inc.* | 12 | 113 | ||||||
Safe Bulkers, Inc.*,1 | 48 | 110 | ||||||
Handy & Harman Ltd.* | 3 | 94 | ||||||
Willis Lease Finance Corp.* | 3 | 80 | ||||||
Revolution Lighting Technologies, Inc.* | 12 | 79 | ||||||
Akoustis Technologies, Inc.* | 9 | 79 | ||||||
Genco Shipping & Trading Ltd.* | 8 | 76 | ||||||
NL Industries, Inc.* | 8 | 56 | ||||||
Total Industrial | 270,359 | |||||||
Consumer, Cyclical - 3.1% | ||||||||
Texas Roadhouse, Inc. — Class A | 67 | 3,415 | ||||||
Dana, Inc. | 146 | 3,259 | ||||||
Cracker Barrel Old Country Store, Inc.1 | 19 | 3,178 | ||||||
Jack in the Box, Inc. | 32 | 3,152 | ||||||
Tenneco, Inc. | 53 | 3,065 | ||||||
Beacon Roofing Supply, Inc.* | 61 | 2,988 | ||||||
ILG, Inc. | 107 | 2,941 | ||||||
Office Depot, Inc. | 513 | 2,893 | ||||||
FirstCash, Inc. | 48 | 2,798 | ||||||
Dave & Buster’s Entertainment, Inc.* | 42 | 2,793 | ||||||
Five Below, Inc.* | 54 | 2,666 | ||||||
Wolverine World Wide, Inc. | 95 | 2,660 | ||||||
Marriott Vacations Worldwide Corp. | 22 | 2,591 | ||||||
Churchill Downs, Inc. | 14 | 2,566 | ||||||
Hawaiian Holdings, Inc.* | 53 | 2,488 | ||||||
LCI Industries | 24 | 2,457 | ||||||
Steven Madden Ltd.* | 59 | 2,357 | ||||||
iRobot Corp.* | 27 | 2,271 | ||||||
Anixter International, Inc.* | 29 | 2,267 | ||||||
Cheesecake Factory, Inc. | 45 | 2,264 | ||||||
Dorman Products, Inc.* | 27 | 2,235 | ||||||
RH*,1 | 34 | 2,194 | ||||||
Deckers Outdoor Corp.* | 32 | 2,184 | ||||||
Big Lots, Inc.1 | 45 | 2,174 | ||||||
Lithia Motors, Inc. — Class A | 23 | 2,167 | ||||||
Bloomin’ Brands, Inc. | 100 | 2,123 | ||||||
UniFirst Corp. | 15 | 2,110 | ||||||
TRI Pointe Group, Inc.* | 158 | 2,083 | ||||||
Boyd Gaming Corp. | 83 | 2,059 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 48 | 2,045 | ||||||
Buffalo Wild Wings, Inc.* | 16 | 2,027 | ||||||
KB Home | 84 | 2,013 | ||||||
American Eagle Outfitters, Inc. | 163 | 1,964 | ||||||
Planet Fitness, Inc. — Class A | 84 | 1,960 | ||||||
Papa John’s International, Inc. | 27 | 1,938 | ||||||
PriceSmart, Inc. | 22 | 1,927 | ||||||
Cooper Tire & Rubber Co. | 53 | 1,913 | ||||||
Brinker International, Inc. | 49 | 1,867 | ||||||
Herman Miller, Inc. | 60 | 1,825 | ||||||
Penn National Gaming, Inc.* | 85 | 1,819 | ||||||
Cooper-Standard Holdings, Inc.* | 18 | 1,816 | ||||||
SkyWest, Inc. | 51 | 1,790 | ||||||
SiteOne Landscape Supply, Inc.* | 34 | 1,770 | ||||||
Allegiant Travel Co. — Class A | 13 | 1,763 | ||||||
HNI Corp. | 44 | 1,754 | ||||||
Children’s Place, Inc. | 17 | 1,736 | ||||||
Columbia Sportswear Co. | 29 | 1,684 | ||||||
Meritage Homes Corp.* | 39 | 1,646 | ||||||
Red Rock Resorts, Inc. — Class A | 68 | 1,601 | ||||||
La-Z-Boy, Inc. | 48 | 1,560 | ||||||
Core-Mark Holding Company, Inc. | 46 | 1,521 | ||||||
MDC Holdings, Inc. | 42 | 1,484 | ||||||
Triton International Ltd. | 44 | 1,471 | ||||||
Taylor Morrison Home Corp. — Class A* | 61 | 1,465 | ||||||
Select Comfort Corp.* | 41 | 1,454 | ||||||
J.C. Penney Company, Inc.*,1 | 311 | 1,446 | ||||||
BMC Stock Holdings, Inc.* | 66 | 1,442 | ||||||
Gentherm, Inc.* | 37 | 1,436 | ||||||
Meritor, Inc.* | 84 | 1,395 | ||||||
Scientific Games Corp. — Class A* | 53 | 1,383 | ||||||
American Woodmark Corp.* | 14 | 1,338 | ||||||
Wabash National Corp. | 60 | 1,318 | ||||||
Mobile Mini, Inc. | 44 | 1,313 | ||||||
Navistar International Corp.* | 50 | 1,312 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 84 | 1,310 | ||||||
Vista Outdoor, Inc.* | 57 | 1,283 | ||||||
IMAX Corp.* | 58 | 1,276 | ||||||
Group 1 Automotive, Inc. | 20 | 1,266 | ||||||
AMC Entertainment Holdings, Inc. — Class A | 55 | 1,251 | ||||||
Fox Factory Holding Corp.* | 35 | 1,246 | ||||||
Interface, Inc. — Class A | 62 | 1,218 | ||||||
Chico’s FAS, Inc. | 129 | 1,215 | ||||||
La Quinta Holdings, Inc.* | 82 | 1,211 | ||||||
Steelcase, Inc. — Class A | 86 | 1,204 | ||||||
Callaway Golf Co. | 94 | 1,201 | ||||||
Belmond Ltd. — Class A* | 90 | 1,197 | ||||||
DSW, Inc. — Class A | 66 | 1,168 | ||||||
Cavco Industries, Inc.* | 9 | 1,167 | ||||||
Caleres, Inc. | 42 | 1,167 | ||||||
Installed Building Products, Inc.* | 22 | 1,165 | ||||||
Standard Motor Products, Inc. | 22 | 1,149 | ||||||
SeaWorld Entertainment, Inc.* | 69 | 1,123 | ||||||
Winnebago Industries, Inc. | 32 | 1,120 | ||||||
Rush Enterprises, Inc. — Class A* | 30 | 1,115 | ||||||
Sonic Corp. | 41 | 1,086 | ||||||
Asbury Automotive Group, Inc.* | 19 | 1,074 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 109 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
G-III Apparel Group Ltd.* | 43 | $ | 1,073 | |||||
Pinnacle Entertainment, Inc.* | 53 | 1,047 | ||||||
HSN, Inc. | 32 | 1,021 | ||||||
ScanSource, Inc.* | 25 | 1,008 | ||||||
Oxford Industries, Inc. | 16 | 1,000 | ||||||
Knoll, Inc. | 48 | 962 | ||||||
International Speedway Corp. — Class A | 25 | 939 | ||||||
Universal Electronics, Inc.* | 14 | 936 | ||||||
Caesars Acquisition Co. — Class A* | 49 | 933 | ||||||
Eldorado Resorts, Inc.* | 46 | 920 | ||||||
Wingstop, Inc. | 29 | 896 | ||||||
Dillard’s, Inc. — Class A1 | 15 | 865 | ||||||
ClubCorp Holdings, Inc. | 65 | 852 | ||||||
Red Robin Gourmet Burgers, Inc.* | 13 | 848 | ||||||
Liberty TripAdvisor Holdings, Inc. — Class A* | 73 | 847 | ||||||
Abercrombie & Fitch Co. — Class A | 68 | 846 | ||||||
Modine Manufacturing Co.* | 50 | 828 | ||||||
Denny’s Corp.* | 69 | 812 | ||||||
PetMed Express, Inc. | 20 | 812 | ||||||
Ethan Allen Interiors, Inc. | 25 | 808 | ||||||
BJ’s Restaurants, Inc.* | 21 | 782 | ||||||
Shake Shack, Inc. — Class A*,1 | 22 | 767 | ||||||
Guess?, Inc. | 60 | 767 | ||||||
DineEquity, Inc. | 17 | 749 | ||||||
Douglas Dynamics, Inc. | 22 | 724 | ||||||
Tile Shop Holdings, Inc. | 34 | 702 | ||||||
Lumber Liquidators Holdings, Inc.*,1 | 28 | 702 | ||||||
M/I Homes, Inc.* | 24 | 685 | ||||||
Caesars Entertainment Corp.*,1 | 57 | 684 | ||||||
LGI Homes, Inc.*,1 | 17 | 683 | ||||||
GMS, Inc.* | 24 | 674 | ||||||
H&E Equipment Services, Inc. | 32 | 653 | ||||||
Ruth’s Hospitality Group, Inc. | 30 | 653 | ||||||
Genesco, Inc.* | 19 | 644 | ||||||
Kimball International, Inc. — Class B | 37 | 618 | ||||||
Wesco Aircraft Holdings, Inc.* | 56 | 608 | ||||||
Titan International, Inc. | 50 | 601 | ||||||
William Lyon Homes — Class A* | 24 | 579 | ||||||
Nautilus, Inc.* | 30 | 575 | ||||||
Marcus Corp. | 19 | 574 | ||||||
GNC Holdings, Inc. — Class A1 | 68 | 573 | ||||||
Crocs, Inc.* | 74 | 571 | ||||||
Finish Line, Inc. — Class A | 40 | 567 | ||||||
Essendant, Inc. | 37 | 549 | ||||||
Tailored Brands, Inc. | 49 | 547 | ||||||
Veritiv Corp.* | 12 | 540 | ||||||
Fiesta Restaurant Group, Inc.* | 26 | 537 | ||||||
Motorcar Parts of America, Inc.* | 19 | 537 | ||||||
Sonic Automotive, Inc. — Class A | 27 | 525 | ||||||
Express, Inc.* | 77 | 520 | ||||||
Buckle, Inc.1 | 29 | 516 | ||||||
Superior Industries International, Inc. | 25 | 514 | ||||||
MarineMax, Inc.* | 25 | 489 | ||||||
Haverty Furniture Companies, Inc. | 19 | 477 | ||||||
Malibu Boats, Inc. — Class A* | 18 | 466 | ||||||
Unifi, Inc.* | 15 | 462 | ||||||
National CineMedia, Inc. | 62 | 460 | ||||||
Acushnet Holdings Corp. | 23 | 456 | ||||||
Barnes & Noble, Inc. | 60 | 456 | ||||||
Del Taco Restaurants, Inc.* | 33 | 454 | ||||||
Hooker Furniture Corp. | 11 | 453 | ||||||
Tower International, Inc. | 20 | 449 | ||||||
Fossil Group, Inc.* | 43 | 445 | ||||||
Party City Holdco, Inc.* | 28 | 438 | ||||||
Hibbett Sports, Inc.* | 21 | 436 | ||||||
Flexsteel Industries, Inc. | 8 | 433 | ||||||
Carrols Restaurant Group, Inc.* | 35 | 429 | ||||||
Beazer Homes USA, Inc.* | 31 | 425 | ||||||
Cato Corp. — Class A | 24 | 422 | ||||||
Century Communities, Inc.* | 17 | 422 | ||||||
Pier 1 Imports, Inc. | 81 | 420 | ||||||
Freshpet, Inc.* | 25 | 415 | ||||||
Francesca’s Holdings Corp.* | 37 | 405 | ||||||
Barnes & Noble Education, Inc.* | 38 | 404 | ||||||
Biglari Holdings, Inc.* | 1 | 400 | ||||||
Chuy’s Holdings, Inc.* | 17 | 398 | ||||||
EZCORP, Inc. — Class A* | 50 | 385 | ||||||
PICO Holdings, Inc.* | 22 | 385 | ||||||
Bassett Furniture Industries, Inc. | 10 | 380 | ||||||
Movado Group, Inc.1 | 15 | 379 | ||||||
Horizon Global Corp.* | 26 | 373 | ||||||
Ascena Retail Group, Inc.*,1 | 173 | 372 | ||||||
Camping World Holdings, Inc. — Class A | 12 | 370 | ||||||
Regis Corp.* | 36 | 370 | ||||||
REV Group, Inc. | 13 | 360 | ||||||
Culp, Inc. | 11 | 358 | ||||||
Del Frisco’s Restaurant Group, Inc.* | 22 | 354 | ||||||
MCBC Holdings, Inc.* | 18 | 352 | ||||||
Hovnanian Enterprises, Inc. — Class A* | 124 | 347 | ||||||
Daktronics, Inc. | 36 | 347 | ||||||
Iconix Brand Group, Inc.* | 50 | 346 | ||||||
Conn’s, Inc.*,1 | 18 | 344 | ||||||
Titan Machinery, Inc.* | 19 | 342 | ||||||
Monarch Casino & Resort, Inc.* | 11 | 333 | ||||||
Fred’s, Inc. — Class A1 | 36 | 332 | ||||||
PC Connection, Inc. | 12 | 325 | ||||||
Habit Restaurants, Inc. — Class A* | 20 | 316 | ||||||
America’s Car-Mart, Inc.* | 8 | 311 | ||||||
Eros International plc*,1 | 27 | 309 | ||||||
Intrawest Resorts Holdings, Inc.* | 13 | 309 | ||||||
Spartan Motors, Inc. | 34 | 301 | ||||||
Citi Trends, Inc. | 14 | 297 | ||||||
NACCO Industries, Inc. — Class A | 4 | 283 | ||||||
El Pollo Loco Holdings, Inc.* | 20 | 277 | ||||||
Bojangles’, Inc.* | 17 | 276 | ||||||
Reading International, Inc. — Class A* | 17 | 274 | ||||||
Big 5 Sporting Goods Corp. | 21 | 274 | ||||||
Miller Industries, Inc. | 11 | 273 | ||||||
Potbelly Corp.* | 23 | 265 | ||||||
Green Brick Partners, Inc.* | 23 | 263 | ||||||
Winmark Corp. | 2 | 258 |
110 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Perry Ellis International, Inc.* | 13 | $ | 253 | |||||
Shoe Carnival, Inc. | 12 | 251 | ||||||
Vitamin Shoppe, Inc.* | 21 | 245 | ||||||
West Marine, Inc. | 19 | 244 | ||||||
Johnson Outdoors, Inc. — Class A | 5 | 241 | ||||||
AV Homes, Inc.* | 12 | 241 | ||||||
Supreme Industries, Inc. — Class A | 14 | 230 | ||||||
Golden Entertainment, Inc.* | 11 | 228 | ||||||
Zoe’s Kitchen, Inc.* | 19 | 226 | ||||||
Systemax, Inc. | 12 | 226 | ||||||
Zumiez, Inc.* | 18 | 222 | ||||||
Speedway Motorsports, Inc. | 12 | 219 | ||||||
Nexeo Solutions, Inc.*,1 | 26 | 216 | ||||||
RCI Hospitality Holdings, Inc. | 9 | 215 | ||||||
Commercial Vehicle Group, Inc.* | 25 | 211 | ||||||
Lindblad Expeditions Holdings, Inc.* | 20 | 210 | ||||||
Vera Bradley, Inc.* | 20 | 196 | ||||||
Drive Shack, Inc.* | 62 | 195 | ||||||
Sportsman’s Warehouse Holdings, Inc.*,1 | 36 | 194 | ||||||
Nathan’s Famous, Inc.* | 3 | 189 | ||||||
PCM, Inc.* | 10 | 188 | ||||||
Duluth Holdings, Inc. — Class B* | 10 | 182 | ||||||
Rush Enterprises, Inc. — Class B* | 5 | 182 | ||||||
Lifetime Brands, Inc. | 10 | 182 | ||||||
Superior Uniform Group, Inc. | 8 | 179 | ||||||
Libbey, Inc. | 22 | 177 | ||||||
Huttig Building Products, Inc.* | 24 | 168 | ||||||
Weyco Group, Inc. | 6 | 167 | ||||||
Foundation Building Materials, Inc.* | 13 | 167 | ||||||
VOXX International Corp. — Class A* | 20 | 164 | ||||||
Sequential Brands Group, Inc.*,1 | 40 | 160 | ||||||
J Alexander’s Holdings, Inc.* | 13 | 159 | ||||||
Delta Apparel, Inc.* | 7 | 155 | ||||||
Century Casinos, Inc.* | 21 | 155 | ||||||
Kirkland’s, Inc.* | 15 | 154 | ||||||
Castle Brands, Inc.* | 87 | 150 | ||||||
J. Jill, Inc.* | 12 | 147 | ||||||
Build-A-Bear Workshop, Inc. — Class A* | 14 | 146 | ||||||
Escalade, Inc. | 11 | 144 | ||||||
Black Diamond, Inc.* | 21 | 140 | ||||||
New Home Company, Inc.* | 12 | 138 | ||||||
Tilly’s, Inc. — Class A | 13 | 132 | ||||||
Fogo De Chao, Inc.* | 9 | 125 | ||||||
Red Lion Hotels Corp.* | 17 | 125 | ||||||
Marine Products Corp. | 8 | 125 | ||||||
Blue Bird Corp.* | 7 | 119 | ||||||
Ruby Tuesday, Inc.* | 59 | 119 | ||||||
At Home Group, Inc.* | 5 | 116 | ||||||
EnviroStar, Inc. | 4 | 108 | ||||||
Sears Holdings Corp.* | 12 | 106 | ||||||
Gaia, Inc.* | 9 | 101 | ||||||
Container Store Group, Inc.* | 16 | 95 | ||||||
UCP, Inc. — Class A* | 8 | 88 | ||||||
Boot Barn Holdings, Inc.*,1 | 12 | 85 | ||||||
Empire Resorts, Inc.* | 3 | 72 | ||||||
Inspired Entertainment, Inc.* | 4 | 52 | ||||||
Noodles & Co.* | 12 | 47 | ||||||
CompX International, Inc. | 2 | 31 | ||||||
Total Consumer, Cyclical | 228,435 | |||||||
Technology - 2.7% | ||||||||
Medidata Solutions, Inc.* | 56 | 4,378 | ||||||
Fair Isaac Corp. | 31 | 4,321 | ||||||
Aspen Technology, Inc.* | 75 | 4,144 | ||||||
EPAM Systems, Inc.* | 49 | 4,120 | ||||||
Blackbaud, Inc. | 48 | 4,115 | ||||||
Cirrus Logic, Inc.* | 65 | 4,076 | ||||||
MAXIMUS, Inc. | 64 | 4,008 | ||||||
j2 Global, Inc. | 47 | 3,999 | ||||||
Monolithic Power Systems, Inc. | 40 | 3,855 | ||||||
MKS Instruments, Inc. | 54 | 3,633 | ||||||
Lumentum Holdings, Inc.* | 61 | 3,480 | ||||||
Integrated Device Technology, Inc.* | 134 | 3,456 | ||||||
Paycom Software, Inc.* | 49 | 3,352 | ||||||
Entegris, Inc.* | 142 | 3,117 | ||||||
NetScout Systems, Inc.* | 89 | 3,062 | ||||||
Science Applications International Corp. | 44 | 3,054 | ||||||
CACI International, Inc. — Class A* | 24 | 3,001 | ||||||
Silicon Laboratories, Inc.* | 42 | 2,871 | ||||||
ACI Worldwide, Inc.* | 117 | 2,617 | ||||||
Verint Systems, Inc.* | 63 | 2,564 | ||||||
Semtech Corp.* | 65 | 2,324 | ||||||
Allscripts Healthcare Solutions, Inc.* | 182 | 2,322 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 41 | 2,287 | ||||||
HubSpot, Inc.* | 34 | 2,236 | ||||||
Convergys Corp. | 94 | 2,235 | ||||||
CommVault Systems, Inc.* | 39 | 2,202 | ||||||
Electronics for Imaging, Inc.* | 46 | 2,179 | ||||||
Pegasystems, Inc. | 37 | 2,159 | ||||||
Diebold Nixdorf, Inc. | 76 | 2,128 | ||||||
RealPage, Inc.* | 59 | 2,121 | ||||||
Power Integrations, Inc. | 29 | 2,114 | ||||||
2U, Inc.* | 44 | 2,064 | ||||||
3D Systems Corp.*,1 | 109 | 2,038 | ||||||
VeriFone Systems, Inc.* | 112 | 2,027 | ||||||
Acxiom Corp.* | 78 | 2,026 | ||||||
Mercury Systems, Inc.* | 47 | 1,978 | ||||||
MicroStrategy, Inc. — Class A* | 10 | 1,917 | ||||||
NeuStar, Inc. — Class A* | 56 | 1,868 | ||||||
Cornerstone OnDemand, Inc.* | 52 | 1,859 | ||||||
Cabot Microelectronics Corp. | 25 | 1,846 | ||||||
ExlService Holdings, Inc.* | 33 | 1,834 | ||||||
Synaptics, Inc.* | 35 | 1,810 | ||||||
Twilio, Inc. — Class A*,1 | 62 | 1,805 | ||||||
Envestnet, Inc.* | 43 | 1,703 | ||||||
MaxLinear, Inc. — Class A* | 60 | 1,673 | ||||||
Ambarella, Inc.*,1 | 33 | 1,602 | ||||||
Omnicell, Inc.* | 37 | 1,595 | ||||||
Callidus Software, Inc.* | 65 | 1,573 | ||||||
Brooks Automation, Inc. | 69 | 1,497 | ||||||
Progress Software Corp. | 48 | 1,483 | ||||||
Xperi Corp. | 49 | 1,460 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 111 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Box, Inc. — Class A* | 79 | $ | 1,441 | |||||
Inphi Corp.* | 42 | 1,441 | ||||||
Insight Enterprises, Inc.* | 36 | 1,440 | ||||||
CSG Systems International, Inc. | 33 | 1,339 | ||||||
BroadSoft, Inc.* | 31 | 1,335 | ||||||
Veeco Instruments, Inc.* | 47 | 1,317 | ||||||
Sykes Enterprises, Inc.* | 39 | 1,308 | ||||||
Ebix, Inc. | 24 | 1,294 | ||||||
Rambus, Inc.* | 111 | 1,269 | ||||||
Qualys, Inc.* | 31 | 1,265 | ||||||
New Relic, Inc.* | 29 | 1,247 | ||||||
Pure Storage, Inc. — Class A* | 93 | 1,191 | ||||||
Stratasys Ltd.*,1 | 50 | 1,166 | ||||||
Five9, Inc.* | 52 | 1,119 | ||||||
SPS Commerce, Inc.* | 17 | 1,084 | ||||||
ManTech International Corp. — Class A | 26 | 1,076 | ||||||
Bottomline Technologies de, Inc.* | 40 | 1,028 | ||||||
MINDBODY, Inc. — Class A* | 37 | 1,006 | ||||||
Cotiviti Holdings, Inc.* | 27 | 1,003 | ||||||
Amkor Technology, Inc.* | 102 | 997 | ||||||
Evolent Health, Inc. — Class A* | 39 | 989 | ||||||
Super Micro Computer, Inc.* | 39 | 961 | ||||||
CEVA, Inc.* | 21 | 954 | ||||||
Diodes, Inc.* | 38 | 913 | ||||||
Quality Systems, Inc.* | 52 | 895 | ||||||
FormFactor, Inc.* | 72 | 893 | ||||||
MTS Systems Corp. | 17 | 881 | ||||||
Impinj, Inc.*,1 | 18 | 876 | ||||||
Coupa Software, Inc.* | 30 | 869 | ||||||
Inovalon Holdings, Inc. — Class A*,1 | 63 | 828 | ||||||
Virtusa Corp.* | 28 | 823 | ||||||
Lattice Semiconductor Corp.* | 123 | 819 | ||||||
Monotype Imaging Holdings, Inc. | 42 | 769 | ||||||
Vocera Communications, Inc.* | 28 | 740 | ||||||
Cray, Inc.* | 40 | 736 | ||||||
PROS Holdings, Inc.* | 26 | 712 | ||||||
Rudolph Technologies, Inc.* | 31 | 708 | ||||||
Synchronoss Technologies, Inc.* | 43 | 707 | ||||||
Varonis Systems, Inc.* | 19 | 707 | ||||||
Nutanix, Inc. — Class A* | 35 | 705 | ||||||
Unisys Corp.* | 50 | 640 | ||||||
Photronics, Inc.* | 67 | 630 | ||||||
Axcelis Technologies, Inc.* | 30 | 629 | ||||||
Instructure, Inc.* | 21 | 620 | ||||||
Ultra Clean Holdings, Inc.* | 33 | 619 | ||||||
Hortonworks, Inc.* | 48 | 618 | ||||||
Nanometrics, Inc.* | 24 | 607 | ||||||
Donnelley Financial Solutions, Inc.* | 26 | 597 | ||||||
LivePerson, Inc.* | 54 | 594 | ||||||
Benefitfocus, Inc.* | 16 | 582 | ||||||
Barracuda Networks, Inc.* | 25 | 577 | ||||||
TeleTech Holdings, Inc. | 14 | 571 | ||||||
Syntel, Inc. | 33 | 560 | ||||||
Carbonite, Inc.* | 25 | 545 | ||||||
Xcerra Corp.* | 54 | 528 | ||||||
InnerWorkings, Inc.* | 45 | 522 | ||||||
Engility Holdings, Inc.* | 18 | 511 | ||||||
CommerceHub, Inc.* | 29 | 506 | ||||||
Workiva, Inc.* | 25 | 476 | ||||||
Silver Spring Networks, Inc.* | 42 | 474 | ||||||
PDF Solutions, Inc.* | 28 | 461 | ||||||
KeyW Holding Corp.*,1 | 48 | 449 | ||||||
Actua Corp.* | 31 | 436 | ||||||
Cohu, Inc. | 27 | 425 | ||||||
Bazaarvoice, Inc.* | 84 | 416 | ||||||
Everbridge, Inc.* | 17 | 414 | ||||||
IXYS Corp.* | 25 | 411 | ||||||
Xactly Corp.* | 26 | 407 | ||||||
Digimarc Corp.* | 10 | 402 | ||||||
Blackline, Inc.* | 11 | 393 | ||||||
MuleSoft, Inc. — Class A* | 15 | 374 | ||||||
Computer Programs & Systems, Inc. | 11 | 361 | ||||||
MobileIron, Inc.* | 55 | 333 | ||||||
QAD, Inc. — Class A | 10 | 321 | ||||||
Alpha & Omega Semiconductor Ltd.* | 19 | 317 | ||||||
Apptio, Inc. — Class A* | 18 | 312 | ||||||
Model N, Inc.* | 23 | 306 | ||||||
EMCORE Corp. | 27 | 288 | ||||||
American Software, Inc. — Class A | 27 | 278 | ||||||
Presidio, Inc.* | 19 | 272 | ||||||
Castlight Health, Inc. — Class B* | 64 | 266 | ||||||
Digi International, Inc.* | 26 | 264 | ||||||
Immersion Corp.* | 29 | 263 | ||||||
Appfolio, Inc. — Class A* | 8 | 261 | ||||||
Mitek Systems, Inc.* | 31 | 260 | ||||||
Glu Mobile, Inc.* | 104 | 260 | ||||||
DSP Group, Inc.* | 22 | 255 | ||||||
CommerceHub, Inc.* | 14 | 244 | ||||||
AXT, Inc.* | 37 | 235 | ||||||
Kopin Corp.* | 62 | 230 | ||||||
Cloudera, Inc.* | 14 | 224 | ||||||
Sigma Designs, Inc.* | 38 | 222 | ||||||
Quantum Corp.* | 28 | 219 | ||||||
Maxwell Technologies, Inc.* | 36 | 216 | ||||||
Brightcove, Inc.* | 34 | 211 | ||||||
pdvWireless, Inc.* | 9 | 210 | ||||||
USA Technologies, Inc.* | 39 | 203 | ||||||
Exa Corp.* | 14 | 193 | ||||||
DMC Global, Inc. | 14 | 183 | ||||||
Rosetta Stone, Inc.* | 17 | 183 | ||||||
Alteryx, Inc. — Class A* | 9 | 176 | ||||||
Avid Technology, Inc.* | 33 | 174 | ||||||
Amber Road, Inc.* | 20 | 171 | ||||||
Tangoe, Inc.* | 26 | 169 | ||||||
Park City Group, Inc.* | 13 | 158 | ||||||
Eastman Kodak Co.* | 17 | 155 | ||||||
Upland Software, Inc.* | 7 | 154 | ||||||
Agilysys, Inc.* | 15 | 152 | ||||||
NCI, Inc. — Class A* | 7 | 148 | ||||||
Guidance Software, Inc.* | 22 | 145 | ||||||
Radisys Corp.* | 37 | 139 | ||||||
Planet Payment, Inc.* | 42 | 139 |
112 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Simulations Plus, Inc. | 11 | $ | 136 | |||||
Tabula Rasa HealthCare, Inc.* | 9 | 135 | ||||||
Pixelworks, Inc.* | 29 | 133 | ||||||
ExOne Co.* | 11 | 126 | ||||||
StarTek, Inc.* | 10 | 122 | ||||||
GSI Technology, Inc.* | 14 | 110 | ||||||
Cogint, Inc.* | 20 | 101 | ||||||
NantHealth, Inc.* | 18 | 76 | ||||||
SecureWorks Corp. — Class A* | 8 | 74 | ||||||
Veritone, Inc.* | 3 | 35 | ||||||
Majesco* | 6 | 30 | ||||||
Total Technology | 198,381 | |||||||
Communications - 1.8% | ||||||||
GrubHub, Inc.* | 86 | 3,749 | ||||||
Proofpoint, Inc.* | 43 | 3,733 | ||||||
Ciena Corp.* | 141 | 3,527 | ||||||
ViaSat, Inc.* | 53 | 3,509 | ||||||
Finisar Corp.* | 112 | 2,910 | ||||||
Nexstar Media Group, Inc. — Class A | 46 | 2,750 | ||||||
InterDigital, Inc. | 35 | 2,706 | ||||||
Zendesk, Inc.* | 97 | 2,695 | ||||||
Stamps.com, Inc.* | 16 | 2,478 | ||||||
Viavi Solutions, Inc.* | 229 | 2,411 | ||||||
Meredith Corp. | 40 | 2,377 | ||||||
Sinclair Broadcast Group, Inc. — Class A | 72 | 2,369 | ||||||
Yelp, Inc. — Class A* | 78 | 2,342 | ||||||
RingCentral, Inc. — Class A* | 63 | 2,303 | ||||||
New York Times Co. — Class A | 126 | 2,230 | ||||||
TiVo Corp. | 118 | 2,201 | ||||||
WebMD Health Corp. — Class A* | 37 | 2,170 | ||||||
DigitalGlobe, Inc.* | 62 | 2,065 | ||||||
Cars.com, Inc.* | 72 | 1,917 | ||||||
Etsy, Inc.* | 116 | 1,740 | ||||||
Plantronics, Inc. | 33 | 1,726 | ||||||
Cogent Communications Holdings, Inc. | 42 | 1,684 | ||||||
Imperva, Inc.* | 34 | 1,627 | ||||||
Straight Path Communications, Inc. — Class B* | 9 | 1,617 | ||||||
Shutterfly, Inc.* | 34 | 1,615 | ||||||
Oclaro, Inc.*,1 | 166 | 1,550 | ||||||
Infinera Corp.* | 145 | 1,547 | ||||||
Shenandoah Telecommunications Co. | 47 | 1,443 | ||||||
Time, Inc. | 100 | 1,435 | ||||||
Gigamon, Inc.* | 36 | 1,417 | ||||||
NETGEAR, Inc.* | 32 | 1,379 | ||||||
Frontier Communications Corp.1 | 1,182 | 1,371 | ||||||
MSG Networks, Inc. — Class A* | 60 | 1,347 | ||||||
Vonage Holdings Corp.* | 200 | 1,308 | ||||||
Groupon, Inc. — Class A* | 341 | 1,308 | ||||||
8x8, Inc.* | 88 | 1,280 | ||||||
Houghton Mifflin Harcourt Co.* | 104 | 1,279 | ||||||
TrueCar, Inc.* | 63 | 1,256 | ||||||
Scholastic Corp. | 28 | 1,221 | ||||||
NIC, Inc. | 64 | 1,213 | ||||||
Ubiquiti Networks, Inc.*,1 | 23 | 1,195 | ||||||
Q2 Holdings, Inc.* | 31 | 1,145 | ||||||
Consolidated Communications Holdings, Inc. | 50 | 1,074 | ||||||
EW Scripps Co. — Class A* | 58 | 1,033 | ||||||
Chegg, Inc.*,1 | 84 | 1,032 | ||||||
ADTRAN, Inc. | 49 | 1,012 | ||||||
Extreme Networks, Inc.* | 109 | 1,005 | ||||||
West Corp.1 | 43 | 1,003 | ||||||
Gannett Company, Inc. | 114 | 994 | ||||||
General Communication, Inc. — Class A* | 27 | 989 | ||||||
GTT Communications, Inc.* | 31 | 981 | ||||||
ePlus, Inc.* | 13 | 963 | ||||||
Web.com Group, Inc.* | 38 | 961 | ||||||
Globalstar, Inc.*,1 | 445 | 948 | ||||||
Iridium Communications, Inc.* | 84 | 928 | ||||||
Gray Television, Inc.* | 64 | 877 | ||||||
Blucora, Inc.* | 41 | 869 | ||||||
Trade Desk, Inc. — Class A* | 17 | 852 | ||||||
Quotient Technology, Inc.* | 74 | 851 | ||||||
Shutterstock, Inc.* | 19 | 838 | ||||||
Cincinnati Bell, Inc.* | 42 | 821 | ||||||
Liberty Media Corporation-Liberty Braves — Class C* | 34 | 815 | ||||||
Acacia Communications, Inc.*,1 | 19 | 788 | ||||||
World Wrestling Entertainment, Inc. — Class A | 38 | 774 | ||||||
ATN International, Inc. | 11 | 753 | ||||||
ORBCOMM, Inc.* | 66 | 746 | ||||||
Windstream Holdings, Inc. | 191 | 741 | ||||||
CalAmp Corp.* | 35 | 712 | ||||||
New Media Investment Group, Inc. | 51 | 687 | ||||||
HealthStream, Inc.* | 26 | 684 | ||||||
Gogo, Inc.*,1 | 57 | 657 | ||||||
Perficient, Inc.* | 34 | 634 | ||||||
Bankrate, Inc.* | 47 | 604 | ||||||
MDC Partners, Inc. — Class A | 56 | 554 | ||||||
Loral Space & Communications, Inc.* | 13 | 540 | ||||||
Boingo Wireless, Inc.* | 36 | 539 | ||||||
Angie’s List, Inc.* | 40 | 512 | ||||||
Endurance International Group Holdings, Inc.* | 58 | 484 | ||||||
Tucows, Inc. — Class A* | 9 | 482 | ||||||
XO Group, Inc.* | 25 | 441 | ||||||
Comtech Telecommunications Corp. | 23 | 436 | ||||||
Entravision Communications Corp. — Class A | 66 | 436 | ||||||
VASCO Data Security International, Inc.* | 30 | 431 | ||||||
Harmonic, Inc.* | 79 | 415 | ||||||
A10 Networks, Inc.* | 49 | 414 | ||||||
Quantenna Communications, Inc.* | 21 | 399 | ||||||
ShoreTel, Inc.* | 68 | 394 | ||||||
Lumos Networks Corp.* | 22 | 393 | ||||||
Sonus Networks, Inc.* | 48 | 357 | ||||||
Spok Holdings, Inc. | 20 | 354 | ||||||
Rapid7, Inc.* | 21 | 353 | ||||||
FTD Companies, Inc.* | 17 | 340 | ||||||
Meet Group, Inc.* | 67 | 338 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 113 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Central European Media Enterprises Ltd. — Class A* | 83 | $ | 332 | |||||
FairPoint Communications, Inc.* | 21 | 329 | ||||||
Zix Corp.* | 54 | 307 | ||||||
Carvana Co.* | 15 | 307 | ||||||
Calix, Inc.* | 43 | 295 | ||||||
Internap Corp.* | 80 | 294 | ||||||
Entercom Communications Corp. — Class A1 | 28 | 290 | ||||||
ChannelAdvisor Corp.* | 25 | 289 | ||||||
Overstock.com, Inc.* | 17 | 277 | ||||||
tronc, Inc.* | 20 | 258 | ||||||
1-800-Flowers.com, Inc. — Class A* | 26 | 254 | ||||||
Telenav, Inc.* | 31 | 251 | ||||||
Okta, Inc.* | 11 | 251 | ||||||
NeoPhotonics Corp.* | 32 | 247 | ||||||
IDT Corp. — Class B | 17 | 244 | ||||||
HC2 Holdings, Inc.* | 41 | 241 | ||||||
Liberty Media Corporation - Liberty Braves — Class A* | 10 | 239 | ||||||
VirnetX Holding Corp.* | 51 | 232 | ||||||
Rubicon Project, Inc.* | 44 | 226 | ||||||
Limelight Networks, Inc.* | 74 | 214 | ||||||
Ominto, Inc.* | 14 | 214 | ||||||
RigNet, Inc.* | 13 | 209 | ||||||
TechTarget, Inc.* | 20 | 207 | ||||||
Daily Journal Corp.* | 1 | 206 | ||||||
Lands’ End, Inc.* | 13 | 194 | ||||||
Reis, Inc. | 9 | 191 | ||||||
Hemisphere Media Group, Inc.* | 16 | 190 | ||||||
Saga Communications, Inc. — Class A | 4 | 183 | ||||||
Global Eagle Entertainment, Inc.* | 51 | 182 | ||||||
Clear Channel Outdoor Holdings, Inc. — Class A | 36 | 175 | ||||||
Liquidity Services, Inc.* | 26 | 165 | ||||||
Global Sources Ltd.* | 8 | 160 | ||||||
Yext, Inc.* | 12 | 160 | ||||||
Clearfield, Inc.* | 12 | 158 | ||||||
Corindus Vascular Robotics, Inc.* | 84 | 156 | ||||||
Aerohive Networks, Inc.* | 31 | 155 | ||||||
QuinStreet, Inc.* | 37 | 154 | ||||||
KVH Industries, Inc.* | 16 | 152 | ||||||
Hawaiian Telcom Holdco, Inc.* | 6 | 150 | ||||||
DHI Group, Inc.* | 49 | 140 | ||||||
Preformed Line Products Co. | 3 | 139 | ||||||
Ooma, Inc.* | 17 | 136 | ||||||
Rightside Group Ltd.* | 11 | 117 | ||||||
Intelsat S.A.* | 36 | 110 | ||||||
RealNetworks, Inc.* | 24 | 104 | ||||||
Rocket Fuel, Inc.* | 35 | 96 | ||||||
Leaf Group Ltd.* | 12 | 94 | ||||||
Townsquare Media, Inc. — Class A* | 9 | 92 | ||||||
Salem Media Group, Inc. — Class A | 12 | 85 | ||||||
Beasley Broadcast Group, Inc. — Class A | 5 | 49 | ||||||
Value Line, Inc. | 1 | 18 | ||||||
Total Communications | 128,301 | |||||||
Energy – 1.0% | ||||||||
PDC Energy, Inc.* | 66 | 2,845 | ||||||
Callon Petroleum Co.* | 202 | 2,143 | ||||||
Ultra Petroleum Corp.* | 195 | 2,116 | ||||||
McDermott International, Inc.* | 284 | 2,036 | ||||||
Matador Resources Co.* | 90 | 1,923 | ||||||
Oasis Petroleum, Inc.* | 236 | 1,900 | ||||||
Dril-Quip, Inc.* | 38 | 1,854 | ||||||
SemGroup Corp. — Class A | 67 | 1,809 | ||||||
NOW, Inc.* | 107 | 1,721 | ||||||
Pattern Energy Group, Inc. | 70 | 1,670 | ||||||
Delek US Holdings, Inc. | 62 | 1,639 | ||||||
Superior Energy Services, Inc.* | 153 | 1,596 | ||||||
C&J Energy Services, Inc.* | 46 | 1,576 | ||||||
Ensco plc — Class A | 305 | 1,574 | ||||||
Arch Coal, Inc. — Class A | 22 | 1,503 | ||||||
MRC Global, Inc.* | 90 | 1,487 | ||||||
Oil States International, Inc.* | 51 | 1,385 | ||||||
SRC Energy, Inc.*,1 | 201 | 1,353 | ||||||
Rowan Companies plc — Class A* | 117 | 1,198 | ||||||
Peabody Energy Corp.* | 49 | 1,198 | ||||||
Carrizo Oil & Gas, Inc.* | 63 | 1,097 | ||||||
Forum Energy Technologies, Inc.* | 69 | 1,076 | ||||||
Unit Corp.* | 52 | 974 | ||||||
TerraForm Power, Inc. — Class A* | 81 | 973 | ||||||
Noble Corporation plc | 245 | 887 | ||||||
Exterran Corp.* | 32 | 854 | ||||||
Archrock, Inc. | 70 | 798 | ||||||
Helix Energy Solutions Group, Inc.* | 141 | 795 | ||||||
Green Plains, Inc. | 38 | 781 | ||||||
SunCoke Energy, Inc.* | 65 | 709 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 65 | 704 | ||||||
Resolute Energy Corp.* | 22 | 655 | ||||||
Denbury Resources, Inc.* | 398 | 655 | ||||||
Newpark Resources, Inc.* | 88 | 647 | ||||||
Bonanza Creek Energy, Inc.* | 20 | 634 | ||||||
Atwood Oceanics, Inc.* | 77 | 628 | ||||||
Thermon Group Holdings, Inc.* | 32 | 613 | ||||||
Sunrun, Inc.* | 85 | 605 | ||||||
SandRidge Energy, Inc.* | 35 | 602 | ||||||
Ring Energy, Inc.* | 45 | 585 | ||||||
REX American Resources Corp.* | 6 | 579 | ||||||
Par Pacific Holdings, Inc.* | 32 | 577 | ||||||
Tellurian, Inc.* | 56 | 562 | ||||||
Energy XXI Gulf Coast, Inc.* | 30 | 557 | ||||||
SEACOR Holdings, Inc.* | 16 | 549 | ||||||
Penn Virginia Corp.* | 14 | 515 | ||||||
Sanchez Energy Corp.*,1 | 71 | 510 | ||||||
Keane Group, Inc.*,1 | 31 | 496 | ||||||
Renewable Energy Group, Inc.* | 38 | 492 | ||||||
Flotek Industries, Inc.* | 55 | 492 | ||||||
Plug Power, Inc.* | 224 | 457 | ||||||
TerraForm Global, Inc. — Class A* | 89 | 449 | ||||||
Jagged Peak Energy, Inc.*,1 | 32 | 427 |
114 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Alon USA Energy, Inc. | 32 | $ | 426 | |||||
Basic Energy Services, Inc.* | 17 | 423 | ||||||
Frank’s International N.V. | 50 | 415 | ||||||
FutureFuel Corp. | 25 | 377 | ||||||
Panhandle Oil and Gas, Inc. — Class A | 16 | 370 | ||||||
California Resources Corp.* | 43 | 368 | ||||||
Stone Energy Corp.* | 20 | 368 | ||||||
ProPetro Holding Corp.* | 25 | 349 | ||||||
CVR Energy, Inc.1 | 16 | 348 | ||||||
Clean Energy Fuels Corp.* | 137 | 348 | ||||||
TETRA Technologies, Inc.* | 115 | 321 | ||||||
Natural Gas Services Group, Inc.* | 12 | 298 | ||||||
Warrior Met Coal, Inc. | 17 | 291 | ||||||
NCS Multistage Holdings, Inc.* | 11 | 277 | ||||||
Halcon Resources Corp.*,1 | 61 | 277 | ||||||
Cloud Peak Energy, Inc.* | 74 | 261 | ||||||
Pacific Ethanol, Inc.* | 41 | 256 | ||||||
Eclipse Resources Corp.* | 88 | 252 | ||||||
WildHorse Resource Development Corp.*,1 | 20 | 247 | ||||||
Abraxas Petroleum Corp.* | 152 | 246 | ||||||
Bristow Group, Inc.1 | 32 | 245 | ||||||
Matrix Service Co.* | 26 | 243 | ||||||
Bill Barrett Corp.* | 76 | 233 | ||||||
Trecora Resources* | 20 | 225 | ||||||
Lilis Energy, Inc.* | 43 | 211 | ||||||
Tesco Corp.* | 46 | 205 | ||||||
TPI Composites, Inc.* | 11 | 203 | ||||||
Evolution Petroleum Corp. | 25 | 203 | ||||||
Key Energy Services, Inc.* | 10 | 192 | ||||||
Era Group, Inc.* | 20 | 189 | ||||||
W&T Offshore, Inc.* | 94 | 184 | ||||||
SilverBow Resources, Inc.* | 7 | 183 | ||||||
Parker Drilling Co.* | 135 | 182 | ||||||
Geospace Technologies Corp.* | 13 | 180 | ||||||
Gulf Island Fabrication, Inc. | 14 | 162 | ||||||
Gastar Exploration, Inc.* | 175 | 162 | ||||||
Contango Oil & Gas Co.* | 24 | 159 | ||||||
CARBO Ceramics, Inc.* | 23 | 158 | ||||||
Pioneer Energy Services Corp.* | 76 | 156 | ||||||
Vivint Solar, Inc.* | 26 | 152 | ||||||
Mammoth Energy Services, Inc.* | 8 | 149 | ||||||
Approach Resources, Inc.* | 43 | 145 | ||||||
EP Energy Corp. — Class A* | 39 | 143 | ||||||
Midstates Petroleum Company, Inc.* | 11 | 139 | ||||||
Independence Contract Drilling, Inc.* | 34 | 132 | ||||||
Hallador Energy Co. | 16 | 124 | ||||||
PHI, Inc.* | 12 | 117 | ||||||
Solaris Oilfield Infrastructure, Inc. — Class A* | 10 | 115 | ||||||
Isramco, Inc.* | 1 | 114 | ||||||
Willbros Group, Inc.* | 44 | 109 | ||||||
Earthstone Energy, Inc. — Class A* | 10 | 100 | ||||||
Westmoreland Coal Co.* | 19 | 93 | ||||||
Adams Resources & Energy, Inc. | 2 | 82 | ||||||
Jones Energy, Inc. — Class A* | 46 | 74 | ||||||
Select Energy Services, Inc. — Class A* | 4 | 49 | ||||||
Ramaco Resources, Inc.* | 6 | 36 | ||||||
Rosehill Resources, Inc.* | 3 | 25 | ||||||
Total Energy | 68,551 | |||||||
Utilities - 0.9% | ||||||||
IDACORP, Inc. | 51 | 4,354 | ||||||
WGL Holdings, Inc. | 51 | 4,256 | ||||||
Portland General Electric Co. | 90 | 4,113 | ||||||
ALLETE, Inc. | 51 | 3,656 | ||||||
Black Hills Corp. | 54 | 3,643 | ||||||
ONE Gas, Inc. | 52 | 3,630 | ||||||
Southwest Gas Holdings, Inc. | 48 | 3,507 | ||||||
New Jersey Resources Corp. | 86 | 3,414 | ||||||
Spire, Inc. | 47 | 3,278 | ||||||
PNM Resources, Inc. | 80 | 3,060 | ||||||
NorthWestern Corp. | 49 | 2,990 | ||||||
South Jersey Industries, Inc. | 80 | 2,734 | ||||||
Avista Corp. | 64 | 2,717 | ||||||
Ormat Technologies, Inc. | 40 | 2,347 | ||||||
MGE Energy, Inc. | 35 | 2,252 | ||||||
El Paso Electric Co. | 41 | 2,120 | ||||||
California Water Service Group | 48 | 1,765 | ||||||
American States Water Co. | 36 | 1,707 | ||||||
Northwest Natural Gas Co. | 28 | 1,676 | ||||||
Otter Tail Corp. | 39 | 1,544 | ||||||
Chesapeake Utilities Corp. | 16 | 1,199 | ||||||
NRG Yield, Inc. — Class C | 64 | 1,126 | ||||||
Dynegy, Inc.* | 111 | 918 | ||||||
SJW Group | 16 | 787 | ||||||
Unitil Corp. | 14 | 676 | ||||||
Middlesex Water Co. | 16 | 634 | ||||||
Connecticut Water Service, Inc. | 11 | 611 | ||||||
NRG Yield, Inc. — Class A | 35 | 597 | ||||||
York Water Co. | 13 | 453 | ||||||
Artesian Resources Corp. — Class A | 8 | 301 | ||||||
Atlantic Power Corp.* | 115 | 276 | ||||||
Spark Energy, Inc. — Class A1 | 12 | 226 | ||||||
Delta Natural Gas Company, Inc. | 7 | 213 | ||||||
EnerNOC, Inc.* | 27 | 209 | ||||||
RGC Resources, Inc. | 7 | 198 | ||||||
Consolidated Water Company Ltd. | 15 | 186 | ||||||
Ameresco, Inc. — Class A* | 19 | 146 | ||||||
Genie Energy Ltd. — Class B | 14 | 107 | ||||||
Global Water Resources, Inc. | 10 | 99 | ||||||
Total Utilities | 67,725 | |||||||
Basic Materials - 0.9% | ||||||||
Sensient Technologies Corp. | 44 | 3,543 | ||||||
PolyOne Corp. | 82 | 3,177 | ||||||
US Silica Holdings, Inc. | 82 | 2,910 | ||||||
HB Fuller Co. | 51 | 2,607 | ||||||
Minerals Technologies, Inc. | 35 | 2,562 | ||||||
Balchem Corp. | 32 | 2,487 | ||||||
Ingevity Corp.* | 43 | 2,468 | ||||||
Commercial Metals Co. | 116 | 2,254 | ||||||
Compass Minerals International, Inc. | 34 | 2,220 | ||||||
GCP Applied Technologies, Inc.* | 72 | 2,196 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 115 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
AK Steel Holding Corp.* | 316 | $ | 2,076 | |||||
Cliffs Natural Resources, Inc.* | 299 | 2,069 | ||||||
Hecla Mining Co. | 396 | 2,016 | ||||||
Quaker Chemical Corp. | 13 | 1,888 | ||||||
Allegheny Technologies, Inc. | 109 | 1,854 | ||||||
Stepan Co. | 20 | 1,743 | ||||||
Carpenter Technology Corp. | 46 | 1,722 | ||||||
Innospec, Inc. | 24 | 1,573 | ||||||
Coeur Mining, Inc.* | 181 | 1,553 | ||||||
Ferro Corp.* | 84 | 1,536 | ||||||
Kaiser Aluminum Corp. | 17 | 1,505 | ||||||
Neenah Paper, Inc. | 17 | 1,365 | ||||||
Schweitzer-Mauduit International, Inc. | 30 | 1,117 | ||||||
Kraton Corp.* | 30 | 1,033 | ||||||
Tronox Ltd. — Class A | 65 | 983 | ||||||
AdvanSix, Inc.* | 30 | 937 | ||||||
A. Schulman, Inc. | 29 | 928 | ||||||
PH Glatfelter Co. | 43 | 840 | ||||||
Innophos Holdings, Inc. | 19 | 833 | ||||||
Deltic Timber Corp. | 11 | 821 | ||||||
Century Aluminum Co.* | 50 | 779 | ||||||
Calgon Carbon Corp. | 51 | 770 | ||||||
Koppers Holdings, Inc.*,1 | 21 | 759 | ||||||
Materion Corp. | 20 | 748 | ||||||
Clearwater Paper Corp.* | 16 | 748 | ||||||
Rayonier Advanced Materials, Inc.1 | 43 | 676 | ||||||
Schnitzer Steel Industries, Inc. — Class A | 26 | 655 | ||||||
Fairmount Santrol Holdings, Inc.*,1 | 155 | 605 | ||||||
Klondex Mines Ltd.* | 176 | 593 | ||||||
CSW Industrials, Inc.* | 15 | 580 | ||||||
American Vanguard Corp. | 29 | 500 | ||||||
Hawkins, Inc. | 10 | 464 | ||||||
Aceto Corp. | 29 | 448 | ||||||
KMG Chemicals, Inc. | 9 | 438 | ||||||
OMNOVA Solutions, Inc.* | 43 | 419 | ||||||
Kronos Worldwide, Inc. | 23 | 419 | ||||||
Landec Corp.* | 27 | 401 | ||||||
Codexis, Inc.* | 41 | 223 | ||||||
Uranium Energy Corp.* | 137 | 218 | ||||||
Gold Resource Corp.1 | 53 | 216 | ||||||
Intrepid Potash, Inc.* | 95 | 215 | ||||||
Oil-Dri Corporation of America | 5 | 210 | ||||||
Smart Sand, Inc.* | 22 | 196 | ||||||
Verso Corp. — Class A* | 34 | 159 | ||||||
Ryerson Holding Corp.* | 16 | 158 | ||||||
AgroFresh Solutions, Inc.*,1 | 22 | 158 | ||||||
United States Lime & Minerals, Inc. | 2 | 157 | ||||||
Orchids Paper Products Co.1 | 9 | 117 | ||||||
Shiloh Industries, Inc.* | 9 | 106 | ||||||
Valhi, Inc. | 25 | 75 | ||||||
Total Basic Materials | 67,026 | |||||||
Diversified - 0.0% | ||||||||
HRG Group, Inc.* | 119 | 2,108 | ||||||
Wins Finance Holdings, Inc.*,†† | 1 | 205 | ||||||
Total Diversified | 2,313 | |||||||
Government - 0.0% | ||||||||
Banco Latinoamericano de Comercio Exterior S.A. — Class E | 30 | 821 | ||||||
Total Common Stocks | ||||||||
(Cost $1,649,279) | 1,940,039 | |||||||
WARRANTS†† - 0.0% | ||||||||
Imperial Holdings, Inc. | ||||||||
$10.75, 10/06/19* | 2 | — | ||||||
Total Warrants | ||||||||
(Cost $—) | — | |||||||
RIGHTS††† - 0.0% | ||||||||
Omthera Pharmaceuticals, Inc. | ||||||||
Expires 12/31/20* | 37 | — | ||||||
Tobira Therapeutics, Inc. | ||||||||
Expires 11/02/18* | 8 | — | ||||||
Dyax Corp. | ||||||||
Expires 01/25/18* | 406 | — | ||||||
Nexstar Media Group, Inc. | ||||||||
Expires 01/18/19* | 132 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — | |||||||
MUTUAL FUNDS† - 54.5% | ||||||||
Guggenheim Strategy Fund II2 | 83,720 | 2,093,840 | ||||||
Guggenheim Strategy Fund I2 | 75,382 | 1,889,823 | ||||||
Total Mutual Funds | ||||||||
(Cost $3,965,761) | 3,983,663 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,3 - 17.1% | ||||||||
HSBC Securities, Inc. | $ | 607,696 | 607,696 | |||||
Bank of America Merrill Lynch | 337,281 | 337,281 | ||||||
RBC Capital Markets LLC | 303,118 | 303,118 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,248,095) | 1,248,095 |
116 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
SECURITIES LENDING COLLATERAL†,5 - 0.9% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%6 | 69,319 | $ | 69,319 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $69,319) | 69,319 | |||||||
Total Investments - 99.0% | ||||||||
(Cost $6,932,454) | $ | 7,241,116 | ||||||
Other Assets & Liabilities, net - 1.0% | 69,612 | |||||||
Total Net Assets - 100.0% | $ | 7,310,728 |
Units | Unrealized | |||||||
OTC EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
BNP Paribas | 2,484 | $ | (1,671 | ) | ||||
Barclays Bank plc | 3,071 | (2,928 | ) | |||||
Goldman Sachs International | 924 | (3,819 | ) | |||||
(Total Notional Value $9,170,366) | $ | (8,418 | ) |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Affiliated issuer — See Note 10. |
3 | Repurchase Agreements — See Note 5. |
4 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2017. |
5 | Securities lending collateral — See Note 6. |
6 | Rate indicated is the 7 day yield as of June 30, 2017. |
7 | Total Return based on Russell 2000 Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 117 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 1,939,834 | $ | 205 | $ | — | $ | — | $ | 1,940,039 | ||||||||||
Mutual Funds | 3,983,663 | — | — | — | 3,983,663 | |||||||||||||||
Repurchase Agreements | — | 1,248,095 | — | — | 1,248,095 | |||||||||||||||
Rights | — | — | — | — | ** | — | ||||||||||||||
Securities Lending Collateral | 69,319 | — | — | — | 69,319 | |||||||||||||||
Warrants | — | — | ** | — | — | — | ||||||||||||||
Total Assets | $ | 5,992,816 | $ | 1,248,300 | $ | — | $ | — | $ | 7,241,116 | ||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | 8,418 | $ | — | $ | 8,418 |
* | Other financial instruments include swaps, which are reported as unrealized gain/loss at period end. |
** | Security has a market value of $0. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, the Fund had a security with a total value of $360 transfer out of Level 1 into Level 2 due to the lack of an active market at period end.
118 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 1.5x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $66,798 of securities loaned (cost $1,718,598) | $ | 2,009,358 | ||
Investments in affiliated issuers, at value (cost $3,965,761) | 3,983,663 | |||
Repurchase agreements, at value (cost $1,248,095) | 1,248,095 | |||
Total investments (cost $6,932,454) | 7,241,116 | |||
Segregated cash with broker | 260,000 | |||
Cash | 152 | |||
Receivables: | ||||
Fund shares sold | 12 | |||
Dividends | 8,584 | |||
Interest | 35 | |||
Securities lending income | 89 | |||
Total assets | 7,509,988 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 8,418 | |||
Payable for: | ||||
Return of securities loaned | 69,319 | |||
Fund shares redeemed | 53,951 | |||
Securities purchased | 31,844 | |||
Management fees | 5,395 | |||
Swap settlement | 4,743 | |||
Transfer agent and administrative fees | 1,499 | |||
Investor service fees | 1,499 | |||
Portfolio accounting fees | 599 | |||
Miscellaneous | 21,993 | |||
Total liabilities | 199,260 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 7,310,728 | ||
Net assets consist of: | ||||
Paid in capital | $ | 6,695,584 | ||
Accumulated net investment loss | (20,521 | ) | ||
Accumulated net realized gain on investments | 335,421 | |||
Net unrealized appreciation on investments | 300,244 | |||
Net assets | $ | 7,310,728 | ||
Capital shares outstanding | 107,292 | |||
Net asset value per share | $ | 68.14 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 45,742 | ||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $6) | 11,003 | |||
Interest | 7,074 | |||
Income from securities lending, net | 764 | |||
Total investment income | 64,583 | |||
Expenses: | ||||
Management fees | 42,431 | |||
Transfer agent and administrative fees | 11,787 | |||
Investor service fees | 11,787 | |||
Portfolio accounting fees | 4,714 | |||
Professional fees | 11,380 | |||
Printing expenses | 4,725 | |||
Custodian fees | 978 | |||
Trustees’ fees* | 811 | |||
Line of credit fees | 22 | |||
Miscellaneous | (3,809 | ) | ||
Total expenses | 84,826 | |||
Net investment loss | (20,243 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 104,976 | |||
Investments in affiliated issuers | 1,650 | |||
Swap agreements | 52,635 | |||
Futures contracts | 44,223 | |||
Net realized gain | 203,484 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (33,293 | ) | ||
Investments in affiliated issuers | 10,088 | |||
Swap agreements | (72,506 | ) | ||
Futures contracts | 433 | |||
Net change in unrealized appreciation (depreciation) | (95,278 | ) | ||
Net realized and unrealized gain | 108,206 | |||
Net increase in net assets resulting from operations | $ | 87,963 |
* | 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 FUNDS SEMI-ANNUAL REPORT | 119 |
RUSSELL 2000® 1.5x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (20,243 | ) | $ | (69,145 | ) | ||
Net realized gain on investments | 203,484 | 2,311,837 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (95,278 | ) | (470,029 | ) | ||||
Net increase in net assets resulting from operations | 87,963 | 1,772,663 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 35,322,480 | 159,558,034 | ||||||
Cost of shares redeemed | (37,858,879 | ) | (157,913,117 | ) | ||||
Net increase (decrease) from capital share transactions | (2,536,399 | ) | 1,644,917 | |||||
Net increase (decrease) in net assets | (2,448,436 | ) | 3,417,580 | |||||
Net assets: | ||||||||
Beginning of period | 9,759,164 | 6,341,584 | ||||||
End of period | $ | 7,310,728 | $ | 9,759,164 | ||||
Accumulated net investment loss at end of period | $ | (20,521 | ) | $ | (278 | ) | ||
Capital share activity: | ||||||||
Shares sold | 535,224 | 3,060,642 | ||||||
Shares redeemed | (580,345 | ) | (3,037,377 | ) | ||||
Net increase (decrease) in shares | (45,121 | ) | 23,265 |
120 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 1.5x STRATEGY FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 64.03 | $ | 49.10 | $ | 53.99 | $ | 51.77 | $ | 32.64 | $ | 26.75 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.14 | ) | (.38 | ) | (.46 | ) | (.48 | ) | (.34 | ) | (.16 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.25 | 15.31 | (4.43 | ) | 2.70 | 19.47 | 6.05 | |||||||||||||||||
Total from investment operations | 4.11 | 14.93 | (4.89 | ) | 2.22 | 19.13 | 5.89 | |||||||||||||||||
Net asset value, end of period | $ | 68.14 | $ | 64.03 | $ | 49.10 | $ | 53.99 | $ | 51.77 | $ | 32.64 | ||||||||||||
Total Returnc | 6.44 | % | 30.41 | % | (9.08 | %) | 4.29 | % | 58.56 | % | 22.10 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,311 | $ | 9,759 | $ | 6,342 | $ | 11,085 | $ | 12,521 | $ | 9,320 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.43 | %) | (0.74 | %) | (0.84 | %) | (0.94 | %) | (0.80 | %) | (0.53 | %) | ||||||||||||
Total expensesd | 1.80 | % | 1.77 | % | 1.70 | % | 1.76 | % | 1.74 | % | 1.81 | % | ||||||||||||
Portfolio turnover rate | 57 | % | 1,198 | % | 406 | % | 624 | % | 352 | % | 361 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 121 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
INVERSE RUSSELL 2000® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, 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”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: May 3, 2004 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 30.9% |
Guggenheim Strategy Fund I | 25.2% |
Freddie Mac | 4.2% |
Total | 60.3% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Inverse Russell 2000® Strategy Fund | (5.50%) | (21.39%) | (15.34%) | (13.39%) |
Russell 2000 Index | 4.99% | 24.60% | 17.13% | 9.09% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
122 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
INVERSE RUSSELL 2000® STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 56.1% | ||||||||
Guggenheim Strategy Fund II1 | 14,784 | $ | 369,744 | |||||
Guggenheim Strategy Fund I1 | 11,988 | 300,546 | ||||||
Total Mutual Funds | ||||||||
(Cost $664,456) | 670,290 | |||||||
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 16.7% | ||||||||
Farmer Mac2 | ||||||||
0.99% due 07/07/17 | $ | 100,000 | 99,983 | |||||
Freddie Mac3 | ||||||||
0.96% due 07/12/17 | 100,000 | 99,971 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $199,954) | 199,954 | |||||||
FEDERAL AGENCY NOTES†† - 4.2% | ||||||||
Freddie Mac3 | ||||||||
1.00% due 09/29/17 | 50,000 | 49,988 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $49,979) | 49,988 | |||||||
REPURCHASE AGREEMENTS††,4 - 30.7% | ||||||||
HSBC Securities, Inc. | 186,346 | 186,346 | ||||||
Bank of America Merill Lynch | 99,303 | 99,303 |
RBC Capital Markets LLC | 81,820 | 81,820 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $367,469) | 367,469 | |||||||
Total Investments - 107.7% | ||||||||
(Cost $1,281,858) | $ | 1,287,701 | ||||||
Other Assets & Liabilities, net - (7.7)% | (91,828 | ) | ||||||
Total Net Assets - 100.0% | $ | 1,195,873 | ||||||
Units | Unrealized | |||||||
OTC EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | ||||||||
BNP Paribas | 296 | $ | 179 | |||||
Barclays Bank plc | 138 | 98 | ||||||
Goldman Sachs International | 414 | (66 | ) | |||||
(Total Notional Value $1,199,655) | $ | 211 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 10. |
2 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | 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. |
4 | Repurchase Agreements — See Note 5. |
5 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2017. |
6 | Total Return based on Russell 2000 Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 123 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
INVERSE RUSSELL 2000® STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | 277 | $ | — | $ | 277 | ||||||||||
Federal Agency Discount Notes | — | 199,954 | — | — | 199,954 | |||||||||||||||
Federal Agency Notes | — | 49,988 | — | — | 49,988 | |||||||||||||||
Mutual Funds | 670,290 | — | — | — | 670,290 | |||||||||||||||
Repurchase Agreements | — | 367,469 | — | — | 367,469 | |||||||||||||||
Total Assets | $ | 670,290 | $ | 617,411 | $ | 277 | $ | — | $ | 1,287,978 | ||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | 66 | $ | — | $ | 66 |
* | Other financial instruments include swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
124 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE RUSSELL 2000® STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $249,933) | $ | 249,942 | ||
Investments in affiliated issuers, at value (cost $664,456) | 670,290 | |||
Repurchase agreements, at value (cost $367,469) | 367,469 | |||
Total investments (cost $1,281,858) | 1,287,701 | |||
Segregated cash with broker | 123,400 | |||
Unrealized appreciation on swap agreements | 277 | |||
Receivables: | ||||
Variation margin | 2,588 | |||
Securities sold | 25,000 | |||
Fund shares sold | 43,074 | |||
Dividends | 1,195 | |||
Interest | 137 | |||
Total assets | 1,483,372 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 1,760 | |||
Unrealized depreciation on swap agreements | 66 | |||
Payable for: | ||||
Fund shares redeemed | 275,968 | |||
Swap settlement | 4,289 | |||
Securities purchased | 1,258 | |||
Management fees | 1,121 | |||
Transfer agent and administrative fees | 311 | |||
Investor service fees | 311 | |||
Portfolio accounting fees | 124 | |||
Miscellaneous | 2,291 | |||
Total liabilities | 287,499 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 1,195,873 | ||
Net assets consist of: | ||||
Paid in capital | $ | 7,678,984 | ||
Accumulated net investment loss | (25,702 | ) | ||
Accumulated net realized loss on investments | (6,463,463 | ) | ||
Net unrealized appreciation on investments | 6,054 | |||
Net assets | $ | 1,195,873 | ||
Capital shares outstanding | 17,817 | |||
Net asset value per share | $ | 67.12 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 14,852 | ||
Interest | 10,667 | |||
Total investment income | 25,519 | |||
Expenses: | ||||
Management fees | 25,612 | |||
Transfer agent and administrative fees | 7,114 | |||
Investor service fees | 7,114 | |||
Portfolio accounting fees | 2,846 | |||
Professional fees | 6,719 | |||
Custodian fees | 541 | |||
Trustees’ fees* | 392 | |||
Miscellaneous | 883 | |||
Total expenses | 51,221 | |||
Net investment loss | (25,702 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 11 | |||
Investments in affiliated issuers | 4,760 | |||
Swap agreements | (566,214 | ) | ||
Futures contracts | (9,954 | ) | ||
Net realized loss | (571,397 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 9 | |||
Investments in affiliated issuers | 1,320 | |||
Swap agreements | (109,884 | ) | ||
Futures contracts | (2,349 | ) | ||
Net change in unrealized appreciation (depreciation) | (110,904 | ) | ||
Net realized and unrealized loss | (682,301 | ) | ||
Net decrease in net assets resulting from operations | $ | (708,003 | ) |
* | 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 FUNDS SEMI-ANNUAL REPORT | 125 |
INVERSE RUSSELL 2000® STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (25,702 | ) | $ | (78,459 | ) | ||
Net realized loss on investments | (571,397 | ) | (2,646,045 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (110,904 | ) | 47,137 | |||||
Net decrease in net assets resulting from operations | (708,003 | ) | (2,677,367 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 32,160,404 | 174,319,856 | ||||||
Cost of shares redeemed | (42,566,594 | ) | (166,281,376 | ) | ||||
Net increase (decrease) from capital share transactions | (10,406,190 | ) | 8,038,480 | |||||
Net increase (decrease) in net assets | (11,114,193 | ) | 5,361,113 | |||||
Net assets: | ||||||||
Beginning of period | 12,310,066 | 6,948,953 | ||||||
End of period | $ | 1,195,873 | $ | 12,310,066 | ||||
Accumulated net investment loss at end of period | $ | (25,702 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 460,646 | 2,047,265 | * | |||||
Shares redeemed | (616,117 | ) | (1,951,950 | )* | ||||
Net increase (decrease) in shares | (155,471 | ) | 95,315 | * |
* | Capital share activity for the year ended December 31, 2016 has been restated to reflect a 1:3 reverse share split effective December 1, 2016 — See Note 12. |
126 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE RUSSELL 2000® STRATEGY FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 71.04 | $ | 89.12 | $ | 89.01 | $ | 97.61 | $ | 141.19 | $ | 172.55 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.31 | ) | (.35 | ) | (1.20 | ) | (1.44 | ) | (1.98 | ) | (2.70 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.61 | ) | (17.73 | ) | 1.31 | (7.16 | ) | (41.60 | ) | (28.66 | ) | |||||||||||||
Total from investment operations | (3.92 | ) | (18.08 | ) | .11 | (8.60 | ) | (43.58 | ) | (31.36 | ) | |||||||||||||
Net asset value, end of period | $ | 67.12 | $ | 71.04 | $ | 89.12 | $ | 89.01 | $ | 97.61 | $ | 141.19 | ||||||||||||
Total Returnc | (5.50 | %) | (20.28 | %) | 0.10 | % | (8.85 | %) | (30.85 | %) | (18.15 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,196 | $ | 12,310 | $ | 6,949 | $ | 1,592 | $ | 2,066 | $ | 3,746 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.90 | %) | (1.14 | %) | (1.39 | %) | (1.50 | %) | (1.69 | %) | (1.77 | %) | ||||||||||||
Total expensesd | 1.80 | % | 1.75 | % | 1.71 | % | 1.76 | % | 1.74 | % | 1.88 | % | ||||||||||||
Portfolio turnover rate | 268 | % | 1,160 | % | 452 | % | 415 | % | — | — |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse Share Split — Per share amounts for periods presented through December 31, 2016 have been restated to reflect a 1:3 reverse share split effective December 1, 2016 — See Note 12.. |
f | Reverse Share Split — Per share amounts for periods presented through December 31, 2014 have been restated to reflect a 1:3 reverse share split effective January 24, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 127 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
DOW 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance, before fees and expenses, 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”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: May 3, 2004 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 28.7% |
Guggenheim Strategy Fund II | 19.7% |
Goldman Sachs Group, Inc. | 1.6% |
3M Co. | 1.5% |
Boeing Co. | 1.4% |
UnitedHealth Group, Inc. | 1.3% |
International Business Machines Corp. | 1.1% |
Home Depot, Inc. | 1.1% |
McDonald’s Corp. | 1.1% |
Apple, Inc. | 1.0% |
Top Ten Total | 58.5% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Dow 2x Strategy Fund | 17.66% | 44.83% | 23.97% | 8.33% |
Dow Jones Industrial Average Index | 9.35% | 22.12% | 13.45% | 7.57% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Dow Jones Industrial Average Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
128 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
DOW 2x STRATEGY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 22.4% | ||||||||
Industrial - 4.8% | ||||||||
3M Co. | 1,413 | $ | 294,173 | |||||
Boeing Co. | 1,413 | 279,420 | ||||||
United Technologies Corp. | 1,413 | 172,541 | ||||||
Caterpillar, Inc. | 1,413 | 151,841 | ||||||
General Electric Co. | 1,413 | 38,165 | ||||||
Total Industrial | 936,140 | |||||||
Financial - 4.4% | ||||||||
Goldman Sachs Group, Inc. | 1,413 | 313,545 | ||||||
Travelers Cos., Inc. | 1,413 | 178,787 | ||||||
Visa, Inc. — Class A | 1,413 | 132,511 | ||||||
JPMorgan Chase & Co. | 1,413 | 129,148 | ||||||
American Express Co. | 1,413 | 119,031 | ||||||
Total Financial | 873,022 | |||||||
Consumer, Non-cyclical - 3.9% | ||||||||
UnitedHealth Group, Inc. | 1,413 | 261,998 | ||||||
Johnson & Johnson | 1,413 | 186,926 | ||||||
Procter & Gamble Co. | 1,413 | 123,143 | ||||||
Merck & Co., Inc. | 1,413 | 90,559 | ||||||
Coca-Cola Co. | 1,413 | 63,373 | ||||||
Pfizer, Inc. | 1,413 | 47,463 | ||||||
Total Consumer, Non-cyclical | 773,462 | |||||||
Consumer, Cyclical - 3.2% | ||||||||
Home Depot, Inc. | 1,413 | 216,754 | ||||||
McDonald’s Corp. | 1,413 | 216,415 | ||||||
Wal-Mart Stores, Inc. | 1,413 | 106,936 | ||||||
NIKE, Inc. — Class B | 1,413 | 83,367 | ||||||
Total Consumer, Cyclical | 623,472 | |||||||
Technology - 2.9% | ||||||||
International Business Machines Corp. | 1,413 | 217,362 | ||||||
Apple, Inc. | 1,401 | 201,772 | ||||||
Microsoft Corp. | 1,413 | 97,398 | ||||||
Intel Corp. | 1,413 | 47,675 | ||||||
Total Technology | 564,207 | |||||||
Energy - 1.3% | ||||||||
Chevron Corp. | 1,413 | 147,419 | ||||||
Exxon Mobil Corp. | 1,413 | 114,071 | ||||||
Total Energy | 261,490 | |||||||
Communications - 1.3% | ||||||||
Walt Disney Co. | 1,413 | 150,132 | ||||||
Verizon Communications, Inc. | 1,413 | 63,104 | ||||||
Cisco Systems, Inc. | 1,413 | 44,227 | ||||||
Total Communications | 257,463 | |||||||
Basic Materials - 0.6% | ||||||||
EI du Pont de Nemours & Co. | 1,413 | 114,043 | ||||||
Total Common Stocks | ||||||||
(Cost $3,591,212) | 4,403,299 | |||||||
MUTUAL FUNDS† - 48.4% | ||||||||
Guggenheim Strategy Fund I1 | 225,726 | 5,658,950 | ||||||
Guggenheim Strategy Fund II1 | 154,839 | 3,872,518 | ||||||
Total Mutual Funds | ||||||||
(Cost $9,498,209) | 9,531,468 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 2.5% | ||||||||
U.S. Treasury Bill | ||||||||
0.96% due 09/07/172,3,4 | $ | 500,000 | 499,129 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $499,079) | 499,129 | |||||||
REPURCHASE AGREEMENTS††,5 - 18.7% | ||||||||
HSBC Securities, Inc. | 1,559,495 | 1,559,495 | ||||||
RBC Capital Markets LLC | 1,128,559 | 1,128,559 | ||||||
Bank of America Merrill Lynch | 995,404 | 995,404 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $3,683,458) | 3,683,458 | |||||||
Total Investments - 92.0% | ||||||||
(Cost $17,271,958) | $ | 18,117,354 | ||||||
Other Assets & Liabilities, net - 8.0% | 1,586,888 | |||||||
Total Net Assets - 100.0% | $ | 19,704,242 | ||||||
Units | Unrealized | |||||||
OTC EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Barclays Bank plc | 1,120 | $ | 66,569 | |||||
BNP Paribas | 519 | (32,320 | ) | |||||
(Total Notional Value $34,996,361) | $ | 34,249 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 129 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
DOW 2x STRATEGY FUND |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 10. |
2 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2017. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Zero coupon security. |
5 | Repurchase Agreements — See Note 5. |
6 | Total Return based on Dow Jones Industrial Average Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
Investments in Securities (Assets) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Common Stocks | $ | 4,403,299 | $ | — | $ | — | $ | — | $ | 4,403,299 | ||||||||||
Equity Index Swap Agreements | — | — | 66,569 | — | 66,569 | |||||||||||||||
Mutual Funds | 9,531,468 | — | — | — | 9,531,468 | |||||||||||||||
Repurchase Agreements | — | 3,683,458 | — | — | 3,683,458 | |||||||||||||||
U.S. Treasury Bills | — | 499,129 | — | — | 499,129 | |||||||||||||||
Total Assets | $ | 13,934,767 | $ | 4,182,587 | $ | 66,569 | $ | — | $ | 18,183,923 | ||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 2 - | Level 3 | Total | |||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | 32,320 | $ | — | $ | 32,320 |
* | Other financial instruments include swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
130 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
DOW 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $4,090,291) | $ | 4,902,428 | ||
Investments in affiliated issuers, at value (cost $9,498,209) | 9,531,468 | |||
Repurchase agreements, at value (cost $3,683,458) | 3,683,458 | |||
Total investments (cost $17,271,958) | 18,117,354 | |||
Segregated cash with broker | 1,581,226 | |||
Unrealized appreciation on swap agreements | 66,569 | |||
Receivables: | ||||
Fund shares sold | 128,215 | |||
Dividends | 14,336 | |||
Interest | 104 | |||
Total assets | 19,907,804 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 32,320 | |||
Payable for: | ||||
Fund shares redeemed | 114,529 | |||
Securities purchased | 13,303 | |||
Management fees | 11,683 | |||
Transfer agent and administrative fees | 3,245 | |||
Investor service fees | 3,245 | |||
Portfolio accounting fees | 1,298 | |||
Miscellaneous | 23,939 | |||
Total liabilities | 203,562 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 19,704,242 | ||
Net assets consist of: | ||||
Paid in capital | $ | 17,531,716 | ||
Undistributed net investment income | 8,790 | |||
Accumulated net realized gain on investments | 1,284,091 | |||
Net unrealized appreciation on investments | 879,645 | |||
Net assets | $ | 19,704,242 | ||
Capital shares outstanding | 152,129 | |||
Net asset value per share | $ | 129.52 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 79,148 | ||
Dividends from securities of affiliated issuers | 56,889 | |||
Interest | 7,446 | |||
Income from securities lending, net | 25 | |||
Total investment income | 143,508 | |||
Expenses: | ||||
Management fees | 70,920 | |||
Transfer agent and administrative fees | 19,700 | |||
Investor service fees | 19,700 | |||
Portfolio accounting fees | 7,880 | |||
Professional fees | 14,393 | |||
Custodian fees | 1,446 | |||
Trustees’ fees* | 993 | |||
Line of credit fees | 302 | |||
Miscellaneous | 8,085 | |||
Total expenses | 143,419 | |||
Net investment income | 89 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 450,967 | |||
Investments in affiliated issuers | 38 | |||
Swap agreements | 1,669,266 | |||
Futures contracts | 158,451 | |||
Net realized gain | 2,278,722 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 6,604 | |||
Investments in affiliated issuers | 14,474 | |||
Swap agreements | (92,079 | ) | ||
Futures contracts | 6,845 | |||
Net change in unrealized appreciation (depreciation) | (64,156 | ) | ||
Net realized and unrealized gain | 2,214,566 | |||
Net increase in net assets resulting from operations | $ | 2,214,655 |
* | 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 FUNDS SEMI-ANNUAL REPORT | 131 |
DOW 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 89 | $ | 8,701 | ||||
Net realized gain on investments | 2,278,722 | 2,169,590 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (64,156 | ) | 76,271 | |||||
Net increase in net assets resulting from operations | 2,214,655 | 2,254,562 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 56,855,461 | 118,726,201 | ||||||
Cost of shares redeemed | (55,875,375 | ) | (126,376,553 | ) | ||||
Net increase (decrease) from capital share transactions | 980,086 | (7,650,352 | ) | |||||
Net increase (decrease) in net assets | 3,194,741 | (5,395,790 | ) | |||||
Net assets: | ||||||||
Beginning of period | 16,509,501 | 21,905,291 | ||||||
End of period | $ | 19,704,242 | $ | 16,509,501 | ||||
Undistributed net investment income at end of period | $ | 8,790 | $ | 8,701 | ||||
Capital share activity: | ||||||||
Shares sold | 472,633 | 1,351,880 | ||||||
Shares redeemed | (470,476 | ) | (1,462,002 | ) | ||||
Net increase (decrease) in shares | 2,157 | (110,122 | ) |
132 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
DOW 2x STRATEGY FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 110.08 | $ | 84.22 | $ | 112.60 | $ | 169.97 | $ | 104.48 | $ | 89.19 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | — | c | .06 | (.06 | ) | (.40 | ) | (.40 | ) | (.29 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 19.44 | 25.80 | (2.89 | ) | 27.20 | 65.89 | 15.58 | |||||||||||||||||
Total from investment operations | 19.44 | 25.86 | (2.95 | ) | 26.80 | 65.49 | 15.29 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (25.43 | ) | (84.17 | ) | — | — | ||||||||||||||||
Total distributions | — | — | (25.43 | ) | (84.17 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $ | 129.52 | $ | 110.08 | $ | 84.22 | $ | 112.60 | $ | 169.97 | $ | 104.48 | ||||||||||||
Total Returnd | 17.66 | % | 30.72 | % | (4.22 | %) | 16.80 | % | 62.70 | % | 17.15 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 19,704 | $ | 16,510 | $ | 21,905 | $ | 19,978 | $ | 23,727 | $ | 26,618 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | — | f | 0.07 | % | (0.06 | %) | (0.25 | %) | (0.29 | %) | (0.29 | %) | ||||||||||||
Total expensese | 1.82 | % | 1.77 | % | 1.72 | % | 1.76 | % | 1.72 | % | 1.75 | % | ||||||||||||
Portfolio turnover rate | 155 | % | 361 | % | 212 | % | 227 | % | 518 | % | 999 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Net investment income is less than $0.01 per share. |
d | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
e | Does not include expenses of the underlying funds in which the Fund invests. |
f | Less than 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 133 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
INVERSE DOW 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, 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”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: May 3, 2004 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 2.7% |
Guggenheim Strategy Fund I | 2.5% |
Total | 5.2% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Inverse Dow 2x Strategy Fund | (16.54%) | (33.74%) | (26.33%) | (21.86%) |
Dow Jones Industrial Average Index | 9.35% | 22.12% | 13.45% | 7.57% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Dow Jones Industrial Average Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
134 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
INVERSE DOW 2x STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 5.2% | ||||||||
Guggenheim Strategy Fund II1 | 1,498 | $ | 37,454 | |||||
Guggenheim Strategy Fund I1 | 1,373 | 34,422 | ||||||
Total Mutual Funds | ||||||||
(Cost $71,213) | 71,876 | |||||||
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 46.5% | ||||||||
Freddie Mac2 | ||||||||
0.96% due 07/12/17 | $ | 300,000 | 299,912 | |||||
Farmer Mac3 | ||||||||
0.99% due 07/07/17 | 200,000 | 199,967 | ||||||
Federal Home Loan Bank3 | ||||||||
0.93% due 07/05/17 | 150,000 | 149,984 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $649,863) | 649,863 | |||||||
FEDERAL AGENCY NOTES†† - 17.9% | ||||||||
Freddie Mac2 | ||||||||
0.75% due 07/14/17 | 250,000 | 249,976 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $249,976) | �� | 249,976 | ||||||
REPURCHASE AGREEMENTS††,4 - 18.5% | ||||||||
HSBC Securities, Inc. | 156,792 | 156,792 | ||||||
Bank of America Merrill Lynch | 69,968 | 69,968 |
RBC Capital Markets LLC | 32,156 | 32,156 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $258,916) | 258,916 | |||||||
Total Investments - 88.1% | ||||||||
(Cost $1,229,968) | $ | 1,230,631 | ||||||
Other Assets & Liabilities, net - 11.9% | 165,867 | |||||||
Total Net Assets - 100.0% | $ | 1,396,498 | ||||||
Contracts | Unrealized | |||||||
EQUITY FUTURES CONTRACTS SOLD SHORT† | ||||||||
September 2017 Dow Jones | 6 | $ | 1,296 | |||||
Units | ||||||||
OTC EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | ||||||||
BNP Paribas | 48 | $ | 2,594 | |||||
Barclays Bank plc | 52 | (2,144 | ) | |||||
(Total Notional Value $2,132,171) | $ | 450 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 10. |
2 | 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. |
3 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
4 | Repurchase Agreements — See Note 5. |
5 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2017. |
6 | Total Return based on Dow Jones Industrial Average Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 135 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
INVERSE DOW 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Equity Futures Contracts | $ | — | $ | 1,296 | $ | — | $ | — | $ | — | $ | 1,296 | ||||||||||||
Equity Index Swap Agreements | — | — | — | 2,594 | — | 2,594 | ||||||||||||||||||
Federal Agency Discount Notes | — | — | 649,863 | — | — | 649,863 | ||||||||||||||||||
Federal Agency Notes | — | — | 249,976 | — | — | 249,976 | ||||||||||||||||||
Mutual Funds | 71,876 | — | — | — | — | 71,876 | ||||||||||||||||||
Repurchase Agreements | — | — | 258,916 | — | — | 258,916 | ||||||||||||||||||
Total Assets | $ | 71,876 | $ | 1,296 | $ | 1,158,755 | $ | 2,594 | $ | — | $ | 1,234,521 | ||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | — | $ | 2,144 | $ | — | $ | 2,144 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
136 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE DOW 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $899,839) | $ | 899,839 | ||
Investments in affiliated issuers, at value (cost $71,213) | 71,876 | |||
Repurchase agreements, at value (cost $258,916) | 258,916 | |||
Total investments (cost $1,229,968) | 1,230,631 | |||
Segregated cash with broker | 239,050 | |||
Unrealized appreciation on swap agreements | 2,594 | |||
Receivables: | ||||
Fund shares sold | 51,677 | |||
Dividends | 2,640 | |||
Interest | 877 | |||
Swap settlement | 28 | |||
Total assets | 1,527,497 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 2,144 | |||
Payable for: | ||||
Fund shares redeemed | 115,133 | |||
Management fees | 3,451 | |||
Securities purchased | 2,647 | |||
Variation margin | 2,624 | |||
Transfer agent and administrative fees | 959 | |||
Investor service fees | 959 | |||
Portfolio accounting fees | 383 | |||
Miscellaneous | 2,699 | |||
Total liabilities | 130,999 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 1,396,498 | ||
Net assets consist of: | ||||
Paid in capital | $ | 18,570,367 | ||
Accumulated net investment loss | (16,120 | ) | ||
Accumulated net realized loss on investments | (17,160,158 | ) | ||
Net unrealized appreciation on investments | 2,409 | |||
Net assets | $ | 1,396,498 | ||
Capital shares outstanding | 25,272 | |||
Net asset value per share | $ | 55.26 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 17,897 | ||
Interest | 6,802 | |||
Total investment income | 24,699 | |||
Expenses: | ||||
Management fees | 20,214 | |||
Transfer agent and administrative fees | 5,615 | |||
Investor service fees | 5,615 | |||
Portfolio accounting fees | 2,246 | |||
Professional fees | 6,671 | |||
Custodian fees | 510 | |||
Trustees’ fees* | 426 | |||
Line of credit fees | 20 | |||
Miscellaneous | (498 | ) | ||
Total expenses | 40,819 | |||
Net investment loss | (16,120 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (21 | ) | ||
Investments in affiliated issuers | 12,466 | |||
Swap agreements | (1,016,177 | ) | ||
Futures contracts | (95,109 | ) | ||
Net realized loss | (1,098,841 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 152 | |||
Investments in affiliated issuers | (6,362 | ) | ||
Swap agreements | (40,754 | ) | ||
Futures contracts | (410 | ) | ||
Net change in unrealized appreciation (depreciation) | (47,374 | ) | ||
Net realized and unrealized loss | (1,146,215 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,162,335 | ) |
* | 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 FUNDS SEMI-ANNUAL REPORT | 137 |
INVERSE DOW 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (16,120 | ) | $ | (57,234 | ) | ||
Net realized loss on investments | (1,098,841 | ) | (2,440,681 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (47,374 | ) | (39,418 | ) | ||||
Net decrease in net assets resulting from operations | (1,162,335 | ) | (2,537,333 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 47,720,719 | 133,889,240 | ||||||
Cost of shares redeemed | (48,565,383 | ) | (133,004,925 | ) | ||||
Net increase (decrease) from capital share transactions | (844,664 | ) | 884,315 | |||||
Net decrease in net assets | (2,006,999 | ) | (1,653,018 | ) | ||||
Net assets: | ||||||||
Beginning of period | 3,403,497 | 5,056,515 | ||||||
End of period | $ | 1,396,498 | $ | 3,403,497 | ||||
Accumulated net investment loss at end of period | $ | (16,120 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 785,534 | 1,552,526 | * | |||||
Shares redeemed | (811,658 | ) | (1,554,860 | )* | ||||
Net decrease in shares | (26,124 | ) | (2,334 | )* |
* | Capital share activity for the year ended December 31, 2016, has been restated to reflect a 1:3 reverse share split effective December 1, 2016 — See Note 12. |
138 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE DOW 2x STRATEGY FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 66.22 | $ | 94.11 | $ | 102.38 | $ | 130.67 | $ | 233.06 | $ | 300.53 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.21 | ) | (.25 | ) | (1.50 | ) | (1.80 | ) | (2.82 | ) | (4.14 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (10.75 | ) | (27.64 | ) | (6.77 | ) | (26.49 | ) | (99.57 | ) | (63.33 | ) | ||||||||||||
Total from investment operations | (10.96 | ) | (27.89 | ) | (8.27 | ) | (28.29 | ) | (102.39 | ) | (67.47 | ) | ||||||||||||
Net asset value, end of period | $ | 55.26 | $ | 66.22 | $ | 94.11 | $ | 102.38 | $ | 130.67 | $ | 233.06 | ||||||||||||
Total Returnc | (16.54 | %) | (29.65 | %) | (8.03 | %) | (21.77 | %) | (43.89 | %) | (22.46 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,396 | $ | 3,403 | $ | 5,057 | $ | 2,305 | $ | 2,577 | $ | 5,148 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.72 | %) | (0.84 | %) | (1.52 | %) | (1.51 | %) | (1.67 | %) | (1.64 | %) | ||||||||||||
Total expensesd | 1.82 | % | 1.77 | % | 1.72 | % | 1.77 | % | 1.72 | % | 1.75 | % | ||||||||||||
Portfolio turnover rate | 588 | % | 642 | % | 270 | % | 247 | % | — | — |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2014 have been restated to reflect a 1:10 reverse share split effective January 24, 2014. |
f | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:3 reverse share split effective December 1, 2016 — See Note 12. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 139 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correspond, before fees and expenses, to a benchmark for U.S. Government securities on a daily basis. The Fund’s current benchmark is 120% 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. The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: August 18, 1997 |
The Fund invests principally in U.S. Government securities and in derivative investments such as futures contracts.
Largest Holdings (% of Total Net Assets) | |
U.S. Treasury Bond | 41.5% |
Guggenheim Strategy Fund II | 11.3% |
Guggenheim Strategy Fund I | 10.6% |
Total | 63.4% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Government Long Bond 1.2x Strategy Fund | 6.34% | (12.23%) | 1.61% | 7.35% |
Daily Price Movement of Long Treasury Bond | 4.16% | (11.68%) | (0.96%) | 3.51% |
Bloomberg Barclays Long Treasury Bond Index | 5.41% | (7.22%) | 2.76% | 7.34% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Barclays Long Treasury Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
140 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 21.9% | ||||||||
Guggenheim Strategy Fund II1 | 71,202 | $ | 1,780,756 | |||||
Guggenheim Strategy Fund I1 | 66,072 | 1,656,429 | ||||||
Total Mutual Funds | ||||||||
(Cost $3,419,408) | 3,437,185 | |||||||
Face | ||||||||
U.S. GOVERNMENT SECURITIES†† - 41.5% | ||||||||
U.S. Treasury Bond | ||||||||
3.00% due 05/15/47 | $ | 6,300,000 | 6,512,624 | |||||
Total U.S. Government Securities | ||||||||
(Cost $6,361,209) | 6,512,624 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 15.8% | ||||||||
Federal Home Loan Bank2 | ||||||||
0.93% due 07/03/17 | 800,000 | 799,956 | ||||||
0.93% due 07/05/17 | 250,000 | 249,973 | ||||||
Total Federal Home Loan Bank | 1,049,929 | |||||||
Freddie Mac3 | ||||||||
0.96% due 07/12/17 | 800,000 | 799,765 | ||||||
1.15% due 09/26/17 | 30,000 | 29,928 | ||||||
Total Freddie Mac | 829,693 | |||||||
Farmer Mac2 | ||||||||
0.99% due 07/07/17 | 600,000 | 599,901 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $2,479,512) | 2,479,523 | |||||||
FEDERAL AGENCY NOTES†† - 2.5% | ||||||||
Freddie Mac3 | ||||||||
0.75% due 07/14/17 | 400,000 | 399,962 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $399,962) | 399,962 |
U.S. TREASURY BILLS†† - 1.6% | ||||||||
U.S. Treasury Bill | ||||||||
0.91% due 08/03/174,5,7 | 250,000 | 249,817 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $249,788) | 249,817 | |||||||
REPURCHASE AGREEMENTS††,6 - 24.7% | ||||||||
RBC Capital Markets LLC | 1,415,688 | 1,415,688 | ||||||
HSBC Securities, Inc. | 1,415,688 | 1,415,688 | ||||||
Bank of America Merrill Lynch | 1,048,478 | 1,048,478 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $3,879,854) | 3,879,854 | |||||||
Total Investments - 108.0% | ||||||||
(Cost $16,789,733) | $ | 16,958,965 | ||||||
Other Assets & Liabilities, net - (8.0)% | (1,250,841 | ) | ||||||
Total Net Assets - 100.0% | $ | 15,708,124 | ||||||
Contracts | Unrealized | |||||||
INTEREST RATE FUTURES CONTRACTS PURCHASED† | ||||||||
September 2017 U.S. Treasury | 84 | $ | 96,890 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 10. |
2 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | 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. |
4 | All or a portion of this security is pledged as futures collateral at June 30, 2017. |
5 | Rate indicated is the effective yield at the time of purchase. |
6 | Repurchase Agreements — See Note 5. |
7 | Zero coupon rate security. |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 141 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 3 | Total | |||||||||||||||
Federal Agency Discount Notes | $ | — | $ | — | $ | 2,479,523 | $ | — | $ | 2,479,523 | ||||||||||
Federal Agency Notes | — | — | 399,962 | — | 399,962 | |||||||||||||||
Interest Rate Futures Contracts | — | 96,890 | — | — | 96,890 | |||||||||||||||
Mutual Funds | 3,437,185 | — | — | — | 3,437,185 | |||||||||||||||
Repurchase Agreements | — | — | 3,879,854 | — | 3,879,854 | |||||||||||||||
U.S. Government Securities | — | — | 6,512,624 | — | 6,512,624 | |||||||||||||||
U.S. Treasury Bills | — | — | 249,817 | — | 249,817 | |||||||||||||||
Total Assets | $ | 3,437,185 | $ | 96,890 | $ | 13,521,780 | $ | — | $ | 17,055,855 |
* | Other financial instruments include futures contracts which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
142 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $9,490,471) | $ | 9,641,926 | ||
Investments in affiliated issuers, at value (cost $3,419,408) | 3,437,185 | |||
Repurchase agreements, at value (cost $3,879,854) | 3,879,854 | |||
Total investments (cost $16,789,733) | 16,958,965 | |||
Cash | 518,872 | |||
Segregated cash with broker | 169,451 | |||
Receivables: | ||||
Interest | 25,559 | |||
Dividends | 4,301 | |||
Fund shares sold | 199 | |||
Total assets | 17,677,347 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 1,887,979 | |||
Variation margin | 50,487 | |||
Management fees | 7,533 | |||
Securities purchased | 4,609 | |||
Investor service fees | 3,767 | |||
Transfer agent and administrative fees | 3,013 | |||
Portfolio accounting fees | 1,507 | |||
Miscellaneous | 10,328 | |||
Total liabilities | 1,969,223 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 15,708,124 | ||
Net assets consist of: | ||||
Paid in capital | $ | 26,995,164 | ||
Undistributed net investment income | 153 | |||
Accumulated net realized loss on investments | (11,553,315 | ) | ||
Net unrealized appreciation on investments | 266,122 | |||
Net assets | $ | 15,708,124 | ||
Capital shares outstanding | 506,296 | |||
Net asset value per share | $ | 31.03 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Interest | $ | 162,402 | ||
Dividends from securities of affiliated issuers | 35,426 | |||
Total investment income | 197,828 | |||
Expenses: | ||||
Management fees | 39,052 | |||
Transfer agent and administrative fees | 15,621 | |||
Investor service fees | 19,526 | |||
Portfolio accounting fees | 7,811 | |||
Professional fees | 24,809 | |||
Printing expenses | 7,596 | |||
Custodian fees | 1,815 | |||
Trustees’ fees* | 1,678 | |||
Line of credit fees | 114 | |||
Miscellaneous | (16,619 | ) | ||
Total expenses | 101,403 | |||
Net investment income | 96,425 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 266,879 | |||
Investments in affiliated issuers | 11,345 | |||
Futures contracts | 383,619 | |||
Net realized gain | 661,843 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (5,919 | ) | ||
Investments in affiliated issuers | (1,468 | ) | ||
Futures contracts | (128,601 | ) | ||
Net change in unrealized appreciation (depreciation) | (135,988 | ) | ||
Net realized and unrealized gain | 525,855 | |||
Net increase in net assets resulting from operations | $ | 622,280 |
* | 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 FUNDS SEMI-ANNUAL REPORT | 143 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 96,425 | $ | 269,702 | ||||
Net realized gain on investments | 661,843 | 2,266,961 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (135,988 | ) | 352,721 | |||||
Net increase in net assets resulting from operations | 622,280 | 2,889,384 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | (96,272 | ) | (274,658 | ) | ||||
Total distributions to shareholders | (96,272 | ) | (274,658 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 154,540,268 | 278,368,167 | ||||||
Distributions reinvested | 96,272 | 274,658 | ||||||
Cost of shares redeemed | (156,578,897 | ) | (281,504,905 | ) | ||||
Net decrease from capital share transactions | (1,942,357 | ) | (2,862,080 | ) | ||||
Net decrease in net assets | (1,416,349 | ) | (247,354 | ) | ||||
Net assets: | ||||||||
Beginning of period | 17,124,473 | 17,371,827 | ||||||
End of period | $ | 15,708,124 | $ | 17,124,473 | ||||
Undistributed net investment income at end of period | $ | 153 | $ | — | ||||
Capital share activity: | ||||||||
Shares sold | 5,151,590 | 8,684,767 | ||||||
Shares issued from reinvestment of distributions | 3,246 | 8,403 | ||||||
Shares redeemed | (5,231,715 | ) | (8,694,237 | ) | ||||
Net decrease in shares | (76,879 | ) | (1,067 | ) |
144 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 29.36 | $ | 29.73 | $ | 45.27 | $ | 33.88 | $ | 45.61 | $ | 59.16 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .18 | .31 | .32 | .29 | .33 | .42 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.67 | (.38 | ) | (3.29 | ) | 11.38 | (8.52 | ) | 1.96 | |||||||||||||||
Total from investment operations | 1.85 | (.07 | ) | (2.97 | ) | 11.67 | (8.19 | ) | 2.38 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (.18 | ) | (.30 | ) | (.31 | ) | (.28 | ) | (.33 | ) | (.42 | ) | ||||||||||||
Net realized gains | — | — | (12.26 | ) | — | (3.21 | ) | (15.51 | ) | |||||||||||||||
Total distributions | (.18 | ) | (.30 | ) | (12.57 | ) | (.28 | ) | (3.54 | ) | (15.93 | ) | ||||||||||||
Net asset value, end of period | $ | 31.03 | $ | 29.36 | $ | 29.73 | $ | 45.27 | $ | 33.88 | $ | 45.61 | ||||||||||||
Total Returnc | 6.34 | % | (0.33 | %) | (5.09 | %) | 34.67 | % | (18.25 | %) | 3.01 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 15,708 | $ | 17,124 | $ | 17,372 | $ | 28,003 | $ | 9,994 | $ | 21,149 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.23 | % | 0.93 | % | 0.86 | % | 0.72 | % | 0.78 | % | 0.71 | % | ||||||||||||
Total expensesd | 1.30 | % | 1.25 | % | 1.21 | % | 1.26 | % | 1.24 | % | 1.28 | % | ||||||||||||
Portfolio turnover rate | 1,127 | % | 1,386 | % | 1,800 | % | 1,763 | % | 3,661 | % | 3,230 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2014, have been restated to reflect a 1:3 reverse share split effective January 24, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 145 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
OBJECTIVE: Seeks to provide total returns that inversely correlate, before fees and expenses, to the price movements of a benchmark for U.S. Treasury debt instruments or futures contracts on a specified debt instrument on a daily basis. The Fund’s current benchmark is 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. The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: May 1, 2003 |
The Fund invests principally in short sales and derivative investments such as futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 26.1% |
Guggenheim Strategy Fund I | 14.3% |
Total | 40.4% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Inverse Government Long Bond Strategy Fund | (5.84%) | 8.93% | (4.81%) | (10.49%) |
Daily Price Movement of Long Treasury Bond | 4.16% | (11.68%) | (0.96%) | 3.51% |
Bloomberg Barclays Long Treasury Bond Index | 5.41% | (7.22%) | 2.76% | 7.34% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Barclays Long Treasury Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
146 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 40.4% | ||||||||
Guggenheim Strategy Fund II1 | 58,814 | $ | 1,470,949 | |||||
Guggenheim Strategy Fund I1 | 32,195 | 807,127 | ||||||
Total Mutual Funds | ||||||||
(Cost $2,265,862) | 2,278,076 | |||||||
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 10.6% | ||||||||
Federal Home Loan Bank2 | ||||||||
0.93% due 07/03/17 | $ | 200,000 | 199,989 | |||||
Farmer Mac2 | ||||||||
0.99% due 07/07/17 | 200,000 | 199,967 | ||||||
Freddie Mac3 | ||||||||
0.96% due 07/12/17 | 200,000 | 199,941 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $599,897) | 599,897 | |||||||
FEDERAL AGENCY NOTES†† - 6.8% | ||||||||
Freddie Mac3 | ||||||||
0.80% due 11/22/194 | 235,000 | 234,812 | ||||||
Federal Farm Credit Bank2 | ||||||||
1.32% due 09/18/175 | 150,000 | 150,083 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $384,037) | 384,895 | |||||||
REPURCHASE AGREEMENTS†† - 39.2% | ||||||||
Individual Repurchase Agreements6 | ||||||||
Barclays Capital | 918,000 | 918,000 |
Mizuho Financial Group, Inc. | 714,154 | 714,154 | ||||||
Joint Repurchase Agreements7 | ||||||||
RBC Capital Markets LLC | 211,209 | 211,209 | ||||||
HSBC Securities, Inc. | 211,209 | 211,209 | ||||||
Bank of America Merrill Lynch | 156,424 | 156,424 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $2,210,996) | 2,210,996 | |||||||
Total Investments - 97.0% | ||||||||
(Cost $5,460,792) | $ | 5,473,864 | ||||||
U.S. GOVERNMENT SECURITIES SOLD SHORT†† - (40.3)% | ||||||||
U.S. Treasury Bond | ||||||||
3.00% due 05/15/47 | 2,200,000 | (2,274,250 | ) | |||||
Total U.S. Government Securities Sold Short | ||||||||
(Proceeds $2,283,927) | (2,274,250 | ) | ||||||
Other Assets & Liabilities, net - 43.3% | 2,445,635 | |||||||
Total Net Assets - 100.0% | $ | 5,645,249 | ||||||
Contracts | Unrealized | |||||||
INTEREST RATE FUTURES CONTRACTS SOLD SHORT† | ||||||||
September 2017 U.S. Treasury | 23 | $ | 33,399 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 10. |
2 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | 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. |
4 | Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. |
5 | Variable rate security. Rate indicated is rate effective at June 30, 2017. |
6 | All or a portion of this security is pledged as short security collateral at June 30, 2017. |
7 | Repurchase Agreements — See Note 5. |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 147 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 3 | Total | |||||||||||||||
Federal Agency Discount Notes | $ | — | $ | — | $ | 599,897 | $ | — | $ | 599,897 | ||||||||||
Federal Agency Notes | — | — | 384,895 | — | 384,895 | |||||||||||||||
Interest Rate Futures Contracts | — | 33,399 | — | — | 33,399 | |||||||||||||||
Mutual Funds | 2,278,076 | — | — | — | 2,278,076 | |||||||||||||||
Repurchase Agreements | — | — | 2,210,996 | — | 2,210,996 | |||||||||||||||
Total Assets | $ | 2,278,076 | $ | 33,399 | $ | 3,195,788 | $ | — | $ | 5,507,263 | ||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 1 - | Level 2 | Level 3 | Total | |||||||||||||||
U.S. Government Securities | $ | — | $ | — | $ | 2,274,250 | $ | — | $ | 2,274,250 |
* | Other financial instruments include futures contracts which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
148 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $983,934) | $ | 984,792 | ||
Investments in affiliated issuers, at value (cost $2,265,862) | 2,278,076 | |||
Repurchase agreements, at value (cost $2,210,996) | 2,210,996 | |||
Total investments (cost $5,460,792) | 5,473,864 | |||
Cash | 622,647 | |||
Segregated cash with broker | 66,000 | |||
Receivables: | ||||
Fund shares sold | 1,768,573 | |||
Variation margin | 7,955 | |||
Dividends | 4,471 | |||
Interest | 341 | |||
Total assets | 7,943,851 | |||
Liabilities: | ||||
Securities sold short, at value (proceeds $2,283,927) | 2,274,250 | |||
Payable for: | ||||
Securities purchased | 4,681 | |||
Management fees | 3,746 | |||
Transfer agent and administrative fees | 1,040 | |||
Investor service fees | 1,040 | |||
Portfolio accounting fees | 416 | |||
Fund shares redeemed | 53 | |||
Miscellaneous | 13,376 | |||
Total liabilities | 2,298,602 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 5,645,249 | ||
Net assets consist of: | ||||
Paid in capital | $ | 12,929,375 | ||
Accumulated net investment loss | (62,448 | ) | ||
Accumulated net realized loss on investments | (7,277,826 | ) | ||
Net unrealized appreciation on investments | 56,148 | |||
Net assets | $ | 5,645,249 | ||
Capital shares outstanding | 57,657 | |||
Net asset value per share | $ | 97.91 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 31,020 | ||
Interest | 20,195 | |||
Total investment income | 51,215 | |||
Expenses: | ||||
Management fees | 24,828 | |||
Transfer agent and administrative fees | 6,897 | |||
Investor service fees | 6,897 | |||
Portfolio accounting fees | 2,759 | |||
Interest expense | 65,426 | |||
Professional fees | 6,401 | |||
Custodian fees | 548 | |||
Trustees’ fees* | 429 | |||
Line of credit fees | 2 | |||
Miscellaneous | (524 | ) | ||
Total expenses | 113,663 | |||
Net investment loss | (62,448 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | 9,449 | |||
Futures contracts | (106,379 | ) | ||
Securities sold short | (292,334 | ) | ||
Net realized loss | (389,264 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (53 | ) | ||
Investments in affiliated issuers | (2,191 | ) | ||
Futures contracts | 28,996 | |||
Securities sold short | (53,901 | ) | ||
Net change in unrealized appreciation (depreciation) | (27,149 | ) | ||
Net realized and unrealized loss | (416,413 | ) | ||
Net decrease in net assets resulting from operations | $ | (478,861 | ) |
* | 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 FUNDS SEMI-ANNUAL REPORT | 149 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (62,448 | ) | $ | (144,984 | ) | ||
Net realized gain (loss) on investments | (389,264 | ) | 40,817 | |||||
Net change in unrealized appreciation (depreciation) on investments | (27,149 | ) | 62,623 | |||||
Net decrease in net assets resulting from operations | (478,861 | ) | (41,544 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 81,743,704 | 88,784,708 | ||||||
Cost of shares redeemed | (79,440,747 | ) | (89,661,807 | ) | ||||
Net increase (decrease) from capital share transactions | 2,302,957 | (877,099 | ) | |||||
Net increase (decrease) in net assets | 1,824,096 | (918,643 | ) | |||||
Net assets: | ||||||||
Beginning of period | 3,821,153 | 4,739,796 | ||||||
End of period | $ | 5,645,249 | $ | 3,821,153 | ||||
Accumulated net investment loss at end of period | $ | (62,448 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 811,062 | 936,504 | * | |||||
Shares redeemed | (790,146 | ) | (943,992 | )* | ||||
Net increase (decrease) in shares | 20,916 | (7,488 | )* |
* | Capital share activity for the year ended December 31, 2016, has been restated to reflect a 1:3 reverse share split effective December 1, 2016 — See Note 12. |
150 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 104.00 | $ | 107.17 | $ | 108.46 | $ | 159.80 | $ | 138.61 | $ | 32.46 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (1.14 | ) | (.87 | ) | (3.63 | ) | (5.40 | ) | (5.40 | ) | (5.10 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.95 | ) | (2.30 | ) | 2.34 | (33.58 | ) | 26.59 | (4.10 | ) | ||||||||||||||
Total from investment operations | (6.09 | ) | (3.17 | ) | (1.29 | ) | (38.98 | ) | 21.19 | (9.20 | ) | |||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | — | (12.36 | ) | — | — | |||||||||||||||||
Total distributions | — | — | — | (12.36 | ) | — | — | |||||||||||||||||
Net asset value, end of period | $ | 97.91 | $ | 104.00 | $ | 107.17 | $ | 108.46 | $ | 159.80 | $ | 138.61 | ||||||||||||
Total Returnc | (5.84 | %) | (2.94 | %) | (1.22 | %) | (24.91 | %) | 15.26 | % | (6.19 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,645 | $ | 3,821 | $ | 4,740 | $ | 6,595 | $ | 19,598 | $ | 8,370 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (2.26 | %) | (2.59 | %) | (3.39 | %) | (3.90 | %) | (3.56 | %) | (3.53 | %) | ||||||||||||
Total expensesd,g | 4.12 | % | 3.65 | % | 3.66 | % | 4.10 | % | 3.59 | % | 3.70 | % | ||||||||||||
Portfolio turnover rate | 932 | % | 1,384 | % | 1,305 | % | 2,537 | % | 5,999 | % | 6,326 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2014, have been restated to reflect a 1:5 reverse share split effective January 24, 2014. |
f | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:3 reverse share split effective December 1, 2016 — See Note 12. |
g | Total expenses may include interest expense related to short sales. Excluding interest expense, the net expense ratios for the periods presented would be: |
06/30/17 | 2016 | 2015 | 2014 | 2013 | 2012 |
1.75% | 1.72% | 1.65% | 1.71% | 1.69% | 1.76% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 151 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
HIGH YIELD STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of the high yield bond market.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: October 15, 2014 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 36.5% |
Guggenheim Strategy Fund I | 19.5% |
iShares iBoxx $ High Yield Corporate Bond ETF | 3.4% |
SPDR Bloomberg Barclays High Yield Bond ETF | 3.3% |
Top Ten Total | 62.7% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | Since Inception | |
High Yield Strategy Fund | 4.02% | 7.77% | 5.97% |
S&P 500 Index | 9.34% | 17.90% | 12.58% |
Bloomberg Barclays U.S. Corporate High Yield Index | 4.93% | 12.70% | 6.13% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Barclays U.S. Corporate High Yield Index and S&P 500 Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
152 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
HIGH YIELD STRATEGY FUND |
Shares | Value | |||||||
EXCHANGE-TRADED FUNDS† - 6.6% | ||||||||
iShares iBoxx $ High Yield Corporate Bond ETF | 3,016 | $ | 266,585 | |||||
SPDR Bloomberg Barclays High Yield Bond ETF | 7,022 | 261,218 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $460,596) | 527,803 | |||||||
MUTUAL FUNDS† - 56.0% | ||||||||
Guggenheim Strategy Fund II1 | 116,137 | 2,904,579 | ||||||
Guggenheim Strategy Fund I1 | 61,766 | 1,548,480 | ||||||
Total Mutual Funds | ||||||||
(Cost $4,411,330) | 4,453,059 | |||||||
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 9.2% | ||||||||
Federal Home Loan Bank2 | ||||||||
0.93% due 07/05/17 | $ | 450,000 | 449,951 | |||||
Freddie Mac3 | ||||||||
0.96% due 07/12/17 | 280,000 | 279,918 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $729,869) | 729,869 | |||||||
FEDERAL AGENCY NOTES†† - 6.3% | ||||||||
Federal Farm Credit Bank2 | ||||||||
1.37% due 01/23/184 | 500,000 | 500,835 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $500,542) | 500,835 | |||||||
REPURCHASE AGREEMENTS††,5 - 16.6% | ||||||||
RBC Capital Markets LLC | 482,418 | 482,418 | ||||||
HSBC Securities, Inc. | 482,418 | 482,418 | ||||||
Bank of America Merrill Lynch | 357,286 | 357,286 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,322,122) | 1,322,122 | |||||||
Total Investments - 94.7% | ||||||||
(Cost $7,424,459) | $ | 7,533,688 | ||||||
Other Assets & Liabilities, net - 5.3% | 419,456 | |||||||
Total Net Assets - 100.0% | $ | 7,953,144 | ||||||
Contracts | Unrealized | |||||||
INTEREST RATE FUTURES CONTRACTS PURCHASED† | ||||||||
September 2017 U.S. Treasury 5 Year Note | 58 | $ | (15,742 | ) | ||||
Units | ||||||||
OTC EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Goldman Sachs International | 102 | $ | 8 |
CENTRALLY CLEARED CREDIT DEFAULT SWAP AGREEMENTS PROTECTION SOLD ††,6 | |||||||||||||||||||||||
Index | Counterparty | Exchange | Protection | Maturity | Notional | Notional | Upfront | Unrealized | |||||||||||||||
CDX.NA.HY.28 Index | Barclays Bank plc | ICE | 5.00 | % | 06/20/22 | $ | 7,100,000 | $ | (7,594,160 | ) | $ | 439,102 | $ | 55,058 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 153 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
HIGH YIELD STRATEGY FUND |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 10. |
2 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | 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. |
4 | Variable rate security. Rate indicated is rate effective at June 30, 2017. |
5 | Repurchase Agreements — See Note 5. |
6 | Credit Default Swaps — See Note 2. |
CDX.NA.HY.28 Index — Credit Default Swap North American High Yield Series 28 Index | |
ICE — Intercontinental Exchange | |
ETF — Exchange-Traded Funds | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Credit Default Swap Agreements | $ | — | $ | — | $ | — | $ | 55,058 | $ | — | $ | 55,058 | ||||||||||||
Equity Index Swap Agreements | — | — | — | 8 | — | 8 | ||||||||||||||||||
Exchange-Traded Funds | 527,803 | — | — | — | — | 527,803 | ||||||||||||||||||
Federal Agency Discount Notes | — | — | 729,869 | — | — | 729,869 | ||||||||||||||||||
Federal Agency Notes | — | — | 500,835 | — | — | 500,835 | ||||||||||||||||||
Mutual Funds | 4,453,059 | — | — | — | — | 4,453,059 | ||||||||||||||||||
Repurchase Agreements | — | — | 1,322,122 | — | — | 1,322,122 | ||||||||||||||||||
Total Assets | $ | 4,980,862 | $ | — | $ | 2,552,826 | $ | 55,066 | $ | — | $ | 7,588,754 | ||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Interest Rate Futures Contracts | $ | — | $ | 15,742 | $ | — | $ | — | $ | — | $ | 15,742 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
154 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HIGH YIELD STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $1,691,007) | $ | 1,758,507 | ||
Investments in affiliated issuers, at value (cost $4,411,330) | 4,453,059 | |||
Repurchase agreements, at value (cost $1,322,122) | 1,322,122 | |||
Total investments (cost $7,424,459) | 7,533,688 | |||
Unamortized upfront premiums paid on credit default swaps | 439,102 | |||
Unrealized appreciation on swap agreements | 55,066 | |||
Segregated cash with broker | 39,200 | |||
Receivables: | ||||
Fund shares sold | 32,029 | |||
Interest | 11,037 | |||
Dividends | 8,737 | |||
Total assets | 8,118,859 | |||
Liabilities: | ||||
Segregated cash due to broker | 114,469 | |||
Payable for: | ||||
Securities purchased | 23,078 | |||
Variation margin | 10,082 | |||
Management fees | 4,967 | |||
Transfer agent and administrative fees | 1,656 | |||
Investor service fees | 1,656 | |||
Portfolio accounting fees | 662 | |||
Fund shares redeemed | 83 | |||
Miscellaneous | 9,062 | |||
Total liabilities | 165,715 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 7,953,144 | ||
Net assets consist of: | ||||
Paid in capital | $ | 7,480,205 | ||
Undistributed net investment income | 330,981 | |||
Accumulated net realized loss on investments | (6,595 | ) | ||
Net unrealized appreciation on investments | 148,553 | |||
Net assets | $ | 7,953,144 | ||
Capital shares outstanding | 93,815 | |||
Net asset value per share | $ | 84.77 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 55,640 | ||
Dividends from securities of unaffiliated issuers | 16,746 | |||
Interest | 6,997 | |||
Total investment income | 79,383 | |||
Expenses: | ||||
Management fees | 32,268 | |||
Transfer agent and administrative fees | 10,756 | |||
Investor service fees | 10,756 | |||
Portfolio accounting fees | 4,302 | |||
Professional fees | 8,912 | |||
Custodian fees | 815 | |||
Trustees’ fees* | 598 | |||
Miscellaneous | 357 | |||
Total expenses | 68,764 | |||
Net investment income | 10,619 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 6,578 | |||
Investments in affiliated issuers | 4,289 | |||
Swap agreements | 348,257 | |||
Futures contracts | 78,352 | |||
Net realized gain | 437,476 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 10,580 | |||
Investments in affiliated issuers | 8,863 | |||
Swap agreements | (132,356 | ) | ||
Futures contracts | (2,148 | ) | ||
Net change in unrealized appreciation (depreciation) | (115,061 | ) | ||
Net realized and unrealized gain | 322,415 | |||
Net increase in net assets resulting from operations | $ | 333,034 |
* | 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 FUNDS SEMI-ANNUAL REPORT | 155 |
HIGH YIELD STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 10,619 | $ | 44,359 | ||||
Net realized gain on investments | 437,476 | 354,168 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (115,061 | ) | 210,172 | |||||
Net increase in net assets resulting from operations | 333,034 | 608,699 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (384,650 | ) | |||||
Total distributions to shareholders | — | (384,650 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 14,709,238 | 57,855,138 | ||||||
Distributions reinvested | — | 384,650 | ||||||
Cost of shares redeemed | (14,479,499 | ) | (57,824,669 | ) | ||||
Net increase from capital share transactions | 229,739 | 415,119 | ||||||
Net increase in net assets | 562,773 | 639,168 | ||||||
Net assets: | ||||||||
Beginning of period | 7,390,371 | 6,751,203 | ||||||
End of period | $ | 7,953,144 | $ | 7,390,371 | ||||
Undistributed net investment income at end of period | $ | 330,981 | $ | 320,362 | ||||
Capital share activity: | ||||||||
Shares sold | 175,690 | 733,204 | * | |||||
Shares issued from reinvestment of distributions | — | 4,817 | * | |||||
Shares redeemed | (172,555 | ) | (737,152 | )* | ||||
Net increase in shares | 3,135 | 869 | * |
* | Capital share activity for the year ended December 31, 2016, has been restated to reflect a 1:3 reverse share split effective December 1, 2016 — See Note 12. |
156 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HIGH YIELD STRATEGY FUND |
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.
Period Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $ | 81.50 | $ | 75.17 | $ | 76.12 | $ | 75.00 | ||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)c | .10 | .14 | (.30 | ) | (.09 | ) | ||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.17 | 6.99 | (.29 | ) | 1.21 | |||||||||||
Total from investment operations | 3.27 | 7.13 | (.59 | ) | 1.12 | |||||||||||
Less distributions from: | ||||||||||||||||
Net investment income | — | (.80 | ) | — | — | |||||||||||
Net realized gains | — | — | (.36 | ) | — | |||||||||||
Total distributions | — | (.80 | ) | (.36 | ) | — | ||||||||||
Net asset value, end of period | $ | 84.77 | $ | 81.50 | $ | 75.17 | $ | 76.12 | ||||||||
Total Returnd | 4.02 | % | 11.62 | % | (0.71 | %) | 1.48 | % | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,953 | $ | 7,390 | $ | 6,751 | $ | 4,060 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | 0.25 | % | 0.51 | % | (0.39 | %) | (0.51 | %) | ||||||||
Total expensese | 1.60 | % | 1.56 | % | 1.49 | % | 1.57 | % | ||||||||
Portfolio turnover rate | 63 | % | 255 | % | 258 | % | — |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Since commencement of operations: October 15, 2014. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
d | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
e | Does not include expenses of the underlying funds in which the Fund invests. |
f | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:3 reverse share split effective December 1, 2016 — See Note 12. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 157 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
U.S. GOVERNMENT MONEY MARKET FUND
OBJECTIVE: Seeks to provide security of principal, high current income, and liquidity.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
FADN — Federal Agency Discount Note
FAN — Federal Agency Note
Inception Date: May 7, 1997 |
The Fund invests principally in money market instruments issued or guaranteed as to principal and interest by the U.S. Government, its agencies or instrumentalities and enters into repurchase agreements fully collateralized by U.S. government securities.
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
U.S. Government Money Market Fund | 0.00% | 0.00% | 0.00% | 0.30% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The – is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
158 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
U.S. GOVERNMENT MONEY MARKET FUND |
Face | Value | |||||||
FEDERAL AGENCY NOTES†† - 50.3% | ||||||||
Federal Farm Credit Bank1 | ||||||||
1.35% due 05/14/182 | $ | 7,000,000 | $ | 7,015,333 | ||||
1.26% due 12/18/172 | 3,500,000 | 3,502,939 | ||||||
1.16% due 09/12/172 | 1,500,000 | 1,500,241 | ||||||
1.41% due 11/13/172 | 1,000,000 | 999,816 | ||||||
1.21% due 07/13/172 | 800,000 | 800,043 | ||||||
1.32% due 09/18/172 | 685,000 | 685,193 | ||||||
1.20% due 05/04/182 | 560,000 | 561,094 | ||||||
1.18% due 03/02/182 | 155,000 | 155,292 | ||||||
Total Federal Farm Credit Bank | 15,219,951 | |||||||
Federal Home Loan Bank1 | ||||||||
0.74% due 08/14/172 | 5,000,000 | 4,998,132 | ||||||
1.04% due 10/20/172 | 2,000,000 | 1,999,979 | ||||||
1.05% due 09/26/172 | 2,000,000 | 1,999,853 | ||||||
1.15% due 12/07/172 | 330,000 | 330,305 | ||||||
1.14% due 08/09/172 | 70,000 | 70,027 | ||||||
Total Federal Home Loan Bank | 9,398,296 | |||||||
Fannie Mae3 | ||||||||
1.10% due 03/12/18 | 3,100,000 | 3,097,138 | ||||||
1.09% due 10/05/172 | 2,380,000 | 2,380,568 | ||||||
1.10% due 09/08/172 | 700,000 | 700,212 | ||||||
Total Fannie Mae | 6,177,918 | |||||||
Freddie Mac3 | ||||||||
0.88% due 03/07/18 | 3,500,000 | 3,491,258 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $34,287,423) | 34,287,423 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 26.4% | ||||||||
Fannie Mae3 | ||||||||
0.71% due 07/03/17 | 10,000,000 | 9,999,472 | ||||||
Federal Home Loan Bank1 | ||||||||
0.91% due 09/20/17 | 5,000,000 | 4,989,684 | ||||||
0.98% due 07/05/17 | 1,225,000 | 1,224,866 | ||||||
1.01% due 07/05/17 | 1,200,000 | 1,199,866 | ||||||
Total Federal Home Loan Bank | 7,414,416 | |||||||
Farmer Mac1 | ||||||||
0.86% due 10/03/17 | 500,000 | 498,877 | ||||||
Freddie Mac3 | ||||||||
0.93% due 07/07/17 | 92,000 | 91,986 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $18,004,751) | 18,004,751 | |||||||
U.S. TREASURY BILLS†† - 10.9% | ||||||||
U.S. Treasury Bill | ||||||||
1.07% due 12/14/174,6 | 7,500,000 | 7,461,734 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $7,461,734) | 7,461,734 | |||||||
REPURCHASE AGREEMENTS††,5 - 13.5% | ||||||||
RBC Capital Markets LLC | 3,373,484 | 3,373,484 | ||||||
HSBC Securities, Inc. | 3,373,483 | 3,373,483 | ||||||
Bank of America Merrill Lynch | 2,498,448 | 2,498,448 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $9,245,415) | 9,245,415 | |||||||
Total Investments - 101.1% | ||||||||
(Cost $68,999,323) | $ | 68,999,323 | ||||||
Other Assets & Liabilities, net - (1.1)% | (720,036 | ) | ||||||
Total Net Assets - 100.0% | $ | 68,279,287 |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
2 | Variable rate security. Rate indicated is rate effective at June 30, 2017. |
3 | 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. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 5. |
6 | Zero coupon rate security. |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 159 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
U.S. GOVERNMENT MONEY MARKET FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Federal Agency Discount Notes | $ | — | $ | 18,004,751 | $ | — | $ | 18,004,751 | ||||||||
Federal Agency Notes | — | 34,287,423 | — | 34,287,423 | ||||||||||||
Repurchase Agreements | — | 9,245,415 | — | 9,245,415 | ||||||||||||
U.S. Treasury Bills | — | 7,461,734 | — | 7,461,734 | ||||||||||||
Total Assets | $ | — | $ | 68,999,323 | $ | — | $ | 68,999,323 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
160 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
U.S. GOVERNMENT MONEY MARKET FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value (cost $59,753,908) | $ | 59,753,908 | ||
Repurchase agreements, at value (cost $9,245,415) | 9,245,415 | |||
Total investments (cost $68,999,323) | 68,999,323 | |||
Cash | 406 | |||
Receivables: | ||||
Fund shares sold | 384,063 | |||
Interest | 46,678 | |||
Total assets | 69,430,470 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 1,035,663 | |||
Management fees | 23,482 | |||
Transfer agent and administrative fees | 11,649 | |||
Portfolio accounting fees | 5,825 | |||
Investor service fees | 214 | |||
Miscellaneous | 74,350 | |||
Total liabilities | 1,151,183 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 68,279,287 | ||
Net assets consist of: | ||||
Paid in capital | $ | 68,269,571 | ||
Undistributed net investment income | — | |||
Accumulated net realized gain on investments | 9,716 | |||
Net unrealized appreciation on investments | — | |||
Net assets | $ | 68,279,287 | ||
Capital shares outstanding | 68,259,199 | |||
Net asset value per share | $ | 1.00 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Interest | $ | 265,915 | ||
Total investment income | 265,915 | |||
Expenses: | ||||
Management fees | 171,545 | |||
Transfer agent and administrative fees | 68,619 | |||
Investor service fees | 85,773 | |||
Portfolio accounting fees | 34,309 | |||
Professional fees | 86,081 | |||
Printing expenses | 29,130 | |||
Custodian fees | 7,175 | |||
Trustees’ fees* | 5,925 | |||
Miscellaneous | (43,157 | ) | ||
Total expenses | 445,400 | |||
Less: | ||||
Expenses reimbursed by service company | (7 | ) | ||
Expenses reimbursed by distributor | (85,557 | ) | ||
Expenses waived by Adviser | (93,934 | ) | ||
Total waived expenses | (179,498 | ) | ||
Net expenses | 265,902 | |||
Net investment income | 13 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 1,424 | |||
Net realized gain | 1,424 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Net realized and unrealized gain | 1,424 | |||
Net increase in net assets resulting from operations | $ | 1,437 |
* | 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 FUNDS SEMI-ANNUAL REPORT | 161 |
U.S. GOVERNMENT MONEY MARKET FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 13 | $ | 31 | ||||
Net realized gain on investments | 1,424 | 27,009 | ||||||
Net increase in net assets resulting from operations | 1,437 | 27,040 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | (13 | ) | (31 | ) | ||||
Net realized gains | — | (3,808 | ) | |||||
Total distributions to shareholders | (13 | ) | (3,839 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 71,407,299 | 329,868,259 | ||||||
Distributions reinvested | 13 | 3,839 | ||||||
Cost of shares redeemed | (64,833,354 | ) | (367,369,762 | ) | ||||
Net increase (decrease) from capital share transactions | 6,573,958 | (37,497,664 | ) | |||||
Net increase (decrease) in net assets | 6,575,382 | (37,474,463 | ) | |||||
Net assets: | ||||||||
Beginning of period | 61,703,905 | 99,178,368 | ||||||
End of period | $ | 68,279,287 | $ | 61,703,905 | ||||
Undistributed net investment income at end of period | $ | — | $ | — | ||||
Capital share activity: | ||||||||
Shares sold | 71,407,299 | 329,868,261 | ||||||
Shares issued from reinvestment of distributions | 13 | 3,837 | ||||||
Shares redeemed | (64,833,354 | ) | (367,369,762 | ) | ||||
Net increase (decrease) in shares | 6,573,958 | (37,497,664 | ) |
162 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
U.S. GOVERNMENT MONEY MARKET FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | — | b | — | b | — | b | — | b | — | b | — | b | ||||||||||||
Total from investment operations | — | b | — | b | — | b | — | b | — | b | — | b | ||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (— | )b | (— | )b | (— | )b | (— | )b | (— | )b | (— | )b | ||||||||||||
Net realized gains | — | — | — | (— | )b | (— | )b | — | ||||||||||||||||
Total distributions | (— | )b | (— | )b | (— | )b | (— | )b | (— | )b | (— | )b | ||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
Total Returnc | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 68,279 | $ | 61,704 | $ | 99,178 | $ | 98,358 | $ | 98,655 | $ | 130,981 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | — | e | — | e | — | e | — | e | — | e | — | e | ||||||||||||
Total expenses | 1.30 | % | 1.25 | % | 1.20 | % | 1.26 | % | 1.23 | % | 1.27 | % | ||||||||||||
Net expensesd | 0.78 | % | 0.40 | % | 0.13 | % | 0.05 | % | 0.07 | % | 0.13 | % | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Less than $0.01 per share. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Net expense information reflects the expense ratios after expense waivers. |
e | Less than 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 163 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
1. Organization and Significant Accounting Policies
Organization
The Rydex Variable Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of no par value shares. At June 30, 2017, the Trust consisted of forty-nine funds. The Trust offers shares of the Funds to insurance companies for their variable annuity and variable life insurance contracts.
This report covers the 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, Government Long Bond 1.2x Strategy Fund, Inverse Government Long Bond Strategy Fund, High Yield Strategy Fund and U.S. Government Money Market Fund (the “Funds”), each a non-diversified investment company, with the exception of U.S. Government Money Market Fund which is a diversified investment company.
The Funds are designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offer unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Funds to experience high portfolio turnover.
Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, 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.
The net asset value per share (“NAV”) of a fund is calculated by dividing the market value of the fund’s securities and other assets, less all liabilities, by the number of outstanding shares of the fund.
A. The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
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, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
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”) are valued at the last quoted sales price.
The U.S. Government Money Market Fund values debt securities at amortized cost pursuant to Rule 2a-7 of the 1940 Act, which approximates market value.
With the exception of the U.S. Government Money Market Fund, U.S. Government securities are valued by either independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
164 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.
Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts 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 values of over-the-counter (“OTC”) swap agreements and credit default swap agreements entered into by a Fund are accounted for using the unrealized gains or losses on the agreements that are determined by marking the agreements to the last quoted value of the index that the swaps pertain to at the close of the NYSE. The swaps’ values are 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 GI under the direction of the Board using methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “fair value.” Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.
In connection with futures contracts and other derivative investments, such factors may include obtaining 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.
B. 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.
C. When a Fund engages in a short sale of a 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.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend 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 Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
D. Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. 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.
E. Swap agreements are marked-to-market daily 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 an agreement are recognized as realized gains or losses.
Credit default swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized gain or loss. Upfront payments received or made by a Fund on credit default swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
F. 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
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 165 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 discounts, is accrued on a daily basis. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
G. Dividends from net investment income are declared daily in the Government Long Bond 1.2x Strategy Fund and the U.S. Government Money Market Fund. Normally, all such distributions of a fund will automatically be reinvested without charge in additional shares of the same fund. Distributions of net investment income in the remaining Funds and distributions of net realized gains, if any, in all Funds are declared at least annually and recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
H. The Funds may leave cash overnight in their cash account with the custodian. 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, which was 1.06% at June 30, 2017.
I. Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, 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 and Derivatives
As part of their investment strategy, the Funds utilize short sales and a variety of derivative instruments. 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. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Short Sales
A short sale is a transaction in which a Fund sells a 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, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations. The Funds may utilize derivatives for the following purposes:
Duration: the use of an instrument to manage the interest rate risk of a portfolio.
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.
Liquidity: the ability to buy or sell exposure with little price/market impact.
For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.
166 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Futures
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statements of Assets and Liabilities; securities held as collateral are noted on the Schedules of Investments.
The following table represents the Funds’ use and volume of futures on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
Nova Fund | Index exposure, Leverage, Liquidity | $ | 1,414,800 | $ | — | ||||
Inverse S&P 500® Strategy Fund | Index exposure, Liquidity | — | 1,027,350 | ||||||
NASDAQ-100® Fund | Index exposure, Liquidity | 2,772,615 | — | ||||||
Inverse NASDAQ-100® Strategy Fund | Index exposure, Liquidity | — | 561,010 | ||||||
S&P 500® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 7,793,550 | — | ||||||
NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 1,902,775 | — | ||||||
Mid-Cap 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | 687,320 | — | ||||||
Russell 2000® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 311,355 | — | ||||||
Russell 2000® 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | 830,280 | — | ||||||
Inverse Russell 2000® Strategy Fund | Index exposure, Liquidity | — | 34,595 | ||||||
Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | 2,471,760 | — | ||||||
Inverse Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 319,455 | ||||||
Government Long Bond 1.2x Strategy Fund | Duration, Index exposure, Leverage, Liquidity | 11,950,750 | — | ||||||
Inverse Government Long Bond Strategy Fund | Duration, Index exposure, Liquidity | — | 2,471,328 | ||||||
High Yield Strategy Fund | Duration, Index exposure, Liquidity | 7,184,016 | — |
Swaps
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A Fund utilizing OTC swaps bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing. Central clearing generally reduces counterparty credit risk and increases liquidity, but central clearing does not make swap transactions risk-free. Additionally, there is no guarantee that a Fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as index or basket) or a fixed or variable interest rate. Index swaps will usually be computed based on the current index value as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. A fund utilizing a total return index swap bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying index declines in value.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 167 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table represents the Funds’ use and volume of total return swaps on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
Nova Fund | Index exposure, Leverage, Liquidity | $ | 40,053,693 | $ | — | ||||
Inverse S&P 500® Strategy Fund | Index exposure, Liquidity | — | 2,962,652 | ||||||
NASDAQ-100® Fund | Index exposure, Liquidity | 25,883,920 | — | ||||||
Inverse NASDAQ-100® Strategy Fund | Index exposure, Liquidity | — | 914,497 | ||||||
S&P 500® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 64,292,180 | — | ||||||
NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 82,360,405 | — | ||||||
Mid-Cap 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | 7,247,669 | — | ||||||
Inverse Mid-Cap Strategy Fund | Index exposure, Liquidity | — | 291,870 | ||||||
Russell 2000® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 7,233,871 | — | ||||||
Russell 2000® 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | 8,003,292 | — | ||||||
Inverse Russell 2000® Strategy Fund | Index exposure, Liquidity | — | 1,577,566 | ||||||
Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | 29,661,114 | — | ||||||
Inverse Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 2,794,163 | ||||||
High Yield Strategy Fund | Index exposure, Liquidity, Duration | 109,361 | — |
Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. In accordance with its principal investment strategy, the Funds enter into credit default swaps as a seller of protection primarily to gain exposure similar to the high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. If a credit event occurs, as defined under the terms of the swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The Notional Principal reflects the maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs. As the seller of protection, the Fund receives periodic premium payments from the counterparty and may also receive or pay an upfront premium adjustment to the stated periodic premium. In the event a credit event occurs, an adjustment will be made to any upfront premiums that were received by a reduction of 1.00% per credit event.
The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The following table represents the Funds’ use and volume of credit default swaps on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
High Yield Strategy Fund | Duration, Index exposure, Liquidity | $ | 7,843,880 | $ | — |
The table on page 153 included in the Schedule of Investments summarizes the information with regards to sold protection on credit default swap contracts as of June 30, 2016.
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of June 30, 2017:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Interest Rate contracts | Variation margin | Variation margin |
Equity/Credit contracts | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements |
168 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at June 30, 2017:
Asset Derivative Investments Value | ||||||||||||||||||||
Fund | Futures | Swaps | Futures | Swaps | Total Value at | |||||||||||||||
Nova Fund | $ | — | $ | 22,193 | $ | — | $ | — | $ | 22,193 | ||||||||||
Inverse S&P 500® Strategy Fund | 10,831 | 6,761 | — | — | 17,592 | |||||||||||||||
Inverse NASDAQ-100® Strategy Fund | 8,861 | 10,888 | — | — | 19,749 | |||||||||||||||
S&P 500® 2x Strategy Fund | 3,885 | 24,968 | — | — | 28,853 | |||||||||||||||
Mid-Cap 1.5x Strategy Fund | — | 1,246 | — | — | 1,246 | |||||||||||||||
Inverse Mid-Cap Strategy Fund | — | 496 | — | — | 496 | |||||||||||||||
Russell 2000® 2x Strategy Fund | — | 3,052 | — | — | 3,052 | |||||||||||||||
Inverse Russell 2000® Strategy Fund | — | 277 | — | — | 277 | |||||||||||||||
Dow 2x Strategy Fund | — | 66,569 | — | — | 66,569 | |||||||||||||||
Inverse Dow 2x Strategy Fund | 1,296 | 2,594 | — | — | 3,890 | |||||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | 96,890 | — | 96,890 | |||||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | 33,399 | — | 33,399 | |||||||||||||||
High Yield Strategy Fund | — | 8 | — | 55,058 | 55,066 |
Liability Derivative Investments Value | ||||||||||||||||||||
Fund | Futures | Swaps | Futures | Swaps | Total Value at | |||||||||||||||
Nova Fund | $ | — | $ | 194,020 | $ | — | $ | — | $ | 194,020 | ||||||||||
Inverse S&P 500® Strategy Fund | — | 797 | — | — | 797 | |||||||||||||||
NASDAQ-100® Fund | — | 589,212 | — | — | 589,212 | |||||||||||||||
S&P 500® 2x Strategy Fund | — | 169,809 | — | — | 169,809 | |||||||||||||||
NASDAQ-100® 2x Strategy Fund | — | 1,663,667 | — | — | 1,663,667 | |||||||||||||||
Mid-Cap 1.5x Strategy Fund | — | 10,591 | — | — | 10,591 | |||||||||||||||
Inverse Mid-Cap Strategy Fund | — | 58 | — | — | 58 | |||||||||||||||
Russell 2000® 2x Strategy Fund | — | 4,415 | — | — | 4,415 | |||||||||||||||
Russell 2000® 1.5x Strategy Fund | — | 8,418 | — | — | 8,418 | |||||||||||||||
Inverse Russell 2000® Strategy Fund | — | 66 | — | — | 66 | |||||||||||||||
Dow 2x Strategy Fund | — | 32,320 | — | — | 32,320 | |||||||||||||||
Inverse Dow 2x Strategy Fund | — | 2,144 | — | — | 2,144 | |||||||||||||||
High Yield Strategy Fund | — | — | 15,742 | — | 15,742 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended June 30, 2017:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Interest Rate contracts | Net realized gain (loss) on futures contracts |
| Net change in unrealized appreciation (depreciation) on futures contracts |
Equity/Credit contracts | Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 169 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the period ended June 30, 2017:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||
Fund | Futures | Swaps | Futures | Swaps | Total | |||||||||||||||
Nova Fund | $ | 574,484 | $ | 3,747,831 | $ | — | $ | — | $ | 4,322,315 | ||||||||||
Inverse S&P 500® Strategy Fund | (6,757 | ) | (396,436 | ) | — | — | (403,193 | ) | ||||||||||||
NASDAQ-100® Fund | 1,563,322 | 2,109,244 | — | — | 3,672,566 | |||||||||||||||
Inverse NASDAQ-100® Strategy Fund | (19,419 | ) | (284,018 | ) | — | — | (303,437 | ) | ||||||||||||
S&P 500® 2x Strategy Fund | 205,943 | 3,443,818 | — | — | 3,649,761 | |||||||||||||||
NASDAQ-100® 2x Strategy Fund | 832,405 | 9,706,159 | — | — | 10,538,564 | |||||||||||||||
Mid-Cap 1.5x Strategy Fund | 86,182 | 885,409 | — | — | 971,591 | |||||||||||||||
Inverse Mid-Cap Strategy Fund | — | (26,207 | ) | — | — | (26,207 | ) | |||||||||||||
Russell 2000® 2x Strategy Fund | 82,829 | 87,584 | — | — | 170,413 | |||||||||||||||
Russell 2000® 1.5x Strategy Fund | 44,223 | 52,635 | — | — | 96,858 | |||||||||||||||
Inverse Russell 2000® Strategy Fund | (9,954 | ) | (566,214 | ) | — | — | (576,168 | ) | ||||||||||||
Dow 2x Strategy Fund | 158,451 | 1,669,266 | — | — | 1,827,717 | |||||||||||||||
Inverse Dow 2x Strategy Fund | (95,109 | ) | (1,016,177 | ) | — | — | (1,111,286 | ) | ||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | 383,619 | — | 383,619 | |||||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | (106,379 | ) | — | (106,379 | ) | |||||||||||||
High Yield Strategy Fund | — | 10,692 | 78,352 | 337,565 | 426,609 |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||
Fund | Futures | Swaps | Futures | Swaps | Total | |||||||||||||||
Nova Fund | $ | 8,173 | $ | (305,530 | ) | $ | — | $ | — | $ | (297,357 | ) | ||||||||
Inverse S&P 500® Strategy Fund | 9,910 | (26,632 | ) | — | — | (16,722 | ) | |||||||||||||
NASDAQ-100® Fund | 53,432 | (494,359 | ) | — | — | (440,927 | ) | |||||||||||||
Inverse NASDAQ-100® Strategy Fund | 8,293 | (18,144 | ) | — | — | (9,851 | ) | |||||||||||||
S&P 500® 2x Strategy Fund | 5,573 | 182,972 | — | — | 188,545 | |||||||||||||||
NASDAQ-100® 2x Strategy Fund | 36,243 | (1,164,469 | ) | — | — | (1,128,226 | ) | |||||||||||||
Mid-Cap 1.5x Strategy Fund | 133,825 | (16,742 | ) | — | — | 117,083 | ||||||||||||||
Inverse Mid-Cap Strategy Fund | — | (717 | ) | — | — | (717 | ) | |||||||||||||
Russell 2000® 2x Strategy Fund | 216 | (59,393 | ) | — | — | (59,177 | ) | |||||||||||||
Russell 2000® 1.5x Strategy Fund | 433 | (72,506 | ) | — | — | (72,073 | ) | |||||||||||||
Inverse Russell 2000® Strategy Fund | (2,349 | ) | (109,884 | ) | — | — | (112,233 | ) | ||||||||||||
Dow 2x Strategy Fund | 6,845 | (92,079 | ) | — | — | (85,234 | ) | |||||||||||||
Inverse Dow 2x Strategy Fund | (410 | ) | (40,754 | ) | — | — | (41,164 | ) | ||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | (128,601 | ) | — | (128,601 | ) | |||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | 28,996 | — | 28,996 | |||||||||||||||
High Yield Strategy Fund | — | (3,728 | ) | (2,148 | ) | (128,628 | ) | (134,504 | ) |
In conjunction with the use of short sales and derivative instruments, 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 the Funds.
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.
170 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
3. Fees and Other Transactions with Affiliates
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds:
Fund | Management Fees |
Nova Fund | 0.75% |
Inverse S&P 500® Strategy Fund | 0.90% |
NASDAQ-100® Fund | 0.75% |
Inverse NASDAQ-100® Strategy Fund | 0.90% |
S&P 500® 2x Strategy Fund | 0.90% |
NASDAQ-100® 2x Strategy Fund | 0.90% |
Mid-Cap 1.5x Strategy Fund | 0.90% |
Inverse Mid-Cap Strategy Fund | 0.90% |
Russell 2000® 2x Strategy Fund | 0.90% |
Russell 2000® 1.5x Strategy Fund | 0.90% |
Inverse Russell 2000® Strategy Fund | 0.90% |
Dow 2x Strategy Fund | 0.90% |
Inverse Dow 2x Strategy Fund | 0.90% |
Government Long Bond 1.2x Strategy Fund | 0.50% |
Inverse Government Long Bond Strategy Fund | 0.90% |
High Yield Strategy Fund | 0.75% |
U.S. Government Money Market Fund | 0.50% |
GI 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 are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted an Investor Services Plan for which GFD and other firms that provide investor services (“Service Providers”) may receive compensation. The Funds will pay investor service fees to GFD at an annual rate not to exceed 0.25% of average daily net assets. GFD, in turn, will compensate Service Providers for providing such services, while retaining a portion of such payments to compensate itself for investor services it performs.
GI and its affiliates have voluntarily agreed to waive their fees, including but not limited to accounting, shareholder investor services and investment advisory fees, in an attempt to maintain a positive net yield for the U.S. Government Money Market Fund. GI or its affiliates may terminate this voluntary waiver at any time upon notice to the Fund. When shareholder investor services fees are waived, dealer compensation will be reduced to the extent of such waiver.
Certain trustees and officers of the Trust are also officers of GI and GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. For providing the aforementioned services, MUIS is entitled to receive a monthly fee equal to an annual percentage of the Funds’ average daily net assets subject to certain minimum monthly fees and out of pocket expenses.
At June 30, 2017, GI and its affiliates owned over twenty percent of the oustanding shares of the Funds, as follows:
Fund | Percent of outstanding shares owned |
High Yield Strategy Fund | 59% |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 171 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
4. Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds 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. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
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 joint account includes other Funds in the Guggenheim complex not covered in this report. 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.
At June 30, 2017, the repurchase agreements in the joint account were as follows:
Counterparty and | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | ||||||||||||||
HSBC Securities, Inc. | U.S. Treasury Strips | ||||||||||||||||||
0.99% | 0.00% |
| |||||||||||||||||
Due 07/03/17 | $ | 32,042,769 | $ | 32,045,413 | 11/15/42 | $ | 68,321,700 | $ | 32,683,676 | ||||||||||
Bank of America Merrill Lynch | U.S. Treasury Note | ||||||||||||||||||
1.08% | 2.13% |
| |||||||||||||||||
Due 07/03/17 | 18,917,213 | 18,918,915 | 08/15/21 | 18,857,500 | 19,295,649 | ||||||||||||||
RBC Capital Markets LLC | U.S. TIP Notes | ||||||||||||||||||
1.01% | 0.13% |
| |||||||||||||||||
Due 07/03/17 | 17,166,798 | 17,168,243 | 04/15/19 | 16,756,200 | 17,510,229 |
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. GI, acting under the supervision of the Board, 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.
172 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
6. Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the Statements of Operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund - Class Z. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the Funds the next business day. Although the collateral mitigates the risk, the Funds could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
At June 30, 2017, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
Gross Amounts Not Offset in the | Securities Lending Collateral | |||||||||||||||||||||||
Fund | Value of | Collateral | Net | Cash | Cash | Total | ||||||||||||||||||
Nova Fund | $ | 14,534 | $ | (14,534 | ) | $ | — | $ | 14,888 | $ | — | $ | 14,888 | |||||||||||
NASDAQ-100® Fund | 486,932 | (486,932 | ) | — | 493,754 | — | 493,754 | |||||||||||||||||
S&P 500® 2x Strategy Fund | 16,265 | (16,265 | ) | — | 16,673 | — | 16,673 | |||||||||||||||||
NASDAQ-100® 2x Strategy Fund | 289,097 | (289,097 | ) | — | 293,146 | — | 293,146 | |||||||||||||||||
Mid-Cap 1.5x Strategy Fund | 53,714 | (53,714 | ) | — | 54,950 | — | 54,950 | |||||||||||||||||
Russell 2000® 2x Strategy Fund | 59,478 | (59,478 | ) | — | 61,720 | — | 61,720 | |||||||||||||||||
Russell 2000® 1.5x Strategy Fund | 66,798 | (66,798 | ) | — | 69,319 | — | 69,319 |
(a) | Actual collateral received by the Fund is greater than the amount shown due to overcollateralization. |
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. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds have securities lending arrangements to evaluate potential risks.
7. Offsetting
In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 173 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP:
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross Amounts of Recognized Assets1 | Gross Amounts Offset In the Statements of Assets and Liabilities | Net Amount of Assets Presented | Financial | Cash | Net | ||||||||||||||||||
Nova Fund | Swap equity contracts | $ | 22,193 | $ | — | $ | 22,193 | $ | — | $ | — | $ | 22,193 | ||||||||||||
Inverse S&P 500® Strategy Fund | Swap equity contracts | 6,761 | — | 6,761 | — | — | 6,761 | ||||||||||||||||||
Inverse NASDAQ-100® Strategy Fund | Swap equity contracts | 10,888 | — | 10,888 | — | — | 10,888 | ||||||||||||||||||
S&P 500® 2x Strategy Fund | Swap equity contracts | 24,968 | — | 24,968 | — | — | 24,968 | ||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | Swap equity contracts | 1,246 | — | 1,246 | — | — | 1,246 | ||||||||||||||||||
Inverse Mid-Cap Strategy Fund | Swap equity contracts | 496 | — | 496 | — | — | 496 | ||||||||||||||||||
Russell 2000® 2x Strategy Fund | Swap equity contracts | 3,052 | — | 3,052 | — | — | 3,052 | ||||||||||||||||||
Inverse Russell 2000® Strategy Fund | Swap equity contracts | 277 | — | 277 | — | — | 277 | ||||||||||||||||||
Dow 2x Strategy Fund | Swap equity contracts | 66,569 | — | 66,569 | — | — | 66,569 | ||||||||||||||||||
Inverse Dow 2x Strategy Fund | Swap equity contracts | 2,594 | — | 2,594 | — | — | 2,594 | ||||||||||||||||||
High Yield Strategy Fund | Swap equity contracts | 8 | — | 8 | — | — | 8 |
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross Amounts of Recognized Liabilities1 | Gross Amounts Offset In the Statements of Assets and Liabilities | Net Amount of Liabilities Presented | Financial | Cash | Net | ||||||||||||||||||
Nova Fund | Swap equity contracts | $ | 194,020 | $ | — | $ | 194,020 | $ | 194,020 | $ | — | $ | — | ||||||||||||
Inverse S&P 500® Strategy Fund | Swap equity contracts | 797 | — | 797 | — | 797 | — | ||||||||||||||||||
NASDAQ-100® Fund | Swap equity contracts | 589,212 | — | 589,212 | 586,031 | 3,181 | — | ||||||||||||||||||
S&P 500® 2x Strategy Fund | Swap equity contracts | 169,809 | — | 169,809 | 169,809 | — | — | ||||||||||||||||||
NASDAQ-100® 2x Strategy Fund | Swap equity contracts | 1,663,667 | — | 1,663,667 | 1,663,667 | — | — | ||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | Swap equity contracts | 10,591 | — | 10,591 | 10,591 | — | — | ||||||||||||||||||
Inverse Mid-Cap Strategy Fund | Swap equity contracts | 58 | — | 58 | — | 58 | — | ||||||||||||||||||
Russell 2000® 2x Strategy Fund | Swap equity contracts | 4,415 | — | 4,415 | 3,543 | 872 | — | ||||||||||||||||||
Russell 2000® 1.5x Strategy Fund | Swap equity contracts | 8,418 | — | 8,418 | 5,490 | 2,928 | — | ||||||||||||||||||
Inverse Russell 2000® Strategy Fund | Swap equity contracts | 66 | — | 66 | 66 | — | — | ||||||||||||||||||
Dow 2x Strategy Fund | Swap equity contracts | 32,320 | — | 32,320 | 32,320 | — | — | ||||||||||||||||||
Inverse Dow 2x Strategy Fund | Swap equity contracts | 2,144 | — | 2,144 | — | 2,144 | — |
1 | Centrally cleared swaps and exchange-traded futures are excluded from these reported amounts. |
174 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
8. 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 taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.
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, or to be taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
At June 30, 2017, 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:
Fund | Tax | Tax | Tax | Net | ||||||||||||
Nova Fund | $ | 35,263,056 | $ | 995,690 | $ | (99,384 | ) | $ | 896,306 | |||||||
Inverse S&P 500 Strategy Fund | 3,637,301 | 14,857 | — | 14,857 | ||||||||||||
NASDAQ-100® Fund | 67,568,963 | 16,671,264 | (213,307 | ) | 16,457,957 | |||||||||||
Inverse NASDAQ-100® Fund | 1,334,875 | 7,173 | — | 7,173 | ||||||||||||
S&P 500 2x Strategy Fund | 40,733,563 | 303,578 | (53,912 | ) | 249,666 | |||||||||||
NASDAQ-100® 2x Strategy Fund | 55,223,815 | 4,368,073 | (164,874 | ) | 4,203,199 | |||||||||||
Mid-Cap 1.5x Strategy Fund | 6,211,735 | 208,077 | (86,116 | ) | 121,961 | |||||||||||
Inverse Mid-Cap Strategy Fund | 407,085 | 1,030 | — | 1,030 | ||||||||||||
Russell 2000® 2x Strategy Fund | 5,803,187 | 166,979 | (54,416 | ) | 112,563 | |||||||||||
Russell 2000® 1.5x Strategy Fund | 7,038,293 | 225,331 | (22,508 | ) | 202,823 | |||||||||||
Inverse Russell 2000® Strategy Fund | 1,282,399 | 5,302 | — | 5,302 | ||||||||||||
Dow 2x Strategy Fund | 17,608,359 | 521,567 | (12,572 | ) | 508,995 | |||||||||||
Inverse Dow 2x Strategy Fund | 1,230,111 | 520 | — | 520 | ||||||||||||
Government Long Bond 1.2x Strategy Fund | 16,810,281 | 152,919 | (4,235 | ) | 148,684 | |||||||||||
Inverse Government Long Bond Strategy Fund | 5,497,328 | — | (23,464 | ) | (23,464 | ) | ||||||||||
High Yield Strategy Fund | 7,471,327 | 62,361 | — | 62,361 | ||||||||||||
U.S. Government Money Market Fund | 68,999,323 | 485 | (485 | ) | — |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 175 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
9. Securities Transactions
For the period ended June 30, 2017, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Fund | Purchases | Sales | ||||||
Nova Fund | $ | 50,011,254 | $ | 41,526,270 | ||||
Inverse S&P 500® Strategy Fund | 884,818 | 1,550,000 | ||||||
NASDAQ-100® Fund | 40,195,117 | 18,497,964 | ||||||
Inverse NASDAQ-100® Strategy Fund | 580,277 | 905,000 | ||||||
S&P 500® 2x Strategy Fund | 55,548,740 | 46,477,264 | ||||||
NASDAQ-100® 2x Strategy Fund | 37,346,252 | 21,466,791 | ||||||
Mid-Cap 1.5x Strategy Fund | 8,590,038 | 15,431,698 | ||||||
Inverse Mid-Cap Strategy Fund | 82,061 | 170,000 | ||||||
Russell 2000® 2x Strategy Fund | 15,282,983 | 14,915,065 | ||||||
Russell 2000® 1.5x Strategy Fund | 3,598,861 | 4,438,527 | ||||||
Inverse Russell 2000® Strategy Fund | 5,304,722 | 6,705,000 | ||||||
Dow 2x Strategy Fund | 19,548,698 | 18,648,087 | ||||||
Inverse Dow 2x Strategy Fund | 7,157,810 | 8,100,000 | ||||||
Government Long Bond 1.2x Strategy Fund | 2,885,137 | 4,650,000 | ||||||
Inverse Government Long Bond Strategy Fund | 3,030,990 | 2,850,000 | ||||||
High Yield Strategy Fund | 3,655,425 | 3,750,376 | ||||||
U.S. Government Money Market Fund | — | — |
For the period ended June 30, 2017, the cost of purchases and proceeds from sales of government securities were as follows:
Fund | Purchases | Sales | ||||||
Government Long Bond 1.2x Strategy Fund | $ | 136,776,813 | $ | 137,446,344 | ||||
Inverse Government Long Bond Strategy Fund | 69,412,531 | 67,146,766 |
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended June 30, 2017, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | Purchases | Sales | Realized | |||||||||
Nova Fund | $ | 24,185,037 | $ | 20,682,483 | $ | 320,331 | ||||||
NASDAQ-100® Fund | 16,872,630 | 11,935,865 | 190,624 | |||||||||
S&P 500® 2x Strategy Fund | 19,902,392 | 38,952,717 | 568,975 | |||||||||
NASDAQ-100® 2x Strategy Fund | 3,262,835 | 13,189,185 | (265,567 | ) | ||||||||
Mid-Cap 1.5x Strategy Fund | 7,504,051 | 3,474,162 | 120,398 | |||||||||
Russell 2000® 2x Strategy Fund | 3,400,670 | 2,231,356 | (6,456 | ) | ||||||||
Russell 2000® 1.5x Strategy Fund | 1,412,125 | 1,763,164 | 47,198 | |||||||||
Dow 2x Strategy Fund | 8,785,746 | 9,046,632 | 370,729 |
10. Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Funds may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as
176 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at http://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm.
Transactions during the period ended June 30, 2017, in which the portfolio company is an “affiliated person,” were as follows:
Affiliated issuers by Fund | Value | Additions | Reductions | Value | Shares | Investment | Realized | |||||||||||||||||||||
Nova Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 10,509,393 | $ | 2,740,138 | $ | (3,500,000 | ) | $ | 9,778,331 | 390,041 | $ | 90,200 | $ | 1,907 | ||||||||||||||
Guggenheim Strategy Fund II | 7,423,618 | 7,200,211 | (4,530,000 | ) | 10,113,079 | 404,361 | 100,028 | 514 | ||||||||||||||||||||
17,933,011 | 9,940,349 | (8,030,000 | ) | 19,891,410 | 190,228 | 2,421 | ||||||||||||||||||||||
Inverse S&P 500® Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 1,127,468 | 637,076 | (800,000 | ) | 968,129 | 38,617 | 12,072 | 1,967 | ||||||||||||||||||||
Guggenheim Strategy Fund II | 1,561,610 | 247,742 | (750,000 | ) | 1,063,128 | 42,508 | 17,773 | 4,235 | ||||||||||||||||||||
2,689,078 | 884,818 | (1,550,000 | ) | 2,031,257 | 29,845 | 6,202 | ||||||||||||||||||||||
NASDAQ-100® Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 10,255,870 | 9,059,724 | (1,300,000 | ) | 18,048,460 | 719,923 | 109,120 | — | ||||||||||||||||||||
Guggenheim Strategy Fund II | 4,387,709 | 7,333,045 | (3,820,000 | ) | 7,909,673 | 316,260 | 52,719 | 928 | ||||||||||||||||||||
14,643,579 | 16,392,769 | (5,120,000 | ) | 25,958,133 | 161,839 | 928 | ||||||||||||||||||||||
Inverse NASDAQ-100® Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 564,036 | 274,445 | (535,000 | ) | 304,987 | 12,165 | 4,465 | 1,162 | ||||||||||||||||||||
Guggenheim Strategy Fund II | 515,846 | 305,832 | (370,000 | ) | 453,122 | 18,118 | 5,842 | 1,029 | ||||||||||||||||||||
1,079,882 | 580,277 | (905,000 | ) | 758,109 | 10,307 | 2,191 | ||||||||||||||||||||||
S&P 500® 2x Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I |
| 4,354,995 |
| 6,933,260 |
| — |
| 11,306,345 | 450,991 |
| 72,702 |
| — | |||||||||||||||
Guggenheim Strategy Fund II | 3,476,371 | 7,480,289 | (500,000 | ) | 10,469,728 | 418,622 | 74,620 | — | ||||||||||||||||||||
7,831,366 | 14,413,549 | (500,000 | ) | 21,776,073 | 147,322 | — | ||||||||||||||||||||||
NASDAQ-100® 2x Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 4,651,072 | 11,636,188 | (1,800,000 | ) | 14,510,326 | 578,792 | 95,365 | 392 | ||||||||||||||||||||
Guggenheim Strategy Fund II | 1,313,984 | 8,181,454 | (870,000 | ) | 8,632,949 | 345,180 | 60,737 | 52 | ||||||||||||||||||||
5,965,056 | 19,817,642 | (2,670,000 | ) | 23,143,275 | 156,102 | 444 | ||||||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 6,467,999 | 457,701 | (6,050,000 | ) | 889,505 | 35,481 | 28,138 | 14,247 | ||||||||||||||||||||
Guggenheim Strategy Fund II | 5,321,626 | 335,853 | (4,070,000 | ) | 1,597,953 | 63,893 | 36,261 | 6,648 | ||||||||||||||||||||
11,789,625 | 793,554 | (10,120,000 | ) | 2,487,458 | 64,399 | 20,895 | ||||||||||||||||||||||
Inverse Mid-Cap Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 96,762 | 40,859 | (100,000 | ) | 37,861 | 1,510 | 863 | 433 | ||||||||||||||||||||
Guggenheim Strategy Fund II | 117,399 | 41,202 | (70,000 | ) | 88,854 | 3,553 | 1,206 | 261 | ||||||||||||||||||||
214,161 | 82,061 | (170,000 | ) | 126,715 | 2,069 | 694 | ||||||||||||||||||||||
Russell 2000® 2x Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 436,793 | 7,358,367 | (5,825,000 | ) | 1,971,948 | 78,658 | 8,244 | 740 | ||||||||||||||||||||
Guggenheim Strategy Fund II | 353,725 | 4,337,743 | (3,600,000 | ) | 1,092,633 | 43,688 | 7,672 | 29 | ||||||||||||||||||||
790,518 | 11,696,110 | (9,425,000 | ) | 3,064,581 | 15,916 | 769 | ||||||||||||||||||||||
Russell 2000® 1.5x Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 2,686,213 | 996,489 | (1,800,000 | ) | 1,889,823 | 75,382 | 21,551 | 1,591 | ||||||||||||||||||||
Guggenheim Strategy Fund II | 1,715,006 | 974,217 | (600,000 | ) | 2,093,840 | 83,720 | 24,191 | 59 | ||||||||||||||||||||
4,401,219 | 1,970,706 | (2,400,000 | ) | 3,983,663 | 45,742 | 1,650 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 177 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Affiliated issuers by Fund | Value | Additions | Reductions | Value | Shares | Investment | Realized | |||||||||||||||||||||
Inverse Russell 2000® Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 981,217 | 3,346,170 | (4,030,000 | ) | 300,546 | 11,988 | 6,222 | 2,562 | ||||||||||||||||||||
Guggenheim Strategy Fund II | 1,083,270 | 1,958,552 | (2,675,000 | ) | 369,744 | 14,784 | 8,630 | 2,198 | ||||||||||||||||||||
2,064,487 | 5,304,722 | (6,705,000 | ) | 670,290 | 14,852 | 4,760 | ||||||||||||||||||||||
Dow 2x Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 3,024,513 | 3,125,912 | (500,000 | ) | 5,658,950 | 225,726 | 25,699 | — | ||||||||||||||||||||
Guggenheim Strategy Fund II | 2,135,182 | 1,831,348 | (100,000 | ) | 3,872,518 | 154,839 | 31,190 | 38 | ||||||||||||||||||||
5,159,695 | 4,957,260 | (600,000 | ) | 9,531,468 | 56,889 | 38 | ||||||||||||||||||||||
Inverse Dow 2x Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 502,923 | 4,128,631 | (4,600,000 | ) | 34,422 | 1,373 | 8,668 | 6,336 | ||||||||||||||||||||
Guggenheim Strategy Fund II | 505,039 | 3,029,179 | (3,500,000 | ) | 37,454 | 1,498 | 9,229 | 6,130 | ||||||||||||||||||||
1,007,962 | 7,157,810 | (8,100,000 | ) | 71,876 | 17,897 | 12,466 | ||||||||||||||||||||||
Government Long Bond 1.2x Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 2,439,945 | 2,412,118 | (3,200,000 | ) | 1,656,429 | 66,072 | 12,262 | 9,039 | ||||||||||||||||||||
Guggenheim Strategy Fund II | 2,752,226 | 473,019 | (1,450,000 | ) | 1,780,756 | 71,202 | 23,164 | 2,306 | ||||||||||||||||||||
5,192,171 | 2,885,137 | (4,650,000 | ) | 3,437,185 | 35,426 | 11,345 | ||||||||||||||||||||||
Inverse Government Long Bond Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 1,040,281 | 1,713,022 | (1,950,000 | ) | 807,127 | 32,195 | 13,076 | 9,204 | ||||||||||||||||||||
Guggenheim Strategy Fund II | 1,049,547 | 1,317,968 | (900,000 | ) | 1,470,949 | 58,814 | 17,944 | 245 | ||||||||||||||||||||
2,089,828 | 3,030,990 | (2,850,000 | ) | 2,278,076 | 31,020 | 9,449 | ||||||||||||||||||||||
High Yield Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 1,918,340 | 2,023,352 | (2,400,000 | ) | 1,548,480 | 61,766 | 23,446 | 4,252 | ||||||||||||||||||||
Guggenheim Strategy Fund II | 2,516,026 | 1,132,188 | (750,000 | ) | 2,904,579 | 116,137 | 32,194 | 37 | ||||||||||||||||||||
4,434,366 | 3,155,540 | (3,150,000 | ) | 4,453,059 | 55,640 | 4,289 |
11. Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $75,000,000 line of credit from U.S. Bank, N.A., which expires June 11, 2018. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 1.92% for the period ended June 30, 2017. On June 30, 2017, the NASDAQ-100® 2x Strategy Fund borrowed $1,256,000 under this agreement. The Funds did not have any other borrowings outstanding under this agreement at June 30, 2017.
The average daily balances borrowed for the period ended June 30, 2017, were as follows:
Fund | Average | |||
NASDAQ-100® Fund | $ | 33,447 | ||
S&P 500® 2x Strategy Fund | 22,857 | |||
NASDAQ-100® 2x Strategy Fund | 10,600 | |||
Mid-Cap 1.5x Strategy Fund | 6,726 | |||
Russell 2000® 2x Strategy Fund | 5,567 | |||
Russell 2000® 1.5x Strategy Fund | 2,324 | |||
Dow 2x Strategy Fund | 33,516 | |||
Inverse Dow 2x Strategy Fund | 2,112 | |||
Government Long Bond 1.2x Strategy Fund | 11,497 | |||
Inverse Government Long Bond Strategy Fund | 232 |
178 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
12. Share Splits
Effective December 1, 2016, a share split occurred for the following funds:
Fund | Split Type |
Nova Fund | Two-for-One Share Split |
Inverse S&P 500® Strategy Fund | One-for-Six Reverse Share Split |
Inverse NASDAQ-100® Strategy Fund | One-for-Four Reverse Share Split |
Inverse Mid-Cap Strategy Fund | One-for-Three Reverse Share Split |
Inverse Russell 2000® Strategy Fund | One-for-Three Reverse Share Split |
Inverse Dow 2x Strategy Fund | One-for-Three Reverse Share Split |
Inverse Government Long Bond Strategy Fund | One-for-Three Reverse Share Split |
High Yield Strategy Fund | One-for-Three Reverse Share Split |
The effect of the share split was to multiply the number of outstanding shares of the Nova Fund by its split ratio, resulting in a corresponding decrease in the NAV. The effect of reverse share split was to divide the number of outstanding shares of the Funds by the respective split ratio, resulting in a corresponding increase in the net asset value per share. The share transactions presented in the Statements of Changes in net assets and the per share data in the Financial Highlights for each of the periods presented prior to the effective date have been restated 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.
13. Legal Proceedings
Tribune Company
Rydex Variable Trust has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Variable Trust of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Variable Trust, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Variable Trust has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order. On March 29, 2016, the U.S. Court of Appeals for the Second Circuit issued its opinion on the appeal of the SLCFC actions. The appeals court affirmed the district court’s dismissal of those lawsuits, but on different grounds than the district court. The appeals court held that while the plaintiffs have standing under the U.S. Bankruptcy Code, their claims were preempted by Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the Plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Funds, filed a joint brief in opposition to the petition for certiorari on October 24, 2016. The Supreme Court has not yet granted or denied the petition for certiorari.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 179 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. The Court concluded that the plaintiff had failed to allege that Tribune entered the LBO with actual intent to hinder, delay, or defraud its creditors, and therefore the complaint failed to state a claim. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. On February 23, 2017, the Court issued an order stating that it intends to permit an interlocutory appeal of the dismissal order, but will wait to do so until it has resolved outstanding motions to dismiss filed by other defendants. Accordingly, the timing of the appeal is uncertain.
None of these lawsuits alleges any wrongdoing on the part of Rydex Variable Trust. The following series of Rydex Variable Trust held shares of Tribune and tendered these shares as part of Tribune’s LBO: Nova Fund, S&P 500 2x Strategy Fund, Multi-Cap Core Equity Fund, S&P 500 Pure Value Fund, Hedged Equity Fund and Multi-Hedge Strategies Fund (the “Funds”). The value of the proceeds received by the foregoing Funds was $12,580, $2,380, $1,360, $148,376, $2,720, and $119,034, respectively. At this stage of the proceedings, Rydex Variable Trust is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
Lyondell Chemical Company
In December 2011, Rydex Variable Trust was named as a defendant in Weisfelner, as Trustee of the LB Creditor Trust, v. Fund 1 (In re Lyondell Chemical Co.), Adv. Pro. No. 10-4609 (Bankr. S.D.N.Y.) (the “Creditor Trust Action”). Its funds may also be putative members of the proposed defendant classes in Weisfelner, as Trustee of the LB Litigation Trust v. A. Holmes & H. Holmes TTEE (In re Lyondell Co.), Adv. Pro. No. 10-5525 (Bankr. S.D.N.Y.) (the “Litigation Trust Action”) and Weisfelner, as Trustee of the LB Creditor Trust, v. Reichman (In re Lyondell Chemical Co.), Adv. Pro. No. 12-1570 (Bankr. S.D.N.Y.).
Similar to the claims made in the Tribune matter, the Weisfelner complaints seek to have set aside and recovered as fraudulent transfers from former Lyondell Chemical Company (“Lyondell”) shareholders the consideration paid to them pursuant to the cash out merger of Lyondell shareholders in connection with the combination of Lyondell and Basell AF in 2007. Lyondell filed for bankruptcy in 2008. The Creditor Trust Action and Reichman allege claims against the former Lyondell shareholders under state law for both constructive fraudulent transfer and intentional fraudulent transfer. The Litigation Trust Action alleges a claim against the former Lyondell shareholders under federal law for intentional fraudulent transfer.
On April 7, 2014, the plaintiff filed a Third Amended Complaint in the Creditor Trust Action, a Second Amended Complaint in the Litigation Trust Action, and an Amended Complaint in Reichman.
On May 8, 2014, the plaintiff in the Litigation Trust Action filed a motion to certify a defendant class generally comprised of all former Lyondell shareholders that received proceeds in exchange for their shares in the 2007 merger transaction.
On July 30, 2014, the defendants filed a motion to dismiss these lawsuits. The Bankruptcy Court held oral argument on the motion to dismiss and on the motion for class certification on January 14 and January 15, 2015. On September 15, 2015, the Bankruptcy Court denied the motion for class certification without prejudice to the plaintiff’s right to file a renewed motion. On November 18, 2015, the Bankruptcy Court granted the defendants’ motion to dismiss the intentional fraudulent transfer claims in the Creditor Trust Action, the Litigation Trust Action, and in Reichman, but denied the motion to dismiss the constructive fraudulent transfer claims in the Creditor Trust Action and in Reichman. The Bankruptcy Court entered final judgment dismissing the Litigation Trust Action, but the plaintiff has appealed the dismissal to the U.S. District Court for the Southern District of New York.
On July 27, 2016, the District Court reversed the Bankruptcy Court and reinstated the federal law intentional fraudulent transfer claim in the Litigation Trust Action and remanded to the Bankruptcy Court for further proceedings. The District Court found that the fraudulent intent that mattered was that of Lyondell’s CEO, not its board, because the CEO’s intent could be imputed to Lyondell under Delaware law agency principles. The District Court did note, however, that plaintiff faces a high standard for proving “actual intent” to harm creditors, and that it remains to be seen whether plaintiff will be able to make this showing. On August 11, 2016, the shareholder defendants filed a motion for reconsideration and/or to certify an interlocutory appeal of the District Court’s opinion. On October 5, 2016, the District Court denied the motion for reconsideration and/or to certify an interlocutory appeal. In light of this ruling, the federal intentional fraudulent conveyance claim will move forward before the Bankruptcy Court, but a schedule for that case has not yet been set. On April 21, 2017, the Bankruptcy Court issued an Opinion and Order After Trial in a related Lyondell litigation (the “Blavatnik Action”) rejecting claims for intentional fraudulent transfer and constructive fraudulent
180 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
transfer in connection with the 2007 LBO. Based on this related ruling in the Blavatnik Action, the shareholder defendants filed a motion to dismiss the Litigation Trust Action on the grounds of collateral estoppel on May 30, 2017. The Bankruptcy Court has not yet ruled on this new motion to dismiss.
On May 4, 2016, the defendants filed a motion to dismiss, or in the alternative, for a stay of, the Creditor Trust Action and Reichman in light of the U.S. Court of Appeals for the Second Circuit’s opinion in the appeal of the Tribune SLCFC actions. On July 20, 2016, the Bankruptcy Court issued a report and recommendation granting the defendants’ motion to dismiss. The U.S. District Court for the Southern District of New York has not yet accepted the Bankruptcy Court’s recommendation or entered a final judgment. On May 30, 2017, the shareholder defendants filed a motion to remand the proceedings in the Creditor Trust and Reichman Actions to the Bankruptcy Court, for consideration of the collateral estoppel ground for dismissal raised by the Bankruptcy Court’s ruling in the Blavatnik Action. The District Court has not yet ruled on the motion to remand.
These lawsuits do not allege any wrongdoing on the part of Rydex Variable Trust. The following series of Rydex Variable Trust received cash proceeds from the cash out merger in the following amounts: Basic Materials Fund - $1,235,952; Long Short Equity Fund f/k/a U.S. Long Short Momentum Fund - $523,200; Multi-Cap Core Equity Fund - $5,760; Hedged Equity Fund - $480; and Multi-Hedge Strategies Fund - $112,848. At this stage of the proceedings, Rydex Variable Trust is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 181 |
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 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://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 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
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 https://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 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Board Considerations in Approving the Continuation of the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Rydex Variable Trust (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on May 25, 2017, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to the 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, Government Long Bond 1.2x Strategy Fund, Inverse Government Long Bond Strategy Fund, High Yield Strategy Fund, and U.S. Government Money Market Fund, each a series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Board unanimously approved the continuation of the Investment Advisory Agreement for an additional one-year period based on the Board’s review of qualitative and quantitative information provided by the Advisor. The Board had previously considered information pertaining to the renewal of the Investment Advisory Agreement at an in-person meeting held on April 26, 2017 (together, with the May 25 meeting, the “Meetings”). The Board considered the materials provided by the Advisor and the review conducted at the April 26 meeting to be an integral part of the Trustees’ deliberations and their process in considering the renewal of the Investment Advisory Agreement.
Prior to reaching the conclusion to approve the continuation of the Investment Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from the independent legal counsel to the Independent Trustees regarding the Board’s fiduciary responsibilities under state and federal law with respect to the Board’s consideration of the renewal or approval of investment advisory agreements and participated in question and answer sessions with representatives of the Advisor. The Independent Trustees also carefully considered information that they had received throughout the year as part of their regular oversight of the Funds. At the Meetings, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the Meetings, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the Advisor’s investment advisory and other services; (b) the Advisor’s substantial commitment to the recruitment and retention of high quality personnel; (c) a comparison of the Funds’ advisory fees to the advisory fees charged to comparable funds or accounts, giving
182 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
special attention to the existence of economies of scale and the absence of breakpoints in these fees and the Advisor’s rationale for not providing for breakpoints at this point in time; (d) each Fund’s overall fees and operating expenses compared with those of similar funds; (e) the level of the Advisor’s profitability from its Fund-related operations; (f) the Advisor’s compliance processes and systems; (g) the Advisor’s compliance policies and procedures; (h) the Advisor’s reputation, expertise and resources in the financial markets; (i) Fund performance compared with that of similar funds and/or appropriate benchmarks; (j) other benefits to the Advisor and/or its affiliates from their relationship to the Funds; and (k) the Advisor’s maintenance of operational resources necessary to manage the Funds in a professional manner consistent with the best interests of the Funds and their shareholders. In its deliberations, the Trustees did not identify any particular factor or factors that was controlling, noting that each Trustee could attribute different weights to the various factors considered.
Based on the Board’s deliberations at the Meetings, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees for each Fund are reasonable in light of, and not so disproportionately large as to bear no reasonable relationship to, the services that it provides to such Fund; and (c) agreed to approve and continue the Investment Advisory Agreement based upon the following considerations, among others:
Nature, Extent and Quality of Services Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies (including the extent to which the Funds use derivatives), Fund risk management process, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity programs. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. The Board also considered the Advisor’s representations to the Board that the Advisor would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Funds in the past, and whether these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Funds to receive high quality services at a cost that was appropriate and reasonable.
Fund Expenses and Performance of the Funds and the Advisor. The Board reviewed statistical information provided by the Advisor regarding the expense ratio components and performance of each Fund. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third party research provider, to prepare reports to help the Board compare the Funds’ fees, expenses, and total return performance with those of a peer group and peer universe of funds selected by FUSE. In the reports, each Fund’s expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise a Fund’s applicable peer group. The Board considered the Advisor’s representation that it found the peer groups compiled by FUSE to be appropriate, but also acknowledged the existence of certain differences between the Funds and their peer funds (e.g., specific differences in principal investment strategies, index rebalance frequency, and tradability) that should be reviewed in context. With respect to tradability, in particular, the Board considered that non-tradable funds incur lower expense ratios than tradable funds because non-tradable funds experience less shareholder activity and lower transaction volumes than tradable funds. The statistical information related to the performance of each Fund included three-month and one-, three-, and five-year performance for the Fund compared to that of its peers. With respect to the Funds that track an underlying index (“Index Funds”), the Board also discussed the correlation between an Index Fund’s assets under management and tracking error, noting that an Index Fund’s ability to replicate an underlying index rather than employ representative sampling depends, in part, upon the Index Fund’s size. Based on the foregoing, the Board determined that the proposed advisory fees paid by the Funds are reasonable in relation to the nature and quality of the services provided by the Advisor.
Costs of Services Provided to the Funds and Profits Realized by the Advisor and its Affiliates. The Board reviewed information about the profitability of the Funds to the Advisor based on the advisory fees payable under the current Investment Advisory Agreement for the last calendar year. The Board analyzed the Funds’ expenses, including the investment advisory fees paid to the Advisor, and reviewed the FUSE reports. The Board also reviewed information regarding the direct revenue received by the Advisor and ancillary revenue, if any, received by the Advisor and/or its affiliates in connection with the services provided to the Funds by the Advisor and/or its affiliates. The Board also discussed the Advisor’s profit margin, including the expense allocation methodology used in the Advisor’s profitability analysis. Based on the foregoing, the Board determined that the profit to the Advisor on the fees paid by the Funds is not excessive in view of the nature and quality of the services provided by the Advisor.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 183 |
OTHER INFORMATION (Unaudited)(concluded) |
Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Funds’ asset levels. In light of the relatively small size of many of the Funds and the fact that the size of individual Funds in the complex often increase and decrease significantly due to the unlimited trading that is permitted among most of the Funds in the complex, the Board concluded that the Funds have not yet achieved sufficient asset levels to realize meaningful economies of scale. The Board noted that it intends to continue to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.
Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be received by the Advisor and its affiliates as a result of their relationship with the Funds, including any intangible benefits to the Advisor. In particular, the Board considered the nature, extent, quality, and cost of certain distribution and shareholder services performed by the Advisor’s affiliate, Guggenheim Funds Distributors, LLC, under the distribution agreement, investor services agreement, and Investor Services Plan. In light of the costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliate’s commitment to the Funds, the Board concluded the ancillary benefits the Advisor and its affiliates received were reasonable.
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the continuation of the Investment Advisory Agreement was in the best interests of the Funds and their shareholders.
184 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, 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 visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* and | Position(s) Held with the | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE | ||||
Donald C. Cacciapaglia** (1951) | President, Chief Executive Officer and Trustee from 2012 to present. | Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present).
Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010). | 233 | Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present). |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle***** (1959)
| Trustee, Member of the Audit Committee; Member of the Compliance and Risk Oversight Committee; and Member of the Governance Committee from August 2016 to present. | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm)
Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 133 | Infinity Property & Casualty Corporation (2014-present). |
Corey A. Colehour | Trustee from 1993 to present; Member of the Audit Committee from 1994 to present; Member of the Governance Committee from 2014 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
J. Kenneth Dalton (1941) | Trustee from 1995 to present; Chairman and Member of the Audit Committee from 1997 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 133 | Epiphany Funds (3) (2009-present). |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 185 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and | Position(s) Held with the | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | ||||
John O. Demaret (1940) | Vice Chairman of the Board from 2014 to present (Chairman of the Board from 2006 to 2014); Trustee and Member of the Audit Committee from 1997 to present; Chairman (since 2014) and Member of the Compliance and Risk Oversight Committee from 2010 to present; Chairman and Member of the Investment and Performance Committee from 2014 to present; and Member of the Nominating Committee from 2014 to present. | Retired. | 133 | None. |
Werner E. Keller (1940) | Chairman of the Board from 2014 to present (Vice Chairman of the Board from 2010 to 2014); Trustee from 2005 to present; Member of the Audit Committee from 2005 to present; Member of the Investment and Performance Committee from 2014 to present; Member of the Compliance and Risk Oversight Committee from 2015 to present; Member of the Governance Committee from 2015 to present; and Member of the Nominating Committee from 2015 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 133 | None. |
Thomas F. Lydon, Jr. (1960) | Trustee and Member of the Audit Committee from 2005 to present; Member of the Nominating Committee from 2005 to present; and Chairman and Member of the Governance Committee from 2007 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 133 | US Global Investors (GROW) (1995-present). |
Patrick T. McCarville (1942) | Trustee from 1997 to present; Member of the Audit Committee from 1997 to present; Chairman and Member of the Nominating Committee from 2004 to present; Member of the Governance Committee from 2007 to present; and Member of the Compliance and Risk Oversight Committee from 2014 to present. | Retired.
Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 133 | None. |
Sandra G. Sponem***** (1958) | Trustee, Member of the Audit Committee, Member of the Investment and Performance Committee, and Member of the Nominating Committee from November 2016 to present. | Current: Retired
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 133 | None. |
186 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) Held with the | Principal Occupation(s) |
OFFICERS | ||
Michael P. Byrum (1970) | Vice President (1999-present). | Current: Senior Vice President, Security Investors, LLC (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); Director and Chairman, Advisory Research Center, Inc. (2006-present); Manager, Guggenheim Specialized Products, LLC (2005-present).
Former: Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
Joanna M. Catalucci (1966) | AML Officer (2016-present) | Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present).
Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011). |
James M. Howley (1972) | Assistant Treasurer (2016-present) | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
Keith D. Kemp (1960) | Assistant Treasurer (2016-present) | Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim Partners Investment Management, LLC (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present).
Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009). |
Amy J. Lee (1961) | Vice President (2009-present) and Secretary (2012-present) | Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
Glenn McWhinnie (1969) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2009-present).
Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009). |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 187 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) Held with the | Principal Occupation(s) |
OFFICERS - concluded | ||
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (March 2014-present).
Former: CCO, Guggenheim Distributors, LLC (2009-March 2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
Adam J. Nelson (1979) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present).
Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
Kimberly J. Scott (1974) | Assistant Treasurer (2016-present) | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
John L. Sullivan (1955) | Chief Financial Officer and Treasurer (2016-present) | Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Mr. Cacciapaglia is an “interested” person of the Trust, as that term is defined in the 1940 Act by virtue of his affiliation with the Adviser’s parent company. |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. |
**** | Certain of the Trustees may serve as directors on the boards of companies not required to be disclosed above, including certain non-profit companies and charitable foundations. |
***** | Mses. Brock-Kyle and Sponem commenced serving as independent Trustees effective August 18, 2016. |
188 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited) |
Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).
Our Commitment to You
When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.
The Information We Collect About You and How We Collect It
In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g. purchase and redemption history).
How We Share Your Personal Information
As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below.
To complete certain transactions or account changes that you direct, it may be necessary to provide your personal information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. In connection with servicing your accounts or to alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your personal information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally we will share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.
How We Safeguard Your Personal Information
We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 189 |
|
6.30.2017
Rydex Variable Funds Semi-Annual Report
Domestic Equity Funds |
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 |
International Equity Funds |
Europe 1.25x Strategy |
Japan 2x Strategy |
Specialty Funds |
Strengthening Dollar 2x Strategy |
Weakening Dollar 2x Strategy |
GuggenheimInvestments.com | RVATB2-SEMI-0617x1217 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
S&P 500® PURE GROWTH FUND | 8 |
S&P 500® PURE VALUE FUND | 15 |
S&P MIDCAP 400® PURE GROWTH FUND | 22 |
S&P MIDCAP 400® PURE VALUE FUND | 28 |
S&P SMALLCAP 600® PURE GROWTH FUND | 34 |
S&P SMALLCAP 600® PURE VALUE FUND | 41 |
EUROPE 1.25x STRATEGY FUND | 48 |
JAPAN 2x STRATEGY FUND | 55 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | 61 |
WEAKENING DOLLAR 2x STRATEGY FUND | 67 |
NOTES TO FINANCIAL STATEMENTS | 73 |
OTHER INFORMATION | 87 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 90 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES | 94 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
June 30, 2017 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for funds (the “Funds”) that are part of the Rydex Variable Trust. This report covers performance of the Funds for the semi-annual period ended June 30, 2017.
The Investment Adviser is a part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Donald C. Cacciapaglia
President and Chief Executive Officer
July 31, 2017
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
The Funds may not be suitable for all investors. Investing involves risks, including the entire loss of principal amount invested. Certain Funds may be affected by risks that include those associated with sector concentration, international investing, investing in small and/or medium size companies, and/or the Funds’ possible use of investment techniques and strategies such as leverage, derivatives and short sales of securities. Please see each Fund’s prospectus for more information.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | June 30, 2017 |
First-quarter real gross domestic product (“GDP”) growth came in weak relative to the third and fourth quarters of 2016, at only 1.4% quarter over quarter annualized, consistent with the historical pattern of soft first-quarter data. Tracking estimates point to a rebound in second-quarter growth. There have been concerns about consumer health amid weakness in retail and autos, but we maintain that these are experiencing sector-specific problems. Household balance sheets and consumer spending appear solid overall.
The unemployment rate continues to decline to levels not seen since 2001, despite muted economic growth. As of June 2017, the unemployment rate stood at 4.3%, below what the U.S. Federal Reserve (the “Fed”) forecasted as recently as March to be the cycle low, and we expect it will fall to 3.8% or lower next year. While a tightening labor market has not done much to lift wage growth or inflation in the current cycle, Fed Chair Janet Yellen and many of her colleagues still see a tighter labor market as a reason to continue to remove accommodation.
In June the Fed delivered its fourth rate hike since the financial crisis, raising the fed funds rate target range to 1.00–1.25%. It proceeded with the rate hike despite three consecutive months of soft inflation readings. The statement noted that the Fed continues to expect inflation on a 12-month basis to stabilize around the 2% objective over the medium term. This suggests the Fed views recent weakness as transient. As long as the unemployment rate continues to decline, we believe the Fed will feel compelled to continue hiking to stay ahead of potential inflationary pressures, given the lags associated with monetary policy effects.
Median Federal Open Market Committee (“FOMC”) projections suggest one additional rate increase in 2017, three in 2018, and three more in 2019. These are not conditioned on expectations for fiscal stimulus, though they do incorporate an expectation that the natural rate of interest will rise somewhat over time, but perhaps not as much as the Fed currently projects. We expect that the Fed will forego a rate hike in September in order to launch the tapering of portfolio reinvestments, but the Fed will pick it up again in December, contingent on steady economic data and supportive financial conditions. Weak oil prices over the second quarter of 2017 should once again boost headline inflation readings in 2018 due to base effects, which, when combined with steady economic growth and falling unemployment, could prompt the Fed to raise rates three or possibly four times in 2018.
On its own, the start of Fed balance sheet normalization should not lead to a notable increase in market volatility. The Fed has signaled its intentions well in advance, giving markets time to prepare, and pay-downs will ramp up only gradually over the course of a year.
Still, volatility across a range of markets is abnormally low, and asset valuations appear stretched. Markets shrugged off worrisome developments during the second quarter, including declining oil prices, a lack of progress on fiscal legislation in Washington, D.C., and rising geopolitical risks. A near-term pullback in risk assets is possible in the third or fourth quarters, with low volatility and tight spreads making credit markets particularly vulnerable during what is already a seasonally weak period for risk assets. Moves toward a less accommodative stance by the European Central Bank, the Bank of Japan, and/or the Bank of England may be a catalyst for instability.
For the six-month period ended June 30, 2017, the Standard & Poor’s 500® (“S&P 500®”)* Index returned 9.34%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 13.81%. The return of the MSCI Emerging Markets Index* was 18.43%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 2.27% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 4.93%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.31% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) (concluded) | June 30, 2017 |
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited) |
|
Many of the 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 on a cumulative basis. 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 per share (“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 Performance | Fund | Fund NAV | Fund | 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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
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, other distributions, 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 December 31, 2016 and ending June 30, 2017.
The following tables illustrate the Funds’ 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 fifth 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.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), 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.
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
|
| Expense | Fund | Beginning | Ending | Expenses | |
Table 1. Based on actual Fund return3 | ||||||
S&P 500® Pure Growth Fund | 1.60% | 12.34% | $ 1,000.00 | $ 1,123.40 | $ 8.42 | |
S&P 500® Pure Value Fund | 1.60% | 3.88% | 1,000.00 | 1,038.80 | 8.09 | |
S&P MidCap 400® Pure Growth Fund | 1.60% | 8.46% | 1,000.00 | 1,084.60 | 8.27 | |
S&P MidCap 400® Pure Value Fund | 1.60% | 2.37% | 1,000.00 | 1,023.70 | 8.03 | |
S&P SmallCap 600® Pure Growth Fund | 1.60% | 5.76% | 1,000.00 | 1,057.60 | 8.16 | |
S&P SmallCap 600® Pure Value Fund | 1.60% | (9.27%) | 1,000.00 | 907.30 | 7.57 | |
Europe 1.25x Strategy Fund | 1.83% | 19.45% | 1,000.00 | 1,194.50 | 9.96 | |
Japan 2x Strategy Fund | 1.60% | 18.93% | 1,000.00 | 1,189.30 | 8.69 | |
Strengthening Dollar 2x Strategy Fund | 1.80% | (12.51%) | 1,000.00 | 874.90 | 8.37 | |
Weakening Dollar 2x Strategy Fund | 1.80% | 13.10% | 1,000.00 | 1,131.00 | 9.51 | |
| ||||||
Table 2. Based on hypothetical 5% return (before expenses) | ||||||
S&P 500® Pure Growth Fund | 1.60% | 5.00% | $ 1,000.00 | $ 1,016.86 | $ 8.00 | |
S&P 500® Pure Value Fund | 1.60% | 5.00% | 1,000.00 | 1,016.86 | 8.00 | |
S&P MidCap 400® Pure Growth Fund | 1.60% | 5.00% | 1,000.00 | 1,016.86 | 8.00 | |
S&P MidCap 400® Pure Value Fund | 1.60% | 5.00% | 1,000.00 | 1,016.86 | 8.00 | |
S&P SmallCap 600® Pure Growth Fund | 1.60% | 5.00% | 1,000.00 | 1,016.86 | 8.00 | |
S&P SmallCap 600® Pure Value Fund | 1.60% | 5.00% | 1,000.00 | 1,016.86 | 8.00 | |
Europe 1.25x Strategy Fund | 1.83% | 5.00% | 1,000.00 | 1,015.72 | 9.15 | |
Japan 2x Strategy Fund | 1.60% | 5.00% | 1,000.00 | 1,016.86 | 8.00 | |
Strengthening Dollar 2x Strategy Fund | 1.80% | 5.00% | 1,000.00 | 1,015.87 | 9.00 | |
Weakening Dollar 2x Strategy Fund | 1.80% | 5.00% | 1,000.00 | 1,015.87 | 9.00 |
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest. |
2 | Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses shown do not include fees charged by insurance companies. |
3 | Actual cumulative return at net asset value for the period December 31, 2016 to June 30, 2017. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
S&P 500® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P 500® Pure Growth Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 3, 2004 |
Ten Largest Holdings (% of Total Net Assets) | |
Applied Materials, Inc. | 2.9% |
NVIDIA Corp. | 2.6% |
Ulta Beauty, Inc. | 2.0% |
Lam Research Corp. | 2.0% |
IDEXX Laboratories, Inc. | 1.9% |
Broadcom Ltd. | 1.8% |
Align Technology, Inc. | 1.8% |
Facebook, Inc. — Class A | 1.6% |
UnitedHealth Group, Inc. | 1.6% |
Prologis, Inc. | 1.5% |
Top Ten Total | 19.7% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
| 6 month‡ | 1 Year | 5 Year | 10 Year |
S&P 500® Pure Growth Fund | 12.34% | 15.34% | 14.12% | 8.46% |
S&P 500 Pure Growth Index | 13.27% | 17.35% | 16.03% | 10.41% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Pure Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
S&P 500® PURE GROWTH FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Consumer, Non-cyclical - 22.1% | ||||||||
IDEXX Laboratories, Inc.* | 6,100 | $ | 984,661 | |||||
Align Technology, Inc.* | 6,290 | 944,255 | ||||||
UnitedHealth Group, Inc. | 4,430 | 821,411 | ||||||
Quanta Services, Inc.* | 21,640 | 712,389 | ||||||
Constellation Brands, Inc. — Class A | 3,200 | 619,936 | ||||||
Celgene Corp.* | 4,508 | 585,454 | ||||||
PayPal Holdings, Inc.* | 10,460 | 561,388 | ||||||
Aetna, Inc. | 3,386 | 514,096 | ||||||
Humana, Inc. | 2,090 | 502,896 | ||||||
Incyte Corp.* | 3,477 | 437,789 | ||||||
Biogen, Inc.* | 1,608 | 436,347 | ||||||
Total System Services, Inc. | 6,620 | 385,615 | ||||||
Gartner, Inc.* | 3,090 | 381,646 | ||||||
Verisk Analytics, Inc. — Class A* | 4,520 | 381,352 | ||||||
Edwards Lifesciences Corp.* | 3,170 | 374,821 | ||||||
S&P Global, Inc. | 2,550 | 372,275 | ||||||
Cintas Corp. | 2,922 | 368,289 | ||||||
United Rentals, Inc.* | 3,130 | 352,782 | ||||||
Becton Dickinson and Co. | 1,800 | 351,198 | ||||||
CR Bard, Inc. | 1,070 | 338,238 | ||||||
Boston Scientific Corp.* | 11,190 | 310,187 | ||||||
Intuitive Surgical, Inc.*,1 | 330 | 308,672 | ||||||
Stryker Corp. | 2,070 | 287,275 | ||||||
Gilead Sciences, Inc. | 3,459 | 244,828 | ||||||
Total Consumer, Non-cyclical | 11,577,800 | |||||||
Technology - 20.7% | ||||||||
Applied Materials, Inc. | 36,949 | 1,526,363 | ||||||
NVIDIA Corp. | 9,559 | 1,381,849 | ||||||
Lam Research Corp. | 7,271 | 1,028,338 | ||||||
Broadcom Ltd. | 4,072 | 948,980 | ||||||
Microchip Technology, Inc. | 8,332 | 643,064 | ||||||
Activision Blizzard, Inc. | 10,750 | 618,878 | ||||||
Skyworks Solutions, Inc. | 5,483 | 526,094 | ||||||
Salesforce.com, Inc.* | 5,557 | 481,236 | ||||||
Adobe Systems, Inc.* | 3,160 | 446,950 | ||||||
Electronic Arts, Inc.* | 3,742 | 395,604 | ||||||
Red Hat, Inc.* | 4,117 | 394,203 | ||||||
Fidelity National Information Services, Inc. | 3,930 | 335,622 | ||||||
Cerner Corp.* | 4,959 | 329,625 | ||||||
Akamai Technologies, Inc.* | 6,345 | 316,044 | ||||||
Texas Instruments, Inc. | 3,923 | 301,796 | ||||||
Citrix Systems, Inc.* | 3,780 | 300,812 | ||||||
Analog Devices, Inc. | 3,865 | 300,697 | ||||||
Fiserv, Inc.* | 2,320 | 283,829 | ||||||
QUALCOMM, Inc. | 4,550 | 251,251 | ||||||
Total Technology | 10,811,235 | |||||||
Communications - 14.1% | ||||||||
Facebook, Inc. — Class A* | 5,551 | 838,091 | ||||||
Amazon.com, Inc.* | 780 | 755,040 | ||||||
Charter Communications, Inc. — Class A* | 2,080 | 700,648 | ||||||
Priceline Group, Inc.* | 314 | 587,343 | ||||||
F5 Networks, Inc.* | 4,588 | 582,951 | ||||||
Motorola Solutions, Inc. | 6,556 |
| 568,667 | |||||
Scripps Networks Interactive, Inc. — Class A | 6,790 | 463,825 | ||||||
Expedia, Inc. | 3,113 | 463,681 | ||||||
Netflix, Inc.* | 3,050 | 455,701 | ||||||
Time Warner, Inc. | 3,766 | 378,144 | ||||||
CBS Corp. — Class B | 5,630 | 359,081 | ||||||
Comcast Corp. — Class A | 7,630 | 296,960 | ||||||
VeriSign, Inc.* | 2,893 | 268,933 | ||||||
Discovery Communications, Inc. — Class C* | 7,720 | 194,621 | ||||||
Alphabet, Inc. — Class A* | 158 | 146,889 | ||||||
Alphabet, Inc. — Class C* | 160 | 145,397 | ||||||
Discovery Communications, Inc. — Class A*,1 | 5,410 | 139,740 | ||||||
LogMeIn, Inc. | 1 | 105 | ||||||
Total Communications | 7,345,817 | |||||||
Financial - 14.0% | ||||||||
Prologis, Inc. | 13,370 | 784,017 | ||||||
E*TRADE Financial Corp.* | 15,343 | 583,494 | ||||||
Intercontinental Exchange, Inc. | 8,710 | 574,163 | ||||||
UDR, Inc.1 | 14,599 | 568,923 | ||||||
Apartment Investment & Management Co. REIT — Class A | 11,490 | 493,725 | ||||||
American Tower Corp. REIT — Class A | 3,460 | 457,827 | ||||||
AvalonBay Communities, Inc. | 2,320 | 445,834 | ||||||
Welltower, Inc. | 5,560 | 416,166 | ||||||
Host Hotels & Resorts, Inc. | 21,890 | 399,930 | ||||||
GGP, Inc. | 15,550 | 366,358 | ||||||
Digital Realty Trust, Inc. | 3,160 | 356,922 | ||||||
Charles Schwab Corp. | 7,460 | 320,482 | ||||||
Arthur J Gallagher & Co. | 5,240 | 299,990 | ||||||
Mastercard, Inc. — Class A | 2,140 | 259,903 | ||||||
Extra Space Storage, Inc. | 3,190 | 248,820 | ||||||
Kimco Realty Corp. | 13,370 | 245,340 | ||||||
Marsh & McLennan Companies, Inc. | 3,120 | 243,235 | ||||||
Discover Financial Services | 3,740 | 232,591 | ||||||
Total Financial | 7,297,720 | |||||||
Industrial - 13.5% | ||||||||
Corning, Inc. | 25,900 | 778,294 | ||||||
Vulcan Materials Co. | 5,440 | 689,140 | ||||||
Ingersoll-Rand plc | 6,690 | 611,399 | ||||||
Martin Marietta Materials, Inc. | 2,080 | 462,966 | ||||||
TransDigm Group, Inc. | 1,650 | 443,636 | ||||||
Amphenol Corp. — Class A | 5,740 | 423,727 | ||||||
Cummins, Inc. | 2,520 | 408,794 | ||||||
Northrop Grumman Corp. | 1,540 | 395,333 | ||||||
FedEx Corp. | 1,760 | 382,500 | ||||||
Illinois Tool Works, Inc. | 2,630 | 376,748 | ||||||
General Dynamics Corp. | 1,790 | 354,599 | ||||||
Garmin Ltd. | 6,520 | 332,716 | ||||||
Harris Corp. | 2,867 | 312,732 | ||||||
Republic Services, Inc. — Class A | 4,560 | 290,609 | ||||||
Acuity Brands, Inc.1 | 1,420 | 288,658 | ||||||
Xylem, Inc. | 4,800 | 266,064 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
S&P 500® PURE GROWTH FUND |
| Shares | Value | ||||||
J.B. Hunt Transport Services, Inc. | 2,520 | $ | 230,278 | |||||
Total Industrial | 7,048,193 | |||||||
Consumer, Cyclical - 12.4% | ||||||||
Ulta Beauty, Inc.* | 3,590 | 1,031,551 | ||||||
Starbucks Corp. | 11,540 | 672,897 | ||||||
Darden Restaurants, Inc. | 6,800 | 614,992 | ||||||
United Continental Holdings, Inc.* | 7,380 | 555,345 | ||||||
LKQ Corp.* | 16,540 | 544,993 | ||||||
Dollar Tree, Inc.* | 6,755 | 472,310 | ||||||
Michael Kors Holdings Ltd.* | 11,080 | 401,650 | ||||||
Ross Stores, Inc. | 6,070 | 350,421 | ||||||
Dollar General Corp. | 4,560 | 328,730 | ||||||
Southwest Airlines Co. | 4,999 | 310,638 | ||||||
Marriott International, Inc. — Class A | 2,900 | 290,899 | ||||||
Hasbro, Inc. | 2,530 | 282,120 | ||||||
Harley-Davidson, Inc. | 4,754 | 256,811 | ||||||
O’Reilly Automotive, Inc.* | 947 | 207,147 | ||||||
Advance Auto Parts, Inc. | 1,490 | 173,719 | ||||||
Total Consumer, Cyclical | 6,494,223 | |||||||
Basic Materials - 1.5% | ||||||||
Albemarle Corp. | 4,807 | 507,330 | ||||||
Newmont Mining Corp. | 9,340 | 302,523 | ||||||
Total Basic Materials | 809,853 | |||||||
Energy - 0.7% | ||||||||
Murphy Oil Corp. | 14,493 | 371,456 | ||||||
Utilities - 0.5% | ||||||||
American Water Works Co., Inc. | 3,100 | 241,645 | ||||||
Total Common Stocks | ||||||||
(Cost $41,028,159) | 51,997,942 |
| Face |
| ||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
HSBC Securities, Inc. | $ | 220,205 |
| 220,205 | ||||
Bank of America Merrill Lynch | 81,544 | 81,544 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $301,749) | 301,749 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 0.9% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 484,498 | 484,498 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $484,498) | 484,498 | |||||||
Total Investments - 101.0% | ||||||||
(Cost $41,814,406) | $ | 52,784,189 | ||||||
Other Assets & Liabilities, net - (1.0)% | (509,208 | ) | ||||||
Total Net Assets - 100.0% | $ | 52,274,981 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
S&P 500® PURE GROWTH FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 51,997,942 | $ | — | $ | — | $ | 51,997,942 | ||||||||
Repurchase Agreements | — | 301,749 | — | 301,749 | ||||||||||||
Securities Lending Collateral | 484,498 | — | — | 484,498 | ||||||||||||
Total Assets | $ | 52,482,440 | $ | 301,749 | $ | — | $ | 52,784,189 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
S&P 500® PURE GROWTH FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $471,939 of securities loaned (cost $41,512,657) | $ | 52,482,440 | ||
Repurchase agreements, at value (cost $301,749) | 301,749 | |||
Total investments (cost $41,814,406) | 52,784,189 | |||
Cash | 9,698 | |||
Receivables: | ||||
Fund shares sold | 1,342,320 | |||
Dividends | 23,684 | |||
Interest | 9 | |||
Securities lending income | 56 | |||
Total assets | 54,159,956 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 1,293,029 | |||
Return of securities loaned | 484,498 | |||
Management fees | 30,424 | |||
Transfer agent and administrative fees | 10,142 | |||
Investor service fees | 10,142 | |||
Portfolio accounting fees | 4,057 | |||
Fund shares redeemed | 1,381 | |||
Miscellaneous | 51,302 | |||
Total liabilities | 1,884,975 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 52,274,981 | ||
Net assets consist of: | ||||
Paid in capital | $ | 40,209,710 | ||
Accumulated net investment loss | (167,818 | ) | ||
Accumulated net realized gain on investments | 1,263,306 | |||
Net unrealized appreciation on investments | 10,969,783 | |||
Net assets | $ | 52,274,981 | ||
Capital shares outstanding | 1,099,802 | |||
Net asset value per share | $ | 47.53 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends | $ | 193,680 | ||
Interest | 858 | |||
Income from securities lending, net | 270 | |||
Total investment income | 194,808 | |||
Expenses: | ||||
Management fees | 169,906 | |||
Transfer agent and administrative fees | 56,635 | |||
Investor service fees | 56,635 | |||
Portfolio accounting fees | 22,654 | |||
Professional fees | 50,154 | |||
Custodian fees | 4,461 | |||
Trustees’ fees* | 3,388 | |||
Line of credit fees | 6 | |||
Miscellaneous | (1,213 | ) | ||
Total expenses | 362,626 | |||
Net investment loss | (167,818 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 188,718 | |||
Net realized gain | 188,718 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 5,234,657 | |||
Net change in unrealized appreciation (depreciation) | 5,234,657 | |||
Net realized and unrealized gain | 5,423,375 | |||
Net increase in net assets resulting from operations | $ | 5,255,557 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® PURE GROWTH FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (167,818 | ) | $ | (229,575 | ) | ||
Net realized gain on investments | 188,718 | 3,957,390 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 5,234,657 | (5,310,795 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 5,255,557 | (1,582,980 | ) | |||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (2,097,841 | ) | |||||
Total distributions to shareholders | — | (2,097,841 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 69,446,679 | 106,079,539 | ||||||
Distributions reinvested | — | 2,097,841 | ||||||
Cost of shares redeemed | (66,334,930 | ) | (138,232,653 | ) | ||||
Net increase (decrease) from capital share transactions | 3,111,749 | (30,055,273 | ) | |||||
Net increase (decrease) in net assets | 8,367,306 | (33,736,094 | ) | |||||
Net assets: | ||||||||
Beginning of period | 43,907,675 | 77,643,769 | ||||||
End of period | $ | 52,274,981 | $ | 43,907,675 | ||||
Accumulated net investment loss at end of period | $ | (167,818 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 1,511,123 | 2,509,196 | ||||||
Shares issued from reinvestment of distributions | — | 49,118 | ||||||
Shares redeemed | (1,449,035 | ) | (3,296,405 | ) | ||||
Net increase (decrease) in shares | 62,088 | (738,091 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
S&P 500® PURE GROWTH FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 42.31 | $ | 43.72 | $ | 47.51 | $ | 47.61 | $ | 33.69 | $ | 29.99 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.17 | ) | (.23 | ) | (.25 | ) | (.33 | ) | (.18 | ) | (.15 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.39 | 1.38 | .91 | 6.19 | 14.10 | 4.13 | ||||||||||||||||||
Total from investment operations | 5.22 | 1.15 | .66 | 5.86 | 13.92 | 3.98 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (2.56 | ) | (4.45 | ) | (5.96 | ) | — | (.28 | ) | ||||||||||||||
Total distributions | — | (2.56 | ) | (4.45 | ) | (5.96 | ) | — | (.28 | ) | ||||||||||||||
Net asset value, end of period | $ | 47.53 | $ | 42.31 | $ | 43.72 | $ | 47.51 | $ | 47.61 | $ | 33.69 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 12.34 | % | 2.58 | % | 1.08 | % | 12.42 | % | 41.32 | % | 13.31 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 52,275 | $ | 43,908 | $ | 77,644 | $ | 87,942 | $ | 61,887 | $ | 29,326 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.74 | %) | (0.54 | %) | (0.54 | %) | (0.67 | %) | (0.44 | %) | (0.46 | %) | ||||||||||||
Total expenses | 1.60 | % | 1.56 | % | 1.51 | % | 1.57 | % | 1.54 | % | 1.58 | % | ||||||||||||
Portfolio turnover rate | 129 | % | 265 | % | 174 | % | 251 | % | 324 | % | 391 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
S&P 500® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap value securities on a daily basis. The Fund’s current benchmark is the S&P 500® Pure Value Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 3, 2004 |
Ten Largest Holdings (% of Total Net Assets) | |
Berkshire Hathaway, Inc. — Class B | 2.3% |
Centene Corp. | 2.1% |
Arconic, Inc. | 2.0% |
Anthem, Inc. | 1.9% |
General Motors Co. | 1.9% |
Valero Energy Corp. | 1.8% |
Prudential Financial, Inc. | 1.7% |
Assurant, Inc. | 1.7% |
CenturyLink, Inc. | 1.6% |
Tesoro Corp. | 1.6% |
Top Ten Total | 18.6% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
| 6 month‡ | 1 Year | 5 Year | 10 Year |
S&P 500® Pure Value Fund | 3.88% | 17.20% | 15.70% | 5.63% |
S&P 500 Pure Value Index | 4.71% | 19.30% | 17.73% | 7.75% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
S&P 500® PURE VALUE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Financial - 33.3% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 6,031 | $ | 1,021,470 | |||||
Prudential Financial, Inc. | 6,917 | 748,005 | ||||||
Assurant, Inc. | 7,120 | 738,273 | ||||||
XL Group Ltd. | 15,469 | 677,542 | ||||||
Hartford Financial Services Group, Inc. | 12,422 | 653,025 | ||||||
MetLife, Inc. | 11,068 | 608,076 | ||||||
Unum Group | 13,015 | 606,890 | ||||||
Allstate Corp. | 6,708 | 593,256 | ||||||
Lincoln National Corp. | 8,700 | 587,946 | ||||||
Citigroup, Inc. | 7,790 | 520,995 | ||||||
Loews Corp. | 10,668 | 499,369 | ||||||
Bank of America Corp. | 19,691 | 477,704 | ||||||
American International Group, Inc. | 7,025 | 439,203 | ||||||
Capital One Financial Corp. | 5,287 | 436,812 | ||||||
Aflac, Inc. | 5,346 | 415,277 | ||||||
Travelers Cos., Inc. | 3,180 | 402,366 | ||||||
Everest Re Group Ltd. | 1,550 | 394,615 | ||||||
Regions Financial Corp. | 25,220 | 369,221 | ||||||
Morgan Stanley | 7,970 | 355,143 | ||||||
Chubb Ltd. | 2,318 | 336,991 | ||||||
SunTrust Banks, Inc. | 5,872 | 333,060 | ||||||
Progressive Corp. | 6,690 | 294,962 | ||||||
Principal Financial Group, Inc. | 4,564 | 292,415 | ||||||
JPMorgan Chase & Co. | 3,100 | 283,340 | ||||||
Zions Bancorporation | 6,020 | 264,338 | ||||||
PNC Financial Services Group, Inc. | 2,076 | 259,230 | ||||||
Fifth Third Bancorp | 9,694 | 251,656 | ||||||
Goldman Sachs Group, Inc. | 1,108 | 245,865 | ||||||
Navient Corp. | 13,270 | 220,946 | ||||||
People’s United Financial, Inc. | 12,290 | 217,041 | ||||||
Bank of New York Mellon Corp. | 4,080 | 208,161 | ||||||
BB&T Corp. | 4,281 | 194,400 | ||||||
Wells Fargo & Co. | 3,390 | 187,840 | ||||||
Torchmark Corp. | 2,380 | 182,070 | ||||||
Huntington Bancshares, Inc. | 13,075 | 176,774 | ||||||
State Street Corp. | 1,850 | 166,001 | ||||||
Invesco Ltd. | 4,570 | 160,818 | ||||||
Total Financial | 14,821,096 | |||||||
Consumer, Cyclical - 20.4% | ||||||||
General Motors Co. | 23,704 | 827,981 | ||||||
Ford Motor Co. | 56,507 | 632,313 | ||||||
Staples, Inc. | 58,385 | 587,937 | ||||||
PulteGroup, Inc. | 22,988 | 563,896 | ||||||
AutoNation, Inc.*,1 | 13,100 | 552,296 | ||||||
Goodyear Tire & Rubber Co. | 15,590 | 545,026 | ||||||
Wal-Mart Stores, Inc. | 6,808 | 515,230 | ||||||
Lennar Corp. — Class A | 9,250 | 493,210 | ||||||
DR Horton, Inc. | 14,209 | 491,205 | ||||||
CVS Health Corp. | 6,079 | 489,117 | ||||||
Whirlpool Corp. | 2,170 | 415,815 | ||||||
Kohl’s Corp. | 8,920 | 344,937 | ||||||
BorgWarner, Inc. | 7,030 | 297,791 | ||||||
PVH Corp. | 2,580 | 295,410 | ||||||
Bed Bath & Beyond, Inc. | 8,174 |
| 248,490 | |||||
Costco Wholesale Corp. | 1,510 | 241,494 | ||||||
Gap, Inc. | 9,910 | 217,921 | ||||||
Delta Air Lines, Inc. | 3,830 | 205,824 | ||||||
American Airlines Group, Inc. | 4,090 | 205,809 | ||||||
Carnival Corp. | 3,055 | 200,316 | ||||||
Macy’s, Inc. | 8,576 | 199,306 | ||||||
Walgreens Boots Alliance, Inc. | 2,259 | 176,902 | ||||||
Target Corp. | 3,300 | 172,557 | ||||||
Signet Jewelers Ltd.1 | 1,710 | 108,140 | ||||||
Total Consumer, Cyclical | 9,028,923 | |||||||
Consumer, Non-cyclical - 16.1% | ||||||||
Centene Corp.* | 11,490 | 917,822 | ||||||
Anthem, Inc. | 4,580 | 861,635 | ||||||
Archer-Daniels-Midland Co. | 16,440 | 680,287 | ||||||
McKesson Corp. | 3,490 | 574,245 | ||||||
Cardinal Health, Inc. | 6,899 | 537,570 | ||||||
AmerisourceBergen Corp. — Class A | 5,370 | 507,626 | ||||||
Tyson Foods, Inc. — Class A | 7,075 | 443,107 | ||||||
Whole Foods Market, Inc. | 9,182 | 386,654 | ||||||
Mallinckrodt plc* | 8,160 | 365,650 | ||||||
Allergan plc | 1,470 | 357,342 | ||||||
Patterson Companies, Inc. | 7,560 | 354,942 | ||||||
Express Scripts Holding Co.* | 5,545 | 353,993 | ||||||
Kroger Co. | 13,540 | 315,753 | ||||||
Cigna Corp. | 1,587 | 265,648 | ||||||
DaVita, Inc.* | 3,124 | 202,310 | ||||||
Total Consumer, Non-cyclical | 7,124,584 | |||||||
Utilities - 7.8% | ||||||||
Exelon Corp. | 13,241 | 477,603 | ||||||
Entergy Corp. | 6,044 | 463,998 | ||||||
FirstEnergy Corp. | 11,367 | 331,462 | ||||||
NRG Energy, Inc. | 18,779 | 323,374 | ||||||
AES Corp. | 28,747 | 319,379 | ||||||
Duke Energy Corp. | 3,659 | 305,856 | ||||||
Consolidated Edison, Inc. | 3,367 | 272,121 | ||||||
Eversource Energy | 3,540 | 214,913 | ||||||
Public Service Enterprise Group, Inc. | 4,578 | 196,900 | ||||||
Ameren Corp. | 3,339 | 182,543 | ||||||
Xcel Energy, Inc. | 3,940 | 180,767 | ||||||
DTE Energy Co. | 1,619 | 171,274 | ||||||
Total Utilities | 3,440,190 | |||||||
Energy - 6.5% | ||||||||
Valero Energy Corp. | 11,525 | 777,476 | ||||||
Tesoro Corp. | 7,380 | 690,768 | ||||||
Marathon Petroleum Corp. | 11,273 | 589,916 | ||||||
Phillips 66 | 4,507 | 372,684 | ||||||
Transocean Ltd.* | 41,215 | 339,199 | ||||||
Marathon Oil Corp. | 9,716 | 115,135 | ||||||
Total Energy | 2,885,178 | |||||||
Industrial - 6.1% | ||||||||
Arconic, Inc. | 39,150 | 886,748 | ||||||
Fluor Corp. | 9,418 | 431,156 |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
S&P 500® PURE VALUE FUND |
| Shares | Value | ||||||
WestRock Co. | 6,880 | $ | 389,821 | |||||
Jacobs Engineering Group, Inc. | 6,083 | 330,854 | ||||||
Textron, Inc. | 5,306 | 249,913 | ||||||
Johnson Controls International plc | 5,290 | 229,374 | ||||||
Eaton Corp. plc | 2,434 | 189,438 | ||||||
Total Industrial | 2,707,304 | |||||||
Communications - 3.5% | ||||||||
CenturyLink, Inc.1 | 29,557 | 705,820 | ||||||
News Corp. — Class A | 37,168 | 509,202 | ||||||
AT&T, Inc. | 4,390 | 165,635 | ||||||
News Corp. — Class B | 11,486 | 162,527 | ||||||
Total Communications | 1,543,184 | |||||||
Technology - 3.1% | ||||||||
Xerox Corp. | 20,194 | 580,174 | ||||||
Hewlett Packard Enterprise Co. | 20,410 | 338,601 | ||||||
HP, Inc. | 13,474 | 235,526 | ||||||
Western Digital Corp. | 2,257 | 199,970 | ||||||
Total Technology | 1,354,271 | |||||||
Diversified - 1.5% | ||||||||
Leucadia National Corp. | 25,720 | 672,835 | ||||||
Basic Materials - 1.2% | ||||||||
Mosaic Co. | 15,060 | 343,819 | ||||||
Eastman Chemical Co. | 2,050 | 172,180 | ||||||
Total Basic Materials | 515,999 | |||||||
Total Common Stocks | ||||||||
(Cost $36,122,165) | 44,093,564 |
Face |
| |||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
HSBC Securities, Inc. | $ | 185,216 |
| 185,216 | ||||
Bank of America Merrill Lynch | 68,587 | 68,587 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $253,803) | 253,803 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 1.7% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 748,686 | 748,686 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $748,686) | 748,686 | |||||||
Total Investments - 101.8% | ||||||||
(Cost $37,124,654) | $ | 45,096,053 | ||||||
Other Assets & Liabilities, net - (1.8)% | (776,234 | ) | ||||||
Total Net Assets - 100.0% | $ | 44,319,819 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
S&P 500® PURE VALUE FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 44,093,564 | $ | — | $ | — | $ | 44,093,564 | ||||||||
Repurchase Agreements | — | 253,803 | — | 253,803 | ||||||||||||
Securities Lending Collateral | 748,686 | — | — | 748,686 | ||||||||||||
Total Assets | $ | 44,842,250 | $ | 253,803 | $ | — | $ | 45,096,053 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® PURE VALUE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $725,297 of securities loaned (cost $36,870,851) | $ | 44,842,250 | ||
Repurchase agreements, at value (cost $253,803) | 253,803 | |||
Total investments (cost $37,124,654) | 45,096,053 | |||
Cash | 3,165 | |||
Receivables: | ||||
Fund shares sold | 2,400,471 | |||
Dividends | 45,452 | |||
Interest | 7 | |||
Securities lending income | 103 | |||
Total assets | 47,545,251 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 2,371,884 | |||
Return of securities loaned | 748,686 | |||
Management fees | 25,112 | |||
Transfer agent and administrative fees | 8,371 | |||
Investor service fees | 8,371 | |||
Portfolio accounting fees | 3,348 | |||
Fund shares redeemed | 894 | |||
Miscellaneous | 58,766 | |||
Total liabilities | 3,225,432 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 44,319,819 | ||
Net assets consist of: | ||||
Paid in capital | $ | 38,005,348 | ||
Undistributed net investment income | 474,959 | |||
Accumulated net realized loss on investments | (2,131,887 | ) | ||
Net unrealized appreciation on investments | 7,971,399 | |||
Net assets | $ | 44,319,819 | ||
Capital shares outstanding | 755,830 | |||
Net asset value per share | $ | 58.64 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends | $ | 508,933 | ||
Income from securities lending, net | 899 | |||
Interest | 768 | |||
Total investment income | 510,600 | |||
Expenses: | ||||
Management fees | 162,683 | |||
Transfer agent and administrative fees | 54,227 | |||
Investor service fees | 54,228 | |||
Portfolio accounting fees | 21,691 | |||
Professional fees | 43,146 | |||
Custodian fees | 4,098 | |||
Trustees’ fees* | 2,923 | |||
Line of credit fees | 50 | |||
Miscellaneous | 4,184 | |||
Total expenses | 347,230 | |||
Net investment income | 163,370 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (582,116 | ) | ||
Net realized loss | (582,116 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,795,417 | |||
Net change in unrealized appreciation (depreciation) | 1,795,417 | |||
Net realized and unrealized gain | 1,213,301 | |||
Net increase in net assets resulting from operations | $ | 1,376,671 |
* | 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 FUNDS SEMI-ANNUAL REPORT | 19 |
S&P 500® PURE VALUE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 163,370 | $ | 311,589 | ||||
Net realized gain (loss) on investments | (582,116 | ) | 2,579,759 | |||||
Net change in unrealized appreciation (depreciation) on investments | 1,795,417 | 2,366,999 | ||||||
Net increase in net assets resulting from operations | 1,376,671 | 5,258,347 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (401,556 | ) | |||||
Net realized gains | — | (1,016,397 | ) | |||||
Total distributions to shareholders | — | (1,417,953 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 24,119,883 | 74,464,953 | ||||||
Distributions reinvested | — | 1,417,953 | ||||||
Cost of shares redeemed | (26,025,428 | ) | (67,200,697 | ) | ||||
Net increase (decrease) from capital share transactions | (1,905,545 | ) | 8,682,209 | |||||
Net increase (decrease) in net assets | (528,874 | ) | 12,522,603 | |||||
Net assets: | ||||||||
Beginning of period | 44,848,693 | 32,326,090 | ||||||
End of period | $ | 44,319,819 | $ | 44,848,693 | ||||
Undistributed net investment income at end of period | $ | 474,959 | $ | 311,589 | ||||
Capital share activity: | ||||||||
Shares sold | 412,417 | 1,449,037 | * | |||||
Shares issued from reinvestment of distributions | — | 27,250 | * | |||||
Shares redeemed | (451,100 | ) | (1,327,228 | )* | ||||
Net increase (decrease) in shares | (38,683 | ) | 149,059 | * |
* | Capital share activity for the year ended December 31, 2016, has been restated to reflect a 2:1 share split effective December 1, 2016 — See Note 12. |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® PURE VALUE FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 56.45 | $ | 50.08 | $ | 71.22 | $ | 69.60 | $ | 47.91 | $ | 39.39 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .22 | .83 | .63 | .42 | .21 | .18 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.97 | 9.87 | (5.87 | ) | 7.10 | 21.48 | 8.56 | |||||||||||||||||
Total from investment operations | 2.19 | 10.70 | (5.24 | ) | 7.52 | 21.69 | 8.74 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (1.23 | ) | (.82 | ) | (.34 | ) | — | (.22 | ) | ||||||||||||||
Net realized gains | — | (3.10 | ) | (15.08 | ) | (5.56 | ) | — | — | |||||||||||||||
Total distributions | — | (4.33 | ) | (15.90 | ) | (5.90 | ) | — | (.22 | ) | ||||||||||||||
Net asset value, end of period | $ | 58.64 | $ | 56.45 | $ | 50.08 | $ | 71.22 | $ | 69.60 | $ | 47.91 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 3.88 | % | 17.40 | % | (9.38 | %) | 10.94 | % | 45.26 | % | 22.23 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | �� | $ | 44,320 | $ | 44,849 | $ | 32,326 | $ | 63,165 | $ | 74,001 | $ | 28,877 | |||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.75 | % | 0.88 | % | 1.02 | % | 0.58 | % | 0.35 | % | 0.40 | % | ||||||||||||
Total expenses | 1.60 | % | 1.56 | % | 1.51 | % | 1.57 | % | 1.54 | % | 1.58 | % | ||||||||||||
Portfolio turnover rate | 45 | % | 207 | % | 162 | % | 209 | % | 371 | % | 523 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 2:1 share split effective December 1, 2016 — See Note 12. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
S&P MIDCAP 400® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400® Pure Growth Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 3, 2004 |
Ten Largest Holdings (% of Total Net Assets) | |
WebMD Health Corp. — Class A | 2.5% |
ABIOMED, Inc. | 2.2% |
Cognex Corp. | 2.1% |
InterDigital, Inc. | 2.0% |
WellCare Health Plans, Inc. | 1.9% |
MarketAxess Holdings, Inc. | 1.9% |
Domino’s Pizza, Inc. | 1.9% |
Take-Two Interactive Software, Inc. | 1.9% |
NuVasive, Inc. | 1.8% |
LogMeIn, Inc. | 1.7% |
Top Ten Total | 19.9% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
| 6 month‡ | 1 Year | 5 Year | 10 Year |
S&P MidCap 400® Pure Growth Fund | 8.46% | 14.19% | 10.14% | 8.26% |
S&P MidCap 400 Pure Growth Index | 9.31% | 16.02% | 11.74% | 9.99% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Pure Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
S&P MIDCAP 400® PURE GROWTH FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.6% | ||||||||
Consumer, Cyclical - 21.7% | ||||||||
Domino’s Pizza, Inc. | 1,540 | $ | 325,757 | |||||
Thor Industries, Inc. | 2,740 | 286,385 | ||||||
Kate Spade & Co.* | 15,180 | 280,678 | ||||||
Skechers U.S.A., Inc. — Class A* | 8,004 | 236,118 | ||||||
Copart, Inc.* | 6,810 | 216,490 | ||||||
Wendy’s Co. | 12,689 | 196,806 | ||||||
Texas Roadhouse, Inc. — Class A | 3,770 | 192,082 | ||||||
NVR, Inc.*,1 | 79 | 190,438 | ||||||
Churchill Downs, Inc. | 1,007 | 184,583 | ||||||
Papa John’s International, Inc. | 2,560 | 183,706 | ||||||
Urban Outfitters, Inc.* | 9,859 | 182,786 | ||||||
Toro Co. | 2,560 | 177,382 | ||||||
Panera Bread Co. — Class A*,1 | 549 | 172,737 | ||||||
Jack in the Box, Inc. | 1,700 | 167,450 | ||||||
Dick’s Sporting Goods, Inc. | 3,560 | 141,795 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 1,590 | 136,676 | ||||||
Dunkin’ Brands Group, Inc. | 2,468 | 136,036 | ||||||
Pool Corp. | 1,152 | 135,441 | ||||||
Buffalo Wild Wings, Inc.* | 714 | 90,464 | ||||||
Cheesecake Factory, Inc. | 1,650 | 82,995 | ||||||
Brinker International, Inc. | 2,080 | 79,248 | ||||||
Total Consumer, Cyclical | 3,796,053 | |||||||
Consumer, Non-cyclical - 19.9% | ||||||||
ABIOMED, Inc.* | 2,730 | 391,209 | ||||||
WellCare Health Plans, Inc.* | 1,880 | 337,573 | ||||||
MarketAxess Holdings, Inc. | 1,643 | 330,407 | ||||||
NuVasive, Inc.* | 4,091 | 314,680 | ||||||
Incorporated Research Holdings, Inc. — Class A* | 4,450 | 260,325 | ||||||
Masimo Corp.* | 2,700 | 246,186 | ||||||
VCA, Inc.* | 2,517 | 232,344 | ||||||
Bioverativ, Inc.* | 3,800 | 228,646 | ||||||
HealthSouth Corp. | 3,990 | 193,116 | ||||||
CoreLogic, Inc.* | 4,350 | 188,703 | ||||||
Akorn, Inc.* | 4,993 | 167,465 | ||||||
Bio-Techne Corp. | 1,420 | 166,850 | ||||||
Post Holdings, Inc.* | 1,928 | 149,709 | ||||||
Avis Budget Group, Inc.* | 5,010 | 136,623 | ||||||
Sotheby’s* | 2,360 | 126,661 | ||||||
Total Consumer, Non-cyclical | 3,470,497 | |||||||
Industrial - 17.1% | ||||||||
Cognex Corp. | 4,294 | 364,561 | ||||||
Packaging Corporation of America | 2,701 | 300,864 | ||||||
Nordson Corp. | 1,610 | 195,325 | ||||||
Eagle Materials, Inc. | 2,078 | 192,049 | ||||||
Old Dominion Freight Line, Inc. | 1,820 | 173,337 | ||||||
Littelfuse, Inc. | 1,043 | 172,095 | ||||||
Carlisle Companies, Inc. | 1,670 | 159,318 | ||||||
Granite Construction, Inc. | 3,290 | 158,710 | ||||||
Coherent, Inc.* | 690 | 155,242 | ||||||
Worthington Industries, Inc. | 2,850 | 143,127 | ||||||
Gentex Corp. | 7,010 |
| 132,980 | |||||
Zebra Technologies Corp. — Class A* | 1,321 | 132,787 | ||||||
AO Smith Corp. | 2,184 | 123,025 | ||||||
Landstar System, Inc. | 1,400 | 119,840 | ||||||
Crane Co. | 1,280 | 101,606 | ||||||
Huntington Ingalls Industries, Inc. | 540 | 100,526 | ||||||
Woodward, Inc. | 1,420 | 95,964 | ||||||
Curtiss-Wright Corp. | 950 | 87,191 | ||||||
EnerSys | 1,120 | 81,144 | ||||||
Total Industrial | 2,989,691 | |||||||
Financial - 16.6% | ||||||||
SLM Corp.* | 23,310 | 268,065 | ||||||
Home BancShares, Inc. | 9,780 | 243,522 | ||||||
Uniti Group, Inc. REIT | 8,952 | 225,054 | ||||||
First Horizon National Corp. | 12,193 | 212,402 | ||||||
Primerica, Inc. | 2,800 | 212,100 | ||||||
First Industrial Realty Trust, Inc. | 7,386 | 211,387 | ||||||
Kilroy Realty Corp. | 2,563 | 192,609 | ||||||
DCT Industrial Trust, Inc. | 3,485 | 186,238 | ||||||
Pinnacle Financial Partners, Inc. | 2,640 | 165,792 | ||||||
Brown & Brown, Inc. | 3,530 | 152,037 | ||||||
Education Realty Trust, Inc. | 3,813 | 147,754 | ||||||
Washington Federal, Inc. | 3,773 | 125,264 | ||||||
Lamar Advertising Co. — Class A | 1,607 | 118,227 | ||||||
Duke Realty Corp. | 4,164 | 116,384 | ||||||
Bank of the Ozarks | 2,294 | 107,520 | ||||||
Weingarten Realty Investors | 3,478 | 104,688 | ||||||
Liberty Property Trust | 2,433 | 99,047 | ||||||
Total Financial | 2,888,090 | |||||||
Technology - 14.0% | ||||||||
Take-Two Interactive Software, Inc.* | 4,410 | 323,607 | ||||||
Cirrus Logic, Inc.* | 4,483 | 281,173 | ||||||
Monolithic Power Systems, Inc. | 2,092 | 201,669 | ||||||
Microsemi Corp.* | 3,662 | 171,382 | ||||||
Ultimate Software Group, Inc.* | 791 | 166,157 | ||||||
Medidata Solutions, Inc.* | 2,080 | 162,656 | ||||||
MAXIMUS, Inc. | 2,520 | 157,828 | ||||||
NCR Corp.* | 3,800 | 155,192 | ||||||
MSCI, Inc. — Class A | 1,478 | 152,219 | ||||||
IPG Photonics Corp.* | 858 | 124,496 | ||||||
Science Applications International Corp. | 1,760 | 122,179 | ||||||
Integrated Device Technology, Inc.* | 4,599 | 118,608 | ||||||
Fair Isaac Corp. | 825 | 115,013 | ||||||
Broadridge Financial Solutions, Inc. | 1,299 | 98,152 | ||||||
CommVault Systems, Inc.* | 1,600 | 90,320 | ||||||
Total Technology | 2,440,651 | |||||||
Communications - 6.2% | ||||||||
WebMD Health Corp. — Class A* | 7,454 | 437,177 | ||||||
InterDigital, Inc. | 4,494 | 347,386 | ||||||
LogMeIn, Inc. | 2,914 | 304,513 | ||||||
Total Communications | 1,089,076 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
S&P MIDCAP 400® PURE GROWTH FUND |
| Shares | Value | ||||||
Basic Materials - 2.8% | ||||||||
Royal Gold, Inc. | 3,574 | $ | 279,380 | |||||
Minerals Technologies, Inc. | 2,870 | 210,084 | ||||||
Total Basic Materials | 489,464 | |||||||
Utilities - 1.3% | ||||||||
Southwest Gas Holdings, Inc. | 1,680 | 122,741 | ||||||
MDU Resources Group, Inc. | 3,860 | 101,132 | ||||||
Total Utilities | 223,873 | |||||||
Total Common Stocks | ||||||||
(Cost $14,718,172) | 17,387,395 |
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.5% | ||||||||
HSBC Securities, Inc. | $ | 69,962 | 69,962 | |||||
Bank of America Merrill Lynch | 25,907 | 25,907 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $95,869) | 95,869 |
Shares |
| |||||||
SECURITIES LENDING COLLATERAL†,3 - 1.5% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 253,668 |
| 253,668 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $253,668) | 253,668 | |||||||
Total Investments - 101.6% | ||||||||
(Cost $15,067,709) | $ | 17,736,932 | ||||||
Other Assets & Liabilities, net - (1.6)% | (286,429 | ) | ||||||
Total Net Assets - 100.0% | $ | 17,450,503 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 17,387,395 | $ | — | $ | — | $ | 17,387,395 | ||||||||
Repurchase Agreements | — | 95,869 | — | 95,869 | ||||||||||||
Securities Lending Collateral | 253,668 | — | — | 253,668 | ||||||||||||
Total Assets | $ | 17,641,063 | $ | 95,869 | $ | — | $ | 17,736,932 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE GROWTH FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $252,258 of securities loaned (cost $14,971,840) | $ | 17,641,063 | ||
Repurchase agreements, at value (cost $95,869) | 95,869 | |||
Total investments (cost $15,067,709) | 17,736,932 | |||
Receivables: | ||||
Dividends | 17,589 | |||
Interest | 2 | |||
Securities lending income | 20 | |||
Total assets | 17,754,543 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 253,668 | |||
Management fees | 11,017 | |||
Fund shares redeemed | 8,544 | |||
Transfer agent and administrative fees | 3,672 | |||
Investor service fees | 3,672 | |||
Portfolio accounting fees | 1,469 | |||
Miscellaneous | 21,998 | |||
Total liabilities | 304,040 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 17,450,503 | ||
Net assets consist of: | ||||
Paid in capital | $ | 15,405,972 | ||
Accumulated net investment loss | (67,195 | ) | ||
Accumulated net realized loss on investments | (557,497 | ) | ||
Net unrealized appreciation on investments | 2,669,223 | |||
Net assets | $ | 17,450,503 | ||
Capital shares outstanding | 486,095 | |||
Net asset value per share | $ | 35.90 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends | $ | 90,373 | ||
Interest | 395 | |||
Income from securities lending, net | 155 | |||
Total investment income | 90,923 | |||
Expenses: | ||||
Management fees | 74,094 | |||
Transfer agent and administrative fees | 24,698 | |||
Investor service fees | 24,698 | |||
Portfolio accounting fees | 9,879 | |||
Professional fees | 24,904 | |||
Printing expenses | 8,425 | |||
Custodian fees | 2,073 | |||
Trustees’ fees* | 1,717 | |||
Line of credit fees | 2 | |||
Miscellaneous | (12,372 | ) | ||
Total expenses | 158,118 | |||
Net investment loss | (67,195 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 441,374 | |||
Net realized gain | 441,374 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,186,159 | |||
Net change in unrealized appreciation (depreciation) | 1,186,159 | |||
Net realized and unrealized gain | 1,627,533 | |||
Net increase in net assets resulting from operations | $ | 1,560,338 |
* | 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 FUNDS SEMI-ANNUAL REPORT | 25 |
S&P MIDCAP 400® PURE GROWTH FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (67,195 | ) | $ | (148,149 | ) | ||
Net realized gain on investments | 441,374 | 1,320,585 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 1,186,159 | (2,117,736 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,560,338 | (945,300 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 19,070,910 | 53,165,131 | ||||||
Cost of shares redeemed | (22,241,584 | ) | (67,302,715 | ) | ||||
Net decrease from capital share transactions | (3,170,674 | ) | (14,137,584 | ) | ||||
Net decrease in net assets | (1,610,336 | ) | (15,082,884 | ) | ||||
Net assets: | ||||||||
Beginning of period | 19,060,839 | 34,143,723 | ||||||
End of period | $ | 17,450,503 | $ | 19,060,839 | ||||
Accumulated net investment loss at end of period | $ | (67,195 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 552,451 | 1,665,435 | ||||||
Shares redeemed | (642,088 | ) | (2,148,974 | ) | ||||
Net decrease in shares | (89,637 | ) | (483,539 | ) |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE GROWTH FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | �� | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 33.11 | $ | 32.23 | $ | 34.05 | $ | 43.02 | $ | 34.66 | $ | 36.51 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.12 | ) | (.22 | ) | (.22 | ) | (.28 | ) | (.17 | ) | (.23 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.91 | 1.10 | .88 | (.31 | ) | 11.79 | 5.80 | |||||||||||||||||
Total from investment operations | 2.79 | .88 | .66 | (.59 | ) | 11.62 | 5.57 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (2.48 | ) | (8.38 | ) | (3.26 | ) | (7.42 | ) | ||||||||||||||
Total distributions | — | — | (2.48 | ) | (8.38 | ) | (3.26 | ) | (7.42 | ) | ||||||||||||||
Net asset value, end of period | $ | 35.90 | $ | 33.11 | $ | 32.23 | $ | 34.05 | $ | 43.02 | $ | 34.66 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 8.46 | % | 2.70 | % | 1.32 | % | (1.55 | %) | 34.05 | % | 16.05 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 17,451 | $ | 19,061 | $ | 34,144 | $ | 29,927 | $ | 49,701 | $ | 32,343 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.68 | %) | (0.71 | %) | (0.64 | %) | (0.67 | %) | (0.43 | %) | (0.58 | %) | ||||||||||||
Total expenses | 1.60 | % | 1.56 | % | 1.50 | % | 1.57 | % | 1.54 | % | 1.58 | % | ||||||||||||
Portfolio turnover rate | 95 | % | 296 | % | 269 | % | 380 | % | 335 | % | 234 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
S&P MIDCAP 400® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap value securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400® Pure Value Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 3, 2004 |
Ten Largest Holdings (% of Total Net Assets) | |
KB Home | 3.4% |
LifePoint Health, Inc. | 2.6% |
Jabil, Inc. | 2.2% |
First Solar, Inc. | 2.0% |
Tech Data Corp. | 2.0% |
Office Depot, Inc. | 2.0% |
Arrow Electronics, Inc. | 2.0% |
Domtar Corp. | 1.9% |
Dillard’s, Inc. — Class A | 1.9% |
Molina Healthcare, Inc. | 1.9% |
Top Ten Total | 21.9% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
| 6 month‡ | 1 Year | 5 Year | 10 Year |
S&P MidCap 400® Pure Value Fund | 2.37% | 22.26% | 13.37% | 5.44% |
S&P MidCap 400 Pure Value Index | 3.24% | 24.51% | 15.53% | 7.63% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
S&P MIDCAP 400® PURE VALUE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.9% | ||||||||
Financial - 22.6% | ||||||||
CNO Financial Group, Inc. | 11,380 | $ | 237,613 | |||||
Reinsurance Group of America, Inc. — Class A | 1,696 | 217,749 | ||||||
Old Republic International Corp. | 10,277 | 200,710 | ||||||
Genworth Financial, Inc. — Class A* | 48,002 | 180,968 | ||||||
First American Financial Corp. | 3,988 | 178,224 | ||||||
Aspen Insurance Holdings Ltd. | 3,265 | 162,760 | ||||||
Jones Lang LaSalle, Inc. | 1,284 | 160,500 | ||||||
Hanover Insurance Group, Inc. | 1,809 | 160,332 | ||||||
Quality Care Properties, Inc.* | 8,233 | 150,746 | ||||||
Legg Mason, Inc. | 3,909 | 149,167 | ||||||
Kemper Corp. | 3,459 | 133,517 | ||||||
Alleghany Corp.* | 210 | 124,908 | ||||||
Medical Properties Trust, Inc. | 9,573 | 123,205 | ||||||
American Financial Group, Inc. | 1,137 | 112,984 | ||||||
WR Berkley Corp. | 1,586 | 109,704 | ||||||
Cousins Properties, Inc. | 11,625 | 102,184 | ||||||
Umpqua Holdings Corp. | 5,430 | 99,695 | ||||||
LaSalle Hotel Properties | 2,624 | 78,195 | ||||||
Associated Banc-Corp. | 2,957 | 74,516 | ||||||
Stifel Financial Corp.* | 1,500 | 68,970 | ||||||
Mercury General Corp. | 1,150 | 62,100 | ||||||
Janus Henderson Group plc* | 1,809 | 59,896 | ||||||
CoreCivic, Inc. | 2,149 | 59,269 | ||||||
TCF Financial Corp. | 3,641 | 58,038 | ||||||
Total Financial | 3,065,950 | |||||||
Industrial - 21.6% | ||||||||
Jabil, Inc. | 10,091 | 294,557 | ||||||
Tech Data Corp.* | 2,674 | 270,074 | ||||||
Arrow Electronics, Inc.* | 3,434 | 269,294 | ||||||
Avnet, Inc. | 5,520 | 214,618 | ||||||
Terex Corp. | 4,695 | 176,063 | ||||||
Trinity Industries, Inc. | 5,985 | 167,760 | ||||||
SYNNEX Corp. | 1,340 | 160,746 | ||||||
KLX, Inc.* | 3,168 | 158,400 | ||||||
AECOM* | 4,887 | 157,997 | ||||||
Ryder System, Inc. | 2,130 | 153,317 | ||||||
AGCO Corp. | 2,232 | 150,414 | ||||||
Owens-Illinois, Inc.* | 5,740 | 137,301 | ||||||
KBR, Inc. | 6,350 | 96,647 | ||||||
Vishay Intertechnology, Inc. | 5,572 | 92,495 | ||||||
Regal Beloit Corp. | 1,122 | 91,499 | ||||||
Cree, Inc.* | 3,308 | 81,542 | ||||||
Werner Enterprises, Inc. | 2,214 | 64,981 | ||||||
Esterline Technologies Corp.* | 660 | 62,568 | ||||||
Greif, Inc. — Class A | 1,098 | 61,246 | ||||||
Kirby Corp.* | 860 | 57,491 | ||||||
Total Industrial | 2,919,010 | |||||||
Consumer, Cyclical - 19.4% | ||||||||
KB Home | 19,081 | 457,371 | ||||||
Office Depot, Inc. | 47,787 | 269,518 | ||||||
Dillard’s, Inc. — Class A1 | 4,400 | 253,836 | ||||||
CalAtlantic Group, Inc. | 6,620 |
| 234,017 | |||||
GameStop Corp. — Class A | 10,250 | 221,503 | ||||||
TRI Pointe Group, Inc.* | 15,350 | 202,467 | ||||||
World Fuel Services Corp. | 4,779 | 183,753 | ||||||
Toll Brothers, Inc. | 4,600 | 181,746 | ||||||
Dana, Inc. | 6,523 | 145,659 | ||||||
Cooper Tire & Rubber Co. | 3,050 | 110,105 | ||||||
Big Lots, Inc.1 | 2,228 | 107,612 | ||||||
JetBlue Airways Corp.* | 4,180 | 95,429 | ||||||
International Speedway Corp. — Class A | 1,882 | 70,669 | ||||||
HSN, Inc. | 1,461 | 46,606 | ||||||
American Eagle Outfitters, Inc. | 3,680 | 44,344 | ||||||
Total Consumer, Cyclical | 2,624,635 | |||||||
Consumer, Non-cyclical - 18.1% | ||||||||
LifePoint Health, Inc.* | 5,146 | 345,553 | ||||||
Molina Healthcare, Inc.* | 3,637 | 251,608 | ||||||
ManpowerGroup, Inc. | 1,977 | 220,732 | ||||||
Endo International plc* | 17,141 | 191,465 | ||||||
Aaron’s, Inc. | 4,837 | 188,159 | ||||||
Graham Holdings Co. — Class B | 295 | 176,897 | ||||||
Owens & Minor, Inc. | 5,300 | 170,607 | ||||||
United Natural Foods, Inc.* | 4,441 | 162,985 | ||||||
TreeHouse Foods, Inc.* | 1,810 | 147,859 | ||||||
Adtalem Global Education, Inc.* | 3,565 | 135,292 | ||||||
Dean Foods Co. | 7,634 | 129,778 | ||||||
Tenet Healthcare Corp.* | 4,537 | 87,746 | ||||||
FTI Consulting, Inc.* | 2,332 | 81,527 | ||||||
Halyard Health, Inc.* | 1,790 | 70,311 | ||||||
Flowers Foods, Inc. | 3,200 | 55,392 | ||||||
Avon Products, Inc.* | 9,919 | 37,692 | ||||||
Total Consumer, Non-cyclical | 2,453,603 | |||||||
Energy - 7.0% | ||||||||
First Solar, Inc.* | 6,890 | 274,773 | ||||||
PBF Energy, Inc. — Class A1 | 9,240 | 205,683 | ||||||
Murphy USA, Inc.* | 2,222 | 164,673 | ||||||
HollyFrontier Corp. | 5,569 | 152,980 | ||||||
Rowan Companies plc — Class A* | 9,802 | 100,372 | ||||||
Oceaneering International, Inc. | 2,340 | 53,446 | ||||||
Total Energy | 951,927 | |||||||
Basic Materials - 4.6% | ||||||||
Domtar Corp. | 6,797 | 261,141 | ||||||
Reliance Steel & Aluminum Co. | 1,662 | 121,010 | ||||||
Commercial Metals Co. | 5,356 | 104,067 | ||||||
Carpenter Technology Corp. | 1,990 | 74,486 | ||||||
Olin Corp. | 2,155 | 65,253 | ||||||
Total Basic Materials | 625,957 | |||||||
Communications - 3.0% | ||||||||
Telephone & Data Systems, Inc. | 7,855 | 217,976 | ||||||
Frontier Communications Corp.1 | 74,570 | 86,501 | ||||||
Cars.com, Inc.* | 1,900 | 50,597 | ||||||
TEGNA, Inc. | 3,380 | 48,706 | ||||||
Total Communications | 403,780 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
S&P MIDCAP 400® PURE VALUE FUND |
| Shares | Value | ||||||
Technology - 2.1% | ||||||||
NeuStar, Inc. — Class A* | 3,360 | $ | 112,056 | |||||
Leidos Holdings, Inc. | 1,640 | 84,772 | ||||||
Diebold Nixdorf, Inc. | 2,886 | 80,808 | ||||||
Total Technology | 277,636 | |||||||
Utilities - 1.5% | ||||||||
Great Plains Energy, Inc. | 4,276 | 125,201 | ||||||
Hawaiian Electric Industries, Inc. | 2,250 | 72,855 | ||||||
Total Utilities | 198,056 | |||||||
Total Common Stocks | ||||||||
(Cost $10,408,216) | 13,520,554 |
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
HSBC Securities, Inc. | $ | 62,761 | 62,761 | |||||
Bank of America Merrill Lynch | 23,240 | 23,240 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $86,001) | 86,001 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 3.7% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 505,330 |
| 505,330 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $505,330) | 505,330 | |||||||
Total Investments - 104.2% | ||||||||
(Cost $10,999,547) | $ | 14,111,885 | ||||||
Other Assets & Liabilities, net - (4.2)% | (571,015 | ) | ||||||
Total Net Assets - 100.0% | $ | 13,540,870 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 13,520,554 | $ | — | $ | — | $ | 13,520,554 | ||||||||
Repurchase Agreements | — | 86,001 | — | 86,001 | ||||||||||||
Securities Lending Collateral | 505,330 | — | — | 505,330 | ||||||||||||
Total Assets | $ | 14,025,884 | $ | 86,001 | $ | — | $ | 14,111,885 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE VALUE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $485,793 of securities loaned (cost $10,913,546) | $ | 14,025,884 | ||
Repurchase agreements, at value (cost $86,001) | 86,001 | |||
Total investments (cost $10,999,547) | 14,111,885 | |||
Receivables: | ||||
Fund shares sold | 23,694 | |||
Dividends | 13,341 | |||
Interest | 2 | |||
Securities lending income | 265 | |||
Total assets | 14,149,187 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 505,330 | |||
Fund shares redeemed | 65,706 | |||
Management fees | 8,377 | |||
Transfer agent and administrative fees | 2,792 | |||
Investor service fees | 2,792 | |||
Portfolio accounting fees | 1,117 | |||
Miscellaneous | 22,203 | |||
Total liabilities | 608,317 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 13,540,870 | ||
Net assets consist of: | ||||
Paid in capital | $ | 8,275,180 | ||
Accumulated net investment loss | (4,506 | ) | ||
Accumulated net realized gain on investments | 2,157,858 | |||
Net unrealized appreciation on investments | 3,112,338 | |||
Net assets | $ | 13,540,870 | ||
Capital shares outstanding | 243,372 | |||
Net asset value per share | $ | 55.64 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends | $ | 161,137 | ||
Income from securities lending, net | 1,980 | |||
Interest | 352 | |||
Total investment income | 163,469 | |||
Expenses: | ||||
Management fees | 78,709 | |||
Transfer agent and administrative fees | 26,236 | |||
Investor service fees | 26,236 | |||
Portfolio accounting fees | 10,495 | |||
Professional fees | 25,484 | |||
Custodian fees | 2,056 | |||
Trustees’ fees* | 1,621 | |||
Line of credit fees | 12 | |||
Miscellaneous | (2,874 | ) | ||
Total expenses | 167,975 | |||
Net investment loss | (4,506 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 1,003,302 | |||
Net realized gain | 1,003,302 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (583,169 | ) | ||
Net change in unrealized appreciation (depreciation) | (583,169 | ) | ||
Net realized and unrealized gain | 420,133 | |||
Net increase in net assets resulting from operations | $ | 415,627 |
* | 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 FUNDS SEMI-ANNUAL REPORT | 31 |
S&P MIDCAP 400® PURE VALUE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (4,506 | ) | $ | (15,790 | ) | ||
Net realized gain on investments | 1,003,302 | 2,647,427 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (583,169 | ) | 2,343,449 | |||||
Net increase in net assets resulting from operations | 415,627 | 4,975,086 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (78,852 | ) | |||||
Total distributions to shareholders | — | (78,852 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 8,974,207 | 64,197,074 | ||||||
Distributions reinvested | — | 78,852 | ||||||
Cost of shares redeemed | (26,056,092 | ) | (50,972,378 | ) | ||||
Net increase (decrease) from capital share transactions | (17,081,885 | ) | 13,303,548 | |||||
Net increase (decrease) in net assets | (16,666,258 | ) | 18,199,782 | |||||
Net assets: | ||||||||
Beginning of period | 30,207,128 | 12,007,346 | ||||||
End of period | $ | 13,540,870 | $ | 30,207,128 | ||||
Accumulated net investment loss at end of period | $ | (4,506 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 163,435 | 1,357,429 | * | |||||
Shares issued from reinvestment of distributions | — | 1,647 | * | |||||
Shares redeemed | (475,850 | ) | (1,087,157 | )* | ||||
Net increase (decrease) in shares | (312,415 | ) | 271,919 | * |
* | Capital Share activity for the year ended December 31, 2016 has been restated to reflect a 2:1 share split effective December 1, 2016 — See Note 12. |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE VALUE FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 54.35 | $ | 42.30 | $ | 53.78 | $ | 58.55 | $ | 43.15 | $ | 36.88 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.01 | ) | (.06 | ) | .26 | .05 | .03 | .06 | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.30 | 12.41 | (5.93 | ) | 3.68 | 15.42 | 6.21 | |||||||||||||||||
Total from investment operations | 1.29 | 12.35 | (5.67 | ) | 3.73 | 15.45 | 6.27 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.30 | ) | (.08 | ) | (.05 | ) | (.05 | ) | — | ||||||||||||||
Net realized gains | — | — | (5.73 | ) | (8.45 | ) | — | — | ||||||||||||||||
Total distributions | — | (.30 | ) | (5.81 | ) | (8.50 | ) | (.05 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 55.64 | $ | 54.35 | $ | 42.30 | $ | 53.78 | $ | 58.55 | $ | 43.15 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 2.37 | % | 28.89 | % | (11.86 | %) | 6.72 | % | 35.80 | % | 16.99 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 13,541 | $ | 30,207 | $ | 12,007 | $ | 17,460 | $ | 28,156 | $ | 14,172 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.04 | %) | (0.07 | %) | 0.52 | % | 0.08 | % | 0.04 | % | 0.14 | % | ||||||||||||
Total expenses | 1.60 | % | 1.56 | % | 1.50 | % | 1.57 | % | 1.54 | % | 1.58 | % | ||||||||||||
Portfolio turnover rate | 38 | % | 282 | % | 280 | % | 353 | % | 499 | % | 290 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 2:1 share split effective December 1, 2016 — See Note 12. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
S&P SMALLCAP 600® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600® Pure Growth Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 3, 2004 |
Ten Largest Holdings (% of Total Net Assets) | |
NutriSystem, Inc. | 1.9% |
LendingTree, Inc. | 1.8% |
Supernus Pharmaceuticals, Inc. | 1.8% |
MiMedx Group, Inc. | 1.8% |
BioTelemetry, Inc. | 1.7% |
Installed Building Products, Inc. | 1.6% |
OraSure Technologies, Inc. | 1.5% |
National Storage Affiliates Trust | 1.4% |
MKS Instruments, Inc. | 1.3% |
Four Corners Property Trust, Inc. | 1.3% |
Top Ten Total | 16.1% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
| 6 month‡ | 1 Year | 5 Year | 10 Year |
S&P SmallCap 600® Pure Growth Fund | 5.76% | 23.52% | 12.63% | 7.47% |
S&P SmallCap 600 Pure Growth Index | 6.73% | 25.86% | 14.65% | 9.60% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P SmallCap 600 Pure Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
S&P SMALLCAP 600® PURE GROWTH FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.8% | ||||||||
Consumer, Non-cyclical - 29.7% | ||||||||
NutriSystem, Inc. | 6,043 | $ | 314,538 | |||||
LendingTree, Inc.*,1 | 1,782 | 306,860 | ||||||
Supernus Pharmaceuticals, Inc.* | 7,077 | 305,018 | ||||||
MiMedx Group, Inc.*,1 | 20,110 | 301,047 | ||||||
BioTelemetry, Inc.* | 8,664 | 289,811 | ||||||
OraSure Technologies, Inc.* | 14,366 | 247,957 | ||||||
Innoviva, Inc.* | 15,300 | 195,841 | ||||||
Viad Corp. | 3,870 | 182,858 | ||||||
Heska Corp.* | 1,429 | 145,858 | ||||||
Lantheus Holdings, Inc.* | 7,860 | 138,729 | ||||||
Progenics Pharmaceuticals, Inc.* | 19,584 | 132,975 | ||||||
Insperity, Inc. | 1,830 | 129,930 | ||||||
SciClone Pharmaceuticals, Inc.* | 11,657 | 128,227 | ||||||
AMN Healthcare Services, Inc.* | 3,240 | 126,522 | ||||||
Central Garden & Pet Co. — Class A* | 4,170 | 125,183 | ||||||
LeMaitre Vascular, Inc. | 3,782 | 118,074 | ||||||
SpartanNash Co. | 4,405 | 114,354 | ||||||
Cross Country Healthcare, Inc.* | 8,315 | 107,347 | ||||||
Cytokinetics, Inc.* | 8,454 | 102,293 | ||||||
ANI Pharmaceuticals, Inc.* | 1,983 | 92,804 | ||||||
Cantel Medical Corp. | 1,131 | 88,116 | ||||||
Merit Medical Systems, Inc.* | 2,297 | 87,631 | ||||||
Calavo Growers, Inc. | 1,244 | 85,898 | ||||||
Luminex Corp. | 3,804 | 80,340 | ||||||
AMAG Pharmaceuticals, Inc.* | 4,327 | 79,616 | ||||||
CryoLife, Inc.* | 3,988 | 79,561 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 644 | 78,182 | ||||||
B&G Foods, Inc. | 2,114 | 75,258 | ||||||
Capella Education Co.1 | 845 | 72,332 | ||||||
Cardtronics plc — Class A* | 2,050 | 67,363 | ||||||
Enanta Pharmaceuticals, Inc.* | 1,858 | 66,851 | ||||||
Navigant Consulting, Inc.* | 3,170 | 62,639 | ||||||
Sucampo Pharmaceuticals, Inc. — Class A* | 5,425 | 56,963 | ||||||
Forrester Research, Inc. | 1,431 | 56,024 | ||||||
Eagle Pharmaceuticals, Inc.* | 709 | 55,933 | ||||||
Landauer, Inc. | 1,030 | 53,869 | ||||||
HMS Holdings Corp.* | 2,880 | 53,280 | ||||||
Surmodics, Inc.* | 1,774 | 49,938 | ||||||
Neogen Corp.* | 705 | 48,723 | ||||||
Momenta Pharmaceuticals, Inc.* | 2,880 | 48,672 | ||||||
US Physical Therapy, Inc. | 780 | 47,112 | ||||||
Central Garden & Pet Co.* | 1,249 | 39,706 | ||||||
Total Consumer, Non-cyclical | 5,040,233 | |||||||
Industrial - 19.5% | ||||||||
CTS Corp. | 8,840 | 190,944 | ||||||
TTM Technologies, Inc.* | 10,857 | 188,478 | ||||||
Orion Group Holdings, Inc.* | 24,820 | 185,405 | ||||||
TopBuild Corp.* | 3,440 | 182,560 | ||||||
Trex Company, Inc.* | 2,600 | 175,915 | ||||||
Tetra Tech, Inc. | 3,830 | 175,223 | ||||||
Patrick Industries, Inc.* | 2,390 | 174,111 | ||||||
Advanced Energy Industries, Inc.* | 2,485 | 160,755 | ||||||
II-VI, Inc.* | 4,515 |
| 154,865 | |||||
Fabrinet* | 3,614 | 154,172 | ||||||
Griffon Corp. | 6,494 | 142,543 | ||||||
Axon Enterprise, Inc.*,1 | 5,618 | 141,237 | ||||||
John Bean Technologies Corp. | 1,302 | 127,596 | ||||||
US Ecology, Inc. | 2,414 | 121,907 | ||||||
Gibraltar Industries, Inc.* | 2,997 | 106,843 | ||||||
Quanex Building Products Corp. | 4,870 | 103,001 | ||||||
Lydall, Inc.* | 1,975 | 102,108 | ||||||
Vicor Corp.* | 5,474 | 97,985 | ||||||
MYR Group, Inc.* | 2,730 | 84,684 | ||||||
Insteel Industries, Inc. | 2,398 | 79,062 | ||||||
ESCO Technologies, Inc. | 1,320 | 78,738 | ||||||
PGT Innovations, Inc.* | 6,145 | 78,656 | ||||||
AAON, Inc. | 2,062 | 75,985 | ||||||
Itron, Inc.* | 1,057 | 71,612 | ||||||
Astec Industries, Inc. | 1,034 | 57,397 | ||||||
Simpson Manufacturing Company, Inc. | 1,150 | 50,267 | ||||||
Knight Transportation, Inc. | 1,350 | 50,018 | ||||||
Total Industrial | 3,312,067 | |||||||
Financial - 17.4% | ||||||||
National Storage Affiliates Trust | 10,000 | 231,100 | ||||||
Four Corners Property Trust, Inc. | 8,542 | 214,489 | ||||||
First BanCorp* | 29,250 | 169,357 | ||||||
Walker & Dunlop, Inc.* | 3,051 | 148,980 | ||||||
Universal Insurance Holdings, Inc.1 | 5,479 | 138,071 | ||||||
Summit Hotel Properties, Inc. | 7,370 | 137,451 | ||||||
Piper Jaffray Cos. | 2,200 | 131,890 | ||||||
CareTrust REIT, Inc. | 6,504 | 120,584 | ||||||
LegacyTexas Financial Group, Inc. | 3,105 | 118,394 | ||||||
BofI Holding, Inc.*,1 | 4,984 | 118,220 | ||||||
WageWorks, Inc.* | 1,710 | 114,912 | ||||||
Ameris Bancorp | 2,266 | 109,221 | ||||||
National Bank Holdings Corp. — Class A | 3,260 | 107,939 | ||||||
ServisFirst Bancshares, Inc. | 2,840 | 104,768 | ||||||
Lexington Realty Trust | 9,628 | 95,413 | ||||||
Northfield Bancorp, Inc. | 5,518 | 94,634 | ||||||
United Community Banks, Inc. | 3,295 | 91,601 | ||||||
Getty Realty Corp. | 3,176 | 79,718 | ||||||
Evercore Partners, Inc. — Class A | 1,055 | 74,378 | ||||||
Customers Bancorp, Inc.* | 2,410 | 68,155 | ||||||
Agree Realty Corp. | 1,470 | 67,429 | ||||||
American Assets Trust, Inc. | 1,525 | 60,070 | ||||||
Hanmi Financial Corp. | 2,109 | 60,001 | ||||||
Central Pacific Financial Corp. | 1,905 | 59,950 | ||||||
Southside Bancshares, Inc. | 1,595 | 55,743 | ||||||
Sterling Bancorp | 2,340 | 54,405 | ||||||
First Financial Bankshares, Inc. | 1,010 | 44,642 | ||||||
Tompkins Financial Corp. | 560 | 44,083 | ||||||
Urstadt Biddle Properties, Inc. — Class A | 1,860 | 36,828 | ||||||
Total Financial | 2,952,426 | |||||||
Consumer, Cyclical - 14.1% | ||||||||
Installed Building Products, Inc.* | 5,291 | 280,159 | ||||||
Five Below, Inc.* | 3,736 | 184,446 | ||||||
iRobot Corp.* | 2,190 | 184,267 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
S&P SMALLCAP 600® PURE GROWTH FUND |
| Shares | Value | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 3,569 | $ | 152,039 | |||||
LGI Homes, Inc.*,1 | 3,500 | 140,630 | ||||||
Wingstop, Inc.1 | 4,493 | 138,835 | ||||||
Fox Factory Holding Corp.* | 3,747 | 133,393 | ||||||
LCI Industries | 1,298 | 132,915 | ||||||
Dorman Products, Inc.* | 1,499 | 124,072 | ||||||
Marcus Corp. | 4,062 | 122,672 | ||||||
Dave & Buster’s Entertainment, Inc.* | 1,739 | 115,661 | ||||||
Scientific Games Corp. — Class A* | 3,877 | 101,190 | ||||||
Hawaiian Holdings, Inc.* | 2,137 | 100,332 | ||||||
Winnebago Industries, Inc. | 2,570 | 89,950 | ||||||
Children’s Place, Inc. | 780 | 79,638 | ||||||
Tile Shop Holdings, Inc. | 3,712 | 76,653 | ||||||
Belmond Ltd. — Class A* | 5,280 | 70,224 | ||||||
Universal Electronics, Inc.* | 992 | 66,315 | ||||||
Zumiez, Inc.* | 4,041 | 49,906 | ||||||
Francesca’s Holdings Corp.* | 2,759 | 30,183 | ||||||
Chuy’s Holdings, Inc.* | 1,246 | 29,156 | ||||||
Total Consumer, Cyclical | 2,402,636 | |||||||
Technology - 10.6% | ||||||||
MKS Instruments, Inc. | 3,244 | 218,320 | ||||||
Mercury Systems, Inc.* | 4,611 | 194,077 | ||||||
Nanometrics, Inc.* | 6,988 | 176,727 | ||||||
MaxLinear, Inc. — Class A* | 5,470 | 152,558 | ||||||
CEVA, Inc.* | 3,110 | 141,350 | ||||||
Qualys, Inc.* | 3,300 | 134,640 | ||||||
Ebix, Inc. | 2,424 | 130,654 | ||||||
Omnicell, Inc.* | 2,880 | 124,128 | ||||||
Lumentum Holdings, Inc.* | 2,115 | 120,661 | ||||||
Xperi Corp. | 3,333 | 99,323 | ||||||
Rudolph Technologies, Inc.* | 3,940 | 90,029 | ||||||
SPS Commerce, Inc.* | 1,010 | 64,398 | ||||||
Rambus, Inc.* | 5,019 | 57,367 | ||||||
Progress Software Corp. | 1,780 | 54,984 | ||||||
Synchronoss Technologies, Inc.* | 2,560 | 42,112 | ||||||
Total Technology | 1,801,328 | |||||||
Communications - 6.1% | ||||||||
TiVo Corp. | 10,783 | 201,104 | ||||||
Gigamon, Inc.* | 4,540 | 178,649 | ||||||
Stamps.com, Inc.* | 746 | 115,537 | ||||||
Shutterstock, Inc.* | 2,580 | 113,726 | ||||||
Shutterfly, Inc.* | 2,318 | 110,105 | ||||||
Oclaro, Inc.*,1 | 10,980 | 102,553 | ||||||
World Wrestling Entertainment, Inc. — Class A | 3,178 | 64,736 | ||||||
Cogent Communications Holdings, Inc. | 1,544 | 61,914 | ||||||
8x8, Inc.* | 3,444 | 50,110 | ||||||
NIC, Inc. | 2,012 | 38,127 | ||||||
Total Communications | 1,036,561 | |||||||
Basic Materials - 1.6% | ||||||||
Kraton Corp.* | 4,250 |
| 146,370 | |||||
Balchem Corp. | 836 | 64,966 | ||||||
Quaker Chemical Corp. | 440 | 63,901 | ||||||
Total Basic Materials | 275,237 | |||||||
Utilities - 0.8% | ||||||||
South Jersey Industries, Inc. | 2,347 | 80,197 | ||||||
California Water Service Group | 1,492 | 54,906 | ||||||
Total Utilities | 135,103 | |||||||
Total Common Stocks | ||||||||
(Cost $13,861,056) | 16,955,591 |
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
HSBC Securities, Inc. | $ | 91,916 | 91,916 | |||||
Bank of America Merrill Lynch | 34,037 | 34,037 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $125,953) | 125,953 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 5.4% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 920,156 | 920,156 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $920,156) | 920,156 | |||||||
Total Investments - 105.9% | ||||||||
(Cost $14,907,165) | $ | 18,001,700 | ||||||
Other Assets & Liabilities, net - (5.9)% | (999,693 | ) | ||||||
Total Net Assets - 100.0% | $ | 17,002,007 |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
S&P SMALLCAP 600® PURE GROWTH FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 16,955,591 | $ | — | $ | — | $ | 16,955,591 | ||||||||
Repurchase Agreements | — | 125,953 | — | 125,953 | ||||||||||||
Securities Lending Collateral | 920,156 | — | — | 920,156 | ||||||||||||
Total Assets | $ | 17,875,747 | $ | 125,953 | $ | — | $ | 18,001,700 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
S&P SMALLCAP 600® PURE GROWTH FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $894,449 of securities loaned (cost $14,781,212) | $ | 17,875,747 | ||
Repurchase agreements, at value (cost $125,953) | 125,953 | |||
Total investments (cost $14,907,165) | 18,001,700 | |||
Receivables: | ||||
Fund shares sold | 60 | |||
Dividends | 12,986 | |||
Interest | 4 | |||
Securities lending income | 415 | |||
Total assets | 18,015,165 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 920,156 | |||
Fund shares redeemed | 51,157 | |||
Management fees | 10,221 | |||
Transfer agent and administrative fees | 3,407 | |||
Investor service fees | 3,407 | |||
Portfolio accounting fees | 1,363 | |||
Miscellaneous | 23,447 | |||
Total liabilities | 1,013,158 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 17,002,007 | ||
Net assets consist of: | ||||
Paid in capital | $ | 13,178,659 | ||
Accumulated net investment loss | (87,498 | ) | ||
Accumulated net realized gain on investments | 816,311 | |||
Net unrealized appreciation on investments | 3,094,535 | |||
Net assets | $ | 17,002,007 | ||
Capital shares outstanding | 322,466 | |||
Net asset value per share | $ | 52.72 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends | $ | 69,537 | ||
Income from securities lending, net | 3,184 | |||
Interest | 382 | |||
Total investment income | 73,103 | |||
Expenses: | ||||
Management fees | 75,253 | |||
Transfer agent and administrative fees | 25,085 | |||
Investor service fees | 25,084 | |||
Portfolio accounting fees | 10,034 | |||
Professional fees | 22,140 | |||
Custodian fees | 1,942 | |||
Trustees’ fees* | 1,486 | |||
Line of credit fees | 4 | |||
Miscellaneous | (427 | ) | ||
Total expenses | 160,601 | |||
Net investment loss | (87,498 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 923,936 | |||
Net realized gain | 923,936 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (29,200 | ) | ||
Net change in unrealized appreciation (depreciation) | (29,200 | ) | ||
Net realized and unrealized gain | 894,736 | |||
Net increase in net assets resulting from operations | $ | 807,238 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE GROWTH FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (87,498 | ) | $ | (53,294 | ) | ||
Net realized gain on investments | 923,936 | 1,486,851 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (29,200 | ) | 275,329 | |||||
Net increase in net assets resulting from operations | 807,238 | 1,708,886 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 29,318,655 | 76,277,555 | ||||||
Cost of shares redeemed | (33,968,141 | ) | (79,298,060 | ) | ||||
Net decrease from capital share transactions | (4,649,486 | ) | (3,020,505 | ) | ||||
Net decrease in net assets | (3,842,248 | ) | (1,311,619 | ) | ||||
Net assets: | ||||||||
Beginning of period | 20,844,255 | 22,155,874 | ||||||
End of period | $ | 17,002,007 | $ | 20,844,255 | ||||
Accumulated net investment loss at end of period | $ | (87,498 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 572,719 | 1,749,429 | ||||||
Shares redeemed | (668,333 | ) | (1,858,795 | ) | ||||
Net decrease in shares | (95,614 | ) | (109,366 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
S&P SMALLCAP 600® PURE GROWTH FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 49.86 | $ | 42.01 | $ | 45.67 | $ | 45.67 | $ | 34.20 | $ | 30.92 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.22 | ) | (.14 | ) | (.30 | ) | (.38 | ) | (.32 | ) | (.04 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.08 | 7.99 | .62 | .38 | 14.34 | 3.32 | ||||||||||||||||||
Total from investment operations | 2.86 | 7.85 | .32 | — | 14.02 | 3.28 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (3.98 | ) | — | (2.55 | ) | — | ||||||||||||||||
Total distributions | — | — | (3.98 | ) | — | (2.55 | ) | — | ||||||||||||||||
Net asset value, end of period | $ | 52.72 | $ | 49.86 | $ | 42.01 | $ | 45.67 | $ | 45.67 | $ | 34.20 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 5.76 | % | 18.69 | % | (0.37 | %) | 0.00 | % | 41.30 | % | 10.61 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 17,002 | $ | 20,844 | $ | 22,156 | $ | 25,379 | $ | 48,492 | $ | 17,808 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.87 | %) | (0.32 | %) | (0.64 | %) | (0.85 | %) | (0.78 | %) | (0.13 | %) | ||||||||||||
Total expenses | 1.60 | % | 1.56 | % | 1.50 | % | 1.57 | % | 1.54 | % | 1.58 | % | ||||||||||||
Portfolio turnover rate | 135 | % | 475 | % | 282 | % | 268 | % | 350 | % | 291 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
S&P SMALLCAP 600® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap value securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600® Pure Value Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 3, 2004 |
Ten Largest Holdings (% of Total Net Assets) | |
Comtech Telecommunications Corp. | 1.6% |
M/I Homes, Inc. | 1.5% |
Kelly Services, Inc. — Class A | 1.5% |
Exterran Corp. | 1.4% |
RH | 1.3% |
MDC Holdings, Inc. | 1.3% |
Meritage Homes Corp. | 1.3% |
Greenbrier Companies, Inc. | 1.2% |
Wabash National Corp. | 1.2% |
Barnes & Noble Education, Inc. | 1.2% |
Top Ten Total | 13.5% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
| 6 month‡ | 1 Year | 5 Year | 10 Year |
S&P SmallCap 600® Pure Value Fund | (9.27%) | 15.38% | 11.48% | 3.69% |
S&P SmallCap 600 Pure Value Index | (8.72%) | 17.25% | 13.18% | 5.68% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P SmallCap 600 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
S&P SMALLCAP 600® PURE VALUE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Consumer, Cyclical - 31.5% | ||||||||
M/I Homes, Inc.* | 6,250 | $ | 178,438 | |||||
RH*,1 | 2,356 | 152,009 | ||||||
MDC Holdings, Inc. | 4,300 | 151,919 | ||||||
Meritage Homes Corp.* | 3,550 | 149,810 | ||||||
Wabash National Corp. | 6,520 | 143,310 | ||||||
Barnes & Noble Education, Inc.* | 13,434 | 142,803 | ||||||
ScanSource, Inc.* | 3,436 | 138,470 | ||||||
Abercrombie & Fitch Co. — Class A | 9,717 | 120,878 | ||||||
Sonic Automotive, Inc. — Class A | 5,502 | 107,013 | ||||||
Veritiv Corp.*,1 | 2,349 | 105,705 | ||||||
Essendant, Inc. | 6,774 | 100,458 | ||||||
SkyWest, Inc. | 2,757 | 96,771 | ||||||
MarineMax, Inc.* | 4,549 | 88,933 | ||||||
Fred’s, Inc. — Class A1 | 9,481 | 87,510 | ||||||
Haverty Furniture Companies, Inc. | 3,480 | 87,348 | ||||||
Red Robin Gourmet Burgers, Inc.* | 1,320 | 86,130 | ||||||
Guess?, Inc. | 6,587 | 84,182 | ||||||
Regis Corp.* | 8,192 | 84,132 | ||||||
Anixter International, Inc.* | 1,070 | 83,674 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 5,320 | 82,992 | ||||||
Group 1 Automotive, Inc. | 1,306 | 82,696 | ||||||
Lithia Motors, Inc. — Class A | 872 | 82,169 | ||||||
G-III Apparel Group Ltd.* | 3,280 | 81,836 | ||||||
Cooper-Standard Holdings, Inc.* | 740 | 74,644 | ||||||
Perry Ellis International, Inc.* | 3,718 | 72,352 | ||||||
Shoe Carnival, Inc. | 3,435 | 71,723 | ||||||
Penn National Gaming, Inc.* | 3,260 | 69,764 | ||||||
Kirkland’s, Inc.* | 6,088 | 62,585 | ||||||
Big 5 Sporting Goods Corp. | 4,658 | 60,787 | ||||||
Asbury Automotive Group, Inc.* | 1,041 | 58,869 | ||||||
Fossil Group, Inc.* | 5,470 | 56,615 | ||||||
Core-Mark Holding Company, Inc. | 1,702 | 56,268 | ||||||
Barnes & Noble, Inc. | 7,323 | 55,655 | ||||||
Express, Inc.* | 8,194 | 55,310 | ||||||
Genesco, Inc.* | 1,597 | 54,138 | ||||||
Vitamin Shoppe, Inc.* | 4,472 | 52,099 | ||||||
Caleres, Inc. | 1,739 | 48,309 | ||||||
J.C. Penney Company, Inc.*,1 | 9,943 | 46,235 | ||||||
EZCORP, Inc. — Class A* | 5,765 | 44,391 | ||||||
Ascena Retail Group, Inc.*,1 | 19,980 | 42,957 | ||||||
Finish Line, Inc. — Class A | 2,988 | 42,340 | ||||||
Unifi, Inc.* | 1,346 | 41,457 | ||||||
Superior Industries International, Inc. | 1,819 | 37,380 | ||||||
Movado Group, Inc.1 | 1,452 | 36,663 | ||||||
Crocs, Inc.* | 4,390 | 33,847 | ||||||
Ruby Tuesday, Inc.* | 13,717 | 27,571 | ||||||
Cato Corp. — Class A | 1,430 | 25,154 | ||||||
Stein Mart, Inc. | 14,441 | 24,405 | ||||||
Total Consumer, Cyclical | 3,770,704 | |||||||
Consumer, Non-cyclical - 20.0% | ||||||||
Kelly Services, Inc. — Class A | 7,915 | 177,691 | ||||||
Select Medical Holdings Corp.* | 9,210 | 141,373 | ||||||
Invacare Corp. | 10,578 |
| 139,629 | |||||
Seneca Foods Corp. — Class A* | 4,352 | 135,130 | ||||||
Universal Corp. | 1,976 | 127,847 | ||||||
PharMerica Corp.* | 4,827 | 126,709 | ||||||
Diplomat Pharmacy, Inc.* | 8,060 | 119,288 | ||||||
Almost Family, Inc.* | 1,841 | 113,498 | ||||||
Darling Ingredients, Inc.* | 6,901 | 108,622 | ||||||
TrueBlue, Inc.* | 4,010 | 106,265 | ||||||
LSC Communications, Inc. | 4,885 | 104,539 | ||||||
Integer Holdings Corp.* | 2,390 | 103,368 | ||||||
Sanderson Farms, Inc.1 | 810 | 93,677 | ||||||
Community Health Systems, Inc.* | 8,371 | 83,375 | ||||||
Providence Service Corp.* | 1,640 | 83,000 | ||||||
Kindred Healthcare, Inc. | 6,698 | 78,032 | ||||||
Andersons, Inc. | 2,227 | 76,052 | ||||||
RR Donnelley & Sons Co. | 5,536 | 69,421 | ||||||
Myriad Genetics, Inc.* | 2,334 | 60,311 | ||||||
Heidrick & Struggles International, Inc. | 2,771 | 60,269 | ||||||
LHC Group, Inc.* | 780 | 52,954 | ||||||
Korn/Ferry International | 1,460 | 50,414 | ||||||
CDI Corp.* | 7,456 | 43,618 | ||||||
American Public Education, Inc.* | 1,690 | 39,969 | ||||||
SUPERVALU, Inc.* | 10,310 | 33,920 | ||||||
Quorum Health Corp.* | 7,720 | 32,038 | ||||||
Resources Connection, Inc. | 1,842 | 25,235 | ||||||
Total Consumer, Non-cyclical | 2,386,244 | |||||||
Financial - 14.0% | ||||||||
Encore Capital Group, Inc.*,1 | 3,313 | 133,017 | ||||||
United Insurance Holdings Corp. | 7,511 | 118,147 | ||||||
American Equity Investment Life Holding Co. | 4,218 | 110,849 | ||||||
Maiden Holdings Ltd. | 8,980 | 99,678 | ||||||
INTL FCStone, Inc.* | 2,543 | 96,023 | ||||||
Banc of California, Inc.1 | 4,345 | 93,418 | ||||||
Enova International, Inc.* | 5,971 | 88,669 | ||||||
World Acceptance Corp.* | 1,154 | 86,446 | ||||||
Infinity Property & Casualty Corp. | 841 | 79,054 | ||||||
HCI Group, Inc.1 | 1,552 | 72,913 | ||||||
Stewart Information Services Corp. | 1,497 | 67,934 | ||||||
United Fire Group, Inc. | 1,300 | 57,278 | ||||||
Capstead Mortgage Corp. | 5,056 | 52,734 | ||||||
Selective Insurance Group, Inc. | 1,050 | 52,553 | ||||||
Investment Technology Group, Inc. | 2,270 | 48,215 | ||||||
HomeStreet, Inc.* | 1,736 | 48,044 | ||||||
Opus Bank | 1,982 | 47,964 | ||||||
Employers Holdings, Inc. | 1,130 | 47,799 | ||||||
Horace Mann Educators Corp. | 1,255 | 47,439 | ||||||
OFG Bancorp1 | 4,457 | 44,570 | ||||||
Navigators Group, Inc. | 772 | 42,383 | ||||||
Astoria Financial Corp. | 1,970 | 39,696 | ||||||
Chesapeake Lodging Trust | 1,450 | 35,482 | ||||||
Waddell & Reed Financial, Inc. — Class A | 1,850 | 34,928 | ||||||
Safety Insurance Group, Inc. | 418 | 28,549 | ||||||
Total Financial | 1,673,782 |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
S&P SMALLCAP 600® PURE VALUE FUND |
| Shares | Value | ||||||
Industrial - 14.0% | ||||||||
Greenbrier Companies, Inc.1 | 3,179 | $ | 147,030 | |||||
Boise Cascade Co.* | 4,528 | 137,651 | ||||||
Sanmina Corp.* | 3,409 | 129,883 | ||||||
Benchmark Electronics, Inc.* | 3,853 | 124,452 | ||||||
Roadrunner Transportation Systems, Inc.* | 14,992 | 108,993 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 1,862 | 97,103 | ||||||
Olympic Steel, Inc. | 4,742 | 92,374 | ||||||
Briggs & Stratton Corp. | 3,364 | 81,072 | ||||||
ArcBest Corp. | 3,612 | 74,407 | ||||||
Hub Group, Inc. — Class A* | 1,833 | 70,295 | ||||||
Electro Scientific Industries, Inc.* | 8,443 | 69,570 | ||||||
Echo Global Logistics, Inc.* | 2,943 | 58,566 | ||||||
LSB Industries, Inc.* | 5,655 | 58,416 | ||||||
AAR Corp. | 1,482 | 51,514 | ||||||
Plexus Corp.* | 952 | 50,047 | ||||||
DXP Enterprises, Inc.* | 1,408 | 48,576 | ||||||
Aegion Corp. — Class A* | 1,966 | 43,016 | ||||||
TimkenSteel Corp.* | 2,679 | 41,176 | ||||||
General Cable Corp. | 2,440 | 39,894 | ||||||
KapStone Paper and Packaging Corp. | 1,890 | 38,991 | ||||||
Encore Wire Corp. | 890 | 38,003 | ||||||
Powell Industries, Inc. | 1,153 | 36,884 | ||||||
Kaman Corp. | 633 | 31,568 | ||||||
Total Industrial | 1,669,481 | |||||||
Communications - 7.1% | ||||||||
Comtech Telecommunications Corp. | 9,841 | 186,684 | ||||||
Gannett Company, Inc. | 14,631 | 127,582 | ||||||
Time, Inc. | 7,679 | 110,194 | ||||||
New Media Investment Group, Inc. | 7,420 | 100,021 | ||||||
QuinStreet, Inc.* | 20,827 | 86,849 | ||||||
Iridium Communications, Inc.* | 5,596 | 61,836 | ||||||
Scholastic Corp. | 1,397 | 60,895 | ||||||
FTD Companies, Inc.* | 2,320 | 46,400 | ||||||
Spok Holdings, Inc. | 2,425 | 42,923 | ||||||
Black Box Corp. | 2,515 | 21,503 | ||||||
Total Communications | 844,887 | |||||||
Energy - 6.2% | ||||||||
Exterran Corp.* | 6,348 | 169,491 | ||||||
Noble Corporation plc | 29,620 | 107,225 | ||||||
Atwood Oceanics, Inc.* | 11,068 | 90,204 | ||||||
Gulf Island Fabrication, Inc. | 7,725 | 89,610 | ||||||
Green Plains, Inc. | 4,153 | 85,344 | ||||||
Era Group, Inc.* | 6,118 | 57,876 | ||||||
Matrix Service Co.* | 4,763 | 44,534 | ||||||
Bristow Group, Inc.1 | 5,530 | 42,305 | ||||||
SunCoke Energy, Inc.* | 2,915 | 31,774 | ||||||
Cloud Peak Energy, Inc.* | 6,116 | 21,589 | ||||||
Total Energy | 739,952 | |||||||
Basic Materials - 3.5% | ||||||||
AdvanSix, Inc.* | 3,810 | 119,024 | ||||||
Century Aluminum Co.* | 7,224 | 112,550 | ||||||
PH Glatfelter Co. | 3,599 | 70,325 | ||||||
Materion Corp. | 1,166 | 43,608 | ||||||
Rayonier Advanced Materials, Inc.1 | 2,500 |
| 39,300 | |||||
Clearwater Paper Corp.* | 739 | 34,548 | ||||||
Total Basic Materials | 419,355 | |||||||
Technology - 3.2% | ||||||||
Insight Enterprises, Inc.* | 2,911 | 116,412 | ||||||
Virtusa Corp.* | 2,090 | 61,446 | ||||||
Sykes Enterprises, Inc.* | 1,610 | 53,983 | ||||||
ManTech International Corp. — Class A | 1,050 | 43,449 | ||||||
Cohu, Inc. | 2,295 | 36,123 | ||||||
CACI International, Inc. — Class A* | 285 | 35,639 | ||||||
Digi International, Inc.* | 3,020 | 30,653 | ||||||
Total Technology | 377,705 | |||||||
Total Common Stocks | ||||||||
(Cost $9,836,973) | 11,882,110 |
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
HSBC Securities, Inc. | $ | 59,403 | 59,403 | |||||
Bank of America Merrill Lynch | 21,998 | 21,998 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $81,401) | 81,401 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 5.5% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 658,645 | 658,645 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $658,645) | 658,645 | |||||||
Total Investments - 105.7% | ||||||||
(Cost $10,577,019) | $ | 12,622,156 | ||||||
Other Assets & Liabilities, net - (5.7)% | (683,741 | ) | ||||||
Total Net Assets - 100.0% | $ | 11,938,415 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
S&P SMALLCAP 600® PURE VALUE FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 11,882,110 | $ | — | $ | — | $ | 11,882,110 | ||||||||
Repurchase Agreements | — | 81,401 | — | 81,401 | ||||||||||||
Securities Lending Collateral | 658,645 | — | — | 658,645 | ||||||||||||
Total Assets | $ | 12,540,755 | $ | 81,401 | $ | — | $ | 12,622,156 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE VALUE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $637,739 of securities loaned (cost $10,495,618) | $ | 12,540,755 | ||
Repurchase agreements, at value (cost $81,401) | 81,401 | |||
Total investments (cost $10,577,019) | 12,622,156 | |||
Cash | 1 | |||
Receivables: | ||||
Securities sold | 70,445 | |||
Dividends | 7,971 | |||
Interest | 2 | |||
Securities lending income | 1,399 | |||
Total assets | 12,701,974 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 658,645 | |||
Fund shares redeemed | 67,498 | |||
Management fees | 7,656 | |||
Transfer agent and administrative fees | 2,552 | |||
Investor service fees | 2,552 | |||
Portfolio accounting fees | 1,021 | |||
Miscellaneous | 23,635 | |||
Total liabilities | 763,559 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 11,938,415 | ||
Net assets consist of: | ||||
Paid in capital | $ | 14,024,743 | ||
Accumulated net investment loss | (41,888 | ) | ||
Accumulated net realized loss on investments | (4,089,577 | ) | ||
Net unrealized appreciation on investments | 2,045,137 | |||
Net assets | $ | 11,938,415 | ||
Capital shares outstanding | 190,323 | |||
Net asset value per share | $ | 62.73 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $71) | $ | 118,564 | ||
Income from securities lending, net | 6,534 | |||
Interest | 343 | |||
Total investment income | 125,441 | |||
Expenses: | ||||
Management fees | 78,398 | |||
Transfer agent and administrative fees | 26,133 | |||
Investor service fees | 26,133 | |||
Portfolio accounting fees | 10,453 | |||
Professional fees | 21,274 | |||
Custodian fees | 1,899 | |||
Trustees’ fees* | 1,350 | |||
Line of credit fees | 29 | |||
Miscellaneous | 1,660 | |||
Total expenses | 167,329 | |||
Net investment loss | (41,888 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (1,100,496 | ) | ||
Net realized loss | (1,100,496 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,451,403 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,451,403 | ) | ||
Net realized and unrealized loss | (2,551,899 | ) | ||
Net decrease in net assets resulting from operations | $ | (2,593,787 | ) |
* | 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 FUNDS SEMI-ANNUAL REPORT | 45 |
S&P SMALLCAP 600® PURE VALUE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (41,888 | ) | $ | (73,052 | ) | ||
Net realized gain (loss) on investments | (1,100,496 | ) | 1,394,592 | |||||
Net change in unrealized appreciation (depreciation) on investments | (1,451,403 | ) | 2,675,338 | |||||
Net increase (decrease) in net assets resulting from operations | (2,593,787 | ) | 3,996,878 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 12,689,354 | 56,652,261 | ||||||
Cost of shares redeemed | (26,565,232 | ) | (43,987,710 | ) | ||||
Net increase (decrease) from capital share transactions | (13,875,878 | ) | 12,664,551 | |||||
Net increase (decrease) in net assets | (16,469,665 | ) | 16,661,429 | |||||
Net assets: | ||||||||
Beginning of period | 28,408,080 | 11,746,651 | ||||||
End of period | $ | 11,938,415 | $ | 28,408,080 | ||||
Accumulated net investment loss at end of period | $ | (41,888 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 188,673 | 977,354 | * | |||||
Shares redeemed | (409,269 | ) | (790,268 | )* | ||||
Net increase (decrease) in shares | (220,596 | ) | 187,086 | * |
* | Capital Share activity for the year ended December 31, 2016 has been restated to reflect a 2:1 share split effective December 1, 2016 — See Note 12. |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE VALUE FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 69.13 | $ | 52.48 | $ | 65.72 | $ | 79.11 | $ | 55.59 | $ | 46.18 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.13 | ) | (.45 | ) | (.06 | ) | (.39 | ) | (.29 | ) | (.11 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (6.27 | ) | 17.10 | (8.15 | ) | 1.28 | 24.08 | 9.52 | ||||||||||||||||
Total from investment operations | (6.40 | ) | 16.65 | (8.21 | ) | .89 | 23.79 | 9.41 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (5.03 | ) | (14.28 | ) | (.27 | ) | — | |||||||||||||||
Total distributions | — | — | (5.03 | ) | (14.28 | ) | (.27 | ) | — | |||||||||||||||
Net asset value, end of period | $ | 62.73 | $ | 69.13 | $ | 52.48 | $ | 65.72 | $ | 79.11 | $ | 55.59 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (9.27 | %) | 31.74 | % | (13.54 | %) | 1.31 | % | 42.83 | % | 20.38 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 11,938 | $ | 28,408 | $ | 11,747 | $ | 14,318 | $ | 29,575 | $ | 16,178 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.40 | %) | (0.44 | %) | (0.09 | %) | (0.50 | %) | (0.43 | %) | (0.22 | %) | ||||||||||||
Total expenses | 1.60 | % | 1.56 | % | 1.50 | % | 1.57 | % | 1.54 | % | 1.58 | % | ||||||||||||
Portfolio turnover rate | 50 | % | 303 | % | 245 | % | 144 | % | 260 | % | 318 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 2:1 share split effective December 1, 2016 — See Note 12. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
EUROPE 1.25x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark. The Fund’s current benchmark is 125% of the fair value of the STOXX Europe 50® Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: October 1, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 29.4% |
Guggenheim Strategy Fund I | 20.7% |
Nestle S.A. ADR | 2.5% |
Novartis AG ADR | 2.1% |
Roche Holding AG ADR | 1.7% |
HSBC Holdings plc ADR | 1.7% |
Total S.A. ADR | 1.2% |
British American Tobacco plc ADR | 1.1% |
Sanofi ADR | 1.1% |
Royal Dutch Shell plc — Class A ADR | 1.1% |
Top Ten Total | 62.6% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
COUNTRY DIVERSIFICATION
Country | % of Securities | Value |
United Kingdom | 33% | $549,233 |
Switzerland | 20% | 334,642 |
France | 15% | 260,058 |
Germany | 15% | 253,183 |
Netherlands | 5% | 80,482 |
Spain | 5% | 78,535 |
Italy | 2% | 35,879 |
Other | 5% | 90,803 |
Total Securities | 100% | $1,682,815 |
The chart above reflects percentages of the value of long-term securities. |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | June 30, 2017 |
Average Annual Returns*,†
Periods Ended June 30, 2017
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Europe 1.25x Strategy Fund | 19.45% | 19.70% | 6.16% | (4.35%) |
STOXX Europe 50 Index | 14.76% | 17.77% | 6.82% | (0.60%) |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The STOXX Europe 50 Index (Total Return/Dollars) is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
EUROPE 1.25x STRATEGY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 38.5% | ||||||||
Consumer, Non-cyclical - 16.5% | ||||||||
Nestle S.A. ADR | 1,276 | $ | 111,268 | |||||
Novartis AG ADR | 1,118 | 93,320 | ||||||
Roche Holding AG ADR | 2,373 | 75,461 | ||||||
British American Tobacco plc ADR1 | 712 | 48,801 | ||||||
Sanofi ADR | 1,007 | 48,245 | ||||||
GlaxoSmithKline plc ADR | 1,007 | 43,422 | ||||||
Bayer AG ADR | 323 | 41,946 | ||||||
AstraZeneca plc ADR | 1,089 | 37,124 | ||||||
Unilever N.V. — Class Y1 | 631 | 34,875 | ||||||
Novo Nordisk A/S ADR | 785 | 33,669 | ||||||
Anheuser-Busch InBev S.A. ADR | 298 | 32,887 | ||||||
Diageo plc ADR | 253 | 30,317 | ||||||
Unilever plc ADR | 517 | 27,980 | ||||||
Reckitt Benckiser Group plc ADR | 1,309 | 27,097 | ||||||
L’Oreal S.A. ADR | 495 | 20,693 | ||||||
Imperial Brands plc ADR | 368 | 16,832 | ||||||
Total Consumer, Non-cyclical | 723,937 | |||||||
Financial - 8.7% | ||||||||
HSBC Holdings plc ADR | 1,586 | 73,574 | ||||||
Banco Santander S.A. ADR | 5,701 | 38,140 | ||||||
Allianz SE ADR | 1,832 | 36,228 | ||||||
BNP Paribas S.A. ADR | 884 | 32,142 | ||||||
ING Groep N.V. ADR | 1,566 | 27,233 | ||||||
AXA S.A. ADR | 880 | 24,253 | ||||||
UBS Group AG* | 1,428 | 24,247 | ||||||
Prudential plc ADR1 | 513 | 23,603 | ||||||
Lloyds Banking Group plc ADR | 6,522 | 23,023 | ||||||
Banco Bilbao Vizcaya Argentaria S.A. ADR1 | 2,616 | 21,870 | ||||||
Intesa Sanpaolo SpA ADR | 1,041 | 19,977 | ||||||
Barclays plc ADR | 1,722 | 18,236 | ||||||
Zurich Insurance Group AG ADR | 608 | 17,711 | ||||||
Total Financial | 380,237 | |||||||
Energy - 3.7% | ||||||||
Total S.A. ADR | 1,036 | 51,375 | ||||||
Royal Dutch Shell plc — Class A ADR | 890 | 47,339 | ||||||
BP plc ADR | 1,317 | 45,634 | ||||||
Eni SpA ADR | 529 | 15,902 | ||||||
Total Energy | 160,250 | |||||||
Industrial - 2.4% | ||||||||
Siemens AG ADR | 680 | 47,022 | ||||||
ABB Ltd. ADR | 804 | 20,020 | ||||||
Vinci S.A. ADR | 897 | 19,214 | ||||||
Schneider Electric SE ADR | 1,180 | 18,148 | ||||||
Total Industrial | 104,404 | |||||||
Communications - 2.1% | ||||||||
Vodafone Group plc ADR | 1,137 | 32,666 | ||||||
Deutsche Telekom AG ADR | 1,281 | 23,077 | ||||||
Telefonica S.A. ADR | 1,783 | 18,525 | ||||||
BT Group plc ADR | 875 | 16,984 | ||||||
Total Communications | 91,252 | |||||||
Basic Materials - 2.0% | ||||||||
BASF SE ADR | 363 |
| 33,865 | |||||
Air Liquide S.A. ADR | 798 | 19,874 | ||||||
Rio Tinto plc ADR | 433 | 18,320 | ||||||
Syngenta AG ADR | 182 | 16,862 | ||||||
Total Basic Materials | 88,921 | |||||||
Technology - 1.4% | ||||||||
SAP SE ADR | 398 | 41,658 | ||||||
ASML Holding N.V. — Class G | 141 | 18,374 | ||||||
Total Technology | 60,032 | |||||||
Consumer, Cyclical - 1.3% | ||||||||
Daimler AG ADR | 404 | 29,387 | ||||||
LVMH Moet Hennessy Louis Vuitton SE ADR | 520 | 26,114 | ||||||
Total Consumer, Cyclical | 55,501 | |||||||
Utilities - 0.4% | ||||||||
National Grid plc ADR | 291 | 18,281 | ||||||
Total Common Stocks | ||||||||
(Cost $1,613,704) | 1,682,815 | |||||||
MUTUAL FUNDS† - 50.1% | ||||||||
Guggenheim Strategy Fund II2 | 51,561 | 1,289,544 | ||||||
Guggenheim Strategy Fund I2 | 36,071 | 904,289 | ||||||
Total Mutual Funds | ||||||||
(Cost $2,189,346) | 2,193,833 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 2.3% | ||||||||
U.S. Treasury Bill | ||||||||
0.91% due 08/03/173,4,8 | $ | 100,000 | 99,927 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $99,915) | 99,927 | |||||||
REPURCHASE AGREEMENTS††,5 - 3.8% | ||||||||
RBC Capital Markets LLC | 61,138 | 61,138 | ||||||
HSBC Securities, Inc. | 61,137 | 61,137 | ||||||
Bank of America Merrill Lynch | 45,280 | 45,280 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $167,555) | 167,555 |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
EUROPE 1.25x STRATEGY FUND |
Shares | Value | |||||||
SECURITIES LENDING COLLATERAL†,6 - 1.8% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%7 | 77,128 | $ | 77,128 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $77,128) | 77,128 | |||||||
Total Investments - 96.5% | ||||||||
(Cost $4,147,648) | $ | 4,221,258 | ||||||
Other Assets & Liabilities, net - 3.5% | 152,978 | |||||||
Total Net Assets - 100.0% | $ | 4,374,236 |
| Contracts | Unrealized | ||||||
CURRENCY FUTURES CONTRACTS PURCHASED† | ||||||||
September 2017 Euro FX | 27 | $ | 79,570 | |||||
EQUITY FUTURES CONTRACTS PURCHASED†† | ||||||||
September 2017 STOXX 50 Index | 106 | $ | (27,857 | ) |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Affiliated issuer — See Note 10. |
3 | All or a portion of this security is pledged as futures collateral at June 30, 2017. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 5. |
6 | Securities lending collateral — See Note 6. |
7 | Rate indicated is the 7 day yield as of June 30, 2017. |
8 | Zero coupon rate security. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Common Stocks | $ | 1,682,815 | $ | — | $ | — | $ | — | $ | — | $ | 1,682,815 | ||||||||||||
Currency Futures Contracts | — | 79,570 | — | — | — | 79,570 | ||||||||||||||||||
Mutual Funds | 2,193,833 | — | — | — | — | 2,193,833 | ||||||||||||||||||
Repurchase Agreements | — | — | 167,555 | — | — | 167,555 | ||||||||||||||||||
Securities Lending Collateral | 77,128 | — | — | — | — | 77,128 | ||||||||||||||||||
U.S. Treasury Bills | — | — | 99,927 | — | — | 99,927 | ||||||||||||||||||
Total Assets | $ | 3,953,776 | $ | 79,570 | $ | 267,482 | $ | — | $ | — | $ | 4,300,828 | ||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Equity Futures Contracts | $ | — | $ | — | $ | — | $ | 27,857 | $ | — | $ | 27,857 |
* | Other financial instruments include futures contracts, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
EUROPE 1.25x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $74,850 of securities loaned (cost $1,790,747) | $ | 1,859,870 | ||
Investments in affiliated issuers, at value (cost $2,189,346) | 2,193,833 | |||
Repurchase agreements, at value (cost $167,555) | 167,555 | |||
Total investments (cost $4,147,648) | 4,221,258 | |||
Segregated cash with broker | 222,434 | |||
Receivables: | ||||
Swap settlement | 423 | |||
Fund shares sold | 185,162 | |||
Dividends | 6,907 | |||
Foreign taxes reclaim | 14,323 | |||
Interest | 5 | |||
Securities lending income | 243 | |||
Total assets | 4,650,755 | |||
Liabilities: | ||||
Foreign currency, at value (cost $36,694) | 36,694 | |||
Overdraft due to custodian bank | 65 | |||
Payable for: | ||||
Securities purchased | 103,175 | |||
Return of securities loaned | 77,128 | |||
Fund shares redeemed | 32,344 | |||
Variation margin | 15,096 | |||
Management fees | 3,386 | |||
Transfer agent and administrative fees | 941 | |||
Investor service fees | 941 | |||
Portfolio accounting fees | 376 | |||
Miscellaneous | 6,373 | |||
Total liabilities | 276,519 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 4,374,236 | ||
Net assets consist of: | ||||
Paid in capital | $ | 7,035,160 | ||
Undistributed net investment income | 51,325 | |||
Accumulated net realized loss on investments | (2,837,589 | ) | ||
Net unrealized appreciation on investments | 125,340 | |||
Net assets | $ | 4,374,236 | ||
Capital shares outstanding | 44,622 | |||
Net asset value per share | $ | 98.03 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $2,161) | $ | 22,541 | ||
Dividends from securities of affiliated issuers | 17,563 | |||
Interest | 1,729 | |||
Income from securities lending, net | 1,063 | |||
Total investment income | 42,896 | |||
Expenses: | ||||
Management fees | 15,809 | |||
Transfer agent and administrative fees | 4,391 | |||
Investor service fees | 4,391 | |||
Portfolio accounting fees | 1,757 | |||
Professional fees | 3,192 | |||
Custodian fees | 332 | |||
Trustees’ fees* | 221 | |||
Miscellaneous | 2,030 | |||
Total expenses | 32,123 | |||
Net investment income | 10,773 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 26,532 | |||
Investments in affiliated issuers | 19 | |||
Futures contracts | 407,001 | |||
Foreign currency | 1,527 | |||
Net realized gain | 435,079 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 52,919 | |||
Investments in affiliated issuers | 3,942 | |||
Futures contracts | 55,017 | |||
Foreign currency | 19 | |||
Net change in unrealized appreciation (depreciation) | 111,897 | |||
Net realized and unrealized gain | 546,976 | |||
Net increase in net assets resulting from operations | $ | 557,749 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EUROPE 1.25x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 10,773 | $ | 45,454 | ||||
Net realized gain on investments | 435,079 | 77,168 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 111,897 | (310,764 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 557,749 | (188,142 | ) | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (36,982 | ) | |||||
Total distributions to shareholders | — | (36,982 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 9,436,174 | 14,667,771 | ||||||
Distributions reinvested | — | 36,982 | ||||||
Cost of shares redeemed | (8,172,486 | ) | (15,009,638 | ) | ||||
Net increase (decrease) from capital share transactions | 1,263,688 | (304,885 | ) | |||||
Net increase (decrease) in net assets | 1,821,437 | (530,009 | ) | |||||
Net assets: | ||||||||
Beginning of period | 2,552,799 | 3,082,808 | ||||||
End of period | $ | 4,374,236 | $ | 2,552,799 | ||||
Undistributed net investment income at end of period | $ | 51,325 | $ | 40,552 | ||||
Capital share activity: | ||||||||
Shares sold | 102,503 | 178,857 | * | |||||
Shares issued from reinvestment of distributions | — | 444 | * | |||||
Shares redeemed | (88,989 | ) | (183,112 | )* | ||||
Net increase (decrease) in shares | 13,514 | (3,811 | )* |
* | Capital Share activity for the year ended December 31, 2016 has been restated to reflect a 1:6 reverse share split effective December 1, 2016 — See Note 12. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
EUROPE 1.25x STRATEGY FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 82.06 | $ | 88.28 | $ | 96.17 | $ | 112.32 | $ | 90.79 | $ | 75.34 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .28 | .25 | .66 | 1.26 | .78 | .30 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 15.69 | (6.25 | ) | (7.35 | ) | (15.19 | ) | 20.87 | 15.99 | |||||||||||||||
Total from investment operations | 15.97 | (6.00 | ) | (6.69 | ) | (13.93 | ) | 21.65 | 16.29 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.22 | ) | (1.20 | ) | (2.22 | ) | (.12 | ) | (.84 | ) | |||||||||||||
Total distributions | — | (.22 | ) | (1.20 | ) | (2.22 | ) | (.12 | ) | (.84 | ) | |||||||||||||
Net asset value, end of period | $ | 98.03 | $ | 82.06 | $ | 88.28 | $ | 96.17 | $ | 112.32 | $ | 90.79 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 19.45 | % | (5.58 | %) | (7.19 | %) | (12.49 | %) | 23.89 | % | 21.66 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,374 | $ | 2,553 | $ | 3,083 | $ | 3,304 | $ | 12,116 | $ | 12,810 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.61 | % | 1.70 | % | 0.63 | % | 1.14 | % | 0.79 | % | 0.40 | % | ||||||||||||
Total expensesd | 1.83 | % | 1.73 | % | 1.66 | % | 1.75 | % | 1.71 | % | 1.72 | % | ||||||||||||
Portfolio turnover rate | 50 | % | 441 | % | 620 | % | 401 | % | 455 | % | 489 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:6 reverse share split effective December 1, 2016 — See Note 12. |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
JAPAN 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, 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”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: October 1, 2001 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 22.6% |
Guggenheim Strategy Fund II | 21.3% |
Total | 43.9% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Japan 2x Strategy Fund | 18.93% | 34.45% | 16.75% | 3.31% |
Nikkei-225 Stock Average Index | 8.81% | 18.13% | 9.58% | 1.94% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Nikkei-225 Stock Average Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
JAPAN 2x STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 43.9% | ||||||||
Guggenheim Strategy Fund I1 | 30,799 | $ | 772,135 | |||||
Guggenheim Strategy Fund II1 | 29,131 | 728,575 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,488,145) | 1,500,710 |
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 20.5% | ||||||||
Freddie Mac2 | ||||||||
0.96% due 07/12/17 | $ | 300,000 | 299,912 | |||||
Federal Home Loan Bank3 | ||||||||
0.93% due 07/05/17 | 200,000 | 199,978 | ||||||
Farmer Mac3 | ||||||||
0.99% due 07/07/17 | 200,000 | 199,967 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $699,857) | 699,857 | |||||||
FEDERAL AGENCY NOTES†† - 5.8% | ||||||||
Freddie Mac2 | ||||||||
0.75% due 07/14/17 | 200,000 | 199,981 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $199,981) | 199,981 | |||||||
U.S. TREASURY BILLS†† - 2.9% | ||||||||
U.S. Treasury Bill | ||||||||
0.91% due 08/03/174,5,7 | 100,000 | 99,927 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $99,915) | 99,927 |
REPURCHASE AGREEMENTS††,6 - 13.5% | ||||||||
RBC Capital Markets LLC |
| 168,380 |
| 168,380 | ||||
HSBC Securities, Inc. | 168,379 | 168,379 | ||||||
Bank of America Merrill Lynch | 124,705 | 124,705 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $461,464) | 461,464 | |||||||
Total Investments - 86.6% | ||||||||
(Cost $2,949,362) | $ | 2,961,939 | ||||||
Other Assets & Liabilities, net - 13.4% | 459,412 | |||||||
Total Net Assets - 100.0% | $ | 3,421,351 |
| Contracts | Unrealized | |||||||
EQUITY FUTURES CONTRACTS PURCHASED† | |||||||||
September 2017 Nikkei 225 (CME) Index | 68 | $ | 49,070 | ||||||
CURRENCY FUTURES CONTRACTS PURCHASED† | |||||||||
September 2017 Japanese Yen | 61 | $ | (115,413 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 10. |
2 | 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. |
3 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
4 | All or a portion of this security is pledged as futures collateral at June 30, 2017. |
5 | Rate indicated is the effective yield at the time of purchase. |
6 | Repurchase Agreements — See Note 5. |
7 | Zero coupon rate security. |
CME — Chicago Mercantile Exchange. | |
See Sector Classification in Other Information section. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
JAPAN 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 3 | Total | |||||||||||||||
Equity Futures Contracts | $ | — | $ | 49,070 | $ | — | $ | — | $ | 49,070 | ||||||||||
Federal Agency Discount Notes | — | — | 699,857 | — | 699,857 | |||||||||||||||
Federal Agency Notes | — | — | 199,981 | — | 199,981 | |||||||||||||||
Mutual Funds | 1,500,710 | — | — | — | 1,500,710 | |||||||||||||||
Repurchase Agreements | — | — | 461,464 | — | 461,464 | |||||||||||||||
U.S. Treasury Bills | — | — | 99,927 | — | 99,927 | |||||||||||||||
Total Assets | $ | 1,500,710 | $ | 49,070 | $ | 1,461,229 | $ | — | $ | 3,011,009 | ||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 1 - | Level 2 | Level 3 | Total | |||||||||||||||
Currency Futures Contracts | $ | — | $ | 115,413 | $ | — | $ | — | $ | 115,413 |
* | Other financial instruments include futures contracts, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
JAPAN 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $999,753) | $ | 999,765 | ||
Investments in affiliated issuers, at value (cost $1,488,145) | 1,500,710 | |||
Repurchase agreements, at value (cost $461,464) | 461,464 | |||
Total investments (cost $2,949,362) | 2,961,939 | |||
Segregated cash with broker | 60,019 | |||
Receivables: | ||||
Fund shares sold | 390,167 | |||
Variation margin | 13,199 | |||
Swap settlement | 3,020 | |||
Dividends | 2,190 | |||
Interest | 709 | |||
Total assets | 3,431,243 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 2,324 | |||
Management fees | 2,164 | |||
Legal fees | 1,214 | |||
Transfer agent and administrative fees | 721 | |||
Investor service fees | 721 | |||
Portfolio accounting fees | 288 | |||
Fund shares redeemed | 17 | |||
Miscellaneous | 2,443 | |||
Total liabilities | 9,892 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 3,421,351 | ||
Net assets consist of: | ||||
Paid in capital | $ | 5,340,097 | ||
Accumulated net investment loss | (2,503 | ) | ||
Accumulated net realized loss on investments | (1,862,477 | ) | ||
Net unrealized depreciation on investments | (53,766 | ) | ||
Net assets | $ | 3,421,351 | ||
Capital shares outstanding | 42,884 | |||
Net asset value per share | $ | 79.78 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 15,938 | ||
Interest | 3,755 | |||
Total investment income | 19,693 | |||
Expenses: | ||||
Management fees | 10,427 | |||
Transfer agent and administrative fees | 3,476 | |||
Investor service fees | 3,476 | |||
Professional fees | 3,159 | |||
Portfolio accounting fees | 1,390 | |||
Custodian fees | 273 | |||
Trustees’ fees* | 209 | |||
Miscellaneous | (214 | ) | ||
Total expenses | 22,196 | |||
Net investment loss | (2,503 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | 903 | |||
Futures contracts | 696,720 | |||
Net realized gain | 697,623 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 3 | |||
Investments in affiliated issuers | 3,230 | |||
Futures contracts | (214,029 | ) | ||
Net change in unrealized appreciation (depreciation) | (210,796 | ) | ||
Net realized and unrealized gain | 486,827 | |||
Net increase in net assets resulting from operations | $ | 484,324 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
JAPAN 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (2,503 | ) | $ | (13,342 | ) | ||
Net realized gain (loss) on investments | 697,623 | (29,838 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (210,796 | ) | 204,312 | |||||
Net increase in net assets resulting from operations | 484,324 | 161,132 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 7,155,146 | 14,650,143 | ||||||
Cost of shares redeemed | (6,716,765 | ) | (15,889,563 | ) | ||||
Net increase (decrease) from capital share transactions | 438,381 | (1,239,420 | ) | |||||
Net increase (decrease) in net assets | 922,705 | (1,078,288 | ) | |||||
Net assets: | ||||||||
Beginning of period | 2,498,646 | 3,576,934 | ||||||
End of period | $ | 3,421,351 | $ | 2,498,646 | ||||
Accumulated net investment loss at end of period | $ | (2,503 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 95,981 | 245,606 | * | |||||
Shares redeemed | (90,346 | ) | (266,377 | )* | ||||
Net increase (decrease) in shares | 5,635 | (20,771 | )* |
* | Capital Share activity for the year ended December 31, 2016 has been restated to reflect 1:6 reverse share split effective December 1, 2016 — See Note 12. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
JAPAN 2x STRATEGY FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 67.08 | $ | 61.65 | $ | 55.02 | $ | 171.68 | $ | 110.06 | $ | 91.66 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.07 | ) | (.06 | ) | (.78 | ) | (1.68 | ) | (2.16 | ) | (1.44 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 12.77 | 5.49 | 7.41 | (16.58 | ) | 63.78 | 19.84 | |||||||||||||||||
Total from investment operations | 12.70 | 5.43 | 6.63 | (18.26 | ) | 61.62 | 18.40 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | — | (98.40 | ) | — | — | |||||||||||||||||
Total distributions | — | — | — | (98.40 | ) | — | — | |||||||||||||||||
Net asset value, end of period | $ | 79.78 | $ | 67.08 | $ | 61.65 | $ | 55.02 | $ | 171.68 | $ | 110.06 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 18.93 | % | 8.86 | % | 12.00 | % | (15.41 | %) | 56.00 | % | 20.10 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,421 | $ | 2,499 | $ | 3,577 | $ | 2,608 | $ | 4,909 | $ | 3,781 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.18 | %) | (0.50 | %) | (1.22 | %) | (1.39 | %) | (1.50 | %) | (1.47 | %) | ||||||||||||
Total expensesd | 1.60 | % | 1.56 | % | 1.50 | % | 1.59 | % | 1.54 | % | 1.57 | % | ||||||||||||
Portfolio turnover rate | 29 | % | 183 | % | 87 | % | 146 | % | — | — |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:6 reverse share split effective December 1, 2016 — See Note 12. |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
STRENGTHENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. The Fund’s current benchmark is 200% of the performance of the U.S. Dollar Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: September 30, 2005 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 29.5% |
Guggenheim Strategy Fund I | 29.4% |
Total | 58.9% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Strengthening Dollar 2x Strategy Fund | (12.51%) | (0.35%) | 3.54% | (1.42%) |
U.S. Dollar Index | (6.44%) | (0.53%) | 3.22% | 1.56% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The U.S. Dollar Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 58.9% | ||||||||
Guggenheim Strategy Fund II1 | 36,434 | $ | 911,226 | |||||
Guggenheim Strategy Fund I1 | 36,318 | 910,491 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,806,370) | 1,821,717 |
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 14.5% | ||||||||
Federal Home Loan Bank2 | ||||||||
0.93% due 07/05/17 | $ | 250,000 | 249,973 | |||||
Freddie Mac3 | ||||||||
0.96% due 07/12/17 | 200,000 | 199,941 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $449,914) | 449,914 | |||||||
FEDERAL AGENCY NOTES†† - 2.2% | ||||||||
Freddie Mac3 | ||||||||
1.00% due 09/29/17 | 69,000 | 68,984 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $68,971) | 68,984 | |||||||
REPURCHASE AGREEMENTS††,4 - 20.0% | ||||||||
HSBC Securities, Inc. | 230,445 | 230,445 | ||||||
RBC Capital Markets LLC | 222,204 | 222,204 | ||||||
Bank of America Merrill Lynch | 167,619 | 167,619 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $620,268) | 620,268 | |||||||
Total Investments - 95.6% | ||||||||
(Cost $2,945,523) | $ | 2,960,883 | ||||||
Other Assets & Liabilities, net - 4.4% | 135,019 | |||||||
Total Net Assets - 100.0% | $ | 3,095,902 |
| Contracts | Unrealized | ||||||
CURRENCY FUTURES CONTRACTS PURCHASED† | ||||||||
September 2017 U.S. Dollar Index | 50 | $ | (84,409 | ) |
Units | ||||||||
OTC CURRENCY INDEX SWAP AGREEMENTS†† | ||||||||
Goldman Sachs International | 14,515 | $ | (17,481 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 10. |
2 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | 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. |
4 | Repurchase Agreements — See Note 5. |
5 | All or a portion of this security is pledged as currency index swap collateral at June 30, 2017. |
6 | Total Return based on U.S. Dollar Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. |
See Sector Classification in Other Information section. |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Federal Agency Discount Notes | $ | — | $ | — | $ | 449,914 | $ | — | $ | — | $ | 449,914 | ||||||||||||
Federal Agency Notes | — | — | 68,984 | — | — | 68,984 | ||||||||||||||||||
Mutual Funds | 1,821,717 | — | — | — | — | 1,821,717 | ||||||||||||||||||
Repurchase Agreements | — | — | 620,268 | — | — | 620,268 | ||||||||||||||||||
Total Assets | $ | 1,821,717 | $ | — | $ | 1,139,166 | $ | — | $ | — | $ | 2,960,883 | ||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Currency Futures Contracts | $ | — | $ | 84,409 | $ | — | $ | — | $ | — | $ | 84,409 | ||||||||||||
Currency Index Swap Agreements | — | — | — | 17,481 | — | 17,481 | ||||||||||||||||||
Total Liabilities | $ | — | $ | 84,409 | $ | — | $ | 17,481 | $ | — | $ | 101,890 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $518,885) | $ | 518,898 | ||
Investments in affiliated issuers, at value (cost $1,806,370) | 1,821,717 | |||
Repurchase agreements, at value (cost $620,268) | 620,268 | |||
Total investments (cost $2,945,523) | 2,960,883 | |||
Segregated cash with broker | 93,600 | |||
Receivables: | ||||
Fund shares sold | 65,057 | |||
Dividends | 2,834 | |||
Variation margin | 2,557 | |||
Interest | 194 | |||
Total assets | 3,125,125 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 17,481 | |||
Payable for: | ||||
Securities purchased | 2,997 | |||
Management fees | 2,186 | |||
Licensing fees | 2,047 | |||
Swap settlement | 979 | |||
Transfer agent and administrative fees | 607 | |||
Investor service fees | 607 | |||
Portfolio accounting fees | 243 | |||
Fund shares redeemed | 65 | |||
Miscellaneous | 2,011 | |||
Total liabilities | 29,223 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 3,095,902 | ||
Net assets consist of: | ||||
Paid in capital | $ | 4,104,124 | ||
Accumulated net investment loss | (3,663 | ) | ||
Accumulated net realized loss on investments | (918,029 | ) | ||
Net unrealized depreciation on investments | (86,530 | ) | ||
Net assets | $ | 3,095,902 | ||
Capital shares outstanding | 80,595 | |||
Net asset value per share | $ | 38.41 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 18,942 | ||
Interest | 2,802 | |||
Total investment income | 21,744 | |||
Expenses: | ||||
Management fees | 12,711 | |||
Transfer agent and administrative fees | 3,531 | |||
Investor service fees | 3,531 | |||
Portfolio accounting fees | 1,412 | |||
Professional fees | 4,385 | |||
Printing expenses | 1,287 | |||
Custodian fees | 307 | |||
Trustees’ fees* | 279 | |||
Line of credit fees | 7 | |||
Miscellaneous | (2,043 | ) | ||
Total expenses | 25,407 | |||
Net investment loss | (3,663 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | 1,163 | |||
Swap agreements | (20,915 | ) | ||
Futures contracts | (192,841 | ) | ||
Net realized loss | (212,593 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 13 | |||
Investments in affiliated issuers | 4,220 | |||
Swap agreements | (24,453 | ) | ||
Futures contracts | (160,157 | ) | ||
Net change in unrealized appreciation (depreciation) | (180,377 | ) | ||
Net realized and unrealized loss | (392,970 | ) | ||
Net decrease in net assets resulting from operations | $ | (396,633 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (3,663 | ) | $ | (21,339 | ) | ||
Net realized gain (loss) on investments | (212,593 | ) | 162,095 | |||||
Net change in unrealized appreciation (depreciation) on investments | (180,377 | ) | 22,548 | |||||
Net increase (decrease) in net assets resulting from operations | (396,633 | ) | 163,304 | |||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (166,501 | ) | |||||
Total distributions to shareholders | — | (166,501 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 5,786,231 | 21,813,084 | ||||||
Distributions reinvested | — | 166,501 | ||||||
Cost of shares redeemed | (7,937,408 | ) | (19,635,591 | ) | ||||
Net increase (decrease) from capital share transactions | (2,151,177 | ) | 2,343,994 | |||||
Net increase (decrease) in net assets | (2,547,810 | ) | 2,340,797 | |||||
Net assets: | ||||||||
Beginning of period | 5,643,712 | 3,302,915 | ||||||
End of period | $ | 3,095,902 | $ | 5,643,712 | ||||
Accumulated net investment loss at end of period | $ | (3,663 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 141,200 | 529,807 | ||||||
Shares issued from reinvestment of distributions | — | 4,308 | ||||||
Shares redeemed | (189,155 | ) | (481,576 | ) | ||||
Net increase (decrease) in shares | (47,955 | ) | 52,539 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 43.90 | $ | 43.45 | $ | 42.19 | $ | 34.32 | $ | 35.37 | $ | 37.74 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.05 | ) | (.23 | ) | (.55 | ) | (.47 | ) | (.60 | ) | (.60 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (5.44 | ) | 2.96 | 6.09 | 8.34 | (.45 | ) | (1.77 | ) | |||||||||||||||
Total from investment operations | (5.49 | ) | 2.73 | 5.54 | 7.87 | (1.05 | ) | (2.37 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (2.28 | ) | (4.28 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (2.28 | ) | (4.28 | ) | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 38.41 | $ | 43.90 | $ | 43.45 | $ | 42.19 | $ | 34.32 | $ | 35.37 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (12.51 | %) | 7.00 | % | 13.35 | % | 22.93 | % | (2.97 | %) | (6.28 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,096 | $ | 5,644 | $ | 3,303 | $ | 6,980 | $ | 2,803 | $ | 3,944 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.26 | %) | (0.57 | %) | (1.21 | %) | (1.24 | %) | (1.69 | %) | (1.64 | %) | ||||||||||||
Total expensesd | 1.80 | % | 1.76 | % | 1.70 | % | 1.76 | % | 1.73 | % | 1.76 | % | ||||||||||||
Portfolio turnover rate | 16 | % | 190 | % | 177 | % | 189 | % | — | — |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2014 have been restated to reflect a 1:3 reverse share split effective January 24, 2014. |
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
WEAKENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, 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”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: September 30, 2005 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 20.3% |
Guggenheim Strategy Fund I | 16.2% |
Total | 36.5% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Weakening Dollar 2x Strategy Fund | 13.10% | (1.59%) | (7.54%) | (4.45%) |
U.S. Dollar Index | (6.44%) | (0.53%) | 3.22% | 1.56% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The U.S. Dollar Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
WEAKENING DOLLAR 2x STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 36.5% | ||||||||
Guggenheim Strategy Fund II1 | 10,280 | $ | 257,107 | |||||
Guggenheim Strategy Fund I1 | 8,154 | 204,419 | ||||||
Total Mutual Funds | ||||||||
(Cost $456,849) | 461,526 |
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 7.9% | ||||||||
Farmer Mac2 | ||||||||
0.99% due 07/07/17 | $ | 100,000 | 99,984 | |||||
Total Federal Agency Discount Notes | ||||||||
(Cost $99,984) | 99,984 | |||||||
REPURCHASE AGREEMENTS††,3 - 23.2% | ||||||||
RBC Capital Markets LLC | 107,284 | 107,284 | ||||||
HSBC Securities, Inc. | 107,283 | 107,283 | ||||||
Bank of America Merrill Lynch | 79,455 | 79,455 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $294,022) | 294,022 | |||||||
Total Investments - 67.6% | ||||||||
(Cost $850,855) | $ | 855,532 | ||||||
Other Assets & Liabilities, net - 32.4% | 410,683 | |||||||
Total Net Assets - 100.0% | $ | 1,266,215 |
| Contracts | Unrealized | ||||||
CURRENCY FUTURES CONTRACTS SOLD SHORT† | ||||||||
September 2017 U.S. Dollar Index | 20 | $ | 25,443 |
Units | ||||||||
OTC CURRENCY INDEX SWAP AGREEMENTS SOLD SHORT†† | ||||||||
Goldman Sachs International | 6,686 | $ | 3,969 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 10. |
2 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | Repurchase Agreements — See Note 5. |
4 | Total Return based on U.S. Dollar Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. |
5 | All or a portion of this security is pledged as currency index swap collateral at June 30, 2017. |
See Sector Classification in Other Information section. |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
WEAKENING DOLLAR 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Currency Futures Contracts | $ | — | $ | 25,443 | $ | — | $ | — | $ | — | $ | 25,443 | ||||||||||||
Currency Index Swap Agreements | — | — | — | 3,969 | — | 3,969 | ||||||||||||||||||
Federal Agency Discount Notes | — | — | 99,984 | — | — | 99,984 | ||||||||||||||||||
Mutual Funds | 461,526 | — | — | — | — | 461,526 | ||||||||||||||||||
Repurchase Agreements | — | — | 294,022 | — | — | 294,022 | ||||||||||||||||||
Total Assets | $ | 461,526 | $ | 25,443 | $ | 394,006 | $ | 3,969 | $ | — | $ | 884,944 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
WEAKENING DOLLAR 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $99,984) | $ | 99,984 | ||
Investments in affiliated issuers, at value (cost $456,849) | 461,526 | |||
Repurchase agreements, at value (cost $294,022) | 294,022 | |||
Total investments (cost $850,855) | 855,532 | |||
Segregated cash with broker | 28,800 | |||
Unrealized appreciation on swap agreements | 3,969 | |||
Receivables: | ||||
Fund shares sold | 381,005 | |||
Dividends | 863 | |||
Interest | 8 | |||
Total assets | 1,270,177 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 905 | |||
Variation margin | 766 | |||
Licensing fees | 652 | |||
Management fees | 563 | |||
Transfer agent and administrative fees | 156 | |||
Investor service fees | 156 | |||
Swap settlement | 140 | |||
Portfolio accounting fees | 63 | |||
Fund shares redeemed | 8 | |||
Miscellaneous | 553 | |||
Total liabilities | 3,962 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 1,266,215 | ||
Net assets consist of: | ||||
Paid in capital | $ | 2,515,297 | ||
Accumulated net investment loss | (1,925 | ) | ||
Accumulated net realized loss on investments | (1,281,246 | ) | ||
Net unrealized appreciation on investments | 34,089 | |||
Net assets | $ | 1,266,215 | ||
Capital shares outstanding | 19,819 | |||
Net asset value per share | $ | 63.89 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 5,341 | ||
Interest | 1,061 | |||
Total investment income | 6,402 | |||
Expenses: | ||||
Management fees | 4,164 | |||
Transfer agent and administrative fees | 1,157 | |||
Investor service fees | 1,157 | |||
Professional fees | 1,119 | |||
Portfolio accounting fees | 463 | |||
Custodian fees | 98 | |||
Trustees’ fees* | 74 | |||
Miscellaneous | 95 | |||
Total expenses | 8,327 | |||
Net investment loss | (1,925 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | 219 | |||
Swap agreements | 8,470 | |||
Futures contracts | 5,047 | |||
Net realized gain | 13,736 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in affiliated issuers | 1,077 | |||
Swap agreements | 2,876 | |||
Futures contracts | 33,730 | |||
Net change in unrealized appreciation (depreciation) | 37,683 | |||
Net realized and unrealized gain | 51,419 | |||
Net increase in net assets resulting from operations | $ | 49,494 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
WEAKENING DOLLAR 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (1,925 | ) | $ | (7,046 | ) | ||
Net realized gain (loss) on investments | 13,736 | (170,311 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 37,683 | 367 | ||||||
Net increase (decrease) in net assets resulting from operations | 49,494 | (176,990 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 9,194,321 | 5,757,266 | ||||||
Cost of shares redeemed | (8,664,960 | ) | (6,189,651 | ) | ||||
Net increase (decrease) from capital share transactions | 529,361 | (432,385 | ) | |||||
Net increase (decrease) in net assets | 578,855 | (609,375 | ) | |||||
Net assets: | ||||||||
Beginning of period | 687,360 | 1,296,735 | ||||||
End of period | $ | 1,266,215 | $ | 687,360 | ||||
Accumulated net investment loss at end of period | $ | (1,925 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 154,601 | 87,953 | * | |||||
Shares redeemed | (146,950 | ) | (96,735 | )* | ||||
Net increase (decrease) in shares | 7,651 | (8,782 | )* |
* | Capital Share activity for the year ended December 31, 2016 has been restated to reflect a 1:4 reverse share split effective December 1, 2016 — See Note 12. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
WEAKENING DOLLAR 2x STRATEGY FUND |
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.
| Period Ended | Year Ended December 31, 2016e | Year Ended December 31, 2015e | Year Ended December 31, 2014e | Year Ended December 31, 2013e | Year Ended December 31, 2012e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 56.49 | $ | 61.90 | $ | 74.41 | $ | 95.30 | $ | 98.04 | $ | 97.29 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.12 | ) | (.11 | ) | (.80 | ) | (1.28 | ) | (1.60 | ) | (1.60 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 7.52 | (5.30 | ) | (11.71 | ) | (19.61 | ) | (1.14 | ) | 2.35 | ||||||||||||||
Total from investment operations | 7.40 | (5.41 | ) | (12.51 | ) | (20.89 | ) | (2.74 | ) | .75 | ||||||||||||||
Net asset value, end of period | $ | 63.89 | $ | 56.49 | $ | 61.90 | $ | 74.41 | $ | 95.30 | $ | 98.04 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 13.10 | % | (8.71 | %) | (16.83 | %) | (21.91 | %) | (2.82 | %) | 0.78 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,266 | $ | 687 | $ | 1,297 | $ | 1,209 | $ | 1,896 | $ | 1,923 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.42 | %) | (0.63 | %) | (1.22 | %) | (1.44 | %) | (1.69 | %) | (1.66 | %) | ||||||||||||
Total expensesd | 1.80 | % | 1.76 | % | 1.71 | % | 1.76 | % | 1.74 | % | 1.77 | % | ||||||||||||
Portfolio turnover rate | 167 | % | 250 | % | 232 | % | 108 | % | — | — |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:4 reverse share split effective December 1, 2016 — See Note 12. |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
1. Organization and Significant Accounting Policies
Organization
The Rydex Variable Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of no par value shares. At June 30, 2017, the Trust consisted of forty-nine funds. The Trust offers shares of the Funds to insurance companies for their variable annuity and variable life insurance contracts.
This report covers the 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 and Weakening Dollar 2x Strategy Fund, (the “Funds”), each a non-diversified investment company.
The Funds are designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offer unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Funds to experience high portfolio turnover.
Security Investors LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment Company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, 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.
The net asset value per share (“NAV”) of a fund is calculated by dividing the market value of the fund’s securities and other assets, less all liabilities, by the number of outstanding shares of the fund.
A. The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
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, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
Open-end investment companies (“mutual funds”) are valued at their NAV as of the close of business, on the valuation date.
U.S. Government securities are valued by either independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts 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 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.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI under the direction of the Board using methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “fair value.” Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.
In connection with futures contracts and other derivative investments, such factors may include obtaining 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.
B. 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.
C. Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. 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.
D. Swap agreements are marked-to-market daily 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 an agreement are recognized as realized gains or losses.
E. The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on 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.
F. 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 discounts, is accrued on a daily basis. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
G. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Normally, all such distributions of a Fund will automatically be reinvested without charge in additional shares of the same Fund. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
H. The Funds may leave cash overnight in their cash account with the custodian. 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, which was 1.06% at June 30, 2017.
I. Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, 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 and Derivatives
As part of their investment strategy, the Funds utilize a variety of derivative instruments. 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. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations. The Funds may utilize derivatives for the following purposes:
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.
Liquidity: the ability to buy or sell exposure with little price/market impact.
For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.
Futures
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statements of Assets and Liabilities; securities held as collateral are noted on the Schedules of Investments.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table represents the Funds’ use and volume of futures on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
Europe 1.25x Strategy Fund | Index exposure, Leverage, Liquidity | $ | 7,542,980 | $ | — | ||||
Japan 2x Strategy Fund | Index exposure, Leverage, Liquidity | 11,564,928 | — | ||||||
Strengthening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | 4,442,243 | — | ||||||
Weakening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 1,606,328 |
Swaps
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A Fund utilizing over-the-counter (“OTC”) swaps bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing. Central clearing generally reduces counterparty credit risk and increases liquidity, but central clearing does not make swap transactions risk-free. Additionally, there is no guarantee that a Fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
Currency swaps enable the Funds to gain exposure to currencies in a market without actually possessing a given currency, or to hedge a position. Currency swaps involve the exchange of the principal and interest in one currency for the principal and interest in another currency. As in other types of OTC swaps, the Funds may be at risk due to the counterparty’s inability to perform.
The following table represents the Funds’ use and volume of currency swaps on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
Strengthening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | $ | 1,219,409 | $ | — | ||||
Weakening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 398,283 |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of June 30, 2017:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Currency contracts | Variation margin | Variation margin |
| Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at June 30, 2017:
Asset Derivative Investments Value | ||||||||||||||||
Fund | Futures | Futures | Swaps | Total Value at June 30, 2017 | ||||||||||||
Europe 1.25x Strategy Fund | $ | — | $ | 79,570 | $ | — | $ | 79,570 | ||||||||
Japan 2x Strategy Fund | 49,070 | — | — | 49,070 | ||||||||||||
Weakening Dollar 2x Strategy Fund | — | 25,443 | 3,969 | 29,412 |
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Liability Derivative Investments Value | ||||||||||||||||
Fund | Futures | Futures | Swaps | Total Value at June 30, 2017 | ||||||||||||
Europe 1.25x Strategy Fund | $ | 27,857 | $ | — | $ | — | $ | 27,857 | ||||||||
Japan 2x Strategy Fund | — | 115,413 | — | 115,413 | ||||||||||||
Strengthening Dollar 2x Strategy Fund | — | 84,409 | 17,481 | 101,890 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended June 30, 2017:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Currency contracts | Net realized gain (loss) on futures contracts |
| Net change in unrealized appreciation (depreciation) on futures contracts |
| Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the period ended June 30, 2017:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||
Fund | Futures | Futures | Swaps | Total | ||||||||||||
Europe 1.25x Strategy Fund | $ | 216,542 | $ | 190,459 | $ | — | $ | 407,001 | ||||||||
Japan 2x Strategy Fund | 394,078 | 302,642 | — | 696,720 | ||||||||||||
Strengthening Dollar 2x Strategy Fund | — | (192,841 | ) | (20,915 | ) | (213,756 | ) | |||||||||
Weakening Dollar 2x Strategy Fund | — | 5,047 | 8,470 | 13,517 |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||
Fund | Futures | Futures | Swaps | Total | ||||||||||||
Europe 1.25x Strategy Fund | $ | (39,584 | ) | $ | 94,601 | $ | — | $ | 55,017 | |||||||
Japan 2x Strategy Fund | (128,423 | ) | (85,606 | ) | — | (214,029 | ) | |||||||||
Strengthening Dollar 2x Strategy Fund | — | (160,157 | ) | (24,453 | ) | (184,610 | ) | |||||||||
Weakening Dollar 2x Strategy Fund | — | 33,730 | 2,876 | 36,606 |
In conjunction with the use of derivative instruments, 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 the Funds.
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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
3. Fees and Other Transactions with Affiliates
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds:
Fund | Management Fees |
S&P 500® Pure Growth Fund | 0.75% |
S&P 500® Pure Value Fund | 0.75% |
S&P MidCap 400® Pure Growth Fund | 0.75% |
S&P MidCap 400® Pure Value Fund | 0.75% |
S&P SmallCap 600® Pure Growth Fund | 0.75% |
S&P SmallCap 600® Pure Value Fund | 0.75% |
Europe 1.25x Strategy Fund | 0.90% |
Japan 2x Strategy Fund | 0.75% |
Strengthening Dollar 2x Strategy Fund | 0.90% |
Weakening Dollar 2x Strategy Fund | 0.90% |
GI 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 are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted an Investor Services Plan for which GFD and other firms that provide investor services (“Service Providers”) may receive compensation. The Funds will pay investor service fees to GFD at an annual rate not to exceed 0.25% of average daily net assets. GFD, in turn, will compensate Service Providers for providing such services, while retaining a portion of such payments to compensate itself for investor services it performs.
Certain trustees and officers of the Trust are also officers of GI and GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. For providing the aforementioned services, MUIS is entitled to receive a monthly fee equal to an annual percentage of the Funds’ average daily net assets subject to certain minimum monthly fees and out of pocket expenses.
4. Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds 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. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 | — | quoted prices in active markets for identical assets or liabilities. |
Level 2 | — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 | — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
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 joint account includes other Funds in the Guggenheim complex not covered in this report. 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.
At June 30, 2017, the repurchase agreements in the joint account were as follows:
Counterparty and | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | |||||||||||||
HSBC Securities, Inc. | U.S. Treasury Strips | |||||||||||||||||
0.99% | 0.00% | |||||||||||||||||
Due 07/03/17 | $ | 33,918,439 | $ | 33,921,238 | 11/15/42 | $ | 68,321,700 | $ | 32,683,676 | |||||||||
U.S. TIP Notes | ||||||||||||||||||
0.13% | ||||||||||||||||||
04/15/19 | 1,004,000 | 1,049,190 | ||||||||||||||||
U.S. Treasury Note | ||||||||||||||||||
1.63% | ||||||||||||||||||
05/15/26 | 909,100 | 864,040 | ||||||||||||||||
70,234,800 | 34,596,906 | |||||||||||||||||
Bank of America Merrill Lynch | U.S. Treasury Note | |||||||||||||||||
1.08% | 2.13% | |||||||||||||||||
Due 07/03/17 | 18,917,213 | 18,918,915 | 08/15/21 | 18,857,500 | 19,295,649 | |||||||||||||
RBC Capital Markets LLC | U.S. TIP Notes | |||||||||||||||||
1.01% | 0.13% | |||||||||||||||||
Due 07/03/17 | 17,166,798 | 17,168,243 | 04/15/19 | 16,756,200 | 17,510,229 |
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. GI, acting under the supervision of the Board, 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.
6. Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the Statements of Operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund - Class Z. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the Funds the next business day. Although the collateral mitigates the risk, the Funds could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2017, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
Gross Amounts Not Offset in the | Securities Lending Collateral | |||||||||||||||||||||||
Fund | Value of Securities | Collateral Received(a) | Net | Cash | Cash | Total | ||||||||||||||||||
S&P 500® Pure Growth Fund | $ | 471,939 | $ | (471,939 | ) | $ | — | $ | 484,498 | $ | — | $ | 484,498 | |||||||||||
S&P 500® Pure Value Fund | 725,297 | (725,297 | ) | — | 748,686 | — | 748,686 | |||||||||||||||||
S&P MidCap 400® Pure Growth Fund | 252,258 | (252,258 | ) | — | 253,668 | — | 253,668 | |||||||||||||||||
S&P MidCap 400® Pure Value Fund | 485,793 | (485,793 | ) | — | 505,330 | — | 505,330 | |||||||||||||||||
S&P SmallCap 600® Pure Growth Fund | 894,449 | (894,449 | ) | — | 920,156 | — | 920,156 | |||||||||||||||||
S&P SmallCap 600® Pure Value Fund | 637,739 | (637,739 | ) | — | 658,645 | — | 658,645 | |||||||||||||||||
Europe 1.25x Strategy Fund | 74,850 | (74,850 | ) | — | 77,128 | — | 77,128 |
(a) | Actual collateral received by the Fund is greater than the amount shown due to over collateralization. |
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. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds have securities lending agreements to evaluate potential risks.
7. Offsetting
In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP:
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Weakening Dollar 2x Strategy Fund | Swap currency | $ | 3,969 | $ | — | $ | 3,969 | $ | — | $ | — | $ | 3,969 |
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Strengthening Dollar 2x Strategy Fund | Swap currency | $ | 17,481 | $ | — | $ | 17,481 | $ | 17,481 | $ | — | $ | — |
1 | Exchange-traded futures are excluded from these reported amounts. |
8. 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 taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.
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, or to be taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2017, 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:
Fund | Tax | Tax | Tax | Net | ||||||||||||
S&P 500® Pure Growth Fund | $ | 43,776,577 | $ | 9,333,543 | $ | (325,931 | ) | $ | 9,007,612 | |||||||
S&P 500® Pure Value Fund | 40,666,048 | 5,489,260 | (1,059,255 | ) | 4,430,005 | |||||||||||
S&P MidCap 400® Pure Growth Fund | 16,148,648 | 2,069,267 | (480,983 | ) | 1,588,284 | |||||||||||
S&P MidCap 400® Pure Value Fund | 12,147,247 | 2,321,020 | (356,382 | ) | 1,964,638 | |||||||||||
S&P SmallCap 600® Pure Growth Fund | 16,339,495 | 2,149,632 | (487,427 | ) | 1,662,205 | |||||||||||
S&P SmallCap 600® Pure Value Fund | 12,395,045 | 1,320,662 | (1,093,551 | ) | 227,111 | |||||||||||
Europe 1.25x Strategy Fund | 4,282,121 | — | (60,863 | ) | (60,863 | ) | ||||||||||
Japan 2x Strategy Fund | 2,951,011 | 10,928 | — | 10,928 | ||||||||||||
Strengthening Dollar 2x Strategy Fund | 2,949,041 | 11,842 | — | 11,842 | ||||||||||||
Weakening Dollar 2x Strategy Fund | 850,856 | 4,676 | — | 4,676 |
9. Securities Transactions
For the period ended June 30, 2017, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Fund | Purchases | Sales | ||||||
S&P 500® Pure Growth Fund | $ | 62,721,881 | $ | 60,222,973 | ||||
S&P 500® Pure Value Fund | 19,528,525 | 21,340,390 | ||||||
S&P MidCap 400® Pure Growth Fund | 18,713,657 | 22,035,083 | ||||||
S&P MidCap 400® Pure Value Fund | 8,016,219 | 24,953,629 | ||||||
S&P SmallCap 600® Pure Growth Fund | 26,558,224 | 31,321,993 | ||||||
S&P SmallCap 600® Pure Value Fund | 10,519,882 | 24,340,651 | ||||||
Europe 1.25x Strategy Fund | 3,164,739 | 1,387,231 | ||||||
Japan 2x Strategy Fund | 465,933 | 450,000 | ||||||
Strengthening Dollar 2x Strategy Fund | 308,817 | 1,620,000 | ||||||
Weakening Dollar 2x Strategy Fund | 985,350 | 860,000 |
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended June 30, 2017, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | Purchases | Sales | Realized | |||||||||
S&P 500® Pure Value Fund | $ | 5,052,584 | $ | 7,436,388 | $ | (171,528 | ) | |||||
S&P MidCap 400® Pure Growth Fund | 4,624,138 | 4,364,230 | 244,917 | |||||||||
S&P MidCap 400® Pure Value Fund | 3,077,401 | 4,677,583 | 95,038 | |||||||||
S&P SmallCap 600® Pure Growth Fund | 3,537,700 | 2,997,015 | 381,154 | |||||||||
S&P SmallCap 600® Pure Value Fund | 3,488,025 | 3,026,851 | (28,324 | ) | ||||||||
Europe 1.25x Strategy Fund | 1,858,652 | 698,587 | 5,232 |
10. Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The Funds may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated December 31, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at http://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm.
Transactions during the period ended June 30, 2017, in which the portfolio company is an “affiliated person,” were as follows:
Affiliated issuers by Fund | Value 12/31/16 | Additions | Reductions | Value 06/30/17 | Shares 06/30/17 | Investment Income | Realized Gain | |||||||||||||||||||||
Europe 1.25x Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 546,006 | $ | 456,371 | $ | (100,000 | ) | $ | 904,289 | 36,071 | $ | 6,342 | $ | 19 | ||||||||||||||
Guggenheim Strategy Fund II | 626,210 | 661,283 | — | 1,289,544 | 51,561 | 11,221 | — | |||||||||||||||||||||
1,172,216 | 1,117,654 | (100,000 | ) | 2,193,833 | 17,563 | 19 | ||||||||||||||||||||||
Japan 2x Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 663,226 | 356,745 | (250,000 | ) | 772,135 | 30,799 | 6,736 | 298 | ||||||||||||||||||||
Guggenheim Strategy Fund II | 817,417 | 109,188 | (200,000 | ) | 728,575 | 29,131 | 9,202 | 605 | ||||||||||||||||||||
1,480,643 | 465,933 | (450,000 | ) | 1,500,710 | 15,938 | 903 | ||||||||||||||||||||||
Strengthening Dollar 2x Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 1,589,640 | 153,175 | (835,000 | ) | 910,491 | 36,318 | 8,227 | 217 | ||||||||||||||||||||
Guggenheim Strategy Fund II | 1,537,878 | 155,642 | (785,000 | ) | 911,226 | 36,434 | 10,715 | 946 | ||||||||||||||||||||
3,127,518 | 308,817 | (1,620,000 | ) | 1,821,717 | 18,942 | 1,163 | ||||||||||||||||||||||
Weakening Dollar 2x Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | 116,478 | 542,284 | (455,000 | ) | 204,419 | 8,154 | 2,276 | 123 | ||||||||||||||||||||
Guggenheim Strategy Fund II | 218,404 | 443,066 | (405,000 | ) | 257,107 | 10,280 | 3,065 | 96 | ||||||||||||||||||||
334,882 | 985,350 | (860,000 | ) | 461,526 | 5,341 | 219 |
11. Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $75,000,000 line of credit from U.S. Bank, N.A., which expires June 11, 2018. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 1.92% for the period ended June 30, 2017. The Funds did not have any borrowings outstanding under this agreement at June 30, 2017.
The average daily balances borrowed for the period ended June 30, 2017, were as follows:
Fund | Average Daily Balance | |||
S&P 500® Pure Growth Fund | $ | 724 | ||
S&P 500® Pure Value Fund | 5,643 | |||
S&P MidCap 400® Growth Fund | 205 | |||
S&P MidCap 400® Value Fund | 1,155 | |||
S&P SmallCap 600 Growth Fund | 359 | |||
S&P SmallCap 600® Value Fund | 3,032 | |||
Strengthening Dollar 2x Strategy Fund | 740 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
12. Share Splits
Share splits occurred for the following funds at the close of business:
Fund | Effective Day | Split Time |
S&P 500® Pure Value Fund | December 1, 2016 | Two-for-One Share Split |
S&P MidCap 400® Pure Value Fund | December 1, 2016 | Two-for-One Share Split |
S&P SmallCap 600® Pure Value Fund | December 1, 2016 | Two-for-One Share Split |
Europe 1.25x Strategy Fund | December 1, 2016 | One-for-Six Reverse Share Split |
Japan 2x Strategy Fund | December 1, 2016 | One-for-Six Reverse Share Split |
Weakening Dollar 2x Strategy Fund | December 1, 2016 | One-for-Four Reverse Share Split |
The effect of these transactions was to multiply the number of outstanding shares of the S&P 500® Pure Value Fund, S&P MidCap 400® Pure Value Fund and S&P SmallCap 600® Pure Value Fund by their split ratio, resulting in a corresponding decrease in the NAV and to divide the number of outstanding shares of the Europe 1.25x Strategy Fund, Japan 2x Strategy Fund and the Weakening Dollar 2x Strategy Fund by their respective reverse split ratio, resulting in a corresponding increase in the NAV. The share transactions presented in the Statements of Changes in net assets and the per share data in the Financial Highlights for each of the periods presented prior to the effective date, have been restated to reflect these respective share splits. There were no changes in net assets, results of operations or total return as a result of these transactions.
13. Legal Proceedings
Tribune Company
Rydex Variable Trust has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Variable Trust of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Variable Trust, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Variable Trust has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order. On March 29, 2016, the U.S. Court of Appeals for the Second Circuit issued its opinion on the appeal of the SLCFC actions. The appeals court affirmed the district court’s dismissal of those lawsuits, but on different grounds than the district court. The appeals court held that while the plaintiffs have standing under the U.S. Bankruptcy Code, their claims were preempted by Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the Plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Funds, filed a joint brief in opposition to the petition for certiorari on October 24, 2016. The Supreme Court has not yet granted or denied the petition for certiorari.
84 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. The Court concluded that the plaintiff had failed to allege that Tribune entered the LBO with actual intent to hinder, delay, or defraud its creditors, and therefore the complaint failed to state a claim. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. On February 23, 2017, the Court issued an order stating that it intends to permit an interlocutory appeal of the dismissal order, but will wait to do so until it has resolved outstanding motions to dismiss filed by other defendants. Accordingly, the timing of the appeal is uncertain.
None of these lawsuits alleges any wrongdoing on the part of Rydex Variable Trust. The following series of Rydex Variable Trust held shares of Tribune and tendered these shares as part of Tribune’s LBO: Nova Fund, S&P 500 2x Strategy Fund, Multi-Cap Core Equity Fund, S&P 500 Pure Value Fund, Hedged Equity Fund and Multi-Hedge Strategies Fund (the “Funds”). The value of the proceeds received by the foregoing Funds was $12,580, $2,380, $1,360, $148,376, $2,720, and $119,034, respectively. At this stage of the proceedings, Rydex Variable Trust is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
Lyondell Chemical Company
In December 2011, Rydex Variable Trust was named as a defendant in Weisfelner, as Trustee of the LB Creditor Trust, v. Fund 1 (In re Lyondell Chemical Co.), Adv. Pro. No. 10-4609 (Bankr. S.D.N.Y.) (the “Creditor Trust Action”). Its funds may also be putative members of the proposed defendant classes in Weisfelner, as Trustee of the LB Litigation Trust v. A. Holmes & H. Holmes TTEE (In re Lyondell Co.), Adv. Pro. No. 10-5525 (Bankr. S.D.N.Y.) (the “Litigation Trust Action”) and Weisfelner, as Trustee of the LB Creditor Trust, v. Reichman (In re Lyondell Chemical Co.), Adv. Pro. No. 12-1570 (Bankr. S.D.N.Y.).
Similar to the claims made in the Tribune matter, the Weisfelner complaints seek to have set aside and recovered as fraudulent transfers from former Lyondell Chemical Company (“Lyondell”) shareholders the consideration paid to them pursuant to the cash out merger of Lyondell shareholders in connection with the combination of Lyondell and Basell AF in 2007. Lyondell filed for bankruptcy in 2008. The Creditor Trust Action and Reichman allege claims against the former Lyondell shareholders under state law for both constructive fraudulent transfer and intentional fraudulent transfer. The Litigation Trust Action alleges a claim against the former Lyondell shareholders under federal law for intentional fraudulent transfer.
On April 7, 2014, the plaintiff filed a Third Amended Complaint in the Creditor Trust Action, a Second Amended Complaint in the Litigation Trust Action, and an Amended Complaint in Reichman.
On May 8, 2014, the plaintiff in the Litigation Trust Action filed a motion to certify a defendant class generally comprised of all former Lyondell shareholders that received proceeds in exchange for their shares in the 2007 merger transaction.
On July 30, 2014, the defendants filed a motion to dismiss these lawsuits. The Bankruptcy Court held oral argument on the motion to dismiss and on the motion for class certification on January 14 and January 15, 2015. On September 15, 2015, the Bankruptcy Court denied the motion for class certification without prejudice to the plaintiff’s right to file a renewed motion. On November 18, 2015, the Bankruptcy Court granted the defendants’ motion to dismiss the intentional fraudulent transfer claims in the Creditor Trust Action, the Litigation Trust Action, and in Reichman, but denied the motion to dismiss the constructive fraudulent transfer claims in the Creditor Trust Action and in Reichman. The Bankruptcy Court entered final judgment dismissing the Litigation Trust Action, but the plaintiff has appealed the dismissal to the U.S. District Court for the Southern District of New York.
On May 4, 2016, the defendants filed a motion to dismiss, or in the alternative, for a stay of, the Creditor Trust Action and Reichman in light of the U.S. Court of Appeals for the Second Circuit’s opinion in the appeal of the Tribune SLCFC actions. On July 20, 2016, the Bankruptcy Court issued a report and recommendation granting the defendants’ motion to dismiss. The U.S. District Court for the Southern District of New York has not yet accepted the Bankruptcy Court’s recommendation or entered a final judgment. On May 30, 2017, the shareholder defendants filed a motion to remand the proceedings in the Creditor Trust and Reichman Actions to the Bankruptcy Court, for consideration of the collateral estoppel ground for dismissal raised by the Bankruptcy Court’s ruling in the Blavatnik Action. The District Court has not yet ruled on the motion to remand.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 85 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
On July 27, 2016, the District Court reversed the Bankruptcy Court and reinstated the federal law intentional fraudulent transfer claim in the Litigation Trust Action and remanded to the Bankruptcy Court for further proceedings. The District Court found that the fraudulent intent that mattered was that of Lyondell’s CEO, not its board, because the CEO’s intent could be imputed to Lyondell under Delaware law agency principles. The District Court did note, however, that plaintiff faces a high standard for proving “actual intent” to harm creditors, and that it remains to be seen whether plaintiff will be able to make this showing. On August 11, 2016, the shareholder defendants filed a motion for reconsideration and/or to certify an interlocutory appeal of the District Court’s opinion. On October 5, 2016, the District Court denied the motion for reconsideration and/or to certify an interlocutory appeal. In light of this ruling, the federal intentional fraudulent conveyance claim will move forward before the Bankruptcy Court, but a schedule for that case has not yet been set. On April 21, 2017, the Bankruptcy Court issued an Opinion and Order After Trial in a related Lyondell litigation (the “Blavatnik Action”) rejecting claims for intentional fraudulent transfer and constructive fraudulent transfer in connection with the 2007 LBO. Based on this related ruling in the Blavatnik Action, the shareholder defendants filed a motion to dismiss the Litigation Trust Action on the grounds of collateral estoppel on May 30, 2017. The Bankruptcy Court has not yet ruled on this new motion to dismiss.
These lawsuits do not allege any wrongdoing on the part of Rydex Variable Trust. The following series of Rydex Variable Trust received cash proceeds from the cash out merger in the following amounts: Basic Materials Fund - $1,235,952; Long Short Equity Fund f/k/a U.S. Long Short Momentum Fund - $523,200; Multi-Cap Core Equity Fund - $5,760; Hedged Equity Fund - $480; and Multi-Hedge Strategies Fund - $112,848. At this stage of the proceedings, Rydex Variable Trust is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
86 | THE RYDEX FUNDS SEMI-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 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://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 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
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 https://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 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Board Considerations in Approving the Continuation of the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Rydex Variable Trust (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on May 25, 2017, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to the 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, and Weakening Dollar 2x Strategy Fund, each a series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Board unanimously approved the continuation of the Investment Advisory Agreement for an additional one-year period based on the Board’s review of qualitative and quantitative information provided by the Advisor. The Board had previously considered information pertaining to the renewal of the Investment Advisory Agreement at an in-person meeting held on April 26, 2017 (together, with the May 25 meeting, the “Meetings”). The Board considered the materials provided by the Advisor and the review conducted at the April 26 meeting to be an integral part of the Trustees’ deliberations and their process in considering the renewal of the Investment Advisory Agreement.
Prior to reaching the conclusion to approve the continuation of the Investment Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from the independent legal counsel to the Independent Trustees regarding the Board’s fiduciary responsibilities under state and federal law with respect to the Board’s consideration of the renewal or approval of investment advisory agreements and participated in question and answer sessions with representatives of the Advisor. The Independent Trustees also carefully considered information that they had received throughout the year as part of their regular oversight of the Funds. At the Meetings, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the Meetings, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the Advisor’s investment advisory and other services; (b) the Advisor’s substantial commitment to the recruitment and retention of high quality personnel; (c) a comparison of the Funds’ advisory fees to the advisory fees charged to comparable funds or accounts, giving special attention to the existence of economies of scale and the absence of breakpoints in these fees and the Advisor’s rationale for not providing
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 87 |
OTHER INFORMATION (Unaudited)(continued) |
for breakpoints at this point in time; (d) each Fund’s overall fees and operating expenses compared with those of similar funds; (e) the level of the Advisor’s profitability from its Fund-related operations; (f) the Advisor’s compliance processes and systems; (g) the Advisor’s compliance policies and procedures; (h) the Advisor’s reputation, expertise and resources in the financial markets; (i) Fund performance compared with that of similar funds and/or appropriate benchmarks; (j) other benefits to the Advisor and/or its affiliates from their relationship to the Funds; and (k) the Advisor’s maintenance of operational resources necessary to manage the Funds in a professional manner consistent with the best interests of the Funds and their shareholders. In its deliberations, the Trustees did not identify any particular factor or factors that was controlling, noting that each Trustee could attribute different weights to the various factors considered.
Based on the Board’s deliberations at the Meetings, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees for each Fund are reasonable in light of, and not so disproportionately large as to bear no reasonable relationship to, the services that it provides to such Fund; and (c) agreed to approve and continue the Investment Advisory Agreement based upon the following considerations, among others:
Nature, Extent and Quality of Services Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies (including the extent to which the Funds use derivatives), Fund risk management process, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity programs. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. The Board also considered the Advisor’s representations to the Board that the Advisor would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Funds in the past, and whether these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Funds to receive high quality services at a cost that was appropriate and reasonable.
Fund Expenses and Performance of the Funds and the Advisor. The Board reviewed statistical information provided by the Advisor regarding the expense ratio components and performance of each Fund. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third party research provider, to prepare reports to help the Board compare the Funds’ fees, expenses, and total return performance with those of a peer group and peer universe of funds selected by FUSE. In the reports, each Fund’s expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise a Fund’s applicable peer group. The Board considered the Advisor’s representation that it found the peer groups compiled by FUSE to be appropriate, but also acknowledged the existence of certain differences between the Funds and their peer funds (e.g., specific differences in principal investment strategies, index rebalance frequency, and tradability) that should be reviewed in context. With respect to tradability, in particular, the Board considered that non-tradable funds incur lower expense ratios than tradable funds because non-tradable funds experience less shareholder activity and lower transaction volumes than tradable funds. The statistical information related to the performance of each Fund included three-month and one-, three-, and five-year performance for the Fund compared to that of its peers. The Board also discussed the correlation between a Fund’s assets under management and tracking error, noting that a Fund’s ability to replicate an underlying index rather than employ representative sampling depends, in part, upon the Fund’s size. Based on the foregoing, the Board determined that the proposed advisory fees paid by the Funds are reasonable in relation to the nature and quality of the services provided by the Advisor.
Costs of Services Provided to the Funds and Profits Realized by the Advisor and its Affiliates. The Board reviewed information about the profitability of the Funds to the Advisor based on the advisory fees payable under the current Investment Advisory Agreement for the last calendar year. The Board analyzed the Funds’ expenses, including the investment advisory fees paid to the Advisor, and reviewed the FUSE reports. The Board also reviewed information regarding the direct revenue received by the Advisor and ancillary revenue, if any, received by the Advisor and/or its affiliates in connection with the services provided to the Funds by the Advisor and/or its affiliates. The Board also discussed the Advisor’s profit margin, including the expense allocation methodology used in the Advisor’s profitability analysis. Based on the foregoing, the Board determined that the profit to the Advisor on the fees paid by the Funds is not excessive in view of the nature and quality of the services provided by the Advisor.
Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Funds’ asset levels. In light of the relatively small size of many of the Funds and the fact that the size of individual Funds in the complex often increase and decrease significantly due to the unlimited
88 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(concluded) |
trading that is permitted among most of the Funds in the complex, the Board concluded that the Funds have not yet achieved sufficient asset levels to realize meaningful economies of scale. The Board noted that it intends to continue to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.
Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be received by the Advisor and its affiliates as a result of their relationship with the Funds, including any intangible benefits to the Advisor. In particular, the Board considered the nature, extent, quality, and cost of certain distribution and shareholder services performed by the Advisor’s affiliate, Guggenheim Funds Distributors, LLC, under the distribution agreement, investor services agreement, and Investor Services Plan. In light of the costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliate’s commitment to the Funds, the Board concluded the ancillary benefits the Advisor and its affiliates received were reasonable.
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the continuation of the Investment Advisory Agreement was in the best interests of the Funds and their shareholders.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 89 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, 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 visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other |
INTERESTED TRUSTEE | ||||
Donald C. Cacciapaglia** | President, Chief Executive Officer and Trustee from 2012 to present | Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present).
Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010). | 233 | Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present). |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle***** | Trustee, Member of the Audit Committee; Member of the Compliance and Risk Oversight Committee; and Member of the Governance Committee from August 2016 to present | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm)
Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 133 | Infinity Property & Casualty Corporation (2014-present). |
Corey A. Colehour | Trustee from 1993 to present; Member of the Audit Committee from 1994 to present; Member of the Governance Committee from 2014 to present; and Member of the Investment and Performance Committee from 2014 to present | Retired. | 133 | None. |
J. Kenneth Dalton | Trustee from 1995 to present; Chairman and Member of the Audit Committee from 1997 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present | Retired. | 133 | Epiphany Funds (3) (2009-present). |
90 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth of Trustee | Position(s) Held with the | Principal Occupation(s) | Number of by Trustee*** | Other |
INDEPENDENT TRUSTEES - concluded | ||||
John O. Demaret | Vice Chairman of the Board from 2014 to present (Chairman of the Board from 2006 to 2014); Trustee and Member of the Audit Committee from 1997 to present; Chairman (since 2014) and Member of the Compliance and Risk Oversight Committee from 2010 to present; Chairman and Member of the Investment and Performance Committee from 2014 to present; and Member of the Nominating Committee from 2014 to present | Retired. | 133 | None. |
Werner E. Keller | Chairman of the Board from 2014 to present (Vice Chairman of the Board from 2010 to 2014); Trustee from 2005 to present; Member of the Audit Committee from 2005 to present; Member of the Investment and Performance Committee from 2014 to present; Member of the Compliance and Risk Oversight Committee from 2015 to present; Member of the Governance Committee from 2015 to present; and Member of the Nominating Committee from 2015 to present | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 133 | None. |
Thomas F. Lydon, Jr. | Trustee and Member of the Audit Committee from 2005 to present; Member of the Nominating Committee from 2005 to present; and Chairman and Member of the Governance Committee from 2007 to present | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 133 | US Global Investors (GROW) (1995-present). |
Patrick T. McCarville | Trustee from 1997 to present; Member of the Audit Committee from 1997 to present; Chairman and Member of the Nominating Committee from 2004 to present; Member of the Governance Committee from 2007 to present; and Member of the Compliance and Risk Oversight Committee from 2014 to present | Retired.
Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 133 | None. |
Sandra G. Sponem***** | Trustee, Member of the Audit Committee, Member of the Investment and Performance Committee, and Member of the Nominating Committee from November 2016 to present | Current: Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 133 | None. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 91 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth | Position(s) Held with the Length of Time Served | Principal Occupation(s) |
OFFICERS | ||
Michael P. Byrum | Vice President (1999-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); Director and Chairman, Advisory Research Center, Inc. (2006-present); Manager, Guggenheim Specialized Products, LLC (2005-present).
Former: Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
Joanna M. Catalucci | AML Officer (2016-present) | Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present).
Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011). |
James M. Howley | Assistant Treasurer (2016-present) | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
Keith D. Kemp | Assistant Treasurer (2016-present) | Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim Partners Investment Management, LLC (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present).
Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009). |
Amy J. Lee | Vice President (2009-present) and Secretary (2012-present) | Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
Glenn McWhinnie | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2009-present).
Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009). |
Elisabeth Miller | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (March 2014-present).
Former: CCO, Guggenheim Distributors, LLC (2009-March 2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) Held with the | Principal Occupation(s) |
OFFICERS - concluded | ||
Adam J. Nelson | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present).
Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
Kimberly J. Scott | Assistant Treasurer (2016-present) | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
John L. Sullivan | Chief Financial Officer and Treasurer (2016-present) | Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Mr. Cacciapaglia is an “interested” person of the Trust, as that term is defined in the 1940 Act by virtue of his affiliation with the Adviser’s parent company. |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. |
**** | Certain of the Trustees may serve as directors on the boards of companies not required to be disclosed above, including certain non-profit companies and charitable foundations. |
***** | Mses. Brock-Kyle and Sponem commenced serving as independent Trustees effective August 18, 2016. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 93 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited) |
Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).
Our Commitment to You
When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.
The Information We Collect About You and How We Collect It
In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g. purchase and redemption history).
How We Share Your Personal Information
As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below.
To complete certain transactions or account changes that you direct, it may be necessary to provide your personal information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. In connection with servicing your accounts or to alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your personal information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally we will share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.
How We Safeguard Your Personal Information
We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.
94 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
|
6.30.2017
Rydex Variable Trust Semi-Annual Report
Sector Funds | ||
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 | ||
Real Estate Fund | ||
Retailing Fund | ||
Technology Fund | ||
Telecommunications Fund | ||
Transportation Fund | ||
Utilities Fund |
GuggenheimInvestments.com | RVASECF-SEMI-0617x1217 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 5 |
BANKING FUND | 7 |
BASIC MATERIALS FUND | 13 |
BIOTECHNOLOGY FUND | 19 |
CONSUMER PRODUCTS FUND | 25 |
ELECTRONICS FUND | 31 |
ENERGY FUND | 37 |
ENERGY SERVICES FUND | 43 |
FINANCIAL SERVICES FUND | 49 |
HEALTH CARE FUND | 57 |
INTERNET FUND | 64 |
LEISURE FUND | 71 |
PRECIOUS METALS FUND | 78 |
REAL ESTATE FUND | 84 |
RETAILING FUND | 91 |
TECHNOLOGY FUND | 97 |
TELECOMMUNICATIONS FUND | 104 |
TRANSPORTATION FUND | 110 |
UTILITIES FUND | 116 |
NOTES TO FINANCIAL STATEMENTS | 122 |
OTHER INFORMATION | 132 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 135 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES | 139 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
June 30, 2017 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for funds (the “Funds”) that are part of the Rydex Variable Trust. This report covers performance of the Funds for the semi-annual period ended June 30, 2017.
The Investment Adviser is a part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Donald C. Cacciapaglia
President and Chief Executive Officer
July 31, 2017
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
The Funds may not be suitable for all investors. Investing involves risks, including the entire loss of principal amount invested. Certain Funds may be affected by risks that include those associated with sector concentration, international investing, investing in small and/or medium size companies, and/or the Funds’ possible use of investment techniques and strategies such as leverage, derivatives and short sales of securities. Please see each Fund’s prospectus for more information.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | June 30, 2017 |
First-quarter real gross domestic product (“GDP”) growth came in weak relative to the third and fourth quarters of 2016, at only 1.4% quarter over quarter annualized, consistent with the historical pattern of soft first-quarter data. Tracking estimates point to a rebound in second-quarter growth. There have been concerns about consumer health amid weakness in retail and autos, but we maintain that these are experiencing sector-specific problems. Household balance sheets and consumer spending appear solid overall.
The unemployment rate continues to decline to levels not seen since 2001, despite muted economic growth. As of June 2017, the unemployment rate stood at 4.3%, below what the U.S. Federal Reserve (the “Fed”) forecasted as recently as March to be the cycle low, and we expect it will fall to 3.8% or lower next year. While a tightening labor market has not done much to lift wage growth or inflation in the current cycle, Fed Chair Janet Yellen and many of her colleagues still see a tighter labor market as a reason to continue to remove accommodation.
In June the Fed delivered its fourth rate hike since the financial crisis, raising the fed funds rate target range to 1.00–1.25%. It proceeded with the rate hike despite three consecutive months of soft inflation readings. The statement noted that the Fed continues to expect inflation on a 12-month basis to stabilize around the 2% objective over the medium term. This suggests the Fed views recent weakness as transient. As long as the unemployment rate continues to decline, we believe the Fed will feel compelled to continue hiking to stay ahead of potential inflationary pressures, given the lags associated with monetary policy effects.
Median Federal Open Market Committee (“FOMC”) projections suggest one additional rate increase in 2017, three in 2018, and three more in 2019. These are not conditioned on expectations for fiscal stimulus, though they do incorporate an expectation that the natural rate of interest will rise somewhat over time, but perhaps not as much as the Fed currently projects. We expect that the Fed will forego a rate hike in September in order to launch the tapering of portfolio reinvestments, but the Fed will pick it up again in December, contingent on steady economic data and supportive financial conditions. Weak oil prices over the second quarter of 2017 should once again boost headline inflation readings in 2018 due to base effects, which, when combined with steady economic growth and falling unemployment, could prompt the Fed to raise rates three or possibly four times in 2018.
On its own, the start of Fed balance sheet normalization should not lead to a notable increase in market volatility. The Fed has signaled its intentions well in advance, giving markets time to prepare, and pay-downs will ramp up only gradually over the course of a year.
Still, volatility across a range of markets is abnormally low, and asset valuations appear stretched. Markets shrugged off worrisome developments during the second quarter, including declining oil prices, a lack of progress on fiscal legislation in Washington, D.C., and rising geopolitical risks. A near-term pullback in risk assets is possible in the third or fourth quarters, with low volatility and tight spreads making credit markets particularly vulnerable during what is already a seasonally weak period for risk assets. Moves toward a less accommodative stance by the European Central Bank, the Bank of Japan, and/or the Bank of England may be a catalyst for instability.
For the six-month period ended June 30, 2017, the Standard & Poor’s 500® (“S&P 500®”)* Index returned 9.34%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 13.81%. The return of the MSCI Emerging Markets Index* was 18.43%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 2.27% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 4.93%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.31% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2017 |
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
4 | THE RYDEX FUNDS SEMI-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, other distributions, 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 December 31, 2016 and ending June 30, 2017.
The following tables illustrate the Funds’ 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 fifth 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.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), 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 FUNDS SEMI-ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
|
| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
Banking Fund | 1.70% | 2.52% | $ 1,000.00 | $ 1,025.20 | $ 8.54 |
Basic Materials Fund | 1.70% | 7.59% | 1,000.00 | 1,075.90 | 8.75 |
Biotechnology Fund | 1.70% | 20.93% | 1,000.00 | 1,209.30 | 9.31 |
Consumer Products Fund | 1.70% | 6.10% | 1,000.00 | 1,061.00 | 8.69 |
Electronics Fund | 1.70% | 11.17% | 1,000.00 | 1,111.70 | 8.90 |
Energy Fund | 1.70% | (18.22%) | 1,000.00 | 817.80 | 7.66 |
Energy Services Fund | 1.70% | (26.57%) | 1,000.00 | 734.30 | 7.31 |
Financial Services Fund | 1.70% | 5.93% | 1,000.00 | 1,059.30 | 8.68 |
Health Care Fund | 1.70% | 18.99% | 1,000.00 | 1,189.90 | 9.23 |
Internet Fund | 1.70% | 19.22% | 1,000.00 | 1,192.20 | 9.24 |
Leisure Fund | 1.70% | 13.27% | 1,000.00 | 1,132.70 | 8.99 |
Precious Metals Fund | 1.60% | 3.37% | 1,000.00 | 1,033.70 | 8.07 |
Real Estate Fund | 1.70% | 4.03% | 1,000.00 | 1,040.30 | 8.60 |
Retailing Fund | 1.70% | 0.99% | 1,000.00 | 1,009.90 | 8.47 |
Technology Fund | 1.70% | 16.23% | 1,000.00 | 1,162.30 | 9.11 |
Telecommunications Fund | 1.70% | 0.23% | 1,000.00 | 1,002.30 | 8.44 |
Transportation Fund | 1.70% | 8.64% | 1,000.00 | 1,086.40 | 8.79 |
Utilities Fund | 1.70% | 7.55% | 1,000.00 | 1,075.50 | 8.75 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Banking Fund | 1.70% | 5.00% | $ 1,000.00 | $ 1,016.36 | $ 8.50 |
Basic Materials Fund | 1.70% | 5.00% | 1,000.00 | 1,016.36 | 8.50 |
Biotechnology Fund | 1.70% | 5.00% | 1,000.00 | 1,016.36 | 8.50 |
Consumer Products Fund | 1.70% | 5.00% | 1,000.00 | 1,016.36 | 8.50 |
Electronics Fund | 1.70% | 5.00% | 1,000.00 | 1,016.36 | 8.50 |
Energy Fund | 1.70% | 5.00% | 1,000.00 | 1,016.36 | 8.50 |
Energy Services Fund | 1.70% | 5.00% | 1,000.00 | 1,016.36 | 8.50 |
Financial Services Fund | 1.70% | 5.00% | 1,000.00 | 1,016.36 | 8.50 |
Health Care Fund | 1.70% | 5.00% | 1,000.00 | 1,016.36 | 8.50 |
Internet Fund | 1.70% | 5.00% | 1,000.00 | 1,016.36 | 8.50 |
Leisure Fund | 1.70% | 5.00% | 1,000.00 | 1,016.36 | 8.50 |
Precious Metals Fund | 1.60% | 5.00% | 1,000.00 | 1,016.86 | 8.00 |
Real Estate Fund | 1.70% | 5.00% | 1,000.00 | 1,016.36 | 8.50 |
Retailing Fund | 1.70% | 5.00% | 1,000.00 | 1,016.36 | 8.50 |
Technology Fund | 1.70% | 5.00% | 1,000.00 | 1,016.36 | 8.50 |
Telecommunications Fund | 1.70% | 5.00% | 1,000.00 | 1,016.36 | 8.50 |
Transportation Fund | 1.70% | 5.00% | 1,000.00 | 1,016.36 | 8.50 |
Utilities Fund | 1.70% | 5.00% | 1,000.00 | 1,016.36 | 8.50 |
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest. |
2 | Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses shown do not include fees charged by insurance companies. |
3 | Actual cumulative return at net asset value for the period December 31, 2016 to June 30, 2017. |
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
BANKING FUND
OBJECTIVE: Seeks to provide 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”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 2, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
JPMorgan Chase & Co. | 4.2% |
Citigroup, Inc. | 4.1% |
Bank of America Corp. | 4.1% |
Wells Fargo & Co. | 4.1% |
U.S. Bancorp | 3.1% |
PNC Financial Services Group, Inc. | 2.6% |
Bank of New York Mellon Corp. | 2.4% |
Capital One Financial Corp. | 2.1% |
BB&T Corp. | 2.0% |
State Street Corp. | 1.9% |
Top Ten Total | 30.6% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Banking Fund | 2.52% | 39.33% | 13.31% | (2.27%) |
S&P 500 Financials Index | 6.88% | 35.37% | 18.00% | 0.39% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Financials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
BANKING FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 98.4% | ||||||||
Banks - 93.2% | ||||||||
JPMorgan Chase & Co. | 4,484 | $ | 409,837 | |||||
Citigroup, Inc. | 6,046 | 404,356 | ||||||
Bank of America Corp. | 16,472 | 399,611 | ||||||
Wells Fargo & Co. | 7,198 | 398,841 | ||||||
U.S. Bancorp | 5,872 | 304,874 | ||||||
PNC Financial Services Group, Inc. | 2,049 | 255,859 | ||||||
Bank of New York Mellon Corp. | 4,663 | 237,906 | ||||||
Capital One Financial Corp. | 2,505 | 206,963 | ||||||
BB&T Corp. | 4,364 | 198,169 | ||||||
State Street Corp. | 2,071 | 185,831 | ||||||
SunTrust Banks, Inc. | 3,022 | 171,408 | ||||||
M&T Bank Corp. | 1,017 | 164,703 | ||||||
Northern Trust Corp. | 1,591 | 154,661 | ||||||
KeyCorp | 7,841 | 146,940 | ||||||
Fifth Third Bancorp | 5,530 | 143,559 | ||||||
Regions Financial Corp. | 9,434 | 138,114 | ||||||
Citizens Financial Group, Inc. | 3,766 | 134,371 | ||||||
First Republic Bank | 1,263 | 126,425 | ||||||
Huntington Bancshares, Inc. | 9,279 | 125,452 | ||||||
Banco Bradesco S.A. ADR | 13,829 | 117,546 | ||||||
Comerica, Inc.1 | 1,555 | 113,888 | ||||||
Deutsche Bank AG | 6,355 | 113,055 | ||||||
Toronto-Dominion Bank | 2,127 | 107,157 | ||||||
HSBC Holdings plc ADR | 2,298 | 106,604 | ||||||
Credit Suisse Group AG ADR* | 7,273 | 106,186 | ||||||
Royal Bank of Canada | 1,452 | 105,299 | ||||||
ICICI Bank Ltd. ADR | 11,716 | 105,093 | ||||||
Canadian Imperial Bank of Commerce | 1,244 | 100,948 | ||||||
Bank of Nova Scotia | 1,650 | 99,215 | ||||||
SVB Financial Group* | 557 | 97,915 | ||||||
Zions Bancorporation | 2,202 | 96,690 | ||||||
HDFC Bank Ltd. ADR | 1,105 | 96,102 | ||||||
Popular, Inc. | 2,298 | 95,850 | ||||||
East West Bancorp, Inc. | 1,586 | 92,908 | ||||||
Signature Bank* | 634 | 90,998 | ||||||
Commerce Bancshares, Inc. | 1,361 | 77,346 | ||||||
Cullen/Frost Bankers, Inc.1 | 822 | 77,194 | ||||||
Bank of the Ozarks | 1,627 | 76,257 | ||||||
BOK Financial Corp. | 897 | 75,465 | ||||||
PacWest Bancorp | 1,608 | 75,094 | ||||||
Synovus Financial Corp. | 1,695 | 74,987 | ||||||
Western Alliance Bancorporation* | 1,469 | 72,275 | ||||||
Webster Financial Corp. | 1,318 | 68,826 | ||||||
FNB Corp. | 4,804 | 68,025 | ||||||
Prosperity Bancshares, Inc. | 1,038 | 66,681 | ||||||
First Citizens BancShares, Inc. — Class A | 177 | 65,968 | ||||||
IBERIABANK Corp. | 806 | 65,689 | ||||||
Hancock Holding Co. | 1,337 | 65,513 | ||||||
First Horizon National Corp. | 3,746 | 65,255 | ||||||
Wintrust Financial Corp. | 844 | 64,515 | ||||||
United Bankshares, Inc. | 1,641 | 64,327 | ||||||
Umpqua Holdings Corp. | 3,466 | 63,636 | ||||||
Texas Capital Bancshares, Inc.* | 821 | 63,545 | ||||||
Associated Banc-Corp. | 2,512 | 63,302 | ||||||
UMB Financial Corp. | 824 |
| 61,685 | |||||
MB Financial, Inc. | 1,393 | 61,348 | ||||||
BankUnited, Inc. | 1,811 | 61,049 | ||||||
Bank of Hawaii Corp. | 730 | 60,568 | ||||||
Home BancShares, Inc. | 2,368 | 58,963 | ||||||
Chemical Financial Corp. | 1,210 | 58,576 | ||||||
Fulton Financial Corp. | 3,052 | 57,988 | ||||||
Valley National Bancorp | 4,845 | 57,219 | ||||||
First Financial Bankshares, Inc. | 1,260 | 55,692 | ||||||
Cathay General Bancorp | 1,441 | 54,686 | ||||||
BancorpSouth, Inc. | 1,776 | 54,168 | ||||||
Pinnacle Financial Partners, Inc. | 855 | 53,723 | ||||||
TCF Financial Corp. | 3,349 | 53,383 | ||||||
Glacier Bancorp, Inc. | 1,432 | 52,426 | ||||||
First Midwest Bancorp, Inc. | 2,205 | 51,399 | ||||||
Great Western Bancorp, Inc. | 1,230 | 50,197 | ||||||
CVB Financial Corp. | 2,221 | 49,817 | ||||||
South State Corp. | 577 | 49,449 | ||||||
Hope Bancorp, Inc. | 2,631 | 49,068 | ||||||
Bank of Montreal | 660 | 48,470 | ||||||
Old National Bancorp | 2,776 | 47,886 | ||||||
International Bancshares Corp. | 1,364 | 47,808 | ||||||
Columbia Banking System, Inc. | 1,198 | 47,740 | ||||||
ING Groep N.V. ADR | 2,740 | 47,649 | ||||||
Trustmark Corp. | 1,446 | 46,503 | ||||||
FCB Financial Holdings, Inc. — Class A* | 969 | 46,270 | ||||||
Capital Bank Financial Corp. — Class A | 1,200 | 45,720 | ||||||
United Community Banks, Inc. | 1,623 | 45,119 | ||||||
ServisFirst Bancshares, Inc. | 1,193 | 44,010 | ||||||
Banner Corp. | 773 | 43,682 | ||||||
Independent Bank Corp. | 647 | 43,123 | ||||||
LegacyTexas Financial Group, Inc. | 1,130 | 43,087 | ||||||
Ameris Bancorp | 877 | 42,271 | ||||||
Simmons First National Corp. — Class A | 784 | 41,474 | ||||||
Westamerica Bancorporation | 688 | 38,556 | ||||||
Boston Private Financial Holdings, Inc. | 2,363 | 36,272 | ||||||
Total Banks | 9,074,278 | |||||||
Savings & Loans - 3.2% | ||||||||
New York Community Bancorp, Inc. | 6,244 | 81,984 | ||||||
People’s United Financial, Inc. | 4,503 | 79,523 | ||||||
Investors Bancorp, Inc. | 4,858 | 64,903 | ||||||
Sterling Bancorp | 2,391 | 55,591 | ||||||
Banc of California, Inc.1 | 1,521 | 32,702 | ||||||
Total Savings & Loans | 314,703 | |||||||
Diversified Financial Services - 1.1% | ||||||||
CIT Group, Inc.1 | 2,112 | 102,854 | ||||||
Insurance - 0.9% | ||||||||
Voya Financial, Inc. | 2,244 | 82,781 | ||||||
Total Common Stocks | ||||||||
(Cost $7,116,966) | 9,574,616 |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
BANKING FUND |
| Shares | Value | ||||||
PREFERRED STOCKS† - 1.2% | ||||||||
Banks - 1.2% | ||||||||
Itau Unibanco Holding S.A. ADR | 10,475 | $ | 115,749 | |||||
Total Preferred Stocks | ||||||||
(Cost $90,330) | 115,749 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 1.0% | ||||||||
HSBC Securities, Inc. | $ | 74,268 | 74,268 | |||||
Bank of America Merrill Lynch | 27,502 | 27,502 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $101,770) | 101,770 | |||||||
SECURITIES LENDING COLLATERAL†,3 - 2.1% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 208,334 |
| 208,334 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $208,334) | 208,334 | |||||||
Total Investments - 102.7% | ||||||||
(Cost $7,517,400) | $ | 10,000,469 | ||||||
Other Assets & Liabilities, net - (2.7)% | (259,119 | ) | ||||||
Total Net Assets - 100.0% | $ | 9,741,350 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 9,574,616 | $ | — | $ | — | $ | 9,574,616 | ||||||||
Preferred Stocks | 115,749 | — | — | 115,749 | ||||||||||||
Repurchase Agreements | — | 101,770 | — | 101,770 | ||||||||||||
Securities Lending Collateral | 208,334 | — | — | 208,334 | ||||||||||||
Total Assets | $ | 9,898,699 | $ | 101,770 | $ | — | $ | 10,000,469 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
BANKING FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $204,428 of securities loaned (cost $7,415,630) | $ | 9,898,699 | ||
Repurchase agreements, at value (cost $101,770) | 101,770 | |||
Total investments (cost $7,517,400) | 10,000,469 | |||
Receivables: | ||||
Fund shares sold | 752,389 | |||
Dividends | 14,416 | |||
Foreign taxes reclaim | 1,084 | |||
Interest | 3 | |||
Securities lending income | 73 | |||
Total assets | 10,768,434 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 623,627 | |||
Return of securities loaned | 208,334 | |||
Fund shares redeemed | 166,032 | |||
Management fees | 6,166 | |||
Transfer agent and administrative fees | 1,814 | |||
Investor service fees | 1,814 | |||
Portfolio accounting fees | 725 | |||
Miscellaneous | 18,572 | |||
Total liabilities | 1,027,084 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 9,741,350 | ||
Net assets consist of: | ||||
Paid in capital | $ | 9,773,961 | ||
Undistributed net investment income | 57,203 | |||
Accumulated net realized loss on investments | (2,572,883 | ) | ||
Net unrealized appreciation on investments | 2,483,069 | |||
Net assets | $ | 9,741,350 | ||
Capital shares outstanding | 111,917 | |||
Net asset value per share | $ | 87.04 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $1,875) | $ | 128,400 | ||
Income from securities lending, net | 632 | |||
Interest | 222 | |||
Total investment income | 129,254 | |||
Expenses: | ||||
Management fees | 53,044 | |||
Transfer agent and administrative fees | 15,601 | |||
Investor service fees | 15,601 | |||
Portfolio accounting fees | 6,241 | |||
Professional fees | 8,485 | |||
Custodian fees | 1,005 | |||
Trustees’ fees* | 554 | |||
Line of credit fees | 10 | |||
Miscellaneous | 5,476 | |||
Total expenses | 106,017 | |||
Net investment income | 23,237 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (11,158 | ) | ||
Net realized loss | (11,158 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 3,194 | |||
Net change in unrealized appreciation (depreciation) | 3,194 | |||
Net realized and unrealized loss | (7,964 | ) | ||
Net increase in net assets resulting from operations | $ | 15,273 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
BANKING FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 23,237 | $ | 33,966 | ||||
Net realized gain (loss) on investments | (11,158 | ) | 376,626 | |||||
Net change in unrealized appreciation (depreciation) on investments | 3,194 | 1,144,359 | ||||||
Net increase in net assets resulting from operations | 15,273 | 1,554,951 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (45,284 | ) | |||||
Total distributions to shareholders | — | (45,284 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 15,922,859 | 32,177,327 | ||||||
Distributions reinvested | — | 45,284 | ||||||
Cost of shares redeemed | (22,273,157 | ) | (23,267,078 | ) | ||||
Net increase (decrease) from capital share transactions | (6,350,298 | ) | 8,955,533 | |||||
Net increase (decrease) in net assets | (6,335,025 | ) | 10,465,200 | |||||
Net assets: | ||||||||
Beginning of period | 16,076,375 | 5,611,175 | ||||||
End of period | $ | 9,741,350 | $ | 16,076,375 | ||||
Undistributed net investment income at end of period | $ | 57,203 | $ | 33,966 | ||||
Capital share activity: | ||||||||
Shares sold | 185,868 | 454,966 | * | |||||
Shares issued from reinvestment of distributions | — | 706 | * | |||||
Shares redeemed | (263,308 | ) | (348,993 | )* | ||||
Net increase (decrease) in shares | (77,440 | ) | 106,679 | * |
* | Capital share activity for the year ended December 31, 2016 has been restated to reflect 1:6 reverse share split effective December 1, 2016 — See Note 9. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
BANKING FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 84.90 | $ | 67.87 | $ | 71.43 | $ | 86.82 | $ | 80.41 | $ | 64.93 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .16 | .10 | .42 | .48 | .48 | .66 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.98 | 17.11 | (3.86 | ) | 2.55 | 22.37 | 15.00 | |||||||||||||||||
Total from investment operations | 2.14 | 17.21 | (3.44 | ) | 3.03 | 22.85 | 15.66 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.18 | ) | (.12 | ) | (1.44 | ) | (1.20 | ) | (.12 | ) | |||||||||||||
Net realized gains | — | — | — | (16.98 | ) | (15.24 | ) | (.06 | ) | |||||||||||||||
Total distributions | — | (.18 | ) | (.12 | ) | (18.42 | ) | (16.44 | ) | (.18 | ) | |||||||||||||
Net asset value, end of period | $ | 87.04 | $ | 84.90 | $ | 67.87 | $ | 71.43 | $ | 86.82 | $ | 80.41 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 2.52 | % | 27.25 | % | (4.86 | %) | 3.42 | % | 29.18 | % | 24.22 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,741 | $ | 16,076 | $ | 5,611 | $ | 3,938 | $ | 5,966 | $ | 10,720 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.37 | % | 0.69 | % | 0.62 | % | 0.56 | % | 0.52 | % | 0.89 | % | ||||||||||||
Total expenses | 1.70 | % | 1.67 | % | 1.59 | % | 1.66 | % | 1.64 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 108 | % | 417 | % | 388 | % | 285 | % | 438 | % | 512 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:6 reverse share split effective December 1, 2016 — See Note 9. |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
BASIC MATERIALS FUND
OBJECTIVE: Seeks to provide 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”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 2, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Dow Chemical Co. | 2.9% |
EI du Pont de Nemours & Co. | 2.8% |
Monsanto Co. | 2.5% |
Ecolab, Inc. | 2.1% |
Praxair, Inc. | 2.1% |
LyondellBasell Industries N.V. — Class A | 2.0% |
Vale S.A. ADR | 1.9% |
Sherwin-Williams Co. | 1.9% |
Air Products & Chemicals, Inc. | 1.9% |
PPG Industries, Inc. | 1.8% |
Top Ten Total | 21.9% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Basic Materials Fund | 7.59% | 16.55% | 4.98% | 2.41% |
S&P 500 Materials Index | 9.21% | 18.59% | 11.09% | 5.36% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Materials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
BASIC MATERIALS FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Chemicals - 44.1% | ||||||||
Dow Chemical Co. | 5,115 | $ | 322,603 | |||||
EI du Pont de Nemours & Co. | 3,790 | 305,891 | ||||||
Monsanto Co. | 2,313 | 273,766 | ||||||
Praxair, Inc. | 1,724 | 228,516 | ||||||
LyondellBasell Industries N.V. — Class A | 2,696 | 227,515 | ||||||
Sherwin-Williams Co. | 603 | 211,629 | ||||||
Air Products & Chemicals, Inc. | 1,461 | 209,011 | ||||||
PPG Industries, Inc. | 1,780 | 195,729 | ||||||
Celanese Corp. — Class A | 1,465 | 139,087 | ||||||
Albemarle Corp. | 1,263 | 133,296 | ||||||
Eastman Chemical Co. | 1,578 | 132,536 | ||||||
International Flavors & Fragrances, Inc. | 924 | 124,740 | ||||||
FMC Corp. | 1,587 | 115,930 | ||||||
Westlake Chemical Corp. | 1,716 | 113,616 | ||||||
Mosaic Co. | 4,828 | 110,223 | ||||||
Chemours Co. | 2,835 | 107,503 | ||||||
Methanex Corp. | 2,303 | 101,447 | ||||||
CF Industries Holdings, Inc. | 3,625 | 101,355 | ||||||
Axalta Coating Systems Ltd.* | 3,143 | 100,702 | ||||||
RPM International, Inc. | 1,839 | 100,317 | ||||||
Huntsman Corp. | 3,845 | 99,355 | ||||||
Potash Corporation of Saskatchewan, Inc. | 6,085 | 99,186 | ||||||
Olin Corp. | 2,896 | 87,691 | ||||||
NewMarket Corp. | 190 | 87,491 | ||||||
WR Grace & Co. | 1,201 | 86,484 | ||||||
Syngenta AG ADR | 930 | 86,165 | ||||||
Valvoline, Inc. | 3,426 | 81,271 | ||||||
Ashland Global Holdings, Inc. | 1,171 | 77,181 | ||||||
Platform Specialty Products Corp.* | 5,960 | 75,573 | ||||||
Agrium, Inc. | 800 | 72,392 | ||||||
Sensient Technologies Corp. | 871 | 70,142 | ||||||
PolyOne Corp. | 1,794 | 69,500 | ||||||
Cabot Corp. | 1,287 | 68,764 | ||||||
Minerals Technologies, Inc. | 835 | 61,122 | ||||||
Ingevity Corp.* | 1,050 | 60,270 | ||||||
HB Fuller Co. | 1,179 | 60,259 | ||||||
Balchem Corp. | 740 | 57,505 | ||||||
Tronox Ltd. — Class A | 3,770 | 57,002 | ||||||
GCP Applied Technologies, Inc.* | 1,830 | 55,815 | ||||||
Innospec, Inc. | 700 | 45,885 | ||||||
Kraton Corp.* | 1,220 | 42,017 | ||||||
A. Schulman, Inc. | 1,210 | 38,720 | ||||||
Total Chemicals | 4,895,202 | |||||||
Mining - 20.2% | ||||||||
Barrick Gold Corp. | 12,004 | 190,983 | ||||||
Freeport-McMoRan, Inc.* | 13,574 | 163,024 | ||||||
Newmont Mining Corp. | 4,890 | 158,386 | ||||||
Goldcorp, Inc. | 11,612 | 149,911 | ||||||
Rio Tinto plc ADR | 3,522 | 149,016 | ||||||
Teck Resources Ltd. — Class B | 7,174 | 124,325 | ||||||
Wheaton Precious Metals Corp. | 6,008 | 119,499 | ||||||
BHP Billiton Ltd. ADR | 3,276 | 116,593 | ||||||
Randgold Resources Ltd. ADR | 1,184 | 104,737 | ||||||
Agnico Eagle Mines Ltd. | 2,313 |
| 104,363 | |||||
Alcoa Corp. | 3,050 | 99,583 | ||||||
Franco-Nevada Corp. | 1,288 | 92,942 | ||||||
Royal Gold, Inc. | 1,159 | 90,599 | ||||||
Pan American Silver Corp. | 5,321 | 89,500 | ||||||
AngloGold Ashanti Ltd. ADR | 9,071 | 88,170 | ||||||
First Majestic Silver Corp.*,1 | 9,968 | 82,834 | ||||||
Tahoe Resources, Inc. | 7,571 | 65,262 | ||||||
Hecla Mining Co. | 11,453 | 58,410 | ||||||
Compass Minerals International, Inc.1 | 865 | 56,485 | ||||||
Coeur Mining, Inc.* | 5,819 | 49,927 | ||||||
Kaiser Aluminum Corp. | 530 | 46,916 | ||||||
Century Aluminum Co.* | 2,849 | 44,387 | ||||||
Total Mining | 2,245,852 | |||||||
Packaging & Containers - 11.2% | ||||||||
Ball Corp. | 3,492 | 147,396 | ||||||
WestRock Co. | 2,460 | 139,383 | ||||||
Packaging Corporation of America | 1,116 | 124,310 | ||||||
Sealed Air Corp. | 2,502 | 111,990 | ||||||
Crown Holdings, Inc.* | 1,853 | 110,550 | ||||||
Berry Global Group, Inc.* | 1,794 | 102,276 | ||||||
Sonoco Products Co. | 1,692 | 87,003 | ||||||
Graphic Packaging Holding Co. | 5,900 | 81,302 | ||||||
Bemis Company, Inc. | 1,686 | 77,978 | ||||||
Owens-Illinois, Inc.* | 3,206 | 76,688 | ||||||
Silgan Holdings, Inc. | 2,240 | 71,187 | ||||||
Greif, Inc. — Class A | 1,196 | 66,713 | ||||||
KapStone Paper and Packaging Corp. | 2,545 | 52,503 | ||||||
Total Packaging & Containers | 1,249,279 | |||||||
Iron & Steel - 10.0% | ||||||||
Vale S.A. ADR | 24,276 | 212,415 | ||||||
Nucor Corp. | 3,001 | 173,668 | ||||||
ArcelorMittal*,1 | 5,502 | 125,060 | ||||||
Steel Dynamics, Inc. | 3,325 | 119,068 | ||||||
Reliance Steel & Aluminum Co. | 1,223 | 89,047 | ||||||
United States Steel Corp.1 | 3,551 | 78,619 | ||||||
Cliffs Natural Resources, Inc.* | 8,865 | 61,346 | ||||||
Commercial Metals Co. | 2,970 | 57,707 | ||||||
AK Steel Holding Corp.* | 8,710 | 57,225 | ||||||
Allegheny Technologies, Inc.1 | 3,068 | 52,187 | ||||||
Carpenter Technology Corp. | 1,355 | 50,718 | ||||||
Schnitzer Steel Industries, Inc. — Class A | 1,465 | 36,918 | ||||||
Total Iron & Steel | 1,113,978 | |||||||
Building Materials - 5.9% | ||||||||
Vulcan Materials Co. | 1,196 | 151,508 | ||||||
Martin Marietta Materials, Inc. | 625 | 139,113 | ||||||
Cemex SAB de CV ADR* | 10,618 | 100,022 | ||||||
Eagle Materials, Inc. | 871 | 80,498 | ||||||
Louisiana-Pacific Corp.* | 2,843 | 68,545 | ||||||
Summit Materials, Inc. — Class A* | 2,346 | 67,729 | ||||||
US Concrete, Inc.*,1 | 570 | 44,774 | ||||||
Total Building Materials | 652,189 |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
BASIC MATERIALS FUND |
| Shares | Value | ||||||
Forest Products & Paper - 2.2% | ||||||||
International Paper Co. | 3,191 | $ | 180,642 | |||||
Domtar Corp. | 1,549 | 59,513 | ||||||
Total Forest Products & Paper | 240,155 | |||||||
Commercial Services - 2.1% | ||||||||
Ecolab, Inc. | 1,754 | 232,843 | ||||||
Miscellaneous Manufacturing - 1.4% | ||||||||
AptarGroup, Inc. | 1,010 | 87,729 | ||||||
Trinseo S.A. | 1,004 | 68,975 | ||||||
Total Miscellaneous Manufacturing | 156,704 | |||||||
Household Products & Housewares - 1.0% | ||||||||
Avery Dennison Corp. | 1,213 | 107,193 | ||||||
Housewares - 0.8% | ||||||||
Scotts Miracle-Gro Co. — Class A | 980 | 87,671 | ||||||
Metal Fabricate & Hardware - 0.6% | ||||||||
Worthington Industries, Inc. | 1,426 | 71,614 | ||||||
Total Common Stocks | ||||||||
(Cost $7,316,672) | 11,052,680 |
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 1.3% | ||||||||
HSBC Securities, Inc. | $ | 109,021 |
| 109,021 | ||||
Bank of America Merrill Lynch | 40,371 | 40,371 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $149,392) | 149,392 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 2.3% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 257,367 | 257,367 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $257,367) | 257,367 | |||||||
Total Investments - 103.1% | ||||||||
(Cost $7,723,431) | $ | 11,459,439 | ||||||
Other Assets & Liabilities, net - (3.1)% | (346,486 | ) | ||||||
Total Net Assets - 100.0% | $ | 11,112,953 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 11,052,680 | $ | — | $ | — | $ | 11,052,680 | ||||||||
Repurchase Agreements | — | 149,392 | — | 149,392 | ||||||||||||
Securities Lending Collateral | 257,367 | — | — | 257,367 | ||||||||||||
Total Assets | $ | 11,310,047 | $ | 149,392 | $ | — | $ | 11,459,439 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
BASIC MATERIALS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $250,791 of securities loaned (cost $7,574,039) | $ | 11,310,047 | ||
Repurchase agreements, at value (cost $149,392) | 149,392 | |||
Total investments (cost $7,723,431) | 11,459,439 | |||
Cash | 800 | |||
Receivables: | ||||
Fund shares sold | 266,842 | |||
Dividends | 12,245 | |||
Foreign taxes reclaim | 51 | |||
Interest | 4 | |||
Securities lending income | 90 | |||
Total assets | 11,739,471 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 270,110 | |||
Return of securities loaned | 257,367 | |||
Fund shares redeemed | 44,334 | |||
Deferred foreign capital gain taxes | 25,971 | |||
Management fees | 7,288 | |||
Transfer agent and administrative fees | 2,144 | |||
Investor service fees | 2,144 | |||
Portfolio accounting fees | 857 | |||
Miscellaneous | 16,303 | |||
Total liabilities | 626,518 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 11,112,953 | ||
Net assets consist of: | ||||
Paid in capital | $ | 8,291,119 | ||
Undistributed net investment income | 29,788 | |||
Accumulated net realized loss on investments | (943,962 | ) | ||
Net unrealized appreciation on investments | 3,736,008 | |||
Net assets | $ | 11,112,953 | ||
Capital shares outstanding | 152,788 | |||
Net asset value per share | $ | 72.73 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $1,536) | $ | 117,347 | ||
Income from securities lending, net | 945 | |||
Interest | 248 | |||
Total investment income | 118,540 | |||
Expenses: | ||||
Management fees | 60,026 | |||
Transfer agent and administrative fees | 17,654 | |||
Investor service fees | 17,654 | |||
Portfolio accounting fees | 7,062 | |||
Professional fees | 14,412 | |||
Custodian fees | 1,318 | |||
Trustees’ fees* | 947 | |||
Line of credit fees | 10 | |||
Miscellaneous | 881 | |||
Total expenses | 119,964 | |||
Net investment loss | (1,424 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 729,350 | |||
Net realized gain | 729,350 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 236,975 | |||
Net change in unrealized appreciation (depreciation) | 236,975 | |||
Net realized and unrealized gain | 966,325 | |||
Net increase in net assets resulting from operations | $ | 964,901 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
BASIC MATERIALS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (1,424 | ) | $ | 9,979 | |||
Net realized gain on investments | 729,350 | 999,289 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 236,975 | 1,564,607 | ||||||
Net increase in net assets resulting from operations | 964,901 | 2,573,875 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (252,952 | ) | |||||
Total distributions to shareholders | — | (252,952 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 13,055,996 | 43,319,102 | ||||||
Distributions reinvested | — | 252,952 | ||||||
Cost of shares redeemed | (18,137,024 | ) | (35,747,641 | ) | ||||
Net increase (decrease) from capital share transactions | (5,081,028 | ) | 7,824,413 | |||||
Net increase (decrease) in net assets | (4,116,127 | ) | 10,145,336 | |||||
Net assets: | ||||||||
Beginning of period | 15,229,080 | 5,083,744 | ||||||
End of period | $ | 11,112,953 | $ | 15,229,080 | ||||
Undistributed net investment income at end of period | $ | 29,788 | $ | 31,212 | ||||
Capital share activity: | ||||||||
Shares sold | 180,505 | 688,344 | * | |||||
Shares issued from reinvestment of distributions | — | 3,831 | * | |||||
Shares redeemed | (252,981 | ) | (563,714 | )* | ||||
Net increase (decrease) in shares | (72,476 | ) | 128,461 | * |
* | Capital share activity for the year ended December 31, 2016, has been restated to reflect a 1:3 reverse share split effective December 1, 2016 — See Note 9. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
BASIC MATERIALS FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 67.61 | $ | 52.52 | $ | 63.47 | $ | 74.45 | $ | 78.25 | $ | 77.84 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.01 | ) | .02 | .18 | .15 | .27 | .51 | |||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.13 | 15.43 | (11.13 | ) | (1.32 | ) | .58 | 7.37 | ||||||||||||||||
Total from investment operations | 5.12 | 15.45 | (10.95 | ) | (1.17 | ) | .85 | 7.88 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | (3.39 | ) | (.57 | ) | — | ||||||||||||||||
Net realized gains | — | (.36 | ) | — | (6.42 | ) | (4.08 | ) | (7.47 | ) | ||||||||||||||
Total distributions | — | (.36 | ) | — | (9.81 | ) | (4.65 | ) | (7.47 | ) | ||||||||||||||
Net asset value, end of period | $ | 72.73 | $ | 67.61 | $ | 52.52 | $ | 63.47 | $ | 74.45 | $ | 78.25 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 7.59 | % | 30.86 | % | (17.30 | %) | (1.81 | %) | 1.25 | % | 10.72 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 11,113 | $ | 15,229 | $ | 5,084 | $ | 9,062 | $ | 11,587 | $ | 16,519 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.02 | %) | 0.08 | % | 0.27 | % | 0.18 | % | 0.37 | % | 0.62 | % | ||||||||||||
Total expenses | 1.70 | % | 1.66 | % | 1.59 | % | 1.66 | % | 1.64 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 75 | % | 266 | % | 228 | % | 218 | % | 350 | % | 339 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized |
d | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:3 reverse share split effective December 1, 2016 — See Note 9. |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
BIOTECHNOLOGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the biotechnology industry, including companies involved in research and development, genetic or other biological engineering, and in the design, manufacture, or sale of related biotechnology products or services (“Biotechnology Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 2, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Amgen, Inc. | 5.8% |
AbbVie, Inc. | 5.4% |
Celgene Corp. | 5.3% |
Gilead Sciences, Inc. | 5.2% |
Biogen, Inc. | 4.0% |
Shire plc ADR | 3.8% |
Regeneron Pharmaceuticals, Inc. | 3.8% |
Vertex Pharmaceuticals, Inc. | 2.9% |
Incyte Corp. | 2.8% |
Illumina, Inc. | 2.6% |
Top Ten Total | 41.6% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Biotechnology Fund | 20.93% | 24.25% | 17.77% | 14.69% |
S&P 500 Health Care Index | 16.07% | 12.47% | 17.86% | 10.57% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Health Care Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
BIOTECHNOLOGY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.7% | ||||||||
Biotechnology - 63.2% | ||||||||
Amgen, Inc. | 8,670 | $ | 1,493,232 | |||||
Celgene Corp.* | 10,516 | 1,365,713 | ||||||
Gilead Sciences, Inc. | 18,943 | 1,340,786 | ||||||
Biogen, Inc.* | 3,791 | 1,028,726 | ||||||
Regeneron Pharmaceuticals, Inc.* | 1,975 | 970,002 | ||||||
Vertex Pharmaceuticals, Inc.* | 5,907 | 761,235 | ||||||
Incyte Corp.* | 5,743 | 723,101 | ||||||
Illumina, Inc.* | 3,918 | 679,851 | ||||||
Alexion Pharmaceuticals, Inc.* | 5,315 | 646,676 | ||||||
BioMarin Pharmaceutical, Inc.* | 5,785 | 525,394 | ||||||
Exelixis, Inc.* | 16,090 | 396,297 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 1,558 | 352,591 | ||||||
Bioverativ, Inc.* | 5,810 | 349,588 | ||||||
Alnylam Pharmaceuticals, Inc.* | 4,300 | 342,968 | ||||||
Seattle Genetics, Inc.* | 6,279 | 324,875 | ||||||
Ionis Pharmaceuticals, Inc.* | 6,280 | 319,464 | ||||||
Kite Pharma, Inc.*,1 | 3,080 | 319,304 | ||||||
United Therapeutics Corp.* | 2,373 | 307,849 | ||||||
Charles River Laboratories International, Inc.* | 2,939 | 297,280 | ||||||
Exact Sciences Corp.*,1 | 7,902 | 279,494 | ||||||
Juno Therapeutics, Inc.*,1 | 9,300 | 277,977 | ||||||
Puma Biotechnology, Inc.* | 2,870 | 250,838 | ||||||
Bluebird Bio, Inc.* | 2,170 | 227,959 | ||||||
Intrexon Corp.*,1 | 9,460 | 227,891 | ||||||
Intercept Pharmaceuticals, Inc.*,1 | 1,869 | 226,280 | ||||||
Medicines Co.*,1 | 5,870 | 223,119 | ||||||
Sage Therapeutics, Inc.* | 2,700 | 215,028 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 1,771 | 214,999 | ||||||
Ultragenyx Pharmaceutical, Inc.* | 3,240 | 201,236 | ||||||
Spark Therapeutics, Inc.* | 3,030 | 181,012 | ||||||
Prothena Corporation plc*,1 | 3,310 | 179,137 | ||||||
Myriad Genetics, Inc.* | 6,686 | 172,766 | ||||||
Halozyme Therapeutics, Inc.* | 13,359 | 171,262 | ||||||
Esperion Therapeutics, Inc.* | 3,270 | 151,336 | ||||||
Acceleron Pharma, Inc.* | 4,590 | 139,490 | ||||||
Five Prime Therapeutics, Inc.* | 4,264 | 128,389 | ||||||
Acorda Therapeutics, Inc.* | 6,341 | 124,918 | ||||||
AMAG Pharmaceuticals, Inc.* | 6,556 | 120,630 | ||||||
Alder Biopharmaceuticals, Inc.*,1 | 6,810 | 77,975 | ||||||
Total Biotechnology | 16,336,668 | |||||||
Pharmaceuticals - 30.1% | ||||||||
AbbVie, Inc. | 19,416 | 1,407,853 | ||||||
Shire plc ADR | 5,958 | 984,679 | ||||||
TESARO, Inc.* | 2,580 | 360,839 | ||||||
Clovis Oncology, Inc.* | 3,430 | 321,151 | ||||||
Portola Pharmaceuticals, Inc.* | 5,398 | 303,206 | ||||||
PRA Health Sciences, Inc.* | 3,930 |
| 294,789 | |||||
Jazz Pharmaceuticals plc* | 1,880 | 292,340 | ||||||
Neurocrine Biosciences, Inc.*,1 | 6,164 | 283,544 | ||||||
Akorn, Inc.* | 8,131 | 272,714 | ||||||
Alkermes plc* | 4,563 | 264,517 | ||||||
ACADIA Pharmaceuticals, Inc.* | 8,999 | 250,982 | ||||||
Nektar Therapeutics* | 12,696 | 248,207 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 12,488 | 235,773 | ||||||
Avexis, Inc.*,1 | 2,750 | 225,940 | ||||||
Agios Pharmaceuticals, Inc.* | 3,990 | 205,286 | ||||||
Horizon Pharma plc* | 16,795 | 199,357 | ||||||
Pacira Pharmaceuticals, Inc.* | 4,124 | 196,715 | ||||||
Radius Health, Inc.*,1 | 4,040 | 182,729 | ||||||
Sarepta Therapeutics, Inc.* | 5,224 | 176,101 | ||||||
Array BioPharma, Inc.*,1 | 20,340 | 170,246 | ||||||
Impax Laboratories, Inc.* | 10,149 | 163,399 | ||||||
Amicus Therapeutics, Inc.* | 15,920 | 160,314 | ||||||
Eagle Pharmaceuticals, Inc.*,1 | 1,960 | 154,624 | ||||||
Synergy Pharmaceuticals, Inc.*,1 | 28,560 | 127,092 | ||||||
Depomed, Inc.* | 10,702 | 114,939 | ||||||
Heron Therapeutics, Inc.*,1 | 8,110 | 112,324 | ||||||
Global Blood Therapeutics, Inc.* | 2,720 | 74,392 | ||||||
Total Pharmaceuticals | 7,784,052 | |||||||
Healthcare-Products - 3.2% | ||||||||
Bio-Techne Corp. | 2,464 | 289,519 | ||||||
OPKO Health, Inc.*,1 | 38,858 | 255,686 | ||||||
QIAGEN N.V.* | 5,798 | 194,407 | ||||||
MiMedx Group, Inc.*,1 | 5,510 | 82,485 | ||||||
Total Healthcare-Products | 822,097 | |||||||
Healthcare-Services - 2.3% | ||||||||
Quintiles IMS Holdings, Inc.* | 6,631 | 593,475 | ||||||
Commercial Services - 0.9% | ||||||||
Incorporated Research Holdings, Inc. — Class A* | 3,916 | 229,086 | ||||||
Total Common Stocks | ||||||||
(Cost $12,434,910) | 25,765,378 | |||||||
RIGHTS††† - 0.0% | ||||||||
Chelsea Therapeutics International | ||||||||
Expires 12/31/17* | 18,097 | — | ||||||
Dyax Corp. | ||||||||
Expires 01/25/18* | 12,367 | — | ||||||
Clinical Data, Inc. | ||||||||
Expires 12/31/20* | 4,730 | — | ||||||
Total Rights | ||||||||
(Cost $1,341) | — |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
BIOTECHNOLOGY FUND |
| Face | Value | ||||||
REPURCHASE AGREEMENTS††,2 - 0.5% | ||||||||
HSBC Securities, Inc. | $ | 93,857 | $ | 93,857 | ||||
Bank of America Merrill Lynch | 34,756 | 34,756 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $128,613) | 128,613 |
Shares |
| |||||||
SECURITIES LENDING COLLATERAL†,3 - 7.5% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 1,937,747 |
| 1,937,747 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $1,937,747) | 1,937,747 | |||||||
Total Investments - 107.7% | ||||||||
(Cost $14,502,611) | $ | 27,831,738 | ||||||
Other Assets & Liabilities, net - (7.7)% | (1,982,063 | ) | ||||||
Total Net Assets - 100.0% | $ | 25,849,675 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 25,765,378 | $ | — | $ | — | $ | 25,765,378 | ||||||||
Repurchase Agreements | — | 128,613 | — | 128,613 | ||||||||||||
Rights | — | — | — | * | — | |||||||||||
Securities Lending Collateral | 1,937,747 | — | — | 1,937,747 | ||||||||||||
Total Assets | $ | 27,703,125 | $ | 128,613 | $ | — | $ | 27,831,738 |
* | Market value of securities is $0. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
BIOTECHNOLOGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $1,872,643 of securities loaned (cost $14,373,998) | $ | 27,703,125 | ||
Repurchase agreements, at value (cost $128,613) | 128,613 | |||
Total investments (cost $14,502,611) | 27,831,738 | |||
Receivables: | ||||
Fund shares sold | 233,518 | |||
Interest | 4 | |||
Securities lending income | 778 | |||
Total assets | 28,066,038 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 1,937,747 | |||
Fund shares redeemed | 222,968 | |||
Management fees | 17,127 | |||
Transfer agent and administrative fees | 5,037 | |||
Investor service fees | 5,037 | |||
Portfolio accounting fees | 2,015 | |||
Miscellaneous | 26,432 | |||
Total liabilities | 2,216,363 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 25,849,675 | ||
Net assets consist of: | ||||
Paid in capital | $ | 15,615,201 | ||
Accumulated net investment loss | (89,416 | ) | ||
Accumulated net realized loss on investments | (3,005,237 | ) | ||
Net unrealized appreciation on investments | 13,329,127 | |||
Net assets | $ | 25,849,675 | ||
Capital shares outstanding | 319,753 | |||
Net asset value per share | $ | 80.84 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $1,220) | $ | 105,030 | ||
Income from securities lending, net | 5,691 | |||
Interest | 475 | |||
Total investment income | 111,196 | |||
Expenses: | ||||
Management fees | 100,390 | |||
Transfer agent and administrative fees | 29,526 | |||
Investor service fees | 29,526 | |||
Portfolio accounting fees | 11,810 | |||
Professional fees | 29,831 | |||
Printing expenses | 10,213 | |||
Custodian fees | 2,485 | |||
Trustees’ fees* | 2,066 | |||
Line of credit fees | 35 | |||
Miscellaneous | (15,270 | ) | ||
Total expenses | 200,612 | |||
Net investment loss | (89,416 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 765,491 | |||
Net realized gain | 765,491 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 3,544,608 | |||
Net change in unrealized appreciation (depreciation) | 3,544,608 | |||
Net realized and unrealized gain | 4,310,099 | |||
Net increase in net assets resulting from operations | $ | 4,220,683 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
BIOTECHNOLOGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (89,416 | ) | $ | (305,744 | ) | ||
Net realized gain on investments | 765,491 | 14,032 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 3,544,608 | (7,892,957 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 4,220,683 | (8,184,669 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 23,289,923 | 35,395,561 | ||||||
Cost of shares redeemed | (23,891,821 | ) | (46,984,722 | ) | ||||
Net decrease from capital share transactions | (601,898 | ) | (11,589,161 | ) | ||||
Net increase (decrease) in net assets | 3,618,785 | (19,773,830 | ) | |||||
Net assets: | ||||||||
Beginning of period | 22,230,890 | 42,004,720 | ||||||
End of period | $ | 25,849,675 | $ | 22,230,890 | ||||
Accumulated net investment loss at end of period | $ | (89,416 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 312,055 | 510,265 | ||||||
Shares redeemed | (324,811 | ) | (682,479 | ) | ||||
Net decrease in shares | (12,756 | ) | (172,214 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
BIOTECHNOLOGY FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 66.86 | $ | 83.22 | $ | 76.71 | $ | 57.81 | $ | 37.49 | $ | 27.58 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.28 | ) | (.80 | ) | (1.02 | ) | (.62 | ) | (.56 | ) | (.47 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 14.26 | (15.56 | ) | 7.53 | 19.52 | 20.88 | 10.38 | |||||||||||||||||
Total from investment operations | 13.98 | (16.36 | ) | 6.51 | 18.90 | 20.32 | 9.91 | |||||||||||||||||
Net asset value, end of period | $ | 80.84 | $ | 66.86 | $ | 83.22 | $ | 76.71 | $ | 57.81 | $ | 37.49 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 20.93 | % | (19.66 | %) | 8.47 | % | 32.69 | % | 54.20 | % | 35.98 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 25,850 | $ | 22,231 | $ | 42,005 | $ | 38,094 | $ | 26,499 | $ | 19,080 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.76 | %) | (1.16 | %) | (1.17 | %) | (0.92 | %) | (1.15 | %) | (1.33 | %) | ||||||||||||
Total expenses | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | 1.63 | % | 1.68 | % | ||||||||||||
Portfolio turnover rate | 78 | % | 127 | % | 161 | % | 165 | % | 277 | % | 294 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
CONSUMER PRODUCTS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in manufacturing finished goods and services both domestically and internationally (“Consumer Products Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 29, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Procter & Gamble Co. | 4.8% |
Coca-Cola Co. | 4.5% |
Philip Morris International, Inc. | 4.3% |
PepsiCo, Inc. | 4.2% |
Altria Group, Inc. | 3.8% |
Kraft Heinz Co. | 3.2% |
Reynolds American, Inc. | 3.2% |
Colgate-Palmolive Co. | 2.6% |
Mondelez International, Inc. — Class A | 2.6% |
Kimberly-Clark Corp. | 2.2% |
Top Ten Total | 35.4% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Consumer Products Fund | 6.10% | 0.22% | 11.91% | 9.16% |
S&P 500 Consumer Staples Index | 8.03% | 3.06% | 12.61% | 10.46% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Consumer Staples Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
CONSUMER PRODUCTS FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Food - 38.0% | ||||||||
Kraft Heinz Co. | 7,263 | $ | 622,003 | |||||
Mondelez International, Inc. — Class A | 11,469 | 495,346 | ||||||
General Mills, Inc. | 6,092 | 337,497 | ||||||
Kroger Co. | 13,416 | 312,861 | ||||||
Sysco Corp. | 6,086 | 306,308 | ||||||
Tyson Foods, Inc. — Class A | 4,812 | 301,376 | ||||||
Kellogg Co. | 4,306 | 299,095 | ||||||
Hershey Co. | 2,704 | 290,328 | ||||||
Whole Foods Market, Inc. | 6,332 | 266,641 | ||||||
Hormel Foods Corp. | 7,613 | 259,679 | ||||||
Campbell Soup Co. | 4,631 | 241,507 | ||||||
Conagra Brands, Inc. | 6,470 | 231,367 | ||||||
JM Smucker Co. | 1,901 | 224,945 | ||||||
McCormick & Co., Inc. | 2,135 | 208,184 | ||||||
Ingredion, Inc. | 1,488 | 177,384 | ||||||
Pinnacle Foods, Inc. | 2,750 | 163,350 | ||||||
Lamb Weston Holdings, Inc. | 3,592 | 158,192 | ||||||
US Foods Holding Corp.* | 5,509 | 149,955 | ||||||
Pilgrim’s Pride Corp.* | 6,270 | 137,438 | ||||||
TreeHouse Foods, Inc.* | 1,659 | 135,524 | ||||||
Post Holdings, Inc.* | 1,740 | 135,111 | ||||||
Hain Celestial Group, Inc.* | 3,396 | 131,833 | ||||||
Blue Buffalo Pet Products, Inc.* | 5,630 | 128,420 | ||||||
Flowers Foods, Inc. | 6,744 | 116,739 | ||||||
Sprouts Farmers Market, Inc.* | 5,070 | 114,937 | ||||||
Snyder’s-Lance, Inc. | 3,230 | 111,823 | ||||||
Lancaster Colony Corp. | 903 | 110,726 | ||||||
Performance Food Group Co.* | 3,860 | 105,764 | ||||||
Fresh Del Monte Produce, Inc. | 1,990 | 101,311 | ||||||
Darling Ingredients, Inc.* | 6,276 | 98,784 | ||||||
J&J Snack Foods Corp. | 721 | 95,222 | ||||||
Sanderson Farms, Inc.1 | 800 | 92,520 | ||||||
B&G Foods, Inc. | 2,581 | 91,884 | ||||||
Hostess Brands, Inc.* | 5,610 | 90,321 | ||||||
Cal-Maine Foods, Inc.*,1 | 2,185 | 86,526 | ||||||
United Natural Foods, Inc.* | 2,243 | 82,318 | ||||||
BRF S.A. ADR | 6,700 | 78,993 | ||||||
Dean Foods Co. | 4,438 | 75,446 | ||||||
Calavo Growers, Inc. | 945 | 65,252 | ||||||
SpartanNash Co. | 2,299 | 59,682 | ||||||
Total Food | 7,292,592 | |||||||
Beverages - 22.6% | ||||||||
Coca-Cola Co. | 19,322 | 866,591 | ||||||
PepsiCo, Inc. | 6,951 | 802,770 | ||||||
Constellation Brands, Inc. — Class A | 2,066 | 400,246 | ||||||
Monster Beverage Corp.* | 6,564 | 326,100 | ||||||
Anheuser-Busch InBev S.A. ADR | 2,678 | 295,544 | ||||||
Molson Coors Brewing Co. — Class B | 3,237 | 279,483 | ||||||
Brown-Forman Corp. — Class B | 5,629 | 273,569 | ||||||
Dr Pepper Snapple Group, Inc. | 2,758 | 251,281 | ||||||
Coca-Cola European Partners plc | 4,986 | 202,781 | ||||||
Fomento Economico Mexicano SAB de CV ADR | 1,793 | 176,324 | ||||||
Diageo plc ADR | 1,337 |
| 160,213 | |||||
National Beverage Corp.1 | 1,481 | 138,562 | ||||||
Coca-Cola Bottling Company Consolidated | 380 | 86,971 | ||||||
Boston Beer Company, Inc. — Class A* | 630 | 83,255 | ||||||
Total Beverages | 4,343,690 | |||||||
Agriculture - 16.3% | ||||||||
Philip Morris International, Inc. | 7,110 | 835,069 | ||||||
Altria Group, Inc. | 9,893 | 736,732 | ||||||
Reynolds American, Inc. | 9,322 | 606,303 | ||||||
Archer-Daniels-Midland Co. | 7,249 | 299,964 | ||||||
British American Tobacco plc ADR1 | 3,160 | 216,586 | ||||||
Bunge Ltd. | 2,740 | 204,404 | ||||||
Vector Group Ltd. | 4,729 | 100,822 | ||||||
Universal Corp. | 1,220 | 78,934 | ||||||
Andersons, Inc. | 1,700 | 58,055 | ||||||
Total Agriculture | 3,136,869 | |||||||
Cosmetics & Personal Care - 13.0% | ||||||||
Procter & Gamble Co. | 10,494 | 914,551 | ||||||
Colgate-Palmolive Co. | 6,735 | 499,266 | ||||||
Estee Lauder Cos., Inc. — Class A | 3,788 | 363,572 | ||||||
Coty, Inc. — Class A | 12,415 | 232,905 | ||||||
Unilever N.V. — Class Y1 | 3,873 | 214,061 | ||||||
Edgewell Personal Care Co.* | 1,680 | 127,714 | ||||||
Avon Products, Inc.* | 21,317 | 81,005 | ||||||
e.l.f. Beauty, Inc.*,1 | 2,550 | 69,386 | ||||||
Total Cosmetics & Personal Care | 2,502,460 | |||||||
Household Products & Housewares - 6.3% | ||||||||
Kimberly-Clark Corp. | 3,242 | 418,574 | ||||||
Clorox Co. | 1,865 | 248,493 | ||||||
Church & Dwight Company, Inc. | 4,199 | 217,844 | ||||||
Spectrum Brands Holdings, Inc. | 1,325 | 165,678 | ||||||
Central Garden & Pet Co. — Class A* | 2,590 | 77,752 | ||||||
WD-40 Co. | 690 | 76,142 | ||||||
Total Household Products & Housewares | 1,204,483 | |||||||
Retail - 1.3% | ||||||||
Casey’s General Stores, Inc. | 1,227 | 131,424 | ||||||
Nu Skin Enterprises, Inc. — Class A | 1,818 | 114,243 | ||||||
Total Retail | 245,667 | |||||||
Pharmaceuticals - 0.8% | ||||||||
Herbalife Ltd.*,1 | 2,251 | 160,564 | ||||||
Holding Companies-Diversified - 0.6% | ||||||||
HRG Group, Inc.* | 6,320 | 111,927 | ||||||
Electrical Components & Equipment - 0.6% | ||||||||
Energizer Holdings, Inc. | 2,220 | 106,604 | ||||||
Total Common Stocks | ||||||||
(Cost $12,382,393) | 19,104,856 |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
CONSUMER PRODUCTS FUND |
| Shares | Value | ||||||
RIGHTS††† - 0.0% | ||||||||
PDC | ||||||||
Expires 07/10/17* | 7,547 | $ | — | |||||
Casa Ley | ||||||||
Expires 01/17/19* | 7,547 | — | ||||||
Total Rights | ||||||||
(Cost $1,815) | — | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.5% | ||||||||
HSBC Securities, Inc. | $ | 73,710 | 73,710 | |||||
Bank of America Merrill Lynch | 27,295 | 27,295 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $101,005) | 101,005 | |||||||
SECURITIES LENDING COLLATERAL†,3 - 3.4% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 643,529 |
| 643,529 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $643,529) | 643,529 | |||||||
Total Investments - 103.4% | ||||||||
(Cost $13,128,742) | $ | 19,849,390 | ||||||
Other Assets & Liabilities, net - (3.4)% | (645,173 | ) | ||||||
Total Net Assets - 100.0% | $ | 19,204,217 |
* | Non-income producing security |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 19,104,856 | $ | — | $ | — | $ | 19,104,856 | ||||||||
Repurchase Agreements | — | 101,005 | — | 101,005 | ||||||||||||
Rights | — | — | — | * | — | |||||||||||
Securities Lending Collateral | 643,529 | — | — | 643,529 | ||||||||||||
Total Assets | $ | 19,748,385 | $ | 101,005 | $ | — | $ | 19,849,390 |
* | Market value of securities is $0. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
CONSUMER PRODUCTS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $628,527 of securities loaned (cost $13,027,737) | $ | 19,748,385 | ||
Repurchase agreements, at value (cost $101,005) | 101,005 | |||
Total investments (cost $13,128,742) | 19,849,390 | |||
Receivables: | ||||
Securities sold | 171,501 | |||
Fund shares sold | 3,884 | |||
Dividends | 40,772 | |||
Foreign taxes reclaim | 2,643 | |||
Interest | 3 | |||
Securities lending income | 840 | |||
Total assets | 20,069,033 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 643,529 | |||
Fund shares redeemed | 183,596 | |||
Management fees | 13,900 | |||
Transfer agent and administrative fees | 4,088 | |||
Investor service fees | 4,088 | |||
Portfolio accounting fees | 1,635 | |||
Miscellaneous | 13,980 | |||
Total liabilities | 864,816 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 19,204,217 | ||
Net assets consist of: | ||||
Paid in capital | $ | 12,525,119 | ||
Undistributed net investment income | 286,045 | |||
Accumulated net realized loss on investments | (327,595 | ) | ||
Net unrealized appreciation on investments | 6,720,648 | |||
Net assets | $ | 19,204,217 | ||
Capital shares outstanding | 292,897 | |||
Net asset value per share | $ | 65.57 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $352) | $ | 209,532 | ||
Income from securities lending, net | 3,473 | |||
Interest | 274 | |||
Other income | 129 | |||
Total investment income | 213,408 | |||
Expenses: | ||||
Management fees | 80,803 | |||
Transfer agent and administrative fees | 23,765 | |||
Investor service fees | 23,765 | |||
Portfolio accounting fees | 9,506 | |||
Professional fees | 30,425 | |||
Printing expenses | 9,593 | |||
Custodian fees | 2,228 | |||
Trustees’ fees* | 2,084 | |||
Line of credit fees | 2 | |||
Miscellaneous | (20,724 | ) | ||
Total expenses | 161,447 | |||
Net investment income | 51,961 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 490,509 | |||
Net realized gain | 490,509 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 470,127 | |||
Net change in unrealized appreciation (depreciation) | 470,127 | |||
Net realized and unrealized gain | 960,636 | |||
Net increase in net assets resulting from operations | $ | 1,012,597 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSUMER PRODUCTS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 51,961 | �� | $ | 234,084 | |||
Net realized gain on investments | 490,509 | 4,141,037 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 470,127 | (2,553,550 | ) | |||||
Net increase in net assets resulting from operations | 1,012,597 | 1,821,571 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (239,147 | ) | |||||
Net realized gains | — | (1,667,649 | ) | |||||
Total distributions to shareholders | — | (1,906,796 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 17,881,360 | 61,911,706 | ||||||
Distributions reinvested | — | 1,906,796 | ||||||
Cost of shares redeemed | (18,099,520 | ) | (77,804,973 | ) | ||||
Net decrease from capital share transactions | (218,160 | ) | (13,986,471 | ) | ||||
Net increase (decrease) in net assets | 794,437 | (14,071,696 | ) | |||||
Net assets: | ||||||||
Beginning of period | 18,409,780 | 32,481,476 | ||||||
End of period | $ | 19,204,217 | $ | 18,409,780 | ||||
Undistributed net investment income at end of period | $ | 286,045 | $ | 234,084 | ||||
Capital share activity: | ||||||||
Shares sold | 272,006 | 977,795 | ||||||
Shares issued from reinvestment of distributions | — | 28,860 | ||||||
Shares redeemed | (277,037 | ) | (1,236,346 | ) | ||||
Net decrease in shares | (5,031 | ) | (229,691 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
CONSUMER PRODUCTS FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 61.79 | $ | 61.56 | $ | 60.19 | $ | 56.94 | $ | 45.02 | $ | 41.82 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .18 | .44 | .58 | .42 | .38 | .46 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.60 | 3.10 | 3.14 | 6.72 | 12.31 | 3.33 | ||||||||||||||||||
Total from investment operations | 3.78 | 3.54 | 3.72 | 7.14 | 12.69 | 3.79 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.42 | ) | (.34 | ) | (.30 | ) | (.77 | ) | (.59 | ) | |||||||||||||
Net realized gains | — | (2.89 | ) | (2.01 | ) | (3.59 | ) | — | — | |||||||||||||||
Total distributions | — | (3.31 | ) | (2.35 | ) | (3.89 | ) | (.77 | ) | (.59 | ) | |||||||||||||
Net asset value, end of period | $ | 65.57 | $ | 61.79 | $ | 61.56 | $ | 60.19 | $ | 56.94 | $ | 45.02 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 6.10 | % | 5.42 | % | 6.22 | % | 12.63 | % | 28.25 | % | 9.05 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 19,204 | $ | 18,410 | $ | 32,481 | $ | 26,090 | $ | 15,448 | $ | 15,604 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.55 | % | 0.68 | % | 0.95 | % | 0.70 | % | 0.72 | % | 1.06 | % | ||||||||||||
Total expenses | 1.70 | % | 1.65 | % | 1.61 | % | 1.66 | % | 1.64 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 81 | % | 161 | % | 225 | % | 194 | % | 438 | % | 636 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
ELECTRONICS FUND
OBJECTIVE: Seeks to provide 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”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: August 3, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Intel Corp. | 7.5% |
Broadcom Ltd. | 5.8% |
QUALCOMM, Inc. | 5.4% |
NVIDIA Corp. | 5.3% |
Texas Instruments, Inc. | 5.2% |
Applied Materials, Inc. | 4.0% |
Micron Technology, Inc. | 3.4% |
Analog Devices, Inc. | 3.3% |
Lam Research Corp. | 2.9% |
Skyworks Solutions, Inc. | 2.5% |
Top Ten Total | 45.3% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Electronics Fund | 11.17% | 37.47% | 18.56% | 5.30% |
S&P 500 Information Technology Index | 17.23% | 33.89% | 17.18% | 10.70% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Information Technology are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
ELECTRONICS FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 100.1% | ||||||||
Semiconductors - 94.1% | ||||||||
Intel Corp. | 20,714 | $ | 698,890 | |||||
Broadcom Ltd. | 2,311 | 538,580 | ||||||
QUALCOMM, Inc. | 9,060 | 500,293 | ||||||
NVIDIA Corp. | 3,415 | 493,672 | ||||||
Texas Instruments, Inc. | 6,330 | 486,967 | ||||||
Applied Materials, Inc. | 9,090 | 375,508 | ||||||
Micron Technology, Inc.* | 10,687 | 319,114 | ||||||
Analog Devices, Inc. | 3,908 | 304,042 | ||||||
Lam Research Corp. | 1,896 | 268,151 | ||||||
Skyworks Solutions, Inc. | 2,428 | 232,967 | ||||||
Microchip Technology, Inc. | 2,993 | 231,000 | ||||||
Xilinx, Inc. | 3,491 | 224,541 | ||||||
KLA-Tencor Corp. | 2,341 | 214,225 | ||||||
NXP Semiconductor N.V.* | 1,858 | 203,358 | ||||||
Advanced Micro Devices, Inc.*,1 | 15,802 | 197,209 | ||||||
Maxim Integrated Products, Inc. | 4,387 | 196,976 | ||||||
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 5,119 | 178,960 | ||||||
Qorvo, Inc.* | 2,469 | 156,337 | ||||||
Marvell Technology Group Ltd. | 8,965 | 148,102 | ||||||
Teradyne, Inc. | 4,676 | 140,420 | ||||||
ASML Holding N.V. — Class G | 1,068 | 139,171 | ||||||
ON Semiconductor Corp.* | 9,303 | 130,614 | ||||||
Microsemi Corp.* | 2,778 | 130,010 | ||||||
Cypress Semiconductor Corp. | 8,970 | 122,441 | ||||||
Cavium, Inc.* | 1,890 | 117,426 | ||||||
Cirrus Logic, Inc.* | 1,827 | 114,589 | ||||||
Mellanox Technologies Ltd.* | 2,617 | 113,316 | ||||||
Monolithic Power Systems, Inc. | 1,172 | 112,981 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 1,967 | 109,700 | ||||||
Integrated Device Technology, Inc.* | 4,240 | 109,350 | ||||||
MKS Instruments, Inc. | 1,606 | 108,084 | ||||||
Silicon Motion Technology Corp. ADR | 2,165 | 104,418 | ||||||
Silicon Laboratories, Inc.* | 1,403 | 95,895 | ||||||
Entegris, Inc.* | 4,320 | 94,824 | ||||||
Power Integrations, Inc. | 1,241 | 90,469 | ||||||
Semtech Corp.* | 2,453 | 87,695 | ||||||
Amkor Technology, Inc.* | 8,970 | 87,637 | ||||||
MaxLinear, Inc. — Class A* | 3,008 | 83,893 | ||||||
Ambarella, Inc.*,1 | 1,630 | 79,137 | ||||||
Synaptics, Inc.* | 1,471 | 76,065 | ||||||
Cabot Microelectronics Corp. | 1,030 | 76,045 | ||||||
Inphi Corp.* | 2,031 | 69,663 | ||||||
Xperi Corp. | 2,278 | 67,884 | ||||||
Veeco Instruments, Inc.* | 2,380 | 66,283 | ||||||
Rambus, Inc.* | 5,473 | 62,556 | ||||||
Impinj, Inc.*,1 | 1,160 | 56,434 | ||||||
STMicroelectronics N.V. — Class Y | 3,850 |
| 55,363 | |||||
Lattice Semiconductor Corp.* | 7,720 | 51,415 | ||||||
Brooks Automation, Inc. | 1,560 | 33,836 | ||||||
Total Semiconductors | 8,756,506 | |||||||
Electrical Components & Equipment - 1.8% | ||||||||
Advanced Energy Industries, Inc.* | 1,363 | 88,173 | ||||||
SunPower Corp. — Class A*,1 | 7,869 | 73,496 | ||||||
Total Electrical Components & Equipment | 161,669 | |||||||
Energy-Alternate Sources - 1.4% | ||||||||
First Solar, Inc.* | 3,181 | 126,858 | ||||||
Chemicals - 1.2% | ||||||||
Versum Materials, Inc. | 3,340 | 108,550 | ||||||
Building Materials - 0.9% | ||||||||
Cree, Inc.* | 3,533 | 87,088 | ||||||
Telecommunications - 0.7% | ||||||||
Acacia Communications, Inc.*,1 | 1,649 | 68,384 | ||||||
Total Common Stocks | ||||||||
(Cost $5,822,895) | 9,309,055 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.5% | ||||||||
HSBC Securities, Inc. | $ | 36,343 | 36,343 | |||||
Bank of America Merrill Lynch | 13,458 | 13,458 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $49,801) | 49,801 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 3.0% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 276,767 | 276,767 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $276,767) | 276,767 | |||||||
Total Investments - 103.6% | ||||||||
(Cost $6,149,463) | $ | 9,635,623 | ||||||
Other Assets & Liabilities, net - (3.6)% | (333,224 | ) | ||||||
Total Net Assets - 100.0% | $ | 9,302,399 |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
ELECTRONICS FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
ADR — American Depositary Receipt | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 9,309,055 | $ | — | $ | — | $ | 9,309,055 | ||||||||
Repurchase Agreements | — | 49,801 | — | 49,801 | ||||||||||||
Securities Lending Collateral | 276,767 | — | — | 276,767 | ||||||||||||
Total Assets | $ | 9,585,822 | $ | 49,801 | $ | — | $ | 9,635,623 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
ELECTRONICS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $264,747 of securities loaned (cost $6,099,662) | $ | 9,585,822 | ||
Repurchase agreements, at value (cost $49,801) | 49,801 | |||
Total investments (cost $6,149,463) | 9,635,623 | |||
Cash | 2,684 | |||
Receivables: | ||||
Fund shares sold | 397,163 | |||
Dividends | 6,976 | |||
Securities lending income | 928 | |||
Total assets | 10,043,374 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 385,369 | |||
Return of securities loaned | 276,767 | |||
Fund shares redeemed | 52,978 | |||
Management fees | 7,725 | |||
Transfer agent and administrative fees | 2,272 | |||
Investor service fees | 2,272 | |||
Portfolio accounting fees | 909 | |||
Miscellaneous | 12,683 | |||
Total liabilities | 740,975 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 9,302,399 | ||
Net assets consist of: | ||||
Paid in capital | $ | 7,313,638 | ||
Accumulated net investment loss | (8,618 | ) | ||
Accumulated net realized loss on investments | (1,488,781 | ) | ||
Net unrealized appreciation on investments | 3,486,160 | |||
Net assets | $ | 9,302,399 | ||
Capital shares outstanding | 137,269 | |||
Net asset value per share | $ | 67.77 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends | $ | 69,699 | ||
Income from securities lending, net | 5,892 | |||
Interest | 190 | |||
Total investment income | 75,781 | |||
Expenses: | ||||
Management fees | 42,236 | |||
Transfer agent and administrative fees | 12,422 | |||
Investor service fees | 12,422 | |||
Portfolio accounting fees | 4,969 | |||
Professional fees | 8,303 | |||
Custodian fees | 872 | |||
Trustees’ fees* | 564 | |||
Line of credit fees | 13 | |||
Miscellaneous | 2,598 | |||
Total expenses | 84,399 | |||
Net investment loss | (8,618 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 302,167 | |||
Net realized gain | 302,167 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 617,663 | |||
Net change in unrealized appreciation (depreciation) | 617,663 | |||
Net realized and unrealized gain | 919,830 | |||
Net increase in net assets resulting from operations | $ | 911,212 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ELECTRONICS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (8,618 | ) | $ | (9,676 | ) | ||
Net realized gain on investments | 302,167 | 584,086 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 617,663 | 694,823 | ||||||
Net increase in net assets resulting from operations | 911,212 | 1,269,233 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 15,966,925 | 27,911,794 | ||||||
Cost of shares redeemed | (16,285,112 | ) | (25,845,937 | ) | ||||
Net increase (decrease) from capital share transactions | (318,187 | ) | 2,065,857 | |||||
Net increase in net assets | 593,025 | 3,335,090 | ||||||
Net assets: | ||||||||
Beginning of period | 8,709,374 | 5,374,284 | ||||||
End of period | $ | 9,302,399 | $ | 8,709,374 | ||||
Accumulated net investment loss at end of period | $ | (8,618 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 240,054 | 517,839 | ||||||
Shares redeemed | (245,675 | ) | (484,563 | ) | ||||
Net increase (decrease) in shares | (5,621 | ) | 33,276 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
ELECTRONICS FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 60.95 | $ | 49.03 | $ | 48.01 | $ | 38.81 | $ | 28.78 | $ | 28.52 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.06 | ) | (.07 | ) | (.15 | ) | (.01 | ) | — | c | .06 | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 6.88 | 11.99 | 1.17 | 9.21 | 10.12 | .20 | ||||||||||||||||||
Total from investment operations | 6.82 | 11.92 | 1.02 | 9.20 | 10.12 | .26 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | (.09 | ) | — | |||||||||||||||||
Total distributions | — | — | — | — | (.09 | ) | — | |||||||||||||||||
Net asset value, end of period | $ | 67.77 | $ | 60.95 | $ | 49.03 | $ | 48.01 | $ | 38.81 | $ | 28.78 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnd | 11.17 | % | 24.34 | % | 2.10 | % | 23.74 | % | 35.05 | % | 1.05 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,302 | $ | 8,709 | $ | 5,374 | $ | 7,410 | $ | 3,261 | $ | 3,860 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.17 | %) | (0.14 | %) | (0.31 | %) | (0.01 | %) | 0.02 | % | 0.19 | % | ||||||||||||
Total expenses | 1.70 | % | 1.66 | % | 1.59 | % | 1.66 | % | 1.64 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 145 | % | 362 | % | 351 | % | 381 | % | 745 | % | 910 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Net investment income is less than $0.01 per share. |
d | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2013 have been restated to reflect a 1:10 reverse share split effective April 5, 2013. |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
ENERGY FUND
OBJECTIVE: Seeks to provide 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”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 29, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Exxon Mobil Corp. | 6.0% |
Chevron Corp. | 4.6% |
Schlumberger Ltd. | 3.2% |
EOG Resources, Inc. | 2.5% |
ConocoPhillips | 2.4% |
Occidental Petroleum Corp. | 2.3% |
Phillips 66 | 2.2% |
Kinder Morgan, Inc. | 2.2% |
Halliburton Co. | 2.0% |
Valero Energy Corp. | 1.8% |
Top Ten Total | 29.2% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Energy Fund | (18.22%) | (6.77%) | (3.89%) | (3.25%) |
S&P 500 Energy Index | (12.61%) | (4.14%) | 1.64% | 1.28% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and S&P 500 Energy Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
ENERGY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.2% | ||||||||
Oil & Gas - 70.8% | ||||||||
Exxon Mobil Corp. | 12,604 | $ | 1,017,522 | |||||
Chevron Corp. | 7,389 | 770,894 | ||||||
EOG Resources, Inc. | 4,620 | 418,202 | ||||||
ConocoPhillips | 9,168 | 403,025 | ||||||
Occidental Petroleum Corp. | 6,388 | 382,450 | ||||||
Phillips 66 | 4,444 | 367,474 | ||||||
Valero Energy Corp. | 4,555 | 307,280 | ||||||
Pioneer Natural Resources Co. | 1,875 | 299,213 | ||||||
Anadarko Petroleum Corp. | 6,472 | 293,440 | ||||||
Marathon Petroleum Corp. | 5,501 | 287,867 | ||||||
Concho Resources, Inc.* | 2,104 | 255,699 | ||||||
Petroleo Brasileiro S.A. ADR* | 30,986 | 247,578 | ||||||
Devon Energy Corp. | 7,559 | 241,661 | ||||||
Apache Corp. | 4,976 | 238,500 | ||||||
BP plc ADR | 6,345 | 219,854 | ||||||
Hess Corp. | 4,958 | 217,507 | ||||||
Continental Resources, Inc.* | 6,388 | 206,524 | ||||||
Noble Energy, Inc. | 7,060 | 199,798 | ||||||
Cabot Oil & Gas Corp. — Class A | 7,752 | 194,420 | ||||||
Parsley Energy, Inc. — Class A* | 6,570 | 182,318 | ||||||
Tesoro Corp. | 1,918 | 179,507 | ||||||
Cimarex Energy Co. | 1,904 | 178,995 | ||||||
Marathon Oil Corp. | 15,099 | 178,923 | ||||||
Equities Corp. | 3,016 | 176,707 | ||||||
Diamondback Energy, Inc.* | 1,982 | 176,021 | ||||||
Royal Dutch Shell plc — Class A ADR | 3,138 | 166,910 | ||||||
Rice Energy, Inc.* | 5,750 | 153,123 | ||||||
Transocean Ltd.* | 18,552 | 152,683 | ||||||
RSP Permian, Inc.* | 4,310 | 139,084 | ||||||
Newfield Exploration Co.* | 4,853 | 138,116 | ||||||
Antero Resources Corp.* | 6,390 | 138,088 | ||||||
Encana Corp. | 15,644 | 137,667 | ||||||
Helmerich & Payne, Inc.1 | 2,500 | 135,850 | ||||||
Range Resources Corp. | 5,825 | 134,965 | ||||||
Canadian Natural Resources Ltd. | 4,574 | 131,914 | ||||||
Suncor Energy, Inc. | 4,370 | 127,604 | ||||||
HollyFrontier Corp. | 4,575 | 125,675 | ||||||
Energen Corp.* | 2,499 | 123,376 | ||||||
WPX Energy, Inc.* | 12,676 | 122,450 | ||||||
Murphy Oil Corp. | 4,740 | 121,486 | ||||||
Patterson-UTI Energy, Inc. | 5,941 | 119,949 | ||||||
Chesapeake Energy Corp.*,1 | 24,076 | 119,658 | ||||||
Centennial Resource Development, Inc. — Class A*,1 | 6,910 | 109,316 | ||||||
Gulfport Energy Corp.* | 6,841 | 100,905 | ||||||
Southwestern Energy Co.* | 16,221 | 98,624 | ||||||
PDC Energy, Inc.* | 2,278 | 98,205 | ||||||
QEP Resources, Inc.* | 9,544 | 96,394 | ||||||
Kosmos Energy Ltd.* | 14,730 | 94,419 | ||||||
Ensco plc — Class A | 18,168 | 93,747 | ||||||
Laredo Petroleum, Inc.* | 8,894 | 93,565 | ||||||
Callon Petroleum Co.* | 8,550 | 90,716 | ||||||
Extraction Oil & Gas, Inc.*,1 | 6,710 | 90,250 | ||||||
Whiting Petroleum Corp.*,1 | 16,087 | 88,639 | ||||||
PBF Energy, Inc. — Class A1 | 3,945 |
| 87,816 | |||||
Nabors Industries Ltd. | 10,591 | 86,211 | ||||||
Matador Resources Co.* | 3,980 | 85,053 | ||||||
Oasis Petroleum, Inc.* | 10,191 | 82,038 | ||||||
SM Energy Co. | 4,848 | 80,137 | ||||||
Delek US Holdings, Inc. | 2,740 | 72,446 | ||||||
SRC Energy, Inc.*,1 | 10,097 | 67,953 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 6,107 | 66,139 | ||||||
Carrizo Oil & Gas, Inc.* | 3,671 | 63,949 | ||||||
Rowan Companies plc — Class A* | 5,795 | 59,341 | ||||||
Statoil ASA ADR | 2,980 | 49,259 | ||||||
Resolute Energy Corp.* | 1,621 | 48,257 | ||||||
Atwood Oceanics, Inc.* | 5,620 | 45,803 | ||||||
Sanchez Energy Corp.*,1 | 5,900 | 42,362 | ||||||
California Resources Corp.*,1 | 3,751 | 32,071 | ||||||
Total Oil & Gas | 11,953,592 | |||||||
Oil & Gas Services - 13.6% | ||||||||
Schlumberger Ltd. | 8,118 | 534,489 | ||||||
Halliburton Co. | 7,944 | 339,288 | ||||||
Baker Hughes, Inc. | 4,802 | 261,757 | ||||||
National Oilwell Varco, Inc. | 5,996 | 197,508 | ||||||
TechnipFMC plc* | 5,473 | 148,866 | ||||||
RPC, Inc.1 | 5,608 | 113,338 | ||||||
McDermott International, Inc.* | 11,710 | 83,961 | ||||||
Oceaneering International, Inc. | 3,561 | 81,333 | ||||||
Keane Group, Inc.*,1 | 4,780 | 76,480 | ||||||
Core Laboratories N.V. | 741 | 75,041 | ||||||
Dril-Quip, Inc.* | 1,527 | 74,518 | ||||||
Superior Energy Services, Inc.* | 6,975 | 72,749 | ||||||
Forum Energy Technologies, Inc.* | 4,270 | 66,612 | ||||||
Oil States International, Inc.* | 2,436 | 66,137 | ||||||
Basic Energy Services, Inc.* | 2,095 | 52,166 | ||||||
Helix Energy Solutions Group, Inc.* | 9,167 | 51,702 | ||||||
Total Oil & Gas Services | 2,295,945 | |||||||
Pipelines - 10.3% | ||||||||
Kinder Morgan, Inc. | 19,069 | 365,362 | ||||||
Williams Companies, Inc. | 9,622 | 291,354 | ||||||
Cheniere Energy, Inc.* | 4,109 | 200,149 | ||||||
ONEOK, Inc. | 3,699 | 192,940 | ||||||
Targa Resources Corp. | 4,140 | 187,128 | ||||||
Enbridge, Inc. | 4,294 | 170,944 | ||||||
Plains GP Holdings, LP — Class A | 6,521 | 170,589 | ||||||
SemGroup Corp. — Class A | 3,243 | 87,561 | ||||||
TransCanada Corp. | 1,550 | 73,889 | ||||||
Total Pipelines | 1,739,916 | |||||||
Coal - 1.6% | ||||||||
CONSOL Energy, Inc.* | 6,986 | 104,370 | ||||||
Peabody Energy Corp.*,1 | 3,610 | 88,265 | ||||||
Arch Coal, Inc. — Class A | 1,140 | 77,862 | ||||||
Total Coal | 270,497 |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
ENERGY FUND |
| Shares | Value | ||||||
Mining - 0.9% | ||||||||
US Silica Holdings, Inc. | 2,825 | $ | 100,259 | |||||
Fairmount Santrol Holdings, Inc.*,1 | 14,573 | 56,835 | ||||||
Total Mining | 157,094 | |||||||
Metal Fabricate & Hardware - 0.6% | ||||||||
Tenaris S.A. ADR | 3,260 | 101,516 | ||||||
Retail - 0.6% | ||||||||
World Fuel Services Corp. | 2,460 | 94,587 | ||||||
Transportation - 0.5% | ||||||||
Golar LNG Ltd. | 3,592 | 79,922 | ||||||
Energy-Alternate Sources - 0.3% | ||||||||
Green Plains, Inc. | 2,383 | 48,971 | ||||||
Total Common Stocks | ||||||||
(Cost $10,125,657) | 16,742,040 |
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
HSBC Securities, Inc. | $ | 71,939 |
| 71,939 | ||||
Bank of America Merrill Lynch | 26,640 | 26,640 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $98,579) | 98,579 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 5.2% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 880,204 | 880,204 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $880,204) | 880,204 | |||||||
Total Investments - 105.0% | ||||||||
(Cost $11,104,440) | $ | 17,720,823 | ||||||
Other Assets & Liabilities, net - (5.0)% | (840,146 | ) | ||||||
Total Net Assets - 100.0% | $ | 16,880,677 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 16,742,040 | $ | — | $ | — | $ | 16,742,040 | ||||||||
Repurchase Agreements | — | 98,579 | — | 98,579 | ||||||||||||
Securities Lending Collateral | 880,204 | — | — | 880,204 | ||||||||||||
Total Assets | $ | 17,622,244 | $ | 98,579 | $ | — | $ | 17,720,823 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
ENERGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $848,065 of securities loaned (cost $11,005,861) | $ | 17,622,244 | ||
Repurchase agreements, at value (cost $98,579) | 98,579 | |||
Total investments (cost $11,104,440) | 17,720,823 | |||
Cash | 233 | |||
Receivables: | ||||
Fund shares sold | 69,989 | |||
Dividends | 11,681 | |||
Interest | 3 | |||
Securities lending income | 522 | |||
Total assets | 17,803,251 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 880,204 | |||
Management fees | 11,957 | |||
Transfer agent and administrative fees | 3,517 | |||
Investor service fees | 3,517 | |||
Fund shares redeemed | 3,240 | |||
Portfolio accounting fees | 1,406 | |||
Miscellaneous | 18,733 | |||
Total liabilities | 922,574 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 16,880,677 | ||
Net assets consist of: | ||||
Paid in capital | $ | 20,833,779 | ||
Undistributed net investment income | 131,482 | |||
Accumulated net realized loss on investments | (10,700,967 | ) | ||
Net unrealized appreciation on investments | 6,616,383 | |||
Net assets | $ | 16,880,677 | ||
Capital shares outstanding | 257,710 | |||
Net asset value per share | $ | 65.50 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $2,677) | $ | 215,842 | ||
Income from securities lending, net | 1,673 | |||
Interest | 359 | |||
Total investment income | 217,874 | |||
Expenses: | ||||
Management fees | 98,289 | |||
Transfer agent and administrative fees | 28,909 | |||
Investor service fees | 28,909 | |||
Portfolio accounting fees | 11,563 | |||
Professional fees | 27,740 | |||
Custodian fees | 2,256 | |||
Trustees’ fees* | 1,774 | |||
Line of credit fees | 51 | |||
Miscellaneous | (2,999 | ) | ||
Total expenses | 196,492 | |||
Net investment income | 21,382 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 586,869 | |||
Net realized gain | 586,869 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (5,223,698 | ) | ||
Net change in unrealized appreciation (depreciation) | (5,223,698 | ) | ||
Net realized and unrealized loss | (4,636,829 | ) | ||
Net decrease in net assets resulting from operations | $ | (4,615,447 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ENERGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 21,382 | $ | 101,689 | ||||
Net realized gain (loss) on investments | 586,869 | (2,039,832 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (5,223,698 | ) | 8,926,153 | |||||
Net increase (decrease) in net assets resulting from operations | (4,615,447 | ) | 6,988,010 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (213,292 | ) | |||||
Total distributions to shareholders | — | (213,292 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 90,985,227 | 78,330,244 | ||||||
Distributions reinvested | — | 213,292 | ||||||
Cost of shares redeemed | (97,606,333 | ) | (76,883,259 | ) | ||||
Net increase (decrease) from capital share transactions | (6,621,106 | ) | 1,660,277 | |||||
Net increase (decrease) in net assets | (11,236,553 | ) | 8,434,995 | |||||
Net assets: | ||||||||
Beginning of period | 28,117,230 | 19,682,235 | ||||||
End of period | $ | 16,880,677 | $ | 28,117,230 | ||||
Undistributed net investment income at end of period | $ | 131,482 | $ | 110,100 | ||||
Capital share activity: | ||||||||
Shares sold | 1,181,522 | 1,123,475 | * | |||||
Shares issued from reinvestment of distributions | — | 3,004 | * | |||||
Shares redeemed | (1,274,863 | ) | (1,095,831 | )* | ||||
Net increase (decrease) in shares | (93,341 | ) | 30,648 | * |
* | Capital share activity for the year ended December 31, 2016, has been restated to reflect a 1:4 reverse share split effective December 1, 2016 — See Note 9. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
ENERGY FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 80.09 | $ | 61.43 | $ | 90.41 | $ | 123.98 | $ | 102.07 | $ | 116.96 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .07 | .08 | .76 | .48 | .20 | .24 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (14.66 | ) | 18.72 | (27.58 | ) | (21.93 | ) | 23.75 | 2.15 | |||||||||||||||
Total from investment operations | (14.59 | ) | 18.80 | (26.82 | ) | (21.45 | ) | 23.95 | 2.39 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.14 | ) | (.36 | ) | (.12 | ) | (.24 | ) | — | ||||||||||||||
Net realized gains | — | — | (1.80 | ) | (12.00 | ) | (1.80 | ) | (17.28 | ) | ||||||||||||||
Total distributions | — | (.14 | ) | (2.16 | ) | (12.12 | ) | (2.04 | ) | (17.28 | ) | |||||||||||||
Net asset value, end of period | $ | 65.50 | $ | 80.09 | $ | 61.43 | $ | 90.41 | $ | 123.98 | $ | 102.07 | ||||||||||||
Total Return c | (18.22 | %) | 31.37 | % | (30.22 | %) | (18.62 | %) | 23.47 | % | 2.40 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 16,881 | $ | 28,117 | $ | 19,682 | $ | 26,560 | $ | 21,913 | $ | 21,896 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.18 | % | 0.42 | % | 0.91 | % | 0.38 | % | 0.18 | % | 0.20 | % | ||||||||||||
Total expenses | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | 1.64 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 394 | % | 293 | % | 121 | % | 214 | % | 190 | % | 155 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:4 reverse share split effective December 1, 2016 — See Note 9. |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
ENERGY SERVICES FUND
OBJECTIVE: Seeks to provide 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”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 2, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Schlumberger Ltd. | 15.8% |
Halliburton Co. | 10.0% |
Baker Hughes, Inc. | 7.7% |
National Oilwell Varco, Inc. | 5.8% |
Helmerich & Payne, Inc. | 4.0% |
Transocean Ltd. | 3.8% |
TechnipFMC plc | 3.7% |
Patterson-UTI Energy, Inc. | 3.5% |
RPC, Inc. | 3.3% |
US Silica Holdings, Inc. | 3.0% |
Top Ten Total | 60.6% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Energy Services Fund | (26.57%) | (15.43%) | (9.82%) | (7.46%) |
S&P 500 Energy Index | (12.61%) | (4.14%) | 1.64% | 1.28% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and S&P 500 Energy Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
ENERGY SERVICES FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.2% | ||||||||
Oil & Gas Services - 68.4% | ||||||||
Schlumberger Ltd. | 23,407 | $ | 1,541,116 | |||||
Halliburton Co. | 22,901 | 978,101 | ||||||
Baker Hughes, Inc. | 13,855 | 755,235 | ||||||
National Oilwell Varco, Inc. | 17,300 | 569,863 | ||||||
TechnipFMC plc* | 13,318 | 362,250 | ||||||
RPC, Inc.1 | 16,170 | 326,796 | ||||||
McDermott International, Inc.* | 33,764 | 242,088 | ||||||
Oceaneering International, Inc. | 10,255 | 234,224 | ||||||
Keane Group, Inc.*,1 | 13,780 | 220,480 | ||||||
Dril-Quip, Inc.* | 4,403 | 214,866 | ||||||
Superior Energy Services, Inc.* | 20,104 | 209,685 | ||||||
Core Laboratories N.V. | 2,006 | 203,148 | ||||||
Forum Energy Technologies, Inc.* | 12,317 | 192,145 | ||||||
Oil States International, Inc.* | 7,028 | 190,810 | ||||||
Helix Energy Solutions Group, Inc.* | 26,420 | 149,009 | ||||||
C&J Energy Services, Inc.* | 3,570 | 122,344 | ||||||
Bristow Group, Inc.1 | 11,238 | 85,971 | ||||||
Basic Energy Services, Inc.* | 3,020 | 75,198 | ||||||
Total Oil & Gas Services | 6,673,329 | |||||||
Oil & Gas - 23.1% | ||||||||
Helmerich & Payne, Inc.1 | 7,193 | 390,868 | ||||||
Transocean Ltd.* | 44,935 | 369,815 | ||||||
Patterson-UTI Energy, Inc. | 17,128 | 345,814 | ||||||
Nabors Industries Ltd. | 30,529 | 248,506 | ||||||
Ensco plc — Class A | 46,681 | 240,874 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 17,609 | 190,705 | ||||||
Rowan Companies plc — Class A* | 16,719 | 171,203 | ||||||
Unit Corp.* | 8,648 | 161,977 | ||||||
Atwood Oceanics, Inc.* | 16,218 | 132,177 | ||||||
Total Oil & Gas | 2,251,939 | |||||||
Mining - 4.6% | ||||||||
US Silica Holdings, Inc. | 8,147 | 289,137 | ||||||
Fairmount Santrol Holdings, Inc.*,1 | 42,017 | 163,866 | ||||||
Total Mining | 453,003 | |||||||
Metal Fabricate & Hardware - 2.7% | ||||||||
Tenaris S.A. ADR | 8,435 |
| 262,666 | |||||
Transportation - 0.4% | ||||||||
Hornbeck Offshore Services, Inc.*,1 | 13,006 | 36,807 | ||||||
Total Common Stocks | ||||||||
(Cost $7,146,920) | 9,677,744 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.5% | ||||||||
HSBC Securities, Inc. | $ | 36,564 | 36,564 | |||||
Bank of America Merrill Lynch | 13,540 | 13,540 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $50,104) | 50,104 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 10.2% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 999,734 | 999,734 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $999,734) | 999,734 | |||||||
Total Investments - 109.9% | ||||||||
(Cost $8,196,758) | $ | 10,727,582 | ||||||
Other Assets & Liabilities, net - (9.9)% | (966,511 | ) | ||||||
Total Net Assets - 100.0% | $ | 9,761,071 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
ENERGY SERVICES FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 9,677,744 | $ | — | $ | — | $ | 9,677,744 | ||||||||
Repurchase Agreements | — | 50,104 | — | 50,104 | ||||||||||||
Securities Lending Collateral | 999,734 | — | — | 999,734 | ||||||||||||
Total Assets | $ | 10,677,478 | $ | 50,104 | $ | — | $ | 10,727,582 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
ENERGY SERVICES FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $966,631 of securities loaned (cost $8,146,654) | $ | 10,677,478 | ||
Repurchase agreements, at value (cost $50,104) | 50,104 | |||
Total investments (cost $8,196,758) | 10,727,582 | |||
Cash | 749 | |||
Receivables: | ||||
Fund shares sold | 42,873 | |||
Dividends | 13,258 | |||
Securities lending income | 353 | |||
Total assets | 10,784,815 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 999,734 | |||
Management fees | 6,456 | |||
Transfer agent and administrative fees | 1,899 | |||
Investor service fees | 1,899 | |||
Fund shares redeemed | 868 | |||
Portfolio accounting fees | 759 | |||
Miscellaneous | 12,129 | |||
Total liabilities | 1,023,744 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 9,761,071 | ||
Net assets consist of: | ||||
Paid in capital | $ | 16,227,647 | ||
Accumulated net investment loss | (33,017 | ) | ||
Accumulated net realized loss on investments | (8,964,383 | ) | ||
Net unrealized appreciation on investments | 2,530,824 | |||
Net assets | $ | 9,761,071 | ||
Capital shares outstanding | 187,732 | |||
Net asset value per share | $ | 51.99 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $341) | $ | 67,604 | ||
Income from securities lending, net | 1,829 | |||
Interest | 214 | |||
Total investment income | 69,647 | |||
Expenses: | ||||
Management fees | 51,367 | |||
Transfer agent and administrative fees | 15,108 | |||
Investor service fees | 15,108 | |||
Portfolio accounting fees | 6,043 | |||
Professional fees | 13,721 | |||
Custodian fees | 1,181 | |||
Trustees’ fees* | 906 | |||
Line of credit fees | 8 | |||
Miscellaneous | (778 | ) | ||
Total expenses | 102,664 | |||
Net investment loss | (33,017 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (270,544 | ) | ||
Net realized loss | (270,544 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (3,147,590 | ) | ||
Net change in unrealized appreciation (depreciation) | (3,147,590 | ) | ||
Net realized and unrealized loss | (3,418,134 | ) | ||
Net decrease in net assets resulting from operations | $ | (3,451,151 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ENERGY SERVICES FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (33,017 | ) | $ | (30,093 | ) | ||
Net realized loss on investments | (270,544 | ) | (1,276,203 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (3,147,590 | ) | 3,530,932 | |||||
Net increase (decrease) in net assets resulting from operations | (3,451,151 | ) | 2,224,636 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (118,384 | ) | |||||
Total distributions to shareholders | — | (118,384 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 22,553,076 | 35,269,693 | ||||||
Distributions reinvested | — | 118,384 | ||||||
Cost of shares redeemed | (23,111,281 | ) | (35,199,321 | ) | ||||
Net increase (decrease) from capital share transactions | (558,205 | ) | 188,756 | |||||
Net increase (decrease) in net assets | (4,009,356 | ) | 2,295,008 | |||||
Net assets: | ||||||||
Beginning of period | 13,770,427 | 11,475,419 | ||||||
End of period | $ | 9,761,071 | $ | 13,770,427 | ||||
Accumulated net investment loss at end of period | $ | (33,017 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 363,190 | 593,091 | * | |||||
Shares issued from reinvestment of distributions | — | 1,921 | * | |||||
Shares redeemed | (369,949 | ) | (598,357 | )* | ||||
Net decrease in shares | (6,759 | ) | (3,345 | )* |
* | Capital share activity for the year ended December 31, 2016, has been restated to reflect a 1:6 reverse share split effective December 1, 2016 — See Note 9. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
ENERGY SERVICES FUND |
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.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 70.80 | $ | 58.00 | $ | 85.24 | $ | 132.25 | $ | 111.01 | $ | 133.38 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.17 | ) | (.03 | ) | .66 | .36 | (.54 | ) | (.42 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (18.64 | ) | 12.92 | (27.60 | ) | (37.41 | ) | 27.12 | .25 | |||||||||||||||
Total from investment operations | (18.81 | ) | 12.89 | (26.94 | ) | (37.05 | ) | 26.58 | (.17 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.09 | ) | (.30 | ) | — | — | — | ||||||||||||||||
Net realized gains | — | — | — | (9.96 | ) | (5.34 | ) | (22.20 | ) | |||||||||||||||
Total distributions | — | (.09 | ) | (.30 | ) | (9.96 | ) | (5.34 | ) | (22.20 | ) | |||||||||||||
Net asset value, end of period | $ | 51.99 | $ | 70.80 | $ | 58.00 | $ | 85.24 | $ | 132.25 | $ | 111.01 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (26.57 | %) | 23.15 | % | (31.70 | %) | (29.34 | %) | 23.89 | % | 0.40 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,761 | $ | 13,770 | $ | 11,475 | $ | 15,843 | $ | 16,101 | $ | 14,226 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.55 | %) | (0.26 | %) | 0.85 | % | 0.29 | % | (0.42 | %) | (0.31 | %) | ||||||||||||
Total expenses | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | 1.64 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 177 | % | 291 | % | 175 | % | 220 | % | 261 | % | 240 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Reverse Share Split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:6 reverse share split effective December 1, 2016 — See Note 9. |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
FINANCIAL SERVICES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the financial services sector (“Financial Services Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: July 20, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Berkshire Hathaway, Inc. — Class B | 2.4% |
JPMorgan Chase & Co. | 2.1% |
Wells Fargo & Co. | 1.9% |
Bank of America Corp. | 1.8% |
Citigroup, Inc. | 1.6% |
Goldman Sachs Group, Inc. | 1.1% |
U.S. Bancorp | 1.1% |
Morgan Stanley | 1.0% |
American Express Co. | 1.0% |
BlackRock, Inc. — Class A | 1.0% |
Top Ten Total | 15.0% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Financial Services Fund | 5.93% | 22.40% | 13.33% | 0.32% |
S&P 500 Financials Index | 6.88% | 35.37% | 18.00% | 0.39% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and S&P 500 Financials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
FINANCIAL SERVICES FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.2% | ||||||||
REITs - 30.6% | ||||||||
American Tower Corp. — Class A | 932 | $ | 123,322 | |||||
Simon Property Group, Inc. | 707 | 114,365 | ||||||
Crown Castle International Corp. | 993 | 99,479 | ||||||
Equinix, Inc. | 227 | 97,419 | ||||||
Public Storage | 466 | 97,175 | ||||||
Prologis, Inc. | 1,520 | 89,133 | ||||||
Welltower, Inc. | 1,129 | 84,507 | ||||||
AvalonBay Communities, Inc. | 438 | 84,169 | ||||||
Weyerhaeuser Co. | 2,423 | 81,171 | ||||||
Ventas, Inc. | 1,159 | 80,527 | ||||||
Equity Residential | 1,179 | 77,614 | ||||||
GGP, Inc. | 2,981 | 70,232 | ||||||
SBA Communications Corp.* | 508 | 68,529 | ||||||
Digital Realty Trust, Inc. | 606 | 68,448 | ||||||
Boston Properties, Inc. | 556 | 68,398 | ||||||
Vornado Realty Trust | 720 | 67,608 | ||||||
Essex Property Trust, Inc.1 | 257 | 66,118 | ||||||
Realty Income Corp. | 1,123 | 61,967 | ||||||
HCP, Inc. | 1,938 | 61,938 | ||||||
Host Hotels & Resorts, Inc. | 3,190 | 58,282 | ||||||
Annaly Capital Management, Inc. | 4,595 | 55,370 | ||||||
Alexandria Real Estate Equities, Inc. | 450 | 54,211 | ||||||
Mid-America Apartment Communities, Inc. | 508 | 53,533 | ||||||
SL Green Realty Corp. | 502 | 53,112 | ||||||
Extra Space Storage, Inc. | 661 | 51,558 | ||||||
Regency Centers Corp. | 820 | 51,364 | ||||||
UDR, Inc.1 | 1,311 | 51,090 | ||||||
Duke Realty Corp. | 1,787 | 49,947 | ||||||
Iron Mountain, Inc. | 1,440 | 49,478 | ||||||
Federal Realty Investment Trust | 389 | 49,166 | ||||||
Gaming and Leisure Properties, Inc. | 1,250 | 47,088 | ||||||
Macerich Co. | 790 | 45,867 | ||||||
Colony NorthStar, Inc. — Class A | 3,200 | 45,088 | ||||||
VEREIT, Inc. | 5,478 | 44,591 | ||||||
Equity LifeStyle Properties, Inc. | 515 | 44,465 | ||||||
Lamar Advertising Co. — Class A | 590 | 43,406 | ||||||
AGNC Investment Corp. | 2,024 | 43,091 | ||||||
Camden Property Trust | 503 | 43,012 | ||||||
Kilroy Realty Corp. | 566 | 42,535 | ||||||
Invitation Homes, Inc. | 1,960 | 42,395 | ||||||
Kimco Realty Corp. | 2,285 | 41,930 | ||||||
Omega Healthcare Investors, Inc. | 1,253 | 41,374 | ||||||
Apartment Investment & Management Co. — Class A | 959 | 41,208 | ||||||
American Campus Communities, Inc. | 858 | 40,583 | ||||||
Forest City Realty Trust, Inc. — Class A | 1,656 | 40,026 | ||||||
American Homes 4 Rent — Class A | 1,754 | 39,588 | ||||||
Starwood Property Trust, Inc. | 1,733 | 38,802 | ||||||
Douglas Emmett, Inc. | 1,015 | 38,783 | ||||||
National Retail Properties, Inc. | 990 | 38,709 | ||||||
Liberty Property Trust | 948 | 38,593 | ||||||
Healthcare Trust of America, Inc. — Class A | 1,240 | 38,576 | ||||||
Park Hotels & Resorts, Inc. | 1,380 | 37,205 | ||||||
CoreSite Realty Corp. | 350 |
| 36,236 | |||||
EPR Properties | 500 | 35,935 | ||||||
Highwoods Properties, Inc. | 703 | 35,649 | ||||||
Hudson Pacific Properties, Inc. | 1,041 | 35,592 | ||||||
CyrusOne, Inc. | 632 | 35,234 | ||||||
Brixmor Property Group, Inc. | 1,965 | 35,134 | ||||||
DuPont Fabros Technology, Inc. | 570 | 34,861 | ||||||
DCT Industrial Trust, Inc. | 652 | 34,843 | ||||||
Senior Housing Properties Trust | 1,704 | 34,830 | ||||||
Hospitality Properties Trust | 1,183 | 34,484 | ||||||
Medical Properties Trust, Inc. | 2,676 | 34,440 | ||||||
CubeSmart | 1,415 | 34,017 | ||||||
New Residential Investment Corp. | 2,177 | 33,874 | ||||||
Gramercy Property Trust | 1,133 | 33,661 | ||||||
STORE Capital Corp. | 1,464 | 32,867 | ||||||
Uniti Group, Inc. | 1,274 | 32,028 | ||||||
Equity Commonwealth* | 1,013 | 32,011 | ||||||
Taubman Centers, Inc. | 531 | 31,621 | ||||||
Healthcare Realty Trust, Inc. | 908 | 31,008 | ||||||
GEO Group, Inc. | 1,040 | 30,753 | ||||||
Cousins Properties, Inc. | 3,451 | 30,334 | ||||||
Weingarten Realty Investors | 1,005 | 30,251 | ||||||
Sunstone Hotel Investors, Inc. | 1,856 | 29,919 | ||||||
Life Storage, Inc. | 401 | 29,714 | ||||||
Spirit Realty Capital, Inc. | 3,938 | 29,181 | ||||||
Corporate Office Properties Trust | 832 | 29,145 | ||||||
CoreCivic, Inc. | 1,049 | 28,931 | ||||||
LaSalle Hotel Properties | 963 | 28,697 | ||||||
Brandywine Realty Trust | 1,617 | 28,346 | ||||||
DDR Corp. | 3,116 | 28,262 | ||||||
Physicians Realty Trust | 1,370 | 27,592 | ||||||
Education Realty Trust, Inc. | 702 | 27,203 | ||||||
Tanger Factory Outlet Centers, Inc. | 970 | 25,201 | ||||||
RLJ Lodging Trust | 1,254 | 24,917 | ||||||
Pebblebrook Hotel Trust1 | 732 | 23,600 | ||||||
DiamondRock Hospitality Co. | 2,131 | 23,334 | ||||||
Retail Opportunity Investments Corp. | 1,165 | 22,356 | ||||||
Washington Prime Group, Inc. | 2,328 | 19,485 | ||||||
CBL & Associates Properties, Inc.1 | 2,190 | 18,462 | ||||||
Government Properties Income Trust | 892 | 16,333 | ||||||
Total REITs | 4,256,486 | |||||||
Banks - 30.1% | ||||||||
JPMorgan Chase & Co. | 3,260 | 297,963 | ||||||
Wells Fargo & Co. | 4,893 | 271,120 | ||||||
Bank of America Corp. | 10,478 | 254,196 | ||||||
Citigroup, Inc. | 3,318 | 221,908 | ||||||
Goldman Sachs Group, Inc. | 699 | 155,108 | ||||||
U.S. Bancorp | 2,893 | 150,205 | ||||||
Morgan Stanley | 3,269 | 145,667 | ||||||
PNC Financial Services Group, Inc. | 1,017 | 126,993 | ||||||
Bank of New York Mellon Corp. | 2,295 | 117,091 | ||||||
Capital One Financial Corp. | 1,239 | 102,366 | ||||||
BB&T Corp. | 2,146 | 97,450 | ||||||
State Street Corp. | 1,023 | 91,794 | ||||||
SunTrust Banks, Inc. | 1,492 | 84,626 | ||||||
M&T Bank Corp. | 504 | 81,623 |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
FINANCIAL SERVICES FUND |
| Shares | Value | ||||||
Banco Bradesco S.A. ADR | 9,588 | $ | 81,498 | |||||
Deutsche Bank AG | 4,422 | 78,667 | ||||||
Northern Trust Corp. | 785 | 76,310 | ||||||
Toronto-Dominion Bank | 1,484 | 74,764 | ||||||
HSBC Holdings plc ADR | 1,609 | 74,642 | ||||||
Credit Suisse Group AG ADR* | 5,100 | 74,460 | ||||||
Royal Bank of Canada | 1,020 | 73,970 | ||||||
ICICI Bank Ltd. ADR | 8,169 | 73,277 | ||||||
KeyCorp | 3,863 | 72,393 | ||||||
Fifth Third Bancorp | 2,724 | 70,715 | ||||||
Regions Financial Corp. | 4,649 | 68,061 | ||||||
Citizens Financial Group, Inc. | 1,852 | 66,079 | ||||||
First Republic Bank | 620 | 62,061 | ||||||
Huntington Bancshares, Inc. | 4,575 | 61,854 | ||||||
Comerica, Inc.1 | 766 | 56,102 | ||||||
SVB Financial Group* | 277 | 48,694 | ||||||
Zions Bancorporation | 1,086 | 47,686 | ||||||
Signature Bank* | 320 | 45,930 | ||||||
East West Bancorp, Inc. | 784 | 45,927 | ||||||
Cullen/Frost Bankers, Inc.1 | 414 | 38,878 | ||||||
Commerce Bancshares, Inc. | 670 | 38,076 | ||||||
Bank of the Ozarks | 803 | 37,637 | ||||||
Synovus Financial Corp. | 842 | 37,250 | ||||||
PacWest Bancorp | 794 | 37,080 | ||||||
Webster Financial Corp. | 651 | 33,995 | ||||||
FNB Corp. | 2,370 | 33,559 | ||||||
IBERIABANK Corp. | 405 | 33,008 | ||||||
Prosperity Bancshares, Inc. | 509 | 32,698 | ||||||
Hancock Holding Co. | 660 | 32,340 | ||||||
First Horizon National Corp. | 1,844 | 32,122 | ||||||
Wintrust Financial Corp. | 420 | 32,105 | ||||||
United Bankshares, Inc. | 810 | 31,752 | ||||||
Umpqua Holdings Corp. | 1,707 | 31,341 | ||||||
Texas Capital Bancshares, Inc.* | 400 | 30,960 | ||||||
UMB Financial Corp. | 410 | 30,693 | ||||||
MB Financial, Inc. | 690 | 30,388 | ||||||
Home BancShares, Inc. | 1,170 | 29,133 | ||||||
Chemical Financial Corp. | 600 | 29,046 | ||||||
Fulton Financial Corp. | 1,500 | 28,500 | ||||||
Pinnacle Financial Partners, Inc. | 430 | 27,004 | ||||||
Cathay General Bancorp | 710 | 26,945 | ||||||
Canadian Imperial Bank of Commerce | 246 | 19,997 | ||||||
Total Banks | 4,185,707 | |||||||
Insurance - 19.5% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 1,962 | 332,304 | ||||||
MetLife, Inc. | 2,291 | 125,868 | ||||||
American International Group, Inc. | 1,995 | 124,727 | ||||||
Prudential Financial, Inc. | 1,013 | 109,546 | ||||||
Marsh & McLennan Companies, Inc. | 1,306 | 101,815 | ||||||
Hartford Financial Services Group, Inc. | 1,794 | 94,311 | ||||||
Travelers Cos., Inc. | 743 | 94,011 | ||||||
Allstate Corp. | 1,022 | 90,386 | ||||||
Aflac, Inc. | 1,150 | 89,332 | ||||||
Willis Towers Watson plc | 595 | 86,549 | ||||||
Chubb Ltd. | 595 | 86,501 | ||||||
Progressive Corp. | 1,835 | 80,905 | ||||||
Aon plc | 594 |
| 78,972 | |||||
Everest Re Group Ltd. | 283 | 72,049 | ||||||
XL Group Ltd. | 1,628 | 71,306 | ||||||
Arch Capital Group Ltd.* | 754 | 70,341 | ||||||
Principal Financial Group, Inc. | 1,067 | 68,363 | ||||||
Loews Corp. | 1,369 | 64,083 | ||||||
Lincoln National Corp. | 924 | 62,444 | ||||||
Markel Corp.* | 60 | 58,552 | ||||||
Cincinnati Financial Corp. | 753 | 54,555 | ||||||
Unum Group | 1,126 | 52,505 | ||||||
Arthur J Gallagher & Co. | 890 | 50,953 | ||||||
Athene Holding Ltd. — Class A* | 1,010 | 50,106 | ||||||
Torchmark Corp. | 630 | 48,195 | ||||||
Reinsurance Group of America, Inc. — Class A | 370 | 47,504 | ||||||
WR Berkley Corp. | 680 | 47,036 | ||||||
American Financial Group, Inc. | 470 | 46,704 | ||||||
Voya Financial, Inc. | 1,100 | 40,579 | ||||||
Brown & Brown, Inc. | 922 | 39,711 | ||||||
Assurant, Inc. | 376 | 38,987 | ||||||
First American Financial Corp. | 800 | 35,752 | ||||||
Old Republic International Corp. | 1,830 | 35,740 | ||||||
MGIC Investment Corp.* | 2,931 | 32,827 | ||||||
Primerica, Inc. | 400 | 30,300 | ||||||
Radian Group, Inc. | 1,822 | 29,790 | ||||||
Selective Insurance Group, Inc. | 531 | 26,577 | ||||||
AmTrust Financial Services, Inc.1 | 1,750 | 26,495 | ||||||
Genworth Financial, Inc. — Class A* | 5,898 | 22,235 | ||||||
Total Insurance | 2,718,916 | |||||||
Diversified Financial Services – 13.9% | ||||||||
American Express Co. | 1,703 | 143,460 | ||||||
BlackRock, Inc. — Class A | 322 | 136,015 | ||||||
Charles Schwab Corp. | 2,827 | 121,448 | ||||||
CME Group, Inc. — Class A | 817 | 102,321 | ||||||
Intercontinental Exchange, Inc. | 1,530 | 100,858 | ||||||
Franklin Resources, Inc. | 1,797 | 80,488 | ||||||
Discover Financial Services | 1,283 | 79,790 | ||||||
Synchrony Financial | 2,633 | 78,515 | ||||||
TD Ameritrade Holding Corp. | 1,803 | 77,511 | ||||||
Ameriprise Financial, Inc. | 541 | 68,864 | ||||||
T. Rowe Price Group, Inc. | 919 | 68,199 | ||||||
Interactive Brokers Group, Inc. — Class A | 1,700 | 63,614 | ||||||
Invesco Ltd. | 1,712 | 60,245 | ||||||
Nasdaq, Inc. | 766 | 54,761 | ||||||
Raymond James Financial, Inc. | 680 | 54,550 | ||||||
E*TRADE Financial Corp.* | 1,368 | 52,025 | ||||||
CBOE Holdings, Inc. | 569 | 52,007 | ||||||
CIT Group, Inc.1 | 1,045 | 50,892 | ||||||
Affiliated Managers Group, Inc.1 | 300 | 49,758 | ||||||
Ally Financial, Inc. | 2,360 | 49,324 | ||||||
SEI Investments Co. | 849 | 45,659 | ||||||
SLM Corp.* | 3,278 | 37,697 | ||||||
Eaton Vance Corp. | 780 | 36,910 | ||||||
Santander Consumer USA Holdings, Inc.* | 2,870 | 36,621 | ||||||
Credit Acceptance Corp.* | 140 | 36,000 | ||||||
Navient Corp. | 2,130 | 35,465 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
FINANCIAL SERVICES FUND |
Shares | Value | |||||||
LPL Financial Holdings, Inc. | 740 | $ | 31,420 | |||||
BGC Partners, Inc. — Class A | 2,450 | 30,968 | ||||||
Legg Mason, Inc. | 781 | 29,803 | ||||||
Federated Investors, Inc. — Class B | 970 | 27,403 | ||||||
LendingClub Corp.* | 4,352 | 23,980 | ||||||
WisdomTree Investments, Inc.1 | 1,910 | 19,425 | ||||||
Total Diversified Financial Services | 1,935,996 | |||||||
Commercial Services - 1.7% | ||||||||
S&P Global, Inc. | 663 | 96,791 | ||||||
Moody’s Corp. | 635 | 77,267 | ||||||
MarketAxess Holdings, Inc. | 210 | 42,231 | ||||||
LendingTree, Inc.* | 130 | 22,386 | ||||||
Total Commercial Services | 238,675 | |||||||
Savings & Loans - 1.1% | ||||||||
New York Community Bancorp, Inc. | 3,077 | 40,401 | ||||||
People’s United Financial, Inc. | 2,220 | 39,205 | ||||||
Investors Bancorp, Inc. | 2,392 | 31,957 | ||||||
Washington Federal, Inc. | 812 | 26,958 | ||||||
BofI Holding, Inc.*,1 | 844 | 20,020 | ||||||
Total Savings & Loans | 158,541 | |||||||
Real Estate - 1.0% | ||||||||
CBRE Group, Inc. — Class A* | 1,592 | 57,948 | ||||||
Jones Lang LaSalle, Inc. | 310 | 38,750 | ||||||
Realogy Holdings Corp. | 1,137 | 36,896 | ||||||
Total Real Estate | 133,594 | |||||||
Holding Companies-Diversified - 0.4% | ||||||||
Leucadia National Corp. | 1,906 | 49,861 | ||||||
Software - 0.3% | ||||||||
MSCI, Inc. — Class A | 460 | 47,375 | ||||||
Investment Companies - 0.3% | ||||||||
Ares Capital Corp. | 2,717 | 44,504 | ||||||
Media - 0.3% | ||||||||
FactSet Research Systems, Inc.1 | 250 | 41,545 | ||||||
Total Common Stocks | ||||||||
(Cost $9,240,221) | 13,811,200 | |||||||
PREFERRED STOCKS† - 0.6% | ||||||||
Financial - 0.6% | ||||||||
Itau Unibanco Holding S.A. ADR | 7,260 |
| 80,223 | |||||
Total Preferred Stocks | ||||||||
(Cost $55,801) | 80,223 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.3% | ||||||||
HSBC Securities, Inc. | $ | 31,151 | 31,151 | |||||
Bank of America Merrill Lynch | 11,535 | 11,535 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $42,686) | 42,686 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 1.8% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 251,945 | 251,945 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $251,945) | 251,945 | |||||||
Total Investments - 101.9% | ||||||||
(Cost $9,590,653) | $ | 14,186,054 | ||||||
Other Assets & Liabilities, net - (1.9)% | (270,526 | ) | ||||||
Total Net Assets - 100.0% | $ | 13,915,528 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
FINANCIAL SERVICES FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 13,811,200 | $ | — | $ | — | $ | 13,811,200 | ||||||||
Preferred Stocks | 80,223 | — | — | 80,223 | ||||||||||||
Repurchase Agreements | — | 42,686 | — | 42,686 | ||||||||||||
Securities Lending Collateral | 251,945 | — | — | 251,945 | ||||||||||||
Total Assets | $ | 14,143,368 | $ | 42,686 | $ | — | $ | 14,186,054 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
FINANCIAL SERVICES FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $245,382 of securities loaned (cost $9,547,967) | $ | 14,143,368 | ||
Repurchase agreements, at value (cost $42,686) | 42,686 | |||
Total investments (cost $9,590,653) | 14,186,054 | |||
Cash | 343 | |||
Receivables: | ||||
Fund shares sold | 855 | |||
Dividends | 30,021 | |||
Foreign taxes reclaim | 761 | |||
Securities lending income | 68 | |||
Total assets | 14,218,102 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 251,945 | |||
Fund shares redeemed | 11,362 | |||
Management fees | 8,987 | |||
Transfer agent and administrative fees | 2,643 | |||
Investor service fees | 2,643 | |||
Portfolio accounting fees | 1,057 | |||
Miscellaneous | 23,937 | |||
Total liabilities | 302,574 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 13,915,528 | ||
Net assets consist of: | ||||
Paid in capital | $ | 13,944,768 | ||
Undistributed net investment income | 53,197 | |||
Accumulated net realized loss on investments | (4,677,838 | ) | ||
Net unrealized appreciation on investments | 4,595,401 | |||
Net assets | $ | 13,915,528 | ||
Capital shares outstanding | 178,932 | |||
Net asset value per share | $ | 77.77 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $411) | $ | 160,573 | ||
Income from securities lending, net | 638 | |||
Interest | 285 | |||
Total investment income | 161,496 | |||
Expenses: | ||||
Management fees | 66,942 | |||
Transfer agent and administrative fees | 19,689 | |||
Investor service fees | 19,689 | |||
Portfolio accounting fees | 7,876 | |||
Professional fees | 13,256 | |||
Custodian fees | 1,387 | |||
Trustees’ fees* | 905 | |||
Miscellaneous | 4,024 | |||
Total expenses | 133,768 | |||
Net investment income | 27,728 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 434,532 | |||
Net realized gain | 434,532 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 254,200 | |||
Net change in unrealized appreciation (depreciation) | 254,200 | |||
Net realized and unrealized gain | 688,732 | |||
Net increase in net assets resulting from operations | $ | 716,460 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL SERVICES FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 27,728 | $ | (156 | ) | |||
Net realized gain on investments | 434,532 | 263,909 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 254,200 | 902,723 | ||||||
Net increase in net assets resulting from operations | 716,460 | 1,166,476 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (122,357 | ) | |||||
Total distributions to shareholders | — | (122,357 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 24,345,203 | 33,508,306 | ||||||
Distributions reinvested | — | 122,357 | ||||||
Cost of shares redeemed | (27,376,296 | ) | (32,407,307 | ) | ||||
Net increase (decrease) from capital share transactions | (3,031,093 | ) | 1,223,356 | |||||
Net increase (decrease) in net assets | (2,314,633 | ) | 2,267,475 | |||||
Net assets: | ||||||||
Beginning of period | 16,230,161 | 13,962,686 | ||||||
End of period | $ | 13,915,528 | $ | 16,230,161 | ||||
Undistributed net investment income at end of period | $ | 53,197 | $ | 25,469 | ||||
Capital share activity: | ||||||||
Shares sold | 321,498 | 501,554 | * | |||||
Shares issued from reinvestment of distributions | — | 1,883 | * | |||||
Shares redeemed | (363,622 | ) | (499,005 | )* | ||||
Net increase (decrease) in shares | (42,124 | ) | 4,432 | * |
* | Capital share activity for the year ended December 31, 2016, has been restated to reflect a 1:3 reverse share split effective December 1, 2016 — See Note 9. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
FINANCIAL SERVICES FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 73.42 | $ | 64.46 | $ | 67.34 | $ | 60.15 | $ | 47.43 | $ | 38.73 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .13 | — | c | .72 | .27 | .30 | .36 | |||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.22 | 9.32 | (3.36 | ) | 7.28 | 12.75 | 8.43 | |||||||||||||||||
Total from investment operations | 4.35 | 9.32 | (2.64 | ) | 7.55 | 13.05 | 8.79 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.36 | ) | (.24 | ) | (.36 | ) | (.33 | ) | (.09 | ) | |||||||||||||
Total distributions | — | (.36 | ) | (.24 | ) | (.36 | ) | (.33 | ) | (.09 | ) | |||||||||||||
Net asset value, end of period | $ | 77.77 | $ | 73.42 | $ | 64.46 | $ | 67.34 | $ | 60.15 | $ | 47.43 | ||||||||||||
Total Returnd | 5.93 | % | 15.83 | % | (3.99 | %) | 12.58 | % | 27.55 | % | 22.68 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 13,916 | $ | 16,230 | $ | 13,963 | $ | 13,743 | $ | 8,943 | $ | 10,443 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.35 | % | — | e | 1.09 | % | 0.41 | % | 0.55 | % | 0.79 | % | ||||||||||||
Total expenses | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | 1.64 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 125 | % | 329 | % | 213 | % | 215 | % | 409 | % | 396 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Net investment income is less than $0.01 per share. |
d | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
e | Less than 0.01%. |
f | Reverse Share Split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:3 reverse share split effective December 1, 2016 — See Note 9. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
HEALTH CARE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the health care industry (“Health Care Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: June 19, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Johnson & Johnson | 3.1% |
Pfizer, Inc. | 2.4% |
Merck & Co., Inc. | 2.3% |
UnitedHealth Group, Inc. | 2.2% |
Amgen, Inc. | 1.9% |
AbbVie, Inc. | 1.8% |
Celgene Corp. | 1.7% |
Gilead Sciences, Inc. | 1.7% |
Bristol-Myers Squibb Co. | 1.6% |
Eli Lilly & Co. | 1.6% |
Top Ten Total | 20.3% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Health Care Fund | 18.99% | 15.08% | 15.78% | 9.25% |
S&P 500 Health Care Index | 16.07% | 12.47% | 17.86% | 10.57% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and S&P 500 Health Care Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
HEALTH CARE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 100.5% | ||||||||
Pharmaceuticals - 36.1% | ||||||||
Johnson & Johnson | 6,415 | $ | 848,639 | |||||
Pfizer, Inc. | 19,457 | 653,561 | ||||||
Merck & Co., Inc. | 9,713 | 622,506 | ||||||
AbbVie, Inc. | 6,689 | 485,019 | ||||||
Bristol-Myers Squibb Co. | 8,008 | 446,206 | ||||||
Eli Lilly & Co. | 5,217 | 429,359 | ||||||
Allergan plc | 1,695 | 412,038 | ||||||
Shire plc ADR | 2,049 | 338,638 | ||||||
Teva Pharmaceutical Industries Ltd. ADR | 8,406 | 279,247 | ||||||
Express Scripts Holding Co.* | 4,342 | 277,193 | ||||||
McKesson Corp. | 1,642 | 270,175 | ||||||
Zoetis, Inc. | 4,086 | 254,885 | ||||||
Cardinal Health, Inc. | 2,930 | 228,306 | ||||||
Mylan N.V.* | 5,723 | 222,167 | ||||||
Perrigo Company plc | 2,824 | 213,268 | ||||||
Novartis AG ADR | 2,543 | 212,264 | ||||||
Endo International plc* | 18,542 | 207,114 | ||||||
AmerisourceBergen Corp. — Class A | 2,174 | 205,508 | ||||||
Jazz Pharmaceuticals plc* | 1,321 | 205,416 | ||||||
AstraZeneca plc ADR | 5,948 | 202,767 | ||||||
GlaxoSmithKline plc ADR | 4,682 | 201,888 | ||||||
Alkermes plc* | 3,302 | 191,417 | ||||||
Novo Nordisk A/S ADR | 4,239 | 181,811 | ||||||
Valeant Pharmaceuticals International, Inc.* | 7,844 | 135,701 | ||||||
VCA, Inc.* | 1,370 | 126,465 | ||||||
TESARO, Inc.* | 890 | 124,475 | ||||||
Clovis Oncology, Inc.* | 1,180 | 110,483 | ||||||
DexCom, Inc.* | 1,485 | 108,628 | ||||||
Portola Pharmaceuticals, Inc.* | 1,860 | 104,476 | ||||||
Premier, Inc. — Class A* | 2,890 | 104,040 | ||||||
Mallinckrodt plc* | 2,290 | 102,615 | ||||||
PRA Health Sciences, Inc.* | 1,360 | 102,014 | ||||||
Neurocrine Biosciences, Inc.* | 2,120 | 97,520 | ||||||
Akorn, Inc.* | 2,803 | 94,013 | ||||||
ACADIA Pharmaceuticals, Inc.* | 3,108 | 86,682 | ||||||
Nektar Therapeutics* | 4,380 | 85,629 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 4,300 | 81,184 | ||||||
Avexis, Inc.*,1 | 950 | 78,052 | ||||||
Prestige Brands Holdings, Inc.* | 1,430 | 75,518 | ||||||
Agios Pharmaceuticals, Inc.* | 1,376 | 70,795 | ||||||
Horizon Pharma plc* | 5,792 | 68,751 | ||||||
Pacira Pharmaceuticals, Inc.* | 1,424 | 67,925 | ||||||
Owens & Minor, Inc. | 2,009 | 64,670 | ||||||
Radius Health, Inc.*,1 | 1,390 | 62,870 | ||||||
Sarepta Therapeutics, Inc.* | 1,799 | 60,644 | ||||||
Array BioPharma, Inc.*,1 | 7,012 | 58,690 | ||||||
Impax Laboratories, Inc.* | 3,499 | 56,334 | ||||||
Amicus Therapeutics, Inc.* | 5,490 | 55,284 | ||||||
Eagle Pharmaceuticals, Inc.* | 680 | 53,645 | ||||||
Global Blood Therapeutics, Inc.* | 1,870 | 51,145 | ||||||
Synergy Pharmaceuticals, Inc.*,1 | 9,840 | 43,788 | ||||||
Depomed, Inc.* | 3,693 |
| 39,663 | |||||
Total Pharmaceuticals | 9,961,091 | |||||||
Healthcare-Products - 23.7% | ||||||||
Abbott Laboratories | 8,461 | 411,290 | ||||||
Thermo Fisher Scientific, Inc. | 2,181 | 380,519 | ||||||
Danaher Corp. | 4,195 | 354,016 | ||||||
Stryker Corp. | 2,380 | 330,296 | ||||||
Medtronic plc | 3,544 | 314,530 | ||||||
Becton Dickinson and Co. | 1,573 | 306,908 | ||||||
Boston Scientific Corp.* | 10,168 | 281,857 | ||||||
Intuitive Surgical, Inc.* | 299 | 279,676 | ||||||
Baxter International, Inc. | 4,523 | 273,822 | ||||||
Edwards Lifesciences Corp.* | 1,963 | 232,105 | ||||||
Zimmer Biomet Holdings, Inc. | 1,795 | 230,478 | ||||||
CR Bard, Inc. | 703 | 222,225 | ||||||
IDEXX Laboratories, Inc.* | 1,110 | 179,176 | ||||||
Dentsply Sirona, Inc. | 2,758 | 178,829 | ||||||
Henry Schein, Inc.* | 963 | 176,248 | ||||||
Align Technology, Inc.* | 1,089 | 163,481 | ||||||
Hologic, Inc.* | 3,581 | 162,506 | ||||||
Cooper Cos., Inc. | 635 | 152,032 | ||||||
ResMed, Inc. | 1,908 | 148,576 | ||||||
Teleflex, Inc. | 697 | 144,809 | ||||||
Varian Medical Systems, Inc.* | 1,354 | 139,719 | ||||||
West Pharmaceutical Services, Inc. | 1,283 | 121,269 | ||||||
ABIOMED, Inc.* | 800 | 114,640 | ||||||
Hill-Rom Holdings, Inc. | 1,320 | 105,085 | ||||||
Bio-Techne Corp. | 850 | 99,875 | ||||||
Bruker Corp. | 3,458 | 99,729 | ||||||
Masimo Corp.* | 1,080 | 98,474 | ||||||
Patterson Companies, Inc. | 2,042 | 95,872 | ||||||
VWR Corp.* | 2,864 | 94,541 | ||||||
Alere, Inc.* | 1,859 | 93,303 | ||||||
Integra LifeSciences Holdings Corp.* | 1,700 | 92,667 | ||||||
OPKO Health, Inc.*,1 | 13,393 | 88,126 | ||||||
NuVasive, Inc.* | 1,139 | 87,612 | ||||||
ICU Medical, Inc.* | 490 | 84,525 | ||||||
Insulet Corp.* | 1,530 | 78,504 | ||||||
Nevro Corp.* | 930 | 69,220 | ||||||
Natus Medical, Inc.* | 1,420 | 52,966 | ||||||
Total Healthcare-Products | 6,539,506 | |||||||
Biotechnology - 20.2% | ||||||||
Amgen, Inc. | 2,984 | 513,935 | ||||||
Celgene Corp.* | 3,623 | 470,520 | ||||||
Gilead Sciences, Inc. | 6,526 | 461,910 | ||||||
Biogen, Inc.* | 1,309 | 355,210 | ||||||
Regeneron Pharmaceuticals, Inc.* | 679 | 333,484 | ||||||
Vertex Pharmaceuticals, Inc.* | 2,033 | 261,993 | ||||||
Incyte Corp.* | 1,977 | 248,924 | ||||||
Illumina, Inc.* | 1,351 | 234,426 | ||||||
Alexion Pharmaceuticals, Inc.* | 1,830 | 222,656 | ||||||
BioMarin Pharmaceutical, Inc.* | 1,990 | 180,732 | ||||||
Exelixis, Inc.* | 5,540 | 136,450 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 540 | 122,207 | ||||||
Bioverativ, Inc.* | 1,999 | 120,280 |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
HEALTH CARE FUND |
| Shares | Value | ||||||
Alnylam Pharmaceuticals, Inc.* | 1,487 | $ | 118,603 | |||||
Seattle Genetics, Inc.* | 2,160 | 111,758 | ||||||
Kite Pharma, Inc.*,1 | 1,072 | 111,134 | ||||||
Ionis Pharmaceuticals, Inc.* | 2,170 | 110,388 | ||||||
United Therapeutics Corp.* | 820 | 106,379 | ||||||
Charles River Laboratories International, Inc.* | 1,020 | 103,173 | ||||||
Exact Sciences Corp.*,1 | 2,722 | 96,277 | ||||||
Juno Therapeutics, Inc.*,1 | 3,208 | 95,887 | ||||||
Puma Biotechnology, Inc.* | 1,000 | 87,400 | ||||||
Bluebird Bio, Inc.* | 750 | 78,788 | ||||||
Intrexon Corp.*,1 | 3,260 | 78,533 | ||||||
Intercept Pharmaceuticals, Inc.*,1 | 642 | 77,727 | ||||||
Medicines Co.*,1 | 2,026 | 77,008 | ||||||
Sage Therapeutics, Inc.* | 930 | 74,065 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 610 | 74,054 | ||||||
Ultragenyx Pharmaceutical, Inc.* | 1,120 | 69,563 | ||||||
Spark Therapeutics, Inc.* | 1,050 | 62,727 | ||||||
Myriad Genetics, Inc.* | 2,305 | 59,561 | ||||||
Halozyme Therapeutics, Inc.* | 4,610 | 59,100 | ||||||
Innoviva, Inc.* | 4,470 | 57,216 | ||||||
Esperion Therapeutics, Inc.* | 1,130 | 52,296 | ||||||
Five Prime Therapeutics, Inc.* | 1,470 | 44,262 | ||||||
Acorda Therapeutics, Inc.* | 2,182 | 42,985 | ||||||
AMAG Pharmaceuticals, Inc.* | 2,260 | 41,584 | ||||||
Alder Biopharmaceuticals, Inc.*,1 | 2,350 | 26,908 | ||||||
Total Biotechnology | 5,580,103 | |||||||
Healthcare-Services - 14.8% | ||||||||
UnitedHealth Group, Inc. | 3,336 | 618,562 | ||||||
Aetna, Inc. | 2,146 | 325,827 | ||||||
Anthem, Inc. | 1,702 | 320,197 | ||||||
Cigna Corp. | 1,768 | 295,946 | ||||||
Humana, Inc. | 1,144 | 275,269 | ||||||
HCA Healthcare, Inc.* | 3,009 | 262,385 | ||||||
Quintiles IMS Holdings, Inc.* | 2,280 | 204,060 | ||||||
Laboratory Corp. of America Holdings* | 1,238 | 190,825 | ||||||
Quest Diagnostics, Inc. | 1,646 | 182,969 | ||||||
Centene Corp.* | 2,080 | 166,150 | ||||||
DaVita, Inc.* | 2,506 | 162,289 | ||||||
Universal Health Services, Inc. — Class B | 1,326 | 161,878 | ||||||
WellCare Health Plans, Inc.* | 740 | 132,874 | ||||||
Envision Healthcare Corp.* | 2,024 | 126,844 | ||||||
MEDNAX, Inc.* | 1,850 | 111,685 | ||||||
HealthSouth Corp. | 1,970 | 95,348 | ||||||
Acadia Healthcare Co., Inc.* | 1,906 | 94,118 | ||||||
Molina Healthcare, Inc.* | 1,310 | 90,626 | ||||||
LifePoint Health, Inc.* | 1,145 | 76,887 | ||||||
Brookdale Senior Living, Inc. — Class A* | 4,930 | 72,520 | ||||||
Tenet Healthcare Corp.* | 3,332 | 64,441 | ||||||
Magellan Health, Inc.* | 820 | 59,778 | ||||||
Total Healthcare-Services | 4,091,478 | |||||||
Electronics - 2.5% | ||||||||
Agilent Technologies, Inc. | 3,437 | 203,849 | ||||||
Mettler-Toledo International, Inc.* | 304 | 178,916 | ||||||
Waters Corp.* | 943 | 173,361 | ||||||
PerkinElmer, Inc. | 1,903 |
| 129,670 | |||||
Total Electronics | 685,796 | |||||||
Software - 2.3% | ||||||||
Cerner Corp.* | 3,250 | 216,028 | ||||||
Veeva Systems, Inc. — Class A* | 2,333 | 143,036 | ||||||
athenahealth, Inc.*,1 | 760 | 106,818 | ||||||
Medidata Solutions, Inc.* | 1,255 | 98,141 | ||||||
Allscripts Healthcare Solutions, Inc.* | 5,298 | 67,602 | ||||||
Total Software | 631,625 | |||||||
Commercial Services - 0.9% | ||||||||
PAREXEL International Corp.* | 1,133 | 98,468 | ||||||
Incorporated Research Holdings, Inc. — Class A* | 1,355 | 79,268 | ||||||
HealthEquity, Inc.* | 1,490 | 74,247 | ||||||
Total Commercial Services | 251,983 | |||||||
Total Common Stocks | ||||||||
(Cost $15,808,239) | 27,741,582 | |||||||
RIGHTS††† - 0.0% | ||||||||
Dyax Corp. | ||||||||
Expires 01/25/18* | 3,790 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
HSBC Securities, Inc. | $ | 130,475 | 130,475 | |||||
Bank of America Merrill Lynch | 48,316 | 48,316 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $178,791) | 178,791 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 2.1% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 587,669 | 587,669 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $587,669) | 587,669 | |||||||
Total Investments - 103.2% | ||||||||
(Cost $16,574,699) | $ | 28,508,042 | ||||||
Other Assets & Liabilities, net - (3.2)% | (879,674 | ) | ||||||
Total Net Assets - 100.0% | $ | 27,628,368 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
HEALTH CARE FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 27,741,582 | $ | — | $ | — | $ | 27,741,582 | ||||||||
Repurchase Agreements | — | 178,791 | — | 178,791 | ||||||||||||
Rights | — | — | — | * | — | |||||||||||
Securities Lending Collateral | 587,669 | — | — | 587,669 | ||||||||||||
Total Assets | $ | 28,329,251 | $ | 178,791 | $ | — | $ | 28,508,042 |
* | Security has a market value of $0. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HEALTH CARE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $568,785 of securities loaned (cost $16,395,908) | $ | 28,329,251 | ||
Repurchase agreements, at value (cost $178,791) | 178,791 | |||
Total investments (cost $16,574,699) | 28,508,042 | |||
Receivables: | ||||
Securities sold | 288,677 | |||
Dividends | 12,666 | |||
Foreign taxes reclaim | 860 | |||
Interest | 5 | |||
Securities lending income | 209 | |||
Total assets | 28,810,459 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 587,669 | |||
Fund shares redeemed | 540,061 | |||
Management fees | 17,780 | |||
Transfer agent and administrative fees | 5,229 | |||
Investor service fees | 5,229 | |||
Portfolio accounting fees | 2,092 | |||
Miscellaneous | 24,031 | |||
Total liabilities | 1,182,091 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 27,628,368 | ||
Net assets consist of: | ||||
Paid in capital | $ | 17,707,481 | ||
Accumulated net investment loss | (71,691 | ) | ||
Accumulated net realized loss on investments | (1,940,765 | ) | ||
Net unrealized appreciation on investments | 11,933,343 | |||
Net assets | $ | 27,628,368 | ||
Capital shares outstanding | 441,321 | |||
Net asset value per share | $ | 62.60 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $210) | $ | 118,332 | ||
Income from securities lending, net | 1,462 | |||
Interest | 430 | |||
Total investment income | 120,224 | |||
Expenses: | ||||
Management fees | 96,054 | |||
Transfer agent and administrative fees | 28,251 | |||
Investor service fees | 28,251 | |||
Portfolio accounting fees | 11,300 | |||
Professional fees | 27,583 | |||
Custodian fees | 2,347 | |||
Trustees’ fees* | 1,911 | |||
Line of credit fees | 5 | |||
Miscellaneous | (3,787 | ) | ||
Total expenses | 191,915 | |||
Net investment loss | (71,691 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 127,145 | |||
Net realized gain | 127,145 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 3,678,739 | |||
Net change in unrealized appreciation (depreciation) | 3,678,739 | |||
Net realized and unrealized gain | 3,805,884 | |||
Net increase in net assets resulting from operations | $ | 3,734,193 |
* | 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 FUNDS SEMI-ANNUAL REPORT | 61 |
HEALTH CARE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (71,691 | ) | $ | (158,701 | ) | ||
Net realized gain on investments | 127,145 | 3,405,728 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 3,678,739 | (6,935,740 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 3,734,193 | (3,688,713 | ) | |||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (911,972 | ) | |||||
Total distributions to shareholders | — | (911,972 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 24,769,216 | 32,682,719 | ||||||
Distributions reinvested | — | 911,972 | ||||||
Cost of shares redeemed | (19,652,974 | ) | (47,065,343 | ) | ||||
Net increase (decrease) from capital share transactions | 5,116,242 | (13,470,652 | ) | |||||
Net increase (decrease) in net assets | 8,850,435 | (18,071,337 | ) | |||||
Net assets: | ||||||||
Beginning of period | 18,777,933 | 36,849,270 | ||||||
End of period | $ | 27,628,368 | $ | 18,777,933 | ||||
Accumulated net investment loss at end of period | $ | (71,691 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 423,103 | 587,825 | ||||||
Shares issued from reinvestment of distributions | — | 16,245 | ||||||
Shares redeemed | (338,672 | ) | (856,576 | ) | ||||
Net increase (decrease) in shares | 84,431 | (252,506 | ) |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HEALTH CARE FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 52.62 | $ | 60.47 | $ | 58.82 | $ | 48.91 | $ | 34.54 | $ | 29.49 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.18 | ) | (.37 | ) | (.30 | ) | (.31 | ) | (.14 | ) | .08 | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 10.16 | (5.36 | ) | 3.11 | 12.29 | 14.59 | 4.97 | |||||||||||||||||
Total from investment operations | 9.98 | (5.73 | ) | 2.81 | 11.98 | 14.45 | 5.05 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | (.08 | ) | — | |||||||||||||||||
Net realized gains | — | (2.12 | ) | (1.16 | ) | (2.07 | ) | — | — | |||||||||||||||
Total distributions | — | (2.12 | ) | (1.16 | ) | (2.07 | ) | (.08 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 62.60 | $ | 52.62 | $ | 60.47 | $ | 58.82 | $ | 48.91 | $ | 34.54 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 18.99 | % | (9.70 | %) | 4.53 | % | 24.62 | % | 41.81 | % | 17.16 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 27,628 | $ | 18,778 | $ | 36,849 | $ | 43,294 | $ | 30,105 | $ | 17,936 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.63 | %) | (0.67 | %) | (0.47 | %) | (0.57 | %) | (0.34 | %) | 0.24 | % | ||||||||||||
Total expenses | 1.70 | % | 1.66 | % | 1.59 | % | 1.66 | % | 1.63 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 75 | % | 146 | % | 154 | % | 176 | % | 277 | % | 350 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
INTERNET FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that provide products or services designed for or related to the Internet (“Internet Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 24, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Alphabet, Inc. — Class A | 6.4% |
Amazon.com, Inc. | 5.5% |
Facebook, Inc. — Class A | 5.4% |
Cisco Systems, Inc. | 3.2% |
Broadcom Ltd. | 2.4% |
Priceline Group, Inc. | 2.4% |
QUALCOMM, Inc. | 2.3% |
Time Warner, Inc. | 2.2% |
Netflix, Inc. | 2.1% |
Alibaba Group Holding Ltd. ADR | 2.1% |
Top Ten Total | 34.0% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Internet Fund | 19.22% | 31.13% | 17.98% | 9.22% |
S&P 500 Information Technology Index | 17.23% | 33.89% | 17.18% | 10.70% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and S&P 500 Information Technology Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
INTERNET FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 96.7% | ||||||||
Internet - 49.9% | ||||||||
Alphabet, Inc. — Class A* | 633 | $ | 588,487 | |||||
Amazon.com, Inc.* | 526 | 509,167 | ||||||
Facebook, Inc. — Class A* | 3,290 | 496,724 | ||||||
Priceline Group, Inc.* | 118 | 220,721 | ||||||
Netflix, Inc.* | 1,296 | 193,635 | ||||||
Alibaba Group Holding Ltd. ADR* | 1,372 | 193,315 | ||||||
Baidu, Inc. ADR* | 894 | 159,901 | ||||||
eBay, Inc.* | 4,214 | 147,153 | ||||||
JD.com, Inc. ADR* | 3,274 | 128,406 | ||||||
Expedia, Inc. | 756 | 112,606 | ||||||
Ctrip.com International Ltd. ADR* | 1,989 | 107,128 | ||||||
Symantec Corp. | 3,289 | 92,914 | ||||||
Twitter, Inc.* | 5,114 | 91,387 | ||||||
Palo Alto Networks, Inc.* | 581 | 77,744 | ||||||
Zillow Group, Inc. — Class C* | 1,463 | 71,702 | ||||||
VeriSign, Inc.* | 771 | 71,672 | ||||||
Zillow Group, Inc. — Class A* | 1,461 | 71,355 | ||||||
IAC/InterActiveCorp* | 668 | 68,964 | ||||||
MercadoLibre, Inc. | 263 | 65,981 | ||||||
F5 Networks, Inc.* | 517 | 65,690 | ||||||
GoDaddy, Inc. — Class A* | 1,506 | 63,884 | ||||||
Shopify, Inc. — Class A* | 730 | 63,437 | ||||||
YY, Inc. ADR* | 1,028 | 59,655 | ||||||
58.com, Inc. ADR* | 1,316 | 58,049 | ||||||
SINA Corp.* | 681 | 57,865 | ||||||
Weibo Corp. ADR*,1 | 867 | 57,636 | ||||||
Wayfair, Inc. — Class A* | 747 | 57,429 | ||||||
TripAdvisor, Inc.* | 1,450 | 55,390 | ||||||
Match Group, Inc.* | 3,138 | 54,538 | ||||||
Vipshop Holdings Ltd. ADR* | 4,872 | 51,400 | ||||||
GrubHub, Inc.* | 1,041 | 45,388 | ||||||
Liberty Expedia Holdings, Inc. — Class A* | 795 | 42,946 | ||||||
Pandora Media, Inc.*,1 | 4,716 | 42,067 | ||||||
Stamps.com, Inc.* | 244 | 37,790 | ||||||
Trade Desk, Inc. — Class A* | 700 | 35,077 | ||||||
WebMD Health Corp. — Class A* | 585 | 34,310 | ||||||
Yelp, Inc. — Class A* | 1,142 | 34,283 | ||||||
Etsy, Inc.* | 2,116 | 31,740 | ||||||
TrueCar, Inc.* | 1,590 | 31,689 | ||||||
Cogent Communications Holdings, Inc. | 774 | 31,037 | ||||||
Wix.com Ltd.* | 440 | 30,624 | ||||||
Shutterstock, Inc.* | 686 | 30,239 | ||||||
Shutterfly, Inc.* | 624 | 29,640 | ||||||
NIC, Inc. | 1,364 | 25,848 | ||||||
Blucora, Inc.* | 1,040 | 22,048 | ||||||
Total Internet | 4,618,661 | |||||||
Telecommunications - 12.3% | ||||||||
Cisco Systems, Inc. | 9,355 | 292,812 | ||||||
Motorola Solutions, Inc. | 1,021 | 88,563 | ||||||
Juniper Networks, Inc. | 2,721 | 75,862 | ||||||
Arista Networks, Inc.* | 501 | 75,045 | ||||||
CommScope Holding Company, Inc.* | 1,666 | 63,358 | ||||||
LogMeIn, Inc. | 518 | 54,131 | ||||||
ARRIS International plc* | 1,840 |
| 51,557 | |||||
Ubiquiti Networks, Inc.*,1 | 951 | 49,423 | ||||||
ViaSat, Inc.* | 677 | 44,817 | ||||||
Ciena Corp.* | 1,673 | 41,859 | ||||||
Finisar Corp.* | 1,527 | 39,671 | ||||||
InterDigital, Inc. | 498 | 38,495 | ||||||
Viavi Solutions, Inc.* | 3,406 | 35,866 | ||||||
Acacia Communications, Inc.*,1 | 698 | 28,946 | ||||||
Oclaro, Inc.*,1 | 2,995 | 27,973 | ||||||
NETGEAR, Inc.* | 630 | 27,153 | ||||||
Infinera Corp.* | 2,487 | 26,536 | ||||||
ADTRAN, Inc. | 1,136 | 23,458 | ||||||
Extreme Networks, Inc.* | 2,488 | 22,939 | ||||||
Gogo, Inc.*,1 | 1,517 | 17,491 | ||||||
Total Telecommunications | 1,125,955 | |||||||
Software - 12.1% | ||||||||
Salesforce.com, Inc.* | 2,188 | 189,480 | ||||||
Intuit, Inc. | 1,008 | 133,872 | ||||||
NetEase, Inc. ADR | 347 | 104,319 | ||||||
Red Hat, Inc.* | 1,062 | 101,687 | ||||||
Citrix Systems, Inc.* | 1,048 | 83,400 | ||||||
Momo, Inc. ADR* | 1,980 | 73,181 | ||||||
Veeva Systems, Inc. — Class A* | 1,187 | 72,775 | ||||||
Akamai Technologies, Inc.* | 1,368 | 68,141 | ||||||
j2 Global, Inc. | 537 | 45,693 | ||||||
Twilio, Inc. — Class A*,1 | 1,350 | 39,299 | ||||||
New Relic, Inc.* | 890 | 38,279 | ||||||
Box, Inc. — Class A* | 1,980 | 36,115 | ||||||
2U, Inc.* | 750 | 35,190 | ||||||
Allscripts Healthcare Solutions, Inc.* | 2,703 | 34,490 | ||||||
Cornerstone OnDemand, Inc.* | 920 | 32,890 | ||||||
SPS Commerce, Inc.* | 380 | 24,229 | ||||||
Total Software | 1,113,040 | |||||||
Semiconductors - 4.7% | ||||||||
Broadcom Ltd. | 966 | 225,126 | ||||||
QUALCOMM, Inc. | 3,794 | 209,505 | ||||||
Total Semiconductors | 434,631 | |||||||
Diversified Financial Services - 4.7% | ||||||||
Charles Schwab Corp. | 4,009 | 172,226 | ||||||
TD Ameritrade Holding Corp. | 2,562 | 110,140 | ||||||
E*TRADE Financial Corp.* | 1,943 | 73,892 | ||||||
BGC Partners, Inc. — Class A | 3,479 | 43,975 | ||||||
LendingClub Corp.* | 6,180 | 34,052 | ||||||
Total Diversified Financial Services | 434,285 | |||||||
Commercial Services - 4.3% | ||||||||
PayPal Holdings, Inc.* | 3,513 | 188,543 | ||||||
CoStar Group, Inc.* | 265 | 69,853 | ||||||
Live Nation Entertainment, Inc.* | 1,716 | 59,803 | ||||||
Cimpress N.V.* | 541 | 51,141 | ||||||
NutriSystem, Inc.1 | 550 | 28,628 | ||||||
Total Commercial Services | 397,968 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
INTERNET FUND |
| Shares | Value | ||||||
Computers - 3.3% | ||||||||
Check Point Software Technologies Ltd.* | 665 | $ | 72,538 | |||||
BlackBerry Ltd.* | 5,610 | 56,043 | ||||||
Brocade Communications Systems, Inc. | 4,212 | 53,113 | ||||||
Nutanix, Inc. — Class A* | 2,170 | 43,726 | ||||||
NetScout Systems, Inc.* | 1,203 | 41,383 | ||||||
Lumentum Holdings, Inc.* | 719 | 41,019 | ||||||
Total Computers | 307,822 | |||||||
Media - 2.2% | ||||||||
Time Warner, Inc. | 2,072 | 208,050 | ||||||
REITs - 1.4% | ||||||||
Equinix, Inc. | 310 | 133,040 | ||||||
Aerospace & Defense - 0.9% | ||||||||
Harris Corp. | 792 | 86,391 | ||||||
Retail - 0.4% | ||||||||
HSN, Inc. | 990 | 31,581 | ||||||
Electronics - 0.3% | ||||||||
Applied Optoelectronics, Inc.*,1 | 440 | 27,188 | ||||||
Leisure Time - 0.2% | ||||||||
Liberty TripAdvisor Holdings, Inc. — Class A* | 1,940 | 22,504 | ||||||
Total Common Stocks | ||||||||
(Cost $5,109,203) | 8,941,116 | |||||||
CLOSED-END FUNDS† - 1.8% | ||||||||
Altaba, Inc. | 3,106 | 169,215 | ||||||
Total Closed-End Funds | ||||||||
(Cost $59,677) | 169,215 |
Face |
| |||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
HSBC Securities, Inc. | $ | 48,491 |
| 48,491 | ||||
Bank of America Merrill Lynch | 17,957 | 17,957 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $66,448) | 66,448 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 2.2% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 204,583 | 204,583 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $204,583) | 204,583 | |||||||
Total Investments - 101.4% | ||||||||
(Cost $5,439,911) | $ | 9,381,362 | ||||||
Other Assets & Liabilities, net - (1.4)% | (132,430 | ) | ||||||
Total Net Assets - 100.0% | $ | 9,248,932 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
INTERNET FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Closed-End Funds | $ | 169,215 | $ | — | $ | — | $ | 169,215 | ||||||||
Common Stocks | 8,941,116 | — | — | 8,941,116 | ||||||||||||
Repurchase Agreements | — | 66,448 | — | 66,448 | ||||||||||||
Securities Lending Collateral | 204,583 | — | — | 204,583 | ||||||||||||
Total Assets | $ | 9,314,914 | $ | 66,448 | $ | — | $ | 9,381,362 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
INTERNET FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $198,618 of securities loaned (cost $5,373,463) | $ | 9,314,914 | ||
Repurchase agreements, at value (cost $66,448) | 66,448 | |||
Total investments (cost $5,439,911) | 9,381,362 | |||
Cash | 965 | |||
Receivables: | ||||
Fund shares sold | 313,106 | |||
Dividends | 750 | |||
Interest | 2 | |||
Securities lending income | 411 | |||
Total assets | 9,696,596 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 223,490 | |||
Return of securities loaned | 204,583 | |||
Management fees | 6,636 | |||
Transfer agent and administrative fees | 1,952 | |||
Investor service fees | 1,952 | |||
Portfolio accounting fees | 780 | |||
Fund shares redeemed | 16 | |||
Miscellaneous | 8,255 | |||
Total liabilities | 447,664 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 9,248,932 | ||
Net assets consist of: | ||||
Paid in capital | $ | 6,219,390 | ||
Accumulated net investment loss | (54,945 | ) | ||
Accumulated net realized loss on investments | (856,964 | ) | ||
Net unrealized appreciation on investments | 3,941,451 | |||
Net assets | $ | 9,248,932 | ||
Capital shares outstanding | 119,107 | |||
Net asset value per share | $ | 77.65 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $204) | $ | 29,736 | ||
Income from securities lending, net | 3,063 | |||
Interest | 167 | |||
Total investment income | 32,966 | |||
Expenses: | ||||
Management fees | 36,008 | |||
Transfer agent and administrative fees | 10,590 | |||
Investor service fees | 10,590 | |||
Portfolio accounting fees | 4,236 | |||
Professional fees | 8,652 | |||
Custodian fees | 793 | |||
Trustees’ fees* | 577 | |||
Line of credit fees | 8 | |||
Miscellaneous | 495 | |||
Total expenses | 71,949 | |||
Net investment loss | (38,983 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 215,845 | |||
Net realized gain | 215,845 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,214,126 | |||
Net change in unrealized appreciation (depreciation) | 1,214,126 | |||
Net realized and unrealized gain | 1,429,971 | |||
Net increase in net assets resulting from operations | $ | 1,390,988 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INTERNET FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (38,983 | ) | $ | (60,858 | ) | ||
Net realized gain on investments | 215,845 | 275,024 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 1,214,126 | (884,620 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,390,988 | (670,454 | ) | |||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (710,959 | ) | |||||
Total distributions to shareholders | — | (710,959 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 15,755,760 | 33,908,927 | ||||||
Distributions reinvested | — | 710,959 | ||||||
Cost of shares redeemed | (16,383,232 | ) | (37,788,678 | ) | ||||
Net decrease from capital share transactions | (627,472 | ) | (3,168,792 | ) | ||||
Net increase (decrease) in net assets | 763,516 | (4,550,205 | ) | |||||
Net assets: | ||||||||
Beginning of period | 8,485,416 | 13,035,621 | ||||||
End of period | $ | 9,248,932 | $ | 8,485,416 | ||||
Accumulated net investment loss at end of period | $ | (54,945 | ) | $ | (15,962 | ) | ||
Capital share activity: | ||||||||
Shares sold | 215,751 | 513,963 | * | |||||
Shares issued from reinvestment of distributions | — | 11,587 | * | |||||
Shares redeemed | (226,926 | ) | (579,907 | )* | ||||
Net decrease in shares | (11,175 | ) | (54,357 | )* |
* | Capital share activity for the year ended December 31, 2016, has been restated to reflect a 1:4 reverse share split effective December 1, 2016 — See Note 9. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
INTERNET FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 65.13 | $ | 70.60 | $ | 79.11 | $ | 85.98 | $ | 57.97 | $ | 69.46 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.33 | ) | (.14 | ) | (.76 | ) | (.92 | ) | (.76 | ) | (.88 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 12.85 | (3.30 | ) | 7.29 | 2.61 | 30.33 | 12.59 | |||||||||||||||||
Total from investment operations | 12.52 | (3.44 | ) | 6.53 | 1.69 | 29.57 | 11.71 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (2.03 | ) | (15.04 | ) | (8.56 | ) | (1.56 | ) | (23.20 | ) | |||||||||||||
Total distributions | — | (2.03 | ) | (15.04 | ) | (8.56 | ) | (1.56 | ) | (23.20 | ) | |||||||||||||
Net asset value, end of period | $ | 77.65 | $ | 65.13 | $ | 70.60 | $ | 79.11 | $ | 85.98 | $ | 57.97 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 19.22 | % | 4.44 | % | 8.36 | % | 1.96 | % | 51.23 | % | 19.33 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,249 | $ | 8,485 | $ | 13,036 | $ | 6,624 | $ | 15,617 | $ | 6,270 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.92 | %) | (0.78 | %) | (1.03 | %) | (1.06 | %) | (1.07 | %) | (1.18 | %) | ||||||||||||
Total expensesd | 1.70 | % | 1.66 | % | 1.61 | % | 1.66 | % | 1.63 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 156 | % | 384 | % | 363 | % | 283 | % | 311 | % | 274 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse Share Split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:4 reverse share split effective December 1, 2016 — See Note 9. |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
LEISURE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in leisure and entertainment businesses (“Leisure Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 22, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Philip Morris International, Inc. | 3.5% |
Comcast Corp. — Class A | 3.4% |
Walt Disney Co. | 3.4% |
Altria Group, Inc. | 3.1% |
McDonald’s Corp. | 2.9% |
Charter Communications, Inc. — Class A | 2.6% |
Reynolds American, Inc. | 2.5% |
Starbucks Corp. | 2.4% |
Time Warner, Inc. | 2.3% |
Twenty-First Century Fox, Inc. — Class A | 1.9% |
Top Ten Total | 28.0% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Leisure Fund | 13.27% | 20.23% | 15.53% | 7.46% |
S&P 500 Consumer Discretionary Index | 11.00% | 16.90% | 17.41% | 10.47% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and S&P 500 Consumer Discretionary Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
LEISURE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.2% | ||||||||
Media - 27.8% | ||||||||
Comcast Corp. — Class A | 8,760 | $ | 340,938 | |||||
Walt Disney Co. | 3,193 | 339,255 | ||||||
Charter Communications, Inc. — Class A* | 783 | 263,753 | ||||||
Time Warner, Inc. | 2,293 | 230,240 | ||||||
Twenty-First Century Fox, Inc. — Class A | 6,620 | 187,611 | ||||||
DISH Network Corp. — Class A* | 2,172 | 136,315 | ||||||
CBS Corp. — Class B | 2,115 | 134,895 | ||||||
Liberty Broadband Corp. — Class C* | 1,170 | 101,498 | ||||||
Discovery Communications, Inc. — Class A* | 3,800 | 98,154 | ||||||
Viacom, Inc. — Class B | 2,812 | 94,399 | ||||||
Scripps Networks Interactive, Inc. — Class A | 1,134 | 77,464 | ||||||
Grupo Televisa SAB ADR | 3,095 | 75,425 | ||||||
News Corp. — Class A | 5,330 | 73,021 | ||||||
Sirius XM Holdings, Inc.1 | 12,240 | 66,953 | ||||||
TEGNA, Inc. | 3,865 | 55,695 | ||||||
Cable One, Inc. | 70 | 49,763 | ||||||
AMC Networks, Inc. — Class A* | 870 | 46,467 | ||||||
Tribune Media Co. — Class A | 1,130 | 46,070 | ||||||
New York Times Co. — Class A | 2,450 | 43,365 | ||||||
Sinclair Broadcast Group, Inc. — Class A | 1,302 | 42,836 | ||||||
Nexstar Media Group, Inc. — Class A | 682 | 40,784 | ||||||
Meredith Corp. | 680 | 40,426 | ||||||
MSG Networks, Inc. — Class A* | 1,480 | 33,226 | ||||||
World Wrestling Entertainment, Inc. — Class A | 1,540 | 31,370 | ||||||
Time, Inc. | 2,138 | 30,680 | ||||||
Scholastic Corp. | 688 | 29,990 | ||||||
EW Scripps Co. — Class A* | 1,670 | 29,743 | ||||||
Gray Television, Inc.* | 1,733 | 23,742 | ||||||
Total Media | 2,764,078 | |||||||
Retail - 18.3% | ||||||||
McDonald’s Corp. | 1,906 | 291,924 | ||||||
Starbucks Corp. | 4,143 | 241,579 | ||||||
Yum! Brands, Inc. | 1,800 | 132,768 | ||||||
Yum China Holdings, Inc.* | 2,470 | 97,392 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 210 | 87,381 | ||||||
Darden Restaurants, Inc. | 951 | 86,008 | ||||||
Domino’s Pizza, Inc. | 385 | 81,439 | ||||||
Restaurant Brands International, Inc. | 1,267 | 79,238 | ||||||
Panera Bread Co. — Class A*,1 | 224 | 70,479 | ||||||
Dunkin’ Brands Group, Inc. | 1,056 | 58,207 | ||||||
Cracker Barrel Old Country Store, Inc.1 | 316 | 52,851 | ||||||
Wendy’s Co. | 3,365 | 52,191 | ||||||
Texas Roadhouse, Inc. — Class A | 959 | 48,861 | ||||||
Dave & Buster’s Entertainment, Inc.* | 634 | 42,167 | ||||||
Jack in the Box, Inc. | 427 | 42,060 | ||||||
Cheesecake Factory, Inc. | 823 | 41,397 | ||||||
Papa John’s International, Inc. | 565 | 40,544 | ||||||
Bloomin’ Brands, Inc. | 1,760 | 37,365 | ||||||
Brinker International, Inc. | 970 | 36,957 | ||||||
Buffalo Wild Wings, Inc.* | 276 | 34,969 | ||||||
Shake Shack, Inc. — Class A*,1 | 790 |
| 27,555 | |||||
Sonic Corp. | 1,015 | 26,887 | ||||||
Red Robin Gourmet Burgers, Inc.* | 380 | 24,795 | ||||||
DineEquity, Inc. | 550 | 24,228 | ||||||
Wingstop, Inc. | 778 | 24,040 | ||||||
BJ’s Restaurants, Inc.* | 640 | 23,840 | ||||||
Fiesta Restaurant Group, Inc.* | 940 | 19,411 | ||||||
Total Retail | 1,826,533 | |||||||
Lodging - 11.4% | ||||||||
Las Vegas Sands Corp. | 2,705 | 172,823 | ||||||
Marriott International, Inc. — Class A | 1,577 | 158,189 | ||||||
Hilton Worldwide Holdings, Inc. | 1,804 | 111,577 | ||||||
MGM Resorts International | 3,375 | 105,604 | ||||||
Melco Resorts & Entertainment Ltd. ADR | 4,389 | 98,533 | ||||||
Wynn Resorts Ltd. | 693 | 92,945 | ||||||
Wyndham Worldwide Corp. | 822 | 82,537 | ||||||
Hyatt Hotels Corp. — Class A* | 1,200 | 67,452 | ||||||
Hilton Grand Vacations, Inc.* | 1,347 | 48,573 | ||||||
Choice Hotels International, Inc.1 | 730 | 46,903 | ||||||
ILG, Inc. | 1,662 | 45,688 | ||||||
Boyd Gaming Corp. | 1,725 | 42,797 | ||||||
La Quinta Holdings, Inc.* | 2,220 | 32,789 | ||||||
Caesars Entertainment Corp.*,1 | 2,690 | 32,280 | ||||||
Total Lodging | 1,138,690 | |||||||
Agriculture - 10.6% | ||||||||
Philip Morris International, Inc. | 2,943 | 345,655 | ||||||
Altria Group, Inc. | 4,094 | 304,880 | ||||||
Reynolds American, Inc. | 3,860 | 251,054 | ||||||
British American Tobacco plc ADR1 | 1,170 | 80,192 | ||||||
Vector Group Ltd. | 1,936 | 41,276 | ||||||
Universal Corp. | 500 | 32,350 | ||||||
Total Agriculture | 1,055,407 | |||||||
Entertainment - 8.4% | ||||||||
Vail Resorts, Inc. | 371 | 75,249 | ||||||
Lions Gate Entertainment Corp. — Class A* | 2,236 | 63,099 | ||||||
IMAX Corp.* | 2,842 | 62,524 | ||||||
Six Flags Entertainment Corp. | 1,029 | 61,339 | ||||||
Madison Square Garden Co. — Class A* | 283 | 55,723 | ||||||
Cinemark Holdings, Inc. | 1,354 | 52,603 | ||||||
International Game Technology plc | 2,700 | 49,410 | ||||||
Regal Entertainment Group — Class A | 2,196 | 44,930 | ||||||
Churchill Downs, Inc. | 240 | 43,992 | ||||||
Marriott Vacations Worldwide Corp. | 370 | 43,568 | ||||||
AMC Entertainment Holdings, Inc. — Class A | 1,870 | 42,543 | ||||||
Red Rock Resorts, Inc. — Class A | 1,786 | 42,060 | ||||||
Scientific Games Corp. — Class A* | 1,441 | 37,610 | ||||||
Penn National Gaming, Inc.* | 1,613 | 34,518 | ||||||
International Speedway Corp. — Class A | 890 | 33,420 | ||||||
SeaWorld Entertainment, Inc. | 1,980 | 32,215 | ||||||
Eldorado Resorts, Inc.* | 1,570 | 31,400 | ||||||
Pinnacle Entertainment, Inc.* | 1,340 | 26,478 | ||||||
Total Entertainment | 832,681 |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
LEISURE FUND |
| Shares | Value | ||||||
Leisure Time - 8.0% | ||||||||
Carnival Corp. | 2,695 | $ | 176,711 | |||||
Royal Caribbean Cruises Ltd. | 1,134 | 123,867 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 1,641 | 89,090 | ||||||
Carnival plc ADR | 1,330 | 87,940 | ||||||
Harley-Davidson, Inc. | 1,447 | 78,167 | ||||||
Polaris Industries, Inc.1 | 684 | 63,085 | ||||||
Brunswick Corp. | 935 | 58,653 | ||||||
Planet Fitness, Inc. — Class A | 1,660 | 38,744 | ||||||
Callaway Golf Co. | 2,280 | 29,138 | ||||||
Vista Outdoor, Inc.* | 1,182 | 26,607 | ||||||
ClubCorp Holdings, Inc. | 1,760 | 23,056 | ||||||
Total Leisure Time | 795,058 | |||||||
Beverages - 5.9% | ||||||||
Constellation Brands, Inc. — Class A | 846 | 163,895 | ||||||
Molson Coors Brewing Co. — Class B | 1,347 | 116,300 | ||||||
Brown-Forman Corp. — Class B | 2,330 | 113,238 | ||||||
Anheuser-Busch InBev S.A. ADR | 888 | 98,000 | ||||||
Diageo plc ADR | 568 | 68,063 | ||||||
Boston Beer Company, Inc. — Class A* | 250 | 33,038 | ||||||
Total Beverages | 592,534 | |||||||
Software - 3.9% | ||||||||
Activision Blizzard, Inc. | 2,928 | 168,565 | ||||||
Electronic Arts, Inc.* | 1,390 | 146,951 | ||||||
Take-Two Interactive Software, Inc.* | 973 | 71,399 | ||||||
Total Software | 386,915 | |||||||
Toys, Games & Hobbies - 1.7% | ||||||||
Hasbro, Inc. | 853 | 95,118 | ||||||
Mattel, Inc. | 3,514 | 75,656 | ||||||
Total Toys, Games & Hobbies | 170,774 | |||||||
Food Service - 0.8% | ||||||||
Aramark | 1,906 | 78,108 | ||||||
Commercial Services - 0.7% | ||||||||
Live Nation Entertainment, Inc.* | 1,890 | 65,867 | ||||||
REITs - 0.6% | ||||||||
Park Hotels & Resorts, Inc. | 2,187 | 58,962 | ||||||
Miscellaneous Manufacturing - 0.5% | ||||||||
American Outdoor Brands Corp.* | 1,211 | 26,836 | ||||||
Sturm Ruger & Company, Inc.1 | 400 | 24,860 | ||||||
Total Miscellaneous Manufacturing | 51,696 | |||||||
Internet - 0.3% | ||||||||
Cars.com, Inc.* | 1,278 |
| 34,033 | |||||
Food - 0.3% | ||||||||
Bob Evans Farms, Inc. | 440 | 31,605 | ||||||
Total Common Stocks | ||||||||
(Cost $7,144,639) | 9,882,941 | |||||||
RIGHTS††† - 0.0% | ||||||||
Nexstar Media Group, Inc. | ||||||||
Expires 01/18/19* | 1,910 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.9% | ||||||||
HSBC Securities, Inc. | $ | 64,175 | 64,175 | |||||
Bank of America Merrill Lynch | 23,764 | 23,764 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $87,939) | 87,939 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 3.5% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 349,434 | 349,434 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $349,434) | 349,434 | |||||||
Total Investments - 103.6% | ||||||||
(Cost $7,582,012) | $ | 10,320,314 | ||||||
Other Assets & Liabilities, net - (3.6)% | (357,663 | ) | ||||||
Total Net Assets - 100.0% | $ | 9,962,651 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
LEISURE FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 9,882,941 | $ | — | $ | — | $ | 9,882,941 | ||||||||
Repurchase Agreements | — | 87,939 | — | 87,939 | ||||||||||||
Rights | — | — | — | * | — | |||||||||||
Securities Lending Collateral | 349,434 | — | — | 349,434 | ||||||||||||
Total Assets | $ | 10,232,375 | $ | 87,939 | $ | — | $ | 10,320,314 |
* | Security has a market value of $0. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LEISURE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $341,067 of securities loaned (cost $7,494,073) | $ | 10,232,375 | ||
Repurchase agreements, at value (cost $87,939) | 87,939 | |||
Total investments (cost $7,582,012) | 10,320,314 | |||
Receivables: | ||||
Dividends | 12,974 | |||
Foreign taxes reclaim | 1,003 | |||
Interest | 3 | |||
Securities lending income | 389 | |||
Total assets | 10,334,683 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 349,434 | |||
Management fees | 6,873 | |||
Transfer agent and administrative fees | 2,022 | |||
Investor service fees | 2,022 | |||
Fund shares redeemed | 943 | |||
Portfolio accounting fees | 808 | |||
Miscellaneous | 9,930 | |||
Total liabilities | 372,032 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 9,962,651 | ||
Net assets consist of: | ||||
Paid in capital | $ | 7,760,466 | ||
Undistributed net investment income | 45,751 | |||
Accumulated net realized loss on investments | (581,868 | ) | ||
Net unrealized appreciation on investments | 2,738,302 | |||
Net assets | $ | 9,962,651 | ||
Capital shares outstanding | 106,977 | |||
Net asset value per share | $ | 93.13 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $144) | $ | 95,335 | ||
Income from securities lending, net | 1,601 | |||
Interest | 123 | |||
Total investment income | 97,059 | |||
Expenses: | ||||
Management fees | 38,025 | |||
Transfer agent and administrative fees | 11,184 | |||
Investor service fees | 11,184 | |||
Portfolio accounting fees | 4,474 | |||
Professional fees | 9,231 | |||
Custodian fees | 851 | |||
Trustees’ fees* | 620 | |||
Line of credit fees | 1 | |||
Miscellaneous | 408 | |||
Total expenses | 75,978 | |||
Net investment income | 21,081 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 273,679 | |||
Net realized gain | 273,679 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 805,769 | |||
Net change in unrealized appreciation (depreciation) | 805,769 | |||
Net realized and unrealized gain | 1,079,448 | |||
Net increase in net assets resulting from operations | $ | 1,100,529 |
* | 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 FUNDS SEMI-ANNUAL REPORT | 75 |
LEISURE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 21,081 | $ | 17,941 | ||||
Net realized gain on investments | 273,679 | 1,522,852 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 805,769 | (1,476,042 | ) | |||||
Net increase in net assets resulting from operations | 1,100,529 | 64,751 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (33,853 | ) | |||||
Net realized gains | — | (101,294 | ) | |||||
Total distributions to shareholders | — | (135,147 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 17,024,319 | 43,130,973 | ||||||
Distributions reinvested | — | 135,147 | ||||||
Cost of shares redeemed | (16,953,461 | ) | (48,168,571 | ) | ||||
Net increase (decrease) from capital share transactions | 70,858 | (4,902,451 | ) | |||||
Net increase (decrease) in net assets | 1,171,387 | (4,972,847 | ) | |||||
Net assets: | ||||||||
Beginning of period | 8,791,264 | 13,764,111 | ||||||
End of period | $ | 9,962,651 | $ | 8,791,264 | ||||
Undistributed net investment income at end of period | $ | 45,751 | $ | 24,670 | ||||
Capital share activity: | ||||||||
Shares sold | 187,712 | 548,278 | ||||||
Shares issued from reinvestment of distributions | — | 1,700 | ||||||
Shares redeemed | (187,666 | ) | (623,105 | ) | ||||
Net increase (decrease) in shares | 46 | (73,127 | ) |
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LEISURE FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 82.21 | $ | 76.44 | $ | 87.81 | $ | 95.41 | $ | 67.43 | $ | 55.58 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .21 | .18 | .28 | .12 | .11 | .53 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 10.71 | 7.07 | .87 | 6.53 | 28.45 | 11.32 | ||||||||||||||||||
Total from investment operations | 10.92 | 7.25 | 1.15 | 6.65 | 28.56 | 11.85 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.37 | ) | (.07 | ) | (.22 | ) | (.58 | ) | — | ||||||||||||||
Net realized gains | — | (1.11 | ) | (12.45 | ) | (14.03 | ) | — | — | |||||||||||||||
Total distributions | — | (1.48 | ) | (12.52 | ) | (14.25 | ) | (.58 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 93.13 | $ | 82.21 | $ | 76.44 | $ | 87.81 | $ | 95.41 | $ | 67.43 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 13.27 | % | 9.56 | % | 0.30 | % | 7.49 | % | 42.41 | % | 21.32 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,963 | $ | 8,791 | $ | 13,764 | $ | 8,150 | $ | 11,866 | $ | 9,053 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.47 | % | 0.23 | % | 0.34 | % | 0.13 | % | 0.14 | % | 0.85 | % | ||||||||||||
Total expenses | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | 1.64 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 177 | % | 530 | % | 288 | % | 339 | % | 219 | % | 214 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
PRECIOUS METALS FUND
OBJECTIVE: Seeks 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”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 29, 1997 |
Ten Largest Holdings (% of Total Net Assets) | |
Barrick Gold Corp. | 6.2% |
Freeport-McMoRan, Inc. | 5.9% |
Newmont Mining Corp. | 5.8% |
Franco-Nevada Corp. | 5.0% |
Goldcorp, Inc. | 4.7% |
Agnico Eagle Mines Ltd. | 4.5% |
Wheaton Precious Metals Corp. | 4.4% |
VanEck Vectors Junior Gold Miners ETF | 4.2% |
Randgold Resources Ltd. ADR | 4.0% |
Royal Gold, Inc. | 3.3% |
Top Ten Total | 48.0% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Precious Metals Fund | 3.37% | (19.23%) | (10.39%) | (5.14%) |
S&P 500 Materials Index | 9.21% | 18.59% | 11.09% | 5.36% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and S&P 500 Materials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
PRECIOUS METALS FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 95.6% | ||||||||
Mining - 95.6% | ||||||||
Barrick Gold Corp. | 92,100 | $ | 1,465,310 | |||||
Freeport-McMoRan, Inc.* | 117,593 | 1,412,292 | ||||||
Newmont Mining Corp. | 42,376 | 1,372,558 | ||||||
Franco-Nevada Corp. | 16,511 | 1,191,434 | ||||||
Goldcorp, Inc. | 85,798 | 1,107,652 | ||||||
Agnico Eagle Mines Ltd. | 23,659 | 1,067,494 | ||||||
Wheaton Precious Metals Corp. | 52,393 | 1,042,098 | ||||||
Randgold Resources Ltd. ADR | 10,677 | 944,487 | ||||||
Royal Gold, Inc. | 10,027 | 783,811 | ||||||
Kinross Gold Corp.* | 184,904 | 752,559 | ||||||
Cia de Minas Buenaventura S.A.A. ADR | 59,008 | 678,592 | ||||||
AngloGold Ashanti Ltd. ADR | 66,964 | 650,890 | ||||||
Gold Fields Ltd. ADR | 164,893 | 573,828 | ||||||
Tahoe Resources, Inc. | 65,565 | 565,170 | ||||||
Pan American Silver Corp. | 33,258 | 559,399 | ||||||
B2Gold Corp.* | 189,675 | 532,987 | ||||||
Yamana Gold, Inc. | 210,357 | 511,168 | ||||||
Hecla Mining Co. | 99,208 | 505,961 | ||||||
Eldorado Gold Corp. | 185,379 | 489,401 | ||||||
IAMGOLD Corp.* | 91,307 | 471,144 | ||||||
Alamos Gold, Inc. — Class A | 65,207 | 468,186 | ||||||
Pretium Resources, Inc.*,1 | 48,238 | 463,567 | ||||||
New Gold, Inc.* | 140,677 | 447,353 | ||||||
Coeur Mining, Inc.* | 50,440 | 432,775 | ||||||
First Majestic Silver Corp.*,1 | 50,027 | 415,724 | ||||||
Novagold Resources, Inc.* | 90,398 | 412,215 | ||||||
Sibanye Gold Ltd. ADR1 | 86,115 | 398,712 | ||||||
Silver Standard Resources, Inc.* | 37,523 | 364,348 | ||||||
MAG Silver Corp.* | 26,940 | 351,298 | ||||||
McEwen Mining, Inc.1 | 115,166 | 302,887 | ||||||
Fortuna Silver Mines, Inc.*,1 | 60,340 | 295,063 | ||||||
Harmony Gold Mining Company Ltd. ADR | 172,768 | 285,067 | ||||||
Seabridge Gold, Inc.*,1 | 25,326 | 273,521 | ||||||
Sandstorm Gold Ltd.*,1 | 65,147 | 252,119 | ||||||
Richmont Mines, Inc.* | 30,631 | 238,922 | ||||||
Endeavour Silver Corp.*,1 | 68,819 | 209,898 | ||||||
Osisko Gold Royalties Ltd. | 14,350 |
| 175,357 | |||||
Gold Resource Corp.1 | 38,610 | 157,529 | ||||||
Klondex Mines Ltd.* | 34,620 | 116,669 | ||||||
Total Mining | 22,739,445 | |||||||
Total Common Stocks | ||||||||
(Cost $13,273,224) | 22,739,445 | |||||||
EXCHANGE-TRADED FUNDS† - 4.2% | ||||||||
VanEck Vectors Junior Gold Miners ETF | 30,194 | 1,007,876 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $660,879) | 1,007,876 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
HSBC Securities, Inc. | $ | 124,635 | 124,635 | |||||
Bank of America Merrill Lynch | 46,153 | 46,153 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $170,788) | 170,788 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 6.9% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 1,632,652 | 1,632,652 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $1,632,652) | 1,632,652 | |||||||
Total Investments - 107.4% | ||||||||
(Cost $15,737,543) | $ | 25,550,761 | ||||||
Other Assets & Liabilities, net - (7.4)% | (1,771,290 | ) | ||||||
Total Net Assets - 100.0% | $ | 23,779,471 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
ADR — American Depositary Receipt | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
PRECIOUS METALS FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 22,739,445 | $ | — | $ | — | $ | 22,739,445 | ||||||||
Exchange-Traded Funds | 1,007,876 | — | — | 1,007,876 | ||||||||||||
Repurchase Agreements | — | 170,788 | — | 170,788 | ||||||||||||
Securities Lending Collateral | 1,632,652 | — | — | 1,632,652 | ||||||||||||
Total Assets | $ | 25,379,973 | $ | 170,788 | $ | — | $ | 25,550,761 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PRECIOUS METALS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $1,561,790 of securities loaned (cost $15,566,755) | $ | 25,379,973 | ||
Repurchase agreements, at value (cost $170,788) | 170,788 | |||
Total investments (cost $15,737,543) | 25,550,761 | |||
Receivables: | ||||
Securities sold | 1,152,253 | |||
Fund shares sold | 14,495 | |||
Dividends | 1,268 | |||
Foreign taxes reclaim | 310 | |||
Interest | 5 | |||
Securities lending income | 2,824 | |||
Total assets | 26,721,916 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 1,632,652 | |||
Fund shares redeemed | 1,157,495 | |||
Deferred foreign capital gain taxes | 103,613 | |||
Management fees | 15,413 | |||
Transfer agent and administrative fees | 5,138 | |||
Investor service fees | 5,138 | |||
Portfolio accounting fees | 2,055 | |||
Miscellaneous | 20,941 | |||
Total liabilities | 2,942,445 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 23,779,471 | ||
Net assets consist of: | ||||
Paid in capital | $ | 36,089,689 | ||
Accumulated net investment loss | (272,648 | ) | ||
Accumulated net realized loss on investments | (21,850,788 | ) | ||
Net unrealized appreciation on investments | 9,813,218 | |||
Net assets | $ | 23,779,471 | ||
Capital shares outstanding | 774,333 | |||
Net asset value per share | $ | 30.71 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $7,005) | $ | 88,206 | ||
Income from securities lending, net | 15,443 | |||
Interest | 568 | |||
Total investment income | 104,217 | |||
Expenses: | ||||
Management fees | 98,355 | |||
Transfer agent and administrative fees | 32,785 | |||
Investor service fees | 32,785 | |||
Portfolio accounting fees | 13,114 | |||
Professional fees | 31,228 | |||
Custodian fees | 2,616 | |||
Trustees’ fees* | 2,066 | |||
Line of credit fees | 220 | |||
Miscellaneous | (3,319 | ) | ||
Total expenses | 209,850 | |||
Net investment loss | (105,633 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (47,085 | )a | ||
Net realized loss | (47,085 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 221,540 | |||
Net change in unrealized appreciation (depreciation) | 221,540 | |||
Net realized and unrealized gain | 174,455 | |||
Net increase in net assets resulting from operations | $ | 68,822 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
a | Net of foreign capital gain taxes of $13,912. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
PRECIOUS METALS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (105,633 | ) | $ | (277,469 | ) | ||
Net realized gain (loss) on investments | (47,085 | ) | 2,667,893 | |||||
Net change in unrealized appreciation (depreciation) on investments | 221,540 | 7,821,438 | ||||||
Net increase in net assets resulting from operations | 68,822 | 10,211,862 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 74,778,068 | 99,225,855 | ||||||
Cost of shares redeemed | (73,739,253 | ) | (102,966,872 | ) | ||||
Net increase (decrease) from capital share transactions | 1,038,815 | (3,741,017 | ) | |||||
Net increase in net assets | 1,107,637 | 6,470,845 | ||||||
Net assets: | ||||||||
Beginning of period | 22,671,834 | 16,200,989 | ||||||
End of period | $ | 23,779,471 | $ | 22,671,834 | ||||
Accumulated net investment loss at end of period | $ | (272,648 | ) | $ | (167,015 | ) | ||
Capital share activity: | ||||||||
Shares sold | 2,260,272 | 3,116,390 | ||||||
Shares redeemed | (2,248,847 | ) | (3,256,149 | ) | ||||
Net increase (decrease) in shares | 11,425 | (139,759 | ) |
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PRECIOUS METALS FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 29.72 | $ | 17.95 | $ | 27.60 | $ | 33.43 | $ | 62.84 | $ | 72.16 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.13 | ) | (.29 | ) | (.12 | ) | (.11 | ) | .25 | .10 | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.12 | 12.06 | (8.01 | ) | (5.67 | ) | (29.21 | ) | (2.97 | ) | ||||||||||||||
Total from investment operations | .99 | 11.77 | (8.13 | ) | (5.78 | ) | (28.96 | ) | (2.87 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (1.52 | ) | (.05 | ) | (.45 | ) | — | |||||||||||||||
Net realized gains | — | — | — | — | — | (6.45 | ) | |||||||||||||||||
Total distributions | — | — | (1.52 | ) | (.05 | ) | (.45 | ) | (6.45 | ) | ||||||||||||||
Net asset value, end of period | $ | 30.71 | $ | 29.72 | $ | 17.95 | $ | 27.60 | $ | 33.43 | $ | 62.84 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 3.37 | % | 65.52 | % | (30.37 | %) | (17.34 | %) | (46.10 | %) | (4.10 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 23,779 | $ | 22,672 | $ | 16,201 | $ | 18,313 | $ | 22,538 | $ | 50,201 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.81 | %) | (0.90 | %) | (0.50 | %) | (0.32 | %) | 0.54 | % | 0.14 | % | ||||||||||||
Total expensesd | 1.60 | % | 1.56 | % | 1.50 | % | 1.56 | % | 1.54 | % | 1.57 | % | ||||||||||||
Portfolio turnover rate | 277 | % | 298 | % | 203 | % | 168 | % | 193 | % | 140 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2014 have been restated to reflect a 1:5 reverse share split effective January 24, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
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”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: October 1, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
American Tower Corp. — Class A | 2.2% |
Simon Property Group, Inc. | 2.0% |
Crown Castle International Corp. | 1.8% |
Public Storage | 1.7% |
Equinix, Inc. | 1.7% |
Prologis, Inc. | 1.6% |
Welltower, Inc. | 1.5% |
AvalonBay Communities, Inc. | 1.5% |
Weyerhaeuser Co. | 1.4% |
Ventas, Inc. | 1.4% |
Top Ten Total | 16.8% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Real Estate Fund | 4.03% | 2.15% | 7.68% | 2.86% |
MSCI U.S. REIT Index | 2.66% | (1.82%) | 9.38% | 5.94% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the MSCI U.S. REIT Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
84 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
REAL ESTATE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.6% | ||||||||
REITs - 95.3% | ||||||||
REITs-Diversified - 26.1% | ||||||||
American Tower Corp. — Class A | 2,599 | $ | 343,899 | |||||
Crown Castle International Corp. | 2,765 | 276,997 | ||||||
Equinix, Inc. | 618 | 265,221 | ||||||
Weyerhaeuser Co. | 6,751 | 226,159 | ||||||
Digital Realty Trust, Inc. | 1,712 | 193,370 | ||||||
SBA Communications Corp.* | 1,427 | 192,502 | ||||||
Vornado Realty Trust | 2,005 | 188,270 | ||||||
Duke Realty Corp. | 4,976 | 139,079 | ||||||
Gaming and Leisure Properties, Inc. | 3,470 | 130,715 | ||||||
Colony NorthStar, Inc. — Class A | 8,897 | 125,359 | ||||||
Lamar Advertising Co. — Class A | 1,678 | 123,450 | ||||||
WP Carey, Inc. | 1,767 | 116,640 | ||||||
Forest City Realty Trust, Inc. — Class A | 4,592 | 110,989 | ||||||
Liberty Property Trust | 2,623 | 106,782 | ||||||
CoreSite Realty Corp. | 985 | 101,977 | ||||||
EPR Properties | 1,398 | 100,474 | ||||||
DuPont Fabros Technology, Inc. | 1,589 | 97,183 | ||||||
New Residential Investment Corp. | 6,059 | 94,278 | ||||||
Gramercy Property Trust | 3,157 | 93,794 | ||||||
STORE Capital Corp. | 4,068 | 91,327 | ||||||
Uniti Group, Inc. | 3,522 | 88,543 | ||||||
Rayonier, Inc. | 3,005 | 86,454 | ||||||
GEO Group, Inc. | 2,876 | 85,043 | ||||||
Cousins Properties, Inc. | 9,592 | 84,314 | ||||||
PS Business Parks, Inc. | 635 | 84,068 | ||||||
CoreCivic, Inc. | 2,925 | 80,672 | ||||||
Outfront Media, Inc. | 3,463 | 80,065 | ||||||
Retail Properties of America, Inc. — Class A | 6,037 | 73,712 | ||||||
STAG Industrial, Inc. | 2,550 | 70,380 | ||||||
Washington Real Estate Investment Trust | 2,187 | 69,765 | ||||||
Lexington Realty Trust | 6,732 | 66,714 | ||||||
Potlatch Corp. | 1,304 | 59,593 | ||||||
American Assets Trust, Inc. | 1,506 | 59,321 | ||||||
Total REITs-Diversified | 4,107,109 | |||||||
REITs-Office Property - 11.2% | ||||||||
Boston Properties, Inc. | 1,537 | 189,082 | ||||||
Alexandria Real Estate Equities, Inc. | 1,249 | 150,467 | ||||||
SL Green Realty Corp. | 1,401 | 148,226 | ||||||
VEREIT, Inc. | 15,236 | 124,021 | ||||||
Kilroy Realty Corp. | 1,590 | 119,489 | ||||||
Douglas Emmett, Inc. | 2,819 | 107,714 | ||||||
Highwoods Properties, Inc. | 1,965 | 99,645 | ||||||
Hudson Pacific Properties, Inc. | 2,866 | 97,989 | ||||||
Equity Commonwealth* | 2,810 | 88,796 | ||||||
Paramount Group, Inc. | 5,224 | 83,584 | ||||||
Corporate Office Properties Trust | 2,324 | 81,410 | ||||||
Empire State Realty Trust, Inc. — Class A | 3,871 | 80,401 | ||||||
Brandywine Realty Trust | 4,480 | 78,534 | ||||||
Piedmont Office Realty Trust, Inc. — Class A | 3,692 | 77,827 | ||||||
Columbia Property Trust, Inc. | 3,337 | 74,682 | ||||||
Mack-Cali Realty Corp. | 2,488 |
| 67,524 | |||||
New York REIT, Inc. | 6,332 | 54,708 | ||||||
Government Properties Income Trust | 2,482 | 45,445 | ||||||
Total REITs-Office Property | 1,769,544 | |||||||
REITs-Apartments - 10.9% | ||||||||
AvalonBay Communities, Inc. | 1,195 | 229,643 | ||||||
Equity Residential | 3,287 | 216,383 | ||||||
Essex Property Trust, Inc.1 | 705 | 181,375 | ||||||
Mid-America Apartment Communities, Inc. | 1,419 | 149,534 | ||||||
UDR, Inc. | 3,640 | 141,851 | ||||||
Camden Property Trust | 1,409 | 120,484 | ||||||
Invitation Homes, Inc. | 5,450 | 117,884 | ||||||
Apartment Investment & Management Co. — Class A | 2,659 | 114,257 | ||||||
American Campus Communities, Inc. | 2,377 | 112,432 | ||||||
American Homes 4 Rent — Class A | 4,883 | 110,209 | ||||||
Colony Starwood Homes | 2,569 | 88,142 | ||||||
Education Realty Trust, Inc. | 1,933 | 74,904 | ||||||
Monogram Residential Trust, Inc. | 5,760 | 55,930 | ||||||
Total REITs-Apartments | 1,713,028 | |||||||
REITs-Health Care - 9.7% | ||||||||
Welltower, Inc. | 3,142 | 235,179 | ||||||
Ventas, Inc. | 3,194 | 221,919 | ||||||
HCP, Inc. | 5,400 | 172,584 | ||||||
Omega Healthcare Investors, Inc. | 3,495 | 115,405 | ||||||
Healthcare Trust of America, Inc. — Class A | 3,456 | 107,516 | ||||||
Senior Housing Properties Trust | 4,739 | 96,865 | ||||||
Medical Properties Trust, Inc. | 7,442 | 95,779 | ||||||
Healthcare Realty Trust, Inc. | 2,518 | 85,990 | ||||||
National Health Investors, Inc. | 1,040 | 82,368 | ||||||
Physicians Realty Trust | 3,806 | 76,653 | ||||||
Care Capital Properties, Inc. | 2,593 | 69,233 | ||||||
Quality Care Properties, Inc.* | 3,197 | 58,537 | ||||||
Sabra Health Care REIT, Inc.1 | 2,415 | 58,202 | ||||||
CareTrust REIT, Inc. | 2,740 | 50,800 | ||||||
Total REITs-Health Care | 1,527,030 | |||||||
REITs-Hotels - 6.7% | ||||||||
Host Hotels & Resorts, Inc. | 8,888 | 162,384 | ||||||
MGM Growth Properties LLC — Class A | 3,860 | 112,673 | ||||||
Park Hotels & Resorts, Inc. | 3,830 | 103,257 | ||||||
Hospitality Properties Trust | 3,284 | 95,729 | ||||||
Apple Hospitality REIT, Inc. | 4,810 | 89,995 | ||||||
Sunstone Hotel Investors, Inc. | 5,158 | 83,147 | ||||||
Ryman Hospitality Properties, Inc. | 1,263 | 80,845 | ||||||
LaSalle Hotel Properties | 2,658 | 79,208 | ||||||
RLJ Lodging Trust | 3,492 | 69,386 | ||||||
Pebblebrook Hotel Trust1 | 2,033 | 65,544 | ||||||
DiamondRock Hospitality Co. | 5,926 | 64,890 | ||||||
FelCor Lodging Trust, Inc. | 6,140 | 44,269 | ||||||
Total REITs-Hotels | 1,051,327 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 85 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
REAL ESTATE FUND |
| Shares | Value | ||||||
REITs-Shopping Centers - 6.1% | ||||||||
Regency Centers Corp. | 2,285 | $ | 143,132 | |||||
Federal Realty Investment Trust | 1,071 | 135,364 | ||||||
Kimco Realty Corp. | 6,345 | 116,431 | ||||||
Brixmor Property Group, Inc. | 5,462 | 97,661 | ||||||
Weingarten Realty Investors | 2,785 | 83,829 | ||||||
DDR Corp. | 8,667 | 78,610 | ||||||
Urban Edge Properties | 2,919 | 69,268 | ||||||
Acadia Realty Trust | 2,410 | 66,998 | ||||||
Retail Opportunity Investments Corp. | 3,233 | 62,041 | ||||||
Kite Realty Group Trust | 2,895 | 54,802 | ||||||
Ramco-Gershenson Properties Trust | 3,366 | 43,421 | ||||||
Total REITs-Shopping Centers | 951,557 | |||||||
REITs-Regional Malls - 6.0% | ||||||||
Simon Property Group, Inc. | 1,969 | 318,504 | ||||||
GGP, Inc. | 8,289 | 195,289 | ||||||
Macerich Co. | 2,215 | 128,603 | ||||||
Taubman Centers, Inc. | 1,490 | 88,730 | ||||||
Tanger Factory Outlet Centers, Inc. | 2,679 | 69,600 | ||||||
Washington Prime Group, Inc. | 6,487 | 54,296 | ||||||
CBL & Associates Properties, Inc.1 | 6,096 | 51,389 | ||||||
Pennsylvania Real Estate Investment Trust | 3,370 | 38,148 | ||||||
Total REITs-Regional Malls | 944,559 | |||||||
REITs-Mortgage - 5.5% | ||||||||
Annaly Capital Management, Inc. | 12,775 | 153,939 | ||||||
AGNC Investment Corp. | 5,628 | 119,820 | ||||||
Starwood Property Trust, Inc. | 4,830 | 108,144 | ||||||
Chimera Investment Corp. | 4,426 | 82,456 | ||||||
Two Harbors Investment Corp. | 8,261 | 81,867 | ||||||
MFA Financial, Inc. | 9,650 | 80,964 | ||||||
Blackstone Mortgage Trust, Inc. — Class A | 2,451 | 77,452 | ||||||
Invesco Mortgage Capital, Inc. | 3,603 | 60,206 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 3,180 | 58,989 | ||||||
CYS Investments, Inc. | 5,804 | 48,812 | ||||||
Total REITs-Mortgage | 872,649 | |||||||
REITs-Storage - 4.7% | ||||||||
Public Storage | 1,308 | 272,756 | ||||||
Extra Space Storage, Inc. | 1,847 | 144,066 | ||||||
Iron Mountain, Inc. | 3,996 | 137,303 | ||||||
CubeSmart | 3,941 | 94,742 | ||||||
Life Storage, Inc. | 1,130 | 83,733 | ||||||
Total REITs-Storage | 732,600 | |||||||
REITs-Warehouse/Industries - 4.2% | ||||||||
Prologis, Inc. | 4,224 | 247,695 | ||||||
CyrusOne, Inc. | 1,752 | 97,674 | ||||||
DCT Industrial Trust, Inc. | 1,808 | 96,620 | ||||||
First Industrial Realty Trust, Inc. | 2,813 | 80,508 | ||||||
EastGroup Properties, Inc.1 | 874 | 73,241 | ||||||
QTS Realty Trust, Inc. — Class A | 1,374 | 71,901 | ||||||
Total REITs-Warehouse/Industries | 667,639 | |||||||
REITs-Single Tenant - 2.7% | ||||||||
Realty Income Corp. | 3,093 |
| 170,672 | |||||
National Retail Properties, Inc. | 2,754 | 107,681 | ||||||
Spirit Realty Capital, Inc. | 10,953 | 81,162 | ||||||
Select Income | 2,673 | 64,232 | ||||||
Total REITs-Single Tenant | 423,747 | |||||||
REITs-Manufactured Homes - 1.5% | ||||||||
Equity LifeStyle Properties, Inc. | 1,445 | 124,761 | ||||||
Sun Communities, Inc.1 | 1,309 | 114,786 | ||||||
Total REITs-Manufactured Homes | 239,547 | |||||||
Total REITs | 15,000,336 | |||||||
Real Estate - 4.3% | ||||||||
Real Estate Management/Services - 2.8% | ||||||||
CBRE Group, Inc. — Class A* | 4,419 | 160,851 | ||||||
Jones Lang LaSalle, Inc. | 863 | 107,875 | ||||||
Realogy Holdings Corp. | 3,148 | 102,153 | ||||||
Kennedy-Wilson Holdings, Inc. | 3,633 | 69,209 | ||||||
Total Real Estate Management/Services | 440,088 | |||||||
Real Estate Operations/Development - 1.5% | ||||||||
Brookfield Asset Management, Inc. — Class A | 3,552 | 139,274 | ||||||
Howard Hughes Corp.* | 832 | 102,203 | ||||||
Total Real Estate Operations/Development | 241,477 | |||||||
Total Real Estate | 612,356 | |||||||
Insurance - 0.0% | ||||||||
Multi-line Insurance - 0.0% | ||||||||
Trisura Group Ltd.*,1 | 15 | 250 | ||||||
Total Common Stocks | ||||||||
(Cost $10,588,552) | 15,682,151 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.1% | ||||||||
HSBC Securities, Inc. | $ | 15,317 | 15,317 | |||||
Bank of America Merrill Lynch | 5,672 | 5,672 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $20,989) | 20,989 |
86 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
REAL ESTATE FUND |
|
| Value | ||||||
SECURITIES LENDING COLLATERAL†,3 - 2.1% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 324,013 | $ | 324,013 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $324,013) | 324,013 | |||||||
Total Investments - 101.8% | ||||||||
(Cost $10,933,554) | $ | 16,027,153 | ||||||
Other Assets & Liabilities, net - (1.8)% | (289,704 | ) | ||||||
Total Net Assets - 100.0% | $ | 15,737,449 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 15,682,151 | $ | — | $ | — | $ | 15,682,151 | ||||||||
Repurchase Agreements | — | 20,989 | — | 20,989 | ||||||||||||
Securities Lending Collateral | 324,013 | — | — | 324,013 | ||||||||||||
Total Assets | $ | 16,006,164 | $ | 20,989 | $ | — | $ | 16,027,153 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 87 |
REAL ESTATE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $314,201 of securities loaned (cost $10,912,565) | $ | 16,006,164 | ||
Repurchase agreements, at value (cost $20,989) | 20,989 | |||
Total investments (cost $10,933,554) | 16,027,153 | |||
Cash | 303 | |||
Receivables: | ||||
Securities sold | 164,346 | |||
Dividends | 86,419 | |||
Securities lending income | 33 | |||
Total assets | 16,278,254 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 324,013 | |||
Fund shares redeemed | 189,185 | |||
Management fees | 10,022 | |||
Transfer agent and administrative fees | 2,948 | |||
Investor service fees | 2,948 | |||
Portfolio accounting fees | 1,179 | |||
Miscellaneous | 10,510 | |||
Total liabilities | 540,805 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 15,737,449 | ||
Net assets consist of: | ||||
Paid in capital | $ | 17,877,411 | ||
Undistributed net investment income | 450,920 | |||
Accumulated net realized loss on investments | (7,684,481 | ) | ||
Net unrealized appreciation on investments | 5,093,599 | |||
Net assets | $ | 15,737,449 | ||
Capital shares outstanding | 400,982 | |||
Net asset value per share | $ | 39.25 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $115) | $ | 146,413 | ||
Interest | 155 | |||
Income from securities lending, net | 62 | |||
Total investment income | 146,630 | |||
Expenses: | ||||
Management fees | 50,360 | |||
Transfer agent and administrative fees | 14,812 | |||
Investor service fees | 14,812 | |||
Portfolio accounting fees | 5,925 | |||
Professional fees | 17,342 | |||
Printing expenses | 5,628 | |||
Custodian fees | 1,365 | |||
Trustees’ fees* | 1,187 | |||
Line of credit fees | 19 | |||
Miscellaneous | (10,777 | ) | ||
Total expenses | 100,673 | |||
Net investment income | 45,957 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 4,318 | |||
Net realized gain | 4,318 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 317,152 | |||
Net change in unrealized appreciation (depreciation) | 317,152 | |||
Net realized and unrealized gain | 321,470 | |||
Net increase in net assets resulting from operations | $ | 367,427 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
88 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
REAL ESTATE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 45,957 | $ | 288,667 | ||||
Net realized gain on investments | 4,318 | 1,500,341 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 317,152 | (402,997 | ) | |||||
Net increase in net assets resulting from operations | 367,427 | 1,386,011 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (184,035 | ) | |||||
Total distributions to shareholders | — | (184,035 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 20,088,227 | 55,643,449 | ||||||
Distributions reinvested | — | 184,035 | ||||||
Cost of shares redeemed | (16,226,715 | ) | (61,844,683 | ) | ||||
Net increase (decrease) from capital share transactions | 3,861,512 | (6,017,199 | ) | |||||
Net increase (decrease) in net assets | 4,228,939 | (4,815,223 | ) | |||||
Net assets: | ||||||||
Beginning of period | 11,508,510 | 16,323,733 | ||||||
End of period | $ | 15,737,449 | $ | 11,508,510 | ||||
Undistributed net investment income at end of period | $ | 450,920 | $ | 404,963 | ||||
Capital share activity: | ||||||||
Shares sold | 518,646 | 1,515,640 | ||||||
Shares issued from reinvestment of distributions | — | 4,676 | ||||||
Shares redeemed | (422,736 | ) | (1,688,386 | ) | ||||
Net increase (decrease) in shares | 95,910 | (168,070 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 89 |
REAL ESTATE FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 37.72 | $ | 34.50 | $ | 36.41 | $ | 30.42 | $ | 30.15 | $ | 25.90 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .15 | .63 | .53 | .50 | .57 | .45 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.38 | 2.88 | (1.44 | ) | 5.88 | .62 | 4.28 | |||||||||||||||||
Total from investment operations | 1.53 | 3.51 | (.91 | ) | 6.38 | 1.19 | 4.73 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.29 | ) | (1.00 | ) | (.39 | ) | (.92 | ) | (.48 | ) | |||||||||||||
Total distributions | — | (.29 | ) | (1.00 | ) | (.39 | ) | (.92 | ) | (.48 | ) | |||||||||||||
Net asset value, end of period | $ | 39.25 | $ | 37.72 | $ | 34.50 | $ | 36.41 | $ | 30.42 | $ | 30.15 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 4.03 | % | 10.15 | % | (2.52 | %) | 21.01 | % | 3.94 | % | 18.34 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 15,737 | $ | 11,509 | $ | 16,324 | $ | 28,021 | $ | 14,784 | $ | 21,575 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.78 | % | 1.73 | % | 1.46 | % | 1.48 | % | 1.76 | % | 1.54 | % | ||||||||||||
Total expenses | 1.70 | % | 1.65 | % | 1.60 | % | 1.66 | % | 1.64 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 144 | % | 279 | % | 259 | % | 277 | % | 416 | % | 348 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
90 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
RETAILING FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in merchandising finished goods and services, including department stores, mail order operations and other companies involved in selling products to consumers (“Retailing Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: July 23, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Amazon.com, Inc. | 7.8% |
Wal-Mart Stores, Inc. | 5.2% |
Home Depot, Inc. | 4.7% |
Priceline Group, Inc. | 3.5% |
CVS Health Corp. | 3.1% |
Walgreens Boots Alliance, Inc. | 3.1% |
Netflix, Inc. | 2.9% |
Lowe’s Cos., Inc. | 2.8% |
Costco Wholesale Corp. | 2.8% |
TJX Cos., Inc. | 2.4% |
Top Ten Total | 38.3% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Retailing Fund | 0.99% | 3.78% | 8.95% | 6.12% |
S&P 500 Consumer Discretionary Index | 11.00% | 16.90% | 17.41% | 10.47% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Consumer Discretionary Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 91 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
RETAILING FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.7% | ||||||||
Retail - 70.9% | ||||||||
Wal-Mart Stores, Inc. | 3,078 | $ | 232,944 | |||||
Home Depot, Inc. | 1,366 | 209,545 | ||||||
CVS Health Corp. | 1,743 | 140,242 | ||||||
Walgreens Boots Alliance, Inc. | 1,780 | 139,392 | ||||||
Lowe’s Cos., Inc. | 1,620 | 125,599 | ||||||
Costco Wholesale Corp. | 776 | 124,106 | ||||||
TJX Cos., Inc. | 1,510 | 108,977 | ||||||
Target Corp. | 1,567 | 81,938 | ||||||
Ross Stores, Inc. | 1,292 | 74,587 | ||||||
Dollar General Corp. | 977 | 70,432 | ||||||
O’Reilly Automotive, Inc.* | 320 | 69,997 | ||||||
Best Buy Co., Inc. | 1,192 | 68,337 | ||||||
Ulta Beauty, Inc.* | 228 | 65,514 | ||||||
Dollar Tree, Inc.* | 933 | 65,235 | ||||||
L Brands, Inc. | 1,158 | 62,405 | ||||||
AutoZone, Inc.* | 107 | 61,039 | ||||||
Genuine Parts Co. | 614 | 56,955 | ||||||
CarMax, Inc.*,1 | 879 | 55,430 | ||||||
Tiffany & Co. | 567 | 53,224 | ||||||
Gap, Inc. | 2,053 | 45,145 | ||||||
Advance Auto Parts, Inc. | 377 | 43,954 | ||||||
Macy’s, Inc. | 1,881 | 43,714 | ||||||
Staples, Inc. | 4,247 | 42,767 | ||||||
Nordstrom, Inc.1 | 893 | 42,712 | ||||||
Kohl’s Corp. | 1,094 | 42,305 | ||||||
Foot Locker, Inc. | 835 | 41,149 | ||||||
Tractor Supply Co. | 750 | 40,658 | ||||||
Burlington Stores, Inc.* | 420 | 38,636 | ||||||
Dick’s Sporting Goods, Inc. | 844 | 33,617 | ||||||
Williams-Sonoma, Inc. | 664 | 32,204 | ||||||
Cabela’s, Inc.* | 530 | 31,493 | ||||||
AutoNation, Inc.* | 736 | 31,030 | ||||||
Signet Jewelers Ltd.1 | 477 | 30,165 | ||||||
Rite Aid Corp.* | 10,214 | 30,131 | ||||||
Penske Automotive Group, Inc. | 685 | 30,078 | ||||||
Bed Bath & Beyond, Inc. | 986 | 29,974 | ||||||
Michaels Companies, Inc.* | 1,602 | 29,669 | ||||||
Five Below, Inc.* | 555 | 27,400 | ||||||
RH*,1 | 410 | 26,453 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 618 | 26,327 | ||||||
Office Depot, Inc. | 4,627 | 26,096 | ||||||
Sally Beauty Holdings, Inc.* | 1,266 | 25,637 | ||||||
PriceSmart, Inc. | 291 | 25,492 | ||||||
GameStop Corp. — Class A | 1,124 | 24,290 | ||||||
Urban Outfitters, Inc.* | 1,290 | 23,917 | ||||||
American Eagle Outfitters, Inc. | 1,966 | 23,690 | ||||||
Big Lots, Inc.1 | 484 | 23,377 | ||||||
Lithia Motors, Inc. — Class A | 245 | 23,086 | ||||||
HSN, Inc. | 665 | 21,214 | ||||||
Dillard’s, Inc. — Class A1 | 361 | 20,826 | ||||||
Children’s Place, Inc. | 201 | 20,522 | ||||||
DSW, Inc. — Class A | 1,043 | 18,461 | ||||||
Group 1 Automotive, Inc. | 289 | 18,299 | ||||||
J.C. Penney Company, Inc.*,1 | 3,932 | 18,284 | ||||||
Sears Holdings Corp.* | 2,047 |
| 18,136 | |||||
Chico’s FAS, Inc. | 1,872 | 17,634 | ||||||
Guess?, Inc. | 1,349 | 17,240 | ||||||
Asbury Automotive Group, Inc.* | 296 | 16,739 | ||||||
Tile Shop Holdings, Inc. | 794 | 16,396 | ||||||
Abercrombie & Fitch Co. — Class A | 1,198 | 14,903 | ||||||
Lumber Liquidators Holdings, Inc.*,1 | 579 | 14,510 | ||||||
Genesco, Inc.* | 389 | 13,187 | ||||||
Express, Inc.* | 1,844 | 12,447 | ||||||
GNC Holdings, Inc. — Class A1 | 1,458 | 12,291 | ||||||
Finish Line, Inc. — Class A | 850 | 12,045 | ||||||
Conn’s, Inc.*,1 | 611 | 11,670 | ||||||
Tailored Brands, Inc. | 1,009 | 11,260 | ||||||
Francesca’s Holdings Corp.* | 949 | 10,382 | ||||||
Hibbett Sports, Inc.* | 491 | 10,188 | ||||||
Pier 1 Imports, Inc. | 1,923 | 9,980 | ||||||
Fred’s, Inc. — Class A1 | 1,041 | 9,608 | ||||||
Zumiez, Inc.* | 734 | 9,065 | ||||||
Big 5 Sporting Goods Corp. | 613 | 8,000 | ||||||
Total Retail | 3,164,351 | |||||||
Internet - 23.5% | ||||||||
Amazon.com, Inc.* | 357 | 345,576 | ||||||
Priceline Group, Inc.* | 83 | 155,253 | ||||||
Netflix, Inc.* | 872 | 130,286 | ||||||
JD.com, Inc. ADR* | 2,215 | 86,872 | ||||||
Expedia, Inc. | 505 | 75,220 | ||||||
Ctrip.com International Ltd. ADR* | 1,356 | 73,034 | ||||||
Wayfair, Inc. — Class A* | 502 | 38,594 | ||||||
TripAdvisor, Inc.* | 977 | 37,321 | ||||||
Vipshop Holdings Ltd. ADR* | 3,486 | 36,777 | ||||||
Liberty Expedia Holdings, Inc. — Class A* | 533 | 28,793 | ||||||
Etsy, Inc.* | 1,421 | 21,315 | ||||||
Shutterfly, Inc.* | 420 | 19,950 | ||||||
Total Internet | 1,048,991 | |||||||
Distribution & Wholesale - 2.3% | ||||||||
LKQ Corp.* | 1,509 | 49,721 | ||||||
Pool Corp. | 287 | 33,743 | ||||||
Core-Mark Holding Company, Inc. | 555 | 18,348 | ||||||
Total Distribution & Wholesale | 101,812 | |||||||
Commercial Services - 1.7 % | ||||||||
Aaron’s, Inc. | 648 | 25,207 | ||||||
NutriSystem, Inc. | 370 | 19,259 | ||||||
Monro Muffler Brake, Inc. | 415 | 17,326 | ||||||
Rent-A-Center, Inc.1 | 1,005 | 11,779 | ||||||
Total Commercial Services | 73,571 | |||||||
Oil & Gas - 0.6% | ||||||||
Murphy USA, Inc.* | 357 | 26,457 | ||||||
Home Furnishings - 0.4% | ||||||||
Select Comfort Corp.* | 544 | 19,307 |
92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
RETAILING FUND |
| Shares | Value | ||||||
Leisure Time - 0.3% | ||||||||
Liberty TripAdvisor Holdings, Inc. — Class A* | 1,302 | $ | 15,103 | |||||
Total Common Stocks | ||||||||
(Cost $3,910,526) | 4,449,592 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.3% | ||||||||
HSBC Securities, Inc. | $ | 8,623 | 8,623 | |||||
Bank of America Merrill Lynch | 3,193 | 3,193 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $11,816) | 11,816 | |||||||
SECURITIES LENDING COLLATERAL†,3 - 4.2% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 186,616 |
| 186,616 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $186,616) | 186,616 | |||||||
Total Investments - 104.2% | ||||||||
(Cost $4,108,958) | $ | 4,648,024 | ||||||
Other Assets & Liabilities, net - (4.2)% | (186,575 | ) | ||||||
Total Net Assets - 100.0% | $ | 4,461,449 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
ADR — American Depositary Receipt | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 4,449,592 | $ | — | $ | — | $ | 4,449,592 | ||||||||
Repurchase Agreements | — | 11,816 | — | 11,816 | ||||||||||||
Securities Lending Collateral | 186,616 | — | — | 186,616 | ||||||||||||
Total Assets | $ | 4,636,208 | $ | 11,816 | $ | — | $ | 4,648,024 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 93 |
RETAILING FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $182,139 of securities loaned (cost $4,097,142) | $ | 4,636,208 | ||
Repurchase agreements, at value (cost $11,816) | 11,816 | |||
Total investments (cost $4,108,958) | 4,648,024 | |||
Cash | 146 | |||
Receivables: | ||||
Fund shares sold | 10,392 | |||
Dividends | 3,181 | |||
Securities lending income | 738 | |||
Total assets | 4,662,481 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 186,616 | |||
Management fees | 3,297 | |||
Fund shares redeemed | 2,185 | |||
Transfer agent and administrative fees | 970 | |||
Investor service fees | 970 | |||
Portfolio accounting fees | 388 | |||
Miscellaneous | 6,606 | |||
Total liabilities | 201,032 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 4,461,449 | ||
Net assets consist of: | ||||
Paid in capital | $ | 4,966,027 | ||
Undistributed net investment income | 5,924 | |||
Accumulated net realized loss on investments | (1,049,568 | ) | ||
Net unrealized appreciation on investments | 539,066 | |||
Net assets | $ | 4,461,449 | ||
Capital shares outstanding | 67,024 | |||
Net asset value per share | $ | 66.56 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $144) | $ | 46,541 | ||
Income from securities lending, net | 3,333 | |||
Interest | 84 | |||
Total investment income | 49,958 | |||
Expenses: | ||||
Management fees | 22,036 | |||
Transfer agent and administrative fees | 6,481 | |||
Investor service fees | 6,481 | |||
Portfolio accounting fees | 2,593 | |||
Professional fees | 6,432 | |||
Printing expenses | 2,285 | |||
Custodian fees | 546 | |||
Trustees’ fees* | 451 | |||
Line of credit fees | 23 | |||
Miscellaneous | (3,281 | ) | ||
Total expenses | 44,047 | |||
Net investment income | 5,911 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (205,246 | ) | ||
Net realized loss | (205,246 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 163,342 | |||
Net change in unrealized appreciation (depreciation) | 163,342 | |||
Net realized and unrealized loss | (41,904 | ) | ||
Net decrease in net assets resulting from operations | $ | (35,993 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
94 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RETAILING FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 5,911 | $ | (13,684 | ) | |||
Net realized gain (loss) on investments | (205,246 | ) | 2,536,259 | |||||
Net change in unrealized appreciation (depreciation) on investments | 163,342 | (2,745,127 | ) | |||||
Net decrease in net assets resulting from operations | (35,993 | ) | (222,552 | ) | ||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (367,955 | ) | |||||
Total distributions to shareholders | — | (367,955 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 13,826,509 | 39,987,987 | ||||||
Distributions reinvested | — | 367,955 | ||||||
Cost of shares redeemed | (14,607,007 | ) | (42,815,112 | ) | ||||
Net decrease from capital share transactions | (780,498 | ) | (2,459,170 | ) | ||||
Net decrease in net assets | (816,491 | ) | (3,049,677 | ) | ||||
Net assets: | ||||||||
Beginning of period | 5,277,940 | 8,327,617 | ||||||
End of period | $ | 4,461,449 | $ | 5,277,940 | ||||
Undistributed net investment income at end of period | $ | 5,924 | $ | 13 | ||||
Capital share activity: | ||||||||
Shares sold | 204,747 | 585,034 | * | |||||
Shares issued from reinvestment of distributions | — | 5,538 | * | |||||
Shares redeemed | (217,799 | ) | (629,525 | )* | ||||
Net decrease in shares | (13,052 | ) | (38,953 | )* |
* | Capital share activity for the year ended December 31, 2016, has been restated to reflect a 1:4 reverse share split effective December 1, 2016 — See Note 9. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 95 |
RETAILING FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 65.91 | $ | 69.96 | $ | 77.68 | $ | 81.49 | $ | 66.82 | $ | 57.26 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .08 | (.05 | ) | (.16 | ) | (.40 | ) | (.36 | ) | — | c | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | .57 | (2.93 | ) | (.20 | ) | 6.79 | 24.19 | 9.56 | ||||||||||||||||
Total from investment operations | .65 | (2.98 | ) | (.36 | ) | 6.39 | 23.83 | 9.56 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | (— | )e | — | |||||||||||||||||
Net realized gains | — | (1.07 | ) | (7.36 | ) | (10.20 | ) | (9.16 | ) | — | ||||||||||||||
Total distributions | — | (1.07 | ) | (7.36 | ) | (10.20 | ) | (9.16 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 66.56 | $ | 65.91 | $ | 69.96 | $ | 77.68 | $ | 81.49 | $ | 66.82 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnd | 0.99 | % | 0.30 | % | (1.33 | %) | 8.66 | % | 35.80 | % | 16.77 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,461 | $ | 5,278 | $ | 8,328 | $ | 7,304 | $ | 9,470 | $ | 6,194 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.23 | % | (0.25 | %) | (0.19 | %) | (0.51 | %) | (0.46 | %) | 0.01 | % | ||||||||||||
Total expenses | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | 1.64 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 276 | % | 668 | % | 225 | % | 452 | % | 1,219 | % | 1,043 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Net investment income is less than $0.01 per share. |
d | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
e | Distributions from net investment income are less than $0.01 per share. |
f | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:4 reverse share split effective December 1, 2016 — See Note 9. |
96 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
TECHNOLOGY FUND
OBJECTIVE: Seeks to provide 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”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 2, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Apple, Inc. | 3.5% |
Alphabet, Inc. — Class A | 3.1% |
Microsoft Corp. | 2.9% |
Facebook, Inc. — Class A | 2.6% |
Oracle Corp. | 1.9% |
Visa, Inc. — Class A | 1.8% |
Intel Corp. | 1.6% |
Cisco Systems, Inc. | 1.6% |
International Business Machines Corp. | 1.5% |
Mastercard, Inc. — Class A | 1.4% |
Top Ten Total | 21.9% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Technology Fund | 16.23% | 30.44% | 15.31% | 6.44% |
S&P 500 Information Technology Index | 17.23% | 33.89% | 17.18% | 10.70% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Information Technology Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 97 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
TECHNOLOGY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 98.8% | ||||||||
Software - 23.4% | ||||||||
Microsoft Corp. | 9,858 | $ | 679,511 | |||||
Oracle Corp. | 9,050 | 453,766 | ||||||
Adobe Systems, Inc.* | 1,806 | 255,441 | ||||||
Salesforce.com, Inc.* | 2,761 | 239,103 | ||||||
Activision Blizzard, Inc. | 3,336 | 192,054 | ||||||
VMware, Inc. — Class A*,1 | 2,118 | 185,177 | ||||||
NetEase, Inc. ADR | 581 | 174,666 | ||||||
Intuit, Inc. | 1,265 | 168,005 | ||||||
Electronic Arts, Inc.* | 1,583 | 167,355 | ||||||
Fidelity National Information Services, Inc. | 1,827 | 156,026 | ||||||
Fiserv, Inc.* | 1,212 | 148,276 | ||||||
Autodesk, Inc.* | 1,397 | 140,846 | ||||||
Workday, Inc. — Class A* | 1,360 | 131,920 | ||||||
ServiceNow, Inc.* | 1,240 | 131,440 | ||||||
Red Hat, Inc.* | 1,344 | 128,688 | ||||||
Paychex, Inc. | 2,245 | 127,830 | ||||||
CA, Inc. | 3,388 | 116,784 | ||||||
First Data Corp. — Class A* | 6,330 | 115,206 | ||||||
Citrix Systems, Inc.* | 1,314 | 104,568 | ||||||
Synopsys, Inc.* | 1,340 | 97,726 | ||||||
ANSYS, Inc.* | 800 | 97,344 | ||||||
Cadence Design Systems, Inc.* | 2,701 | 90,456 | ||||||
Broadridge Financial Solutions, Inc. | 1,165 | 88,027 | ||||||
Akamai Technologies, Inc.* | 1,719 | 85,623 | ||||||
Splunk, Inc.* | 1,500 | 85,335 | ||||||
Jack Henry & Associates, Inc. | 819 | 85,070 | ||||||
Take-Two Interactive Software, Inc.* | 1,120 | 82,186 | ||||||
SS&C Technologies Holdings, Inc. | 2,110 | 81,045 | ||||||
Tyler Technologies, Inc.* | 447 | 78,524 | ||||||
Ultimate Software Group, Inc.* | 367 | 77,092 | ||||||
PTC, Inc.* | 1,340 | 73,861 | ||||||
Momo, Inc. ADR* | 1,930 | 71,333 | ||||||
Nuance Communications, Inc.* | 3,764 | 65,531 | ||||||
Tableau Software, Inc. — Class A* | 1,060 | 64,946 | ||||||
Aspen Technology, Inc.* | 1,150 | 63,549 | ||||||
Blackbaud, Inc. | 700 | 60,025 | ||||||
Paycom Software, Inc.* | 870 | 59,517 | ||||||
j2 Global, Inc.1 | 685 | 58,287 | ||||||
Manhattan Associates, Inc.* | 1,135 | 54,548 | ||||||
Twilio, Inc. — Class A*,1 | 1,700 | 49,487 | ||||||
Verint Systems, Inc.* | 1,160 | 47,212 | ||||||
CommVault Systems, Inc.* | 830 | 46,854 | ||||||
Cornerstone OnDemand, Inc.* | 1,150 | 41,113 | ||||||
Synchronoss Technologies, Inc.* | 2,110 | 34,710 | ||||||
Total Software | 5,556,063 | |||||||
Semiconductors - 18.1% | ||||||||
Intel Corp. | 10,933 | 368,880 | ||||||
Broadcom Ltd. | 1,224 | 285,253 | ||||||
QUALCOMM, Inc. | 4,781 | 264,007 | ||||||
NVIDIA Corp. | 1,803 | 260,642 | ||||||
Texas Instruments, Inc. | 3,332 | 256,331 | ||||||
Applied Materials, Inc. | 4,793 | 197,999 | ||||||
Micron Technology, Inc.* | 5,636 | 168,291 | ||||||
Analog Devices, Inc. | 2,065 |
| 160,657 | |||||
NXP Semiconductor N.V.* | 1,463 | 160,125 | ||||||
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 4,234 | 148,021 | ||||||
Lam Research Corp. | 1,000 | 141,430 | ||||||
Marvell Technology Group Ltd. | 7,975 | 131,747 | ||||||
Skyworks Solutions, Inc. | 1,279 | 122,720 | ||||||
Microchip Technology, Inc. | 1,574 | 121,481 | ||||||
Xilinx, Inc. | 1,843 | 118,542 | ||||||
KLA-Tencor Corp. | 1,230 | 112,557 | ||||||
Maxim Integrated Products, Inc. | 2,320 | 104,168 | ||||||
Advanced Micro Devices, Inc.*,1 | 8,336 | 104,033 | ||||||
IPG Photonics Corp.* | 595 | 86,335 | ||||||
Qorvo, Inc.* | 1,302 | 82,443 | ||||||
Teradyne, Inc. | 2,461 | 73,904 | ||||||
ON Semiconductor Corp.* | 4,906 | 68,880 | ||||||
Microsemi Corp.* | 1,459 | 68,281 | ||||||
ASML Holding N.V. — Class G | 510 | 66,458 | ||||||
Cypress Semiconductor Corp. | 4,728 | 64,537 | ||||||
Cavium, Inc.* | 1,000 | 62,130 | ||||||
Cirrus Logic, Inc.* | 961 | 60,274 | ||||||
Monolithic Power Systems, Inc. | 622 | 59,961 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 1,040 | 58,001 | ||||||
Integrated Device Technology, Inc.* | 2,232 | 57,563 | ||||||
MKS Instruments, Inc. | 841 | 56,599 | ||||||
Silicon Laboratories, Inc.* | 740 | 50,579 | ||||||
Entegris, Inc.* | 2,280 | 50,046 | ||||||
Ambarella, Inc.*,1 | 853 | 41,413 | ||||||
Synaptics, Inc.* | 779 | 40,282 | ||||||
Inphi Corp.* | 1,070 | 36,701 | ||||||
Total Semiconductors | 4,311,271 | |||||||
Internet - 16.6% | ||||||||
Alphabet, Inc. — Class A* | 798 | 741,885 | ||||||
Facebook, Inc. — Class A* | 4,146 | 625,963 | ||||||
Alibaba Group Holding Ltd. ADR* | 1,880 | 264,892 | ||||||
Baidu, Inc. ADR* | 1,278 | 228,583 | ||||||
eBay, Inc.* | 5,312 | 185,495 | ||||||
Symantec Corp. | 5,067 | 143,143 | ||||||
Weibo Corp. ADR*,1 | 2,001 | 133,000 | ||||||
MercadoLibre, Inc. | 526 | 131,963 | ||||||
SINA Corp.* | 1,469 | 124,821 | ||||||
Twitter, Inc.* | 6,442 | 115,119 | ||||||
Palo Alto Networks, Inc.* | 729 | 97,547 | ||||||
CDW Corp. | 1,450 | 90,669 | ||||||
VeriSign, Inc.* | 975 | 90,636 | ||||||
Zillow Group, Inc. — Class C* | 1,840 | 90,178 | ||||||
IAC/InterActiveCorp* | 860 | 88,786 | ||||||
F5 Networks, Inc.* | 662 | 84,114 | ||||||
GoDaddy, Inc. — Class A* | 1,900 | 80,598 | ||||||
Snap, Inc. — Class A*,1 | 4,370 | 77,655 | ||||||
Shopify, Inc. — Class A* | 770 | 66,913 | ||||||
Wix.com Ltd.* | 940 | 65,424 | ||||||
Proofpoint, Inc.* | 670 | 58,176 | ||||||
GrubHub, Inc.* | 1,310 | 57,116 |
98 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
TECHNOLOGY FUND |
| Shares | Value | ||||||
Pandora Media, Inc.*,1 | 5,945 | $ | 53,029 | |||||
FireEye, Inc.*,1 | 3,224 | 49,037 | ||||||
Stamps.com, Inc.*,1 | 303 | 46,927 | ||||||
WebMD Health Corp. — Class A* | 746 | 43,753 | ||||||
Yelp, Inc. — Class A* | 1,438 | 43,169 | ||||||
TrueCar, Inc.* | 2,000 | 39,860 | ||||||
Imperva, Inc.* | 789 | 37,754 | ||||||
Total Internet | 3,956,205 | |||||||
Computers - 15.0% | ||||||||
Apple, Inc. | 5,796 | 834,739 | ||||||
International Business Machines Corp. | 2,292 | 352,577 | ||||||
Cognizant Technology Solutions Corp. — Class A | 2,783 | 184,791 | ||||||
HP, Inc. | 9,685 | 169,294 | ||||||
Hewlett Packard Enterprise Co. | 10,008 | 166,033 | ||||||
Western Digital Corp. | 1,745 | 154,607 | ||||||
Accenture plc — Class A | 1,222 | 151,137 | ||||||
DXC Technology Co. | 1,884 | 144,540 | ||||||
Check Point Software Technologies Ltd.* | 1,274 | 138,968 | ||||||
Infosys Ltd. ADR | 8,673 | 130,268 | ||||||
NetApp, Inc. | 2,579 | 103,289 | ||||||
Seagate Technology plc | 2,555 | 99,006 | ||||||
Amdocs Ltd. | 1,400 | 90,244 | ||||||
Leidos Holdings, Inc. | 1,540 | 79,603 | ||||||
Fortinet, Inc.* | 2,065 | 77,314 | ||||||
NCR Corp.* | 1,652 | 67,468 | ||||||
Brocade Communications Systems, Inc. | 5,314 | 67,010 | ||||||
CSRA, Inc. | 2,030 | 64,453 | ||||||
Teradata Corp.* | 1,992 | 58,744 | ||||||
MAXIMUS, Inc. | 922 | 57,745 | ||||||
Conduent, Inc.* | 3,482 | 55,503 | ||||||
Nutanix, Inc. — Class A*,1 | 2,730 | 55,010 | ||||||
NetScout Systems, Inc.* | 1,519 | 52,254 | ||||||
Lumentum Holdings, Inc.* | 910 | 51,916 | ||||||
Diebold Nixdorf, Inc. | 1,592 | 44,576 | ||||||
VeriFone Systems, Inc.* | 2,393 | 43,313 | ||||||
Electronics for Imaging, Inc.* | 880 | 41,694 | ||||||
3D Systems Corp.*,1 | 2,170 | 40,579 | ||||||
Total Computers | 3,576,675 | |||||||
Commercial Services - 6.6% | ||||||||
PayPal Holdings, Inc.* | 4,431 | 237,813 | ||||||
Automatic Data Processing, Inc. | 1,953 | 200,104 | ||||||
Global Payments, Inc. | 1,223 | 110,461 | ||||||
FleetCor Technologies, Inc.* | 750 | 108,158 | ||||||
Vantiv, Inc. — Class A* | 1,640 | 103,878 | ||||||
Gartner, Inc.* | 799 | 98,684 | ||||||
Total System Services, Inc. | 1,642 | 95,647 | ||||||
CoStar Group, Inc.* | 350 | 92,260 | ||||||
CDK Global, Inc. | 1,439 | 89,304 | ||||||
Western Union Co. | 4,680 | 89,154 | ||||||
Square, Inc. — Class A* | 3,590 | 84,221 | ||||||
Sabre Corp. | 3,296 | 71,754 | ||||||
Euronet Worldwide, Inc.* | 710 | 62,033 | ||||||
WEX, Inc.* | 590 | 61,519 | ||||||
Booz Allen Hamilton Holding Corp. | 1,810 |
| 58,897 | |||||
Total Commercial Services | 1,563,887 | |||||||
Electronics - 5.9% | ||||||||
Corning, Inc. | 5,222 | 156,921 | ||||||
Amphenol Corp. — Class A | 1,862 | 137,453 | ||||||
TE Connectivity Ltd. | 1,710 | 134,543 | ||||||
Flex Ltd.* | 5,369 | 87,568 | ||||||
Trimble, Inc.* | 2,446 | 87,249 | ||||||
Keysight Technologies, Inc.* | 2,180 | 84,867 | ||||||
Arrow Electronics, Inc.* | 1,001 | 78,498 | ||||||
Coherent, Inc.*,1 | 320 | 71,997 | ||||||
Jabil, Inc. | 2,344 | 68,421 | ||||||
National Instruments Corp. | 1,700 | 68,374 | ||||||
FLIR Systems, Inc. | 1,880 | 65,161 | ||||||
Avnet, Inc. | 1,650 | 64,152 | ||||||
Tech Data Corp.* | 580 | 58,580 | ||||||
Sanmina Corp.* | 1,300 | 49,530 | ||||||
Itron, Inc.* | 700 | 47,425 | ||||||
II-VI, Inc.* | 1,280 | 43,904 | ||||||
TTM Technologies, Inc.* | 2,096 | 36,387 | ||||||
Applied Optoelectronics, Inc.*,1 | 550 | 33,985 | ||||||
Fitbit, Inc. — Class A*,1 | 6,380 | 33,878 | ||||||
Total Electronics | 1,408,893 | |||||||
Telecommunications - 5.6% | ||||||||
Cisco Systems, Inc. | 11,779 | 368,682 | ||||||
Motorola Solutions, Inc. | 1,285 | 111,461 | ||||||
Arista Networks, Inc.* | 648 | 97,064 | ||||||
Juniper Networks, Inc. | 3,431 | 95,656 | ||||||
CommScope Holding Company, Inc.* | 2,103 | 79,977 | ||||||
LogMeIn, Inc. | 651 | 68,030 | ||||||
ARRIS International plc* | 2,323 | 65,090 | ||||||
Ubiquiti Networks, Inc.*,1 | 1,192 | 61,948 | ||||||
ViaSat, Inc.*,1 | 857 | 56,733 | ||||||
Ciena Corp.* | 2,113 | 52,867 | ||||||
Finisar Corp.* | 1,919 | 49,856 | ||||||
InterDigital, Inc. | 632 | 48,854 | ||||||
Viavi Solutions, Inc.* | 4,284 | 45,111 | ||||||
Acacia Communications, Inc.*,1 | 886 | 36,742 | ||||||
Oclaro, Inc.*,1 | 3,782 | 35,324 | ||||||
Gigamon, Inc.* | 870 | 34,235 | ||||||
NETGEAR, Inc.* | 789 | 34,006 | ||||||
Total Telecommunications | 1,341,636 | |||||||
Diversified Financial Services - 4.2% | ||||||||
Visa, Inc. — Class A | 4,643 | 435,420 | ||||||
Mastercard, Inc. — Class A | 2,780 | 337,631 | ||||||
Alliance Data Systems Corp. | 443 | 113,714 | ||||||
Ellie Mae, Inc.* | 520 | 57,153 | ||||||
Blackhawk Network Holdings, Inc.* | 1,080 | 47,088 | ||||||
Total Diversified Financial Services | 991,006 | |||||||
Electrical Components & Equipment - 0.7% | ||||||||
Universal Display Corp. | 600 | 65,550 | ||||||
Littelfuse, Inc. | 350 | 57,750 | ||||||
Advanced Energy Industries, Inc.* | 728 | 47,094 | ||||||
Total Electrical Components & Equipment | 170,394 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 99 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
TECHNOLOGY FUND |
| Shares | Value | ||||||
Machinery-Diversified - 0.6% | ||||||||
Cognex Corp. | 930 | $ | 78,957 | |||||
Zebra Technologies Corp. — Class A* | 675 | 67,851 | ||||||
Total Machinery-Diversified | 146,808 | |||||||
Auto Parts & Equipment - 0.6% | ||||||||
Mobileye N.V.* | 2,150 | 135,020 | ||||||
Aerospace & Defense - 0.5% | ||||||||
Harris Corp. | 991 | 108,098 | ||||||
Office & Business Equipment - 0.3% | ||||||||
Xerox Corp. | 2,858 | 82,110 | ||||||
Energy-Alternate Sources - 0.3% | ||||||||
First Solar, Inc.* | 1,680 | 66,998 | ||||||
Building Materials - 0.2% | ||||||||
Cree, Inc.* | 1,863 | 45,923 | ||||||
Media - 0.2% | ||||||||
TiVo Corp. | 2,359 | 43,995 | ||||||
Total Common Stocks | ||||||||
(Cost $15,997,988) | 23,504,982 | |||||||
CLOSED-END FUNDS† - 0.9% | ||||||||
Altaba, Inc.* | 3,917 | 213,398 | ||||||
Total Closed-End Funds | ||||||||
(Cost $127,812) | 213,398 |
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.8% | ||||||||
HSBC Securities, Inc. | $ | 137,394 |
| 137,394 | ||||
Bank of America Merrill Lynch | 50,878 | 50,878 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $188,272) | 188,272 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 3.1% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 731,235 | 731,235 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $731,235) | 731,235 | |||||||
Total Investments - 103.6% | ||||||||
(Cost $17,045,307) | $ | 24,637,887 | ||||||
Other Assets & Liabilities, net - (3.6)% | (851,567 | ) | ||||||
Total Net Assets - 100.0% | $ | 23,786,320 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Closed-End Funds | $ | 213,398 | $ | — | $ | — | $ | 213,398 | ||||||||
Common Stocks | 23,504,982 | — | — | 23,504,982 | ||||||||||||
Repurchase Agreements | — | 188,272 | — | 188,272 | ||||||||||||
Securities Lending Collateral | 731,235 | — | — | 731,235 | ||||||||||||
Total Assets | $ | 24,449,615 | $ | 188,272 | $ | — | $ | 24,637,887 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
100 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TECHNOLOGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $706,502 of securities loaned (cost $16,857,035) | $ | 24,449,615 | ||
Repurchase agreements, at value (cost $188,272) | 188,272 | |||
Total investments (cost $17,045,307) | 24,637,887 | |||
Cash | 1,452 | |||
Receivables: | ||||
Securities sold | 352,556 | |||
Dividends | 15,124 | |||
Foreign taxes reclaim | 471 | |||
Interest | 6 | |||
Securities lending income | 1,107 | |||
Total assets | 25,008,603 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 731,235 | |||
Fund shares redeemed | 428,868 | |||
Management fees | 19,011 | |||
Transfer agent and administrative fees | 5,591 | |||
Investor service fees | 5,591 | |||
Portfolio accounting fees | 2,237 | |||
Miscellaneous | 29,750 | |||
Total liabilities | 1,222,283 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 23,786,320 | ||
Net assets consist of: | ||||
Paid in capital | $ | 17,025,736 | ||
Accumulated net investment loss | (75,368 | ) | ||
Accumulated net realized loss on investments | (756,628 | ) | ||
Net unrealized appreciation on investments | 7,592,580 | |||
Net assets | $ | 23,786,320 | ||
Capital shares outstanding | 273,307 | |||
Net asset value per share | $ | 87.03 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $42) | $ | 136,900 | ||
Income from securities lending, net | 3,984 | |||
Interest | 477 | |||
Total investment income | 141,361 | |||
Expenses: | ||||
Management fees | 97,460 | |||
Transfer agent and administrative fees | 28,665 | |||
Investor service fees | 28,665 | |||
Portfolio accounting fees | 11,466 | |||
Professional fees | 18,422 | |||
Custodian fees | 1,996 | |||
Trustees’ fees* | 1,265 | |||
Miscellaneous | 6,775 | |||
Total expenses | 194,714 | |||
Net investment loss | (53,353 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 185,644 | |||
Net realized gain | 185,644 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 3,098,494 | |||
Net change in unrealized appreciation (depreciation) | 3,098,494 | |||
Net realized and unrealized gain | 3,284,138 | |||
Net increase in net assets resulting from operations | $ | 3,230,785 |
* | 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 FUNDS SEMI-ANNUAL REPORT | 101 |
TECHNOLOGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (53,353 | ) | $ | (44,825 | ) | ||
Net realized gain on investments | 185,644 | 3,080,842 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 3,098,494 | (2,095,938 | ) | |||||
Net increase in net assets resulting from operations | 3,230,785 | 940,079 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (727,921 | ) | |||||
Total distributions to shareholders | — | (727,921 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 26,716,712 | 51,734,032 | ||||||
Distributions reinvested | — | 727,921 | ||||||
Cost of shares redeemed | (24,317,518 | ) | (53,559,382 | ) | ||||
Net increase (decrease) from capital share transactions | 2,399,194 | (1,097,429 | ) | |||||
Net increase (decrease) in net assets | 5,629,979 | (885,271 | ) | |||||
Net assets: | ||||||||
Beginning of period | 18,156,341 | 19,041,612 | ||||||
End of period | $ | 23,786,320 | $ | 18,156,341 | ||||
Accumulated net investment loss at end of period | $ | (75,368 | ) | $ | (22,015 | ) | ||
Capital share activity: | ||||||||
Shares sold | 318,636 | 724,058 | ||||||
Shares issued from reinvestment of distributions | — | 10,543 | ||||||
Shares redeemed | (287,803 | ) | (757,688 | ) | ||||
Net increase (decrease) in shares | 30,833 | (23,087 | ) |
102 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TECHNOLOGY FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 74.88 | $ | 71.70 | $ | 71.28 | $ | 64.65 | $ | 47.78 | $ | 53.21 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.19 | ) | (.21 | ) | (.32 | ) | (.32 | ) | (.15 | ) | (.15 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 12.34 | 7.78 | 1.13 | 6.95 | 17.02 | 5.97 | ||||||||||||||||||
Total from investment operations | 12.15 | 7.57 | .81 | 6.63 | 16.87 | 5.82 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (4.39 | ) | (.39 | ) | — | — | (11.25 | ) | |||||||||||||||
Total distributions | — | (4.39 | ) | (.39 | ) | — | — | (11.25 | ) | |||||||||||||||
Net asset value, end of period | $ | 87.03 | $ | 74.88 | $ | 71.70 | $ | 71.28 | $ | 64.65 | $ | 47.78 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 16.23 | % | 11.07 | % | 1.11 | % | 10.26 | % | 35.39 | % | 11.98 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 23,786 | $ | 18,156 | $ | 19,042 | $ | 18,218 | $ | 14,649 | $ | 8,177 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.47 | %) | (0.29 | %) | (0.45 | %) | (0.47 | %) | (0.29 | %) | (0.27 | %) | ||||||||||||
Total expensesd | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | 1.63 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 102 | % | 321 | % | 142 | % | 197 | % | 382 | % | 277 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2014 have been restated to reflect a 1:5 reverse share split effective January 24, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 103 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
TELECOMMUNICATIONS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the development, manufacture, or sale of communications services or communications equipment (“Telecommunications Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: July 27, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
AT&T, Inc. | 9.8% |
Verizon Communications, Inc. | 8.6% |
Cisco Systems, Inc. | 8.2% |
QUALCOMM, Inc. | 5.9% |
T-Mobile US, Inc. | 4.7% |
Crown Castle International Corp. | 4.0% |
Sprint Corp. | 3.9% |
Level 3 Communications, Inc. | 2.8% |
SBA Communications Corp. | 2.7% |
Motorola Solutions, Inc. | 2.5% |
Top Ten Total | 53.1% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
6 month‡ | 1 Year | 5 Year | 10 Year | |
Telecommunications Fund | 0.23% | 9.59% | 7.05% | (1.04%) |
S&P 500 Telecommunication Services Index | (10.74%) | (11.71%) | 5.85% | 3.69% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Telecommunication Services Index are unmanaged iindices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
104 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
TELECOMMUNICATIONS FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.4% | ||||||||
Telecommunications - 74.6% | ||||||||
AT&T, Inc. | 7,148 | $ | 269,694 | |||||
Verizon Communications, Inc. | 5,308 | 237,055 | ||||||
Cisco Systems, Inc. | 7,187 | 224,953 | ||||||
T-Mobile US, Inc.* | 2,117 | 128,333 | ||||||
Sprint Corp.* | 12,986 | 106,615 | ||||||
Level 3 Communications, Inc.* | 1,312 | 77,802 | ||||||
Motorola Solutions, Inc. | 786 | 68,178 | ||||||
CenturyLink, Inc.1 | 2,478 | 59,175 | ||||||
Juniper Networks, Inc. | 2,091 | 58,297 | ||||||
Arista Networks, Inc.* | 388 | 58,119 | ||||||
Vodafone Group plc ADR | 1,959 | 56,282 | ||||||
CommScope Holding Company, Inc.* | 1,281 | 48,716 | ||||||
Zayo Group Holdings, Inc.* | 1,574 | 48,637 | ||||||
EchoStar Corp. — Class A* | 694 | 42,126 | ||||||
ARRIS International plc* | 1,418 | 39,732 | ||||||
Ubiquiti Networks, Inc.*,1 | 729 | 37,886 | ||||||
America Movil SAB de CV — Class L ADR | 2,325 | 37,014 | ||||||
ViaSat, Inc.* | 517 | 34,225 | ||||||
China Mobile Ltd. ADR | 621 | 32,969 | ||||||
Ciena Corp.* | 1,286 | 32,176 | ||||||
Telephone & Data Systems, Inc. | 1,134 | 31,469 | ||||||
Finisar Corp.* | 1,174 | 30,501 | ||||||
InterDigital, Inc. | 381 | 29,451 | ||||||
Viavi Solutions, Inc.* | 2,615 | 27,536 | ||||||
Acacia Communications, Inc.*,1 | 543 | 22,518 | ||||||
Shenandoah Telecommunications Co. | 704 | 21,613 | ||||||
Oclaro, Inc.*,1 | 2,304 | 21,519 | ||||||
Vonage Holdings Corp.* | 3,200 | 20,928 | ||||||
NETGEAR, Inc.* | 483 | 20,817 | ||||||
Infinera Corp.* | 1,908 | 20,358 | ||||||
Consolidated Communications Holdings, Inc. | 859 | 18,443 | ||||||
ADTRAN, Inc. | 869 | 17,945 | ||||||
BCE, Inc. | 387 | 17,430 | ||||||
Iridium Communications, Inc.* | 1,574 | 17,393 | ||||||
Windstream Holdings, Inc. | 3,656 | 14,185 | ||||||
Straight Path Communications, Inc. — Class B* | 75 | 13,474 | ||||||
Extreme Networks, Inc.* | 956 | 8,814 | ||||||
Total Telecommunications | 2,052,378 | |||||||
REITs - 6.7% | ||||||||
Crown Castle International Corp. | 1,096 | 109,797 | ||||||
SBA Communications Corp.* | 558 | 75,274 | ||||||
Total REITs | 185,071 | |||||||
Semiconductors - 5.9% | ||||||||
QUALCOMM, Inc. | 2,916 | 161,022 | ||||||
Internet - 5.6% | ||||||||
Palo Alto Networks, Inc.* | 448 |
| 59,947 | |||||
F5 Networks, Inc.* | 401 | 50,951 | ||||||
Cogent Communications Holdings, Inc. | 597 | 23,940 | ||||||
8x8, Inc.* | 1,360 | 19,788 | ||||||
Total Internet | 154,626 | |||||||
Computers - 3.8% | ||||||||
Brocade Communications Systems, Inc. | 3,240 | 40,856 | ||||||
NetScout Systems, Inc.* | 928 | 31,923 | ||||||
Lumentum Holdings, Inc.* | 554 | 31,606 | ||||||
Total Computers | 104,385 | |||||||
Aerospace & Defense - 2.4% | ||||||||
Harris Corp. | 605 | 65,993 | ||||||
Electronics - 0.4% | ||||||||
Applied Optoelectronics, Inc.*,1 | 168 | 10,381 | ||||||
Total Common Stocks | ||||||||
(Cost $1,941,676) | 2,733,856 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.5% | ||||||||
HSBC Securities, Inc. | $ | 10,095 | 10,095 | |||||
Bank of America Merrill Lynch | 3,738 | 3,738 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $13,833) | 13,833 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 4.0% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 111,194 | 111,194 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $111,194) | 111,194 | |||||||
Total Investments - 103.9% | ||||||||
(Cost $2,066,703) | $ | 2,858,883 | ||||||
Other Assets & Liabilities, net - (3.9)% | (108,130 | ) | ||||||
Total Net Assets - 100.0% | $ | 2,750,753 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 105 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
TELECOMMUNICATIONS FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 2,733,856 | $ | — | $ | — | $ | 2,733,856 | ||||||||
Repurchase Agreements | — | 13,833 | — | 13,833 | ||||||||||||
Securities Lending Collateral | 111,194 | — | — | 111,194 | ||||||||||||
Total Assets | $ | 2,845,050 | $ | 13,833 | $ | — | $ | 2,858,883 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
106 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TELECOMMUNICATIONS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $107,947 of securities loaned (cost $2,052,870) | $ | 2,845,050 | ||
Repurchase agreements, at value (cost $13,833) | 13,833 | |||
Total investments (cost $2,066,703) | 2,858,883 | |||
Cash | 1,034 | |||
Receivables: | ||||
Securities sold | 30,094 | |||
Fund shares sold | 75,240 | |||
Dividends | 4,457 | |||
Foreign taxes reclaim | 142 | |||
Securities lending income | 142 | |||
Total assets | 2,969,992 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 111,194 | |||
Securities purchased | 72,288 | |||
Fund shares redeemed | 29,045 | |||
Management fees | 1,953 | |||
Transfer agent and administrative fees | 574 | |||
Investor service fees | 574 | |||
Portfolio accounting fees | 230 | |||
Miscellaneous | 3,381 | |||
Total liabilities | 219,239 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 2,750,753 | ||
Net assets consist of: | ||||
Paid in capital | $ | 2,405,963 | ||
Undistributed net investment income | 53,585 | |||
Accumulated net realized loss on investments | (500,975 | ) | ||
Net unrealized appreciation on investments | 792,180 | |||
Net assets | $ | 2,750,753 | ||
Capital shares outstanding | 48,124 | |||
Net asset value per share | $ | 57.16 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $196) | $ | 53,952 | ||
Income from securities lending, net | 1,310 | |||
Interest | 81 | |||
Total investment income | 55,343 | |||
Expenses: | ||||
Management fees | 18,131 | |||
Transfer agent and administrative fees | 5,333 | |||
Investor service fees | 5,333 | |||
Portfolio accounting fees | 2,133 | |||
Professional fees | 4,539 | |||
Custodian fees | 395 | |||
Trustees’ fees* | 287 | |||
Line of credit fees | 11 | |||
Miscellaneous | 90 | |||
Total expenses | 36,252 | |||
Net investment income | 19,091 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 17,197 | |||
Net realized gain | 17,197 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (39,919 | ) | ||
Net change in unrealized appreciation (depreciation) | (39,919 | ) | ||
Net realized and unrealized loss | (22,722 | ) | ||
Net decrease in net assets resulting from operations | $ | (3,631 | ) |
* | 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 FUNDS SEMI-ANNUAL REPORT | 107 |
TELECOMMUNICATIONS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 19,091 | $ | 34,494 | ||||
Net realized gain on investments | 17,197 | 470,436 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (39,919 | ) | 187,227 | |||||
Net increase (decrease) in net assets resulting from operations | (3,631 | ) | 692,157 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (18,622 | ) | |||||
Total distributions to shareholders | — | (18,622 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 8,626,800 | 20,168,236 | ||||||
Distributions reinvested | — | 18,622 | ||||||
Cost of shares redeemed | (11,256,174 | ) | (17,805,407 | ) | ||||
Net increase (decrease) from capital share transactions | (2,629,374 | ) | 2,381,451 | |||||
Net increase (decrease) in net assets | (2,633,005 | ) | 3,054,986 | |||||
Net assets: | ||||||||
Beginning of period | 5,383,758 | 2,328,772 | ||||||
End of period | $ | 2,750,753 | $ | 5,383,758 | ||||
Undistributed net investment income at end of period | $ | 53,585 | $ | 34,494 | ||||
Capital share activity: | ||||||||
Shares sold | 148,891 | 384,917 | ||||||
Shares issued from reinvestment of distributions | — | 346 | ||||||
Shares redeemed | (195,171 | ) | (338,664 | ) | ||||
Net increase (decrease) in shares | (46,280 | ) | 46,599 |
108 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TELECOMMUNICATIONS FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 57.03 | $ | 48.71 | $ | 53.12 | $ | 52.94 | $ | 46.00 | $ | 44.98 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .26 | .45 | .42 | .61 | .85 | .65 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.13 | ) | 8.03 | (3.94 | ) | .79 | 7.09 | 1.52 | ||||||||||||||||
Total from investment operations | .13 | 8.48 | (3.52 | ) | 1.40 | 7.94 | 2.17 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.16 | ) | (.89 | ) | (1.22 | ) | (1.00 | ) | (1.15 | ) | |||||||||||||
Total distributions | — | (.16 | ) | (.89 | ) | (1.22 | ) | (1.00 | ) | (1.15 | ) | |||||||||||||
Net asset value, end of period | $ | 57.16 | $ | 57.03 | $ | 48.71 | $ | 53.12 | $ | 52.94 | $ | 46.00 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 0.23 | % | 17.40 | % | (6.73 | %) | 2.62 | % | 17.46 | % | 4.86 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,751 | $ | 5,384 | $ | 2,329 | $ | 2,382 | $ | 2,194 | $ | 2,897 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.90 | % | 0.86 | % | 0.80 | % | 1.14 | % | 1.73 | % | 1.46 | % | ||||||||||||
Total expenses | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | 1.64 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 189 | % | 410 | % | 232 | % | 495 | % | 1,267 | % | 1,077 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Reverse share split — Per share amounts for the periods presented through December 31, 2014 have been restated to reflect a 1:5 reverse share split effective January 24, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 109 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
TRANSPORTATION FUND
OBJECTIVE: Seeks to provide 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”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: June 11, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
United Parcel Service, Inc. — Class B | 4.6% |
Union Pacific Corp. | 4.4% |
FedEx Corp. | 3.5% |
CSX Corp. | 3.5% |
Tesla, Inc. | 3.4% |
General Motors Co. | 3.4% |
Ford Motor Co. | 3.2% |
Delta Air Lines, Inc. | 3.0% |
Southwest Airlines Co. | 3.0% |
Norfolk Southern Corp. | 3.0% |
Top Ten Total | 35.0% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Transportation Fund | 8.64% | 31.84% | 17.53% | 6.67% |
S&P 500 Industrials Index | 9.51% | 22.27% | 16.06% | 7.65% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Industrials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
110 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
TRANSPORTATION FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.0% | ||||||||
Transportation - 41.4% | ||||||||
United Parcel Service, Inc. — Class B | 2,797 | $ | 309,320 | |||||
Union Pacific Corp. | 2,738 | 298,196 | ||||||
FedEx Corp. | 1,095 | 237,976 | ||||||
CSX Corp. | 4,250 | 231,880 | ||||||
Norfolk Southern Corp. | 1,626 | 197,884 | ||||||
Kansas City Southern | 1,002 | 104,859 | ||||||
J.B. Hunt Transport Services, Inc. | 1,085 | 99,147 | ||||||
CH Robinson Worldwide, Inc. | 1,423 | 97,732 | ||||||
Expeditors International of Washington, Inc. | 1,725 | 97,428 | ||||||
Canadian Pacific Railway Ltd. | 604 | 97,129 | ||||||
Canadian National Railway Co. | 1,094 | 88,669 | ||||||
Old Dominion Freight Line, Inc. | 927 | 88,287 | ||||||
XPO Logistics, Inc.* | 1,270 | 82,080 | ||||||
ZTO Express Cayman, Inc. ADR*,1 | 5,160 | 72,034 | ||||||
Genesee & Wyoming, Inc. — Class A* | 977 | 66,817 | ||||||
Ryder System, Inc. | 887 | 63,846 | ||||||
Kirby Corp.* | 938 | 62,705 | ||||||
Swift Transportation Co. — Class A*,1 | 2,238 | 59,307 | ||||||
Landstar System, Inc. | 682 | 58,379 | ||||||
Knight Transportation, Inc. | 1,475 | 54,649 | ||||||
Werner Enterprises, Inc. | 1,530 | 44,906 | ||||||
Heartland Express, Inc. | 1,962 | 40,849 | ||||||
Forward Air Corp. | 750 | 39,960 | ||||||
Hub Group, Inc. — Class A* | 984 | 37,736 | ||||||
Saia, Inc.* | 690 | 35,397 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 678 | 35,358 | ||||||
Schneider National, Inc. — Class B | 1,410 | 31,542 | ||||||
ArcBest Corp. | 1,090 | 22,454 | ||||||
YRC Worldwide, Inc.* | 1,730 | 19,238 | ||||||
Total Transportation | 2,775,764 | |||||||
Airlines - 18.7% | ||||||||
Delta Air Lines, Inc. | 3,730 | 200,449 | ||||||
Southwest Airlines Co. | 3,194 | 198,475 | ||||||
American Airlines Group, Inc. | 3,174 | 159,716 | ||||||
United Continental Holdings, Inc.* | 2,067 | 155,542 | ||||||
Alaska Air Group, Inc. | 1,175 | 105,468 | ||||||
JetBlue Airways Corp.* | 3,813 | 87,051 | ||||||
Copa Holdings S.A. — Class A | 660 | 77,220 | ||||||
Ryanair Holdings plc ADR* | 674 | 72,529 | ||||||
Spirit Airlines, Inc.* | 1,160 | 59,914 | ||||||
Hawaiian Holdings, Inc.* | 1,102 | 51,739 | ||||||
Allegiant Travel Co. — Class A | 339 | 45,968 | ||||||
SkyWest, Inc. | 1,152 | 40,435 | ||||||
Total Airlines | 1,254,506 | |||||||
Auto Parts & Equipment - 15.3% | ||||||||
Delphi Automotive plc | 1,191 |
| 104,392 | |||||
Lear Corp. | 703 | 99,882 | ||||||
BorgWarner, Inc. | 2,215 | 93,827 | ||||||
Goodyear Tire & Rubber Co. | 2,625 | 91,770 | ||||||
Magna International, Inc. | 1,820 | 84,321 | ||||||
Adient plc | 1,228 | 80,287 | ||||||
Autoliv, Inc.1 | 720 | 79,056 | ||||||
Visteon Corp.* | 602 | 61,440 | ||||||
Tenneco, Inc. | 970 | 56,095 | ||||||
Dana, Inc. | 2,502 | 55,870 | ||||||
Dorman Products, Inc.* | 670 | 55,456 | ||||||
Cooper Tire & Rubber Co. | 1,230 | 44,403 | ||||||
Cooper-Standard Holdings, Inc.* | 420 | 42,365 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 2,632 | 41,059 | ||||||
Gentherm, Inc.* | 964 | 37,403 | ||||||
Total Auto Parts & Equipment | 1,027,626 | |||||||
Auto Manufacturers - 14.7% | ||||||||
Tesla, Inc.*,1 | 637 | 230,345 | ||||||
General Motors Co. | 6,580 | 229,839 | ||||||
Ford Motor Co. | 18,929 | 211,816 | ||||||
Fiat Chrysler Automobiles N.V.* | 7,777 | 82,670 | ||||||
Tata Motors Ltd. ADR | 2,400 | 79,224 | ||||||
Ferrari N.V. | 871 | 74,923 | ||||||
Toyota Motor Corp. ADR1 | 694 | 72,884 | ||||||
Total Auto Manufacturers | 981,701 | |||||||
Commercial Services - 3.8% | ||||||||
AMERCO | 240 | 87,855 | ||||||
Macquarie Infrastructure Corp. | 1,050 | 82,320 | ||||||
Avis Budget Group, Inc.* | 1,897 | 51,731 | ||||||
Hertz Global Holdings, Inc.*,1 | 2,982 | 34,293 | ||||||
Total Commercial Services | 256,199 | |||||||
Leisure Time - 2.5% | ||||||||
Harley-Davidson, Inc. | 1,775 | 95,885 | ||||||
LCI Industries | 479 | 49,050 | ||||||
Fox Factory Holding Corp.* | 550 | 19,580 | ||||||
Total Leisure Time | 164,515 | |||||||
Home Builders - 1.5% | ||||||||
Thor Industries, Inc. | 661 | 69,088 | ||||||
Winnebago Industries, Inc. | 980 | 34,300 | ||||||
Total Home Builders | 103,388 | |||||||
Electronics - 1.1% | ||||||||
Gentex Corp. | 3,915 | 74,268 | ||||||
Total Common Stocks | ||||||||
(Cost $2,933,460) | 6,637,967 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 111 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
TRANSPORTATION FUND |
| Face | Value | ||||||
REPURCHASE AGREEMENTS††,2 - 1.1% | ||||||||
HSBC Securities, Inc. | $ | 53,713 | $ | 53,713 | ||||
Bank of America Merrill Lynch | 19,890 | 19,890 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $73,603) | 73,603 |
Shares |
| |||||||
SECURITIES LENDING COLLATERAL†,3 - 5.8% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%4 | 388,626 |
| 388,626 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $388,626) | 388,626 | |||||||
Total Investments - 105.9% | ||||||||
(Cost $3,395,689) | $ | 7,100,196 | ||||||
Other Assets & Liabilities, net - (5.9)% | (395,387 | ) | ||||||
Total Net Assets - 100.0% | $ | 6,704,809 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at June 30, 2017 — See Note 6. |
2 | Repurchase Agreements — See Note 5. |
3 | Securities lending collateral — See Note 6. |
4 | Rate indicated is the 7 day yield as of June 30, 2017. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 6,637,967 | $ | — | $ | — | $ | 6,637,967 | ||||||||
Repurchase Agreements | — | 73,603 | — | 73,603 | ||||||||||||
Securities Lending Collateral | 388,626 | — | — | 388,626 | ||||||||||||
Total Assets | $ | 7,026,593 | $ | 73,603 | $ | — | $ | 7,100,196 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
112 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TRANSPORTATION FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value - including $380,581 of securities loaned (cost $3,322,086) | $ | 7,026,593 | ||
Repurchase agreements, at value (cost $73,603) | 73,603 | |||
Total investments (cost $3,395,689) | 7,100,196 | |||
Cash | 354 | |||
Receivables: | ||||
Fund shares sold | 358,319 | |||
Dividends | 1,747 | |||
Foreign taxes reclaim | 216 | |||
Interest | 2 | |||
Securities lending income | 227 | |||
Total assets | 7,461,061 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 388,626 | |||
Securities purchased | 341,422 | |||
Management fees | 5,210 | |||
Fund shares redeemed | 5,199 | |||
Transfer agent and administrative fees | 1,533 | |||
Investor service fees | 1,533 | |||
Portfolio accounting fees | 613 | |||
Miscellaneous | 12,116 | |||
Total liabilities | 756,252 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 6,704,809 | ||
Net assets consist of: | ||||
Paid in capital | $ | 4,094,779 | ||
Undistributed net investment income | 45,722 | |||
Accumulated net realized loss on investments | (1,140,199 | ) | ||
Net unrealized appreciation on investments | 3,704,507 | |||
Net assets | $ | 6,704,809 | ||
Capital shares outstanding | 87,156 | |||
Net asset value per share | $ | 76.93 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $1,054) | $ | 78,427 | ||
Income from securities lending, net | 1,654 | |||
Interest | 193 | |||
Total investment income | 80,274 | |||
Expenses: | ||||
Management fees | 44,328 | |||
Transfer agent and administrative fees | 13,038 | |||
Investor service fees | 13,038 | |||
Portfolio accounting fees | 5,215 | |||
Professional fees | 11,001 | |||
Custodian fees | 967 | |||
Trustees’ fees* | 708 | |||
Line of credit fees | 13 | |||
Miscellaneous | 312 | |||
Total expenses | 88,620 | |||
Net investment loss | (8,346 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 1,001,629 | |||
Net realized gain | 1,001,629 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (207,600 | ) | ||
Net change in unrealized appreciation (depreciation) | (207,600 | ) | ||
Net realized and unrealized gain | 794,029 | |||
Net increase in net assets resulting from operations | $ | 785,683 |
* | 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 FUNDS SEMI-ANNUAL REPORT | 113 |
TRANSPORTATION FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (8,346 | ) | $ | 51,950 | |||
Net realized gain on investments | 1,001,629 | 740,548 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (207,600 | ) | 339,924 | |||||
Net increase in net assets resulting from operations | 785,683 | 1,132,422 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (2,111,952 | ) | |||||
Total distributions to shareholders | — | (2,111,952 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 15,177,770 | 18,398,288 | ||||||
Distributions reinvested | — | 2,111,952 | ||||||
Cost of shares redeemed | (22,141,268 | ) | (13,458,085 | ) | ||||
Net increase (decrease) from capital share transactions | (6,963,498 | ) | 7,052,155 | |||||
Net increase (decrease) in net assets | (6,177,815 | ) | 6,072,625 | |||||
Net assets: | ||||||||
Beginning of period | 12,882,624 | 6,809,999 | ||||||
End of period | $ | 6,704,809 | $ | 12,882,624 | ||||
Undistributed net investment income at end of period | $ | 45,722 | $ | 54,068 | ||||
Capital share activity: | ||||||||
Shares sold | 206,246 | 246,622 | * | |||||
Shares issued from reinvestment of distributions | — | 34,042 | * | |||||
Shares redeemed | (301,024 | ) | (166,243 | )* | ||||
Net increase (decrease) in shares | (94,778 | ) | 114,421 | * |
* | Capital share activity for the year ended December 31, 2016, has been restated to reflect a 1:4 reverse share split effective December 1, 2016 — See Note 9. |
114 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TRANSPORTATION FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 70.81 | $ | 100.87 | $ | 121.73 | $ | 99.13 | $ | 65.79 | $ | 56.24 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.06 | ) | .16 | (.08 | ) | (.12 | ) | (.32 | ) | (.16 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 6.18 | (20.23 | ) | (16.78 | ) | 22.72 | 33.66 | 9.71 | ||||||||||||||||
Total from investment operations | 6.12 | (20.07 | ) | (16.86 | ) | 22.60 | 33.34 | 9.55 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (9.99 | ) | (4.00 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (9.99 | ) | (4.00 | ) | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 76.93 | $ | 70.81 | $ | 100.87 | $ | 121.73 | $ | 99.13 | $ | 65.79 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 8.64 | % | 15.43 | % | (14.09 | %) | 22.80 | % | 50.64 | % | 17.58 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,705 | $ | 12,883 | $ | 6,810 | $ | 22,672 | $ | 20,639 | $ | 7,300 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.16 | %) | 0.73 | % | (0.06 | %) | (0.11 | %) | (0.37 | %) | (0.29 | %) | ||||||||||||
Total expenses | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | 1.63 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 138 | % | 174 | % | 99 | % | 196 | % | 310 | % | 594 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
d | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:4 reverse share split effective December 1, 2016 — See Note 9. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 115 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
UTILITIES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that operate public utilities (“Utilities Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 2, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
NextEra Energy, Inc. | 4.3% |
Duke Energy Corp. | 3.9% |
Dominion Energy, Inc. | 3.6% |
Southern Co. | 3.5% |
American Electric Power Company, Inc. | 3.0% |
PG&E Corp. | 3.0% |
Exelon Corp. | 3.0% |
Sempra Energy | 2.8% |
PPL Corp. | 2.7% |
Edison International | 2.6% |
Top Ten Total | 32.4% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2017
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Utilities Fund | 7.55% | 1.38% | 9.59% | 5.58% |
S&P 500 Utilities Index | 8.75% | 2.47% | 11.17% | 6.97% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Utilities Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
116 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
UTILITIES FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.6% | ||||||||
Electric - 78.4% | ||||||||
NextEra Energy, Inc. | 6,578 | $ | 921,774 | |||||
Duke Energy Corp. | 10,034 | 838,742 | ||||||
Dominion Energy, Inc. | 10,048 | 769,978 | ||||||
Southern Co. | 15,479 | 741,135 | ||||||
American Electric Power Company, Inc. | 9,254 | 642,875 | ||||||
PG&E Corp. | 9,628 | 639,010 | ||||||
Exelon Corp. | 17,703 | 638,547 | ||||||
PPL Corp. | 14,901 | 576,073 | ||||||
Edison International | 7,056 | 551,709 | ||||||
Consolidated Edison, Inc. | 6,706 | 541,979 | ||||||
Xcel Energy, Inc. | 11,655 | 534,731 | ||||||
Public Service Enterprise Group, Inc. | 12,083 | 519,690 | ||||||
Eversource Energy | 8,073 | 490,112 | ||||||
DTE Energy Co. | 4,609 | 487,586 | ||||||
WEC Energy Group, Inc. | 7,844 | 481,465 | ||||||
Entergy Corp. | 5,390 | 413,790 | ||||||
Avangrid, Inc. | 9,280 | 409,712 | ||||||
Ameren Corp. | 7,396 | 404,339 | ||||||
FirstEnergy Corp. | 13,627 | 397,363 | ||||||
CMS Energy Corp. | 8,568 | 396,270 | ||||||
CenterPoint Energy, Inc. | 13,796 | 377,734 | ||||||
Pinnacle West Capital Corp. | 4,060 | 345,750 | ||||||
SCANA Corp. | 5,116 | 342,823 | ||||||
Alliant Energy Corp. | 8,318 | 334,134 | ||||||
Westar Energy, Inc. | 5,876 | 311,546 | ||||||
AES Corp. | 26,178 | 290,838 | ||||||
OGE Energy Corp. | 8,323 | 289,557 | ||||||
Great Plains Energy, Inc. | 9,417 | 275,730 | ||||||
NRG Energy, Inc. | 15,375 | 264,758 | ||||||
MDU Resources Group, Inc. | 9,644 | 252,673 | ||||||
Calpine Corp.* | 18,173 | 245,881 | ||||||
Portland General Electric Co. | 4,949 | 226,120 | ||||||
IDACORP, Inc. | 2,595 | 221,483 | ||||||
Hawaiian Electric Industries, Inc. | 6,504 | 210,600 | ||||||
ALLETE, Inc. | 2,929 | 209,951 | ||||||
Black Hills Corp. | 3,035 | 204,771 | ||||||
PNM Resources, Inc. | 5,085 | 194,501 | ||||||
NorthWestern Corp. | 3,063 | 186,904 | ||||||
Avista Corp. | 4,338 | 184,191 | ||||||
El Paso Electric Co. | 3,088 | 159,650 | ||||||
MGE Energy, Inc. | 2,450 | 157,658 | ||||||
Dynegy, Inc.* | 14,712 | 121,668 | ||||||
Total Electric | 16,805,801 | |||||||
Gas - 15.9% | ||||||||
Sempra Energy | 5,390 |
| 607,722 | |||||
Atmos Energy Corp. | 4,001 | 331,883 | ||||||
UGI Corp. | 6,737 | 326,138 | ||||||
NiSource, Inc. | 12,538 | 317,964 | ||||||
Vectren Corp. | 4,209 | 245,974 | ||||||
National Fuel Gas Co. | 4,347 | 242,736 | ||||||
WGL Holdings, Inc. | 2,735 | 228,181 | ||||||
ONE Gas, Inc. | 2,985 | 208,383 | ||||||
Southwest Gas Holdings, Inc. | 2,825 | 206,395 | ||||||
New Jersey Resources Corp. | 5,147 | 204,336 | ||||||
Spire, Inc. | 2,856 | 199,206 | ||||||
South Jersey Industries, Inc. | 5,298 | 181,033 | ||||||
National Grid plc ADR | 1,670 | 104,909 | ||||||
Total Gas | 3,404,860 | |||||||
Water - 3.8% | ||||||||
American Water Works Co., Inc. | 5,223 | 407,133 | ||||||
Aqua America, Inc. | 7,926 | 263,936 | ||||||
California Water Service Group | 3,959 | 145,691 | ||||||
Total Water | 816,760 | |||||||
Energy-Alternate Sources - 1.5% | ||||||||
Pattern Energy Group, Inc. | 6,839 | 163,042 | ||||||
TerraForm Power, Inc. — Class A* | 12,345 | 148,140 | ||||||
Total Energy-Alternate Sources | 311,182 | |||||||
Pipelines - 0.0% | ||||||||
Kinder Morgan, Inc. | 1 | 19 | ||||||
Total Common Stocks | ||||||||
(Cost $15,163,756) | 21,338,622 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,1 - 0.4% | ||||||||
HSBC Securities, Inc. | $ | 66,438 | 66,438 | |||||
Bank of America Merrill Lynch | 24,602 | 24,602 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $91,040) | 91,040 | |||||||
Total Investments - 100.0% | ||||||||
(Cost $15,254,796) | $ | 21,429,662 | ||||||
Other Assets & Liabilities, net - 0.0% | 7,248 | |||||||
Total Net Assets - 100.0% | $ | 21,436,910 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 117 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
UTILITIES FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Repurchase Agreements — See Note 5. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 21,338,622 | $ | — | $ | — | $ | 21,338,622 | ||||||||
Repurchase Agreements | — | 91,040 | — | 91,040 | ||||||||||||
Total Assets | $ | 21,338,622 | $ | 91,040 | $ | — | $ | 21,429,662 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
118 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
UTILITIES FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2017 |
Assets: | ||||
Investments, at value (cost $15,163,756) | $ | 21,338,622 | ||
Repurchase agreements, at value (cost $91,040) | 91,040 | |||
Total investments (cost $15,254,796) | 21,429,662 | |||
Receivables: | ||||
Securities sold | 253,479 | |||
Dividends | 46,681 | |||
Foreign taxes reclaim | 123 | |||
Interest | 3 | |||
Securities lending income | 8 | |||
Total assets | 21,729,956 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 250,157 | |||
Management fees | 15,363 | |||
Transfer agent and administrative fees | 4,518 | |||
Investor service fees | 4,518 | |||
Portfolio accounting fees | 1,808 | |||
Miscellaneous | 16,682 | |||
Total liabilities | 293,046 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 21,436,910 | ||
Net assets consist of: | ||||
Paid in capital | $ | 16,192,571 | ||
Undistributed net investment income | 525,344 | |||
Accumulated net realized loss on investments | (1,455,871 | ) | ||
Net unrealized appreciation on investments | 6,174,866 | |||
Net assets | $ | 21,436,910 | ||
Capital shares outstanding | 759,656 | |||
Net asset value per share | $ | 28.22 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2017 |
Investment Income: | ||||
Dividends | $ | 297,029 | ||
Interest | 274 | |||
Income from securities lending, net | 19 | |||
Total investment income | 297,322 | |||
Expenses: | ||||
Management fees | 77,370 | |||
Transfer agent and administrative fees | 22,756 | |||
Investor service fees | 22,756 | |||
Portfolio accounting fees | 9,102 | |||
Professional fees | 23,566 | |||
Custodian fees | 1,952 | |||
Trustees’ fees* | 1,617 | |||
Line of credit fees | 12 | |||
Miscellaneous | (4,528 | ) | ||
Total expenses | 154,603 | |||
Net investment income | 142,719 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (41,824 | ) | ||
Net realized loss | (41,824 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,043,548 | |||
Net change in unrealized appreciation (depreciation) | 1,043,548 | |||
Net realized and unrealized gain | 1,001,724 | |||
Net increase in net assets resulting from operations | $ | 1,144,443 |
* | 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 FUNDS SEMI-ANNUAL REPORT | 119 |
UTILITIES FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 142,719 | $ | 364,240 | ||||
Net realized gain (loss) on investments | (41,824 | ) | 2,740,774 | |||||
Net change in unrealized appreciation (depreciation) on investments | 1,043,548 | 255,578 | ||||||
Net increase in net assets resulting from operations | 1,144,443 | 3,360,592 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (250,168 | ) | |||||
Net realized gains | — | (267,590 | ) | |||||
Total distributions to shareholders | — | (517,758 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 21,499,345 | 67,717,626 | ||||||
Distributions reinvested | — | 517,758 | ||||||
Cost of shares redeemed | (16,449,065 | ) | (72,899,764 | ) | ||||
Net increase (decrease) from capital share transactions | 5,050,280 | (4,664,380 | ) | |||||
Net increase (decrease) in net assets | 6,194,723 | (1,821,546 | ) | |||||
Net assets: | ||||||||
Beginning of period | 15,242,187 | 17,063,733 | ||||||
End of period | $ | 21,436,910 | $ | 15,242,187 | ||||
Undistributed net investment income at end of period | $ | 525,344 | $ | 382,625 | ||||
Capital share activity: | ||||||||
Shares sold | 779,018 | 2,644,033 | ||||||
Shares issued from reinvestment of distributions | — | 18,665 | ||||||
Shares redeemed | (600,182 | ) | (2,828,447 | ) | ||||
Net increase (decrease) in shares | 178,836 | (165,749 | ) |
120 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
UTILITIES FUND |
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.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.24 | $ | 22.86 | $ | 25.35 | $ | 20.89 | $ | 19.13 | $ | 19.50 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .22 | .36 | .39 | .48 | .43 | .42 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.76 | 3.38 | (2.24 | ) | 4.30 | 2.18 | (.22 | ) | ||||||||||||||||
Total from investment operations | 1.98 | 3.74 | (1.85 | ) | 4.78 | 2.61 | .20 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.17 | ) | (.64 | ) | (.32 | ) | (.85 | ) | (.57 | ) | |||||||||||||
Net realized gains | — | (.19 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (.36 | ) | (.64 | ) | (.32 | ) | (.85 | ) | (.57 | ) | |||||||||||||
Net asset value, end of period | $ | 28.22 | $ | 26.24 | $ | 22.86 | $ | 25.35 | $ | 20.89 | $ | 19.13 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 7.55 | % | 16.34 | % | (7.36 | %) | 22.89 | % | 13.63 | % | 1.12 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 21,437 | $ | 15,242 | $ | 17,064 | $ | 28,415 | $ | 10,282 | $ | 15,674 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.57 | % | 1.39 | % | 1.66 | % | 2.07 | % | 2.05 | % | 2.16 | % | ||||||||||||
Total expenses | 1.70 | % | 1.65 | % | 1.61 | % | 1.66 | % | 1.64 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 71 | % | 234 | % | 312 | % | 247 | % | 464 | % | 302 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies and has not been annualized. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 121 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
1. Organization and Significant Accounting Policies
Organization
The Rydex Variable Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of no par value shares. At June 30, 2017, the Trust consisted of forty-nine funds. The Trust offers shares of the Funds to insurance companies for their variable annuity and variable life insurance contracts.
This report covers the 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, Real Estate Fund, Retailing Fund, Technology Fund, Telecommunications Fund, Transportation Fund and Utilities Fund (the “Funds”), each a non-diversified investment company.
The 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 are designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offer unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Funds to experience high portfolio turnover.
Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, 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.
The net asset value per share (“NAV”) of a fund is calculated by dividing the market value of the fund’s securities and other assets, less all liabilities, by the number of outstanding shares of the fund.
A. The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
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, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
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 (“CEFs”) are valued at the last quoted sales price.
Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
122 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Investments for which market quotations are not readily available are fair- valued as determined in good faith by GI under the direction of the Board using methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “fair value.” Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.
B. The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Reported net realized foreign exchange gains and 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.
C. The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of dividend income and foreign taxes on capital gains from sales of investments are included with the net realized and unrealized gain (loss) on investments. Foreign taxes payable or deferred as of June 30, 2017, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
D. 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 discounts, is accrued on a daily basis. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
E. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Normally, all such distributions of a Fund will automatically be reinvested without charge in additional shares of the same Fund. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
F. The Funds may leave cash overnight in their cash account with the custodian. 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, which was 1.06% at June 30, 2017.
G. Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, 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 FUNDS SEMI-ANNUAL REPORT | 123 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
2. Fees and Other Transactions with Affiliates
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds:
Fund | Management Fees |
Banking Fund | 0.85% |
Basic Materials Fund | 0.85% |
Biotechnology Fund | 0.85% |
Consumer Products Fund | 0.85% |
Electronics Fund | 0.85% |
Energy Fund | 0.85% |
Energy Services Fund | 0.85% |
Financial Services Fund | 0.85% |
Health Care Fund | 0.85% |
Internet Fund | 0.85% |
Leisure Fund | 0.85% |
Precious Metals Fund | 0.75% |
Real Estate Fund | 0.85% |
Retailing Fund | 0.85% |
Technology Fund | 0.85% |
Telecommunications Fund | 0.85% |
Transportation Fund | 0.85% |
Utilities Fund | 0.85% |
GI 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 are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted an Investor Services Plan for which GFD and other firms that provide investor services (“Service Providers”) may receive compensation. The Funds will pay investor service fees to GFD at an annual rate not to exceed 0.25% of average daily net assets. GFD, in turn, will compensate Service Providers for providing such services, while retaining a portion of such payments to compensate itself for investor services it performs.
Certain trustees and officers of the Trust are also officers of GI and GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. For providing the aforementioned services, MUIS is entitled to receive a monthly fee equal to an annual percentage of the Funds’ average daily net assets subject to certain minimum monthly fees and out of pocket expenses.
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 taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.
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, or to be taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
124 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2017, 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:
Fund | Tax | Tax | Tax | Net | ||||||||||||
Banking Fund | $ | 8,516,482 | $ | 1,493,298 | $ | (9,311 | ) | $ | 1,483,987 | |||||||
Basic Materials Fund | 9,112,022 | 2,411,464 | (64,047 | ) | 2,347,417 | |||||||||||
Biotechnology Fund | 17,008,415 | 11,141,494 | (318,171 | ) | 10,823,323 | |||||||||||
Consumer Products Fund | 14,515,234 | 5,524,033 | (189,877 | ) | 5,334,156 | |||||||||||
Electronics Fund | 7,333,612 | 2,364,166 | (62,155 | ) | 2,302,011 | |||||||||||
Energy Fund | 16,484,393 | 1,805,826 | (569,396 | ) | 1,236,430 | |||||||||||
Energy Services Fund | 13,472,073 | — | (2,744,491 | ) | (2,744,491 | ) | ||||||||||
Financial Services Fund | 11,649,351 | 2,619,846 | (83,143 | ) | 2,536,703 | |||||||||||
Health Care Fund | 19,476,454 | 9,228,021 | (196,433 | ) | 9,031,588 | |||||||||||
Internet Fund | 6,539,878 | 2,877,588 | (36,104 | ) | 2,841,484 | |||||||||||
Leisure Fund | 8,489,537 | 1,931,726 | (100,949 | ) | 1,830,777 | |||||||||||
Precious Metals Fund | 26,859,526 | — | (1,308,765 | ) | (1,308,765 | ) | ||||||||||
Real Estate Fund | 13,448,625 | 2,692,375 | (113,847 | ) | 2,578,528 | |||||||||||
Retailing Fund | 5,245,923 | — | (597,899 | ) | (597,899 | ) | ||||||||||
Technology Fund | 18,924,036 | 5,805,336 | (91,485 | ) | 5,713,851 | |||||||||||
Telecommunications Fund | 2,357,780 | 514,154 | (13,051 | ) | 501,103 | |||||||||||
Transportation Fund | 4,034,184 | 3,073,051 | (7,039 | ) | 3,066,012 | |||||||||||
Utilities Fund | 17,093,003 | 4,442,386 | (105,727 | ) | 4,336,659 |
4. Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds 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. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
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 joint account includes other Funds in the Guggenheim complex not covered in this report. 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 FUNDS SEMI-ANNUAL REPORT | 125 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2017, the repurchase agreements in the joint account were as follows:
Counterparty and | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | ||||||||||||
Bank of America Merrill Lynch 1.08% | U.S. Treasury Note 2.13% | ||||||||||||||||
Due 07/03/17 | $ | 13,408,539 | $ | 13,409,746 | 08/15/21 | $ | 13,366,214 | $ | 13,676,775 | ||||||||
HSBC Securities, Inc. | U.S. TIP Notes | ||||||||||||||||
0.99% | 0.13% | ||||||||||||||||
Due 07/03/17 | 1,875,670 | 1,875,825 | 04/15/19 | 1,004,000 | 1,049,190 | ||||||||||||
U.S. Treasury Note | |||||||||||||||||
1.63% | |||||||||||||||||
05/15/26 | 909,100 | 864,040 |
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. GI, acting under the supervision of the Board, 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.
6. Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the Statements of Operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund - Class Z. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the Funds the next business day. Although the collateral mitigates the risk, the Funds could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
126 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2017, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
Gross Amounts Not Offset in the | Securities Lending Collateral | |||||||||||||||||||||||
Fund | Value of | Collateral | Net | Cash | Cash | Total | ||||||||||||||||||
Banking Fund | $ | 204,428 | $ | (204,428 | ) | $ | — | $ | 208,334 | $ | — | $ | 208,334 | |||||||||||
Basic Materials Fund | 250,791 | (250,791 | ) | — | 257,367 | — | 257,367 | |||||||||||||||||
Biotechnology Fund | 1,872,643 | (1,872,643 | ) | — | 1,937,747 | — | 1,937,747 | |||||||||||||||||
Consumer Products Fund | 628,527 | (628,527 | ) | — | 643,529 | — | 643,529 | |||||||||||||||||
Electronics Fund | 264,747 | (264,747 | ) | — | 276,767 | — | 276,767 | |||||||||||||||||
Energy Fund | 848,065 | (848,065 | ) | — | 880,204 | — | 880,204 | |||||||||||||||||
Energy Services Fund | 966,631 | (966,631 | ) | — | 999,734 | — | 999,734 | |||||||||||||||||
Financial Services Fund | 245,382 | (245,382 | ) | — | 251,945 | — | 251,945 | |||||||||||||||||
Health Care Fund | 568,785 | (568,785 | ) | — | 587,669 | — | 587,669 | |||||||||||||||||
Internet Fund | 198,618 | (198,618 | ) | — | 204,583 | — | 204,583 | |||||||||||||||||
Leisure Fund | 341,067 | (341,067 | ) | — | 349,434 | — | 349,434 | |||||||||||||||||
Precious Metals Fund | 1,561,790 | (1,561,790 | ) | — | 1,632,652 | — | 1,632,652 | |||||||||||||||||
Real Estate Fund | 314,201 | (314,201 | ) | — | 324,013 | — | 324,013 | |||||||||||||||||
Retailing Fund | 182,139 | (182,139 | ) | — | 186,616 | — | 186,616 | |||||||||||||||||
Technology Fund | 706,502 | (706,502 | ) | — | 731,235 | — | 731,235 | |||||||||||||||||
Telecommunications Fund | 107,947 | (107,947 | ) | — | 111,194 | — | 111,194 | |||||||||||||||||
Transportation Fund | 380,581 | (380,581 | ) | — | 388,626 | — | 388,626 |
(a) | Actual collateral received by the Fund is greater than the amount shown due to overcollateralization. |
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. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds have securities lending agreements to evaluate potential risks.
7. Securities Transactions
For the period ended June 30, 2017, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Fund | Purchases | Sales | ||||||
Banking Fund | $ | 13,553,521 | $ | 19,835,853 | ||||
Basic Materials Fund | 10,654,473 | 15,743,690 | ||||||
Biotechnology Fund | 18,479,183 | 19,134,389 | ||||||
Consumer Products Fund | 15,719,081 | 15,928,640 | ||||||
Electronics Fund | 14,024,890 | 14,330,442 | ||||||
Energy Fund | 87,730,505 | 94,312,547 | ||||||
Energy Services Fund | 21,380,931 | 21,968,371 | ||||||
Financial Services Fund | 19,195,824 | 22,081,861 | ||||||
Health Care Fund | 22,229,199 | 17,088,619 | ||||||
Internet Fund | 13,437,821 | 14,204,160 | ||||||
Leisure Fund | 15,696,685 | 15,594,600 | ||||||
Precious Metals Fund | 69,738,422 | 68,997,775 | ||||||
Real Estate Fund | 21,363,306 | 17,324,317 | ||||||
Retailing Fund | 13,705,167 | 14,462,424 | ||||||
Technology Fund | 25,181,113 | 22,766,522 | ||||||
Telecommunications Fund | 8,037,230 | 10,634,931 | ||||||
Transportation Fund | 14,116,811 | 21,094,775 | ||||||
Utilities Fund | 18,270,766 | 13,101,386 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 127 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended June 30, 2017, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | Purchases | Sales | Realized | |||||||||
Banking Fund | $ | 2,853,177 | $ | 3,515,481 | $ | 13,079 | ||||||
Basic Materials Fund | 1,386,663 | 2,805,475 | (1,829 | ) | ||||||||
Biotechnology Fund | 4,224,004 | 3,516,122 | 106,082 | |||||||||
Consumer Products Fund | 1,854,423 | 3,158,197 | (22,531 | ) | ||||||||
Electronics Fund | 3,510,653 | 5,933,103 | 24,451 | |||||||||
Energy Fund | 10,602,060 | 6,267,797 | 31,336 | |||||||||
Energy Services Fund | 6,566,453 | 4,047,012 | (101,543 | ) | ||||||||
Financial Services Fund | 4,656,605 | 4,910,474 | 45,246 | |||||||||
Health Care Fund | 3,887,018 | 3,471,534 | (71,889 | ) | ||||||||
Internet Fund | 4,023,823 | 4,112,931 | 81,715 | |||||||||
Leisure Fund | 2,524,193 | 1,702,358 | 28,331 | |||||||||
Precious Metals Fund | 6,425,457 | 4,363,151 | 27,349 | |||||||||
Real Estate Fund | 3,771,034 | 3,791,176 | (4,261 | ) | ||||||||
Retailing Fund | 1,654,170 | 2,153,292 | 7,919 | |||||||||
Technology Fund | 6,180,077 | 5,456,933 | 16,277 | |||||||||
Telecommunications Fund | 1,205,678 | 1,619,036 | 276 | |||||||||
Transportation Fund | 1,721,231 | 2,124,870 | 76,970 | |||||||||
Utilities Fund | 1,944,031 | 1,297,008 | (4,290 | ) |
8. Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $75,000,000 line of credit from U.S. Bank, N.A., which expires June 11, 2018. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 1.92% for the period ended June 30, 2017. The Funds did not have any borrowings outstanding under this agreement at June 30, 2017.
The average daily balances borrowed for the period ended June 30, 2017, were as follows:
Fund | Average Daily Balance | |||
Banking Fund | $ | 1,050 | ||
Basic Materials Fund | 1,039 | |||
Biotechnology Fund | 3,950 | |||
Consumer Products Fund | 159 | |||
Electronics Fund | 1,410 | |||
Energy Fund | 5,522 | |||
Energy Services Fund | 771 | |||
Health Care Fund | 514 | |||
Internet Fund | 837 | |||
Leisure Fund | 83 | |||
Precious Metals Fund | 22,487 | |||
Real Estate Fund | 1,916 | |||
Retailing Fund | 2,255 | |||
Telecommunications Fund | 1,176 | |||
Transportation Fund | 1,384 | |||
Utilities Fund | 1,245 |
128 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
9. Reverse Share Splits
Effective December 1, 2016, a reverse share split occurred for the following funds:
Fund | Split Type |
Banking Fund | One-for-Six Reverse Split |
Basic Materials Fund | One-for-Three Reverse Split |
Energy Fund | One-for-Four Reverse Split |
Energy Services Fund | One-for-Six Reverse Split |
Financial Services Fund | One-for-Three Reverse Split |
Internet Fund | One-for-Four Reverse Split |
Retailing Fund | One-for-Four Reverse Split |
Transportation Fund | One-for-Four Reverse Split |
The effect of these transactions was to divide the number of outstanding shares of the Funds by the respective split ratio, resulting in a corresponding increase in the net asset value per share. The share transactions presented in the Statements of Changes in Net Assets and the Per Share Data in the Financial Highlights for each of the periods presented prior to the effective date have been restated 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.
10. Legal Proceedings
Tribune Company
Rydex Variable Trust has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Variable Trust of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Variable Trust, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Variable Trust has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order. On March 29, 2016, the U.S. Court of Appeals for the Second Circuit issued its opinion on the appeal of the SLCFC actions. The appeals court affirmed the district court’s dismissal of those lawsuits, but on different grounds than the district court. The appeals court held that while the plaintiffs have standing under the U.S. Bankruptcy Code, their claims were preempted by Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the Plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Funds, filed a joint brief in opposition to the petition for certiorari on October 24, 2016. The Supreme Court has not yet granted or denied the petition for certiorari.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 129 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. The Court concluded that the plaintiff had failed to allege that Tribune entered the LBO with actual intent to hinder, delay, or defraud its creditors, and therefore the complaint failed to state a claim. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. On February 23, 2017, the Court issued an order stating that it intends to permit an interlocutory appeal of the dismissal order, but will wait to do so until it has resolved outstanding motions to dismiss filed by other defendants. Accordingly, the timing of the appeal is uncertain.
None of these lawsuits alleges any wrongdoing on the part of Rydex Variable Trust. The following series of Rydex Variable Trust held shares of Tribune and tendered these shares as part of Tribune’s LBO: Nova Fund, S&P 500 2x Strategy Fund, Multi-Cap Core Equity Fund, S&P 500 Pure Value Fund, Hedged Equity Fund and Multi-Hedge Strategies Fund (the “Funds”). The value of the proceeds received by the foregoing Funds was $12,580, $2,380, $1,360, $148,376, $2,720, and $119,034, respectively. At this stage of the proceedings, Rydex Variable Trust is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
Lyondell Chemical Company
In December 2011, Rydex Variable Trust was named as a defendant in Weisfelner, as Trustee of the LB Creditor Trust, v. Fund 1 (In re Lyondell Chemical Co.), Adv. Pro. No. 10-4609 (Bankr. S.D.N.Y.) (the “Creditor Trust Action”). Its funds may also be putative members of the proposed defendant classes in Weisfelner, as Trustee of the LB Litigation Trust v. A. Holmes & H. Holmes TTEE (In re Lyondell Co.), Adv. Pro. No. 10-5525 (Bankr. S.D.N.Y.) (the “Litigation Trust Action”) and Weisfelner, as Trustee of the LB Creditor Trust, v. Reichman (In re Lyondell Chemical Co.), Adv. Pro. No. 12-1570 (Bankr. S.D.N.Y.).
Similar to the claims made in the Tribune matter, the Weisfelner complaints seek to have set aside and recovered as fraudulent transfers from former Lyondell Chemical Company (“Lyondell”) shareholders the consideration paid to them pursuant to the cash out merger of Lyondell shareholders in connection with the combination of Lyondell and Basell AF in 2007. Lyondell filed for bankruptcy in 2008. The Creditor Trust Action and Reichman allege claims against the former Lyondell shareholders under state law for both constructive fraudulent transfer and intentional fraudulent transfer. The Litigation Trust Action alleges a claim against the former Lyondell shareholders under federal law for intentional fraudulent transfer.
On April 7, 2014, the plaintiff filed a Third Amended Complaint in the Creditor Trust Action, a Second Amended Complaint in the Litigation Trust Action, and an Amended Complaint in Reichman.
On May 8, 2014, the plaintiff in the Litigation Trust Action filed a motion to certify a defendant class generally comprised of all former Lyondell shareholders that received proceeds in exchange for their shares in the 2007 merger transaction.
On July 30, 2014, the defendants filed a motion to dismiss these lawsuits. The Bankruptcy Court held oral argument on the motion to dismiss and on the motion for class certification on January 14 and January 15, 2015. On September 15, 2015, the Bankruptcy Court denied the motion for class certification without prejudice to the plaintiff’s right to file a renewed motion. On November 18, 2015, the Bankruptcy Court granted the defendants’ motion to dismiss the intentional fraudulent transfer claims in the Creditor Trust Action, the Litigation Trust Action, and in Reichman, but denied the motion to dismiss the constructive fraudulent transfer claims in the Creditor Trust Action and in Reichman. The Bankruptcy Court entered final judgment dismissing the Litigation Trust Action, but the plaintiff has appealed the dismissal to the U.S. District Court for the Southern District of New York.
On May 4, 2016, the defendants filed a motion to dismiss, or in the alternative, for a stay of, the Creditor Trust Action and Reichman in light of the U.S. Court of Appeals for the Second Circuit’s opinion in the appeal of the Tribune SLCFC actions. On July 20, 2016, the Bankruptcy Court issued a report and recommendation granting the defendants’ motion to dismiss. The U.S. District Court for the Southern District of New York has not yet accepted the Bankruptcy Court’s recommendation or entered a final judgment. On May 30, 2017, the shareholder defendants filed a motion to remand the proceedings in the Creditor Trust and Reichman Actions to the Bankruptcy Court, for consideration of the collateral estoppel ground for dismissal raised by the Bankruptcy Court’s ruling in the Blavatnik Action. The District Court has not yet ruled on the motion to remand.
130 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
On July 27, 2016, the District Court reversed the Bankruptcy Court and reinstated the federal law intentional fraudulent transfer claim in the Litigation Trust Action and remanded to the Bankruptcy Court for further proceedings. The District Court found that the fraudulent intent that mattered was that of Lyondell’s CEO, not its board, because the CEO’s intent could be imputed to Lyondell under Delaware law agency principles. The District Court did note, however, that plaintiff faces a high standard for proving “actual intent” to harm creditors, and that it remains to be seen whether plaintiff will be able to make this showing. On August 11, 2016, the shareholder defendants filed a motion for reconsideration and/or to certify an interlocutory appeal of the District Court’s opinion. On October 5, 2016, the District Court denied the motion for reconsideration and/or to certify an interlocutory appeal. In light of this ruling, the federal intentional fraudulent conveyance claim will move forward before the Bankruptcy Court, but a schedule for that case has not yet been set. On April 21, 2017, the Bankruptcy Court issued an Opinion and Order After Trial in a related Lyondell litigation (the “Blavatnik Action”) rejecting claims for intentional fraudulent transfer and constructive fraudulent transfer in connection with the 2007 LBO. Based on this related ruling in the Blavatnik Action, the shareholder defendants filed a motion to dismiss the Litigation Trust Action on the grounds of collateral estoppel on May 30, 2017. The Bankruptcy Court has not yet ruled on this new motion to dismiss.
These lawsuits do not allege any wrongdoing on the part of Rydex Variable Trust. The following series of Rydex Variable Trust received cash proceeds from the cash out merger in the following amounts: Basic Materials Fund - $1,235,952; Long Short Equity Fund f/k/a U.S. Long Short Momentum Fund - $523,200; Multi-Cap Core Equity Fund - $5,760; Hedged Equity Fund - $480; and Multi-Hedge Strategies Fund - $112,848. At this stage of the proceedings, Rydex Variable Trust is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 131 |
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 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://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 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
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 https://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 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Board Considerations in Approving the Continuation of the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Rydex Variable Trust (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on May 25, 2017, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to the 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, Real Estate Fund, Retailing Fund, Technology Fund, Telecommunications Fund, Transportation Fund, and Utilities Fund, each a series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Board unanimously approved the continuation of the Investment Advisory Agreement for an additional one-year period based on the Board’s review of qualitative and quantitative information provided by the Advisor. The Board had previously considered information pertaining to the renewal of the Investment Advisory Agreement at an in-person meeting held on April 26, 2017 (together, with the May 25 meeting, the “Meetings”). The Board considered the materials provided by the Advisor and the review conducted at the April 26 meeting to be an integral part of the Trustees’ deliberations and their process in considering the renewal of the Investment Advisory Agreement.
Prior to reaching the conclusion to approve the continuation of the Investment Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from the independent legal counsel to the Independent Trustees regarding the Board’s fiduciary responsibilities under state and federal law with respect to the Board’s consideration of the renewal or approval of investment advisory agreements and participated in question and answer sessions with representatives of the Advisor. The Independent Trustees also carefully considered information that they had received throughout the year as part of their regular oversight of the Funds. At the Meetings, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the Meetings, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the Advisor’s investment advisory and other services; (b) the Advisor’s substantial commitment to the recruitment and retention of high quality personnel; (c) a comparison of the Funds’ advisory fees to the advisory fees charged to comparable funds or accounts, giving special attention to the existence of economies of scale and the absence of breakpoints in these fees and the Advisor’s rationale for not providing
132 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
for breakpoints at this point in time; (d) each Fund’s overall fees and operating expenses compared with those of similar funds; (e) the level of the Advisor’s profitability from its Fund-related operations; (f) the Advisor’s compliance processes and systems; (g) the Advisor’s compliance policies and procedures; (h) the Advisor’s reputation, expertise and resources in the financial markets; (i) Fund performance compared with that of similar funds and/or appropriate benchmarks; (j) other benefits to the Advisor and/or its affiliates from their relationship to the Funds; and (k) the Advisor’s maintenance of operational resources necessary to manage the Funds in a professional manner consistent with the best interests of the Funds and their shareholders. In its deliberations, the Trustees did not identify any particular factor or factors that was controlling, noting that each Trustee could attribute different weights to the various factors considered.
Based on the Board’s deliberations at the Meetings, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees for each Fund are reasonable in light of, and not so disproportionately large as to bear no reasonable relationship to, the services that it provides to such Fund; and (c) agreed to approve and continue the Investment Advisory Agreement based upon the following considerations, among others:
Nature, Extent and Quality of Services Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies (including the extent to which the Funds use derivatives), Fund risk management process, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity programs. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. The Board also considered the Advisor’s representations to the Board that the Advisor would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Funds in the past, and whether these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Funds to receive high quality services at a cost that was appropriate and reasonable.
Fund Expenses and Performance of the Funds and the Advisor. The Board reviewed statistical information provided by the Advisor regarding the expense ratio components and performance of each Fund. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third party research provider, to prepare reports to help the Board compare the Funds’ fees, expenses, and total return performance with those of a peer group and peer universe of funds selected by FUSE. In the reports, each Fund’s expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise a Fund’s applicable peer group. The Board considered the Advisor’s representation that it found the peer groups compiled by FUSE to be appropriate, but also acknowledged the existence of certain differences between the Funds and their peer funds (e.g., specific differences in principal investment strategies, index rebalance frequency, and tradability) that should be reviewed in context. With respect to tradability, in particular, the Board considered that non-tradable funds incur lower expense ratios than tradable funds because non-tradable funds experience less shareholder activity and lower transaction volumes than tradable funds. The statistical information related to the performance of each Fund included three-month and one-, three-, and five-year performance for the Fund compared to that of its peers. The Board also discussed the correlation between a Fund’s assets under management and tracking error, noting that a Fund’s ability to replicate an underlying index rather than employ representative sampling depends, in part, upon the Fund’s size. Based on the foregoing, the Board determined that the proposed advisory fees paid by the Funds are reasonable in relation to the nature and quality of the services provided by the Advisor.
Costs of Services Provided to the Funds and Profits Realized by the Advisor and its Affiliates. The Board reviewed information about the profitability of the Funds to the Advisor based on the advisory fees payable under the current Investment Advisory Agreement for the last calendar year. The Board analyzed the Funds’ expenses, including the investment advisory fees paid to the Advisor, and reviewed the FUSE reports. The Board also reviewed information regarding the direct revenue received by the Advisor and ancillary revenue, if any, received by the Advisor and/or its affiliates in connection with the services provided to the Funds by the Advisor and/or its affiliates. The Board also discussed the Advisor’s profit margin, including the expense allocation methodology used in the Advisor’s profitability analysis. Based on the foregoing, the Board determined that the profit to the Advisor on the fees paid by the Funds is not excessive in view of the nature and quality of the services provided by the Advisor.
Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Funds’ asset levels. In light of the relatively small size of many of the Funds and the fact that the size of individual Funds in the complex often increase and decrease significantly due to the unlimited
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 133 |
OTHER INFORMATION (Unaudited)(concluded) |
trading that is permitted among most of the Funds in the complex, the Board concluded that the Funds have not yet achieved sufficient asset levels to realize meaningful economies of scale. The Board noted that it intends to continue to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.
Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be received by the Advisor and its affiliates as a result of their relationship with the Funds, including any intangible benefits to the Advisor. In particular, the Board considered the nature, extent, quality, and cost of certain distribution and shareholder services performed by the Advisor’s affiliate, Guggenheim Funds Distributors, LLC, under the distribution agreement, investor services agreement, and Investor Services Plan. In light of the costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliate’s commitment to the Funds, the Board concluded the ancillary benefits the Advisor and its affiliates received were reasonable.
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the continuation of the Investment Advisory Agreement was in the best interests of the Funds and their shareholders.
134 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, 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 visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* and | Position(s) Held with the Length of Time Served | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE | ||||
Donald C. Cacciapaglia** | President, Chief Executive Officer and Trustee from 2012 to present. | Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present). | 233 | Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present). |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle***** | Trustee, Member of the Audit Committee; Member of the Compliance and Risk Oversight Committee; and Member of the Governance Committee from August 2016 to present. | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm) | 133 | Infinity Property & Casualty Corporation (2014-present). |
Corey A. Colehour | Trustee from 1993 to present; Member of the Audit Committee from 1994 to present; Member of the Governance Committee from 2014 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
J. Kenneth Dalton | Trustee from 1995 to present; Chairman and Member of the Audit Committee from 1997 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 133 | Epiphany Funds (3) (2009-present). |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 135 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and | Position(s) Held with the Length of Time Served | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | ||||
John O. Demaret | Vice Chairman of the Board from 2014 to present (Chairman of the Board from 2006 to 2014); Trustee and Member of the Audit Committee from 1997 to present; Chairman (since 2014) and Member of the Compliance and Risk Oversight Committee from 2010 to present; Chairman and Member of the Investment and Performance Committee from 2014 to present; and Member of the Nominating Committee from 2014 to present. | Retired. | 133 | None. |
Werner E. Keller | Chairman of the Board from 2014 to present (Vice Chairman of the Board from 2010 to 2014); Trustee from 2005 to present; Member of the Audit Committee from 2005 to present; Member of the Investment and Performance Committee from 2014 to present; Member of the Compliance and Risk Oversight Committee from 2015 to present; Member of the Governance Committee from 2015 to present; and Member of the Nominating Committee from 2015 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 133 | None. |
Thomas F. Lydon, Jr. | Trustee and Member of the Audit Committee from 2005 to present; Member of the Nominating Committee from 2005 to present; and Chairman and Member of the Governance Committee from 2007 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 133 | US Global Investors (GROW) (1995-present). |
Patrick T. McCarville | Trustee from 1997 to present; Member of the Audit Committee from 1997 to present; Chairman and Member of the Nominating Committee from 2004 to present; Member of the Governance Committee from 2007 to present; and Member of the Compliance and Risk Oversight Committee from 2014 to present. | Retired. | 133 | None. |
Sandra G. Sponem***** | Trustee, Member of the Audit Committee, Member of the Investment and Performance Committee, and Member of the Nominating Committee from November 2016 to present. | Current: Retired | 133 | None. |
136 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) Held with the Length of Time Served | Principal Occupation(s) |
OFFICERS | ||
Michael P. Byrum | Vice President (1999-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); Director and Chairman, Advisory Research Center, Inc. (2006-present); Manager, Guggenheim Specialized Products, LLC (2005-present). |
Joanna M. Catalucci | AML Officer (2016-present) | Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present). |
James M. Howley | Assistant Treasurer (2016-present) | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). |
Keith D. Kemp | Assistant Treasurer (2016-present) | Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim Partners Investment Management, LLC (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present). |
Amy J. Lee | Vice President (2009-present) and Secretary (2012-present) | Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). |
Glenn McWhinnie | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2009-present). |
Elisabeth Miller | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (March 2014-present). |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 137 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) Held with the Length of Time Served | Principal Occupation(s) |
OFFICERS - concluded | ||
Adam J. Nelson | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present). |
Kimberly J. Scott | Assistant Treasurer (2016-present) | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). |
John L. Sullivan | Chief Financial Officer and Treasurer (2016-present) | Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Mr. Cacciapaglia is an “interested” person of the Trust, as that term is defined in the 1940 Act by virtue of his affiliation with the Adviser’s parent company. |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. |
**** | Certain of the Trustees may serve as directors on the boards of companies not required to be disclosed above, including certain non-profit companies and charitable foundations. |
***** | Mses. Brock-Kyle and Sponem commenced serving as independent Trustees effective August 18, 2016. |
138 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited) |
Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).
Our Commitment to You
When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.
The Information We Collect About You and How We Collect It
In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g. purchase and redemption history).
How We Share Your Personal Information
As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below.
To complete certain transactions or account changes that you direct, it may be necessary to provide your personal information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. In connection with servicing your accounts or to alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your personal information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally we will share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.
How We Safeguard Your Personal Information
We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 139 |
This page intentionally left blank.
This page intentionally left blank.
Rydex Variable Trust | ||
By | /s/ Amy J. Lee | |
Amy J. Lee, Vice President | ||
Date | September 8, 2017 |
By | /s/ Amy J. Lee | |
Amy J. Lee, Vice President | ||
Date | September 8, 2017 | |
By | /s/ John L. Sullivan | |
John L. Sullivan, Chief Financial Officer and Treasurer | ||
Date | September 8, 2017 |