UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811- 08821
Rydex Variable Trust
(Exact name of registrant as specified in charter)
702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
(Address of principal executive offices) (Zip code)
Amy J. Lee
Rydex Variable Trust
702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-301-296-5100
Date of fiscal year end: December 31
Date of reporting period: January 1, 2021 to June 30, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:
6.30.2021
Rydex Variable Trust Funds 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-0621x1221 |
| | |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
LONG SHORT EQUITY FUND | 8 |
GLOBAL MANAGED FUTURES STRATEGY FUND | 26 |
MULTI-HEDGE STRATEGIES FUND | 34 |
COMMODITIES STRATEGY FUND | 57 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS | 63 |
OTHER INFORMATION | 77 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 85 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 90 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 93 |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for four alternative strategies 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, 2021.
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,
Security Investors, LLC
July 31, 2021
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.
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.
COVID-19. The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of this uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.
The Long Short Equity Fund is subject to a number of risks and may not be suitable for all investors. ●The Fund is subject to the risk that the Advisor’s use of a momentum-driven investment strategy may cause the Fund to underperform other types of mutual funds that use different investment strategies during periods when momentum investing is out of favor. ●It is possible that the stocks the Fund holds long will decline in value at the same time that the stocks or indices being shorted increase in value, thereby increasing potential losses to the Fund. ●The Fund’s loss on a short sale is potentially unlimited because there is no upper limit on the price a borrowed security could attain. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ●The use of derivatives, such as futures, options and swap agreements, may expose the fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ●The Fund may invest in American Depositary Receipts (“ADRs”) therefore subjecting the value of the fund’s portfolio to fluctuations in foreign exchange rates. ● This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. See the prospectus for more information on these and additional risks.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
The Global Managed Futures Strategy Fund is subject to a number of risks and may not be suitable for all investors. ●The Fund’s investments in securities and derivatives, in general, are subject to market risks that may cause their prices, and therefore the Fund’s value, to fluctuate over time. An investment in the Fund may lose money. ● The Fund’s investments in derivatives may pose risks in addition to those associated with investing directly in securities or other investments, including illiquidity of the derivatives, imperfect correlations with underlying investments or the Fund’s other portfolio holdings, lack of availability and counterparty risk. To the extent the Fund invests in derivatives to seek to hedge risk or limit leveraged exposure created by other investments, there is no guarantee that such hedging strategies will be effective at managing risk or limiting exposure to leveraged investments. ● The Fund’s use of leverage will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ●The Fund’s use of short selling involves increased risk and costs. The Fund risks paying more for a security than it received from its sale. Theoretically, securities sold short have the risk of unlimited losses. ●The Fund’s investments in fixed income securities will change in value in response to interest rate changes and other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield, asset backed and mortgaged backed securities may subject the Fund to greater volatility. ●The Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. ●The Fund’s exposure to the commodity markets may subject the Fund to greater volatility as commodity-linked investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity such as droughts, floods, weather, embargos, tariffs and international economic, political and regulatory developments. ●The Fund may invest in securities of foreign companies directly, or indirectly through the use of other investment companies and financial instruments that are linked to the performance of foreign issuers. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. ● See the prospectus for more information on these and additional risks.
The Multi-Hedge Strategies Fund is subject to a number of risks and may not be suitable for all investors. ● The Fund’s use of derivatives such as futures, options and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Fund’s use of short selling involves increased risks and costs. The Fund risks paying more for a security than it received from its sale. ● The Fund’s investments in high yield securities and unrated securities of similar credit quality (“junk bonds”) may be subject to greater levels of interest rate, credit and liquidity risk than funds that do not invest in such securities. ● The Fund’s fixed income investments will change in value in response to interest rate changes and other factors. ● The Fund’s exposure to the commodity and currency markets may subject the fund to greater volatility as commodity- and currency-linked derivative investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry, commodity or currency—such as droughts, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The Fund may also incur transaction costs with the conversion between various currencies. ● The Fund’s exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. ● These risks may cause the Fund to experience higher losses and/or volatility than a fund that does not invest in derivatives, use leverage or short sales or have exposure to high yield/fixed income securities, foreign currencies and/or securities. ● See the prospectus for more information on these and additional risks.
The Commodities Strategy Fund is subject to a number of risks and may not be suitable for all investors. ● The Fund’s exposure to the commodity markets may subject the Fund to greater volatility as commodity-linked investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity—such as droughts, floods, weather, embargos, tariffs and international economic, political and regulatory developments. ● To the extent that the Fund’s investments are concentrated in energy-related commodities, the Fund is subject to the risk that this sector will underperform the market as a whole. ● The Fund’s use of derivatives, such as futures, options, structured notes and swap agreements, may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities or investments underlying those derivatives. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Fund is subject to tracking error risks, which may cause the Fund’s performance not to match that of or be lower than the Fund’s underlying benchmark. ● The Fund’s investments in other investment companies subjects the Fund to those risks affecting the investment company, including the possibility that the value of the underlying securities held by the investment company could decrease. Moreover, the Fund will incur its pro rata share of the expenses of the underlying investment companies’ expenses. ●This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. ● See the prospectus for more information on these and additional risks.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | June 30, 2021 |
More states saw the end of COVID-19 related restrictions in the second quarter of 2021, including New York, California, and Illinois, marking a full reopening for almost all of the U.S. The U.S. has made solid vaccination progress, inoculating over 52% of the population. Those vaccinations have helped COVID-19 cases fall sharply from their peak, but the spread of the Delta variant is a worrying trend, particularly in areas with low vaccination rates. Though we expect cases will rise further as the Delta variant spreads, vaccination rates are high for the most vulnerable populations, which could limit hospitalizations and deaths, in turn reducing the need for a return to strict lockdowns.
Relaxed COVID-19 related measures and increased consumer comfort prompted a rapid reopening of the service sector and robust manufacturing activity. Both the ISM Manufacturing and Services Purchasing Managers Indexes cooled a bit in June but remain near the peaks of recent economic cycles.
Labor demand is also at record highs according to the National Federation of Independent Businesses (“NFIB”). The NFIB reported that nearly half of small-business owners in the U.S. could not fill job openings in June, making it the fifth consecutive month where the share of surveyed business owners citing jobs were hard to fill exceeded pre-COVID-19 historical highs. To attract more workers, business owners are raising or planning to raise compensation, especially in low-wage sectors where enhanced jobless benefits are competitive with wages. Corroborating this signal of strong labor demand is the consumer confidence data, which shows perceptions around job availability is above pre-COVID-19 highs.
Against this strong backdrop, the Federal Open Market Committee (“FOMC”) held its June meeting where, as expected, it kept rates unchanged. But the surprise came from the quarterly Summary of Economic Projections, which showed that FOMC participants now see upside risks to inflation at the highest levels in over a decade. This shift in the distribution of risk around inflation resulted in a surprise two-hike increase in their median fed funds rate forecast for 2023.
Our interpretation is that the U.S. Federal Reserve (“Fed”) is willing to be patient in reaching its dual mandate, but not irresponsible. Since the June meeting, 5-year forward Treasury Inflation-Protected Securities (“TIPS”) breakeven rates have fallen by about 0.25% as the market priced out a scenario in which the Fed lets inflation run too hot. This reassessment of the Fed’s reaction function led to a material decline in interest rates over the quarter. In the long run, keeping inflation expectations in check buys the central bank more time to keep policy accommodative.
Looking ahead, we are assessing the potential consequences of a slowdown in U.S. economic activity. Second quarter U.S. gross domestic product (“GDP”) is on track to show 8-9% annualized growth, after which we expect sequential growth could slow heading into 2022. Base effects from last year’s trough in activity could fade, as might the fiscal impulse over time. The impact of reopening businesses will also shrink. This natural slowdown in activity as we move through peak growth could present challenges if growth slows more than expected.
Inflation could fall given that much of the recent increase is coming from categories suffering temporary supply chain disruptions. Price pressures have materialized in sectors directly affected by the pandemic, such as hotels, airfares, and car rentals, where demand has bounced back faster than supply. Shortages in areas such as semiconductors and building materials are caused by factories and transportation abroad that have not returned to full capacity. As these factors are resolved and supply comes back online, a decline in inflation prints and inflation expectations over the next several quarters may prompt a rethink of the FOMC’s forecasted hikes.
The Fed may commence tapering asset purchases in 2022, but we continue to believe rate hikes will likely get pushed as far as 2025 as inflation cools and the Fed targets a historically tight labor market. This patience by the Fed would support credit conditions, which could mean low default volumes and positive risk-adjusted returns. Real U.S. interest rates could remain deeply negative, further supporting the credit sector as income-seeking investors search for yield.
For the six-month period ended June 30, 2021, the S&P 500® Index* returned 15.25%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 8.83%. The return of the MSCI Emerging Markets Index* was 7.45%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -1.60% return for the six-month period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 3.62%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.02% 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.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2021 |
*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.
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies, including, but not limited to, convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage and relative-value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry.
Morningstar Long/Short Equity Category Average is an average return of the funds in the Morningstar Long/Short Equity Category. The categories assist investors and investment professionals in making meaningful comparisons between funds, making it easier to build well-diversified portfolios, assess potential risk, and identify top-performing funds.
ICE 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® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
S&P Goldman Sachs Commodity Index (S&P GSCI®), a benchmark for investment performance in the commodity markets, measures investable commodity price movements and inflation in the world economy. The index is calculated primarily on a world production weighted basis and is comprised of the principal physical commodities that are the subject of active, liquid futures markets.
| | 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, 2020 and ending June 30, 2021.
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
Ratio1 | Fund
Return | Beginning
Account Value
December 31, 2020 | Ending
Account Value
June 30, 2021 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | | | |
Long Short Equity Fund | 1.60% | 11.32% | $ 1,000.00 | $ 1,113.20 | $ 8.38 |
Global Managed Futures Strategy Fund | 1.68% | 5.15% | 1,000.00 | 1,051.50 | 8.55 |
Multi-Hedge Strategies Fund | 1.84% | 10.15% | 1,000.00 | 1,101.50 | 9.59 |
Commodities Strategy Fund | 1.65% | 31.38% | 1,000.00 | 1,313.80 | 9.47 |
|
Table 2. Based on hypothetical 5% return (before expenses) | | | | |
Long Short Equity Fund | 1.60% | 5.00% | $ 1,000.00 | $ 1,016.86 | $ 8.00 |
Global Managed Futures Strategy Fund | 1.68% | 5.00% | 1,000.00 | 1,016.46 | 8.40 |
Multi-Hedge Strategies Fund | 1.84% | 5.00% | 1,000.00 | 1,015.67 | 9.20 |
Commodities Strategy Fund | 1.65% | 5.00% | 1,000.00 | 1,016.61 | 8.25 |
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 ratio of the Multi-Hedge Strategies Fund would be 1.15%. |
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, 2020 to June 30, 2021. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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.
Inception Date: May 1, 2002 |
Ten Largest Holdings (% of Total Net Assets) |
Microsoft Corp. | 1.6% |
Alphabet, Inc. — Class C | 1.5% |
Apple, Inc. | 1.1% |
Berkshire Hathaway, Inc. — Class B | 1.1% |
Johnson & Johnson | 1.0% |
Merck & Company, Inc. | 1.0% |
AutoZone, Inc. | 0.9% |
Verizon Communications, Inc. | 0.9% |
Toro Co. | 0.9% |
CSG Systems International, Inc. | 0.8% |
Top Ten Total | 10.8% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Long Short Equity Fund | 11.32% | 23.59% | 4.63% | 3.44% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
Morningstar Long/Short Equity Category Average | 8.95% | 20.04% | 5.95% | 4.55% |
* | 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. The Morningstar/Long Short Equity Category Average is the equal-weighted simple average daily return for all funds in the Morningstar Long/Short Equity Category. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 96.7% |
| | | | | | | | | |
Financial - 18.9% |
Berkshire Hathaway, Inc. — Class B*,1 | | | 1,035 | | | $ | 287,647 | |
Aflac, Inc.1 | | | 3,254 | | | | 174,610 | |
Hanover Insurance Group, Inc. | | | 1,262 | | | | 171,178 | |
Allstate Corp.1 | | | 1,294 | | | | 168,789 | |
Synchrony Financial1 | | | 3,424 | | | | 166,132 | |
Raymond James Financial, Inc. | | | 1,221 | | | | 158,608 | |
Highwoods Properties, Inc. REIT1 | | | 3,481 | | | | 157,237 | |
Mercury General Corp. | | | 2,331 | | | | 151,398 | |
Brandywine Realty Trust REIT1 | | | 10,573 | | | | 144,956 | |
Old Republic International Corp. | | | 5,726 | | | | 142,635 | |
Healthcare Realty Trust, Inc. REIT | | | 4,691 | | | | 141,668 | |
Safety Insurance Group, Inc. | | | 1,676 | | | | 131,197 | |
Progressive Corp. | | | 1,279 | | | | 125,611 | |
Discover Financial Services | | | 1,029 | | | | 121,720 | |
Jefferies Financial Group, Inc. | | | 3,208 | | | | 109,714 | |
Marsh & McLennan Companies, Inc. | | | 734 | | | | 103,259 | |
Travelers Companies, Inc.1 | | | 687 | | | | 102,851 | |
Markel Corp.* | | | 86 | | | | 102,057 | |
Enstar Group Ltd.* | | | 424 | | | | 101,302 | |
Everest Re Group Ltd. | | | 399 | | | | 100,552 | |
Evercore, Inc. — Class A | | | 696 | | | | 97,976 | |
Arch Capital Group Ltd.* | | | 2,496 | | | | 97,194 | |
Capital One Financial Corp. | | | 625 | | | | 96,681 | |
Associated Banc-Corp. | | | 4,585 | | | | 93,901 | |
Brighthouse Financial, Inc.* | | | 2,049 | | | | 93,311 | |
Houlihan Lokey, Inc. | | | 1,092 | | | | 89,315 | |
Essent Group Ltd. | | | 1,964 | | | | 88,282 | |
Interactive Brokers Group, Inc. — Class A | | | 1,330 | | | | 87,421 | |
Cboe Global Markets, Inc. | | | 720 | | | | 85,716 | |
Federated Hermes, Inc. — Class B | | | 2,508 | | | | 85,046 | |
AMERISAFE, Inc. | | | 1,335 | | | | 79,686 | |
Janus Henderson Group plc | | | 1,989 | | | | 77,193 | |
BankUnited, Inc. | | | 1,731 | | | | 73,896 | |
SEI Investments Co. | | | 1,188 | | | | 73,620 | |
RenaissanceRe Holdings Ltd. | | | 489 | | | | 72,773 | |
Radian Group, Inc. | | | 3,155 | | | | 70,199 | |
Affiliated Managers Group, Inc. | | | 450 | | | | 69,395 | |
Cincinnati Financial Corp. | | | 564 | | | | 65,774 | |
Goldman Sachs Group, Inc. | | | 172 | | | | 65,279 | |
OneMain Holdings, Inc. | | | 1,060 | | | | 63,505 | |
First American Financial Corp. | | | 999 | | | | 62,288 | |
JPMorgan Chase & Co.1 | | | 391 | | | | 60,816 | |
Citigroup, Inc. | | | 825 | | | | 58,369 | |
Stewart Information Services Corp. | | | 1,013 | | | | 57,427 | |
MGIC Investment Corp. | | | 3,681 | | | | 50,062 | |
Western Union Co. | | | 2,157 | | | | 49,546 | |
Sabra Health Care REIT, Inc. | | | 2,675 | | | | 48,685 | |
Brown & Brown, Inc. | | | 902 | | | | 47,932 | |
W R Berkley Corp. | | | 630 | | | | 46,891 | |
Mastercard, Inc. — Class A | | | 128 | | | | 46,732 | |
Visa, Inc. — Class A1 | | | 199 | | | | 46,530 | |
Artisan Partners Asset Management, Inc. — Class A | | | 866 | | | | 44,010 | |
Lexington Realty Trust REIT | | | 3,637 | | | | 43,462 | |
Total Financial | | | | | | | 5,152,034 | |
| | | | | | | | | |
Consumer, Non-cyclical - 16.4% |
Johnson & Johnson1 | | | 1,694 | | | | 279,070 | |
Merck & Company, Inc.1 | | | 3,413 | | | | 265,429 | |
Gilead Sciences, Inc.1 | | | 3,335 | | | | 229,648 | |
Bristol-Myers Squibb Co.1 | | | 3,320 | | | | 221,843 | |
Amgen, Inc.1 | | | 799 | | | | 194,756 | |
Thermo Fisher Scientific, Inc. | | | 327 | | | | 164,962 | |
Pfizer, Inc.1 | | | 3,826 | | | | 149,826 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 227 | | | | 146,254 | |
Regeneron Pharmaceuticals, Inc.*,1 | | | 258 | | | | 144,103 | |
Molson Coors Beverage Co. — Class B*,1 | | | 2,607 | | | | 139,970 | |
Hershey Co. | | | 685 | | | | 119,313 | |
John B Sanfilippo & Son, Inc.1 | | | 1,331 | | | | 117,887 | |
Hologic, Inc.* | | | 1,700 | | | | 113,424 | |
McKesson Corp.1 | | | 585 | | | | 111,875 | |
United Therapeutics Corp.* | | | 622 | | | | 111,593 | |
Incyte Corp.*,1 | | | 1,261 | | | | 106,088 | |
Vertex Pharmaceuticals, Inc.* | | | 446 | | | | 89,927 | |
Prestige Consumer Healthcare, Inc.* | | | 1,690 | | | | 88,049 | |
PerkinElmer, Inc. | | | 555 | | | | 85,698 | |
Eagle Pharmaceuticals, Inc.* | | | 1,985 | | | | 84,958 | |
Vector Group Ltd. | | | 5,827 | | | | 82,394 | |
H&R Block, Inc. | | | 3,416 | | | | 80,208 | |
Humana, Inc. | | | 181 | | | | 80,132 | |
Quest Diagnostics, Inc. | | | 605 | | | | 79,842 | |
PepsiCo, Inc.1 | | | 529 | | | | 78,382 | |
Abbott Laboratories | | | 665 | | | | 77,093 | |
Chemed Corp. | | | 162 | | | | 76,869 | |
Blueprint Medicines Corp.* | | | 853 | | | | 75,030 | |
Innoviva, Inc.* | | | 4,804 | | | | 64,422 | |
Laboratory Corporation of America Holdings* | | | 228 | | | | 62,894 | |
Coherus Biosciences, Inc.* | | | 4,347 | | | | 60,119 | |
Hill-Rom Holdings, Inc. | | | 509 | | | | 57,817 | |
Grand Canyon Education, Inc.* | | | 594 | | | | 53,442 | |
Vanda Pharmaceuticals, Inc.* | | | 2,476 | | | | 53,259 | |
Masimo Corp.* | | | 210 | | | | 50,915 | |
PayPal Holdings, Inc.* | | | 172 | | | | 50,134 | |
Exelixis, Inc.* | | | 2,675 | | | | 48,738 | |
Bruker Corp. | | | 638 | | | | 48,475 | |
Zoetis, Inc. | | | 256 | | | | 47,708 | |
Philip Morris International, Inc. | | | 476 | | | | 47,176 | |
Procter & Gamble Co.1 | | | 348 | | | | 46,956 | |
UnitedHealth Group, Inc. | | | 117 | | | | 46,852 | |
HCA Healthcare, Inc. | | | 222 | | | | 45,896 | |
Baxter International, Inc. | | | 568 | | | | 45,724 | |
J M Smucker Co. | | | 341 | | | | 44,183 | |
Total Consumer, Non-cyclical | | | | | | | 4,469,333 | |
| | | | | | | | | |
Industrial - 13.9% |
Toro Co. | | | 2,208 | | | | 242,615 | |
Donaldson Company, Inc.1 | | | 3,057 | | | | 194,211 | |
MDU Resources Group, Inc.1 | | | 6,101 | | | | 191,205 | |
Garmin Ltd. | | | 1,189 | | | | 171,977 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Value | |
Vishay Intertechnology, Inc.1 | | | 6,519 | | | $ | 147,003 | |
Watts Water Technologies, Inc. — Class A | | | 1,002 | | | | 146,202 | |
Eagle Materials, Inc. | | | 1,022 | | | | 145,237 | |
Mettler-Toledo International, Inc.* | | | 93 | | | | 128,837 | |
3M Co.1 | | | 635 | | | | 126,130 | |
Oshkosh Corp.1 | | | 968 | | | | 120,652 | |
OSI Systems, Inc.* | | | 1,172 | | | | 119,122 | |
Northrop Grumman Corp.1 | | | 295 | | | | 107,212 | |
Masco Corp.1 | | | 1,794 | | | | 105,685 | |
Snap-on, Inc.1 | | | 457 | | | | 102,108 | |
Parker-Hannifin Corp.1 | | | 321 | | | | 98,582 | |
Agilent Technologies, Inc. | | | 666 | | | | 98,442 | |
Owens Corning | | | 886 | | | | 86,739 | |
Waters Corp.*,1 | | | 246 | | | | 85,020 | |
Timken Co. | | | 1,048 | | | | 84,458 | |
Fortive Corp. | | | 1,192 | | | | 83,130 | |
Louisiana-Pacific Corp. | | | 1,327 | | | | 80,005 | |
Huntington Ingalls Industries, Inc. | | | 346 | | | | 72,919 | |
Lennox International, Inc. | | | 200 | | | | 70,160 | |
Lincoln Electric Holdings, Inc. | | | 526 | | | | 69,279 | |
Carlisle Companies, Inc. | | | 355 | | | | 67,940 | |
Keysight Technologies, Inc.* | | | 434 | | | | 67,014 | |
Sealed Air Corp. | | | 1,094 | | | | 64,820 | |
Acuity Brands, Inc. | | | 339 | | | | 63,403 | |
Hillenbrand, Inc. | | | 1,437 | | | | 63,343 | |
AGCO Corp. | | | 469 | | | | 61,148 | |
Boise Cascade Co. | | | 1,029 | | | | 60,042 | |
Sanmina Corp.* | | | 1,541 | | | | 60,037 | |
Lockheed Martin Corp. | | | 154 | | | | 58,266 | |
Sturm Ruger & Company, Inc. | | | 603 | | | | 54,258 | |
Worthington Industries, Inc. | | | 876 | | | | 53,594 | |
A O Smith Corp. | | | 701 | | | | 50,514 | |
Pentair plc | | | 732 | | | | 49,403 | |
Graco, Inc. | | | 643 | | | | 48,675 | |
Berry Global Group, Inc.* | | | 701 | | | | 45,719 | |
Arrow Electronics, Inc.* | | | 380 | | | | 43,255 | |
Total Industrial | | | | | | | 3,788,361 | |
| | | | | | | | | |
Technology - 13.7% |
Microsoft Corp.1 | | | 1,573 | | | | 426,126 | |
Apple, Inc.1 | | | 2,101 | | | | 287,753 | |
CSG Systems International, Inc. | | | 4,895 | | | | 230,946 | |
Activision Blizzard, Inc. | | | 1,892 | | | | 180,572 | |
Cadence Design Systems, Inc.* | | | 1,199 | | | | 164,047 | |
Texas Instruments, Inc.1 | | | 832 | | | | 159,994 | |
Electronic Arts, Inc. | | | 1,019 | | | | 146,563 | |
Rambus, Inc.* | | | 5,064 | | | | 120,067 | |
Broadcom, Inc.1 | | | 244 | | | | 116,349 | |
Cerner Corp.1 | | | 1,478 | | | | 115,520 | |
CDK Global, Inc.1 | | | 2,157 | | | | 107,181 | |
HP, Inc.1 | | | 3,494 | | | | 105,484 | |
Seagate Technology Holdings plc1 | | | 1,160 | | | | 101,999 | |
Intel Corp.1 | | | 1,689 | | | | 94,821 | |
Take-Two Interactive Software, Inc.* | | | 528 | | | | 93,467 | |
Cirrus Logic, Inc.* | | | 1,075 | | | | 91,504 | |
Cognizant Technology Solutions Corp. — Class A1 | | | 1,284 | | | | 88,930 | |
Progress Software Corp. | | | 1,712 | | | | 79,180 | |
Kulicke & Soffa Industries, Inc. | | | 1,247 | | | | 76,316 | |
NetApp, Inc. | | | 931 | | | | 76,174 | |
International Business Machines Corp.1 | | | 515 | | | | 75,494 | |
QUALCOMM, Inc. | | | 481 | | | | 68,749 | |
Lumentum Holdings, Inc.* | | | 807 | | | | 66,198 | |
Paychex, Inc. | | | 550 | | | | 59,015 | |
Qorvo, Inc.* | | | 294 | | | | 57,521 | |
NVIDIA Corp. | | | 66 | | | | 52,807 | |
Synaptics, Inc.* | | | 336 | | | | 52,275 | |
MAXIMUS, Inc. | | | 593 | | | | 52,166 | |
Synopsys, Inc.* | | | 178 | | | | 49,091 | |
Accenture plc — Class A | | | 164 | | | | 48,345 | |
KLA Corp. | | | 148 | | | | 47,983 | |
Dropbox, Inc. — Class A* | | | 1,578 | | | | 47,829 | |
ExlService Holdings, Inc.* | | | 449 | | | | 47,711 | |
Oracle Corp.1 | | | 570 | | | | 44,369 | |
NetScout Systems, Inc.* | | | 1,528 | | | | 43,609 | |
Adobe, Inc.* | | | 57 | | | | 33,382 | |
salesforce.com, Inc.* | | | 130 | | | | 31,755 | |
Total Technology | | | | | | | 3,741,292 | |
| | | | | | | | | |
Consumer, Cyclical - 11.3% |
AutoZone, Inc.*,1 | | | 168 | | | | 250,693 | |
O’Reilly Automotive, Inc.*,1 | | | 398 | | | | 225,351 | |
Gentex Corp.1 | | | 5,925 | | | | 196,058 | |
Yum! Brands, Inc. | | | 1,688 | | | | 194,171 | |
Lowe’s Companies, Inc. | | | 1,001 | | | | 194,164 | |
Cummins, Inc.1 | | | 548 | | | | 133,608 | |
Allison Transmission Holdings, Inc.1 | | | 3,228 | | | | 128,281 | |
WW Grainger, Inc.1 | | | 284 | | | | 124,392 | |
Dolby Laboratories, Inc. — Class A | | | 1,114 | | | | 109,495 | |
Brunswick Corp. | | | 1,091 | | | | 108,686 | |
MSC Industrial Direct Company, Inc. — Class A1 | | | 1,193 | | | | 107,048 | |
Best Buy Company, Inc. | | | 861 | | | | 98,998 | |
Gentherm, Inc.*,1 | | | 1,339 | | | | 95,136 | |
PulteGroup, Inc. | | | 1,686 | | | | 92,005 | |
Carter’s, Inc. | | | 841 | | | | 86,766 | |
AutoNation, Inc.*,1 | | | 914 | | | | 86,656 | |
Murphy USA, Inc. | | | 637 | | | | 84,957 | |
Whirlpool Corp. | | | 364 | | | | 79,359 | |
Polaris, Inc. | | | 540 | | | | 73,958 | |
NVR, Inc.* | | | 13 | | | | 64,653 | |
Meritage Homes Corp.* | | | 593 | | | | 55,789 | |
Lennar Corp. — Class A | | | 550 | | | | 54,643 | |
Deckers Outdoor Corp.* | | | 141 | | | | 54,154 | |
Tesla, Inc.* | | | 77 | | | | 52,337 | |
Dick’s Sporting Goods, Inc. | | | 481 | | | | 48,191 | |
Home Depot, Inc.1 | | | 151 | | | | 48,152 | |
LKQ Corp.* | | | 977 | | | | 48,088 | |
Genuine Parts Co. | | | 380 | | | | 48,059 | |
Target Corp. | | | 198 | | | | 47,864 | |
Fastenal Co. | | | 886 | | | | 46,072 | |
Tri Pointe Homes, Inc.* | | | 2,128 | | | | 45,603 | |
Total Consumer, Cyclical | | | | | | | 3,083,387 | |
| | | | | | | | | |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Value | |
Communications - 10.4% |
Alphabet, Inc. — Class C*,1 | | | 167 | | | $ | 418,555 | |
Verizon Communications, Inc.1 | | | 4,345 | | | | 243,450 | |
VeriSign, Inc.*,1 | | | 1,001 | | | | 227,918 | |
Viavi Solutions, Inc.*,1 | | | 11,580 | | | | 204,503 | |
Amazon.com, Inc.*,1 | | | 59 | | | | 202,969 | |
Omnicom Group, Inc.1 | | | 2,402 | | | | 192,136 | |
Cisco Systems, Inc.1 | | | 3,310 | | | | 175,430 | |
Facebook, Inc. — Class A*,1 | | | 388 | | | | 134,912 | |
Cogent Communications Holdings, Inc. | | | 1,365 | | | | 104,955 | |
Juniper Networks, Inc.1 | | | 3,487 | | | | 95,369 | |
Telephone & Data Systems, Inc.1 | | | 3,936 | | | | 89,190 | |
TEGNA, Inc. | | | 4,696 | | | | 88,097 | |
Motorola Solutions, Inc. | | | 382 | | | | 82,837 | |
InterDigital, Inc. | | | 1,000 | | | | 73,030 | |
F5 Networks, Inc.* | | | 343 | | | | 64,024 | |
Comcast Corp. — Class A1 | | | 1,085 | | | | 61,867 | |
Nexstar Media Group, Inc. — Class A | | | 413 | | | | 61,074 | |
Ciena Corp.* | | | 1,066 | | | | 60,645 | |
World Wrestling Entertainment, Inc. — Class A | | | 1,046 | | | | 60,553 | |
Fox Corp. — Class A | | | 1,544 | | | | 57,329 | |
Yelp, Inc. — Class A* | | | 1,171 | | | | 46,793 | |
Walt Disney Co.* | | | 264 | | | | 46,403 | |
AT&T, Inc.1 | | | 908 | | | | 26,132 | |
Total Communications | | | | | | | 2,818,171 | |
| | | | | | | | | |
Utilities - 9.4% |
CMS Energy Corp. | | | 3,407 | | | | 201,286 | |
Southern Co.1 | | | 3,320 | | | | 200,893 | |
Public Service Enterprise Group, Inc.1 | | | 3,356 | | | | 200,487 | |
UGI Corp.1 | | | 4,255 | | | | 197,049 | |
IDACORP, Inc.1 | | | 2,021 | | | | 197,048 | |
DTE Energy Co. | | | 1,504 | | | | 194,918 | |
MGE Energy, Inc. | | | 2,477 | | | | 184,388 | |
American States Water Co. | | | 2,202 | | | | 175,191 | |
Chesapeake Utilities Corp. | | | 1,193 | | | | 143,554 | |
New Jersey Resources Corp. | | | 3,441 | | | | 136,160 | |
Sempra Energy1 | | | 1,004 | | | | 133,010 | |
American Water Works Company, Inc. | | | 807 | | | | 124,383 | |
Pinnacle West Capital Corp.1 | | | 1,480 | | | | 121,316 | |
Avista Corp. | | | 2,372 | | | | 101,213 | |
WEC Energy Group, Inc. | | | 1,127 | | | | 100,247 | |
National Fuel Gas Co. | | | 1,609 | | | | 84,070 | |
Portland General Electric Co. | | | 1,580 | | | | 72,806 | |
Total Utilities | | | | | | | 2,568,019 | |
| | | | | | | | | |
Basic Materials - 1.4% |
Reliance Steel & Aluminum Co. | | | 750 | | | | 113,175 | |
NewMarket Corp. | | | 283 | | | | 91,120 | |
Commercial Metals Co. | | | 2,065 | | | | 63,437 | |
Ingevity Corp.* | | | 770 | | | | 62,647 | |
Celanese Corp. — Class A | | | 305 | | | | 46,238 | |
Total Basic Materials | | | | | | | 376,617 | |
| | | | | | | | | |
Energy - 1.3% |
Williams Companies, Inc. | | | 3,877 | | | | 102,934 | |
Kinder Morgan, Inc. | | | 5,429 | | | | 98,971 | |
Antero Midstream Corp. | | | 5,675 | | | | 58,963 | |
Chevron Corp. | | | 432 | | | | 45,248 | |
Equitrans Midstream Corp. | | | 4,918 | | | | 41,852 | |
Total Energy | | | | | | | 347,968 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $23,245,752) | | | | | | | 26,345,182 | |
| | | | | | | | | |
MONEY MARKET FUND† - 7.8% |
Invesco Short-Term Investments Trust Treasury Obligations Portfolio, — Institutional Class 0.01%2 | | | 2,132,847 | | | | 2,132,847 | |
Total Money Market Fund | | | | |
(Cost $2,132,847) | | | | | | | 2,132,847 | |
| | | | | | | | | |
Total Investments - 104.5% | | | | |
(Cost $25,378,599) | | $ | 28,478,029 | |
Other Assets & Liabilities, net - (4.5)% | | | (1,227,494 | ) |
Total Net Assets - 100.0% | | $ | 27,250,535 | |
Custom Basket Swap Agreements |
Counterparty | Reference Obligation | Financing Rate
Pay (Receive) | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation (Depreciation) | |
OTC Custom Basket Swap Agreements †† |
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | 0.50% (Federal Funds Rate + 0.40%) | At Maturity | 03/27/24 | | $ | 9,656,274 | | | $ | 702,264 | |
Goldman Sachs International | GS Equity Custom Basket | 0.55% (Federal Funds Rate + 0.45%) | At Maturity | 05/06/24 | | | 9,608,453 | | | | 694,237 | |
| | | | | | | | | | $ | 19,264,727 | | | $ | 1,396,501 | |
OTC Custom Basket Swap Agreements Sold Short †† |
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | (0.20%) (Federal Funds Rate - 0.30%) | At Maturity | 03/27/24 | | $ | 11,716,652 | | | $ | (468,594 | ) |
Goldman Sachs International | GS Equity Custom Basket | (0.10%) (Federal Funds Rate - 0.20%) | At Maturity | 05/06/24 | | | 12,090,552 | | | | (482,330 | ) |
| | | | | | | | | | $ | 23,807,204 | | | $ | (950,924 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
MS EQUITY LONG CUSTOM BASKET | | | | | | | | |
Financial | | | | | | | | | | | | |
Berkshire Hathaway, Inc. — Class B | | | 382 | | | | 1.12 | % | | $ | 11,694 | |
Allstate Corp. | | | 478 | | | | 0.67 | % | | | 11,422 | |
Synchrony Financial | | | 1,265 | | | | 0.64 | % | | | 8,962 | |
JPMorgan Chase & Co. | | | 144 | | | | 0.23 | % | | | 6,496 | |
Aflac, Inc. | | | 1,202 | | | | 0.67 | % | | | 6,312 | |
Travelers Companies, Inc. | | | 254 | | | | 0.39 | % | | | 4,167 | |
Mercury General Corp. | | | 861 | | | | 0.58 | % | | | 3,855 | |
Highwoods Properties, Inc. | | | 1,286 | | | | 0.60 | % | | | 3,261 | |
Visa, Inc. — Class A | | | 73 | | | | 0.18 | % | | | 3,014 | |
Jefferies Financial Group, Inc. | | | 1,185 | | | | 0.42 | % | | | 2,575 | |
Progressive Corp. | | | 472 | | | | 0.48 | % | | | 2,277 | |
Western Union Co. | | | 797 | | | | 0.19 | % | | | 1,593 | |
Cboe Global Markets, Inc. | | | 266 | | | | 0.33 | % | | | 1,472 | |
Mastercard, Inc. — Class A | | | 47 | | | | 0.18 | % | | | 1,421 | |
Federated Hermes, Inc. — Class B | | | 927 | | | | 0.33 | % | | | 1,376 | |
Houlihan Lokey, Inc. | | | 403 | | | | 0.34 | % | | | 962 | |
Marsh & McLennan Companies, Inc. | | | 271 | | | | 0.39 | % | | | 624 | |
Brown & Brown, Inc. | | | 333 | | | | 0.18 | % | | | 390 | |
Goldman Sachs Group, Inc. | | | 126 | | | | 0.50 | % | | | 362 | |
Sabra Health Care REIT, Inc. | | | 988 | | | | 0.19 | % | | | 333 | |
OneMain Holdings, Inc. | | | 391 | | | | 0.24 | % | | | 251 | |
Interactive Brokers Group, Inc. — Class A | | | 491 | | | | 0.33 | % | | | 231 | |
Gaming and Leisure Properties, Inc. | | | 1 | | | | 0.00 | % | | | 6 | |
Janus Henderson Group plc | | | 735 | | | | 0.30 | % | | | (152 | ) |
Arch Capital Group Ltd. | | | 922 | | | | 0.37 | % | | | (204 | ) |
Evercore, Inc. — Class A | | | 257 | | | | 0.37 | % | | | (260 | ) |
SEI Investments Co. | | | 439 | | | | 0.28 | % | | | (286 | ) |
W R Berkley Corp. | | | 232 | | | | 0.18 | % | | | (306 | ) |
RenaissanceRe Holdings Ltd. | | | 180 | | | | 0.28 | % | | | (340 | ) |
Everest Re Group Ltd. | | | 147 | | | | 0.38 | % | | | (382 | ) |
Raymond James Financial, Inc. | | | 451 | | | | 0.61 | % | | | (384 | ) |
Markel Corp. | | | 32 | | | | 0.39 | % | | | (575 | ) |
Radian Group, Inc. | | | 1,166 | | | | 0.27 | % | | | (782 | ) |
Brighthouse Financial, Inc. | | | 757 | | | | 0.36 | % | | | (786 | ) |
Citigroup, Inc. | | | 305 | | | | 0.22 | % | | | (948 | ) |
Artisan Partners Asset Management, Inc. — Class A | | | 320 | | | | 0.17 | % | | | (954 | ) |
Stewart Information Services Corp. | | | 374 | | | | 0.22 | % | | | (1,003 | ) |
Cincinnati Financial Corp. | | | 208 | | | | 0.25 | % | | | (1,058 | ) |
Affiliated Managers Group, Inc. | | | 166 | | | | 0.27 | % | | | (1,130 | ) |
MGIC Investment Corp. | | | 1,360 | | | | 0.19 | % | | | (1,141 | ) |
Capital One Financial Corp. | | | 231 | | | | 0.37 | % | | | (1,249 | ) |
AMERISAFE, Inc. | | | 493 | | | | 0.30 | % | | | (1,271 | ) |
First American Financial Corp. | | | 369 | | | | 0.24 | % | | | (1,281 | ) |
Enstar Group Ltd. | | | 156 | | | | 0.39 | % | | | (1,346 | ) |
Lexington Realty Trust | | | 1,344 | | | | 0.17 | % | | | (1,373 | ) |
Safety Insurance Group, Inc. | | | 619 | | | | 0.50 | % | | | (1,437 | ) |
Brandywine Realty Trust | | | 3,907 | | | | 0.55 | % | | | (1,524 | ) |
Hanover Insurance Group, Inc. | | | 466 | | | | 0.65 | % | | | (1,750 | ) |
Essent Group Ltd. | | | 726 | | | | 0.34 | % | | | (1,939 | ) |
Discover Financial Services | | | 380 | | | | 0.47 | % | | | (2,012 | ) |
BankUnited, Inc. | | | 639 | | | | 0.28 | % | | | (2,244 | ) |
Old Republic International Corp. | | | 2,116 | | | | 0.55 | % | | | (2,979 | ) |
Associated Banc-Corp. | | | 1,694 | | | | 0.36 | % | | | (3,105 | ) |
Healthcare Realty Trust, Inc. | | | 1,733 | | | | 0.54 | % | | | (3,403 | ) |
Total Financial | | | | | | | | | | | 35,452 | |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
McKesson Corp. | | | 216 | | | | 0.43 | % | | | 15,972 | |
Molson Coors Beverage Co. — Class B | | | 963 | | | | 0.54 | % | | | 12,858 | |
Johnson & Johnson | | | 450 | | | | 0.77 | % | | | 10,007 | |
Amgen, Inc. | | | 295 | | | | 0.74 | % | | | 9,217 | |
United Therapeutics Corp. | | | 230 | | | | 0.43 | % | | | 7,736 | |
Thermo Fisher Scientific, Inc. | | | 120 | | | | 0.63 | % | | | 7,348 | |
H&R Block, Inc. | | | 1,262 | | | | 0.31 | % | | | 6,486 | |
Laboratory Corporation of America Holdings | | | 84 | | | | 0.24 | % | | | 5,863 | |
Pfizer, Inc. | | | 1,414 | | | | 0.57 | % | | | 5,429 | |
Regeneron Pharmaceuticals, Inc. | | | 95 | | | | 0.55 | % | | | 5,130 | |
Prestige Consumer Healthcare, Inc. | | | 624 | | | | 0.34 | % | | | 4,824 | |
PayPal Holdings, Inc. | | | 63 | | | | 0.19 | % | | | 4,656 | |
Bristol-Myers Squibb Co. | | | 1,227 | | | | 0.85 | % | | | 4,533 | |
UnitedHealth Group, Inc. | | | 43 | | | | 0.18 | % | | | 4,334 | |
Philip Morris International, Inc. | | | 176 | | | | 0.18 | % | | | 4,092 | |
Procter & Gamble Co. | | | 128 | | | | 0.18 | % | | | 4,003 | |
Bio-Rad Laboratories, Inc. — Class A | | | 84 | | | | 0.56 | % | | | 3,729 | |
J M Smucker Co. | | | 126 | | | | 0.17 | % | | | 3,281 | |
Vector Group Ltd. | | | 1,289 | | | | 0.19 | % | | | 3,130 | |
Abbott Laboratories | | | 245 | | | | 0.29 | % | | | 2,999 | |
Hill-Rom Holdings, Inc. | | | 188 | | | | 0.22 | % | | | 2,570 | |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Humana, Inc. | | | 67 | | | | 0.31 | % | | $ | 2,456 | |
Merck & Company, Inc. | | | 895 | | | | 0.72 | % | | | 2,390 | |
Hershey Co. | | | 253 | | | | 0.46 | % | | | 2,385 | |
Vanda Pharmaceuticals, Inc. | | | 915 | | | | 0.20 | % | | | 2,197 | |
Quest Diagnostics, Inc. | | | 223 | | | | 0.30 | % | | | 2,091 | |
PepsiCo, Inc. | | | 195 | | | | 0.30 | % | | | 1,959 | |
Innoviva, Inc. | | | 1,775 | | | | 0.25 | % | | | 1,689 | |
PerkinElmer, Inc. | | | 205 | | | | 0.33 | % | | | 1,646 | |
Masimo Corp. | | | 77 | | | | 0.19 | % | | | 1,594 | |
Eagle Pharmaceuticals, Inc. | | | 733 | | | | 0.32 | % | | | 1,468 | |
Vertex Pharmaceuticals, Inc. | | | 164 | | | | 0.34 | % | | | 874 | |
HCA Healthcare, Inc. | | | 82 | | | | 0.18 | % | | | 706 | |
Bruker Corp. | | | 235 | | | | 0.18 | % | | | 696 | |
Blueprint Medicines Corp. | | | 315 | | | | 0.29 | % | | | 592 | |
Zoetis, Inc. | | | 94 | | | | 0.18 | % | | | 555 | |
Incyte Corp. | | | 466 | | | | 0.41 | % | | | 522 | |
Organon & Co. | | | 1 | | | | 0.00 | % | | | (4 | ) |
Gilead Sciences, Inc. | | | 1,232 | | | | 0.88 | % | | | (84 | ) |
Hologic, Inc. | | | 628 | | | | 0.43 | % | | | (219 | ) |
Chemed Corp. | | | 60 | | | | 0.29 | % | | | (402 | ) |
Baxter International, Inc. | | | 209 | | | | 0.17 | % | | | (428 | ) |
Grand Canyon Education, Inc. | | | 219 | | | | 0.20 | % | | | (701 | ) |
John B Sanfilippo & Son, Inc. | | | 492 | | | | 0.45 | % | | | (990 | ) |
Coherus Biosciences, Inc. | | | 1,606 | | | | 0.23 | % | | | (1,031 | ) |
Exelixis, Inc. | | | 988 | | | | 0.19 | % | | | (4,681 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | 143,477 | |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Owens Corning | | | 327 | | | | 0.33 | % | | | 11,884 | |
Oshkosh Corp. | | | 358 | | | | 0.46 | % | | | 11,740 | |
Acuity Brands, Inc. | | | 125 | | | | 0.24 | % | | | 10,796 | |
AGCO Corp. | | | 173 | | | | 0.23 | % | | | 10,407 | |
Snap-on, Inc. | | | 168 | | | | 0.39 | % | | | 9,964 | |
Waters Corp. | | | 91 | | | | 0.33 | % | | | 9,089 | |
Vishay Intertechnology, Inc. | | | 2,409 | | | | 0.56 | % | | | 7,338 | |
3M Co. | | | 234 | | | | 0.48 | % | | | 7,093 | |
Timken Co. | | | 387 | | | | 0.32 | % | | | 6,511 | |
Mettler-Toledo International, Inc. | | | 34 | | | | 0.49 | % | | | 5,795 | |
Lincoln Electric Holdings, Inc. | | | 194 | | | | 0.26 | % | | | 5,608 | |
Arrow Electronics, Inc. | | | 140 | | | | 0.17 | % | | | 5,472 | |
Northrop Grumman Corp. | | | 109 | | | | 0.41 | % | | | 4,870 | |
Agilent Technologies, Inc. | | | 246 | | | | 0.38 | % | | | 4,382 | |
Lennox International, Inc. | | | 73 | | | | 0.27 | % | | | 4,208 | |
Toro Co. | | | 816 | | | | 0.93 | % | | | 3,327 | |
Sealed Air Corp. | | | 404 | | | | 0.25 | % | | | 3,065 | |
Donaldson Company, Inc. | | | 1,130 | | | | 0.74 | % | | | 2,625 | |
Sturm Ruger & Company, Inc. | | | 223 | | | | 0.21 | % | | | 2,450 | |
Berry Global Group, Inc. | | | 259 | | | | 0.17 | % | | | 2,120 | |
Lockheed Martin Corp. | | | 57 | | | | 0.22 | % | | | 1,826 | |
OSI Systems, Inc. | | | 433 | | | | 0.46 | % | | | 1,566 | |
Masco Corp. | | | 663 | | | | 0.40 | % | | | 1,302 | |
Watts Water Technologies, Inc. — Class A | | | 370 | | | | 0.56 | % | | | 1,238 | |
Keysight Technologies, Inc. | | | 160 | | | | 0.26 | % | | | 1,161 | |
Parker-Hannifin Corp. | | | 118 | | | | 0.38 | % | | | 1,006 | |
A O Smith Corp. | | | 259 | | | | 0.19 | % | | | 939 | |
Graco, Inc. | | | 237 | | | | 0.19 | % | | | 550 | |
Carlisle Companies, Inc. | | | 131 | | | | 0.26 | % | | | 325 | |
Garmin Ltd. | | | 439 | | | | 0.66 | % | | | 140 | |
Pentair plc | | | 270 | | | | 0.19 | % | | | 135 | |
Huntington Ingalls Industries, Inc. | | | 128 | | | | 0.28 | % | | | (95 | ) |
Fortive Corp. | | | 440 | | | | 0.32 | % | | | (355 | ) |
Louisiana-Pacific Corp. | | | 490 | | | | 0.31 | % | | | (403 | ) |
Sanmina Corp. | | | 569 | | | | 0.23 | % | | | (784 | ) |
Worthington Industries, Inc. | | | 324 | | | | 0.21 | % | | | (1,237 | ) |
Boise Cascade Co. | | | 380 | | | | 0.23 | % | | | (1,390 | ) |
Hillenbrand, Inc. | | | 531 | | | | 0.24 | % | | | (2,525 | ) |
Eagle Materials, Inc. | | | 377 | | | | 0.55 | % | | | (3,242 | ) |
MDU Resources Group, Inc. | | | 2,254 | | | | 0.73 | % | | | (4,652 | ) |
Total Industrial | | | | | | | | | | | 124,249 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Alphabet, Inc. — Class C | | | 62 | | | | 1.61 | % | | | 30,811 | |
Amazon.com, Inc. | | | 22 | | | | 0.78 | % | | | 22,877 | |
Facebook, Inc. — Class A | | | 143 | | | | 0.51 | % | | | 17,571 | |
Viavi Solutions, Inc. | | | 4,279 | | | | 0.78 | % | | | 15,096 | |
Cisco Systems, Inc. | | | 1,223 | | | | 0.67 | % | | | 12,896 | |
VeriSign, Inc. | | | 370 | | | | 0.87 | % | | | 8,610 | |
Motorola Solutions, Inc. | | | 141 | | | | 0.32 | % | | | 7,180 | |
Juniper Networks, Inc. | | | 1,288 | | | | 0.36 | % | | | 6,307 | |
Ciena Corp. | | | 394 | | | | 0.23 | % | | | 4,466 | |
Comcast Corp. — Class A | | | 401 | | | | 0.24 | % | | | 4,045 | |
Omnicom Group, Inc. | | | 887 | | | | 0.73 | % | | | 2,293 | |
Walt Disney Co. | | | 97 | | | | 0.18 | % | | | 1,993 | |
InterDigital, Inc. | | | 369 | | | | 0.28 | % | | | 352 | |
Cogent Communications Holdings, Inc. | | | 504 | | | | 0.40 | % | | | 149 | |
Yelp, Inc. — Class A | | | 432 | | | | 0.18 | % | | | (216 | ) |
Fox Corp. — Class A | | | 570 | | | | 0.22 | % | | | (397 | ) |
TEGNA, Inc. | | | 1,735 | | | | 0.34 | % | | | (621 | ) |
F5 Networks, Inc. | | | 127 | | | | 0.25 | % | | | (642 | ) |
Nexstar Media Group, Inc. — Class A | | | 152 | | | | 0.23 | % | | | (740 | ) |
AT&T, Inc. | | | 335 | | | | 0.10 | % | | | (878 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
World Wrestling Entertainment, Inc. — Class A | | | 386 | | | | 0.23 | % | | $ | (1,603 | ) |
Verizon Communications, Inc. | | | 1,144 | | | | 0.66 | % | | | (2,796 | ) |
Telephone & Data Systems, Inc. | | | 1,454 | | | | 0.34 | % | | | (2,881 | ) |
Total Communications | | | | | | | | | | | 123,872 | |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Antero Midstream Corp. | | | 2,097 | | | | 0.23 | % | | | (384 | ) |
Chevron Corp. | | | 159 | | | | 0.17 | % | | | (545 | ) |
Williams Companies, Inc. | | | 1,432 | | | | 0.39 | % | | | (1,795 | ) |
Kinder Morgan, Inc. | | | 2,006 | | | | 0.38 | % | | | (1,881 | ) |
Equitrans Midstream Corp. | | | 1,817 | | | | 0.16 | % | | | (2,052 | ) |
Total Energy | | | | | | | | | | | (6,657 | ) |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Gentherm, Inc. | | | 495 | | | | 0.36 | % | | | 13,496 | |
AutoZone, Inc. | | | 62 | | | | 0.96 | % | | | 12,526 | |
O’Reilly Automotive, Inc. | | | 147 | | | | 0.86 | % | | | 7,733 | |
Brunswick Corp. | | | 403 | | | | 0.42 | % | | | 7,669 | |
AutoNation, Inc. | | | 337 | | | | 0.33 | % | | | 7,523 | |
Cummins, Inc. | | | 202 | | | | 0.51 | % | | | 6,893 | |
Home Depot, Inc. | | | 55 | | | | 0.18 | % | | | 4,809 | |
Genuine Parts Co. | | | 140 | | | | 0.18 | % | | | 4,315 | |
Lowe’s Companies, Inc. | | | 370 | | | | 0.74 | % | | | 3,927 | |
MSC Industrial Direct Company, Inc. — Class A | | | 440 | | | | 0.41 | % | | | 3,796 | |
PulteGroup, Inc. | | | 623 | | | | 0.35 | % | | | 3,791 | |
Lennar Corp. — Class A | | | 203 | | | | 0.21 | % | | | 3,438 | |
Dolby Laboratories, Inc. — Class A | | | 411 | | | | 0.42 | % | | | 2,912 | |
Deckers Outdoor Corp. | | | 52 | | | | 0.21 | % | | | 2,630 | |
Gentex Corp. | | | 2,189 | | | | 0.75 | % | | | 2,441 | |
Polaris, Inc. | | | 199 | | | | 0.28 | % | | | 1,503 | |
NVR, Inc. | | | 5 | | | | 0.26 | % | | | 1,453 | |
Target Corp. | | | 73 | | | | 0.18 | % | | | 648 | |
WW Grainger, Inc. | | | 105 | | | | 0.48 | % | | | 420 | |
Best Buy Company, Inc. | | | 318 | | | | 0.38 | % | | | 128 | |
Dick’s Sporting Goods, Inc. | | | 177 | | | | 0.18 | % | | | 126 | |
LKQ Corp. | | | 361 | | | | 0.18 | % | | | (120 | ) |
Fastenal Co. | | | 327 | | | | 0.18 | % | | | (221 | ) |
Carter’s, Inc. | | | 311 | | | | 0.33 | % | | | (445 | ) |
Tri Pointe Homes, Inc. | | | 786 | | | | 0.17 | % | | | (513 | ) |
Whirlpool Corp. | | | 134 | | | | 0.30 | % | | | (960 | ) |
Meritage Homes Corp. | | | 219 | | | | 0.21 | % | | | (961 | ) |
Murphy USA, Inc. | | | 235 | | | | 0.32 | % | | | (1,217 | ) |
Allison Transmission Holdings, Inc. | | | 1,193 | | | | 0.49 | % | | | (2,414 | ) |
Tesla, Inc. | | | 28 | | | | 0.20 | % | | | (2,705 | ) |
Yum! Brands, Inc. | | | 624 | | | | 0.74 | % | | | (2,823 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 79,798 | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
UGI Corp. | | | 1,572 | | | | 0.75 | % | | | 12,586 | |
Public Service Enterprise Group, Inc. | | | 1,240 | | | | 0.77 | % | | | 2,861 | |
Southern Co. | | | 1,227 | | | | 0.77 | % | | | 1,687 | |
IDACORP, Inc. | | | 746 | | | | 0.75 | % | | | 743 | |
Pinnacle West Capital Corp. | | | 547 | | | | 0.46 | % | | | 702 | |
Chesapeake Utilities Corp. | | | 441 | | | | 0.55 | % | | | 67 | |
Sempra Energy | | | 371 | | | | 0.51 | % | | | (902 | ) |
MGE Energy, Inc. | | | 915 | | | | 0.71 | % | | | (1,586 | ) |
WEC Energy Group, Inc. | | | 416 | | | | 0.38 | % | | | (1,596 | ) |
American Water Works Company, Inc. | | | 298 | | | | 0.48 | % | | | (1,655 | ) |
National Fuel Gas Co. | | | 594 | | | | 0.32 | % | | | (1,683 | ) |
CMS Energy Corp. | | | 1,259 | | | | 0.77 | % | | | (1,816 | ) |
American States Water Co. | | | 814 | | | | 0.67 | % | | | (1,988 | ) |
DTE Energy Co. | | | 555 | | | | 0.74 | % | | | (2,169 | ) |
Avista Corp. | | | 876 | | | | 0.39 | % | | | (2,629 | ) |
Portland General Electric Co. | | | 583 | | | | 0.28 | % | | | (2,704 | ) |
New Jersey Resources Corp. | | | 1,271 | | | | 0.52 | % | | | (5,562 | ) |
Total Utilities | | | | | | | | | | | (5,644 | ) |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Apple, Inc. | | | 776 | | | | 1.10 | % | | | 46,025 | |
Microsoft Corp. | | | 581 | | | | 1.63 | % | | | 41,318 | |
Seagate Technology Holdings plc | | | 428 | | | | 0.39 | % | | | 15,702 | |
Kulicke & Soffa Industries, Inc. | | | 460 | | | | 0.29 | % | | | 15,070 | |
NetApp, Inc. | | | 344 | | | | 0.29 | % | | | 11,573 | |
HP, Inc. | | | 1,291 | | | | 0.40 | % | | | 11,107 | |
Texas Instruments, Inc. | | | 307 | | | | 0.61 | % | | | 10,117 | |
Rambus, Inc. | | | 1,871 | | | | 0.46 | % | | | 7,184 | |
KLA Corp. | | | 54 | | | | 0.18 | % | | | 7,105 | |
NVIDIA Corp. | | | 24 | | | | 0.20 | % | | | 6,586 | |
Oracle Corp. | | | 210 | | | | 0.17 | % | | | 5,256 | |
International Business Machines Corp. | | | 190 | | | | 0.29 | % | | | 4,895 | |
CDK Global, Inc. | | | 797 | | | | 0.41 | % | | | 4,705 | |
Cerner Corp. | | | 546 | | | | 0.44 | % | | | 4,429 | |
Adobe, Inc. | | | 21 | | | | 0.13 | % | | | 4,409 | |
Cirrus Logic, Inc. | | | 397 | | | | 0.35 | % | | | 3,937 | |
QUALCOMM, Inc. | | | 178 | | | | 0.26 | % | | | 3,809 | |
Cadence Design Systems, Inc. | | | 443 | | | | 0.63 | % | | | 3,473 | |
Broadcom, Inc. | | | 90 | | | | 0.44 | % | | | 3,357 | |
Dropbox, Inc. — Class A | | | 583 | | | | 0.18 | % | | | 3,289 | |
CSG Systems International, Inc. | | | 1,809 | | | | 0.88 | % | | | 2,891 | |
Qorvo, Inc. | | | 108 | | | | 0.22 | % | | | 2,560 | |
Paychex, Inc. | | | 203 | | | | 0.23 | % | | | 2,261 | |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Accenture plc — Class A | | | 60 | | | | 0.18 | % | | $ | 2,234 | |
Synaptics, Inc. | | | 124 | | | | 0.20 | % | | | 1,933 | |
Synopsys, Inc. | | | 65 | | | | 0.19 | % | | | 1,621 | |
Intel Corp. | | | 624 | | | | 0.36 | % | | | 1,499 | |
Lumentum Holdings, Inc. | | | 298 | | | | 0.25 | % | | | 389 | |
salesforce.com, Inc. | | | 48 | | | | 0.12 | % | | | 237 | |
ExlService Holdings, Inc. | | | 166 | | | | 0.18 | % | | | 214 | |
Electronic Arts, Inc. | | | 376 | | | | 0.56 | % | | | (525 | ) |
Progress Software Corp. | | | 632 | | | | 0.30 | % | | | (1,013 | ) |
MAXIMUS, Inc. | | | 219 | | | | 0.20 | % | | | (1,203 | ) |
NetScout Systems, Inc. | | | 564 | | | | 0.17 | % | | | (1,276 | ) |
Take-Two Interactive Software, Inc. | | | 195 | | | | 0.36 | % | | | (1,767 | ) |
Activision Blizzard, Inc. | | | 699 | | | | 0.69 | % | | | (1,887 | ) |
Cognizant Technology Solutions Corp. — Class A | | | 474 | | | | 0.34 | % | | | (2,777 | ) |
Total Technology | | | | | | | | | | | 218,737 | |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Ingevity Corp. | | | 284 | | | | 0.24 | % | | | (636 | ) |
Celanese Corp. — Class A | | | 113 | | | | 0.18 | % | | | (1,004 | ) |
NewMarket Corp. | | | 104 | | | | 0.35 | % | | | (1,454 | ) |
Commercial Metals Co. | | | 763 | | | | 0.24 | % | | | (1,833 | ) |
Reliance Steel & Aluminum Co. | | | 277 | | | | 0.43 | % | | | (6,096 | ) |
Total Basic Materials | | | | | | | | | | | (11,020 | ) |
Total MS Equity Long Custom Basket | | | | | | | 702,264 | |
| | | | | | | | | |
MS EQUITY SHORT CUSTOM BASKET | | | | | | | | |
Financial | | | | | | | | | | | | |
JBG SMITH Properties | | | 5,518 | | | | (1.46 | )% | | | 7,669 | |
Lincoln National Corp. | | | 1,399 | | | | (0.74 | )% | | | 6,723 | |
Alexandria Real Estate Equities, Inc. | | | 559 | | | | (0.87 | )% | | | 6,002 | |
American International Group, Inc. | | | 1,343 | | | | (0.55 | )% | | | 5,908 | |
U.S. Bancorp | | | 2,786 | | | | (1.35 | )% | | | 5,742 | |
Truist Financial Corp. | | | 2,275 | | | | (1.08 | )% | | | 5,713 | |
Prudential Financial, Inc. | | | 1,558 | | | | (1.36 | )% | | | 4,765 | |
Global Net Lease, Inc. | | | 2,784 | | | | (0.44 | )% | | | 3,211 | |
Comerica, Inc. | | | 929 | | | | (0.57 | )% | | | 2,146 | |
Bank of America Corp. | | | 3,987 | | | | (1.40 | )% | | | 2,052 | |
State Street Corp. | | | 1,364 | | | | (0.96 | )% | | | 1,974 | |
UDR, Inc. | | | 3,613 | | | | (1.51 | )% | | | 1,823 | |
CyrusOne, Inc. | | | 1,004 | | | | (0.61 | )% | | | 1,727 | |
Equitable Holdings, Inc. | | | 2,337 | | | | (0.61 | )% | | | 1,586 | |
Mid-America Apartment Communities, Inc. | | | 561 | | | | (0.81 | )% | | | 1,455 | |
Ryman Hospitality Properties, Inc. | | | 597 | | | | (0.40 | )% | | | 1,116 | |
Americold Realty Trust | | | 3,589 | | | | (1.16 | )% | | | 239 | |
Wells Fargo & Co. | | | 886 | | | | (0.34 | )% | | | 197 | |
SBA Communications Corp. | | | 142 | | | | (0.39 | )% | | | (253 | ) |
Crown Castle International Corp. | | | 386 | | | | (0.64 | )% | | | (346 | ) |
Bank of New York Mellon Corp. | | | 810 | | | | (0.35 | )% | | | (741 | ) |
Host Hotels & Resorts, Inc. | | | 5,514 | | | | (0.80 | )% | | | (1,071 | ) |
Digital Realty Trust, Inc. | | | 815 | | | | (1.05 | )% | | | (1,838 | ) |
Welltower, Inc. | | | 936 | | | | (0.66 | )% | | | (3,653 | ) |
American Homes 4 Rent — Class A | | | 1,499 | | | | (0.50 | )% | | | (4,704 | ) |
Federal Realty Investment Trust | | | 494 | | | | (0.49 | )% | | | (5,026 | ) |
Charles Schwab Corp. | | | 2,147 | | | | (1.33 | )% | | | (5,392 | ) |
Invitation Homes, Inc. | | | 2,336 | | | | (0.74 | )% | | | (6,454 | ) |
Healthpeak Properties, Inc. | | | 4,981 | | | | (1.42 | )% | | | (6,602 | ) |
American Tower Corp. — Class A | | | 194 | | | | (0.45 | )% | | | (11,220 | ) |
Howard Hughes Corp. | | | 758 | | | | (0.63 | )% | | | (13,838 | ) |
Rayonier, Inc. | | | 2,596 | | | | (0.80 | )% | | | (14,735 | ) |
Brookline Bancorp, Inc. | | | 4,914 | | | | (0.63 | )% | | | (18,115 | ) |
Prologis, Inc. | | | 980 | | | | (1.00 | )% | | | (18,160 | ) |
Loews Corp. | | | 1,296 | | | | (0.60 | )% | | | (18,458 | ) |
Equinix, Inc. | | | 176 | | | | (1.21 | )% | | | (19,373 | ) |
Camden Property Trust | | | 889 | | | | (1.01 | )% | | | (27,044 | ) |
Sun Communities, Inc. | | | 799 | | | | (1.17 | )% | | | (34,276 | ) |
Rexford Industrial Realty, Inc. | | | 2,381 | | | | (1.16 | )% | | | (41,221 | ) |
First Republic Bank | | | 1,047 | | | | (1.67 | )% | | | (47,696 | ) |
Total Financial | | | | | | | | | | | (240,168 | ) |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Anaplan, Inc. | | | 521 | | | | (0.24 | )% | | | 1,795 | |
Okta, Inc. | | | 259 | | | | (0.54 | )% | | | (245 | ) |
Uber Technologies, Inc. | | | 1,710 | | | | (0.73 | )% | | | (597 | ) |
Q2 Holdings, Inc. | | | 898 | | | | (0.79 | )% | | | (8,793 | ) |
Zendesk, Inc. | | | 414 | | | | (0.51 | )% | | | (14,123 | ) |
Liberty Broadband Corp. — Class C | | | 564 | | | | (0.84 | )% | | | (15,335 | ) |
Total Communications | | | | | | | | | | | (37,298 | ) |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Verisk Analytics, Inc. — Class A | | | 1,171 | | | | (1.75 | )% | | | 11,955 | |
Archer-Daniels-Midland Co. | | | 2,231 | | | | (1.15 | )% | | | 11,442 | |
ManpowerGroup, Inc. | | | 949 | | | | (0.96 | )% | | | 3,314 | |
CoStar Group, Inc. | | | 1,210 | | | | (0.86 | )% | | | 2,855 | |
Cooper Companies, Inc. | | | 109 | | | | (0.37 | )% | | | 803 | |
McCormick & Company, Inc. | | | 1,150 | | | | (0.87 | )% | | | 117 | |
Brink’s Co. | | | 716 | | | | (0.47 | )% | | | (461 | ) |
Alnylam Pharmaceuticals, Inc. | | | 251 | | | | (0.36 | )% | | | (1,564 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Guardant Health, Inc. | | | 501 | | | | (0.53 | )% | | $ | (1,863 | ) |
Rollins, Inc. | | | 2,383 | | | | (0.70 | )% | | | (2,230 | ) |
TransUnion | | | 1,157 | | | | (1.08 | )% | | | (8,882 | ) |
Avalara, Inc. | | | 201 | | | | (0.28 | )% | | | (11,977 | ) |
Cintas Corp. | | | 568 | | | | (1.85 | )% | | | (16,917 | ) |
Equifax, Inc. | | | 437 | | | | (0.89 | )% | | | (30,158 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | (43,566 | ) |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
Atmos Energy Corp. | | | 1,647 | | | | (1.35 | )% | | | 8,756 | |
Exelon Corp. | | | 3,433 | | | | (1.30 | )% | | | 8,095 | |
ONE Gas, Inc. | | | 2,184 | | | | (1.38 | )% | | | 7,130 | |
Xcel Energy, Inc. | | | 2,032 | | | | (1.14 | )% | | | 6,919 | |
Black Hills Corp. | | | 1,058 | | | | (0.59 | )% | | | 3,953 | |
OGE Energy Corp. | | | 2,503 | | | | (0.72 | )% | | | 3,674 | |
CenterPoint Energy, Inc. | | | 2,107 | | | | (0.44 | )% | | | 2,850 | |
Edison International | | | 3,007 | | | | (1.48 | )% | | | (111 | ) |
Total Utilities | | | | | | | | | | | 41,266 | |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
KBR, Inc. | | | 3,115 | | | | (1.01 | )% | | | 5,508 | |
Leidos Holdings, Inc. | | | 903 | | | | (0.78 | )% | | | 4,757 | |
Blackline, Inc. | | | 261 | | | | (0.25 | )% | | | 1,136 | |
Clarivate plc | | | 2,317 | | | | (0.54 | )% | | | (1,144 | ) |
Sailpoint Technologies Holdings, Inc. | | | 587 | | | | (0.26 | )% | | | (1,693 | ) |
Twilio, Inc. — Class A | | | 84 | | | | (0.28 | )% | | | (2,564 | ) |
Tyler Technologies, Inc. | | | 64 | | | | (0.25 | )% | | | (3,665 | ) |
Ceridian HCM Holding, Inc. | | | 619 | | | | (0.51 | )% | | | (4,929 | ) |
Coupa Software, Inc. | | | 232 | | | | (0.52 | )% | | | (4,967 | ) |
Smartsheet, Inc. — Class A | | | 430 | | | | (0.27 | )% | | | (9,509 | ) |
Rapid7, Inc. | | | 639 | | | | (0.52 | )% | | | (13,311 | ) |
HubSpot, Inc. | | | 54 | | | | (0.27 | )% | | | (14,887 | ) |
Total Technology | | | | | | | | | | | (45,268 | ) |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Jacobs Engineering Group, Inc. | | | 1,435 | | | | (1.63 | )% | | | 9,434 | |
Ball Corp. | | | 848 | | | | (0.59 | )% | | | 8,434 | |
Stericycle, Inc. | | | 2,474 | | | | (1.51 | )% | | | 6,513 | |
XPO Logistics, Inc. | | | 623 | | | | (0.74 | )% | | | 5,408 | |
Norfolk Southern Corp. | | | 558 | | | | (1.26 | )% | | | 3,535 | |
Exponent, Inc. | | | 549 | | | | (0.42 | )% | | | 3,315 | |
US Ecology, Inc. | | | 1,736 | | | | (0.56 | )% | | | 416 | |
MSA Safety, Inc. | | | 531 | | | | (0.75 | )% | | | 193 | |
Raytheon Technologies Corp. | | | 1,822 | | | | (1.33 | )% | | | (833 | ) |
FedEx Corp. | | | 276 | | | | (0.70 | )% | | | (834 | ) |
Republic Services, Inc. — Class A | | | 1,842 | | | | (1.73 | )% | | | (1,240 | ) |
United Parcel Service, Inc. — Class B | | | 221 | | | | (0.39 | )% | | | (1,248 | ) |
Boeing Co. | | | 355 | | | | (0.73 | )% | | | (1,467 | ) |
TransDigm Group, Inc. | | | 83 | | | | (0.46 | )% | | | (3,369 | ) |
Waste Management, Inc. | | | 1,415 | | | | (1.69 | )% | | | (4,727 | ) |
Tetra Tech, Inc. | | | 524 | | | | (0.55 | )% | | | (10,945 | ) |
Ingersoll Rand, Inc. | | | 1,854 | | | | (0.77 | )% | | | (12,370 | ) |
Casella Waste Systems, Inc. — Class A | | | 2,101 | | | | (1.14 | )% | | | (17,570 | ) |
Total Industrial | | | | | | | | | | | (17,355 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Baker Hughes Co. | | | 2,743 | | | | (0.54 | )% | | | 8,193 | |
Schlumberger N.V. | | | 5,630 | | | | (1.54 | )% | | | 4,696 | |
Phillips 66 | | | 445 | | | | (0.33 | )% | | | 252 | |
Pioneer Natural Resources Co. | | | 1,225 | | | | (1.70 | )% | | | (6,930 | ) |
NOV, Inc. | | | 3,309 | | | | (0.43 | )% | | | (10,400 | ) |
Hess Corp. | | | 950 | | | | (0.71 | )% | | | (17,107 | ) |
ChampionX Corp. | | | 3,710 | | | | (0.81 | )% | | | (22,261 | ) |
Halliburton Co. | | | 8,368 | | | | (1.65 | )% | | | (33,845 | ) |
Ovintiv, Inc. | | | 3,742 | | | | (1.01 | )% | | | (44,094 | ) |
Total Energy | | | | | | | | | | | (121,496 | ) |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
JetBlue Airways Corp. | | | 5,942 | | | | (0.85 | )% | | | 10,949 | |
United Airlines Holdings, Inc. | | | 2,325 | | | | (1.04 | )% | | | 10,218 | |
IAA, Inc. | | | 1,336 | | | | (0.62 | )% | | | 6,207 | |
Delta Air Lines, Inc. | | | 3,734 | | | | (1.38 | )% | | | 3,946 | |
Freshpet, Inc. | | | 517 | | | | (0.72 | )% | | | 2,232 | |
Marriott International, Inc. — Class A | | | 287 | | | | (0.33 | )% | | | 1,952 | |
Hilton Worldwide Holdings, Inc. | | | 454 | | | | (0.47 | )% | | | 1,538 | |
Alaska Air Group, Inc. | | | 1,976 | | | | (1.02 | )% | | | (1,207 | ) |
Southwest Airlines Co. | | | 2,998 | | | | (1.36 | )% | | | (6,373 | ) |
Copart, Inc. | | | 1,007 | | | | (1.13 | )% | | | (25,140 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 4,322 | |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Livent Corp. | | | 1 | | | | 0.00 | % | | | (4 | ) |
Linde plc | | | 141 | | | | (0.35 | )% | | | (306 | ) |
Quaker Chemical Corp. | | | 253 | | | | (0.51 | )% | | | (8,721 | ) |
Total Basic Materials | | | | | | | | | | | (9,031 | ) |
Total MS Equity Short Custom Basket | | | | | | $ | (468,594 | ) |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
GS EQUITY LONG CUSTOM BASKET | | | | | | | | |
Industrial | | | | | | | | | | | | |
Owens Corning | | | 327 | | | | 0.35 | % | | $ | 11,903 | |
Oshkosh Corp. | | | 358 | | | | 0.46 | % | | | 11,158 | |
Acuity Brands, Inc. | | | 125 | | | | 0.24 | % | | | 10,823 | |
AGCO Corp. | | | 173 | | | | 0.23 | % | | | 10,390 | |
Snap-on, Inc. | | | 168 | | | | 0.39 | % | | | 9,920 | |
Waters Corp. | | | 91 | | | | 0.33 | % | | | 9,078 | |
Vishay Intertechnology, Inc. | | | 2,409 | | | | 0.57 | % | | | 7,295 | |
3M Co. | | | 234 | | | | 0.48 | % | | | 7,128 | |
Timken Co. | | | 387 | | | | 0.32 | % | | | 6,556 | |
Mettler-Toledo International, Inc. | | | 34 | | | | 0.49 | % | | | 5,851 | |
Lincoln Electric Holdings, Inc. | | | 194 | | | | 0.27 | % | | | 5,573 | |
Arrow Electronics, Inc. | | | 140 | | | | 0.17 | % | | | 5,412 | |
Northrop Grumman Corp. | | | 109 | | | | 0.41 | % | | | 4,909 | |
Agilent Technologies, Inc. | | | 246 | | | | 0.38 | % | | | 4,390 | |
Lennox International, Inc. | | | 73 | | | | 0.27 | % | | | 4,216 | |
Toro Co. | | | 816 | | | | 0.93 | % | | | 3,211 | |
Sealed Air Corp. | | | 404 | | | | 0.25 | % | | | 3,077 | |
Donaldson Company, Inc. | | | 1,130 | | | | 0.75 | % | | | 2,582 | |
Sturm Ruger & Company, Inc. | | | 223 | | | | 0.21 | % | | | 2,459 | |
Berry Global Group, Inc. | | | 259 | | | | 0.18 | % | | | 2,125 | |
Lockheed Martin Corp. | | | 57 | | | | 0.22 | % | | | 1,852 | |
OSI Systems, Inc. | | | 433 | | | | 0.46 | % | | | 1,552 | |
Masco Corp. | | | 663 | | | | 0.41 | % | | | 1,294 | |
Watts Water Technologies, Inc. — Class A | | | 370 | | | | 0.56 | % | | | 1,269 | |
Keysight Technologies, Inc. | | | 160 | | | | 0.26 | % | | | 1,163 | |
Parker-Hannifin Corp. | | | 118 | | | | 0.38 | % | | | 997 | |
A O Smith Corp. | | | 259 | | | | 0.19 | % | | | 929 | |
Graco, Inc. | | | 237 | | | | 0.19 | % | | | 576 | |
Carlisle Companies, Inc. | | | 131 | | | | 0.26 | % | | | 364 | |
Garmin Ltd. | | | 439 | | | | 0.66 | % | | | 260 | |
Pentair plc | | | 270 | | | | 0.19 | % | | | 120 | |
Huntington Ingalls Industries, Inc. | | | 128 | | | | 0.28 | % | | | (119 | ) |
Fortive Corp. | | | 440 | | | | 0.32 | % | | | (372 | ) |
Louisiana-Pacific Corp. | | | 490 | | | | 0.31 | % | | | (409 | ) |
Sanmina Corp. | | | 569 | | | | 0.23 | % | | | (793 | ) |
Worthington Industries, Inc. | | | 324 | | | | 0.21 | % | | | (1,186 | ) |
Boise Cascade Co. | | | 380 | | | | 0.23 | % | | | (1,459 | ) |
Hillenbrand, Inc. | | | 531 | | | | 0.24 | % | | | (2,530 | ) |
Eagle Materials, Inc. | | | 377 | | | | 0.56 | % | | | (3,336 | ) |
MDU Resources Group, Inc. | | | 2,254 | | | | 0.74 | % | | | (4,650 | ) |
Total Industrial | | | | | | | | | | | 123,578 | |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Berkshire Hathaway, Inc. — Class B | | | 382 | | | | 1.10 | % | | | 11,650 | |
Allstate Corp. | | | 478 | | | | 0.65 | % | | | 11,465 | |
Synchrony Financial | | | 1,265 | | | | 0.64 | % | | | 8,942 | |
JPMorgan Chase & Co. | | | 144 | | | | 0.23 | % | | | 6,502 | |
Aflac, Inc. | | | 1,202 | | | | 0.67 | % | | | 6,297 | |
Travelers Companies, Inc. | | | 254 | | | | 0.40 | % | | | 4,147 | |
Mercury General Corp. | | | 861 | | | | 0.58 | % | | | 3,831 | |
Highwoods Properties, Inc. | | | 1,286 | | | | 0.60 | % | | | 3,211 | |
Visa, Inc. — Class A | | | 73 | | | | 0.18 | % | | | 3,046 | |
Jefferies Financial Group, Inc. | | | 1,185 | | | | 0.42 | % | | | 2,459 | |
Progressive Corp. | | | 472 | | | | 0.48 | % | | | 2,297 | |
Western Union Co. | | | 797 | | | | 0.19 | % | | | 1,589 | |
Cboe Global Markets, Inc. | | | 266 | | | | 0.33 | % | | | 1,523 | |
Federated Hermes, Inc. — Class B | | | 927 | | | | 0.33 | % | | | 1,449 | |
Mastercard, Inc. — Class A | | | 47 | | | | 0.18 | % | | | 1,437 | |
Houlihan Lokey, Inc. | | | 403 | | | | 0.34 | % | | | 1,044 | |
Marsh & McLennan Companies, Inc. | | | 271 | | | | 0.40 | % | | | 645 | |
Brown & Brown, Inc. | | | 333 | | | | 0.18 | % | | | 384 | |
Sabra Health Care REIT, Inc. | | | 988 | | | | 0.19 | % | | | 338 | |
Interactive Brokers Group, Inc. — Class A | | | 491 | | | | 0.34 | % | | | 206 | |
OneMain Holdings, Inc. | | | 391 | | | | 0.24 | % | | | 182 | |
Gaming and Leisure Properties, Inc. | | | 1 | | | | 0.00 | % | | | 6 | |
Janus Henderson Group plc | | | 735 | | | | 0.30 | % | | | (143 | ) |
Arch Capital Group Ltd. | | | 922 | | | | 0.37 | % | | | (226 | ) |
SEI Investments Co. | | | 439 | | | | 0.28 | % | | | (274 | ) |
Evercore, Inc. — Class A | | | 257 | | | | 0.38 | % | | | (277 | ) |
W R Berkley Corp. | | | 232 | | | | 0.18 | % | | | (333 | ) |
RenaissanceRe Holdings Ltd. | | | 180 | | | | 0.28 | % | | | (374 | ) |
Everest Re Group Ltd. | | | 147 | | | | 0.39 | % | | | (392 | ) |
Raymond James Financial, Inc. | | | 451 | | | | 0.61 | % | | | (446 | ) |
Markel Corp. | | | 32 | | | | 0.40 | % | | | (618 | ) |
Brighthouse Financial, Inc. | | | 757 | | | | 0.36 | % | | | (828 | ) |
Radian Group, Inc. | | | 1,166 | | | | 0.27 | % | | | (845 | ) |
Artisan Partners Asset Management, Inc. — Class A | | | 320 | | | | 0.17 | % | | | (953 | ) |
Citigroup, Inc. | | | 305 | | | | 0.22 | % | | | (959 | ) |
Stewart Information Services Corp. | | | 374 | | | | 0.22 | % | | | (1,014 | ) |
Cincinnati Financial Corp. | | | 208 | | | | 0.25 | % | | | (1,078 | ) |
Affiliated Managers Group, Inc. | | | 166 | | | | 0.27 | % | | | (1,147 | ) |
MGIC Investment Corp. | | | 1,360 | | | | 0.19 | % | | | (1,211 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
First American Financial Corp. | | | 369 | | | | 0.24 | % | | $ | (1,269 | ) |
Capital One Financial Corp. | | | 231 | | | | 0.37 | % | | | (1,286 | ) |
AMERISAFE, Inc. | | | 493 | | | | 0.31 | % | | | (1,291 | ) |
Lexington Realty Trust | | | 1,344 | | | | 0.17 | % | | | (1,330 | ) |
Enstar Group Ltd. | | | 156 | | | | 0.39 | % | | | (1,367 | ) |
Safety Insurance Group, Inc. | | | 619 | | | | 0.50 | % | | | (1,422 | ) |
Brandywine Realty Trust | | | 3,907 | | | | 0.56 | % | | | (1,540 | ) |
Hanover Insurance Group, Inc. | | | 466 | | | | 0.66 | % | | | (1,746 | ) |
Essent Group Ltd. | | | 726 | | | | 0.34 | % | | | (2,039 | ) |
Discover Financial Services | | | 380 | | | | 0.47 | % | | | (2,066 | ) |
BankUnited, Inc. | | | 639 | | | | 0.28 | % | | | (2,354 | ) |
Old Republic International Corp. | | | 2,116 | | | | 0.55 | % | | | (2,985 | ) |
Associated Banc-Corp. | | | 1,694 | | | | 0.36 | % | | | (3,176 | ) |
Healthcare Realty Trust, Inc. | | | 1,733 | | | | 0.54 | % | | | (3,354 | ) |
Total Financial | | | | | | | | | | | 34,307 | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
UGI Corp. | | | 1,572 | | | | 0.76 | % | | | 12,573 | |
Public Service Enterprise Group, Inc. | | | 1,240 | | | | 0.77 | % | | | 2,865 | |
Southern Co. | | | 1,227 | | | | 0.77 | % | | | 1,537 | |
IDACORP, Inc. | | | 746 | | | | 0.76 | % | | | 789 | |
Pinnacle West Capital Corp. | | | 547 | | | | 0.47 | % | | | 703 | |
Chesapeake Utilities Corp. | | | 441 | | | | 0.55 | % | | | (24 | ) |
Sempra Energy | | | 371 | | | | 0.51 | % | | | (837 | ) |
WEC Energy Group, Inc. | | | 416 | | | | 0.39 | % | | | (1,477 | ) |
American Water Works Company, Inc. | | | 298 | | | | 0.48 | % | | | (1,611 | ) |
CMS Energy Corp. | | | 1,259 | | | | 0.77 | % | | | (1,613 | ) |
MGE Energy, Inc. | | | 915 | | | | 0.71 | % | | | (1,622 | ) |
National Fuel Gas Co. | | | 594 | | | | 0.32 | % | | | (1,671 | ) |
DTE Energy Co. | | | 555 | | | | 0.75 | % | | | (1,965 | ) |
American States Water Co. | | | 814 | | | | 0.67 | % | | | (2,067 | ) |
Avista Corp. | | | 876 | | | | 0.39 | % | | | (2,651 | ) |
Portland General Electric Co. | | | 583 | | | | 0.28 | % | | | (2,682 | ) |
New Jersey Resources Corp. | | | 1,271 | | | | 0.52 | % | | | (5,474 | ) |
Total Utilities | | | | | | | | | | | (5,227 | ) |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Ingevity Corp. | | | 284 | | | | 0.24 | % | | | (646 | ) |
Celanese Corp. — Class A | | | 113 | | | | 0.18 | % | | | (1,010 | ) |
NewMarket Corp. | | | 104 | | | | 0.35 | % | | | (1,445 | ) |
Commercial Metals Co. | | | 763 | | | | 0.24 | % | | | (1,952 | ) |
Reliance Steel & Aluminum Co. | | | 277 | | | | 0.44 | % | | | (6,081 | ) |
Total Basic Materials | | | | | | | | | | | (11,134 | ) |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Gentherm, Inc. | | | 495 | | | | 0.37 | % | | | 13,495 | |
AutoZone, Inc. | | | 62 | | | | 0.96 | % | | | 12,574 | |
O’Reilly Automotive, Inc. | | | 147 | | | | 0.87 | % | | | 7,752 | |
Brunswick Corp. | | | 403 | | | | 0.42 | % | | | 7,664 | |
AutoNation, Inc. | | | 337 | | | | 0.33 | % | | | 7,492 | |
Cummins, Inc. | | | 202 | | | | 0.51 | % | | | 6,884 | |
Home Depot, Inc. | | | 55 | | | | 0.18 | % | | | 4,513 | |
Genuine Parts Co. | | | 140 | | | | 0.18 | % | | | 4,334 | |
Lowe’s Companies, Inc. | | | 370 | | | | 0.75 | % | | | 3,906 | |
PulteGroup, Inc. | | | 623 | | | | 0.35 | % | | | 3,800 | |
MSC Industrial Direct Company, Inc. — Class A | | | 440 | | | | 0.41 | % | | | 3,778 | |
Lennar Corp. — Class A | | | 203 | | | | 0.21 | % | | | 3,434 | |
Dolby Laboratories, Inc. — Class A | | | 411 | | | | 0.42 | % | | | 2,971 | |
Deckers Outdoor Corp. | | | 52 | | | | 0.21 | % | | | 2,630 | |
Gentex Corp. | | | 2,189 | | | | 0.75 | % | | | 2,430 | |
Polaris, Inc. | | | 199 | | | | 0.28 | % | | | 1,516 | |
NVR, Inc. | | | 5 | | | | 0.26 | % | | | 1,450 | |
Target Corp. | | | 73 | | | | 0.18 | % | | | 651 | |
WW Grainger, Inc. | | | 105 | | | | 0.48 | % | | | 472 | |
Best Buy Company, Inc. | | | 318 | | | | 0.38 | % | | | 123 | |
Dick’s Sporting Goods, Inc. | | | 177 | | | | 0.18 | % | | | 105 | |
LKQ Corp. | | | 361 | | | | 0.18 | % | | | (131 | ) |
Fastenal Co. | | | 327 | | | | 0.18 | % | | | (221 | ) |
Carter’s, Inc. | | | 311 | | | | 0.33 | % | | | (450 | ) |
Tri Pointe Homes, Inc. | | | 786 | | | | 0.18 | % | | | (542 | ) |
Whirlpool Corp. | | | 134 | | | | 0.30 | % | | | (948 | ) |
Meritage Homes Corp. | | | 219 | | | | 0.21 | % | | | (950 | ) |
Murphy USA, Inc. | | | 235 | | | | 0.33 | % | | | (1,223 | ) |
Allison Transmission Holdings, Inc. | | | 1,193 | | | | 0.49 | % | | | (2,040 | ) |
Tesla, Inc. | | | 28 | | | | 0.20 | % | | | (2,397 | ) |
Yum! Brands, Inc. | | | 624 | | | | 0.75 | % | | | (2,798 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 80,274 | |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Molson Coors Beverage Co. — Class B | | | 963 | | | | 0.54 | % | | | 12,835 | |
McKesson Corp. | | | 216 | | | | 0.43 | % | | | 12,408 | |
Amgen, Inc. | | | 295 | | | | 0.75 | % | | | 10,630 | |
Johnson & Johnson | | | 450 | | | | 0.77 | % | | | 9,872 | |
United Therapeutics Corp. | | | 230 | | | | 0.43 | % | | | 7,776 | |
Thermo Fisher Scientific, Inc. | | | 120 | | | | 0.63 | % | | | 7,205 | |
H&R Block, Inc. | | | 1,262 | | | | 0.31 | % | | | 6,472 | |
Laboratory Corporation of America Holdings | | | 84 | | | | 0.24 | % | | | 5,865 | |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Regeneron Pharmaceuticals, Inc. | | | 95 | | | | 0.55 | % | | $ | 5,239 | |
Prestige Consumer Healthcare, Inc. | | | 624 | | | | 0.34 | % | | | 4,831 | |
PayPal Holdings, Inc. | | | 63 | | | | 0.19 | % | | | 4,661 | |
Bristol-Myers Squibb Co. | | | 1,227 | | | | 0.85 | % | | | 4,591 | |
UnitedHealth Group, Inc. | | | 43 | | | | 0.18 | % | | | 4,310 | |
Philip Morris International, Inc. | | | 176 | | | | 0.18 | % | | | 4,089 | |
Bio-Rad Laboratories, Inc. — Class A | | | 84 | | | | 0.56 | % | | | 3,691 | |
J M Smucker Co. | | | 126 | | | | 0.17 | % | | | 3,285 | |
Procter & Gamble Co. | | | 128 | | | | 0.18 | % | | | 3,212 | |
Vector Group Ltd. | | | 1,289 | | | | 0.19 | % | | | 3,124 | |
Pfizer, Inc. | | | 1,414 | | | | 0.58 | % | | | 3,109 | |
Abbott Laboratories | | | 245 | | | | 0.30 | % | | | 2,877 | |
Hill-Rom Holdings, Inc. | | | 188 | | | | 0.22 | % | | | 2,584 | |
Humana, Inc. | | | 67 | | | | 0.31 | % | | | 2,477 | |
Hershey Co. | | | 253 | | | | 0.46 | % | | | 2,447 | |
Merck & Company, Inc. | | | 895 | | | | 0.72 | % | | | 2,391 | |
Vanda Pharmaceuticals, Inc. | | | 915 | | | | 0.20 | % | | | 2,098 | |
Quest Diagnostics, Inc. | | | 223 | | | | 0.31 | % | | | 2,081 | |
PerkinElmer, Inc. | | | 205 | | | | 0.33 | % | | | 1,657 | |
Masimo Corp. | | | 77 | | | | 0.19 | % | | | 1,654 | |
Innoviva, Inc. | | | 1,775 | | | | 0.25 | % | | | 1,544 | |
PepsiCo, Inc. | | | 195 | | | | 0.30 | % | | | 1,507 | |
Eagle Pharmaceuticals, Inc. | | | 733 | | | | 0.33 | % | | | 1,206 | |
Vertex Pharmaceuticals, Inc. | | | 164 | | | | 0.34 | % | | | 1,003 | |
Bruker Corp. | | | 235 | | | | 0.19 | % | | | 697 | |
HCA Healthcare, Inc. | | | 82 | | | | 0.18 | % | | | 694 | |
Blueprint Medicines Corp. | | | 315 | | | | 0.29 | % | | | 609 | |
Zoetis, Inc. | | | 94 | | | | 0.18 | % | | | 573 | |
Incyte Corp. | | | 466 | | | | 0.41 | % | | | 543 | |
Organon & Co. | | | 1 | | | | 0.00 | % | | | (4 | ) |
Gilead Sciences, Inc. | | | 1,232 | | | | 0.88 | % | | | (58 | ) |
Hologic, Inc. | | | 628 | | | | 0.44 | % | | | (163 | ) |
Chemed Corp. | | | 60 | | | | 0.30 | % | | | (345 | ) |
Baxter International, Inc. | | | 209 | | | | 0.18 | % | | | (485 | ) |
Grand Canyon Education, Inc. | | | 219 | | | | 0.21 | % | | | (693 | ) |
Coherus Biosciences, Inc. | | | 1,606 | | | | 0.23 | % | | | (992 | ) |
John B Sanfilippo & Son, Inc. | | | 492 | | | | 0.45 | % | | | (1,024 | ) |
Exelixis, Inc. | | | 988 | | | | 0.19 | % | | | (4,674 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | 137,409 | |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Apple, Inc. | | | 776 | | | | 1.11 | % | | | 45,244 | |
Microsoft Corp. | | | 581 | | | | 1.64 | % | | | 37,801 | |
Seagate Technology Holdings plc | | | 428 | | | | 0.39 | % | | | 15,704 | |
Kulicke & Soffa Industries, Inc. | | | 460 | | | | 0.29 | % | | | 15,118 | |
NetApp, Inc. | | | 344 | | | | 0.29 | % | | | 11,584 | |
HP, Inc. | | | 1,291 | | | | 0.41 | % | | | 11,128 | |
Texas Instruments, Inc. | | | 307 | | | | 0.61 | % | | | 10,155 | |
Rambus, Inc. | | | 1,871 | | | | 0.46 | % | | | 7,175 | |
KLA Corp. | | | 54 | | | | 0.18 | % | | | 7,095 | |
NVIDIA Corp. | | | 24 | | | | 0.20 | % | | | 6,571 | |
Oracle Corp. | | | 210 | | | | 0.17 | % | | | 5,035 | |
International Business Machines Corp. | | | 190 | | | | 0.29 | % | | | 4,869 | |
CDK Global, Inc. | | | 797 | | | | 0.41 | % | | | 4,712 | |
Cerner Corp. | | | 546 | | | | 0.44 | % | | | 4,438 | |
Adobe, Inc. | | | 21 | | | | 0.13 | % | | | 4,402 | |
Cirrus Logic, Inc. | | | 397 | | | | 0.35 | % | | | 3,961 | |
QUALCOMM, Inc. | | | 178 | | | | 0.26 | % | | | 3,780 | |
Cadence Design Systems, Inc. | | | 443 | | | | 0.63 | % | | | 3,534 | |
Broadcom, Inc. | | | 90 | | | | 0.45 | % | | | 3,288 | |
Dropbox, Inc. — Class A | | | 583 | | | | 0.18 | % | | | 3,269 | |
Intel Corp. | | | 624 | | | | 0.36 | % | | | 2,887 | |
CSG Systems International, Inc. | | | 1,809 | | | | 0.89 | % | | | 2,752 | |
Qorvo, Inc. | | | 108 | | | | 0.22 | % | | | 2,557 | |
Paychex, Inc. | | | 203 | | | | 0.23 | % | | | 2,261 | |
Accenture plc — Class A | | | 60 | | | | 0.18 | % | | | 2,165 | |
Synaptics, Inc. | | | 124 | | | | 0.20 | % | | | 1,955 | |
Synopsys, Inc. | | | 65 | | | | 0.19 | % | | | 1,633 | |
Lumentum Holdings, Inc. | | | 298 | | | | 0.25 | % | | | 365 | |
salesforce.com, Inc. | | | 48 | | | | 0.12 | % | | | 232 | |
ExlService Holdings, Inc. | | | 166 | | | | 0.18 | % | | | 187 | |
Electronic Arts, Inc. | | | 376 | | | | 0.56 | % | | | (505 | ) |
Progress Software Corp. | | | 632 | | | | 0.30 | % | | | (961 | ) |
MAXIMUS, Inc. | | | 219 | | | | 0.20 | % | | | (1,221 | ) |
NetScout Systems, Inc. | | | 564 | | | | 0.17 | % | | | (1,267 | ) |
Take-Two Interactive Software, Inc. | | | 195 | | | | 0.36 | % | | | (1,729 | ) |
Activision Blizzard, Inc. | | | 699 | | | | 0.69 | % | | | (1,910 | ) |
Cognizant Technology Solutions Corp. — Class A | | | 474 | | | | 0.34 | % | | | (2,792 | ) |
Total Technology | | | | | | | | | | | 215,472 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Alphabet, Inc. — Class C | | | 62 | | | | 1.62 | % | | | 32,320 | |
Amazon.com, Inc. | | | 22 | | | | 0.79 | % | | | 22,791 | |
Facebook, Inc. — Class A | | | 143 | | | | 0.52 | % | | | 17,570 | |
Viavi Solutions, Inc. | | | 4,279 | | | | 0.79 | % | | | 14,898 | |
Cisco Systems, Inc. | | | 1,223 | | | | 0.67 | % | | | 12,890 | |
VeriSign, Inc. | | | 370 | | | | 0.88 | % | | | 8,612 | |
Motorola Solutions, Inc. | | | 141 | | | | 0.32 | % | | | 7,190 | |
Juniper Networks, Inc. | | | 1,288 | | | | 0.37 | % | | | 6,351 | |
Ciena Corp. | | | 394 | | | | 0.23 | % | | | 4,504 | |
Comcast Corp. — Class A | | | 401 | | | | 0.24 | % | | | 4,022 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Walt Disney Co. | | | 97 | | | | 0.18 | % | | $ | 2,010 | |
Omnicom Group, Inc. | | | 887 | | | | 0.74 | % | | | 1,630 | |
InterDigital, Inc. | | | 369 | | | | 0.28 | % | | | 345 | |
Cogent Communications Holdings, Inc. | | | 504 | | | | 0.40 | % | | | 167 | |
Yelp, Inc. — Class A | | | 432 | | | | 0.18 | % | | | (130 | ) |
Fox Corp. — Class A | | | 570 | | | | 0.22 | % | | | (404 | ) |
TEGNA, Inc. | | | 1,735 | | | | 0.34 | % | | | (657 | ) |
F5 Networks, Inc. | | | 127 | | | | 0.25 | % | | | (665 | ) |
Nexstar Media Group, Inc. — Class A | | | 152 | | | | 0.23 | % | | | (743 | ) |
Verizon Communications, Inc. | | | 1,144 | | | | 0.67 | % | | | (812 | ) |
AT&T, Inc. | | | 335 | | | | 0.10 | % | | | (1,116 | ) |
World Wrestling Entertainment, Inc. — Class A | | | 386 | | | | 0.23 | % | | | (1,586 | ) |
Telephone & Data Systems, Inc. | | | 1,454 | | | | 0.34 | % | | | (2,937 | ) |
Total Communications | | | | | | | | | | | 126,250 | |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Antero Midstream Corp. | | | 2,097 | | | | 0.23 | % | | | (354 | ) |
Chevron Corp. | | | 159 | | | | 0.17 | % | | | (547 | ) |
Williams Companies, Inc. | | | 1,432 | | | | 0.40 | % | | | (1,808 | ) |
Kinder Morgan, Inc. | | | 2,006 | | | | 0.38 | % | | | (1,903 | ) |
Equitrans Midstream Corp. | | | 1,817 | | | | 0.16 | % | | | (2,080 | ) |
Total Energy | | | | | | | | | | | (6,692 | ) |
Total GS Equity Long Custom Basket | | | | | | $ | 694,237 | |
| | | | | | | | | |
GS EQUITY SHORT CUSTOM BASKET | | | | | | | | |
Financial | | | | | | | | | | | | |
JBG SMITH Properties | | | 5,518 | | | | (1.45 | )% | | $ | 7,679 | |
Lincoln National Corp. | | | 1,399 | | | | (0.73 | )% | | | 7,000 | |
Alexandria Real Estate Equities, Inc. | | | 559 | | | | (0.84 | )% | | | 5,970 | |
American International Group, Inc. | | | 1,343 | | | | (0.53 | )% | | | 5,966 | |
U.S. Bancorp | | | 2,786 | | | | (1.31 | )% | | | 5,744 | |
Truist Financial Corp. | | | 2,275 | | | | (1.04 | )% | | | 5,727 | |
Prudential Financial, Inc. | | | 1,558 | | | | (1.32 | )% | | | 4,967 | |
Global Net Lease, Inc. | | | 2,784 | | | | (0.43 | )% | | | 3,197 | |
Comerica, Inc. | | | 929 | | | | (0.55 | )% | | | 2,323 | |
Bank of America Corp. | | | 3,987 | | | | (1.36 | )% | | | 2,074 | |
State Street Corp. | | | 1,364 | | | | (0.93 | )% | | | 2,046 | |
UDR, Inc. | | | 3,613 | | | | (1.46 | )% | | | 1,889 | |
Equitable Holdings, Inc. | | | 2,337 | | | | (0.59 | )% | | | 1,637 | |
CyrusOne, Inc. | | | 1,004 | | | | (0.59 | )% | | | 1,595 | |
Mid-America Apartment Communities, Inc. | | | 561 | | | | (0.78 | )% | | | 1,461 | |
Ryman Hospitality Properties, Inc. | | | 597 | | | | (0.39 | )% | | | 1,173 | |
Wells Fargo & Co. | | | 886 | | | | (0.33 | )% | | | 208 | |
SBA Communications Corp. | | | 142 | | | | (0.37 | )% | | | (260 | ) |
Crown Castle International Corp. | | | 386 | | | | (0.62 | )% | | | (330 | ) |
Bank of New York Mellon Corp. | | | 810 | | | | (0.34 | )% | | | (735 | ) |
Host Hotels & Resorts, Inc. | | | 5,514 | | | | (0.78 | )% | | | (922 | ) |
Digital Realty Trust, Inc. | | | 815 | | | | (1.01 | )% | | | (1,813 | ) |
Welltower, Inc. | | | 936 | | | | (0.64 | )% | | | (3,650 | ) |
American Homes 4 Rent — Class A | | | 1,499 | | | | (0.48 | )% | | | (4,648 | ) |
Federal Realty Investment Trust | | | 494 | | | | (0.48 | )% | | | (4,767 | ) |
Americold Realty Trust | | | 3,589 | | | | (1.12 | )% | | | (5,160 | ) |
Charles Schwab Corp. | | | 2,147 | | | | (1.29 | )% | | | (5,312 | ) |
Invitation Homes, Inc. | | | 2,336 | | | | (0.72 | )% | | | (6,357 | ) |
Healthpeak Properties, Inc. | | | 4,981 | | | | (1.37 | )% | | | (6,591 | ) |
American Tower Corp. — Class A | | | 194 | | | | (0.43 | )% | | | (11,218 | ) |
Howard Hughes Corp. | | | 758 | | | | (0.61 | )% | | | (13,640 | ) |
Rayonier, Inc. | | | 2,596 | | | | (0.77 | )% | | | (14,685 | ) |
Prologis, Inc. | | | 980 | | | | (0.97 | )% | | | (18,036 | ) |
Brookline Bancorp, Inc. | | | 4,914 | | | | (0.61 | )% | | | (18,149 | ) |
Loews Corp. | | | 1,296 | | | | (0.59 | )% | | | (18,427 | ) |
Equinix, Inc. | | | 176 | | | | (1.17 | )% | | | (18,562 | ) |
Morgan Stanley | | | 4,078 | | | | (3.09 | )% | | | (20,187 | ) |
Camden Property Trust | | | 889 | | | | (0.98 | )% | | | (27,029 | ) |
Sun Communities, Inc. | | | 799 | | | | (1.13 | )% | | | (29,585 | ) |
Rexford Industrial Realty, Inc. | | | 2,381 | | | | (1.12 | )% | | | (35,607 | ) |
First Republic Bank | | | 1,047 | | | | (1.62 | )% | | | (47,651 | ) |
Total Financial | | | | | | | | | | | (252,665 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Baker Hughes Co. | | | 2,743 | | | | (0.52 | )% | | | 8,161 | |
Schlumberger N.V. | | | 5,630 | | | | (1.49 | )% | | | 4,885 | |
Phillips 66 | | | 445 | | | | (0.32 | )% | | | 253 | |
Pioneer Natural Resources Co. | | | 1,225 | | | | (1.65 | )% | | | (7,066 | ) |
NOV, Inc. | | | 3,309 | | | | (0.42 | )% | | | (10,413 | ) |
Hess Corp. | | | 950 | | | | (0.69 | )% | | | (17,171 | ) |
ChampionX Corp. | | | 3,710 | | | | (0.79 | )% | | | (22,335 | ) |
Halliburton Co. | | | 8,368 | | | | (1.60 | )% | | | (33,920 | ) |
Ovintiv, Inc. | | | 3,742 | | | | (0.97 | )% | | | (43,916 | ) |
Total Energy | | | | | | | | | | | (121,522 | ) |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Verisk Analytics, Inc. — Class A | | | 1,171 | | | | (1.69 | )% | | | 11,924 | |
Archer-Daniels-Midland Co. | | | 2,231 | | | | (1.12 | )% | | | 11,268 | |
ManpowerGroup, Inc. | | | 949 | | | | (0.93 | )% | | | 3,244 | |
CoStar Group, Inc. | | | 1,210 | | | | (0.83 | )% | | | 2,791 | |
Cooper Companies, Inc. | | | 109 | | | | (0.36 | )% | | | 808 | |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
McCormick & Company, Inc. | | | 1,150 | | | | (0.84 | )% | | $ | 27 | |
Brink’s Co. | | | 716 | | | | (0.46 | )% | | | (506 | ) |
Alnylam Pharmaceuticals, Inc. | | | 251 | | | | (0.35 | )% | | | (1,539 | ) |
Guardant Health, Inc. | | | 501 | | | | (0.51 | )% | | | (1,902 | ) |
Rollins, Inc. | | | 2,383 | | | | (0.67 | )% | | | (2,233 | ) |
TransUnion | | | 1,157 | | | | (1.05 | )% | | | (8,936 | ) |
Avalara, Inc. | | | 201 | | | | (0.27 | )% | | | (10,869 | ) |
Cintas Corp. | | | 568 | | | | (1.79 | )% | | | (17,153 | ) |
Equifax, Inc. | | | 437 | | | | (0.87 | )% | | | (30,215 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | (43,291 | ) |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
KBR, Inc. | | | 3,115 | | | | (0.98 | )% | | | 5,336 | |
Leidos Holdings, Inc. | | | 903 | | | | (0.76 | )% | | | 4,466 | |
Blackline, Inc. | | | 261 | | | | (0.24 | )% | | | 1,094 | |
Clarivate plc | | | 2,317 | | | | (0.53 | )% | | | (1,164 | ) |
Sailpoint Technologies Holdings, Inc. | | | 587 | | | | (0.25 | )% | | | (1,742 | ) |
Twilio, Inc. — Class A | | | 84 | | | | (0.27 | )% | | | (2,663 | ) |
Tyler Technologies, Inc. | | | 64 | | | | (0.24 | )% | | | (3,676 | ) |
Coupa Software, Inc. | | | 232 | | | | (0.50 | )% | | | (4,942 | ) |
Ceridian HCM Holding, Inc. | | | 619 | | | | (0.49 | )% | | | (5,004 | ) |
Smartsheet, Inc. — Class A | | | 430 | | | | (0.26 | )% | | | (9,519 | ) |
Rapid7, Inc. | | | 639 | | | | (0.50 | )% | | | (13,066 | ) |
HubSpot, Inc. | | | 54 | | | | (0.26 | )% | | | (14,732 | ) |
Total Technology | | | | | | | | | | | (45,612 | ) |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Jacobs Engineering Group, Inc. | | | 1,435 | | | | (1.58 | )% | | | 9,448 | |
Ball Corp. | | | 848 | | | | (0.57 | )% | | | 8,435 | |
Stericycle, Inc. | | | 2,474 | | | | (1.46 | )% | | | 6,470 | |
XPO Logistics, Inc. | | | 623 | | | | (0.72 | )% | | | 5,335 | |
Norfolk Southern Corp. | | | 558 | | | | (1.22 | )% | | | 3,522 | |
Exponent, Inc. | | | 549 | | | | (0.41 | )% | | | 3,370 | |
US Ecology, Inc. | | | 1,736 | | | | (0.54 | )% | | | 443 | |
MSA Safety, Inc. | | | 531 | | | | (0.73 | )% | | | 301 | |
FedEx Corp. | | | 276 | | | | (0.68 | )% | | | (814 | ) |
Raytheon Technologies Corp. | | | 1,822 | | | | (1.29 | )% | | | (818 | ) |
United Parcel Service, Inc. — Class B | | | 221 | | | | (0.38 | )% | | | (1,251 | ) |
Boeing Co. | | | 355 | | | | (0.70 | )% | | | (1,444 | ) |
Republic Services, Inc. — Class A | | | 1,842 | | | | (1.68 | )% | | | (1,629 | ) |
TransDigm Group, Inc. | | | 83 | | | | (0.44 | )% | | | (3,347 | ) |
Waste Management, Inc. | | | 1,415 | | | | (1.64 | )% | | | (4,745 | ) |
Tetra Tech, Inc. | | | 524 | | | | (0.53 | )% | | | (10,933 | ) |
Ingersoll Rand, Inc. | | | 1,854 | | | | (0.75 | )% | | | (12,395 | ) |
Casella Waste Systems, Inc. — Class A | | | 2,101 | | | | (1.10 | )% | | | (17,619 | ) |
Total Industrial | | | | | | | | | | | (17,671 | ) |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
JetBlue Airways Corp. | | | 5,942 | | | | (0.82 | )% | | | 11,024 | |
United Airlines Holdings, Inc. | | | 2,325 | | | | (1.01 | )% | | | 10,265 | |
IAA, Inc. | | | 1,336 | | | | (0.60 | )% | | | 6,211 | |
Delta Air Lines, Inc. | | | 3,734 | | | | (1.34 | )% | | | 3,974 | |
Freshpet, Inc. | | | 517 | | | | (0.70 | )% | | | 2,247 | |
Marriott International, Inc. — Class A | | | 287 | | | | (0.32 | )% | | | 1,964 | |
Hilton Worldwide Holdings, Inc. | | | 454 | | | | (0.45 | )% | | | 1,574 | |
Alaska Air Group, Inc. | | | 1,976 | | | | (0.99 | )% | | | (1,329 | ) |
Southwest Airlines Co. | | | 2,998 | | | | (1.32 | )% | | | (6,336 | ) |
Copart, Inc. | | | 1,007 | | | | (1.10 | )% | | | (25,089 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 4,505 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Anaplan, Inc. | | | 521 | | | | (0.23 | )% | | | 1,784 | |
Okta, Inc. | | | 259 | | | | (0.52 | )% | | | (369 | ) |
Uber Technologies, Inc. | | | 1,710 | | | | (0.71 | )% | | | (574 | ) |
Q2 Holdings, Inc. | | | 898 | | | | (0.76 | )% | | | (7,921 | ) |
Zendesk, Inc. | | | 414 | | | | (0.49 | )% | | | (14,074 | ) |
Liberty Broadband Corp. — Class C | | | 564 | | | | (0.81 | )% | | | (15,333 | ) |
Total Communications | | | | | | | | | | | (36,487 | ) |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Linde plc | | | 141 | | | | (0.34 | )% | | | (315 | ) |
Quaker Chemical Corp. | | | 253 | | | | (0.50 | )% | | | (8,822 | ) |
Total Basic Materials | | | | | | | | | | | (9,137 | ) |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
Atmos Energy Corp. | | | 1,647 | | | | (1.31 | )% | | | 8,637 | |
Exelon Corp. | | | 3,433 | | | | (1.26 | )% | | | 7,468 | |
ONE Gas, Inc. | | | 2,184 | | | | (1.34 | )% | | | 7,076 | |
Xcel Energy, Inc. | | | 2,032 | | | | (1.11 | )% | | | 6,602 | |
Black Hills Corp. | | | 1,058 | | | | (0.57 | )% | | | 3,875 | |
OGE Energy Corp. | | | 2,503 | | | | (0.70 | )% | | | 3,503 | |
CenterPoint Energy, Inc. | | | 2,107 | | | | (0.43 | )% | | | 2,848 | |
Edison International | | | 3,007 | | | | (1.44 | )% | | | (459 | ) |
Total Utilities | | | | | | | | | | | 39,550 | |
Total GS Equity Short Custom Basket | | | | | | $ | (482,330 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
LONG SHORT EQUITY 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 a portion of this security is pledged as equity custom basket swap collateral at June 30, 2021. |
2 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | GS — Goldman Sachs International |
| | MS — Morgan Stanley Capital Services LLC |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 26,345,182 | | | $ | — | | | $ | — | | | $ | 26,345,182 | |
Money Market Fund | | | 2,132,847 | | | | — | | | | — | | | | 2,132,847 | |
Equity Custom Basket Swap Agreements** | | | — | | | | 1,396,501 | | | | — | | | | 1,396,501 | |
Total Assets | | $ | 28,478,029 | | | $ | 1,396,501 | | | $ | — | | | $ | 29,874,530 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Custom Basket Swap Agreements** | | $ | — | | | $ | 950,924 | | | $ | — | | | $ | 950,924 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value (cost $25,378,599) | | $ | 28,478,029 | |
Cash | | | 794 | |
Unrealized appreciation on OTC swap agreements | | | 1,396,501 | |
Receivables: |
Fund shares sold | | | 86,911 | |
Dividends | | | 23,896 | |
Securities lending income | | | 5 | |
Total assets | | | 29,986,136 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 950,924 | |
Payable for: |
Swap settlement | | | 1,705,472 | |
Management fees | | | 19,876 | |
Fund shares redeemed | | | 6,505 | |
Securities purchased | | | 5,921 | |
Investor service fees | | | 5,521 | |
Transfer agent and administrative fees | | | 2,628 | |
Portfolio accounting fees | | | 2,209 | |
Trustees’ fees* | | | 258 | |
Miscellaneous | | | 36,287 | |
Total liabilities | | | 2,735,601 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 27,250,535 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 26,320,455 | |
Total distributable earnings (loss) | | | 930,080 | |
Net assets | | $ | 27,250,535 | |
Capital shares outstanding | | | 1,699,843 | |
Net asset value per share | | $ | 16.03 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends | | $ | 270,040 | |
Income from securities lending, net | | | 96 | |
Total investment income | | | 270,136 | |
| | | | | |
Expenses: |
Management fees | | | 112,940 | |
Investor service fees | | | 31,372 | |
Transfer agent and administrative fees | | | 21,935 | |
Portfolio accounting fees | | | 12,549 | |
Professional fees | | | 11,916 | |
Trustees’ fees* | | | 2,216 | |
Custodian fees | | | 1,756 | |
Miscellaneous | | | 6,582 | |
Total expenses | | | 201,266 | |
Net investment income | | | 68,870 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 3,874,187 | |
Swap agreements | | | (2,632,956 | ) |
Futures contracts | | | 22 | |
Net realized gain | | | 1,241,253 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (257,021 | ) |
Swap agreements | | | 1,529,652 | |
Net change in unrealized appreciation (depreciation) | | | 1,272,631 | |
Net realized and unrealized gain | | | 2,513,884 | |
Net increase in net assets resulting from operations | | $ | 2,582,754 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 68,870 | | | $ | 141,021 | |
Net realized gain on investments | | | 1,241,253 | | | | 560,481 | |
Net change in unrealized appreciation (depreciation) on investments | | | 1,272,631 | | | | 35,301 | |
Net increase in net assets resulting from operations | | | 2,582,754 | | | | 736,803 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (189,586 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 4,913,481 | | | | 4,344,222 | |
Distributions reinvested | | | — | | | | 189,586 | |
Cost of shares redeemed | | | (3,214,773 | ) | | | (12,795,374 | ) |
Net increase (decrease) from capital share transactions | | | 1,698,708 | | | | (8,261,566 | ) |
Net increase (decrease) in net assets | | | 4,281,462 | | | | (7,714,349 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 22,969,073 | | | | 30,683,422 | |
End of period | | $ | 27,250,535 | | | $ | 22,969,073 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 309,203 | | | | 338,226 | |
Shares issued from reinvestment of distributions | | | — | | | | 14,096 | |
Shares redeemed | | | (204,134 | ) | | | (973,871 | ) |
Net increase (decrease) in shares | | | 105,069 | | | | (621,549 | ) |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
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.
| | Six Months
Ended
June 30, 2021a | | | Year Ended
December
31,
2020 | | | Year Ended
December
31,
2019 | | | Year Ended
December
31,
2018 | | | Year Ended
December
31,
2017 | | | Year Ended
December
31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 14.40 | | | $ | 13.84 | | | $ | 13.19 | | | $ | 17.59 | | | $ | 15.37 | | | $ | 15.27 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .04 | | | | .08 | | | | .09 | | | | .08 | | | | (.05 | ) | | | .01 | |
Net gain (loss) on investments (realized and unrealized) | | | 1.59 | | | | .59 | | | | .64 | | | | (2.19 | ) | | | 2.33 | | | | .09 | |
Total from investment operations | | | 1.63 | | | | .67 | | | | .73 | | | | (2.11 | ) | | | 2.28 | | | | .10 | |
Less distributions from: |
Net investment income | | | — | | | | (.11 | ) | | | (.08 | ) | | | — | | | | (.06 | ) | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | (2.29 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.11 | ) | | | (.08 | ) | | | (2.29 | ) | | | (.06 | ) | | | — | |
Net asset value, end of period | | $ | 16.03 | | | $ | 14.40 | | | $ | 13.84 | | | $ | 13.19 | | | $ | 17.59 | | | $ | 15.37 | |
|
Total Returnc | | | 11.32 | % | | | 4.93 | % | | | 5.54 | % | | | (12.94 | %) | | | 14.85 | % | | | 0.65 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 27,251 | | | $ | 22,969 | | | $ | 30,683 | | | $ | 29,211 | | | $ | 39,138 | | | $ | 31,887 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.55 | % | | | 0.59 | % | | | 0.65 | % | | | 0.52 | % | | | (0.32 | %) | | | 0.04 | % |
Total expensesd,e | | | 1.60 | % | | | 1.73 | % | | | 1.72 | % | | | 1.62 | % | | | 1.78 | % | | | 2.22 | % |
Portfolio turnover rate | | | 106 | % | | | 160 | % | | | 170 | % | | | 266 | % | | | 258 | % | | | 239 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Total expenses may include certain non-operating expenses. Excluding these non-operating expenses, the net expense ratios for the periods presented would be: |
| | 06/30/21a | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | 1.60% | 1.73% | 1.72% | 1.62% | 1.61% | 1.56% |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 | 34.2% |
Guggenheim Strategy Fund III | 19.1% |
Guggenheim Strategy Fund II | 0.9% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 0.6% |
Total | 54.8% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Global Managed Futures Strategy Fund | 5.15% | 7.04% | 1.58% | (0.87%) |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.02% | 0.09% | 1.17% | 0.63% |
* | 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 ICE BofA 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
GLOBAL MANAGED FUTURES STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 54.8% |
Guggenheim Variable Insurance Strategy Fund III1 | | | 173,310 | | | $ | 4,344,878 | |
Guggenheim Strategy Fund III1 | | | 96,364 | | | | 2,424,507 | |
Guggenheim Strategy Fund II1 | | | 4,519 | | | | 112,930 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 7,242 | | | | 72,198 | |
Total Mutual Funds | | | | |
(Cost $6,887,528) | | | | | | | 6,954,513 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 10.4% |
U.S. Treasury Bills |
0.01% due 08/03/212,3 | | $ | 1,203,000 | | | | 1,202,949 | |
0.03% due 08/03/212,3 | | | 109,000 | | | | 108,995 | |
Total U.S. Treasury Bills | | | | |
(Cost $1,311,985) | | | | | | | 1,311,944 | |
| | | | | | | | | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,4 - 34.7% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 2,476,213 | | | $ | 2,476,213 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 974,883 | | | | 974,883 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 955,767 | | | | 955,767 | |
Total Repurchase Agreements | | | | |
(Cost $4,406,863) | | | | | | | 4,406,863 | |
| | | | | | | | | |
Total Investments - 99.9% | | | | |
(Cost $12,606,376) | | $ | 12,673,320 | |
Other Assets & Liabilities, net - 0.1% | | | 10,052 | |
Total Net Assets - 100.0% | | $ | 12,683,372 | |
Futures Contracts
Description | | Number of
Contracts | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation)** | |
Commodity Futures Contracts Purchased† |
Sugar #11 Futures Contracts | | | 103 | | Apr 2022 | | $ | 1,983,038 | | | $ | 60,195 | |
Gasoline RBOB Futures Contracts | | | 16 | | Sep 2021 | | | 1,409,520 | | | | 34,912 | |
Live Cattle Futures Contracts | | | 31 | | Aug 2021 | | | 1,524,270 | | | | 27,268 | |
Natural Gas Futures Contracts | | | 4 | | Aug 2021 | | | 148,640 | | | | 18,270 | |
Natural Gas Futures Contracts | | | 3 | | Jul 2021 | | | 112,380 | | | | 12,326 | |
Corn Futures Contracts | | | 3 | | Sep 2021 | | | 89,888 | | | | 7,964 | |
Soybean Oil Futures Contracts | | | 3 | | Dec 2021 | | | 112,176 | | | | 7,173 | |
Sugar #11 Futures Contracts | | | 6 | | Sep 2021 | | | 120,288 | | | | 5,962 | |
WTI Crude Futures Contracts | | | 2 | | Jul 2021 | | | 147,060 | | | | 5,315 | |
Brent Crude Futures Contracts | | | 3 | | Jul 2021 | | | 223,920 | | | | 4,535 | |
LME Lead Futures Contracts | | | 2 | | Aug 2021 | | | 113,450 | | | | 3,681 | |
LME Primary Aluminum Futures Contracts | | | 2 | | Aug 2021 | | | 126,118 | | | | 3,384 | |
Coffee ‘C’ Futures Contracts | | | 1 | | Sep 2021 | | | 60,037 | | | | 2,472 | |
Low Sulphur Gas Oil Futures Contracts | | | 4 | | Aug 2021 | | | 240,200 | | | | 968 | |
NY Harbor ULSD Futures Contracts | | | 2 | | Jul 2021 | | | 178,760 | | | | 611 | |
LME Nickel Futures Contracts | | | 1 | | Aug 2021 | | | 109,248 | | | | 464 | |
Cotton #2 Futures Contracts | | | 1 | | Dec 2021 | | | 42,500 | | | | (478 | ) |
LME Zinc Futures Contracts | | | 1 | | Aug 2021 | | | 74,331 | | | | (1,016 | ) |
Copper Futures Contracts | | | 1 | | Sep 2021 | | | 107,187 | | | | (6,253 | ) |
Lean Hogs Futures Contracts | | | 2 | | Aug 2021 | | | 82,880 | | | | (10,496 | ) |
Corn Futures Contracts | | | 52 | | Dec 2021 | | | 1,530,100 | | | | (20,669 | ) |
| | | | | | | | $ | 8,535,991 | | | $ | 156,588 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
GLOBAL MANAGED FUTURES STRATEGY FUND | |
Futures Contracts (Continued)
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation)** | |
Interest Rate Futures Contracts Purchased† | | | | | | | | | | | | | | | | |
Euro - OATS Futures Contracts | | | 19 | | | | Sep 2021 | | | $ | 3,581,827 | | �� | $ | 13,095 | |
Euro - BTP Italian Government Bond Futures Contracts†† | | | 6 | | | | Sep 2021 | | | | 1,077,722 | | | | 9,289 | |
| | | | | | | | | | | $ | 4,659,549 | | | $ | 22,384 | |
Equity Futures Contracts Purchased† | | | | | | | | | | | | | | | | |
FTSE Taiwan Index Futures Contracts | | | 3 | | | | Jul 2021 | | | $ | 182,940 | | | $ | 6,530 | |
S&P/TSX 60 IX Index Futures Contracts | | | 3 | | | | Sep 2021 | | | | 582,257 | | | | 4,889 | |
Amsterdam Index Futures Contracts | | | 2 | | | | Jul 2021 | | | | 347,307 | | | | 2,019 | |
SPI 200 Index Futures Contracts | | | 3 | | | | Sep 2021 | | | | 405,992 | | | | 500 | |
Euro STOXX 50 Index Futures Contracts | | | 7 | | | | Sep 2021 | | | | 337,171 | | | | 388 | |
FTSE 100 Index Futures Contracts | | | 3 | | | | Sep 2021 | | | | 290,099 | | | | 332 | |
Dow Jones Industrial Average Index Mini Futures Contracts | | | 2 | | | | Sep 2021 | | | | 343,820 | | | | 272 | |
Tokyo Stock Price Index Futures Contracts | | | 1 | | | | Sep 2021 | | | | 174,824 | | | | 187 | |
NASDAQ-100 Index Mini Futures Contracts | | | 1 | | | | Sep 2021 | | | | 290,870 | | | | (81 | ) |
Russell 2000 Index Mini Futures Contracts | | | 1 | | | | Sep 2021 | | | | 115,290 | | | | (91 | ) |
S&P 500 Index Mini Futures Contracts | | | 2 | | | | Sep 2021 | | | | 428,650 | | | | (139 | ) |
FTSE/JSE TOP 40 Index Futures Contracts†† | | | 2 | | | | Sep 2021 | | | | 83,670 | | | | (2,529 | ) |
S&P MidCap 400 Index Mini Futures Contracts | | | 1 | | | | Sep 2021 | | | | 269,070 | | | | (3,513 | ) |
CAC 40 10 Euro Index Futures Contracts | | | 6 | | | | Jul 2021 | | | | 464,555 | | | | (3,858 | ) |
MSCI EAFE Index Futures Contracts | | | 2 | | | | Sep 2021 | | | | 230,440 | | | | (5,602 | ) |
IBEX 35 Index Futures Contracts†† | | | 3 | | | | Jul 2021 | | | | 313,392 | | | | (11,375 | ) |
CBOE Volatility Index Futures Contracts | | | 32 | | | | Jul 2021 | | | | 572,800 | | | | (37,349 | ) |
| | | | | | | | | | | $ | 5,433,147 | | | $ | (49,420 | ) |
Currency Futures Contracts Purchased† | | | | | | | | | | | | | | | | |
Mexican Peso Futures Contracts | | | 31 | | | | Sep 2021 | | | $ | 770,350 | | | $ | (2,375 | ) |
Euro FX Futures Contracts | | | 6 | | | | Sep 2021 | | | | 890,738 | | | | (16,894 | ) |
New Zealand Dollar Futures Contracts | | | 14 | | | | Sep 2021 | | | | 978,180 | | | | (22,743 | ) |
British Pound Futures Contracts | | | 24 | | | | Sep 2021 | | | | 2,075,250 | | | | (38,378 | ) |
Canadian Dollar Futures Contracts | | | 41 | | | | Sep 2021 | | | | 3,306,855 | | | | (71,266 | ) |
| | | | | | | | | | | $ | 8,021,373 | | | $ | (151,656 | ) |
Currency Futures Contracts Sold Short† | | | | | | | | | | | | | | | | |
Swiss Franc Futures Contracts | | | 43 | | | | Sep 2021 | | | $ | 5,820,050 | | | $ | 179,036 | |
Australian Dollar Futures Contracts | | | 12 | | | | Sep 2021 | | | | 900,120 | | | | 16,877 | |
Japanese Yen Futures Contracts | | | 4 | | | | Sep 2021 | | | | 450,375 | | | | 3,332 | |
| | | | | | | | | | | $ | 7,170,545 | | | $ | 199,245 | |
Equity Futures Contracts Sold Short† | | | | | | | | | | | | | | | | |
CBOE Volatility Index Futures Contracts | | | 36 | | | | Sep 2021 | | | $ | 756,000 | | | $ | 39,674 | |
CBOE Volatility Index Futures Contracts | | | 21 | | | | Oct 2021 | | | | 459,270 | | | | 25,278 | |
CBOE Volatility Index Futures Contracts | | | 3 | | | | Aug 2021 | | | | 59,400 | | | | (1 | ) |
| | | | | | | | | | | $ | 1,274,670 | | | $ | 64,951 | |
Interest Rate Futures Contracts Sold Short† | | | | | | | | | | | | | | | | |
Canadian Government 10 Year Bond Futures Contracts†† | | | 23 | | | | Sep 2021 | | | $ | 2,698,907 | | | $ | 1,601 | |
U.S. Treasury 5 Year Note Futures Contracts | | | 13 | | | | Sep 2021 | | | | 1,604,180 | | | | 543 | |
U.S. Treasury Long Bond Futures Contracts | | | 2 | | | | Sep 2021 | | | | 321,125 | | | | 327 | |
Euro - 30 year Bond Futures Contracts | | | 1 | | | | Sep 2021 | | | | 240,759 | | | | 313 | |
U.S. Treasury 10 Year Note Futures Contracts | | | 8 | | | | Sep 2021 | | | | 1,059,375 | | | | 165 | |
U.S. Treasury Ultra Long Bond Futures Contracts | | | 1 | | | | Sep 2021 | | | | 192,531 | | | | 139 | |
Australian Government 10 Year Bond Futures Contracts | | | 1 | | | | Sep 2021 | | | | 105,932 | | | | (133 | ) |
Australian Government 3 Year Bond Futures Contracts | | | 13 | | | | Sep 2021 | | | | 1,135,233 | | | | (211 | ) |
Euro - Bund Futures Contracts | | | 10 | | | | Sep 2021 | | | | 2,046,738 | | | | (919 | ) |
Euro - Schatz Futures Contracts | | | 139 | | | | Sep 2021 | | | | 18,492,111 | | | | (980 | ) |
Euro - Bobl Futures Contracts | | | 12 | | | | Sep 2021 | | | | 1,909,181 | | | | (1,242 | ) |
U.S. Treasury 2 Year Note Futures Contracts | | | 61 | | | | Sep 2021 | | | | 13,440,016 | | | | (3,856 | ) |
Long Gilt Futures Contracts†† | | | 23 | | | | Sep 2021 | | | | 4,072,748 | | | | (12,386 | ) |
| | | | | | | | | | | $ | 47,318,836 | | | $ | (16,639 | ) |
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
GLOBAL MANAGED FUTURES STRATEGY FUND | |
Futures Contracts (Concluded)
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation)** | |
Commodity Futures Contracts Sold Short† | | | | | | | | | | | | | | | | |
Corn Futures Contracts | | | 54 | | | | Mar 2022 | | | $ | 1,607,850 | | | $ | 50,296 | |
Cattle Feeder Futures Contracts | | | 1 | | | | Aug 2021 | | | | 77,325 | | | | 3,609 | |
Cocoa Futures Contracts | | | 3 | | | | Sep 2021 | | | | 71,670 | | | | (452 | ) |
Live Cattle Futures Contracts | | | 24 | | | | Oct 2021 | | | | 1,232,160 | | | | (1,994 | ) |
Soybean Meal Futures Contracts | | | 2 | | | | Dec 2021 | | | | 76,000 | | | | (4,086 | ) |
Natural Gas Futures Contracts | | | 4 | | | | Sep 2021 | | | | 148,400 | | | | (17,330 | ) |
Live Cattle Futures Contracts | | | 16 | | | | Dec 2021 | | | | 844,960 | | | | (23,952 | ) |
Gasoline RBOB Futures Contracts | | | 12 | | | | Jul 2021 | | | | 1,129,514 | | | | (31,379 | ) |
Sugar #11 Futures Contracts | | | 83 | | | | Feb 2022 | | | | 1,681,646 | | | | (64,673 | ) |
| | | | | | | | | | | $ | 6,869,525 | | | $ | (89,961 | ) |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
† | 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. |
2 | All or a portion of this security is pledged as futures collateral at June 30, 2021. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 6. |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Consolidated Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Mutual Funds | | $ | 6,954,513 | | | $ | — | | | $ | — | | | $ | 6,954,513 | |
U.S. Treasury Bills | | | — | | | | 1,311,944 | | | | — | | | | 1,311,944 | |
Repurchase Agreements | | | — | | | | 4,406,863 | | | | — | | | | 4,406,863 | |
Commodity Futures Contracts** | | | 249,405 | | | | — | | | | — | | | | 249,405 | |
Currency Futures Contracts** | | | 199,245 | | | | — | | | | — | | | | 199,245 | |
Equity Futures Contracts** | | | 80,069 | | | | — | | | | — | | | | 80,069 | |
Interest Rate Futures Contracts** | | | 14,582 | | | | 10,890 | | | | — | | | | 25,472 | |
Total Assets | | $ | 7,497,814 | | | $ | 5,729,697 | | | $ | — | | | $ | 13,227,511 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Commodity Futures Contracts** | | $ | 182,778 | | | $ | — | | | $ | — | | | $ | 182,778 | |
Currency Futures Contracts** | | | 151,656 | | | | — | | | | — | | | | 151,656 | |
Equity Futures Contracts** | | | 50,634 | | | | 13,904 | | | | — | | | | 64,538 | |
Interest Rate Futures Contracts** | | | 7,341 | | | | 12,386 | | | | — | | | | 19,727 | |
Total Liabilities | | $ | 392,409 | | | $ | 26,290 | | | $ | — | | | $ | 418,699 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
GLOBAL MANAGED FUTURES STRATEGY FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation (Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 112,043 | | | $ | 753 | | | $ | — | | | $ | — | | | $ | 134 | | | $ | 112,930 | | | | 4,519 | | | $ | 763 | |
Guggenheim Strategy Fund III | | | 2,399,952 | | | | 18,821 | | | | — | | | | — | | | | 5,734 | | | | 2,424,507 | | | | 96,364 | | | | 19,096 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 71,938 | | | | 332 | | | | — | | | | — | | | | (72 | ) | | | 72,198 | | | | 7,242 | | | | 337 | |
Guggenheim Variable Insurance Strategy Fund III | | | 4,305,677 | | | | 34,055 | | | | — | | | | — | | | | 5,146 | | | | 4,344,878 | | | | 173,310 | | | | 34,514 | |
| | | $ | 6,889,610 | | | $ | 53,961 | | | $ | — | | | $ | — | | | $ | 10,942 | | | $ | 6,954,513 | | | | | | | $ | 54,710 | |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
GLOBAL MANAGED FUTURES STRATEGY FUND | |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value (cost $1,311,985) | | $ | 1,311,944 | |
Investments in affiliated issuers, at value (cost $6,887,528) | | | 6,954,513 | |
Repurchase agreements, at value (cost $4,406,863) | | | 4,406,863 | |
Segregated cash with broker | | | 80 | |
Receivables: |
Variation margin on futures contracts | | | 53,364 | |
Dividends | | | 9,048 | |
Fund shares sold | | | 215 | |
Interest | | | 5 | |
Total assets | | | 12,736,032 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 2,786 | |
Payable for: |
Management fees | | | 9,407 | |
Securities purchased | | | 9,048 | |
Professional fees | | | 8,553 | |
Fund shares redeemed | | | 4,438 | |
Investor service fees | | | 2,617 | |
Printing fees | | | 2,025 | |
Transfer agent and administrative fees | | | 1,246 | |
Portfolio accounting fees | | | 1,047 | |
Trustees’ fees* | | | 140 | |
Miscellaneous | | | 11,353 | |
Total liabilities | | | 52,660 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 12,683,372 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 12,120,291 | |
Total distributable earnings (loss) | | | 563,081 | |
Net assets | | $ | 12,683,372 | |
Capital shares outstanding | | | 739,159 | |
Net asset value per share | | $ | 17.16 | |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 54,710 | |
Interest | | | 709 | |
Total investment income | | | 55,419 | |
| | | | | |
Expenses: |
Management fees | | | 66,351 | |
Investor service fees | | | 16,482 | |
Transfer agent and administrative fees | | | 11,824 | |
Professional fees | | | 7,009 | |
Portfolio accounting fees | | | 6,593 | |
Trustees’ fees* | | | 1,280 | |
Custodian fees | | | 978 | |
Miscellaneous | | | 7,027 | |
Total expenses | | | 117,544 | |
Less: |
Expenses waived by Adviser | | | (7,106 | ) |
Net expenses | | | 110,438 | |
Net investment loss | | | (55,019 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Futures contracts | | | 925,767 | |
Foreign currency transactions | | | 3,133 | |
Net realized gain | | | 928,900 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (65 | ) |
Investments in affiliated issuers | | | 10,942 | |
Futures contracts | | | (208,768 | ) |
Foreign currency translations | | | 160 | |
Net change in unrealized appreciation (depreciation) | | | (197,731 | ) |
Net realized and unrealized gain | | | 731,169 | |
Net increase in net assets resulting from operations | | $ | 676,150 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
GLOBAL MANAGED FUTURES STRATEGY FUND | |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (55,019 | ) | | $ | (83,454 | ) |
Net realized gain (loss) on investments | | | 928,900 | | | | (94,294 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (197,731 | ) | | | 489,683 | |
Net increase in net assets resulting from operations | | | 676,150 | | | | 311,935 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (742,547 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 665,037 | | | | 5,382,174 | |
Distributions reinvested | | | — | | | | 742,547 | |
Cost of shares redeemed | | | (2,250,500 | ) | | | (6,383,348 | ) |
Net decrease from capital share transactions | | | (1,585,463 | ) | | | (258,627 | ) |
Net decrease in net assets | | | (909,313 | ) | | | (689,239 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 13,592,685 | | | | 14,281,924 | |
End of period | | $ | 12,683,372 | | | $ | 13,592,685 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 39,529 | | | | 318,315 | |
Shares issued from reinvestment of distributions | | | — | | | | 46,007 | |
Shares redeemed | | | (133,344 | ) | | | (389,468 | ) |
Net decrease in shares | | | (93,815 | ) | | | (25,146 | ) |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
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.
| | Six Months
Ended
June 30, 2021a | | | Year Ended
December
31,
2020 | | | Year Ended
December
31,
2019 | | | Year Ended
December
31,
2018 | | | Year Ended
December
31,
2017 | | | Year Ended
December
31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 16.32 | | | $ | 16.64 | | | $ | 15.50 | | | $ | 17.06 | | | $ | 15.93 | | | $ | 19.42 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.07 | ) | | | (.09 | ) | | | .14 | | | | .20 | | | | .10 | | | | .06 | |
Net gain (loss) on investments (realized and unrealized) | | | .91 | | | | .51 | | | | 1.15 | | | | (1.76 | ) | | | 1.27 | | | | (2.88 | ) |
Total from investment operations | | | .84 | | | | .42 | | | | 1.29 | | | | (1.56 | ) | | | 1.37 | | | | (2.82 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.65 | ) | | | (.15 | ) | | | — | | | | (.24 | ) | | | (.67 | ) |
Net realized gains | | | — | | | | (.09 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.74 | ) | | | (.15 | ) | | | — | | | | (.24 | ) | | | (.67 | ) |
Net asset value, end of period | | $ | 17.16 | | | $ | 16.32 | | | $ | 16.64 | | | $ | 15.50 | | | $ | 17.06 | | | $ | 15.93 | |
|
Total Returnc | | | 5.15 | % | | | 2.60 | % | | | 8.35 | % | | | (9.14 | %) | | | 8.71 | % | | | (14.77 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 12,683 | | | $ | 13,593 | | | $ | 14,282 | | | $ | 13,281 | | | $ | 14,791 | | | $ | 14,782 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.83 | %) | | | (0.55 | %) | | | 0.82 | % | | | 1.21 | % | | | 0.59 | % | | | 0.32 | % |
Total expensesd | | | 1.78 | % | | | 1.80 | % | | | 1.81 | % | | | 1.72 | % | | | 1.69 | % | | | 1.69 | % |
Net expensese | | | 1.68 | % | | | 1.72 | % | | | 1.74 | % | | | 1.66 | % | | | 1.64 | % | | | 1.62 | % |
Portfolio turnover rate | | | — | | | | 2 | % | | | 13 | % | | | 8 | % | | | 1 | % | | | 39 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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) |
Guggenheim Strategy Fund III | 5.5% |
Guggenheim Strategy Fund II | 4.8% |
Guggenheim Variable Insurance Strategy Fund III | 4.7% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 3.7% |
Alexion Pharmaceuticals, Inc. | 2.2% |
Maxim Integrated Products, Inc. | 2.0% |
IHS Markit Ltd. | 1.9% |
Willis Towers Watson plc | 1.8% |
Slack Technologies, Inc. — Class A | 1.8% |
Xilinx, Inc. | 1.8% |
Top Ten Total | 30.2% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Multi-Hedge Strategies Fund | 10.15% | 13.46% | 4.17% | 3.15% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
HFRX Global Hedge Fund Index | 3.73% | 12.01% | 4.22% | 1.85% |
* | 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 the S&P 500 Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 46.8% |
| | | | | | | | | |
Consumer, Non-cyclical - 11.3% |
Alexion Pharmaceuticals, Inc.* | | | 5,365 | | | $ | 985,604 | |
IHS Markit Ltd.1 | | | 7,704 | | | | 867,933 | |
Magellan Health, Inc.*,1 | | | 6,606 | | | | 622,285 | |
Luminex Corp. | | | 15,609 | | | | 574,411 | |
Soliton, Inc.*,2 | | | 23,847 | | | | 536,319 | |
PPD, Inc.*,1 | | | 11,625 | | | | 535,796 | |
PRA Health Sciences, Inc.*,1 | | | 2,923 | | | | 482,909 | |
Constellation Pharmaceuticals, Inc.* | | | 7,970 | | | | 269,386 | |
Kindred Biosciences, Inc.* | | | 29,299 | | | | 268,672 | |
Total Consumer, Non-cyclical | | | | | | | 5,143,315 | |
| | | | | | | | | |
Technology - 11.2% |
Maxim Integrated Products, Inc.1 | | | 8,800 | | | | 927,168 | |
Slack Technologies, Inc. — Class A* | | | 18,176 | | | | 805,197 | |
Xilinx, Inc.1 | | | 5,536 | | | | 800,727 | |
Nuance Communications, Inc.*,1 | | | 14,674 | | | | 798,852 | |
Change Healthcare, Inc.*,1 | | | 21,971 | | | | 506,212 | |
Talend S.A. ADR* | | | 5,649 | | | | 370,574 | |
Sykes Enterprises, Inc.* | | | 5,084 | | | | 273,011 | |
QAD, Inc. — Class A | | | 3,086 | | | | 268,544 | |
Cloudera, Inc.* | | | 16,807 | | | | 266,559 | |
MagnaChip Semiconductor Corp.* | | | 3,150 | | | | 75,159 | |
Total Technology | | | | | | | 5,092,003 | |
| | | | | | | | | |
Financial - 8.8% |
Willis Towers Watson plc1 | | | 3,597 | | | | 827,382 | |
Weingarten Realty Investors REIT | | | 16,497 | | | | 529,059 | |
People’s United Financial, Inc.1 | | | 28,915 | | | | 495,603 | |
QTS Realty Trust, Inc. — Class A REIT | | | 6,080 | | | | 469,984 | |
Athene Holding Ltd. — Class A*,1 | | | 6,244 | | | | 421,470 | |
CIT Group, Inc. | | | 7,570 | | | | 390,536 | |
VEREIT, Inc. REIT1 | | | 6,528 | | | | 299,831 | |
Boston Private Financial Holdings, Inc. | | | 18,114 | | | | 267,182 | |
Flagstar Bancorp, Inc.1 | | | 5,468 | | | | 231,132 | |
Sterling Bancorp | | | 1,422 | | | | 35,251 | |
Total Financial | | | | | | | 3,967,430 | |
| | | | | | | | | |
Industrial - 5.7% |
Forterra, Inc.*,1 | | | 20,929 | | | | 492,041 | |
Aerojet Rocketdyne Holdings, Inc. | | | 8,378 | | | | 404,574 | |
Kansas City Southern1 | | | 1,411 | | | | 399,835 | |
Welbilt, Inc.* | | | 17,148 | | | | 396,976 | |
Coherent, Inc.*,1 | | | 1,407 | | | | 371,926 | |
Lydall, Inc.* | | | 4,448 | | | | 269,193 | |
Raven Industries, Inc.* | | | 4,544 | | | | 262,870 | |
Total Industrial | | | | | | | 2,597,415 | |
| | | | | | | | | |
Consumer, Cyclical - 3.5% |
Sportsman’s Warehouse Holdings, Inc.*,1 | | | 36,081 | | | | 641,159 | |
Knoll, Inc. | | | 16,212 | | | | 421,350 | |
At Home Group, Inc.* | | | 7,332 | | | | 270,111 | |
Core-Mark Holding Company, Inc.1 | | | 5,885 | | | | 264,884 | |
Total Consumer, Cyclical | | | | | | | 1,597,504 | |
| | | | | | | | | |
Basic Materials - 3.2% |
Domtar Corp.*,1 | | | 9,830 | | | | 540,257 | |
W R Grace & Co.1 | | | 7,477 | | | | 516,810 | |
Ferro Corp.*,1 | | | 17,736 | | | | 382,566 | |
Total Basic Materials | | | | | | | 1,439,633 | |
| | | | | | | | | |
Communications - 2.0% |
Cincinnati Bell, Inc.*,1 | | | 33,133 | | | | 510,911 | |
Proofpoint, Inc.* | | | 2,193 | | | | 381,055 | |
Total Communications | | | | | | | 891,966 | |
| | | | | | | | | |
Utilities - 1.1% |
PNM Resources, Inc.1 | | | 10,123 | | | | 493,699 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $20,141,356) | | | | | | | 21,222,965 | |
| | | | | | | | | |
MASTER LIMITED PARTNERSHIPS† - 0.5% |
Energy - 0.5% |
Enable Midstream Partners, LP | | | 24,798 | | | | 225,910 | |
Total Master Limited Partnerships | | | | |
(Cost $171,565) | | | | | | | 225,910 | |
| | | | | | | | | |
RIGHTS††† - 0.0% |
Consumer, Non-cyclical - 0.0% |
Lantheus Holdings, Inc.* | | | 41,807 | | | | — | |
Alexion Pharmaceuticals, Inc.* | | | 32,749 | | | | — | |
Total Consumer, Non-cyclical | | | | | | | — | |
| | | | | | | | | |
Total Rights | | | | |
(Cost $—) | | | | | | | — | |
| | | | | | | | | |
MUTUAL FUNDS† - 18.7% |
Guggenheim Strategy Fund III3 | | | 98,483 | | | | 2,477,824 | |
Guggenheim Strategy Fund II3 | | | 87,436 | | | | 2,185,036 | |
Guggenheim Variable Insurance Strategy Fund III3 | | | 85,948 | | | | 2,154,711 | |
Guggenheim Ultra Short Duration Fund — Institutional Class3 | | | 166,612 | | | | 1,661,117 | |
Total Mutual Funds | | | | |
(Cost $8,436,109) | | | | | | | 8,478,688 | |
| | | | | | | | | |
CLOSED-END FUNDS† - 7.4% |
Invesco Senior Income Trust2 | | | 23,231 | | | | 103,628 | |
Nuveen Senior Income Fund | | | 17,443 | | | | 103,088 | |
Nuveen Floating Rate Income Fund | | | 10,274 | | | | 102,945 | |
Nuveen Floating Rate Income Opportunity Fund2 | | | 10,404 | | | | 101,543 | |
PGIM Global High Yield Fund, Inc.2 | | | 6,366 | | | | 101,474 | |
First Trust High Income Long/Short Fund | | | 6,436 | | | | 101,367 | |
Adams Diversified Equity Fund, Inc. | | | 5,118 | | | | 101,183 | |
Apollo Senior Floating Rate Fund, Inc.2 | | | 6,407 | | | | 101,102 | |
BlackRock Floating Rate Income Strategies Fund, Inc. | | | 7,624 | | | | 101,018 | |
BlackRock Floating Rate Income Trust | | | 7,823 | | | | 100,604 | |
Nuveen New York AMT-Free Quality Municipal Income Fund | | | 7,077 | | | | 100,423 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Value | |
Nuveen New Jersey Quality Municipal Income Fund2 | | | 6,440 | | | $ | 100,400 | |
BrandywineGLOBAL Global Income Opportunities Fund, Inc. | | | 7,936 | | | | 100,073 | |
Western Asset Inflation-Linked Opportunities & Income Fund | | | 7,595 | | | | 99,570 | |
Ivy High Income Opportunities Fund2 | | | 7,077 | | | | 99,432 | |
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.2 | | | 15,696 | | | | 96,060 | |
Nuveen Credit Strategies Income Fund | | | 13,888 | | | | 93,744 | |
Nuveen Pennsylvania Quality Municipal Income Fund | | | 6,170 | | | | 93,167 | |
BlackRock California Municipal Income Trust2 | | | 5,435 | | | | 81,471 | |
LMP Capital and Income Fund, Inc. | | | 5,615 | | | | 80,968 | |
General American Investors Company, Inc. | | | 1,723 | | | | 74,813 | |
Virtus AllianzGI Convertible & Income Fund2 | | | 11,950 | | | | 73,373 | |
Barings Global Short Duration High Yield Fund | | | 4,234 | | | | 72,317 | |
Saba Capital Income & Opportunities Fund | | | 15,179 | | | | 71,493 | |
Apollo Tactical Income Fund, Inc. | | | 4,477 | | | | 70,065 | |
Tortoise Power and Energy Infrastructure Fund, Inc. | | | 5,005 | | | | 68,619 | |
Invesco Pennsylvania Value Municipal Income Trust | | | 4,473 | | | | 59,849 | |
Nuveen Global High Income Fund | | | 3,589 | | | | 58,177 | |
Franklin Universal Trust2 | | | 6,393 | | | | 52,934 | |
Nuveen Ohio Quality Municipal Income Fund | | | 2,863 | | | | 46,867 | |
Invesco Trust for Investment Grade New York Municipals | | | 3,337 | | | | 46,351 | |
PGIM High Yield Bond Fund, Inc. | | | 2,356 | | | | 38,332 | |
Royce Micro-Capital Trust, Inc. | | | 2,759 | | | | 34,212 | |
Gabelli Healthcare & WellnessRx Trust | | | 2,320 | | | | 31,320 | |
Nuveen New York Quality Municipal Income Fund | | | 1,927 | | | | 29,021 | |
Western Asset Intermediate Muni Fund, Inc.2 | | | 2,751 | | | | 26,877 | |
Eaton Vance New York Municipal Bond Fund2 | | | 2,091 | | | | 26,869 | |
Delaware Investments Minnesota Municipal Income Fund II, Inc. | | | 1,826 | | | | 25,810 | |
Nuveen Short Duration Credit Opportunities Fund | | | 1,676 | | | | 25,123 | |
CBRE Clarion Global Real Estate Income Fund2 | | | 2,847 | | | | 25,082 | |
Neuberger Berman California Municipal Fund, Inc.2 | | | 1,680 | | | | 24,360 | |
BlackRock MuniYield California Fund, Inc. | | | 1,577 | | | | 24,270 | |
Korea Fund, Inc. | | | 513 | | | | 23,680 | |
New Ireland Fund, Inc. | | | 1,855 | | | | 22,612 | |
Gabelli Global Small and Mid Capital Value Trust | | | 1,333 | | | | 21,328 | |
Neuberger Berman New York Municipal Fund, Inc.2 | | | 1,558 | | | | 20,753 | |
Delaware Investments National Municipal Income Fund | | | 1,368 | | | | 19,335 | |
Central and Eastern Europe Fund, Inc. | | | 628 | | | | 17,622 | |
Western Asset Municipal Partners Fund, Inc.2 | | | 997 | | | | 16,411 | |
Nuveen Real Asset Income and Growth Fund | | | 1,002 | | | | 16,102 | |
BlackRock MuniYield Pennsylvania Quality Fund | | | 959 | | | | 15,114 | |
Swiss Helvetia Fund, Inc. | | | 1,451 | | | | 14,118 | |
MFS Investment Grade Municipal Trust | | | 1,351 | | | | 13,889 | |
Nuveen Georgia Quality Municipal Income Fund | | | 708 | | | | 9,905 | |
DWS Strategic Municipal Income Trust | | | 718 | | | | 9,040 | |
Nuveen Real Estate Income Fund | | | 601 | | | | 6,665 | |
Western Asset High Income Opportunity Fund, Inc. | | | 1,242 | | | | 6,558 | |
Miller/Howard High Dividend Fund | | | 625 | | | | 6,550 | |
Eaton Vance Tax-Advantaged Global Dividend Income Fund | | | 310 | | | | 6,510 | |
DWS Municipal Income Trust2 | | | 532 | | | | 6,506 | |
BlackRock MuniYield Quality Fund III, Inc. | | | 438 | | | | 6,504 | |
BlackRock MuniVest Fund, Inc. | | | 676 | | | | 6,503 | |
Gabelli Dividend & Income Trust | | | 246 | | | | 6,472 | |
Aberdeen Total Dynamic Dividend Fund | | | 636 | | | | 6,468 | |
Wells Fargo Global Dividend Opportunity Fund2 | | | 1,119 | | | | 6,468 | |
Western Asset Managed Municipals Fund, Inc. | | | 477 | | | | 6,463 | |
Eaton Vance California Municipal Bond Fund | | | 540 | | | | 6,458 | |
Aberdeen Global Dynamic Dividend Fund | | | 535 | | | | 6,420 | |
Source Capital, Inc. | | | 141 | | | | 6,418 | |
Nuveen Tax-Advantaged Total Return Strategy Fund | | | 549 | | | | 6,412 | |
Tri-Continental Corp. | | | 188 | | | | 6,409 | |
Nuveen Tax-Advantaged Dividend Growth Fund | | | 398 | | | | 6,396 | |
Sprott Focus Trust, Inc. | | | 752 | | | | 6,396 | |
Royce Value Trust, Inc. | | | 335 | | | | 6,355 | |
Japan Smaller Capitalization Fund, Inc. | | | 702 | | | | 6,332 | |
New Germany Fund, Inc. | | | 311 | | | | 6,290 | |
Clough Global Equity Fund2 | | | 426 | | | | 6,288 | |
First Trust Dynamic Europe Equity Income Fund | | | 468 | | | | 6,276 | |
European Equity Fund, Inc. | | | 548 | | | | 6,236 | |
Mexico Fund, Inc.* | | | 342 | | | | 5,209 | |
Royce Global Value Trust, Inc. | | | 346 | | | | 5,183 | |
Mexico Equity & Income Fund, Inc.* | | | 203 | | | | 2,442 | |
Total Closed-End Funds | | | | |
(Cost $3,012,858) | | | | | | | 3,356,490 | |
| | | | | | | | | |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
| | Face
Amount | | | Value | |
U.S. TREASURY BILLS†† - 21.1% |
U.S. Treasury Bills |
0.01% due 08/19/214,5 | | $ | 5,350,000 | | | $ | 5,349,671 | |
0.01% due 08/03/215,6 | | | 3,938,000 | | | | 3,937,832 | |
0.03% due 08/03/215,6 | | | 258,000 | | | | 257,989 | |
Total U.S. Treasury Bills | | | | |
(Cost $9,545,882) | | | | | | | 9,545,492 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,7 - 0.7% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | | 188,151 | | | | 188,151 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 74,075 | | | | 74,075 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 72,622 | | | | 72,622 | |
Total Repurchase Agreements | | | | |
(Cost $334,848) | | | | | | | 334,848 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,8 - 1.8% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%9 | | | 802,615 | | | | 802,615 | |
Total Securities Lending Collateral | | | | |
(Cost $802,615) | | | | | | | 802,615 | |
| | | | | | | | | |
Total Investments - 97.0% | | | | |
(Cost $42,445,233) | | | 43,967,008 | |
| | | | | | | | | |
COMMON STOCKS SOLD SHORT† - (18.9)% |
Consumer, Cyclical - (0.5)% |
Herman Miller, Inc. | | | 5,188 | | | | (244,562 | ) |
| | | | | | | | | |
Industrial - (1.4)% |
II-VI, Inc.* | | | 1,280 | | | | (92,915 | ) |
Canadian National Railway Co. | | | 1,593 | | | | (168,093 | ) |
Middleby Corp.* | | | 2,126 | | | | (368,351 | ) |
Total Industrial | | | | | | | (629,359 | ) |
| | | | | | | | | |
Consumer, Non-cyclical - (4.3)% |
Performance Food Group Co.* | | | 2,589 | | | | (125,541 | ) |
ICON plc* | | | 1,206 | | | | (249,292 | ) |
AstraZeneca plc ADR | | | 11,397 | | | | (682,680 | ) |
S&P Global, Inc. | | | 2,186 | | | | (897,244 | ) |
Total Consumer, Non-cyclical | | | | | | | (1,954,757 | ) |
| | | | | | | | | |
Technology - (4.8)% |
salesforce.com, Inc.* | | | 1,410 | | | | (344,421 | ) |
Advanced Micro Devices, Inc.* | | | 9,541 | | | | (896,186 | ) |
Analog Devices, Inc. | | | 5,544 | | | | (954,455 | ) |
Total Technology | | | | | | | (2,195,062 | ) |
| | | | | | | | | |
| | Shares | | | Value | |
Financial - (7.9)% |
Webster Financial Corp. | | | 656 | | | $ | (34,991 | ) |
SVB Financial Group* | | | 413 | | | | (229,805 | ) |
New York Community Bancorp, Inc. | | | 21,955 | | | | (241,944 | ) |
Realty Income Corp. | | | 4,602 | | | | (307,137 | ) |
First Citizens BancShares, Inc. — Class A | | | 469 | | | | (390,555 | ) |
Apollo Global Management, Inc. | | | 7,174 | | | | (446,223 | ) |
Kimco Realty Corp. | | | 23,228 | | | | (484,304 | ) |
M&T Bank Corp. | | | 3,412 | | | | (495,798 | ) |
Aon plc — Class A | | | 3,885 | | | | (927,583 | ) |
Total Financial | | | | | | | (3,558,340 | ) |
| | | | | | | | | |
Total Common Stocks Sold Short | | | | |
(Proceeds $7,618,287) | | | | | | | (8,582,080 | ) |
| | | | | | | | | |
MASTER LIMITED PARTNERSHIPS SOLD SHORT† - (0.5)% |
Energy - (0.5)% |
Energy Transfer, LP | | | 21,340 | | | | (226,844 | ) |
Total Master Limited Partnerships Sold Short | | | | |
(Proceeds $172,445) | | | | | | | (226,844 | ) |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS SOLD SHORT† - (7.4)% |
iShares Mortgage Real Estate ETF | | | 87 | | | | (3,229 | ) |
VanEck Vectors Gold Miners ETF | | | 143 | | | | (4,859 | ) |
iShares Core High Dividend ETF | | | 90 | | | | (8,687 | ) |
VanEck Vectors High Yield Muni ETF | | | 273 | | | | (17,366 | ) |
iShares Russell 1000 Growth ETF | | | 80 | | | | (21,718 | ) |
Health Care Select Sector SPDR Fund | | | 179 | | | | (22,545 | ) |
iShares U.S. Real Estate ETF | | | 252 | | | | (25,689 | ) |
iShares 7-10 Year Treasury Bond ETF | | | 232 | | | | (26,794 | ) |
Energy Select Sector SPDR Fund | | | 538 | | | | (28,982 | ) |
iShares iBoxx $ Investment Grade Corporate Bond ETF | | | 259 | | | | (34,799 | ) |
iShares Agency Bond ETF | | | 309 | | | | (36,580 | ) |
iShares Russell 1000 Value ETF | | | 237 | | | | (37,593 | ) |
SPDR Bloomberg Barclays Convertible Securities ETF | | | 476 | | | | (41,284 | ) |
iShares TIPS Bond ETF | | | 496 | | | | (63,493 | ) |
iShares Russell 2000 Index ETF | | | 399 | | | | (91,518 | ) |
iShares MSCI EAFE ETF | | | 2,219 | | | | (175,035 | ) |
Schwab U.S. Aggregate Bond ETF | | | 3,248 | | | | (177,341 | ) |
iShares Floating Rate Bond ETF | | | 3,816 | | | | (193,929 | ) |
SPDR S&P 500 ETF Trust | | | 529 | | | | (226,444 | ) |
SPDR Nuveen Bloomberg Barclays Municipal Bond ETF | | | 6,695 | | | | (348,876 | ) |
iShares National Muni Bond ETF | | | 3,170 | | | | (371,524 | ) |
iShares iBoxx High Yield Corporate Bond ETF | | | 6,675 | | | | (587,667 | ) |
Invesco Senior Loan ETF | | | 35,868 | | | | (794,476 | ) |
Total Exchange-Traded Funds Sold Short | | | | |
(Proceeds $3,275,777) | | | | | | | (3,340,428 | ) |
| | | | | | | | | |
Total Securities Sold Short - (26.8)% | | | | |
(Proceeds $11,066,509) | | $ | (12,149,352 | ) |
Other Assets & Liabilities, net - 29.8% | | | 13,501,999 | |
Total Net Assets - 100.0% | | $ | 45,319,655 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
Futures Contracts
Description | | Number of
Contracts | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation)** | |
Commodity Futures Contracts Purchased† |
Sugar #11 Futures Contracts | | | 158 | | Apr 2022 | | $ | 3,041,942 | | | $ | 95,208 | |
Natural Gas Futures Contracts | | | 17 | | Jul 2021 | | | 636,820 | | | | 80,724 | |
Gasoline RBOB Futures Contracts | | | 25 | | Sep 2021 | | | 2,202,375 | | | | 56,909 | |
Live Cattle Futures Contracts | | | 45 | | Aug 2021 | | | 2,212,650 | | | | 37,957 | |
Corn Futures Contracts | | | 16 | | Sep 2021 | | | 479,400 | | | | 36,352 | |
Sugar #11 Futures Contracts | | | 35 | | Sep 2021 | | | 701,680 | | | | 29,794 | |
Natural Gas Futures Contracts | | | 6 | | Aug 2021 | | | 222,960 | | | | 27,405 | |
WTI Crude Futures Contracts | | | 10 | | Jul 2021 | | | 735,300 | | | | 26,474 | |
Brent Crude Futures Contracts | | | 11 | | Jul 2021 | | | 821,040 | | | | 21,562 | |
Low Sulphur Gas Oil Futures Contracts | | | 16 | | Aug 2021 | | | 960,800 | | | | 13,949 | |
Soybean Oil Futures Contracts | | | 11 | | Dec 2021 | | | 411,312 | | | | 10,854 | |
LME Lead Futures Contracts | | | 3 | | Aug 2021 | | | 170,175 | | | | 5,522 | |
LME Primary Aluminum Futures Contracts | | | 2 | | Aug 2021 | | | 126,118 | | | | 3,384 | |
LME Nickel Futures Contracts | | | 1 | | Aug 2021 | | | 109,248 | | | | 464 | |
NY Harbor ULSD Futures Contracts | | | 10 | | Jul 2021 | | | 893,802 | | | | (212 | ) |
Cotton #2 Futures Contracts | | | 2 | | Dec 2021 | | | 85,000 | | | | (956 | ) |
LME Zinc Futures Contracts | | | 2 | | Aug 2021 | | | 148,663 | | | | (2,031 | ) |
Copper Futures Contracts | | | 1 | | Sep 2021 | | | 107,188 | | | | (6,253 | ) |
Silver Futures Contracts | | | 1 | | Sep 2021 | | | 131,225 | | | | (8,038 | ) |
Lean Hogs Futures Contracts | | | 4 | | Aug 2021 | | | 165,760 | | | | (19,632 | ) |
Corn Futures Contracts | | | 79 | | Dec 2021 | | | 2,324,575 | | | | (35,787 | ) |
| | | | | | | | $ | 16,688,033 | | | $ | 373,649 | |
Interest Rate Futures Contracts Purchased† | | | | | | | | | | | | | |
Euro - BTP Italian Government Bond Futures Contracts†† | | | 82 | | Sep 2021 | | $ | 14,728,873 | | | $ | 94,076 | |
Euro - OATS Futures Contracts | | | 127 | | Sep 2021 | | | 23,941,684 | | | | 80,170 | |
Euro - Bund Futures Contracts | | | 12 | | Sep 2021 | | | 2,456,085 | | | | 10,950 | |
| | | | | | | | $ | 41,126,642 | | | $ | 185,196 | |
Equity Futures Contracts Purchased† | | | | | | | | | | | | | |
S&P/TSX 60 IX Index Futures Contracts | | | 2 | | Sep 2021 | | $ | 388,171 | | | $ | 5,256 | |
SPI 200 Index Futures Contracts | | | 3 | | Sep 2021 | | | 405,992 | | | | 1,126 | |
Amsterdam Index Futures Contracts | | | 1 | | Jul 2021 | | | 173,654 | | | | 1,066 | |
DAX Index Futures Contracts | | | 1 | | Sep 2021 | | | 461,210 | | | | 729 | |
FTSE 100 Index Futures Contracts | | | 3 | | Sep 2021 | | | 290,099 | | | | 333 | |
Euro STOXX 50 Index Futures Contracts | | | 5 | | Sep 2021 | | | 240,836 | | | | 277 | |
Tokyo Stock Price Index Futures Contracts | | | 1 | | Sep 2021 | | | 174,824 | | | | 111 | |
NASDAQ-100 Index Mini Futures Contracts | | | 1 | | Sep 2021 | | | 290,870 | | | | (81 | ) |
S&P 500 Index Mini Futures Contracts | | | 2 | | Sep 2021 | | | 428,650 | | | | (139 | ) |
Russell 2000 Index Mini Futures Contracts | | | 2 | | Sep 2021 | | | 230,580 | | | | (182 | ) |
OMX Stockholm 30 Index Futures Contracts | | | 7 | | Jul 2021 | | | 185,231 | | | | (1,274 | ) |
CAC 40 10 Euro Index Futures Contracts | | | 3 | | Jul 2021 | | | 232,278 | | | | (1,816 | ) |
FTSE MIB Index Futures Contracts†† | | | 2 | | Sep 2021 | | | 297,509 | | | | (5,460 | ) |
IBEX 35 Index Futures Contracts†† | | | 2 | | Jul 2021 | | | 208,928 | | | | (7,183 | ) |
CBOE Volatility Index Futures Contracts | | | 112 | | Jul 2021 | | | 2,004,800 | | | | (124,707 | ) |
| | | | | | | | $ | 6,013,632 | | | $ | (131,944 | ) |
Currency Futures Contracts Purchased† | | | | | | | | | | | | | |
New Zealand Dollar Futures Contracts | | | 21 | | Sep 2021 | | $ | 1,467,270 | | | $ | (6,687 | ) |
Japanese Yen Futures Contracts | | | 60 | | Sep 2021 | | | 6,755,625 | | | | (76,796 | ) |
British Pound Futures Contracts | | | 80 | | Sep 2021 | | | 6,917,500 | | | | (105,100 | ) |
Canadian Dollar Futures Contracts | | | 94 | | Sep 2021 | | | 7,581,570 | | | | (108,871 | ) |
Euro FX Futures Contracts | | | 55 | | Sep 2021 | | | 8,165,094 | | | | (197,431 | ) |
| | | | | | | | $ | 30,887,059 | | | $ | (494,885 | ) |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
Futures Contracts (concluded)
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation)** | |
Currency Futures Contracts Sold Short† | | | | | | | | | | | | | | | | |
Swiss Franc Futures Contracts | | | 182 | | | | Sep 2021 | | | $ | 24,633,700 | | | $ | 755,525 | |
Australian Dollar Futures Contracts | | | 61 | | | | Sep 2021 | | | | 4,575,610 | | | | 129,979 | |
| | | | | | | | | | | $ | 29,209,310 | | | $ | 885,504 | |
Equity Futures Contracts Sold Short† | | | | | | | | | | | | | | | | |
CBOE Volatility Index Futures Contracts | | | 125 | | | | Sep 2021 | | | $ | 2,625,000 | | | $ | 124,859 | |
CBOE Volatility Index Futures Contracts | | | 71 | | | | Oct 2021 | | | | 1,552,770 | | | | 83,960 | |
CBOE Volatility Index Futures Contracts | | | 11 | | | | Aug 2021 | | | | 217,800 | | | | (3 | ) |
| | | | | | | | | | | $ | 4,395,570 | | | $ | 208,816 | |
Interest Rate Futures Contracts Sold Short† | | | | | | | | | | | | | | | | |
Canadian Government 10 Year Bond Futures Contracts†† | | | 75 | | | | Sep 2021 | | | $ | 8,800,783 | | | $ | 5,222 | |
Euro - 30 year Bond Futures Contracts | | | 4 | | | | Sep 2021 | | | | 963,037 | | | | 1,253 | |
U.S. Treasury Long Bond Futures Contracts | | | 4 | | | | Sep 2021 | | | | 642,250 | | | | 654 | |
U.S. Treasury Ultra Long Bond Futures Contracts | | | 2 | | | | Sep 2021 | | | | 385,062 | | | | 277 | |
Australian Government 10 Year Bond Futures Contracts | | | 12 | | | | Sep 2021 | | | | 1,271,186 | | | | (1,595 | ) |
U.S. Treasury 10 Year Note Futures Contracts | | | 127 | | | | Sep 2021 | | | | 16,817,578 | | | | (8,111 | ) |
Long Gilt Futures Contracts†† | | | 134 | | | | Sep 2021 | | | | 23,728,182 | | | | (68,136 | ) |
| | | | | | | | | | | $ | 52,608,078 | | | $ | (70,436 | ) |
Commodity Futures Contracts Sold Short† | | | | | | | | | | | | | | | | |
Corn Futures Contracts | | | 83 | | | | Mar 2022 | | | $ | 2,471,325 | | | $ | 83,788 | |
Cattle Feeder Futures Contracts | | | 14 | | | | Aug 2021 | | | | 1,082,550 | | | | 37,357 | |
Wheat Futures Contracts | | | 14 | | | | Sep 2021 | | | | 476,175 | | | | 3,733 | |
Cocoa Futures Contracts | | | 7 | | | | Sep 2021 | | | | 167,230 | | | | 239 | |
Coffee ‘C’ Futures Contracts | | | 6 | | | | Sep 2021 | | | | 360,225 | | | | (1,725 | ) |
Live Cattle Futures Contracts | | | 37 | | | | Oct 2021 | | | | 1,899,580 | | | | (3,074 | ) |
Soybean Futures Contracts | | | 9 | | | | Nov 2021 | | | | 626,963 | | | | (6,540 | ) |
Hard Red Winter Wheat Futures Contracts | | | 13 | | | | Sep 2021 | | | | 428,675 | | | | (8,202 | ) |
Natural Gas Futures Contracts | | | 6 | | | | Sep 2021 | | | | 222,600 | | | | (25,995 | ) |
Soybean Meal Futures Contracts | | | 19 | | | | Dec 2021 | | | | 722,000 | | | | (31,157 | ) |
Live Cattle Futures Contracts | | | 25 | | | | Dec 2021 | | | | 1,320,250 | | | | (34,480 | ) |
Gasoline RBOB Futures Contracts | | | 13 | | | | Jul 2021 | | | | 1,223,641 | | | | (44,314 | ) |
Sugar #11 Futures Contracts | | | 127 | | | | Feb 2022 | | | | 2,573,122 | | | | (100,461 | ) |
| | | | | | | | | | | $ | 13,574,336 | | | $ | (130,831 | ) |
Custom Basket Swap Agreements
Counterparty | Reference Obligation | Financing Rate
Pay (Receive) | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Custom Basket Swap Agreements †† |
Morgan Stanley Capital Services LLC | MS Equity Market Neutral Custom Basket | 0.50% (Federal Funds Rate + 0.40%) | At Maturity | | | 08/31/23 | | | $ | 11,905,404 | | | $ | 965,977 | |
Goldman Sachs International | GS Equity Market Neutral Custom Basket | 0.55% (Federal Funds Rate + 0.45%) | At Maturity | | | 05/06/24 | | | | 11,905,403 | | | | 920,602 | |
Morgan Stanley Capital Services LLC | MS Long/Short Equity Custom Basket | 0.50% (Federal Funds Rate + 0.40%) | At Maturity | | | 08/31/23 | | | | 9,002,671 | | | | 665,907 | |
Goldman Sachs International | GS Long/Short Equity Custom Basket | 0.55% (Federal Funds Rate + 0.45%) | At Maturity | | | 05/06/24 | | | | 9,000,447 | | | | 655,296 | |
| | | | | | | | | | $ | 41,813,925 | | | $ | 3,207,782 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
Counterparty | Reference Obligation | Financing Rate
Pay (Receive) | Payment
Frequency | | Maturity
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation (Depreciation) | |
OTC Custom Basket Swap Agreements Sold Short †† |
Morgan Stanley Capital Services LLC | MS Long/Short Equity Custom Basket | (0.20%) (Federal Funds Rate - 0.30%) | At Maturity | | | 08/31/23 | | | $ | 5,771,194 | | | $ | (198,328 | ) |
Goldman Sachs International | GS Long/Short Equity Custom Basket | (0.10%) (Federal Funds Rate - 0.20%) | At Maturity | | | 05/06/24 | | | | 5,961,343 | | | | (212,366 | ) |
Morgan Stanley Capital Services LLC | MS Equity Market Neutral Custom Basket | (0.20%) (Federal Funds Rate - 0.30%) | At Maturity | | | 08/31/23 | | | | 11,979,443 | | | | (692,117 | ) |
Goldman Sachs International | GS Equity Market Neutral Custom Basket | (0.10%) (Federal Funds Rate - 0.20%) | At Maturity | | | 05/06/24 | | | | 11,959,443 | | | | (696,938 | ) |
| | | | | | | | | | $ | 35,671,423 | | | $ | (1,799,749 | ) |
| | Shares | | | Percentage
Notional
Amount | | |
Value and
Unrealized
Appreciation
| |
MS EQUITY MARKET NEUTRAL LONG CUSTOM BASKET |
Financial | | | | | | | | | | | | |
Extra Space Storage, Inc. | | | 3,364 | | | | 4.64 | % | | $ | 113,193 | |
Sun Communities, Inc. | | | 2,369 | | | | 3.42 | % | | | 84,325 | |
Regency Centers Corp. | | | 8,601 | | | | 4.64 | % | | | 68,048 | |
Public Storage | | | 1,295 | | | | 3.27 | % | | | 62,285 | |
Innovative Industrial Properties, Inc. | | | 638 | | | | 1.02 | % | | | 61,771 | |
AvalonBay Communities, Inc. | | | 2,476 | | | | 4.34 | % | | | 58,968 | |
Ventas, Inc. | | | 6,107 | | | | 2.93 | % | | | 49,158 | |
Welltower, Inc. | | | 3,607 | | | | 2.52 | % | | | 44,183 | |
Equity Residential | | | 5,455 | | | | 3.53 | % | | | 43,218 | |
Terreno Realty Corp. | | | 3,464 | | | | 1.88 | % | | | 39,946 | |
American Assets Trust, Inc. | | | 7,604 | | | | 2.38 | % | | | 35,387 | |
Gaming and Leisure Properties, Inc. | | | 7,438 | | | | 2.89 | % | | | 34,132 | |
VICI Properties, Inc. | | | 8,695 | | | | 2.27 | % | | | 31,705 | |
Healthpeak Properties, Inc. | | | 8,849 | | | | 2.47 | % | | | 26,970 | |
Boston Properties, Inc. | | | 2,658 | | | | 2.56 | % | | | 26,147 | |
Brixmor Property Group, Inc. | | | 17,634 | | | | 3.39 | % | | | 25,460 | |
Alexandria Real Estate Equities, Inc. | | | 1,590 | | | | 2.43 | % | | | 23,319 | |
MGM Growth Properties LLC — Class A | | | 10,997 | | | | 3.38 | % | | | 22,758 | |
Invitation Homes, Inc. | | | 3,719 | | | | 1.16 | % | | | 19,572 | |
Ryman Hospitality Properties, Inc. | | | 5,232 | | | | 3.47 | % | | | 18,961 | |
Hudson Pacific Properties, Inc. | | | 14,817 | | | | 3.46 | % | | | 18,043 | |
NETSTREIT Corp. | | | 3,624 | | | | 0.70 | % | | | 17,880 | |
Prologis, Inc. | | | 1,293 | | | | 1.30 | % | | | 14,423 | |
Acadia Realty Trust | | | 18,568 | | | | 3.42 | % | | | 12,330 | |
Empire State Realty Trust, Inc. — Class A | | | 22,447 | | | | 2.26 | % | | | 12,170 | |
Agree Realty Corp. | | | 5,418 | | | | 3.21 | % | | | 12,086 | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Highwoods Properties, Inc. | | | 3,139 | | | | 1.19 | % | | $ | 11,354 | |
Jones Lang LaSalle, Inc. | | | 1,056 | | | | 1.73 | % | | | 5,022 | |
Americold Realty Trust | | | 6,809 | | | | 2.16 | % | | | 3,585 | |
American Campus Communities, Inc. | | | 5,788 | | | | 2.27 | % | | | 3,314 | |
CyrusOne, Inc. | | | 5,029 | | | | 3.02 | % | | | 2,120 | |
Xenia Hotels & Resorts, Inc. | | | 21,642 | | | | 3.40 | % | | | (2,828 | ) |
Four Corners Property Trust, Inc. | | | 11,805 | | | | 2.74 | % | | | (4,655 | ) |
CareTrust REIT, Inc. | | | 13,498 | | | | 2.63 | % | | | (4,938 | ) |
Medical Properties Trust, Inc. | | | 8,766 | | | | 1.48 | % | | | (11,175 | ) |
Total Financial | | | | | | | | | | | 978,237 | |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Lennar Corp. — Class A | | | 2,082 | | | | 1.74 | % | | | 3,697 | |
PulteGroup, Inc. | | | 3,775 | | | | 1.73 | % | | | 2,834 | |
Hilton Grand Vacations, Inc. | | | 4,334 | | | | 1.51 | % | | | (2,757 | ) |
Marriott Vacations Worldwide Corp. | | | 1,093 | | | | 1.46 | % | | | (16,034 | ) |
Total Consumer, Cyclical | | | | | | | | | | | (12,260 | ) |
Total MS Equity Market Neutral Long Custom Basket | | | | | | $ | 965,977 | |
| | | | | | | | | |
MS EQUITY MARKET NEUTRAL SHORT CUSTOM BASKET |
Financial | | | | | | | | | | | | |
Equity Commonwealth | | | 14,591 | | | | (3.18 | )% | | $ | 21,804 | |
LTC Properties, Inc. | | | 8,763 | | | | (2.80 | )% | | | 16,721 | |
American Finance Trust, Inc. | | | 8,238 | | | | (0.58 | )% | | | 9,913 | |
Healthcare Trust of America, Inc. — Class A | | | 8,133 | | | | (1.81 | )% | | | 8,858 | |
Urban Edge Properties | | | 13,680 | | | | (2.18 | )% | | | 4,959 | |
Realty Income Corp. | | | 9,839 | | | | (5.48 | )% | | | 4,239 | |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
National Health Investors, Inc. | | | 2,548 | | | | (1.43 | )% | | $ | 3,124 | |
Sunstone Hotel Investors, Inc. | | | 19,554 | | | | (2.03 | )% | | | 1,191 | |
RLJ Lodging Trust | | | 12,926 | | | | (1.64 | )% | | | 1,180 | |
Healthcare Realty Trust, Inc. | | | 8,197 | | | | (2.07 | )% | | | 868 | |
Easterly Government Properties, Inc. | | | 7,550 | | | | (1.33 | )% | | | 424 | |
Omega Healthcare Investors, Inc. | | | 13,741 | | | | (4.16 | )% | | | (840 | ) |
Apple Hospitality REIT, Inc. | | | 16,766 | | | | (2.14 | )% | | | (3,519 | ) |
Cousins Properties, Inc. | | | 9,547 | | | | (2.93 | )% | | | (10,101 | ) |
Corporate Office Properties Trust | | | 8,933 | | | | (2.09 | )% | | | (11,038 | ) |
Camden Property Trust | | | 1,108 | | | | (1.23 | )% | | | (12,477 | ) |
Digital Realty Trust, Inc. | | | 1,734 | | | | (2.18 | )% | | | (12,645 | ) |
Industrial Logistics Properties Trust | | | 5,518 | | | | (1.20 | )% | | | (13,512 | ) |
Office Properties Income Trust | | | 9,863 | | | | (2.41 | )% | | | (16,278 | ) |
Washington Real Estate Investment Trust | | | 11,853 | | | | (2.28 | )% | | | (18,763 | ) |
Apartment Income REIT Corp. | | | 8,840 | | | | (3.50 | )% | | | (22,468 | ) |
SITE Centers Corp. | | | 20,927 | | | | (2.63 | )% | | | (23,187 | ) |
Federal Realty Investment Trust | | | 2,430 | | | | (2.38 | )% | | | (25,054 | ) |
STAG Industrial, Inc. | | | 7,204 | | | | (2.25 | )% | | | (25,204 | ) |
Retail Opportunity Investments Corp. | | | 15,805 | | | | (2.33 | )% | | | (26,713 | ) |
STORE Capital Corp. | | | 15,442 | | | | (4.45 | )% | | | (35,123 | ) |
Essential Properties Realty Trust, Inc. | | | 15,012 | | | | (3.39 | )% | | | (41,707 | ) |
SL Green Realty Corp. | | | 2,770 | | | | (1.85 | )% | | | (41,957 | ) |
Independence Realty Trust, Inc. | | | 19,952 | | | | (3.04 | )% | | | (51,828 | ) |
Retail Properties of America, Inc. — Class A | | | 22,549 | | | | (2.16 | )% | | | (59,003 | ) |
Life Storage, Inc. | | | 3,794 | | | | (3.40 | )% | | | (71,445 | ) |
Mid-America Apartment Communities, Inc. | | | 3,310 | | | | (4.65 | )% | | | (77,961 | ) |
CubeSmart | | | 11,197 | | | | (4.33 | )% | | | (88,111 | ) |
Total Financial | | | | | | | | | | | (615,653 | ) |
| | | | | | | | | | | | | |
Exchange-Traded Funds | | | | | | | | | | | | |
Vanguard Real Estate ETF | | | 14,553 | | | | (12.37 | )% | | | (73,699 | ) |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Hyatt Hotels Corp. — Class A | | | 3,272 | | | | (2.12 | )% | | | (2,765 | ) |
Total MS Equity Market Neutral Short Custom Basket | | | | | | $ | (692,117 | ) |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
GS EQUITY MARKET NEUTRAL LONG CUSTOM BASKET |
Financial | | | | | | | | | | | | |
Extra Space Storage, Inc. | | | 3,364 | | | | 4.64 | % | | $ | 114,010 | |
Regency Centers Corp. | | | 8,601 | | | | 4.64 | % | | | 68,258 | |
Public Storage | | | 1,295 | | | | 3.28 | % | | | 62,986 | |
Innovative Industrial Properties, Inc. | | | 638 | | | | 1.02 | % | | | 62,427 | |
AvalonBay Communities, Inc. | | | 2,476 | | | | 4.34 | % | | | 58,952 | |
Sun Communities, Inc. | | | 2,369 | | | | 3.41 | % | | | 54,682 | |
Ventas, Inc. | | | 6,107 | | | | 2.93 | % | | | 49,711 | |
Welltower, Inc. | | | 3,607 | | | | 2.52 | % | | | 44,395 | |
Equity Residential | | | 5,455 | | | | 3.53 | % | | | 42,986 | |
American Assets Trust, Inc. | | | 7,604 | | | | 2.38 | % | | | 35,588 | |
Gaming and Leisure Properties, Inc. | | | 7,438 | | | | 2.89 | % | | | 34,038 | |
VICI Properties, Inc. | | | 8,695 | | | | 2.27 | % | | | 31,561 | |
Terreno Realty Corp. | | | 3,464 | | | | 1.88 | % | | | 30,492 | |
Brixmor Property Group, Inc. | | | 17,634 | | | | 3.39 | % | | | 26,296 | |
Boston Properties, Inc. | | | 2,658 | | | | 2.56 | % | | | 26,139 | |
Alexandria Real Estate Equities, Inc. | | | 1,590 | | | | 2.43 | % | | | 23,502 | |
MGM Growth Properties LLC — Class A | | | 10,997 | | | | 3.38 | % | | | 22,877 | |
Ryman Hospitality Properties, Inc. | | | 5,232 | | | | 3.47 | % | | | 19,821 | |
Invitation Homes, Inc. | | | 3,719 | | | | 1.16 | % | | | 19,576 | |
Hudson Pacific Properties, Inc. | | | 14,817 | | | | 3.46 | % | | | 18,343 | |
NETSTREIT Corp. | | | 3,624 | | | | 0.70 | % | | | 17,753 | |
Healthpeak Properties, Inc. | | | 8,849 | | | | 2.47 | % | | | 15,048 | |
Prologis, Inc. | | | 1,293 | | | | 1.30 | % | | | 14,408 | |
Acadia Realty Trust | | | 18,568 | | | | 3.42 | % | | | 12,621 | |
Highwoods Properties, Inc. | | | 3,139 | | | | 1.19 | % | | | 11,287 | |
Agree Realty Corp. | | | 5,418 | | | | 3.21 | % | | | 11,215 | |
Empire State Realty Trust, Inc. — Class A | | | 22,447 | | | | 2.26 | % | | | 10,582 | |
Jones Lang LaSalle, Inc. | | | 1,056 | | | | 1.73 | % | | | 5,627 | |
Americold Realty Trust | | | 6,809 | | | | 2.16 | % | | | 3,582 | |
CyrusOne, Inc. | | | 5,029 | | | | 3.02 | % | | | 2,438 | |
American Campus Communities, Inc. | | | 5,788 | | | | 2.27 | % | | | 2,261 | |
Four Corners Property Trust, Inc. | | | 11,805 | | | | 2.74 | % | | | (3,089 | ) |
Xenia Hotels & Resorts, Inc. | | | 21,642 | | | | 3.40 | % | | | (3,681 | ) |
CareTrust REIT, Inc. | | | 13,498 | | | | 2.63 | % | | | (3,703 | ) |
Medical Properties Trust, Inc. | | | 8,766 | | | | 1.48 | % | | | (11,198 | ) |
Total Financial | | | | | | | | | | | 931,791 | |
| | | | | | | | | | | | | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Consumer, Cyclical | | | | | | | | | | | | |
Lennar Corp. — Class A | | | 2,082 | | | | 1.74 | % | | $ | 3,900 | |
PulteGroup, Inc. | | | 3,775 | | | | 1.73 | % | | | 2,967 | |
Hilton Grand Vacations, Inc. | | | 4,334 | | | | 1.51 | % | | | (2,588 | ) |
Marriott Vacations Worldwide Corp. | | | 1,093 | | | | 1.46 | % | | | (15,468 | ) |
Total Consumer, Cyclical | | | | | | | | | | | (11,189 | ) |
Total GS Equity Market Neutral Long Custom Basket | | | | | | $ | 920,602 | |
| | | | | | | | | |
GS EQUITY MARKET NEUTRAL SHORT CUSTOM BASKET |
Financial | | | | | | | | | | | | |
Equity Commonwealth | | | 14,591 | | | | (3.19 | )% | | $ | 21,106 | |
LTC Properties, Inc. | | | 8,763 | | | | (2.80 | )% | | | 16,502 | |
American Finance Trust, Inc. | | | 8,238 | | | | (0.58 | )% | | | 10,026 | |
Healthcare Trust of America, Inc. — Class A | | | 8,133 | | | | (1.82 | )% | | | 8,596 | |
Urban Edge Properties | | | 13,680 | | | | (2.18 | )% | | | 5,195 | |
National Health Investors, Inc. | | | 2,548 | | | | (1.43 | )% | | | 2,776 | |
Realty Income Corp. | | | 9,839 | | | | (5.49 | )% | | | 2,172 | |
RLJ Lodging Trust | | | 12,926 | | | | (1.65 | )% | | | 1,306 | |
Sunstone Hotel Investors, Inc. | | | 19,554 | | | | (2.03 | )% | | | 730 | |
Omega Healthcare Investors, Inc. | | | 13,741 | | | | (4.17 | )% | | | 434 | |
Easterly Government Properties, Inc. | | | 7,550 | | | | (1.33 | )% | | | 254 | |
Healthcare Realty Trust, Inc. | | | 8,197 | | | | (2.07 | )% | | | 180 | |
Apple Hospitality REIT, Inc. | | | 16,766 | | | | (2.14 | )% | | | (3,983 | ) |
Cousins Properties, Inc. | | | 9,547 | | | | (2.94 | )% | | | (10,052 | ) |
Corporate Office Properties Trust | | | 8,933 | | | | (2.09 | )% | | | (11,580 | ) |
Camden Property Trust | | | 1,108 | | | | (1.23 | )% | | | (12,426 | ) |
Digital Realty Trust, Inc. | | | 1,734 | | | | (2.18 | )% | | | (12,898 | ) |
Industrial Logistics Properties Trust | | | 5,518 | | | | (1.21 | )% | | | (13,621 | ) |
Office Properties Income Trust | | | 9,863 | | | | (2.42 | )% | | | (15,152 | ) |
Washington Real Estate Investment Trust | | | 11,853 | | | | (2.28 | )% | | | (19,424 | ) |
Apartment Income REIT Corp. | | | 8,840 | | | | (3.51 | )% | | | (22,670 | ) |
SITE Centers Corp. | | | 20,927 | | | | (2.64 | )% | | | (23,747 | ) |
Federal Realty Investment Trust | | | 2,430 | | | | (2.38 | )% | | | (25,355 | ) |
STAG Industrial, Inc. | | | 7,204 | | | | (2.25 | )% | | | (25,602 | ) |
Retail Opportunity Investments Corp. | | | 15,805 | | | | (2.33 | )% | | | (26,672 | ) |
STORE Capital Corp. | | | 15,442 | | | | (4.46 | )% | | | (35,401 | ) |
SL Green Realty Corp. | | | 2,520 | | | | (1.69 | )% | | | (37,899 | ) |
Essential Properties Realty Trust, Inc. | | | 15,012 | | | | (3.39 | )% | | | (42,696 | ) |
Independence Realty Trust, Inc. | | | 19,952 | | | | (3.04 | )% | | | (49,645 | ) |
Retail Properties of America, Inc. — Class A | | | 22,549 | | | | (2.16 | )% | | | (59,057 | ) |
Life Storage, Inc. | | | 3,794 | | | | (3.41 | )% | | | (72,193 | ) |
Mid-America Apartment Communities, Inc. | | | 3,310 | | | | (4.66 | )% | | | (78,492 | ) |
CubeSmart | | | 11,197 | | | | (4.34 | )% | | | (89,169 | ) |
Total Financial | | | | | | | | | | | (618,457 | ) |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Hyatt Hotels Corp. — Class A | | | 3,272 | | | | (2.12 | )% | | | (3,154 | ) |
| | | | | | | | | | | | | |
Exchange-Traded Funds | | | | | | | | | | | | |
Vanguard Real Estate ETF | | | 14,553 | | | | (12.39 | )% | | | (75,327 | ) |
Total GS Equity Market Neutral Short Custom Basket | | | | | | $ | (696,938 | ) |
| | | | | | | | | |
MS LONG/SHORT EQUITY LONG CUSTOM BASKET |
Financial | | | | | | | | | | | | |
Allstate Corp. | | | 508 | | | | 0.77 | % | | $ | 16,373 | |
Synchrony Financial | | | 1,385 | | | | 0.75 | % | | | 14,494 | |
Aflac, Inc. | | | 1,274 | | | | 0.76 | % | | | 11,682 | |
Berkshire Hathaway, Inc. — Class B | | | 307 | | | | 0.95 | % | | | 10,687 | |
Travelers Companies, Inc. | | | 265 | | | | 0.44 | % | | | 9,308 | |
Highwoods Properties, Inc. | | | 1,489 | | | | 0.75 | % | | | 8,163 | |
Mercury General Corp. | | | 1,005 | | | | 0.73 | % | | | 4,620 | |
Jefferies Financial Group, Inc. | | | 1,347 | | | | 0.51 | % | | | 3,047 | |
Western Union Co. | | | 823 | | | | 0.21 | % | | | 2,525 | |
Progressive Corp. | | | 473 | | | | 0.52 | % | | | 2,316 | |
Cboe Global Markets, Inc. | | | 284 | | | | 0.38 | % | | | 1,522 | |
Federated Hermes, Inc. — Class B | | | 1,056 | | | | 0.40 | % | | | 1,518 | |
Houlihan Lokey, Inc. | | | 439 | | | | 0.40 | % | | | 1,090 | |
Marsh & McLennan Companies, Inc. | | | 243 | | | | 0.38 | % | | | 577 | |
Sabra Health Care REIT, Inc. | | | 1,089 | | | | 0.22 | % | | | 404 | |
OneMain Holdings, Inc. | | | 445 | | | | 0.30 | % | | | 301 | |
Interactive Brokers Group, Inc. — Class A | | | 537 | | | | 0.39 | % | | | 255 | |
Janus Henderson Group plc | | | 824 | | | | 0.36 | % | | | (90 | ) |
Evercore, Inc. — Class A | | | 289 | | | | 0.45 | % | | | (135 | ) |
Arch Capital Group Ltd. | | | 1,005 | | | | 0.43 | % | | | (190 | ) |
SEI Investments Co. | | | 467 | | | | 0.32 | % | | | (290 | ) |
RenaissanceRe Holdings Ltd. | | | 202 | | | | 0.33 | % | | | (340 | ) |
Everest Re Group Ltd. | | | 160 | | | | 0.45 | % | | | (354 | ) |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Raymond James Financial, Inc. | | | 505 | | | | 0.73 | % | | $ | (355 | ) |
Markel Corp. | | | 34 | | | | 0.45 | % | | | (595 | ) |
Brandywine Realty Trust | | | 4,145 | | | | 0.63 | % | | | (768 | ) |
Brighthouse Financial, Inc. | | | 855 | | | | 0.43 | % | | | (843 | ) |
Radian Group, Inc. | | | 1,331 | | | | 0.33 | % | | | (927 | ) |
Cincinnati Financial Corp. | | | 216 | | | | 0.28 | % | | | (1,049 | ) |
Stewart Information Services Corp. | | | 444 | | | | 0.28 | % | | | (1,128 | ) |
Capital One Financial Corp. | | | 226 | | | | 0.39 | % | | | (1,151 | ) |
Artisan Partners Asset Management, Inc. — Class A | | | 415 | | | | 0.23 | % | | | (1,174 | ) |
MGIC Investment Corp. | | | 1,526 | | | | 0.23 | % | | | (1,243 | ) |
Affiliated Managers Group, Inc. | | | 191 | | | | 0.33 | % | | | (1,246 | ) |
First American Financial Corp. | | | 411 | | | | 0.28 | % | | | (1,383 | ) |
Enstar Group Ltd. | | | 179 | | | | 0.48 | % | | | (1,464 | ) |
AMERISAFE, Inc. | | | 584 | | | | 0.39 | % | | | (1,495 | ) |
Safety Insurance Group, Inc. | | | 739 | | | | 0.64 | % | | | (1,706 | ) |
Hanover Insurance Group, Inc. | | | 530 | | | | 0.80 | % | | | (1,831 | ) |
Discover Financial Services | | | 405 | | | | 0.53 | % | | | (2,026 | ) |
Essent Group Ltd. | | | 809 | | | | 0.40 | % | | | (2,105 | ) |
Lexington Realty Trust | | | 2,155 | | | | 0.29 | % | | | (2,157 | ) |
BankUnited, Inc. | | | 722 | | | | 0.34 | % | | | (2,450 | ) |
Old Republic International Corp. | | | 2,395 | | | | 0.66 | % | | | (3,260 | ) |
Associated Banc-Corp. | | | 1,933 | | | | 0.44 | % | | | (3,432 | ) |
Healthcare Realty Trust, Inc. | | | 1,797 | | | | 0.60 | % | | | (3,437 | ) |
Total Financial | | | | | | | | | | | 50,258 | |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Oshkosh Corp. | | | 410 | | | | 0.57 | % | | | 19,765 | |
Owens Corning | | | 365 | | | | 0.40 | % | | | 17,045 | |
Vishay Intertechnology, Inc. | | | 2,622 | | | | 0.66 | % | | | 16,195 | |
Snap-on, Inc. | | | 187 | | | | 0.46 | % | | | 15,454 | |
Timken Co. | | | 446 | | | | 0.40 | % | | | 13,388 | |
AGCO Corp. | | | 195 | | | | 0.28 | % | | | 12,251 | |
Acuity Brands, Inc. | | | 143 | | | | 0.30 | % | | | 11,922 | |
Waters Corp. | | | 93 | | | | 0.36 | % | | | 11,789 | |
Lincoln Electric Holdings, Inc. | | | 206 | | | | 0.30 | % | | | 7,490 | |
Northrop Grumman Corp. | | | 108 | | | | 0.44 | % | | | 6,588 | |
3M Co. | | | 214 | | | | 0.47 | % | | | 6,527 | |
Mettler-Toledo International, Inc. | | | 35 | | | | 0.54 | % | | | 6,449 | |
Lennox International, Inc. | | | 77 | | | | 0.30 | % | | | 5,971 | |
Agilent Technologies, Inc. | | | 232 | | | | 0.38 | % | | | 4,215 | |
Sealed Air Corp. | | | 432 | | | | 0.28 | % | | | 4,034 | |
Toro Co. | | | 894 | | | | 1.09 | % | | | 3,708 | |
Donaldson Company, Inc. | | | 1,232 | | | | 0.87 | % | | | 3,024 | |
Sturm Ruger & Company, Inc. | | | 244 | | | | 0.24 | % | | | 2,690 | |
Masco Corp. | | | 714 | | | | 0.47 | % | | | 2,050 | |
OSI Systems, Inc. | | | 558 | | | | 0.63 | % | | | 1,909 | |
Watts Water Technologies, Inc. — Class A | | | 442 | | | | 0.72 | % | | | 1,549 | |
Keysight Technologies, Inc. | | | 154 | | | | 0.26 | % | | | 1,101 | |
Parker-Hannifin Corp. | | | 116 | | | | 0.40 | % | | | 1,054 | |
Carlisle Companies, Inc. | | | 152 | | | | 0.32 | % | | | 425 | |
Huntington Ingalls Industries, Inc. | | | 136 | | | | 0.32 | % | | | 222 | |
Garmin Ltd. | | | 442 | | | | 0.71 | % | | | 210 | |
Old Dominion Freight Line, Inc. | | | 1 | | | | 0.00 | % | | | 79 | |
Fortive Corp. | | | 467 | | | | 0.36 | % | | | (217 | ) |
Sanmina Corp. | | | 615 | | | | 0.27 | % | | | (434 | ) |
Louisiana-Pacific Corp. | | | 554 | | | | 0.37 | % | | | (542 | ) |
Worthington Industries, Inc. | | | 358 | | | | 0.24 | % | | | (1,253 | ) |
Boise Cascade Co. | | | 453 | | | | 0.29 | % | | | (1,576 | ) |
Hillenbrand, Inc. | | | 580 | | | | 0.28 | % | | | (3,261 | ) |
Eagle Materials, Inc. | | | 437 | | | | 0.69 | % | | | (3,492 | ) |
MDU Resources Group, Inc. | | | 2,488 | | | | 0.87 | % | | | (4,936 | ) |
Total Industrial | | | | | | | | | | | 161,393 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Viavi Solutions, Inc. | | | 4,707 | | | | 0.92 | % | | | 26,602 | |
Cisco Systems, Inc. | | | 1,107 | | | | 0.65 | % | | | 13,270 | |
VeriSign, Inc. | | | 400 | | | | 1.01 | % | | | 10,925 | |
Omnicom Group, Inc. | | | 985 | | | | 0.88 | % | | | 10,034 | |
Motorola Solutions, Inc. | | | 134 | | | | 0.32 | % | | | 7,912 | |
Juniper Networks, Inc. | | | 1,410 | | | | 0.43 | % | | | 6,870 | |
Ciena Corp. | | | 429 | | | | 0.27 | % | | | 6,717 | |
Verizon Communications, Inc. | | | 1,325 | | | | 0.82 | % | | | 1,720 | |
InterDigital, Inc. | | | 431 | | | | 0.35 | % | | | 827 | |
Cogent Communications Holdings, Inc. | | | 532 | | | | 0.45 | % | | | 128 | |
Alphabet, Inc. — Class C | | | 37 | | | | 1.03 | % | | | (44 | ) |
Yelp, Inc. — Class A | | | 522 | | | | 0.23 | % | | | (273 | ) |
Fox Corp. — Class A | | | 613 | | | | 0.25 | % | | | (408 | ) |
F5 Networks, Inc. | | | 134 | | | | 0.28 | % | | | (657 | ) |
TEGNA, Inc. | | | 1,986 | | | | 0.41 | % | | | (662 | ) |
Nexstar Media Group, Inc. — Class A | | | 173 | | | | 0.28 | % | | | (1,013 | ) |
World Wrestling Entertainment, Inc. — Class A | | | 419 | | | | 0.27 | % | | | (1,673 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Telephone & Data Systems, Inc. | | | 1,613 | | | | 0.41 | % | | $ | (2,425 | ) |
Total Communications | | | | | | | | | | | 77,850 | |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Antero Midstream Corp. | | | 2,350 | | | | 0.27 | % | | | (328 | ) |
Kinder Morgan, Inc. | | | 1,909 | | | | 0.39 | % | | | (1,714 | ) |
Williams Companies, Inc. | | | 1,441 | | | | 0.42 | % | | | (1,748 | ) |
Equitrans Midstream Corp. | | | 2,127 | | | | 0.20 | % | | | (2,347 | ) |
Total Energy | | | | | | | | | | | (6,137 | ) |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
UGI Corp. | | | 1,730 | | | | 0.89 | % | | | 18,568 | |
Public Service Enterprise Group, Inc. | | | 1,335 | | | | 0.89 | % | | | 5,592 | |
Southern Co. | | | 1,288 | | | | 0.87 | % | | | 2,314 | |
IDACORP, Inc. | | | 822 | | | | 0.89 | % | | | 1,688 | |
Pinnacle West Capital Corp. | | | 589 | | | | 0.54 | % | | | 1,685 | |
Sempra Energy | | | 360 | | | | 0.53 | % | | | 98 | |
Chesapeake Utilities Corp. | | | 508 | | | | 0.68 | % | | | 38 | |
DTE Energy Co. | | | 595 | | | | 0.86 | % | | | (892 | ) |
WEC Energy Group, Inc. | | | 399 | | | | 0.39 | % | | | (1,526 | ) |
American Water Works Company, Inc. | | | 306 | | | | 0.52 | % | | | (1,734 | ) |
MGE Energy, Inc. | | | 1,006 | | | | 0.83 | % | | | (1,758 | ) |
National Fuel Gas Co. | | | 675 | | | | 0.39 | % | | | (1,851 | ) |
CMS Energy Corp. | | | 1,366 | | | | 0.90 | % | | | (1,905 | ) |
American States Water Co. | | | 929 | | | | 0.82 | % | | | (2,306 | ) |
Portland General Electric Co. | | | 578 | | | | 0.30 | % | | | (2,806 | ) |
Avista Corp. | | | 1,029 | | | | 0.49 | % | | | (3,176 | ) |
New Jersey Resources Corp. | | | 1,441 | | | | 0.63 | % | | | (6,220 | ) |
Total Utilities | | | | | | | | | | | 5,809 | |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
McKesson Corp. | | | 323 | | | | 0.69 | % | | | 22,241 | |
Molson Coors Beverage Co. — Class B | | | 1,042 | | | | 0.62 | % | | | 17,590 | |
United Therapeutics Corp. | | | 257 | | | | 0.51 | % | | | 14,380 | |
Johnson & Johnson | | | 451 | | | | 0.83 | % | | | 11,744 | |
Amgen, Inc. | | | 290 | | | | 0.79 | % | | | 10,217 | |
H&R Block, Inc. | | | 1,409 | | | | 0.37 | % | | | 9,475 | |
Prestige Consumer Healthcare, Inc. | | | 723 | | | | 0.42 | % | | | 7,721 | |
Gilead Sciences, Inc. | | | 1,279 | | | | 0.98 | % | | | 6,511 | |
Regeneron Pharmaceuticals, Inc. | | | 96 | | | | 0.60 | % | | | 6,171 | |
Laboratory Corporation of America Holdings | | | 72 | | | | 0.22 | % | | | 5,330 | |
Pfizer, Inc. | | | 1,273 | | | | 0.55 | % | | | 4,855 | |
Thermo Fisher Scientific, Inc. | | | 105 | | | | 0.59 | % | | | 4,146 | |
Bio-Rad Laboratories, Inc. — Class A | | | 92 | | | | 0.66 | % | | | 3,994 | |
Bristol-Myers Squibb Co. | | | 1,221 | | | | 0.91 | % | | | 3,959 | |
Hill-Rom Holdings, Inc. | | | 213 | | | | 0.27 | % | | | 3,947 | |
Vector Group Ltd. | | | 1,525 | | | | 0.24 | % | | | 3,703 | |
Vanda Pharmaceuticals, Inc. | | | 1,121 | | | | 0.27 | % | | | 2,668 | |
Hershey Co. | | | 229 | | | | 0.44 | % | | | 2,631 | |
John B Sanfilippo & Son, Inc. | | | 570 | | | | 0.56 | % | | | 2,329 | |
Innoviva, Inc. | | | 2,074 | | | | 0.31 | % | | | 2,190 | |
Quest Diagnostics, Inc. | | | 197 | | | | 0.29 | % | | | 2,155 | |
Humana, Inc. | | | 50 | | | | 0.25 | % | | | 1,864 | |
Incyte Corp. | | | 449 | | | | 0.42 | % | | | 1,829 | |
PerkinElmer, Inc. | | | 223 | | | | 0.38 | % | | | 1,758 | |
Eagle Pharmaceuticals, Inc. | | | 857 | | | | 0.41 | % | | | 1,609 | |
Merck & Company, Inc. | | | 1,081 | | | | 0.93 | % | | | 976 | |
Vertex Pharmaceuticals, Inc. | | | 148 | | | | 0.33 | % | | | 840 | |
Blueprint Medicines Corp. | | | 363 | | | | 0.35 | % | | | 731 | |
PepsiCo, Inc. | | | 128 | | | | 0.21 | % | | | 174 | |
Chemed Corp. | | | 50 | | | | 0.26 | % | | | (319 | ) |
Grand Canyon Education, Inc. | | | 244 | | | | 0.24 | % | | | (725 | ) |
Hologic, Inc. | | | 698 | | | | 0.52 | % | | | (1,126 | ) |
Coherus Biosciences, Inc. | | | 1,882 | | | | 0.29 | % | | | (1,201 | ) |
Exelixis, Inc. | | | 1,107 | | | | 0.22 | % | | | (5,210 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | 149,157 | |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Kulicke & Soffa Industries, Inc. | | | 512 | | | | 0.35 | % | | | 18,012 | |
Seagate Technology Holdings plc | | | 451 | | | | 0.44 | % | | | 15,911 | |
HP, Inc. | | | 1,321 | | | | 0.44 | % | | | 15,517 | |
NetApp, Inc. | | | 365 | | | | 0.33 | % | | | 13,829 | |
Texas Instruments, Inc. | | | 287 | | | | 0.61 | % | | | 12,164 | |
CDK Global, Inc. | | | 830 | | | | 0.46 | % | | | 9,578 | |
Rambus, Inc. | | | 2,240 | | | | 0.59 | % | | | 8,342 | |
Cirrus Logic, Inc. | | | 448 | | | | 0.42 | % | | | 6,631 | |
International Business Machines Corp. | | | 209 | | | | 0.34 | % | | | 5,122 | |
Cerner Corp. | | | 491 | | | | 0.43 | % | | | 4,062 | |
Intel Corp. | | | 466 | | | | 0.29 | % | | | 4,044 | |
Dropbox, Inc. — Class A | | | 638 | | | | 0.21 | % | | | 3,461 | |
Microsoft Corp. | | | 244 | | | | 0.73 | % | | | 3,374 | |
Cadence Design Systems, Inc. | | | 425 | | | | 0.65 | % | | | 3,288 | |
CSG Systems International, Inc. | | | 1,999 | | | | 1.05 | % | | | 2,826 | |
Qorvo, Inc. | | | 111 | | | | 0.24 | % | | | 2,718 | |
Paychex, Inc. | | | 194 | | | | 0.23 | % | | | 2,590 | |
Synaptics, Inc. | | | 138 | | | | 0.24 | % | | | 2,101 | |
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Broadcom, Inc. | | | 68 | | | | 0.36 | % | | $ | 1,325 | |
QUALCOMM, Inc. | | | 141 | | | | 0.22 | % | | | 1,074 | |
Lumentum Holdings, Inc. | | | 332 | | | | 0.30 | % | | | 426 | |
ExlService Holdings, Inc. | | | 195 | | | | 0.23 | % | | | 243 | |
Electronic Arts, Inc. | | | 391 | | | | 0.62 | % | | | (864 | ) |
Progress Software Corp. | | | 735 | | | | 0.38 | % | | | (1,133 | ) |
MAXIMUS, Inc. | | | 249 | | | | 0.24 | % | | | (1,328 | ) |
Activision Blizzard, Inc. | | | 674 | | | | 0.71 | % | | | (1,665 | ) |
Take-Two Interactive Software, Inc. | | | 206 | | | | 0.41 | % | | | (1,729 | ) |
Cognizant Technology Solutions Corp. — Class A | | | 462 | | | | 0.36 | % | | | (2,946 | ) |
Total Technology | | | | | | | | | | | 126,973 | |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Gentherm, Inc. | | | 537 | | | | 0.42 | % | | | 18,081 | |
AutoZone, Inc. | | | 63 | | | | 1.04 | % | | | 15,468 | |
Cummins, Inc. | | | 214 | | | | 0.58 | % | | | 13,809 | |
Gentex Corp. | | | 2,412 | | | | 0.89 | % | | | 12,120 | |
AutoNation, Inc. | | | 378 | | | | 0.40 | % | | | 10,658 | |
Brunswick Corp. | | | 460 | | | | 0.51 | % | | | 9,947 | |
O’Reilly Automotive, Inc. | | | 147 | | | | 0.92 | % | | | 8,092 | |
MSC Industrial Direct Company, Inc. — Class A | | | 494 | | | | 0.49 | % | | | 8,022 | |
Dolby Laboratories, Inc. — Class A | | | 464 | | | | 0.51 | % | | | 6,188 | |
PulteGroup, Inc. | | | 679 | | | | 0.41 | % | | | 5,717 | |
Lennar Corp. — Class A | | | 208 | | | | 0.23 | % | | | 4,237 | |
Polaris, Inc. | | | 226 | | | | 0.34 | % | | | 1,682 | |
WW Grainger, Inc. | | | 114 | | | | 0.55 | % | | | 1,269 | |
Lowe’s Companies, Inc. | | | 331 | | | | 0.71 | % | | | 1,251 | |
NVR, Inc. | | | 4 | | | | 0.22 | % | | | 1,162 | |
Dick’s Sporting Goods, Inc. | | | 204 | | | | 0.23 | % | | | 218 | |
Best Buy Company, Inc. | | | 340 | | | | 0.43 | % | | | 215 | |
Allison Transmission Holdings, Inc. | | | 1,351 | | | | 0.60 | % | | | (293 | ) |
Carter’s, Inc. | | | 353 | | | | 0.40 | % | | | (501 | ) |
Tri Pointe Homes, Inc. | | | 944 | | | | 0.22 | % | | | (603 | ) |
Whirlpool Corp. | | | 146 | | | | 0.35 | % | | | (948 | ) |
Meritage Homes Corp. | | | 250 | | | | 0.26 | % | | | (1,052 | ) |
Murphy USA, Inc. | | | 263 | | | | 0.39 | % | | | (1,390 | ) |
Yum! Brands, Inc. | | | 592 | | | | 0.76 | % | | | (2,604 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 110,745 | |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Ingevity Corp. | | | 319 | | | | 0.29 | % | | | (652 | ) |
NewMarket Corp. | | | 116 | | | | 0.41 | % | | | (1,508 | ) |
Commercial Metals Co. | | | 846 | | | | 0.29 | % | | | (1,915 | ) |
Reliance Steel & Aluminum Co. | | | 287 | | | | 0.48 | % | | | (6,066 | ) |
Total Basic Materials | | | | | | | | | | | (10,141 | ) |
Total MS Long/Short Equity Long Custom Basket | | | | | | $ | 665,907 | |
| | | | | | | | | |
MS LONG/SHORT EQUITY SHORT CUSTOM BASKET |
Consumer, Cyclical | | | | | | | | | | | | |
JetBlue Airways Corp. | | | 2,784 | | | | (0.84 | )% | | $ | 4,956 | |
United Airlines Holdings, Inc. | | | 1,093 | | | | (0.99 | )% | | | 4,681 | |
IAA, Inc. | | | 651 | | | | (0.62 | )% | | | 3,243 | |
Delta Air Lines, Inc. | | | 1,780 | | | | (1.33 | )% | | | 2,179 | |
Marriott International, Inc. — Class A | | | 180 | | | | (0.43 | )% | | | 1,211 | |
Freshpet, Inc. | | | 252 | | | | (0.71 | )% | | | 1,036 | |
Hilton Worldwide Holdings, Inc. | | | 230 | | | | (0.48 | )% | | | 722 | |
Alaska Air Group, Inc. | | | 966 | | | | (1.01 | )% | | | (1,860 | ) |
Southwest Airlines Co. | | | 1,433 | | | | (1.32 | )% | | | (4,307 | ) |
Copart, Inc. | | | 505 | | | | (1.15 | )% | | | (10,243 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 1,618 | |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
JBG SMITH Properties | | | 2,584 | | | | (1.41 | )% | | | 3,558 | |
Lincoln National Corp. | | | 720 | | | | (0.78 | )% | | | 3,274 | |
American International Group, Inc. | | | 676 | | | | (0.56 | )% | | | 2,866 | |
Alexandria Real Estate Equities, Inc. | | | 268 | | | | (0.84 | )% | | | 2,755 | |
U.S. Bancorp | | | 1,404 | | | | (1.39 | )% | | | 2,668 | |
Truist Financial Corp. | | | 1,132 | | | | (1.09 | )% | | | 2,643 | |
Prudential Financial, Inc. | | | 786 | | | | (1.40 | )% | | | 2,214 | |
CyrusOne, Inc. | | | 474 | | | | (0.59 | )% | | | 1,201 | |
Global Net Lease, Inc. | | | 1,436 | | | | (0.46 | )% | | | 1,138 | |
Comerica, Inc. | | | 487 | | | | (0.60 | )% | | | 1,041 | |
State Street Corp. | | | 684 | | | | (0.98 | )% | | | 958 | |
Bank of America Corp. | | | 2,280 | | | | (1.63 | )% | | | 955 | |
Equitable Holdings, Inc. | | | 1,200 | | | | (0.63 | )% | | | 780 | |
Mid-America Apartment Communities, Inc. | | | 279 | | | | (0.81 | )% | | | 707 | |
Ryman Hospitality Properties, Inc. | | | 302 | | | | (0.41 | )% | | | 597 | |
UDR, Inc. | | | 1,641 | | | | (1.39 | )% | | | 233 | |
Wells Fargo & Co. | | | 668 | | | | (0.52 | )% | | | 58 | |
Americold Realty Trust | | | 1,697 | | | | (1.11 | )% | | | (12 | ) |
SBA Communications Corp. | | | 75 | | | | (0.41 | )% | | | (119 | ) |
Crown Castle International Corp. | | | 210 | | | | (0.71 | )% | | | (159 | ) |
Bank of New York Mellon Corp. | | | 382 | | | | (0.34 | )% | | | (366 | ) |
Host Hotels & Resorts, Inc. | | | 2,660 | | | | (0.79 | )% | | | (623 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Digital Realty Trust, Inc. | | | 400 | | | | (1.04 | )% | | $ | (1,016 | ) |
Welltower, Inc. | | | 464 | | | | (0.67 | )% | | | (1,777 | ) |
American Homes 4 Rent — Class A | | | 718 | | | | (0.48 | )% | | | (2,170 | ) |
Federal Realty Investment Trust | | | 241 | | | | (0.49 | )% | | | (2,323 | ) |
Healthpeak Properties, Inc. | | | 2,377 | | | | (1.37 | )% | | | (3,013 | ) |
Invitation Homes, Inc. | | | 1,140 | | | | (0.74 | )% | | | (3,018 | ) |
Charles Schwab Corp. | | | 1,071 | | | | (1.35 | )% | | | (3,242 | ) |
Equinix, Inc. | | | 88 | | | | (1.22 | )% | | | (5,644 | ) |
Rayonier, Inc. | | | 1,222 | | | | (0.76 | )% | | | (5,966 | ) |
Howard Hughes Corp. | | | 372 | | | | (0.63 | )% | | | (7,074 | ) |
American Tower Corp. — Class A | | | 118 | | | | (0.55 | )% | | | (7,479 | ) |
Loews Corp. | | | 604 | | | | (0.57 | )% | | | (7,602 | ) |
Prologis, Inc. | | | 494 | | | | (1.02 | )% | | | (8,420 | ) |
Brookline Bancorp, Inc. | | | 2,552 | | | | (0.66 | )% | | | (8,976 | ) |
Sun Communities, Inc. | | | 375 | | | | (1.11 | )% | | | (12,681 | ) |
Camden Property Trust | | | 427 | | | | (0.98 | )% | | | (13,166 | ) |
Rexford Industrial Realty, Inc. | | | 1,117 | | | | (1.10 | )% | | | (15,375 | ) |
First Republic Bank | | | 496 | | | | (1.61 | )% | | | (22,140 | ) |
Total Financial | | | | | | | | | | | (104,715 | ) |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Anaplan, Inc. | | | 249 | | | | (0.23 | )% | | | 844 | |
Okta, Inc. | | | 128 | | | | (0.54 | )% | | | (142 | ) |
Uber Technologies, Inc. | | | 897 | | | | (0.78 | )% | | | (315 | ) |
Q2 Holdings, Inc. | | | 438 | | | | (0.78 | )% | | | (1,936 | ) |
Liberty Broadband Corp. — Class C | | | 276 | | | | (0.83 | )% | | | (4,941 | ) |
Zendesk, Inc. | | | 204 | | | | (0.51 | )% | | | (5,510 | ) |
Total Communications | | | | | | | | | | | (12,000 | ) |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Verisk Analytics, Inc. — Class A | | | 557 | | | | (1.69 | )% | | | 6,402 | |
Archer-Daniels-Midland Co. | | | 1,086 | | | | (1.14 | )% | | | 5,373 | |
CoStar Group, Inc. | | | 590 | | | | (0.85 | )% | | | 1,797 | |
ManpowerGroup, Inc. | | | 414 | | | | (0.85 | )% | | | 1,337 | |
Cooper Companies, Inc. | | | 51 | | | | (0.35 | )% | | | 332 | |
McCormick & Company, Inc. | | | 620 | | | | (0.95 | )% | | | 37 | |
Brink’s Co. | | | 344 | | | | (0.46 | )% | | | (233 | ) |
Alnylam Pharmaceuticals, Inc. | | | 149 | | | | (0.44 | )% | | | (867 | ) |
Guardant Health, Inc. | | | 255 | | | | (0.55 | )% | | | (908 | ) |
Rollins, Inc. | | | 1,126 | | | | (0.67 | )% | | | (1,046 | ) |
TransUnion | | | 549 | | | | (1.04 | )% | | | (4,149 | ) |
Avalara, Inc. | | | 94 | | | | (0.26 | )% | | | (4,457 | ) |
Cintas Corp. | | | 271 | | | | (1.79 | )% | | | (7,944 | ) |
Equifax, Inc. | | | 215 | | | | (0.89 | )% | | | (14,285 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | (18,611 | ) |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
KBR, Inc. | | | 1,470 | | | | (0.97 | )% | | | 2,482 | |
Leidos Holdings, Inc. | | | 423 | | | | (0.74 | )% | | | 2,217 | |
Blackline, Inc. | | | 122 | | | | (0.24 | )% | | | 563 | |
Clarivate plc | | | 1,140 | | | | (0.54 | )% | | | 64 | |
Sailpoint Technologies Holdings, Inc. | | | 273 | | | | (0.24 | )% | | | (759 | ) |
Twilio, Inc. — Class A | | | 40 | | | | (0.27 | )% | | | (1,177 | ) |
Coupa Software, Inc. | | | 117 | | | | (0.53 | )% | | | (1,184 | ) |
Tyler Technologies, Inc. | | | 30 | | | | (0.24 | )% | | | (1,397 | ) |
Ceridian HCM Holding, Inc. | | | 312 | | | | (0.52 | )% | | | (2,469 | ) |
Smartsheet, Inc. — Class A | | | 199 | | | | (0.25 | )% | | | (4,830 | ) |
HubSpot, Inc. | | | 26 | | | | (0.26 | )% | | | (5,388 | ) |
Rapid7, Inc. | | | 305 | | | | (0.50 | )% | | | (5,555 | ) |
Total Technology | | | | | | | | | | | (17,433 | ) |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Ball Corp. | | | 421 | | | | (0.59 | )% | | | 5,585 | |
Jacobs Engineering Group, Inc. | | | 673 | | | | (1.56 | )% | | | 4,232 | |
Stericycle, Inc. | | | 1,151 | | | | (1.43 | )% | | | 2,897 | |
XPO Logistics, Inc. | | | 300 | | | | (0.73 | )% | | | 2,572 | |
Norfolk Southern Corp. | | | 306 | | | | (1.41 | )% | | | 1,866 | |
Exponent, Inc. | | | 242 | | | | (0.37 | )% | | | 1,506 | |
MSA Safety, Inc. | | | 245 | | | | (0.70 | )% | | | 13 | |
US Ecology, Inc. | | | 774 | | | | (0.50 | )% | | | (87 | ) |
Tetra Tech, Inc. | | | 264 | | | | (0.56 | )% | | | (97 | ) |
FedEx Corp. | | | 157 | | | | (0.81 | )% | | | (538 | ) |
Republic Services, Inc. — Class A | | | 872 | | | | (1.66 | )% | | | (613 | ) |
United Parcel Service, Inc. — Class B | | | 141 | | | | (0.51 | )% | | | (826 | ) |
Boeing Co. | | | 175 | | | | (0.73 | )% | | | (1,226 | ) |
TransDigm Group, Inc. | | | 39 | | | | (0.44 | )% | | | (1,480 | ) |
Raytheon Technologies Corp. | | | 934 | | | | (1.38 | )% | | | (1,652 | ) |
Waste Management, Inc. | | | 680 | | | | (1.65 | )% | | | (2,235 | ) |
Ingersoll Rand, Inc. | | | 900 | | | | (0.76 | )% | | | (2,843 | ) |
Casella Waste Systems, Inc. — Class A | | | 971 | | | | (1.07 | )% | | | (7,317 | ) |
Total Industrial | | | | | | | | | | | (243 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Baker Hughes Co. | | | 1,398 | | | | (0.55 | )% | | | 4,048 | |
Schlumberger N.V. | | | 2,720 | | | | (1.51 | )% | | | 2,136 | |
Phillips 66 | | | 364 | | | | (0.54 | )% | | | (1,083 | ) |
Pioneer Natural Resources Co. | | | 583 | | | | (1.64 | )% | | | (3,671 | ) |
NOV, Inc. | | | 1,582 | | | | (0.42 | )% | | | (4,069 | ) |
Hess Corp. | | | 491 | | | | (0.74 | )% | | | (8,829 | ) |
ChampionX Corp. | | | 1,886 | | | | (0.84 | )% | | | (15,636 | ) |
Halliburton Co. | | | 3,974 | | | | (1.59 | )% | | | (15,731 | ) |
Ovintiv, Inc. | | | 1,899 | | | | (1.04 | )% | | | (22,899 | ) |
Total Energy | | | | | | | | | | | (65,734 | ) |
| | | | | | | | | | | | | |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Utilities | | | | | | | | | | | | |
Atmos Energy Corp. | | | 797 | | | | (1.33 | )% | | $ | 4,195 | |
Exelon Corp. | | | 1,705 | | | | (1.31 | )% | | | 3,966 | |
ONE Gas, Inc. | | | 1,085 | | | | (1.39 | )% | | | 3,583 | |
Xcel Energy, Inc. | | | 1,045 | | | | (1.19 | )% | | | 3,514 | |
Black Hills Corp. | | | 551 | | | | (0.63 | )% | | | 2,073 | |
OGE Energy Corp. | | | 1,271 | | | | (0.74 | )% | | | 1,830 | |
CenterPoint Energy, Inc. | | | 1,056 | | | | (0.45 | )% | | | 1,400 | |
Edison International | | | 1,433 | | | | (1.44 | )% | | | (107 | ) |
Total Utilities | | | | | | | | | | | 20,454 | |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Quaker Chemical Corp. | | | 117 | | | | (0.48 | )% | | | 38 | |
Linde plc | | | 66 | | | | (0.33 | )% | | | (1,702 | ) |
Total Basic Materials | | | | | | | | | | | (1,664 | ) |
Total MS Long/Short Equity Short Custom Basket | | | | | | $ | (198,328 | ) |
| | | | | | | | | |
GS LONG/SHORT EQUITY LONG CUSTOM BASKET |
Industrial | | | | | | | | | | | | |
Oshkosh Corp. | | | 410 | | | | 0.59 | % | | $ | 18,376 | |
Owens Corning | | | 365 | | | | 0.42 | % | | | 17,061 | |
Vishay Intertechnology, Inc. | | | 2,622 | | | | 0.66 | % | | | 16,126 | |
Snap-on, Inc. | | | 187 | | | | 0.46 | % | | | 15,385 | |
Timken Co. | | | 446 | | | | 0.40 | % | | | 13,403 | |
AGCO Corp. | | | 195 | | | | 0.28 | % | | | 12,234 | |
Acuity Brands, Inc. | | | 143 | | | | 0.30 | % | | | 11,954 | |
Waters Corp. | | | 93 | | | | 0.36 | % | | | 11,779 | |
Lincoln Electric Holdings, Inc. | | | 206 | | | | 0.30 | % | | | 7,438 | |
Northrop Grumman Corp. | | | 108 | | | | 0.44 | % | | | 6,575 | |
3M Co. | | | 214 | | | | 0.47 | % | | | 6,531 | |
Mettler-Toledo International, Inc. | | | 35 | | | | 0.54 | % | | | 6,500 | |
Lennox International, Inc. | | | 77 | | | | 0.30 | % | | | 5,994 | |
Agilent Technologies, Inc. | | | 232 | | | | 0.38 | % | | | 4,223 | |
Sealed Air Corp. | | | 432 | | | | 0.28 | % | | | 4,053 | |
Toro Co. | | | 894 | | | | 1.09 | % | | | 3,588 | |
Donaldson Company, Inc. | | | 1,232 | | | | 0.87 | % | | | 2,967 | |
Sturm Ruger & Company, Inc. | | | 244 | | | | 0.24 | % | | | 2,700 | |
Masco Corp. | | | 714 | | | | 0.47 | % | | | 2,036 | |
OSI Systems, Inc. | | | 558 | | | | 0.63 | % | | | 1,891 | |
Watts Water Technologies, Inc. — Class A | | | 442 | | | | 0.72 | % | | | 1,584 | |
Keysight Technologies, Inc. | | | 154 | | | | 0.26 | % | | | 1,102 | |
Parker-Hannifin Corp. | | | 116 | | | | 0.40 | % | | | 1,044 | |
Carlisle Companies, Inc. | | | 152 | | | | 0.32 | % | | | 467 | |
Garmin Ltd. | | | 442 | | | | 0.71 | % | | | 325 | |
Huntington Ingalls Industries, Inc. | | | 136 | | | | 0.32 | % | | | 197 | |
Old Dominion Freight Line, Inc. | | | 1 | | | | 0.00 | % | | | 80 | |
Fortive Corp. | | | 467 | | | | 0.36 | % | | | (237 | ) |
Sanmina Corp. | | | 615 | | | | 0.27 | % | | | (443 | ) |
Louisiana-Pacific Corp. | | | 554 | | | | 0.37 | % | | | (544 | ) |
Worthington Industries, Inc. | | | 358 | | | | 0.24 | % | | | (1,200 | ) |
Boise Cascade Co. | | | 453 | | | | 0.29 | % | | | (1,656 | ) |
Hillenbrand, Inc. | | | 580 | | | | 0.28 | % | | | (3,262 | ) |
Eagle Materials, Inc. | | | 437 | | | | 0.69 | % | | | (3,596 | ) |
MDU Resources Group, Inc. | | | 2,488 | | | | 0.87 | % | | | (4,942 | ) |
Total Industrial | | | | | | | | | | | 159,733 | |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Allstate Corp. | | | 508 | | | | 0.74 | % | | | 16,418 | |
Synchrony Financial | | | 1,385 | | | | 0.75 | % | | | 14,472 | |
Aflac, Inc. | | | 1,274 | | | | 0.76 | % | | | 11,634 | |
Berkshire Hathaway, Inc. — Class B | | | 307 | | | | 0.95 | % | | | 10,681 | |
Travelers Companies, Inc. | | | 265 | | | | 0.44 | % | | | 9,235 | |
Highwoods Properties, Inc. | | | 1,489 | | | | 0.75 | % | | | 8,124 | |
Mercury General Corp. | | | 1,005 | | | | 0.73 | % | | | 4,593 | |
Jefferies Financial Group, Inc. | | | 1,347 | | | | 0.51 | % | | | 2,922 | |
Western Union Co. | | | 823 | | | | 0.21 | % | | | 2,519 | |
Progressive Corp. | | | 473 | | | | 0.52 | % | | | 2,332 | |
Federated Hermes, Inc. — Class B | | | 1,056 | | | | 0.40 | % | | | 1,597 | |
Cboe Global Markets, Inc. | | | 284 | | | | 0.38 | % | | | 1,573 | |
Houlihan Lokey, Inc. | | | 439 | | | | 0.40 | % | | | 1,173 | |
Marsh & McLennan Companies, Inc. | | | 243 | | | | 0.38 | % | | | 595 | |
Sabra Health Care REIT, Inc. | | | 1,089 | | | | 0.22 | % | | | 413 | |
Interactive Brokers Group, Inc. — Class A | | | 537 | | | | 0.39 | % | | | 228 | |
OneMain Holdings, Inc. | | | 445 | | | | 0.30 | % | | | 226 | |
Janus Henderson Group plc | | | 824 | | | | 0.36 | % | | | (80 | ) |
Evercore, Inc. — Class A | | | 289 | | | | 0.45 | % | | | (154 | ) |
Arch Capital Group Ltd. | | | 1,005 | | | | 0.43 | % | | | (210 | ) |
SEI Investments Co. | | | 467 | | | | 0.32 | % | | | (278 | ) |
Everest Re Group Ltd. | | | 160 | | | | 0.45 | % | | | (366 | ) |
RenaissanceRe Holdings Ltd. | | | 202 | | | | 0.33 | % | | | (377 | ) |
Raymond James Financial, Inc. | | | 505 | | | | 0.73 | % | | | (423 | ) |
Markel Corp. | | | 34 | | | | 0.45 | % | | | (639 | ) |
Brandywine Realty Trust | | | 4,145 | | | | 0.63 | % | | | (771 | ) |
Brighthouse Financial, Inc. | | | 855 | | | | 0.43 | % | | | (888 | ) |
Radian Group, Inc. | | | 1,331 | | | | 0.33 | % | | | (995 | ) |
Cincinnati Financial Corp. | | | 216 | | | | 0.28 | % | | | (1,069 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Stewart Information Services Corp. | | | 444 | | | | 0.28 | % | | $ | (1,141 | ) |
Artisan Partners Asset Management, Inc. — Class A | | | 415 | | | | 0.23 | % | | | (1,172 | ) |
Capital One Financial Corp. | | | 226 | | | | 0.39 | % | | | (1,187 | ) |
Affiliated Managers Group, Inc. | | | 191 | | | | 0.33 | % | | | (1,266 | ) |
MGIC Investment Corp. | | | 1,526 | | | | 0.23 | % | | | (1,317 | ) |
First American Financial Corp. | | | 411 | | | | 0.28 | % | | | (1,371 | ) |
Enstar Group Ltd. | | | 179 | | | | 0.48 | % | | | (1,487 | ) |
AMERISAFE, Inc. | | | 584 | | | | 0.39 | % | | | (1,514 | ) |
Safety Insurance Group, Inc. | | | 739 | | | | 0.64 | % | | | (1,690 | ) |
Hanover Insurance Group, Inc. | | | 530 | | | | 0.80 | % | | | (1,826 | ) |
Discover Financial Services | | | 405 | | | | 0.53 | % | | | (2,082 | ) |
Lexington Realty Trust | | | 2,155 | | | | 0.29 | % | | | (2,092 | ) |
Essent Group Ltd. | | | 809 | | | | 0.40 | % | | | (2,213 | ) |
BankUnited, Inc. | | | 722 | | | | 0.34 | % | | | (2,569 | ) |
Old Republic International Corp. | | | 2,395 | | | | 0.66 | % | | | (3,267 | ) |
Healthcare Realty Trust, Inc. | | | 1,797 | | | | 0.60 | % | | | (3,390 | ) |
Associated Banc-Corp. | | | 1,933 | | | | 0.44 | % | | | (3,510 | ) |
Total Financial | | | | | | | | | | | 49,391 | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
UGI Corp. | | | 1,730 | | | | 0.89 | % | | | 18,520 | |
Public Service Enterprise Group, Inc. | | | 1,335 | | | | 0.89 | % | | | 5,565 | |
Southern Co. | | | 1,288 | | | | 0.87 | % | | | 2,144 | |
IDACORP, Inc. | | | 822 | | | | 0.89 | % | | | 1,742 | |
Pinnacle West Capital Corp. | | | 589 | | | | 0.54 | % | | | 1,620 | |
Sempra Energy | | | 360 | | | | 0.53 | % | | | 107 | |
Chesapeake Utilities Corp. | | | 508 | | | | 0.68 | % | | | (61 | ) |
DTE Energy Co. | | | 595 | | | | 0.86 | % | | | (738 | ) |
WEC Energy Group, Inc. | | | 399 | | | | 0.39 | % | | | (1,419 | ) |
American Water Works Company, Inc. | | | 306 | | | | 0.52 | % | | | (1,692 | ) |
CMS Energy Corp. | | | 1,366 | | | | 0.90 | % | | | (1,696 | ) |
MGE Energy, Inc. | | | 1,006 | | | | 0.83 | % | | | (1,802 | ) |
National Fuel Gas Co. | | | 675 | | | | 0.39 | % | | | (1,838 | ) |
American States Water Co. | | | 929 | | | | 0.82 | % | | | (2,395 | ) |
Portland General Electric Co. | | | 578 | | | | 0.30 | % | | | (2,800 | ) |
Avista Corp. | | | 1,029 | | | | 0.49 | % | | | (3,198 | ) |
New Jersey Resources Corp. | | | 1,441 | | | | 0.63 | % | | | (6,124 | ) |
Total Utilities | | | | | | | | | | | 5,935 | |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Gentherm, Inc. | | | 537 | | | | 0.42 | % | | | 18,099 | |
AutoZone, Inc. | | | 63 | | | | 1.04 | % | | | 15,530 | |
Cummins, Inc. | | | 214 | | | | 0.58 | % | | | 13,821 | |
Gentex Corp. | | | 2,412 | | | | 0.89 | % | | | 12,129 | |
AutoNation, Inc. | | | 378 | | | | 0.40 | % | | | 10,615 | |
Brunswick Corp. | | | 460 | | | | 0.51 | % | | | 9,940 | |
O’Reilly Automotive, Inc. | | | 147 | | | | 0.92 | % | | | 8,125 | |
MSC Industrial Direct Company, Inc. — Class A | | | 494 | | | | 0.49 | % | | | 8,007 | |
Dolby Laboratories, Inc. — Class A | | | 464 | | | | 0.51 | % | | | 6,246 | |
PulteGroup, Inc. | | | 679 | | | | 0.41 | % | | | 5,733 | |
Lennar Corp. — Class A | | | 208 | | | | 0.23 | % | | | 4,232 | |
Polaris, Inc. | | | 226 | | | | 0.34 | % | | | 1,695 | |
WW Grainger, Inc. | | | 114 | | | | 0.55 | % | | | 1,338 | |
Lowe’s Companies, Inc. | | | 331 | | | | 0.71 | % | | | 1,223 | |
NVR, Inc. | | | 4 | | | | 0.22 | % | | | 1,160 | |
Best Buy Company, Inc. | | | 340 | | | | 0.43 | % | | | 210 | |
Dick’s Sporting Goods, Inc. | | | 204 | | | | 0.23 | % | | | 194 | |
Allison Transmission Holdings, Inc. | | | 1,351 | | | | 0.60 | % | | | (310 | ) |
Carter’s, Inc. | | | 353 | | | | 0.40 | % | | | (507 | ) |
Tri Pointe Homes, Inc. | | | 944 | | | | 0.22 | % | | | (637 | ) |
Whirlpool Corp. | | | 146 | | | | 0.35 | % | | | (936 | ) |
Meritage Homes Corp. | | | 250 | | | | 0.26 | % | | | (1,042 | ) |
Murphy USA, Inc. | | | 263 | | | | 0.39 | % | | | (1,396 | ) |
Yum! Brands, Inc. | | | 592 | | | | 0.76 | % | | | (2,580 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 110,889 | |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
McKesson Corp. | | | 323 | | | | 0.69 | % | | | 18,084 | |
Molson Coors Beverage Co. — Class B | | | 1,042 | | | | 0.62 | % | | | 17,536 | |
United Therapeutics Corp. | | | 257 | | | | 0.51 | % | | | 14,300 | |
Amgen, Inc. | | | 290 | | | | 0.79 | % | | | 11,310 | |
Johnson & Johnson | | | 451 | | | | 0.83 | % | | | 11,293 | |
H&R Block, Inc. | | | 1,409 | | | | 0.37 | % | | | 9,410 | |
Prestige Consumer Healthcare, Inc. | | | 723 | | | | 0.42 | % | | | 7,718 | |
Gilead Sciences, Inc. | | | 1,279 | | | | 0.98 | % | | | 6,312 | |
Regeneron Pharmaceuticals, Inc. | | | 96 | | | | 0.60 | % | | | 6,168 | |
Laboratory Corporation of America Holdings | | | 72 | | | | 0.22 | % | | | 5,332 | |
Thermo Fisher Scientific, Inc. | | | 105 | | | | 0.59 | % | | | 4,183 | |
Bristol-Myers Squibb Co. | | | 1,221 | | | | 0.91 | % | | | 3,985 | |
Bio-Rad Laboratories, Inc. — Class A | | | 92 | | | | 0.66 | % | | | 3,956 | |
Hill-Rom Holdings, Inc. | | | 213 | | | | 0.27 | % | | | 3,932 | |
Vector Group Ltd. | | | 1,525 | | | | 0.24 | % | | | 3,696 | |
Pfizer, Inc. | | | 1,273 | | | | 0.55 | % | | | 3,569 | |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Hershey Co. | | | 229 | | | | 0.44 | % | | $ | 2,682 | |
Vanda Pharmaceuticals, Inc. | | | 1,121 | | | | 0.27 | % | | | 2,552 | |
Innoviva, Inc. | | | 2,074 | | | | 0.31 | % | | | 2,462 | |
John B Sanfilippo & Son, Inc. | | | 570 | | | | 0.56 | % | | | 2,278 | |
Quest Diagnostics, Inc. | | | 197 | | | | 0.29 | % | | | 2,146 | |
Humana, Inc. | | | 50 | | | | 0.25 | % | | | 1,876 | |
Incyte Corp. | | | 449 | | | | 0.42 | % | | | 1,809 | |
PerkinElmer, Inc. | | | 223 | | | | 0.38 | % | | | 1,771 | |
Eagle Pharmaceuticals, Inc. | | | 857 | | | | 0.41 | % | | | 1,322 | |
Merck & Company, Inc. | | | 1,081 | | | | 0.93 | % | | | 1,028 | |
Vertex Pharmaceuticals, Inc. | | | 148 | | | | 0.33 | % | | | 952 | |
Blueprint Medicines Corp. | | | 363 | | | | 0.35 | % | | | 748 | |
PepsiCo, Inc. | | | 128 | | | | 0.21 | % | | | 168 | |
Chemed Corp. | | | 50 | | | | 0.26 | % | | | (273 | ) |
Grand Canyon Education, Inc. | | | 244 | | | | 0.24 | % | | | (717 | ) |
Hologic, Inc. | | | 698 | | | | 0.52 | % | | | (1,117 | ) |
Coherus Biosciences, Inc. | | | 1,882 | | | | 0.29 | % | | | (1,157 | ) |
Exelixis, Inc. | | | 1,107 | | | | 0.22 | % | | | (5,201 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | 144,113 | |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Kulicke & Soffa Industries, Inc. | | | 512 | | | | 0.35 | % | | | 18,054 | |
Seagate Technology Holdings plc | | | 451 | | | | 0.44 | % | | | 15,913 | |
HP, Inc. | | | 1,321 | | | | 0.44 | % | | | 15,543 | |
NetApp, Inc. | | | 365 | | | | 0.33 | % | | | 13,843 | |
Texas Instruments, Inc. | | | 287 | | | | 0.61 | % | | | 12,199 | |
CDK Global, Inc. | | | 830 | | | | 0.46 | % | | | 9,581 | |
Rambus, Inc. | | | 2,240 | | | | 0.59 | % | | | 8,334 | |
Cirrus Logic, Inc. | | | 448 | | | | 0.42 | % | | | 6,672 | |
International Business Machines Corp. | | | 209 | | | | 0.34 | % | | | 5,092 | |
Cerner Corp. | | | 491 | | | | 0.43 | % | | | 4,075 | |
Intel Corp. | | | 466 | | | | 0.29 | % | | | 4,031 | |
Dropbox, Inc. — Class A | | | 638 | | | | 0.21 | % | | | 3,440 | |
Cadence Design Systems, Inc. | | | 425 | | | | 0.65 | % | | | 3,343 | |
Microsoft Corp. | | | 244 | | | | 0.73 | % | | | 3,287 | |
Qorvo, Inc. | | | 111 | | | | 0.24 | % | | | 2,714 | |
CSG Systems International, Inc. | | | 1,999 | | | | 1.05 | % | | | 2,688 | |
Paychex, Inc. | | | 194 | | | | 0.23 | % | | | 2,589 | |
Synaptics, Inc. | | | 138 | | | | 0.24 | % | | | 2,123 | |
Broadcom, Inc. | | | 68 | | | | 0.36 | % | | | 1,296 | |
QUALCOMM, Inc. | | | 141 | | | | 0.22 | % | | | 1,074 | |
Lumentum Holdings, Inc. | | | 332 | | | | 0.30 | % | | | 401 | |
ExlService Holdings, Inc. | | | 195 | | | | 0.23 | % | | | 213 | |
Electronic Arts, Inc. | | | 391 | | | | 0.62 | % | | | (849 | ) |
Progress Software Corp. | | | 735 | | | | 0.38 | % | | | (1,077 | ) |
MAXIMUS, Inc. | | | 249 | | | | 0.24 | % | | | (1,348 | ) |
Activision Blizzard, Inc. | | | 674 | | | | 0.71 | % | | | (1,686 | ) |
Take-Two Interactive Software, Inc. | | | 206 | | | | 0.41 | % | | | (1,691 | ) |
Cognizant Technology Solutions Corp. — Class A | | | 462 | | | | 0.36 | % | | | (2,960 | ) |
Total Technology | | | | | | | | | | | 126,894 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Viavi Solutions, Inc. | | | 4,707 | | | | 0.92 | % | | | 26,263 | |
Cisco Systems, Inc. | | | 1,107 | | | | 0.65 | % | | | 13,274 | |
VeriSign, Inc. | | | 400 | | | | 1.01 | % | | | 10,941 | |
Omnicom Group, Inc. | | | 985 | | | | 0.88 | % | | | 9,895 | |
Motorola Solutions, Inc. | | | 134 | | | | 0.32 | % | | | 7,948 | |
Juniper Networks, Inc. | | | 1,410 | | | | 0.43 | % | | | 6,924 | |
Ciena Corp. | | | 429 | | | | 0.27 | % | | | 6,766 | |
InterDigital, Inc. | | | 431 | | | | 0.35 | % | | | 810 | |
Cogent Communications Holdings, Inc. | | | 532 | | | | 0.45 | % | | | 145 | |
Alphabet, Inc. — Class C | | | 37 | | | | 1.03 | % | | | 33 | |
Yelp, Inc. — Class A | | | 522 | | | | 0.23 | % | | | (174 | ) |
Fox Corp. — Class A | | | 613 | | | | 0.25 | % | | | (415 | ) |
F5 Networks, Inc. | | | 134 | | | | 0.28 | % | | | (681 | ) |
TEGNA, Inc. | | | 1,986 | | | | 0.41 | % | | | (700 | ) |
Verizon Communications, Inc. | | | 1,325 | | | | 0.82 | % | | | (1,020 | ) |
Nexstar Media Group, Inc. — Class A | | | 173 | | | | 0.28 | % | | | (1,021 | ) |
World Wrestling Entertainment, Inc. — Class A | | | 419 | | | | 0.27 | % | | | (1,655 | ) |
Telephone & Data Systems, Inc. | | | 1,613 | | | | 0.41 | % | | | (2,501 | ) |
Total Communications | | | | | | | | | | | 74,832 | |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Antero Midstream Corp. | | | 2,136 | | | | 0.25 | % | | | (362 | ) |
Kinder Morgan, Inc. | | | 1,909 | | | | 0.39 | % | | | (1,735 | ) |
Williams Companies, Inc. | | | 1,441 | | | | 0.43 | % | | | (1,761 | ) |
Equitrans Midstream Corp. | | | 2,127 | | | | 0.20 | % | | | (2,380 | ) |
Total Energy | | | | | | | | | | | (6,238 | ) |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Ingevity Corp. | | | 319 | | | | 0.29 | % | | | (661 | ) |
NewMarket Corp. | | | 116 | | | | 0.41 | % | | | (1,496 | ) |
Commercial Metals Co. | | | 846 | | | | 0.29 | % | | | (2,041 | ) |
Reliance Steel & Aluminum Co. | | | 287 | | | | 0.48 | % | | | (6,055 | ) |
Total Basic Materials | | | | | | | | | | | (10,253 | ) |
Total GS Long/Short Equity Long Custom Basket | | | | | | $ | 655,296 | |
| | | | | | | | | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
GS LONG/SHORT EQUITY SHORT CUSTOM BASKET |
Financial | | | | | | | | | | | | |
JBG SMITH Properties | | | 2,584 | | | | (1.38 | )% | | $ | 3,577 | |
Lincoln National Corp. | | | 720 | | | | (0.76 | )% | | | 3,409 | |
American International Group, Inc. | | | 676 | | | | (0.54 | )% | | | 2,896 | |
Alexandria Real Estate Equities, Inc. | | | 268 | | | | (0.82 | )% | | | 2,741 | |
U.S. Bancorp | | | 1,404 | | | | (1.34 | )% | | | 2,670 | |
Truist Financial Corp. | | | 1,132 | | | | (1.05 | )% | | | 2,652 | |
Prudential Financial, Inc. | | | 786 | | | | (1.35 | )% | | | 2,312 | |
CyrusOne, Inc. | | | 474 | | | | (0.57 | )% | | | 1,140 | |
Comerica, Inc. | | | 487 | | | | (0.58 | )% | | | 1,129 | |
Global Net Lease, Inc. | | | 1,436 | | | | (0.45 | )% | | | 1,119 | |
State Street Corp. | | | 684 | | | | (0.94 | )% | | | 993 | |
Bank of America Corp. | | | 2,280 | | | | (1.58 | )% | | | 968 | |
Equitable Holdings, Inc. | | | 1,200 | | | | (0.61 | )% | | | 806 | |
Mid-America Apartment Communities, Inc. | | | 279 | | | | (0.79 | )% | | | 710 | |
Ryman Hospitality Properties, Inc. | | | 302 | | | | (0.40 | )% | | | 624 | |
UDR, Inc. | | | 1,641 | | | | (1.35 | )% | | | 339 | |
Wells Fargo & Co. | | | 668 | | | | (0.51 | )% | | | 65 | |
SBA Communications Corp. | | | 75 | | | | (0.40 | )% | | | (122 | ) |
Crown Castle International Corp. | | | 210 | | | | (0.69 | )% | | | (151 | ) |
Bank of New York Mellon Corp. | | | 382 | | | | (0.33 | )% | | | (363 | ) |
Host Hotels & Resorts, Inc. | | | 2,660 | | | | (0.76 | )% | | | (539 | ) |
Digital Realty Trust, Inc. | | | 400 | | | | (1.01 | )% | | | (1,001 | ) |
Welltower, Inc. | | | 464 | | | | (0.65 | )% | | | (1,775 | ) |
American Homes 4 Rent — Class A | | | 718 | | | | (0.47 | )% | | | (2,143 | ) |
Federal Realty Investment Trust | | | 241 | | | | (0.47 | )% | | | (2,197 | ) |
Invitation Homes, Inc. | | | 1,140 | | | | (0.71 | )% | | | (2,971 | ) |
Healthpeak Properties, Inc. | | | 2,377 | | | | (1.33 | )% | | | (2,991 | ) |
Americold Realty Trust | | | 1,697 | | | | (1.08 | )% | | | (3,016 | ) |
Charles Schwab Corp. | | | 1,071 | | | | (1.31 | )% | | | (3,207 | ) |
Equinix, Inc. | | | 88 | | | | (1.18 | )% | | | (5,615 | ) |
Rayonier, Inc. | | | 1,222 | | | | (0.74 | )% | | | (5,945 | ) |
Howard Hughes Corp. | | | 372 | | | | (0.61 | )% | | | (6,960 | ) |
American Tower Corp. — Class A | | | 118 | | | | (0.53 | )% | | | (7,479 | ) |
Loews Corp. | | | 604 | | | | (0.55 | )% | | | (7,623 | ) |
Prologis, Inc. | | | 494 | | | | (0.99 | )% | | | (8,387 | ) |
Brookline Bancorp, Inc. | | | 2,552 | | | | (0.64 | )% | | | (8,987 | ) |
Sun Communities, Inc. | | | 375 | | | | (1.08 | )% | | | (12,411 | ) |
Camden Property Trust | | | 427 | | | | (0.95 | )% | | | (13,162 | ) |
Morgan Stanley | | | 2,074 | | | | (3.19 | )% | | | (13,291 | ) |
Rexford Industrial Realty, Inc. | | | 1,117 | | | | (1.07 | )% | | | (13,741 | ) |
First Republic Bank | | | 496 | | | | (1.56 | )% | | | (22,128 | ) |
Total Financial | | | | | | | | | | | (118,055 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Baker Hughes Co. | | | 1,398 | | | | (0.54 | )% | | | 4,034 | |
Schlumberger N.V. | | | 2,720 | | | | (1.46 | )% | | | 2,233 | |
Phillips 66 | | | 364 | | | | (0.52 | )% | | | (1,072 | ) |
Pioneer Natural Resources Co. | | | 583 | | | | (1.59 | )% | | | (3,734 | ) |
NOV, Inc. | | | 1,582 | | | | (0.41 | )% | | | (4,074 | ) |
Hess Corp. | | | 491 | | | | (0.72 | )% | | | (8,895 | ) |
ChampionX Corp. | | | 1,886 | | | | (0.81 | )% | | | (15,551 | ) |
Halliburton Co. | | | 3,974 | | | | (1.54 | )% | | | (15,762 | ) |
Ovintiv, Inc. | | | 1,899 | | | | (1.00 | )% | | | (22,832 | ) |
Total Energy | | | | | | | | | | | (65,653 | ) |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Verisk Analytics, Inc. — Class A | | | 557 | | | | (1.63 | )% | | | 6,393 | |
Archer-Daniels-Midland Co. | | | 1,086 | | | | (1.10 | )% | | | 5,292 | |
CoStar Group, Inc. | | | 590 | | | | (0.82 | )% | | | 1,719 | |
ManpowerGroup, Inc. | | | 414 | | | | (0.83 | )% | | | 1,308 | |
Cooper Companies, Inc. | | | 51 | | | | (0.34 | )% | | | 334 | |
McCormick & Company, Inc. | | | 620 | | | | (0.92 | )% | | | (7 | ) |
Brink’s Co. | | | 344 | | | | (0.44 | )% | | | (253 | ) |
Alnylam Pharmaceuticals, Inc. | | | 149 | | | | (0.42 | )% | | | (853 | ) |
Guardant Health, Inc. | | | 255 | | | | (0.53 | )% | | | (927 | ) |
Rollins, Inc. | | | 1,126 | | | | (0.65 | )% | | | (1,047 | ) |
Avalara, Inc. | | | 94 | | | | (0.26 | )% | | | (4,052 | ) |
TransUnion | | | 549 | | | | (1.01 | )% | | | (4,173 | ) |
Cintas Corp. | | | 271 | | | | (1.74 | )% | | | (8,046 | ) |
Equifax, Inc. | | | 215 | | | | (0.86 | )% | | | (14,319 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | (18,631 | ) |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
KBR, Inc. | | | 1,470 | | | | (0.94 | )% | | | 2,404 | |
Leidos Holdings, Inc. | | | 423 | | | | (0.72 | )% | | | 2,088 | |
Blackline, Inc. | | | 122 | | | | (0.23 | )% | | | 548 | |
Clarivate plc | | | 1,140 | | | | (0.53 | )% | | | 65 | |
Sailpoint Technologies Holdings, Inc. | | | 273 | | | | (0.23 | )% | | | (783 | ) |
Coupa Software, Inc. | | | 117 | | | | (0.51 | )% | | | (1,192 | ) |
Twilio, Inc. — Class A | | | 40 | | | | (0.26 | )% | | | (1,219 | ) |
Tyler Technologies, Inc. | | | 30 | | | | (0.23 | )% | | | (1,414 | ) |
Ceridian HCM Holding, Inc. | | | 312 | | | | (0.50 | )% | | | (2,505 | ) |
Smartsheet, Inc. — Class A | | | 199 | | | | (0.24 | )% | | | (4,841 | ) |
Rapid7, Inc. | | | 305 | | | | (0.48 | )% | | | (5,407 | ) |
HubSpot, Inc. | | | 26 | | | | (0.25 | )% | | | (5,410 | ) |
Total Technology | | | | | | | | | | | (17,666 | ) |
| | | | | | | | | | | | | |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Industrial | | | | | | | | | | | | |
Ball Corp. | | | 421 | | | | (0.57 | )% | | $ | 5,580 | |
Jacobs Engineering Group, Inc. | | | 673 | | | | (1.51 | )% | | | 4,240 | |
Stericycle, Inc. | | | 1,151 | | | | (1.38 | )% | | | 2,880 | |
XPO Logistics, Inc. | | | 300 | | | | (0.70 | )% | | | 2,539 | |
Norfolk Southern Corp. | | | 306 | | | | (1.36 | )% | | | 1,860 | |
Exponent, Inc. | | | 242 | | | | (0.36 | )% | | | 1,541 | |
MSA Safety, Inc. | | | 245 | | | | (0.68 | )% | | | 60 | |
US Ecology, Inc. | | | 774 | | | | (0.49 | )% | | | (73 | ) |
Tetra Tech, Inc. | | | 264 | | | | (0.54 | )% | | | (84 | ) |
FedEx Corp. | | | 157 | | | | (0.79 | )% | | | (527 | ) |
Republic Services, Inc. — Class A | | | 872 | | | | (1.61 | )% | | | (790 | ) |
United Parcel Service, Inc. — Class B | | | 141 | | | | (0.49 | )% | | | (827 | ) |
Boeing Co. | | | 175 | | | | (0.70 | )% | | | (1,225 | ) |
TransDigm Group, Inc. | | | 39 | | | | (0.42 | )% | | | (1,452 | ) |
Raytheon Technologies Corp. | | | 934 | | | | (1.34 | )% | | | (1,631 | ) |
Waste Management, Inc. | | | 680 | | | | (1.60 | )% | | | (2,242 | ) |
Ingersoll Rand, Inc. | | | 900 | | | | (0.74 | )% | | | (2,885 | ) |
Casella Waste Systems, Inc. — Class A | | | 971 | | | | (1.03 | )% | | | (7,345 | ) |
Total Industrial | | | | | | | | | | | (381 | ) |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
JetBlue Airways Corp. | | | 2,784 | | | | (0.78 | )% | | | 4,993 | |
United Airlines Holdings, Inc. | | | 1,093 | | | | (0.96 | )% | | | 4,702 | |
IAA, Inc. | | | 651 | | | | (0.60 | )% | | | 3,253 | |
Delta Air Lines, Inc. | | | 1,780 | | | | (1.29 | )% | | | 2,174 | |
Marriott International, Inc. — Class A | | | 180 | | | | (0.41 | )% | | | 1,218 | |
Freshpet, Inc. | | | 252 | | | | (0.69 | )% | | | 1,043 | |
Hilton Worldwide Holdings, Inc. | | | 230 | | | | (0.47 | )% | | | 740 | |
Alaska Air Group, Inc. | | | 966 | | | | (0.98 | )% | | | (1,925 | ) |
Southwest Airlines Co. | | | 1,433 | | | | (1.28 | )% | | | (4,325 | ) |
Copart, Inc. | | | 505 | | | | (1.12 | )% | | | (10,243 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 1,630 | |
| | | | | | | | | | | | �� | |
Communications | | | | | | | | | | | | |
Anaplan, Inc. | | | 249 | | | | (0.22 | )% | | | 838 | |
Okta, Inc. | | | 128 | | | | (0.53 | )% | | | (202 | ) |
Uber Technologies, Inc. | | | 897 | | | | (0.75 | )% | | | (304 | ) |
Q2 Holdings, Inc. | | | 438 | | | | (0.75 | )% | | | (1,600 | ) |
Liberty Broadband Corp. — Class C | | | 276 | | | | (0.80 | )% | | | (4,926 | ) |
Zendesk, Inc. | | | 204 | | | | (0.49 | )% | | | (5,495 | ) |
Total Communications | | | | | | | | | | | (11,689 | ) |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Quaker Chemical Corp. | | | 117 | | | | (0.47 | )% | | | 107 | |
Linde plc | | | 66 | | | | (0.32 | )% | | | (1,682 | ) |
Total Basic Materials | | | | | | | | | | | (1,575 | ) |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
Atmos Energy Corp. | | | 797 | | | | (1.28 | )% | | | 4,140 | |
Exelon Corp. | | | 1,705 | | | | (1.27 | )% | | | 3,674 | |
ONE Gas, Inc. | | | 1,085 | | | | (1.35 | )% | | | 3,558 | |
Xcel Energy, Inc. | | | 1,045 | | | | (1.15 | )% | | | 3,361 | |
Black Hills Corp. | | | 551 | | | | (0.61 | )% | | | 2,035 | |
OGE Energy Corp. | | | 1,271 | | | | (0.72 | )% | | | 1,749 | |
CenterPoint Energy, Inc. | | | 1,056 | | | | (0.43 | )% | | | 1,399 | |
Edison International | | | 1,433 | | | | (1.39 | )% | | | (262 | ) |
Total Utilities | | | | | | | | | | | 19,654 | |
Total GS Long/Short Equity Short Custom Basket | | | | | | $ | (212,366 | ) |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
† | 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 a portion of this security is pledged as short security collateral at June 30, 2021. |
2 | All or a portion of this security is on loan at June 30, 2021 — See Note 7. |
3 | Affiliated issuer. |
4 | All or a portion of this security is pledged as custom basket swap collateral at June 30, 2021. |
5 | Rate indicated is the effective yield at the time of purchase. |
6 | All or a portion of this security is pledged as futures collateral at June 30, 2021. |
7 | Repurchase Agreements — See Note 6. |
8 | Securities lending collateral — See Note 7. |
9 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | ADR — American Depositary Receipt |
| | GS — Goldman Sachs International |
| | MS — Morgan Stanley Capital Services LLC |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Consolidated Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 21,222,965 | | | $ | — | | | $ | — | | | $ | 21,222,965 | |
Master Limited Partnership | | | 225,910 | | | | — | | | | — | | | | 225,910 | |
Rights | | | — | | | | — | | | | — | * | | | — | |
Mutual Funds | | | 8,478,688 | | | | — | | | | — | | | | 8,478,688 | |
Closed-End Funds | | | 3,356,490 | | | | — | | | | — | | | | 3,356,490 | |
U.S. Treasury Bills | | | — | | | | 9,545,492 | | | | — | | | | 9,545,492 | |
Repurchase Agreements | | | — | | | | 334,848 | | | | — | | | | 334,848 | |
Securities Lending Collateral | | | 802,615 | | | | — | | | | — | | | | 802,615 | |
Currency Futures Contracts** | | | 885,504 | | | | — | | | | — | | | | 885,504 | |
Commodity Futures Contracts** | | | 571,675 | | | | — | | | | — | | | | 571,675 | |
Equity Futures Contracts** | | | 217,717 | | | | — | | | | — | | | | 217,717 | |
Interest Rate Futures Contracts** | | | 93,304 | | | | 99,298 | | | | — | | | | 192,602 | |
Equity Custom Basket Swap Agreements** | | | — | | | | 3,207,782 | | | | — | | | | 3,207,782 | |
Total Assets | | $ | 35,854,868 | | | $ | 13,187,420 | | | $ | — | | | $ | 49,042,288 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks Sold Short | | $ | 8,582,080 | | | $ | — | | | $ | — | | | $ | 8,582,080 | |
Master Limited Partnership Sold Short | | | 226,844 | | | | — | | | | — | | | | 226,844 | |
Exchange-Traded Funds Sold Short | | | 3,340,428 | | | | — | | | | — | | | | 3,340,428 | |
Currency Futures Contracts** | | | 494,885 | | | | — | | | | — | | | | 494,885 | |
Commodity Futures Contracts** | | | 328,857 | | | | — | | | | — | | | | 328,857 | |
Equity Futures Contracts** | | | 128,202 | | | | 12,643 | | | | — | | | | 140,845 | |
Interest Rate Futures Contracts** | | | 9,706 | | | | 68,136 | | | | — | | | | 77,842 | |
Equity Custom Basket Swap Agreements** | | | — | | | | 1,799,749 | | | | — | | | | 1,799,749 | |
Total Liabilities | | $ | 13,111,002 | | | $ | 1,880,528 | | | $ | — | | | $ | 14,991,530 | |
* | Includes securities with a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
MULTI-HEDGE STRATEGIES FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation (Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 2,167,874 | | | $ | 14,560 | | | $ | — | | | $ | — | | | $ | 2,602 | | | $ | 2,185,036 | | | | 87,436 | | | $ | 14,770 | |
Guggenheim Strategy Fund III | | | 2,452,729 | | | | 19,235 | | | | — | | | | — | | | | 5,860 | | | | 2,477,824 | | | | 98,483 | | | | 19,516 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 5,151,197 | | | | 15,592 | | | | (3,500,000 | ) | | | 14,134 | | | | (19,806 | ) | | | 1,661,117 | | | | 166,612 | | | | 15,864 | |
Guggenheim Variable Insurance Strategy Fund III | | | 2,135,271 | | | | 16,888 | | | | — | | | | — | | | | 2,552 | | | | 2,154,711 | | | | 85,948 | | | | 17,116 | |
| | | $ | 11,907,071 | | | $ | 66,275 | | | $ | (3,500,000 | ) | | $ | 14,134 | | | $ | (8,792 | ) | | $ | 8,478,688 | | | | | | | $ | 67,266 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
MULTI-HEDGE STRATEGIES FUND | |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value - including $775,812 of securities loaned (cost $33,674,276) | | $ | 35,153,472 | |
Investments in affiliated issuers, at value (cost $8,436,109) | | | 8,478,688 | |
Repurchase agreements, at value (cost $334,848) | | | 334,848 | |
Cash | | | 12,091,208 | |
Segregated cash with broker | | | 423,783 | |
Unrealized appreciation on OTC swap agreements | | | 3,207,782 | |
Receivables: |
Securities Sold | | | 620,108 | |
Variation margin on futures contracts | | | 330,466 | |
Fund shares sold | | | 69,364 | |
Dividends | | | 28,544 | |
Securities lending income | | | 4,831 | |
Total assets | | | 60,743,094 | |
| | | | | |
Liabilities: |
Securities sold short, at value (proceeds $11,066,509) | | | 12,149,352 | |
Unrealized depreciation on OTC swap agreements | | | 1,799,749 | |
Payable for: |
Return of securities lending collateral | | | 802,615 | |
Securities purchased | | | 540,067 | |
Swap settlement | | | 59,365 | |
Management fees | | | 42,038 | |
Fund shares redeemed | | | 5,891 | |
Miscellaneous | | | 24,362 | |
Total liabilities | | | 15,423,439 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 45,319,655 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 40,583,519 | |
Total distributable earnings (loss) | | | 4,736,136 | |
Net assets | | $ | 45,319,655 | |
Capital shares outstanding | | | 1,606,058 | |
Net asset value per share | | $ | 28.22 | |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 292,693 | |
Dividends from securities of affiliated issuers | | | 67,266 | |
Interest | | | 1,443 | |
Income from securities lending, net | | | 13,032 | |
Total investment income | | | 374,434 | |
| | | | | |
Expenses: |
Management fees | | | 244,552 | |
Short sales dividend expense | | | 90,418 | |
Prime broker interest expense | | | 51,091 | |
Miscellaneous | | | 4,535 | |
Total expenses | | | 390,596 | |
Less: |
Expenses waived by Adviser | | | (13,262 | ) |
Net expenses | | | 377,334 | |
Net investment loss | | | (2,900 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 1,216,512 | |
Investments in affiliated issuers | | | 14,134 | |
Investments sold short | | | (727,938 | ) |
Swap agreements | | | 383,175 | |
Futures contracts | | | 1,558,545 | |
Foreign currency transactions | | | 6,165 | |
Net realized gain | | | 2,450,593 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 421,408 | |
Investments in affiliated issuers | | | (8,792 | ) |
Investments sold short | | | (307,385 | ) |
Swap agreements | | | 935,256 | |
Futures contracts | | | 436,370 | |
Foreign currency translations | | | 814 | |
Net change in unrealized appreciation (depreciation) | | | 1,477,671 | |
Net realized and unrealized gain | | | 3,928,264 | |
Net increase in net assets resulting from operations | | $ | 3,925,364 | |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
MULTI-HEDGE STRATEGIES FUND | |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (2,900 | ) | | $ | (108,238 | ) |
Net realized gain on investments | | | 2,450,593 | | | | 2,846,928 | |
Net change in unrealized appreciation (depreciation) on investments | | | 1,477,671 | | | | (151,213 | ) |
Net increase in net assets resulting from operations | | | 3,925,364 | | | | 2,587,477 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (546,653 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 6,924,412 | | | | 23,023,957 | |
Distributions reinvested | | | — | | | | 546,653 | |
Cost of shares redeemed | | | (5,842,901 | ) | | | (19,908,660 | ) |
Net increase from capital share transactions | | | 1,081,511 | | | | 3,661,950 | |
Net increase in net assets | | | 5,006,875 | | | | 5,702,774 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 40,312,780 | | | | 34,610,006 | |
End of period | | $ | 45,319,655 | | | $ | 40,312,780 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 253,238 | | | | 907,676 | |
Shares issued from reinvestment of distributions | | | — | | | | 21,675 | |
Shares redeemed | | | (220,420 | ) | | | (787,955 | ) |
Net increase in shares | | | 32,818 | | | | 141,396 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
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.
| | Six Months
Ended
June 30, 2021a | | | Year Ended
December
31,
2020 | | | Year Ended
December
31,
2019 | | | Year Ended
December
31,
2018 | | | Year Ended
December
31,
2017 | | | Year Ended
December
31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 25.62 | | | $ | 24.17 | | | $ | 23.55 | | | $ | 24.83 | | | $ | 23.95 | | | $ | 24.09 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | — | f | | | (.07 | ) | | | .23 | | | | .20 | | | | (.09 | ) | | | (.16 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 2.60 | | | | 1.85 | | | | .97 | | | | (1.48 | ) | | | .97 | | | | .04 | |
Total from investment operations | | | 2.60 | | | | 1.78 | | | | 1.20 | | | | (1.28 | ) | | | .88 | | | | (.12 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.33 | ) | | | (.58 | ) | | | — | | | | — | | | | (.02 | ) |
Total distributions | | | — | | | | (.33 | ) | | | (.58 | ) | | | — | | | | — | | | | (.02 | ) |
Net asset value, end of period | | $ | 28.22 | | | $ | 25.62 | | | $ | 24.17 | | | $ | 23.55 | | | $ | 24.83 | | | $ | 23.95 | |
|
Total Returnc | | | 10.15 | % | | | 7.39 | % | | | 5.15 | % | | | (5.16 | %) | | | 3.67 | % | | | (0.48 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 45,320 | | | $ | 40,313 | | | $ | 34,610 | | | $ | 40,335 | | | $ | 43,695 | | | $ | 47,953 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.01 | %) | | | (0.27 | %) | | | 0.94 | % | | | 0.85 | % | | | (0.39 | %) | | | (0.66 | %) |
Total expensesd | | | 1.91 | % | | | 1.68 | % | | | 1.72 | % | | | 1.54 | % | | | 1.88 | % | | | 2.27 | % |
Net expensese | | | 1.84 | % | | | 1.63 | % | | | 1.69 | % | | | 1.52 | % | | | 1.85 | % | | | 2.23 | % |
Portfolio turnover rate | | | 88 | % | | | 207 | % | | | 163 | % | | | 162 | % | | | 158 | % | | | 119 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 related to short sales. Excluding interest and dividend expense related to short sales, net expense ratios for the periods presented would be: |
| | 06/30/21a | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | 1.15% | 1.13% | 1.16% | 1.16% | 1.16% | 1.17% |
f | Less than $(0.01) per share. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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 GSCITM Commodity Index (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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 Ultra Short Duration Fund — Institutional Class | 24.8% |
Guggenheim Strategy Fund II | 8.5% |
Total | 33.3% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6
Month‡ | 1 Year | 5 Year | 10 Year |
Commodities Strategy Fund | 31.38% | 56.48% | 0.90% | (7.74%) |
S&P Goldman Sachs Commodity Index | 31.40% | 57.37% | 1.73% | (6.48%) |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
COMMODITIES STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 33.3% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 238,829 | | | $ | 2,381,120 | |
Guggenheim Strategy Fund II1 | | | 32,494 | | | | 812,015 | |
Total Mutual Funds | | | | |
(Cost $3,190,024) | | | | | | | 3,193,135 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 13.9% |
Federal Home Loan Bank |
0.02% due 09/03/21 | | $ | 1,000,000 | | | | 999,903 | |
Fannie Mae |
1.38% due 10/07/21 | | | 235,000 | | | | 235,819 | |
Federal Farm Credit Bank |
0.13% due 11/02/21 | | | 100,000 | | | | 100,013 | |
Total Federal Agency Notes | | | | |
(Cost $1,335,851) | | | | | | | 1,335,735 | |
| | | | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 10.4% |
Federal Home Loan Bank |
0.03% due 11/19/212 | | | 1,000,000 | | | | 999,765 | |
Total Federal Agency Discount Notes | | | | |
(Cost $999,902) | | | | | | | 999,765 | |
| | | | | | | | | |
| | Face
Amount | | | Value | |
U.S. TREASURY BILLS†† - 6.1% |
U.S. Treasury Bills |
0.01% due 08/03/212,3 | | $ | 581,000 | | | $ | 580,975 | |
Total U.S. Treasury Bills | | | | |
(Cost $580,995) | | | | | | | 580,975 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 35.0% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | | 1,881,719 | | | | 1,881,719 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 740,831 | | | | 740,831 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 726,305 | | | | 726,305 | |
Total Repurchase Agreements | | | | |
(Cost $3,348,855) | | | | | | | 3,348,855 | |
| | | | | | | | | |
Total Investments - 98.7% | | | | |
(Cost $9,455,627) | | $ | 9,458,465 | |
Other Assets & Liabilities, net - 1.3% | | | 121,179 | |
Total Net Assets - 100.0% | | $ | 9,579,644 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Commodity Futures Contracts Purchased† |
Goldman Sachs Commodity Index Futures Contracts | | | 72 | | | | Jul 2021 | | | $ | 9,681,300 | | | $ | 250,459 | |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Rate indicated is the effective yield at the time of purchase. |
3 | All or a portion of this security is pledged as futures collateral at June 30, 2021. |
4 | Repurchase Agreements — See Note 6. |
| | |
| | See Sector Classification in Other Information section. |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
COMMODITIES STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Consolidated Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Mutual Funds | | $ | 3,193,135 | | | $ | — | | | $ | — | | | $ | 3,193,135 | |
Federal Agency Notes | | | — | | | | 1,335,735 | | | | — | | | | 1,335,735 | |
Federal Agency Discount Notes | | | — | | | | 999,765 | | | | — | | | | 999,765 | |
U.S. Treasury Bills | | | — | | | | 580,975 | | | | — | | | | 580,975 | |
Repurchase Agreements | | | — | | | | 3,348,855 | | | | — | | | | 3,348,855 | |
Commodity Futures Contracts** | | | 250,459 | | | | — | | | | — | | | | 250,459 | |
Total Assets | | $ | 3,443,594 | | | $ | 6,265,330 | | | $ | — | | | $ | 9,708,924 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation (Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 507,465 | | | $ | 304,059 | | | $ | — | | | $ | — | | | $ | 491 | | | $ | 812,015 | | | | 32,494 | | | $ | 4,109 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 877,450 | | | | 1,506,056 | | | | — | | | | — | | | | (2,386 | ) | | | 2,381,120 | | | | 238,829 | | | | 6,102 | |
| | | $ | 1,384,915 | | | $ | 1,810,115 | | | $ | — | | | $ | — | | | $ | (1,895 | ) | | $ | 3,193,135 | | | | | | | $ | 10,211 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
COMMODITIES STRATEGY FUND | |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value (cost $2,916,748) | | $ | 2,916,475 | |
Investments in affiliated issuers, at value (cost $3,190,024) | | | 3,193,135 | |
Repurchase agreements, at value (cost $3,348,855) | | | 3,348,855 | |
Receivables: |
Variation margin on futures contracts | | | 129,600 | |
Fund shares sold | | | 10,639 | |
Dividends | | | 2,784 | |
Interest | | | 790 | |
Total assets | | | 9,602,278 | |
| | | | | |
Liabilities: |
Payable for: |
Management fees | | | 5,430 | |
Professional fees | | | 4,106 | |
Securities purchased | | | 2,784 | |
Transfer agent and administrative fees | | | 2,123 | |
Investor service fees | | | 1,973 | |
Printing fees | | | 969 | |
Portfolio accounting fees | | | 789 | |
Fund shares redeemed | | | 615 | |
Trustees’ fees* | | | 50 | |
Miscellaneous | | | 3,795 | |
Total liabilities | | | 22,634 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 9,579,644 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 9,979,953 | |
Total distributable earnings (loss) | | | (400,309 | ) |
Net assets | | $ | 9,579,644 | |
Capital shares outstanding | | | 116,808 | |
Net asset value per share | | $ | 82.01 | |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 10,211 | |
Interest | | | 684 | |
Total investment income | | | 10,895 | |
| | | | | |
Expenses: |
Management fees | | | 27,567 | |
Investor service fees | | | 7,890 | |
Transfer agent and administrative fees | | | 9,472 | |
Professional fees | | | 5,550 | |
Portfolio accounting fees | | | 3,156 | |
Custodian fees | | | 440 | |
Trustees’ fees* | | | 276 | |
Miscellaneous | | | 3,182 | |
Total expenses | | | 57,533 | |
Less: |
Expenses waived by Adviser | | | (5,511 | ) |
Net expenses | | | 52,022 | |
Net investment loss | | | (41,127 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (218 | ) |
Futures contracts | | | 1,384,416 | |
Net realized gain | | | 1,384,198 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (299 | ) |
Investments in affiliated issuers | | | (1,895 | ) |
Futures contracts | | | 102,765 | |
Net change in unrealized appreciation (depreciation) | | | 100,571 | |
Net realized and unrealized gain | | | 1,484,769 | |
Net increase in net assets resulting from operations | | $ | 1,443,642 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
COMMODITIES STRATEGY FUND | |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months
Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (41,127 | ) | | $ | (18,877 | ) |
Net realized gain (loss) on investments | | | 1,384,198 | | | | (565,650 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 100,571 | | | | 51,524 | |
Net increase (decrease) in net assets resulting from operations | | | 1,443,642 | | | | (533,003 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (22,689 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 17,642,200 | | | | 6,730,863 | |
Distributions reinvested | | | — | | | | 22,689 | |
Cost of shares redeemed | | | (13,010,772 | ) | | | (5,886,207 | ) |
Net increase from capital share transactions | | | 4,631,428 | | | | 867,345 | |
Net increase in net assets | | | 6,075,070 | | | | 311,653 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 3,504,574 | | | | 3,192,921 | |
End of period | | $ | 9,579,644 | | | $ | 3,504,574 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 237,154 | | | | 122,212 | |
Shares issued from reinvestment of distributions | | | — | | | | 414 | |
Shares redeemed | | | (176,491 | ) | | | (105,719 | ) |
Net increase in shares | | | 60,663 | | | | 16,907 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
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.
| | Six Months
Ended
June 30, 2021a | | | Year Ended
December
31,
2020 | | | Year Ended
December
31,
2019 | | | Year Ended
December
31,
2018 | | | Year Ended
December
31,
2017 | | | Year Ended
December
31,
2016g | |
Per Share Data |
Net asset value, beginning of period | | $ | 62.42 | | | $ | 81.37 | | | $ | 71.69 | | | $ | 87.44 | | | $ | 83.74 | | | $ | 75.82 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.48 | ) | | | (.47 | ) | | | .61 | | | | .67 | | | | — | c | | | (.03 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 20.07 | | | | (18.06 | ) | | | 10.26 | | | | (13.34 | ) | | | 3.70 | | | | 7.95 | |
Total from investment operations | | | 19.59 | | | | (18.53 | ) | | | 10.87 | | | | (12.67 | ) | | | 3.70 | | | | 7.92 | |
Less distributions from: |
Net investment income | | | — | | | | (.42 | ) | | | (1.19 | ) | | | (3.08 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.42 | ) | | | (1.19 | ) | | | (3.08 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 82.01 | | | $ | 62.42 | | | $ | 81.37 | | | $ | 71.69 | | | $ | 87.44 | | | $ | 83.74 | |
|
Total Returnd | | | 31.38 | % | | | (22.72 | %) | | | 15.25 | % | | | (15.12 | %) | | | 4.43 | % | | | 10.40 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 9,580 | | | $ | 3,505 | | | $ | 3,193 | | | $ | 3,099 | | | $ | 4,731 | | | $ | 4,498 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.30 | %) | | | (0.82 | %) | | | 0.77 | % | | | 0.75 | % | | | — | h | | | (0.48 | %) |
Total expensese | | | 1.82 | % | | | 1.88 | % | | | 1.98 | % | | | 1.81 | % | | | 1.82 | % | | | 1.80 | % |
Net expensesf | | | 1.65 | % | | | 1.69 | % | | | 1.78 | % | | | 1.69 | % | | | 1.72 | % | | | 1.67 | % |
Portfolio turnover rate | | | — | | | | 123 | % | | | 128 | % | | | 187 | % | | | 107 | % | | | 231 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
e | Does not include expenses of the underlying funds in which the Fund invests. |
f | Net expense information reflect the expense ratios after expense waivers and reimbursements, as applicable. |
g | Reverse share split — Per share amounts for the year ended December 31, 2016 have been restated to reflect a 1:16 reverse share split effective December 1, 2016. |
h | Less than 0.01% |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) |
Note 1 – Organization, Consolidated 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 (each, a “Fund”). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately. At June 30, 2021, 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 following funds (collectively, the “Funds”):
Fund Name | Investment
Company Type |
Long Short Equity Fund | Non-diversified |
Global Managed Futures Strategy Fund | Diversified |
Multi-Hedge Strategies Fund | Diversified |
Commodities Strategy Fund | Non-diversified |
The Commodities Strategy Fund is designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offers unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Fund 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.
Consolidation of Subsidiary
Each of the consolidated financial statements of the Funds include 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
Date of
Subsidiary | | | Subsidiary
Net Assets
at June 30,
2021 | | | % of Net
Assets of
the Fund at
June 30,
2021 | |
Global Managed Futures Strategy Fund | | | 11/07/08 | | | $ | 1,775,027 | | | | 14.0 | % |
Multi-Hedge Strategies Fund | | | 04/15/09 | | | | 1,270,283 | | | | 2.8 | % |
Commodities Strategy Fund | | | 07/21/09 | | | | 1,789,376 | | | | 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 consolidated 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 a fund’s securities and other assets, less all liabilities, by the number of outstanding shares of that fund.
(a) Valuation of Investments
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.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Valuations of the Funds’ securities and other assets 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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.
U.S. Government securities are valued by 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 generally valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts is accounted for using the unrealized appreciation or depreciation 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 swap agreements entered into by a fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close of the New York Stock Exchange (“NYSE”).
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’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 U.S. Treasury securities, 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) U.S. Government and Agency Obligations
Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Consolidated 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) Short Sales
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.
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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) Futures Contracts
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 appreciation or depreciation. 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
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. 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) Currency Translations
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 gain or loss and unrealized appreciation or depreciation 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 appreciation and depreciation 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.
(g) Foreign Taxes
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 Consolidated Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of June 30, 2021, if any, are disclosed in the Funds’ Consolidated Statements of Assets and Liabilities.
(h) Security Transactions
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 a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. 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 Real Estate Investment Trusts (“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 realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
(i) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Normally, all 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 U.S. federal income tax regulations which may differ from U.S. GAAP.
(j) Cash
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 0.08% at June 30, 2021.
(k) Indemnifications
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.
Note 2 – Financial Instruments and Derivatives
As part of their investment strategy, the Funds may utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Consolidated 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.
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.
Futures Contracts
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
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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 Consolidated Statements of Assets and Liabilities; securities held as collateral are noted on the Consolidated Schedules of Investments.
The following table represents the Funds’ use and volume of futures on a monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Long | | | Short | |
Global Managed Futures Strategy Fund | Hedge, Leverage, Liquidity, Speculation | | $ | 35,646,245 | | | $ | 27,418,296 | |
Multi-Hedge Strategies Fund | Duration, Hedge, Index exposure, Leverage, Liquidity, Speculation | | | 109,320,327 | | | | 66,076,621 | |
Commodities Strategy Fund | Index exposure, Liquidity | | | 6,813,717 | | | | — | |
Swap Agreements
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. When utilizing over-the-counter (“OTC”) swaps, a fund 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 and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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.
Custom basket swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as a custom basket of securities) for a fixed or variable interest rate. Custom basket swaps will usually be computed based on the current value of the reference asset 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. When utilizing custom basket swaps, a fund 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 reference asset declines in value.
The following table represents the Funds’ use and volume of custom basket swaps on a monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Long | | | Short | |
Long Short Equity Fund | Index exposure, Liquidity | | $ | 12,756,828 | | | $ | 19,735,963 | |
Multi-Hedge Strategies Fund | Hedge, Index exposure, Leverage, Liquidity, Speculation | | | 30,796,727 | | | | 24,775,994 | |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Consolidated Statements of Assets and Liabilities as of June 30, 2021:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Currency/Interest Rate/Commodity contracts | Variation margin on futures contracts | |
Equity contracts | Unrealized appreciation on OTC swap agreements | Unrealized depreciation on OTC swap agreements |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at June 30, 2021:
Asset Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Futures
Foreign
Currency
Exchange
Risk* | | | Futures
Interest
Rate Risk* | | | Futures
Commodity
Risk* | | | Total Value at
June 30,
2021 | |
Long Short Equity Fund | | $ | — | | | $ | 1,396,501 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,396,501 | |
Global Managed Futures Strategy Fund | | | 80,069 | | | | — | | | | 199,245 | | | | 25,472 | | | | 249,405 | | | | 554,191 | |
Multi-Hedge Strategies Fund | | | 217,717 | | | | 3,207,782 | | | | 885,504 | | | | 192,602 | | | | 571,675 | | | | 5,075,280 | |
Commodities Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 250,459 | | | | 250,459 | |
Liability Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Futures
Foreign
Currency
Exchange
Risk* | | | Futures
Interest
Rate Risk* | | | Futures
Commodity
Risk* | | | Total Value at
June 30,
2021 | |
Long Short Equity Fund | | $ | — | | | $ | 950,924 | | | $ | — | | | $ | — | | | $ | — | | | $ | 950,924 | |
Global Managed Futures Strategy Fund | | | 64,538 | | | | — | | | | 151,656 | | | | 19,727 | | | | 182,778 | | | | 418,699 | |
Multi-Hedge Strategies Fund | | | 140,845 | | | | 1,799,749 | | | | 494,885 | | | | 77,842 | | | | 328,857 | | | | 2,842,178 | |
* | Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Consolidated Schedules of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Consolidated Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Consolidated Statements of Operations for the period ended June 30, 2021:
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 |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Consolidated Statements of Operations categorized by primary risk exposure for the period ended June 30, 2021:
Realized Gain (Loss) on Derivative Investments Recognized on the Consolidated Statements of Operations |
Fund | | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Futures
Foreign
Currency
Exchange
Risk | | | Futures
Interest Rate
Risk | | | Futures
Commodity
Risk | | | Total | |
Long Short Equity Fund | | $ | 22 | | | $ | (2,632,956 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (2,632,934 | ) |
Global Managed Futures Strategy Fund | | | 542,686 | | | | — | | | | 173,724 | | | | (407,466 | ) | | | 616,823 | | | | 925,767 | |
Multi-Hedge Strategies Fund | | | 252,222 | | | | 383,175 | | | | 343,970 | | | | (319,829 | ) | | | 1,282,182 | | | | 1,941,720 | |
Commodities Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 1,384,416 | | | | 1,384,416 | |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Consolidated Statements of Operations |
Fund | | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Futures
Foreign
Currency
Exchange
Risk | | | Futures
Interest Rate
Risk | | | Futures
Commodity
Risk | | | Total | |
Long Short Equity Fund | | $ | — | | | $ | 1,529,652 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,529,652 | |
Global Managed Futures Strategy Fund | | | (64,965 | ) | | | — | | | | (58,736 | ) | | | (28,605 | ) | | | (56,462 | ) | | | (208,768 | ) |
Multi-Hedge Strategies Fund | | | 111,120 | | | | 935,256 | | | | 216,490 | | | | 40,681 | | | | 68,079 | | | | 1,371,626 | |
Commodities Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 102,765 | | | | 102,765 | |
In conjunction with short sales and the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.
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.
Note 3 – 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 Consolidated Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. 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.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statements of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
| | | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Consolidated
Statements of Assets
and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Assets1 | | | Gross
Amounts
Offset in the
Consolidated Statements of Assets and Liabilities | | | Net Amount
of Assets
Presented
on the
Consolidated
Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received | | | Net
Amount | |
Long Short Equity Fund | Custom basket swap agreements | | $ | 1,396,501 | | | $ | — | | | $ | 1,396,501 | | | $ | (950,924 | ) | | $ | — | | | $ | 445,577 | |
Multi-Hedge Strategies Fund | Custom basket swap agreements | | | 3,207,782 | | | | — | | | | 3,207,782 | | | | (1,799,749 | ) | | | — | | | | 1,408,033 | |
| | | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Consolidated
Statements of Assets
and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Liabilities1 | | | Gross
Amounts
Offset in the
Consolidated Statements of Assets and Liabilities | | | Net Amount
of Liabilities
Presented
on the
Consolidated
Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net
Amount | |
Long Short Equity Fund | Custom basket swap agreements | | $ | 950,924 | | | $ | — | | | $ | 950,924 | | | $ | (950,924 | ) | | $ | — | | | | — | |
Multi-Hedge Strategies Fund | Custom basket swap agreements | | | 1,799,749 | | | | — | | | | 1,799,749 | | | | (1,799,749 | ) | | | — | | | | — | |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of June 30, 2021.
Fund | Counterparty | Asset Type | | Cash
Pledged | | | Cash
Received | |
Global Managed Futures Strategy Fund | Goldman Sachs International | Futures contracts | | $ | 80 | | | $ | — | |
Multi-Hedge Strategies Fund | Goldman Sachs International | Futures contracts | | | 423,783 | | | | — | |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 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.
Note 5 – Investment Advisory Agreement and Other Agreements
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
(as a % of Net Assets) | |
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 Subsidiaries, and may not be terminated by GI unless GI obtains the prior approval of the Funds’ Board for such termination. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended June 30, 2021, the Global Managed Futures Strategy Fund, Multi-Hedge Strategies Fund and Commodities Strategy Fund waived $7,017, $8,992 and $3,898, respectively, related to advisory fees 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.
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board 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.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended June 30, 2021, the following Funds waived fees related to investments in affiliated funds:
Fund | | Amount Waived | |
Global Managed Futures Strategy Fund | | $ | 89 | |
Multi-Hedge Strategies Fund | | | 4,270 | |
Commodities Strategy Fund | | | 1,613 | |
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Funds’ securities and cash. U.S. Bank, N.A. (“U.S. Bank”) acts as the Funds’ custodian. As custodian, U.S. Bank is responsible for the custody of the Funds’ assets. For providing the aforementioned services, MUIS and U.S. Bank are entitled to receive a monthly fee equal to an annual percentage of each Fund’s average daily net assets and out of pocket expenses.
Note 6 – Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. government agencies. The 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, 2021, the repurchase agreements in the joint account were as follows:
Counterparty and
Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
J.P. Morgan Securities LLC | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
0.05% | | | | | | | | | | 0.13% | | | | | | | | |
Due 07/01/21 | | $ | 43,014,729 | | | $ | 43,014,789 | | | Due 04/30/23 | | $ | 43,947,200 | | | $ | 43,875,223 | |
| | | | | | | | | | | | | | | | | | | |
BofA Securities, Inc. | | | | | | | | | | U.S. Treasury Bond | | | | | | | | |
0.04% | | | | | | | | | | 2.25% | | | | | | | | |
Due 07/01/21 | | | 16,602,804 | | | | 16,602,822 | | | Due 05/15/41 | | | 16,308,000 | | | | 16,934,920 | |
| | | | | | | | | | | | | | | | | | | |
Barclays Capital, Inc. | | | | | | | | | | U.S. Treasury Inflation Indexed Bond | | | | | | | | |
0.03% | | | | | | | | | | 0.13% | | | | | | | | |
Due 07/01/21 | | | 16,934,860 | | | | 16,934,874 | | | Due 04/15/26 | | | 15,882,137 | | | | 17,278,376 | |
| | | | | | | | | | | | | | | | | | | |
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.
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 7 – Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the Consolidated 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 their 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, 2021, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
| | | Gross Amounts Not Offset in the
Consolidated Statements of Assets and Liabilities | | | | Securities Lending Collateral | |
Fund | | Value of
Securities
Loaned | | | Collateral
Received(a) | | | Net
Amount | | | | Cash
Collateral
Invested | | | Cash
Collateral
Uninvested | | | Total
Collateral | |
Multi-Hedge Strategies Fund | | $ | 775,812 | | | $ | (775,812 | ) | | $ | — | | | | $ | 802,615 | | | $ | — | | | $ | 802,615 | |
(a) | Actual collateral received by the Fund is generally 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 to evaluate potential risks.
Note 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 or federal excise 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 U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ consolidated financial statements. The Funds’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) 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 respective Subsidiary which is expected to provide the Funds with exposure to the commodities markets within the limitations of the U.S. federal income 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. If, during a taxable year, the Subsidiary’s taxable losses (and other deductible items) exceed its income and gains, the net loss will not pass through to the Fund as a deductible amount for U.S. federal income tax purposes and cannot be carried forward to reduce future income from the Subsidiary in subsequent years.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
The Multi-Hedge Strategies Fund may invest in equity positions in master limited partnerships (“MLPs”). Tax implications of holding MLPs may lead to the Multi-Hedge Strategies Fund incurring material income tax and excise tax expenses.
At June 30, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:
Fund | | Tax Cost | | | Tax
Unrealized
Appreciation | | | Tax
Unrealized
Depreciation | | | Net Tax
Unrealized
Appreciation
(Depreciation) | |
Long Short Equity Fund | | $ | 25,481,832 | | | $ | 4,748,309 | | | $ | (1,306,535 | ) | | $ | 3,441,774 | |
Global Managed Futures Strategy Fund | | | 13,107,652 | | | | 120,207 | | | | (419,047 | ) | | | (298,840 | ) |
Multi-Hedge Strategies Fund | | | 31,491,450 | | | | 6,743,511 | | | | (4,184,203 | ) | | | 2,559,308 | |
Commodities Strategy Fund | | | 9,761,719 | | | | — | | | | (52,795 | ) | | | (52,795 | ) |
Note 9 – Securities Transactions
For the period ended June 30, 2021, 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 | | $ | 26,800,209 | | | $ | 27,805,670 | |
Global Managed Futures Strategy Fund | | | 53,961 | | | | — | |
Multi-Hedge Strategies Fund | | | 36,500,674 | | | | 37,235,905 | |
Commodities Strategy Fund | | | 1,810,116 | | | | — | |
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. 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, 2021, the Funds did not engage in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $150,000,000 line of credit from U.S. Bank, N.A., which was increased to $200,000,000 on February 10, 2021 and expired on June 7, 2021. On June 7, 2021, the line of credit agreement was renewed and expires on June 6, 2022. 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 1.25% for the period ended June 30, 2021. The Funds did not have any borrowings outstanding under this agreement at June 30, 2021.
The average daily balances borrowed for the period ended June 30, 2021, were as follows:
Fund | | Average Daily
Balance | |
Multi-Hedge Strategies Fund | | $ | 555 | |
Note 11 – 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
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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-2296 (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. On April 3, 2018, Justice Kennedy and Justice Thomas issued a “Statement” related to the petition for certiorari suggesting that the Second Circuit and/or District Court may want to take steps to reexamine the application of the Section 546(e) safe harbor to the previously dismissed state law constructive fraudulent transfer claims based on the Supreme Court’s decision in Merit Management Group LP v. FTI Consulting, Inc. On April 10, 2018, Plaintiffs filed in the Second Circuit a motion for that court to recall its mandate, vacate its prior decision, and remand to the district court for further proceedings consistent with Merit Management. On April 20, 2018, the shareholder defendants filed an opposition to Plaintiffs’ motion to recall the mandate. On May 15, 2018, the Second Circuit issued an order recalling the mandate “in anticipation of further panel review.” On December 19, 2019, the Second Circuit issued an amended opinion that again affirmed the district court’s ruling on the basis that plaintiffs’ claims were preempted by Section 546(e) of the Bankruptcy Code. Plaintiffs filed a motion for rehearing and rehearing en banc on January 2, 2020. The Second Circuit denied the petition on February 6, 2020. On July 6, 2020, plaintiffs filed a new petition for a writ of certiorari in the U.S. Supreme Court. In that petition, plaintiffs stated that “[t]o make it more likely that there will be a quorum for this petition,” they have “abandon[ed] the case and let the judgment below stand” with respect to certain defendants. That list did not include Rydex Variable Trust. Defendants filed an opposition to the petition for certiorari on August 26, 2020, and plaintiffs filed a reply in support of the petition for certiorari on September 8, 2020. The Court denied the petition for certiorari on April 19, 2021.
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 intended to permit an interlocutory appeal of the dismissal order, but would wait to do so until it has resolved outstanding motions to dismiss filed by other defendants.
On July 18, 2017, the plaintiff submitted a letter to the District Court seeking leave to amend its complaint to add a constructive fraudulent transfer claim. The shareholder defendants opposed that request. On August 24, 2017, the Court denied the plaintiff’s request without prejudice to renewal of the request in the event of an intervening change in the law. On March 8, 2018, the plaintiff renewed his request for leave to file a
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(concluded) |
motion to amend the complaint to assert a constructive fraudulent transfer claim based on the Supreme Court’s ruling in Merit Management Group LP v. FTI Consulting, Inc. The shareholder defendants opposed that request. On June 18, 2018 the District Court ordered that the request would be stayed pending further action by the Second Circuit in the SLCFC actions.
On December 18, 2018, plaintiff filed a letter with the District Court requesting that the stay be dissolved in order to permit briefing on the motion to amend the complaint and indicating plaintiff’s intention to file another motion to amend the complaint to reinstate claims for intentional fraudulent transfer. The shareholder defendants opposed that request. On January 14, 2019, the court held a case management conference, during which the court stated that it would not lift the stay prior to further action from the Second Circuit in the SLCFC actions. The court further stated that it would allow the plaintiff to file a motion to amend to try to reinstate its intentional fraudulent transfer claim. On January 23, 2019, the court ordered the parties still facing pending claims to participate in a mediation, to commence on January 28, 2019. The mediation did not result in a settlement of the claims against the shareholder defendants.
On April 4, 2019, plaintiff filed a motion to amend the Fifth Amended Complaint to assert a federal constructive fraudulent transfer claim against certain shareholder defendants. On April 10, 2019, the shareholder defendants filed a brief in opposition to plaintiff’s motion to amend. On April 12, 2019, the plaintiff filed a reply brief. On April 23, 2019, the court denied the plaintiff’s motion to amend. On June 13, 2019, the court entered judgment pursuant to Rule 54(b). On July 12, 2019, the Plaintiff filed a notice of appeal with respect to the dismissal of his claims and the District Court’s denial of his motion for leave to amend. Plaintiff filed an appellate brief on January 7, 2020. The shareholder defendants’ brief was filed on April 27, 2020. Plaintiff filed a reply brief on May 18, 2020. The Court held oral argument on August 24, 2020.
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.
Note 12 – COVID-19
The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and public health conditions around the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.
Note 13 – Subsequent Events
The Funds evaluated subsequent events through the date the consolidated financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Funds’ consolidated financial statements.
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited) |
Delivery of Shareholder Reports
Paper copies of the Funds’ annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
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 Consolidated 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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Rydex Variable Trust Contracts Review Committee
Rydex Variable Trust (the “Trust”) was organized as a Delaware statutory trust on June 11, 1998, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series (each, a “Fund” and collectively, the “Funds”):
Tradable Funds (Including Sector Funds*) |
● | Banking Fund* | ● | Basic Materials Fund* |
● | Biotechnology Fund* | ● | Commodities Strategy Fund |
● | Consumer Products Fund* | ● | Dow 2x Strategy Fund |
● | Electronics Fund* | ● | Energy Fund* |
● | Energy Services Fund* | ● | Europe 1.25x Strategy Fund |
● | Financial Services Fund* | ● | Government Long Bond 1.2x Strategy Fund |
● | Health Care Fund* | ● | High Yield Strategy Fund |
● | Internet Fund* | ● | Inverse Dow 2x Strategy Fund |
● | Inverse Government Long Bond Strategy Fund | ● | Inverse High Yield Strategy Fund*** |
● | Inverse Mid-Cap Strategy Fund | ● | Inverse NASDAQ-100 2x Strategy Fund*** |
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● | Inverse NASDAQ-100 Strategy Fund | ● | Inverse Russell 2000 2x Strategy Fund*** |
● | Inverse Russell 2000 Strategy Fund | ● | Inverse S&P 500 2x Strategy Fund*** |
● | Inverse S&P 500 Strategy Fund | ● | Japan 2x Strategy Fund |
● | Leisure Fund* | ● | Mid-Cap 1.5x Strategy Fund |
● | NASDAQ-100 2x Strategy Fund | ● | NASDAQ-100 Fund |
● | Nova Fund | ● | Precious Metals Fund* |
● | Real Estate Fund | ● | Retailing Fund* |
● | Russell 2000 1.5x Strategy Fund | ● | Russell 2000 2x Strategy Fund |
● | Russell 2000 Fund*** | ● | S&P 500 Fund*** |
● | S&P 500 Pure Growth Fund | ● | S&P 500 Pure Value Fund |
● | S&P MidCap 400 Pure Growth Fund | ● | S&P MidCap 400 Pure Value Fund |
● | S&P SmallCap 600 Pure Growth Fund | ● | S&P SmallCap 600 Pure Value Fund |
● | Strengthening Dollar 2x Strategy Fund | ● | Technology Fund* |
● | Telecommunications Fund* | ● | Transportation Fund* |
● | Utilities Fund* | ● | U.S. Government Money Market Fund |
● | Weakening Dollar 2x Strategy Fund | | |
Alternative Funds** (i.e., Non-Tradable Funds) |
● | Global Managed Futures Strategy Fund** | ● | Long Short Equity Fund** |
● | Multi-Hedge Strategies Fund** | | |
* | Each, a “Sector Fund” and collectively, the “Sector Funds.” |
** | Each, an “Alternative Fund” and collectively, the “Alternative Funds.” Each Fund other than the Alternative Funds, a “Tradable Fund” and collectively, the “Tradable Funds.” |
*** | The Fund has been organized as a series of the Trust but has not commenced operations, and shares of the Fund are not currently offered to investors. The investment advisory agreement for the Fund was not considered for renewal. Consequently, all references to “the Funds” or similar references hereafter should be understood as excluding such Fund. |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of the Funds pursuant to an investment advisory agreement between the Trust, with respect to the Funds, and Security Investors (the “Advisory Agreement”).1 (Guggenheim Partners, Security Investors and their affiliates may be referred to herein collectively as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes Security Investors and other affiliated investment management businesses of Guggenheim Partners.)
Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Adviser regularly provides investment research, advice and supervision, along with a continuous investment program for the Funds, and directs the purchase and sale of securities and other investments for each Fund’s portfolio.
The Advisory Agreement continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at
1 | Security Investors also serves as investment adviser to each of Rydex Variable Commodities Strategy CFC, Rydex Variable Managed Futures Strategy CFC and Rydex Variable Multi-Hedge Strategies CFC (each, a “Subsidiary” and collectively, the “Subsidiaries”), wholly-owned subsidiaries of the Trust that are organized as limited companies under the laws of the Cayman Islands and used by Commodities Strategy Fund, Managed Futures Strategy Fund and Multi-Hedge Strategies Fund, respectively, to obtain commodities exposure. Pursuant to a separate investment management agreement for each Subsidiary (each, a “Subsidiary Advisory Agreement” and collectively, the “Subsidiary Advisory Agreements), the Subsidiary pays Security Investors an advisory fee at the same rate that the respective Fund pays Security Investors under the Advisory Agreement. The Subsidiary Advisory Agreements do not require annual renewal by the Independent Trustees and will continue until they are terminated as provided in the Agreements. In addition, Security Investors has entered into a separate waiver agreement with respect to each applicable Fund pursuant to which Security Investors has contractually agreed to waive the advisory fee it receives from the Fund in an amount equal to the advisory fee paid to Security Investors by the respective Subsidiary. This undertaking will continue with respect to each applicable Fund for so long as the Fund invests in the respective Subsidiary, and may be terminated only with the approval of the Board. |
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OTHER INFORMATION (Unaudited)(continued) |
a meeting called for such purpose.2 At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreement in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreement and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Advisory Agreement.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee met with a representative of FUSE at the April Meeting to discuss how FUSE determined the appropriate peer groups for the Funds. Thereafter, the Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a list of Funds for which no peer funds were identified, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
As part of its evaluation of the Adviser and the proposed renewal of the Advisory Agreement, the Committee took into account that each Tradable Fund is designed to provide tactical advisors with specific exposures (with the exception of the U.S. Government Money Market Fund which is designed to support tactical advisors seeking to avoid market exposure or preserve capital) while also providing for unlimited trading privileges, and that the Tradable Funds offer a unique set of product features. The Committee noted that each Tradable Fund (other than the U.S. Government Money Market Fund) seeks to track, or correlate to, the performance (before fees and expenses) of a specific benchmark index over certain time periods or a specific market, noting that, because appropriate published indices are not available for many of the Sector Funds and the Real Estate Fund, the Adviser has developed its own methodology to construct internal performance benchmarks for the Sector Funds and the Real Estate Fund. In this regard, the Committee received information regarding the Adviser’s proprietary methodology for constructing internal performance benchmarks for such Funds, including the personnel with primary responsibility for the maintenance and execution of the methodology. The Committee also noted that, in addition to the performance information included in the FUSE reports, the Adviser provided tracking error data for each Tradable Fund (other than U.S. Government Money Market Fund) relative to the applicable benchmark index or Guggenheim-constructed internal performance benchmark.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the Advisory Agreement for an additional annual term.
Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The
2 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Advisory Agreement at a meeting of the Board held by videoconference on May 26, 2021. |
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Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, the funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and index methodologies and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
With respect to the Tradable Funds, the Committee considered their unique product features, including their tradability, the real time cash process employed for such Funds, and the leveraged and inverse strategies offered, and the Adviser’s assessment of the value to shareholders provided by the Funds’ structure and the services required by the Adviser to provide the Funds’ unique features. The Committee noted that the Tradable Funds allow frequent trading and noted the magnitude of changes in each Fund’s assets during 2020 and 2019. In this regard, the Committee noted that the real time cash process is utilized by the Adviser to aggregate shareholder flow data to estimate daily net subscriptions or redemptions in order to mitigate the costs associated with the tradability feature, improve tracking and keep the Funds fully invested. The Committee also took into account the infrastructure developed by the Adviser to manage the significant volume and size of trading that typically occurs near the end of each business day, as well as the unique considerations required in the portfolio construction process to determine the optimal way to obtain the applicable exposures, including leveraged and inverse exposures, while allowing for high turnover. With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s proprietary methodology for constructing internal performance benchmarks for such Funds, noting the Adviser’s statement that it uses a quantitative portfolio investment process that also requires investment discretion in implementing adjustments for factors that affect tradability and liquidity, changing dynamics within a sector or market, and corporate actions such as spin-offs, among other adjustments.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Guggenheim’s resources and the ability of the Adviser to carry out its responsibilities under the Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH.
The Committee also considered the acceptability of the terms of the Advisory Agreement, including the scope of services required to be performed by the Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how the Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under the Advisory Agreement with respect to the Funds.
Investment Performance: Except as otherwise noted, the Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. For certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, only investment returns for the five-year, three-year and one-year periods ended December 31, 2020, as applicable, were received. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark and a peer group of similar funds based on asset levels as identified by FUSE, and for certain Funds, a broader universe of funds, in each case for the same periods, as applicable. The Committee also received from FUSE a description
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of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. For the Tradable Funds (other than U.S. Government Money Market Fund), the Committee received tracking error data for other similar funds in the Guggenheim fund complex. The Committee also received certain updated performance information as of March 31, 2021.
With respect to the Tradable Funds (other than U.S. Government Money Market Fund), the Committee considered the Adviser’s statement that such Funds are designed as a suite of products seeking to provide a number of broad and specific exposures for tactical advisors and also considered that the Funds have a unique set of product features designed to meet the needs of those tactical advisors, which has an impact on performance. The Committee considered the Adviser’s statement that, in circumstances in which there are significant deviations from expected returns, management seeks to understand the cause of such deviations and determine if any remedial actions should be considered, noting that no such remedial actions were currently deemed necessary by the Adviser to address performance. The Committee also considered the Adviser’s discussion of factors that contribute to such deviations, including shareholder activity, financing costs associated with leverage and investment instruments used to achieve certain exposures, noting the Adviser’s statement that expenses and transaction costs based on shareholder activity are the primary driver of performance differences.
With respect to certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds in the two direct competitor product suites and noted the Adviser’s statement that certain Tradable Funds do not have any peer funds that provide the same index, leverage or inverse exposure. The Committee also considered management’s commentary explaining instances of significant underperformance (defined as greater than 100 basis points), as applicable, of such Funds over the five-year, three-year and/or one-year periods ended December 31, 2020, relative to their respective peer funds, attributing such relative underperformance to, among other factors, differences in portfolio construction methodologies and exposures. The Committee noted that the two direct competitor product suites do not offer a fund comparable to the Commodities Strategy Fund and considered a comparison to a peer group identified in the FUSE report that includes actively-managed funds, noting the limitations in the comparability of such peer group.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report has product features that make it comparable in this regard. The Committee considered that the Fund outperformed the comparable peer fund over the five-year, three-year and one-year periods ended December 31, 2020, although its performance ranked in the fourth quartile of the broader peer group over the same time periods.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds seeking similar exposures but that do not offer the same product features, including unlimited trading privileges, noting the Adviser’s statement that certain peer funds also cover a narrower or wider market segment than the applicable Fund. The Committee considered management’s commentary explaining such Funds’ underperformance, as applicable, over the five-year, three-year and one-year periods ended December 31, 2020, relative to their respective peer groups, attributing such underperformance to, among other factors, high turnover associated with daily shareholder flows, differences in exposures and the Funds’ modified cap weighting approach to portfolio construction.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), in seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. The Committee observed that the Global Managed Futures Strategy Fund’s returns ranked in the third quartile or better of its performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations regarding the other Alternative Funds:
Long Short Equity Fund: The Fund’s returns ranked in the 80th percentile of its performance universe for the five-year and three-year periods ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily a result of the Fund’s fundamental factor tilts and the underperformance of the Fund’s prior investment strategy. The Committee noted management’s statement that the Fund’s long exposure to value and short exposure to growth, as well as negative sector exposures to well-performing sectors, have detracted from investment performance. The Committee also noted management’s statement that
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the Fund employed a momentum-based investment strategy prior to May 31, 2017 that demonstrated bouts of volatility and inconsistencies, which affected long-term performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 45th and 60th percentiles, respectively.
Multi-Hedge Strategies Fund: The Fund’s returns ranked in the 100th percentile of its performance universe for the five-year and three-year periods ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the underperformance of its long short equity sleeve and its overall lower equity market beta relative to its peers. With respect to the Fund’s long short equity sleeve, the Committee noted management’s statement that the sleeve’s high long exposure to value and short exposure to growth have detracted from investment performance. The Committee took into account management’s statement that the Fund changed its underlying investment strategies to improve diversification amongst the strategies, target a higher and more stable risk profile and enhance risk-adjusted returns while providing continuity for shareholders. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 55th and 21st percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee3 and total net expense ratio to the applicable peer group, if any. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable. The Committee noted Guggenheim’s statement that it does not provide advisory services to other clients that have investment strategies similar to those of the Funds, other than the retail fund counterparts to the Funds and certain other clients with respect to Long Short Equity Fund, each of which is charged the same advisory fee as the corresponding Fund.
With respect to the Tradable Funds that are designed to track a widely available index, which have only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds, noting the Adviser’s statement that only one of the two direct competitor product suites is directly comparable for purposes of assessing such Funds’ advisory fees. For those Tradable Funds with a peer fund from the directly comparable product suite, the Committee noted that each Fund’s contractual advisory fee was equal to or lower than the contractual advisory fee charged to the peer fund, with the exception of 15 Funds for which the contractual advisory fee was five basis points higher than the contractual advisory fee charged to the peer fund. With respect to each of those 15 Funds, the Adviser agreed to waive five basis points of its contractual advisory fee through August 1, 2022. The Committee also considered that each such Fund’s net effective management fee was competitive. The Committee noted that the higher total net expense ratio as compared to the peer fund was driven primarily by the higher other operating expenses of each such Fund.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report is directly comparable in terms of product features offered. The Committee considered that, as of the Fund’s and the peer fund’s respective fiscal year ends, the Fund’s contractual advisory fee, net effective management fee and total net expense ratio are lower than those of the peer fund. The Committee noted the Adviser’s statement that, given the current low interest rate environment, it is currently waiving, and intends to continue to waive, all or a portion of its fees to the extent necessary to maintain the Fund’s stable net asset value.
3 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds seeking similar exposures but that do not offer the same product features, such as unlimited trading privileges. As a result, the fee and expense comparisons are more difficult given the uniqueness of both the Funds’ structure and the portfolio management needed to meet client requirements.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), the Committee made the following observations:
Global Managed Futures Strategy Fund: The Fund’s contractual advisory fee ranks in the fourth quartile (100th percentile) of its peer group. The Fund’s net effective management fee ranks in the first quartile (1st percentile) of its peer group. The Fund’s total net expense ratio ranks in the fourth quartile (100th percentile) of its peer group, with higher other operating expenses than its peer fund. The Committee considered that the peer group is limited in size and is comprised of only two funds. The Committee noted that the Fund’s contractual advisory fee and total net expense ratio each rank more competitively when compared to the broader universe of funds.
Long Short Equity Fund: The Fund’s contractual advisory fee, net effective management fee and total net expense ratio each rank in the fourth quartile (80th, 80th and 100th percentiles, respectively) of its peer group. The Committee noted the Fund’s higher other operating expenses compared to its peers. The Committee considered that the peer group is limited in size and is comprised of only six funds.
Multi-Hedge Strategies Fund: Although the Fund’s contractual advisory fee ranks in the fourth quartile (75th percentile) of its peer group, the Committee considered that the Fund’s net effective management fee and total net expense ratio each rank at the median of its peer group. The Committee considered that the peer group is limited in size and is comprised of only five funds.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to the Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Adviser derives any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Adviser may benefit from certain economies of scale and synergies, such as enhanced visibility of the Adviser, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by the Adviser from its relationship with the Funds were appropriate and that the Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
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The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for an Alternative Fund (i.e., a non-Tradable Fund), with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee also considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such expense waivers and limitations. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of the Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of the Advisory Agreement for an additional annual term.
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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 | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES | | | |
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2019 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 157 | Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016). |
Angela Brock-Kyle (1959) | Trustee | Since 2016 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012). | 156 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Infinity Property & Casualty Corp. (2014-2018). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2005 (Trustee) Since 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 156 | Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019). |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2019 | Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 157 | Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 85 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - concluded | | |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2016 (Trustee) Since 2019 (Chair of the Audit Committee) | Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017). | 156 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2019 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 156 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
86 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INTERESTED TRUSTEE | | | | |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2019 | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 157 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 87 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS | | | |
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2019 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
James M. Howley (1972) | Assistant Treasurer | Since 2016 | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004). |
Mark E. Mathiasen (1978) | Secretary | Since 2017 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2018 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014). |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
88 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS - concluded | |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2016 | 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, Mutual Fund Administration for 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). |
Bryan Stone (1979) | Vice President | Since 2019 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2016 | Current: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 89 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, 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.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
| | ● | We use your information in connection with servicing your accounts. |
| | ● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
| | ● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
| | ● | We use information for security purposes. We may use your information to protect our company and our customers. |
| | ● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
90 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
| | ● | We use information as otherwise permitted by law, as we may notify you. |
| | ● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 91 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Rydex Variable Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 93 |
6.30.2021
Rydex Variable Trust Funds 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-0621x1221 |
| | |
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 | 56 |
INTERNET FUND | 62 |
LEISURE FUND | 68 |
PRECIOUS METALS FUND | 74 |
REAL ESTATE FUND | 80 |
RETAILING FUND | 87 |
TECHNOLOGY FUND | 93 |
TELECOMMUNICATIONS FUND | 100 |
TRANSPORTATION FUND | 106 |
UTILITIES FUND | 112 |
NOTES TO FINANCIAL STATEMENTS | 118 |
OTHER INFORMATION | 128 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 136 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 141 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 144 |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for 18 of our 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, 2021.
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,
Security Investors, LLC
July 31, 2021
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.
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.
COVID-19. The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of this uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.
Sector funds may not be suitable for all investors. Investing in sector funds is more volatile than investing in broadly diversified funds, as there is a greater risk due to the concentration of the Funds’ holdings in issuers of the same or similar offerings. Certain of the sector funds are considered non-diversified and can invest a greater portion of their assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of fund shares than would occur in a more diversified fund.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | June 30, 2021 |
More states saw the end of COVID-19 related restrictions in the second quarter of 2021, including New York, California, and Illinois, marking a full reopening for almost all of the U.S. The U.S. has made solid vaccination progress, inoculating over 52% of the population. Those vaccinations have helped COVID-19 cases fall sharply from their peak, but the spread of the Delta variant is a worrying trend, particularly in areas with low vaccination rates. Though we expect cases will rise further as the Delta variant spreads, vaccination rates are high for the most vulnerable populations, which could limit hospitalizations and deaths, in turn reducing the need for a return to strict lockdowns.
Relaxed COVID-19 related measures and increased consumer comfort prompted a rapid reopening of the service sector and robust manufacturing activity. Both the ISM Manufacturing and Services Purchasing Managers Indexes cooled a bit in June but remain near the peaks of recent economic cycles.
Labor demand is also at record highs according to the National Federation of Independent Businesses (“NFIB”). The NFIB reported that nearly half of small-business owners in the U.S. could not fill job openings in June, making it the fifth consecutive month where the share of surveyed business owners citing jobs were hard to fill exceeded pre-COVID-19 historical highs. To attract more workers, business owners are raising or planning to raise compensation, especially in low-wage sectors where enhanced jobless benefits are competitive with wages. Corroborating this signal of strong labor demand is the consumer confidence data, which shows perceptions around job availability is above pre-COVID-19 highs.
Against this strong backdrop, the Federal Open Market Committee (“FOMC”) held its June meeting where, as expected, it kept rates unchanged. But the surprise came from the quarterly Summary of Economic Projections, which showed that FOMC participants now see upside risks to inflation at the highest levels in over a decade. This shift in the distribution of risk around inflation resulted in a surprise two-hike increase in their median fed funds rate forecast for 2023.
Our interpretation is that the U.S. Federal Reserve (“Fed”) is willing to be patient in reaching its dual mandate, but not irresponsible. Since the June meeting, 5-year forward Treasury Inflation-Protected Securities (“TIPS”) breakeven rates have fallen by about 0.25% as the market priced out a scenario in which the Fed lets inflation run too hot. This reassessment of the Fed’s reaction function led to a material decline in interest rates over the quarter. In the long run, keeping inflation expectations in check buys the central bank more time to keep policy accommodative.
Looking ahead, we are assessing the potential consequences of a slowdown in U.S. economic activity. Second quarter U.S. gross domestic product (“GDP”) is on track to show 8-9% annualized growth, after which we expect sequential growth could slow heading into 2022. Base effects from last year’s trough in activity could fade, as might the fiscal impulse over time. The impact of reopening businesses will also shrink. This natural slowdown in activity as we move through peak growth could present challenges if growth slows more than expected.
Inflation could fall given that much of the recent increase is coming from categories suffering temporary supply chain disruptions. Price pressures have materialized in sectors directly affected by the pandemic, such as hotels, airfares, and car rentals, where demand has bounced back faster than supply. Shortages in areas such as semiconductors and building materials are caused by factories and transportation abroad that have not returned to full capacity. As these factors are resolved and supply comes back online, a decline in inflation prints and inflation expectations over the next several quarters may prompt a rethink of the FOMC’s forecasted hikes.
The Fed may commence tapering asset purchases in 2022, but we continue to believe rate hikes will likely get pushed as far as 2025 as inflation cools and the Fed targets a historically tight labor market. This patience by the Fed would support credit conditions, which could mean low default volumes and positive risk-adjusted returns. Real U.S. interest rates could remain deeply negative, further supporting the credit sector as income-seeking investors search for yield.
For the six-month period ended June 30, 2021, the S&P 500® Index* returned 15.25%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 8.83%. The return of the MSCI Emerging Markets Index* was 7.45%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -1.60% return for the six-month period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 3.62%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.02% 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) | |
*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.
ICE 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.
MSCI U.S. REIT Index is a free float market capitalization weighted index that is comprised of equity real estate investment trust (“REIT”) securities that belong to the MSCI U.S. Investable Market 2500 Index. The MSCI U.S. REIT Index includes only REIT securities that are of reasonable size in terms of full and free float-adjusted market capitalization to ensure that the performance of the equity REIT universe can be captured and replicated in actual institutional and retail portfolios of different sizes.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
S&P 500® Consumer Discretionary Index is a sub-index of the S&P 500®. The Consumer Discretionary index includes companies in the following industries: automobiles and components, consumer durables, apparel, hotels, restaurants, leisure, media and retailing.
S&P 500® Consumer Staples Index is a sub-index of the S&P 500®. The Consumer Staples index comprises companies whose businesses are less sensitive to economic cycles. It includes manufacturers and distributors of food, beverages and tobacco and producers of non-durable household goods and personal products. It also includes food & drug retailing companies as well as hypermarkets and consumer super centers.
S&P 500® Energy Index is a sub-index of the S&P 500®. The Energy index comprises companies whose businesses are dominated by either of the following activities: The construction or provision of oil rigs, drilling equipment and other energy-related equipment and services, including seismic data collection; companies engaged in the exploration, production, marketing, refining and/or transportation of oil and gas products, coal and other consumable fuels.
S&P 500® Financials Index is a sub-index of the S&P 500®. The Financials index contains companies involved in activities such as banking, mortgage finance, consumer finance, specialized finance, investment banking and brokerage, asset management and custody, corporate lending, insurance, and financial investment, and real estate, including REITs.
S&P 500® Health Care Index is a sub-index of the S&P 500®. The Health Care index encompasses two main industry groups. The first includes companies who manufacture health care equipment and supplies or provide health care related services, including distributors of health care products, providers of basic health-care services, and owners and operators of health care facilities and organizations. The first group also includes companies operating in the health care technology industry. The second group includes companies primarily involved in the research, development, production and marketing of pharmaceuticals, biotechnology and life sciences products.
S&P 500® Industrials Index is a sub-index of the S&P 500®. The Industrials index includes companies whose businesses are dominated by one of the following activities: the manufacture and distribution of capital goods, including aerospace & defense, construction, engineering & building products, electrical equipment and industrial machinery; the provision of commercial services and supplies, including printing, environmental, office and security services; the provision of professional services, including employment and research & consulting services; or the provision of transportation services, including airlines, couriers, marine, road & rail and transportation infrastructure.
S&P 500® Information Technology Index is a sub-index of the S&P 500®. The Information Technology index covers the following general areas: technology software & services, including companies that primarily develop software in various fields such as the Internet, applications, systems, databases management and/or home entertainment, and companies that provide information technology consulting and services, as well as data processing and outsourced services; secondly, technology hardware & equipment, including manufacturers and distributors of communications equipment, computers & peripherals, electronic equipment and related instruments; and thirdly, semiconductors & semiconductor equipment manufacturers.
S&P 500® Materials Index is a sub-index of the S&P 500®. The Materials index encompasses a wide range of commodity-related manufacturing industries. Included in this sector are companies that manufacture chemicals, construction materials, glass, paper, forest products and related packaging products, and metals, minerals and mining companies, including producers of steel.
S&P 500® Telecommunications Services Index is a sub-index of the S&P 500®. The Telecommunications Services index contains companies that provide communications services primarily through a fixed-line, cellular, wireless, high bandwidth and/or fiber optic cable network.
S&P 500® Utilities Index is a sub-index of the S&P 500®. The Utilities index encompasses those companies considered electric, gas or water utilities, or companies that operate as independent producers and/or distributors of power.
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, 2020 and ending June 30, 2021.
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
Ratio1 | Fund
Return | Beginning
Account Value
December 31, 2020 | Ending
Account Value
June 30, 2021 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | | | |
Banking Fund | 1.69% | 26.19% | $ 1,000.00 | $ 1,261.90 | $ 9.48 |
Basic Materials Fund | 1.70% | 16.89% | 1,000.00 | 1,168.90 | 9.14 |
Biotechnology Fund | 1.70% | 8.18% | 1,000.00 | 1,081.80 | 8.78 |
Consumer Products Fund | 1.70% | 7.05% | 1,000.00 | 1,070.50 | 8.73 |
Electronics Fund | 1.70% | 17.65% | 1,000.00 | 1,176.50 | 9.17 |
Energy Fund | 1.69% | 47.71% | 1,000.00 | 1,477.10 | 10.38 |
Energy Services Fund | 1.69% | 34.48% | 1,000.00 | 1,344.80 | 9.83 |
Financial Services Fund | 1.69% | 23.63% | 1,000.00 | 1,236.30 | 9.37 |
Health Care Fund | 1.70% | 12.14% | 1,000.00 | 1,121.40 | 8.94 |
Internet Fund | 1.70% | 10.41% | 1,000.00 | 1,104.10 | 8.87 |
Leisure Fund | 1.70% | 12.30% | 1,000.00 | 1,123.00 | 8.95 |
Precious Metals Fund | 1.60% | (3.72%) | 1,000.00 | 962.80 | 7.79 |
Real Estate Fund | 1.69% | 19.19% | 1,000.00 | 1,191.90 | 9.18 |
Retailing Fund | 1.70% | 14.82% | 1,000.00 | 1,148.20 | 9.05 |
Technology Fund | 1.70% | 13.66% | 1,000.00 | 1,136.60 | 9.01 |
Telecommunications Fund | 1.70% | 11.72% | 1,000.00 | 1,117.20 | 8.92 |
Transportation Fund | 1.70% | 13.70% | 1,000.00 | 1,137.00 | 9.01 |
Utilities Fund | 1.70% | 2.78% | 1,000.00 | 1,027.80 | 8.55 |
|
Table 2. Based on hypothetical 5% return (before expenses) | | | | |
Banking Fund | 1.69% | 5.00% | $ 1,000.00 | $ 1,016.41 | $ 8.45 |
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 | 1.69% | 5.00% | 1,000.00 | 1,016.41 | 8.45 |
Energy Services Fund | 1.69% | 5.00% | 1,000.00 | 1,016.41 | 8.45 |
Financial Services Fund | 1.69% | 5.00% | 1,000.00 | 1,016.41 | 8.45 |
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 | 1.69% | 5.00% | 1,000.00 | 1,016.41 | 8.45 |
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, if any. |
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, 2020 to June 30, 2021. |
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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) |
Wells Fargo & Co. | 4.2% |
Bank of America Corp. | 4.1% |
Citigroup, Inc. | 4.1% |
JPMorgan Chase & Co. | 4.1% |
U.S. Bancorp | 3.2% |
PNC Financial Services Group, Inc. | 3.2% |
Truist Financial Corp. | 3.0% |
Capital One Financial Corp. | 2.9% |
Bank of New York Mellon Corp. | 2.4% |
First Republic Bank | 2.0% |
Top Ten Total | 33.2% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Banking Fund | 26.19% | 68.73% | 12.88% | 8.33% |
S&P 500 Financials Index | 25.69% | 61.77% | 17.05% | 13.71% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
BANKING FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Banks - 90.6% |
Wells Fargo & Co. | | | 8,165 | | | $ | 369,793 | |
Bank of America Corp. | | | 8,776 | | | | 361,834 | |
Citigroup, Inc. | | | 5,070 | | | | 358,703 | |
JPMorgan Chase & Co. | | | 2,305 | | | | 358,520 | |
U.S. Bancorp | | | 4,947 | | | | 281,831 | |
PNC Financial Services Group, Inc. | | | 1,457 | | | | 277,937 | |
Truist Financial Corp. | | | 4,765 | | | | 264,457 | |
Bank of New York Mellon Corp. | | | 4,025 | | | | 206,201 | |
First Republic Bank | | | 941 | | | | 176,127 | |
SVB Financial Group* | | | 305 | | | | 169,711 | |
State Street Corp. | | | 1,963 | | | | 161,516 | |
Fifth Third Bancorp | | | 4,120 | | | | 157,508 | |
Northern Trust Corp. | | | 1,306 | | | | 151,000 | |
Huntington Bancshares, Inc. | | | 10,001 | | | | 142,714 | |
KeyCorp | | | 6,581 | | | | 135,898 | |
Citizens Financial Group, Inc. | | | 2,936 | | | | 134,674 | |
Regions Financial Corp. | | | 6,662 | | | | 134,439 | |
M&T Bank Corp. | | | 894 | | | | 129,907 | |
Signature Bank | | | 469 | | | | 115,210 | |
East West Bancorp, Inc. | | | 1,376 | | | | 98,645 | |
ICICI Bank Ltd. ADR* | | | 5,764 | | | | 98,564 | |
Comerica, Inc. | | | 1,348 | | | | 96,166 | |
Western Alliance Bancorporation | | | 1,018 | | | | 94,521 | |
Royal Bank of Canada | | | 931 | | | | 94,320 | |
First Horizon Corp. | | | 5,446 | | | | 94,107 | |
Toronto-Dominion Bank | | | 1,342 | | | | 94,007 | |
HDFC Bank Ltd. ADR* | | | 1,284 | | | | 93,886 | |
Bank of Nova Scotia | | | 1,399 | | | | 91,033 | |
Popular, Inc. | | | 1,206 | | | | 90,510 | |
Commerce Bancshares, Inc. | | | 1,209 | | | | 90,143 | |
Zions Bancorp North America | | | 1,702 | | | | 89,968 | |
Bank of Montreal | | | 876 | | | | 89,843 | |
First Citizens BancShares, Inc. — Class A | | | 104 | | | | 86,605 | |
Credit Suisse Group AG ADR | | | 8,026 | | | | 84,193 | |
Canadian Imperial Bank of Commerce | | | 727 | | | | 82,776 | |
HSBC Holdings plc ADR | | | 2,855 | | | | 82,367 | |
Cullen/Frost Bankers, Inc. | | | 732 | | | | 81,984 | |
UBS Group AG | | | 5,317 | | | | 81,563 | |
Deutsche Bank AG* | | | 6,208 | | | | 81,201 | |
First Financial Bankshares, Inc. | | | 1,620 | | | | 79,591 | |
Pinnacle Financial Partners, Inc. | | | 899 | | | | 79,373 | |
Prosperity Bancshares, Inc. | | | 1,088 | | | | 78,118 | |
Synovus Financial Corp. | | | 1,751 | | | | 76,834 | |
Bank OZK | | | 1,705 | | | | 71,883 | |
South State Corp. | | | 877 | | | | 71,704 | |
Glacier Bancorp, Inc. | | | 1,253 | | | | 69,015 | |
CIT Group, Inc. | | | 1,322 | | | | 68,202 | |
PacWest Bancorp | | | 1,616 | | | | 66,515 | |
Webster Financial Corp. | | | 1,242 | | | | 66,248 | |
United Bankshares, Inc. | | | 1,803 | | | | 65,809 | |
UMB Financial Corp. | | | 696 | | | | 64,770 | |
Wintrust Financial Corp. | | | 817 | | | | 61,790 | |
Umpqua Holdings Corp. | | | 3,321 | | | | 61,272 | |
Community Bank System, Inc. | | | 799 | | | | 60,444 | |
Home BancShares, Inc. | | | 2,447 | | | | 60,392 | |
BankUnited, Inc. | | | 1,399 | | | | 59,723 | |
Hancock Whitney Corp. | | | 1,328 | | | | 59,016 | |
First Hawaiian, Inc. | | | 2,059 | | | | 58,352 | |
Bank of Hawaii Corp. | | | 665 | | | | 56,006 | |
Ameris Bancorp | | | 1,100 | | | | 55,693 | |
Silvergate Capital Corp. — Class A* | | | 490 | | | | 55,527 | |
Texas Capital Bancshares, Inc.* | | | 845 | | | | 53,649 | |
Simmons First National Corp. — Class A | | | 1,827 | | | | 53,604 | |
Independent Bank Group, Inc. | | | 719 | | | | 53,192 | |
Associated Banc-Corp. | | | 2,578 | | | | 52,797 | |
Hilltop Holdings, Inc. | | | 1,430 | | | | 52,052 | |
BancorpSouth Bank | | | 1,835 | | | | 51,986 | |
Old National Bancorp | | | 2,885 | | | | 50,805 | |
United Community Banks, Inc. | | | 1,556 | | | | 49,808 | |
Columbia Banking System, Inc. | | | 1,283 | | | | 49,472 | |
Cadence BanCorp | | | 2,342 | | | | 48,901 | |
Fulton Financial Corp. | | | 3,035 | | | | 47,892 | |
First Midwest Bancorp, Inc. | | | 2,270 | | | | 45,014 | |
Total Banks | | | | | | | 7,939,831 | |
| | | | | | | | | |
Savings & Loans - 3.8% |
People’s United Financial, Inc. | | | 4,748 | | | | 81,381 | |
New York Community Bancorp, Inc. | | | 6,114 | | | | 67,376 | |
Sterling Bancorp | | | 2,687 | | | | 66,611 | |
Pacific Premier Bancorp, Inc. | | | 1,410 | | | | 59,629 | |
Investors Bancorp, Inc. | | | 3,970 | | | | 56,612 | |
Total Savings & Loans | | | | | | | 331,609 | |
| | | | | | | | | |
Diversified Financial Services - 2.9% |
Capital One Financial Corp. | | | 1,643 | | | | 254,156 | |
| | | | | | | | | |
Insurance - 2.2% |
Equitable Holdings, Inc. | | | 3,580 | | | | 109,011 | |
Voya Financial, Inc. | | | 1,345 | | | | 82,717 | |
Total Insurance | | | | | | | 191,728 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $5,715,385) | | | | | | | 8,717,324 | |
| | | | | | | | | |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
BANKING FUND | |
| | | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,1 - 0.4% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 18,981 | | | $ | 18,981 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 7,473 | | | | 7,473 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 7,326 | | | | 7,326 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $33,780) | | | | | | | 33,780 | |
| | | | | | | | | |
| Total Investments - 99.9% | | | | | | | | |
| (Cost $5,749,165) | | | | | | $ | 8,751,104 | |
| Other Assets & Liabilities, net - 0.1% | | | | | | | 6,642 | |
| Total Net Assets - 100.0% | | | | | | $ | 8,757,746 | |
* | 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 6. |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 8,717,324 | | | $ | — | | | $ | — | | | $ | 8,717,324 | |
Repurchase Agreements | | | — | | | | 33,780 | | | | — | | | | 33,780 | |
Total Assets | | $ | 8,717,324 | | | $ | 33,780 | | | $ | — | | | $ | 8,751,104 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value (cost $5,715,385) | | $ | 8,717,324 | |
Repurchase agreements, at value (cost $33,780) | | | 33,780 | |
Receivables: |
Securities sold | | | 619,417 | |
Dividends | | | 18,533 | |
Foreign tax reclaims | | | 259 | |
Securities lending income | | | 8 | |
Total assets | | | 9,389,321 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 607,993 | |
Management fees | | | 7,584 | |
Transfer agent and administrative fees | | | 2,400 | |
Investor service fees | | | 2,231 | |
Portfolio accounting fees | | | 892 | |
Trustees’ fees* | | | 75 | |
Miscellaneous | | | 10,400 | |
Total liabilities | | | 631,575 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 8,757,746 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 6,904,618 | |
Total distributable earnings (loss) | | | 1,853,128 | |
Net assets | | $ | 8,757,746 | |
Capital shares outstanding | | | 78,828 | |
Net asset value per share | | $ | 111.10 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends (net of foreign withholding tax of $1,893) | | $ | 105,555 | |
Interest | | | 4 | |
Income from securities lending, net | | | 82 | |
Total investment income | | | 105,641 | |
| | | | | |
Expenses: |
Management fees | | | 36,917 | |
Investor service fees | | | 10,858 | |
Transfer agent and administrative fees | | | 13,414 | |
Professional fees | | | 4,448 | |
Portfolio accounting fees | | | 4,343 | |
Custodian fees | | | 579 | |
Trustees’ fees* | | | 505 | |
Miscellaneous | | | 2,545 | |
Total expenses | | | 73,609 | |
Net investment income | | | 32,032 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (121,181 | ) |
Net realized loss | | | (121,181 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 1,431,845 | |
Net change in unrealized appreciation (depreciation) | | | 1,431,845 | |
Net realized and unrealized gain | | | 1,310,664 | |
Net increase in net assets resulting from operations | | $ | 1,342,696 | |
* | 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. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | �� |
Net investment income | | $ | 32,032 | | | $ | 53,477 | |
Net realized gain (loss) on investments | | | (121,181 | ) | | | 56,292 | |
Net change in unrealized appreciation (depreciation) on investments | | | 1,431,845 | | | | (514,301 | ) |
Net increase (decrease) in net assets resulting from operations | | | 1,342,696 | | | | (404,532 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (50,080 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 18,542,514 | | | | 18,198,255 | |
Distributions reinvested | | | — | | | | 50,080 | |
Cost of shares redeemed | | | (15,361,369 | ) | | | (19,397,850 | ) |
Net increase (decrease) from capital share transactions | | | 3,181,145 | | | | (1,149,515 | ) |
Net increase (decrease) in net assets | | | 4,523,841 | | | | (1,604,127 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 4,233,905 | | | | 5,838,032 | |
End of period | | $ | 8,757,746 | | | $ | 4,233,905 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 174,659 | | | | 260,948 | |
Shares issued from reinvestment of distributions | | | — | | | | 752 | |
Shares redeemed | | | (143,921 | ) | | | (273,669 | ) |
Net increase (decrease) in shares | | | 30,738 | | | | (11,969 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 88.04 | | | $ | 97.20 | | | $ | 76.46 | | | $ | 95.19 | | | $ | 84.90 | | | $ | 67.87 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .40 | | | | 1.18 | | | | .94 | | | | .56 | | | | .28 | | | | .10 | |
Net gain (loss) on investments (realized and unrealized) | | | 22.66 | | | | (9.63 | ) | | | 20.67 | | | | (18.70 | ) | | | 10.28 | | | | 17.11 | |
Total from investment operations | | | 23.06 | | | | (8.45 | ) | | | 21.61 | | | | (18.14 | ) | | | 10.56 | | | | 17.21 | |
Less distributions from: |
Net investment income | | | — | | | | (.71 | ) | | | (.87 | ) | | | (.56 | ) | | | (.27 | ) | | | (.18 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (.03 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.71 | ) | | | (.87 | ) | | | (.59 | ) | | | (.27 | ) | | | (.18 | ) |
Net asset value, end of period | | $ | 111.10 | | | $ | 88.04 | | | $ | 97.20 | | | $ | 76.46 | | | $ | 95.19 | | | $ | 84.90 | |
|
Total Returnc | | | 26.19 | % | | | (8.46 | %) | | | 28.39 | % | | | (19.19 | %) | | | 12.48 | % | | | 27.25 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 8,758 | | | $ | 4,234 | | | $ | 5,838 | | | $ | 5,548 | | | $ | 9,692 | | | $ | 16,076 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.74 | % | | | 1.60 | % | | | 1.07 | % | | | 0.59 | % | | | 0.33 | % | | | 0.69 | % |
Total expenses | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % | | | 1.71 | % | | | 1.70 | % | | | 1.67 | % |
Portfolio turnover rate | | | 155 | % | | | 529 | % | | | 246 | % | | | 320 | % | | | 273 | % | | | 417 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | Reverse share split — Per share amounts for the year ended December 31, 2016 have been restated to reflect a 1:6 reverse share split effective December 1, 2016. |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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) |
Sherwin-Williams Co. | 3.0% |
Air Products and Chemicals, Inc. | 2.7% |
Freeport-McMoRan, Inc. | 2.6% |
Ecolab, Inc. | 2.6% |
Newmont Corp. | 2.5% |
Dow, Inc. | 2.4% |
DuPont de Nemours, Inc. | 2.2% |
PPG Industries, Inc. | 2.2% |
International Flavors & Fragrances, Inc. | 2.1% |
Vale S.A. ADR | 2.1% |
Top Ten Total | 24.4% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Basic Materials Fund | 16.89% | 54.29% | 13.05% | 5.56% |
S&P 500 Materials Index | 14.50% | 48.51% | 14.59% | 10.09% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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 returns. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
BASIC MATERIALS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 98.9% |
| | | | | | | | | |
Chemicals - 42.3% |
Sherwin-Williams Co. | | | 1,149 | | | $ | 313,045 | |
Air Products and Chemicals, Inc. | | | 999 | | | | 287,392 | |
Ecolab, Inc. | | | 1,349 | | | | 277,854 | |
Dow, Inc. | | | 3,967 | | | | 251,032 | |
DuPont de Nemours, Inc. | | | 3,034 | | | | 234,862 | |
PPG Industries, Inc. | | | 1,367 | | | | 232,076 | |
International Flavors & Fragrances, Inc. | | | 1,511 | | | | 225,743 | |
LyondellBasell Industries N.V. — Class A | | | 2,093 | | | | 215,307 | |
Linde plc | | | 678 | | | | 196,010 | |
Albemarle Corp. | | | 976 | | | | 164,417 | |
Celanese Corp. — Class A | | | 1,015 | | | | 153,874 | |
Eastman Chemical Co. | | | 1,253 | | | | 146,288 | |
FMC Corp. | | | 1,214 | | | | 131,355 | |
Mosaic Co. | | | 4,097 | | | | 130,735 | |
RPM International, Inc. | | | 1,405 | | | | 124,595 | |
CF Industries Holdings, Inc. | | | 2,403 | | | | 123,634 | |
Westlake Chemical Corp. | | | 1,351 | | | | 121,712 | |
Nutrien Ltd. | | | 1,695 | | | | 102,734 | |
Olin Corp. | | | 2,183 | | | | 100,986 | |
Axalta Coating Systems Ltd.* | | | 3,175 | | | | 96,806 | |
Huntsman Corp. | | | 3,391 | �� | | | 89,929 | |
Chemours Co. | | | 2,556 | | | | 88,949 | |
Valvoline, Inc. | | | 2,713 | | | | 88,064 | |
Element Solutions, Inc. | | | 3,744 | | | | 87,535 | |
Ashland Global Holdings, Inc. | | | 957 | | | | 83,737 | |
Amyris, Inc.* | | | 4,970 | | | | 81,359 | |
W R Grace & Co. | | | 1,142 | | | | 78,935 | |
Sensient Technologies Corp. | | | 800 | | | | 69,248 | |
Ingevity Corp.* | | | 819 | | | | 66,634 | |
HB Fuller Co. | | | 1,020 | | | | 64,882 | |
Danimer Scientific, Inc.*,1 | | | 2,210 | | | | 55,360 | |
Total Chemicals | | | | | | | 4,485,089 | |
| | | | | | | | | |
Mining - 20.2% |
Freeport-McMoRan, Inc. | | | 7,488 | | | | 277,880 | |
Newmont Corp. | | | 4,109 | | | | 260,428 | |
Barrick Gold Corp. | | | 8,364 | | | | 172,967 | |
Rio Tinto plc ADR | | | 1,348 | | | | 113,084 | |
BHP Group Ltd. ADR1 | | | 1,547 | | | | 112,668 | |
Teck Resources Ltd. — Class B | | | 4,780 | | | | 110,131 | |
Royal Gold, Inc. | | | 889 | | | | 101,435 | |
Alcoa Corp.* | | | 2,731 | | | | 100,610 | |
MP Materials Corp.*,1 | | | 2,660 | | | | 98,048 | |
Wheaton Precious Metals Corp. | | | 2,159 | | | | 95,147 | |
AngloGold Ashanti Ltd. ADR | | | 4,714 | | | | 87,586 | |
Franco-Nevada Corp. | | | 594 | | | | 86,172 | |
Agnico Eagle Mines Ltd. | | | 1,399 | | | | 84,569 | |
Pan American Silver Corp. | | | 2,948 | | | | 84,224 | |
First Majestic Silver Corp.1 | | | 5,099 | | | | 80,615 | |
Kirkland Lake Gold Ltd. | | | 2,083 | | | | 80,258 | |
Arconic Corp.* | | | 2,030 | | | | 72,309 | |
Livent Corp.* | | | 3,510 | | | | 67,954 | |
Coeur Mining, Inc.* | | | 5,965 | | | | 52,969 | |
Total Mining | | | | | | | 2,139,054 | |
Packaging & Containers - 12.5% |
Ball Corp. | | | 2,349 | | | | 190,316 | |
Westrock Co. | | | 2,605 | | | | 138,638 | |
Crown Holdings, Inc. | | | 1,345 | | | | 137,472 | |
Packaging Corporation of America | | | 981 | | | | 132,847 | |
Amcor plc | | | 11,075 | | | | 126,920 | |
Sealed Air Corp. | | | 1,885 | | | | 111,686 | |
AptarGroup, Inc. | | | 790 | | | | 111,264 | |
Berry Global Group, Inc.* | | | 1,676 | | | | 109,309 | |
Sonoco Products Co. | | | 1,437 | | | | 96,135 | |
Graphic Packaging Holding Co. | | | 4,689 | | | | 85,058 | |
Silgan Holdings, Inc. | | | 1,902 | | | | 78,933 | |
Total Packaging & Containers | | | | | | | 1,318,578 | |
| | | | | | | | | |
Iron & Steel - 10.5% |
Vale S.A. ADR | | | 9,853 | | | | 224,747 | |
Nucor Corp. | | | 2,050 | | | | 196,657 | |
Steel Dynamics, Inc. | | | 2,194 | | | | 130,762 | |
Cleveland-Cliffs, Inc.*,1 | | | 5,626 | | | | 121,297 | |
Reliance Steel & Aluminum Co. | | | 739 | | | | 111,515 | |
ArcelorMittal S.A.1 | | | 3,380 | | | | 104,983 | |
United States Steel Corp. | | | 3,899 | | | | 93,576 | |
Commercial Metals Co. | | | 2,322 | | | | 71,332 | |
Allegheny Technologies, Inc.* | | | 2,798 | | | | 58,338 | |
Total Iron & Steel | | | | | | | 1,113,207 | |
| | | | | | | | | |
Building Materials - 5.8% |
Vulcan Materials Co. | | | 1,035 | | | | 180,163 | |
Martin Marietta Materials, Inc. | | | 498 | | | | 175,201 | |
Louisiana-Pacific Corp. | | | 1,552 | | | | 93,570 | |
Eagle Materials, Inc. | | | 644 | | | | 91,519 | |
Summit Materials, Inc. — Class A* | | | 2,208 | | | | 76,949 | |
Total Building Materials | | | | | | | 617,402 | |
| | | | | | | | | |
Forest Products & Paper - 2.3% |
International Paper Co. | | | 2,958 | | | | 181,355 | |
Domtar Corp.* | | | 1,116 | | | | 61,335 | |
Total Forest Products & Paper | | | | | | | 242,690 | |
| | | | | | | | | |
Biotechnology - 2.0% |
Corteva, Inc. | | | 4,774 | | | | 211,727 | |
| | | | | | | | | |
Household Products & Housewares - 1.4% |
Avery Dennison Corp. | | | 732 | | | | 153,895 | |
| | | | | | | | | |
Housewares - 1.1% |
Scotts Miracle-Gro Co. — Class A | | | 624 | | | | 119,758 | |
| | | | | | | | | |
Distribution & Wholesale - 0.8% |
Avient Corp. | | | 1,591 | | | | 78,214 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $5,528,963) | | | | | | | 10,479,614 | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 0.8% |
VanEck Vectors Junior Gold Miners ETF | | | 1,758 | | | | 82,186 | |
| | | | | | | | | |
Total Exchange-Traded Funds | | | | |
(Cost $77,986) | | | | | | | 82,186 | |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
BASIC MATERIALS FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,2 - 0.8% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 48,948 | | | $ | 48,948 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 19,271 | | | | 19,271 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 18,893 | | | | 18,893 | |
Total Repurchase Agreements | | | | |
(Cost $87,112) | | | | | | | 87,112 | |
| | | | | | | |
| | Shares | | | | |
SECURITIES LENDING COLLATERAL†,3 - 3.3% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 352,966 | | | $ | 352,966 | |
Total Securities Lending Collateral | | | | |
(Cost $352,966) | | | | | | | 352,966 | |
| | | | | | | | | |
Total Investments - 103.8% | | | | |
(Cost $6,047,027) | | $ | 11,001,878 | |
Other Assets & Liabilities, net - (3.8)% | | | (398,232 | ) |
Total Net Assets - 100.0% | | $ | 10,603,646 | |
* | 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 on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 10,479,614 | | | $ | — | | | $ | — | | | $ | 10,479,614 | |
Exchange-Traded Funds | | | 82,186 | | | | — | | | | — | | | | 82,186 | |
Repurchase Agreements | | | — | | | | 87,112 | | | | — | | | | 87,112 | |
Securities Lending Collateral | | | 352,966 | | | | — | | | | — | | | | 352,966 | |
Total Assets | | $ | 10,914,766 | | | $ | 87,112 | | | $ | — | | | $ | 11,001,878 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value - including $349,248 of securities loaned (cost $5,959,915) | | $ | 10,914,766 | |
Repurchase agreements, at value (cost $87,112) | | | 87,112 | |
Cash | | | 154 | |
Receivables: |
Securities sold | | | 637,393 | |
Dividends | | | 15,090 | |
Securities lending income | | | 116 | |
Fund shares sold | | | 39 | |
Total assets | | | 11,654,670 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 650,323 | |
Return of securities lending collateral | | | 352,966 | |
Deferred foreign capital gain taxes | | | 19,017 | |
Management fees | | | 8,694 | |
Transfer agent and administrative fees | | | 2,751 | |
Investor service fees | | | 2,557 | |
Portfolio accounting fees | | | 1,023 | |
Trustees’ fees* | | | 99 | |
Miscellaneous | | | 13,594 | |
Total liabilities | | | 1,051,024 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 10,603,646 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 5,951,746 | |
Total distributable earnings (loss) | | | 4,651,900 | |
Net assets | | $ | 10,603,646 | |
Capital shares outstanding | | | 101,873 | |
Net asset value per share | | $ | 104.09 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends (net of foreign withholding tax of $1,169) | | $ | 90,653 | |
Interest | | | 9 | |
Income from securities lending, net | | | 626 | |
Total investment income | | | 91,288 | |
| | | | | |
Expenses: |
Management fees | | | 40,073 | |
Investor service fees | | | 11,786 | |
Transfer agent and administrative fees | | | 15,288 | |
Professional fees | | | 6,286 | |
Portfolio accounting fees | | | 4,714 | |
Trustees’ fees* | | | 843 | |
Custodian fees | | | 659 | |
Miscellaneous | | | 272 | |
Total expenses | | | 79,921 | |
Net investment income | | | 11,367 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 223,150 | |
Net realized gain | | | 223,150 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 972,913 | |
Net change in unrealized appreciation (depreciation) | | | 972,913 | |
Net realized and unrealized gain | | | 1,196,063 | |
Net increase in net assets resulting from operations | | $ | 1,207,430 | |
* | 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. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 11,367 | | | $ | 18,733 | |
Net realized gain on investments | | | 223,150 | | | | 457,821 | |
Net change in unrealized appreciation (depreciation) on investments | | | 972,913 | | | | 898,643 | |
Net increase in net assets resulting from operations | | | 1,207,430 | | | | 1,375,197 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (123,282 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 8,976,293 | | | | 11,298,895 | |
Distributions reinvested | | | — | | | | 123,282 | |
Cost of shares redeemed | | | (7,853,006 | ) | | | (10,950,730 | ) |
Net increase from capital share transactions | | | 1,123,287 | | | | 471,447 | |
Net increase in net assets | | | 2,330,717 | | | | 1,723,362 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 8,272,929 | | | | 6,549,567 | |
End of period | | $ | 10,603,646 | | | $ | 8,272,929 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 86,618 | | | | 152,164 | |
Shares issued from reinvestment of distributions | | | — | | | | 1,707 | |
Shares redeemed | | | (77,643 | ) | | | (147,158 | ) |
Net increase in shares | | | 8,975 | | | | 6,713 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016e | |
Per Share Data |
Net asset value, beginning of period | | $ | 89.05 | | | $ | 75.99 | | | $ | 65.42 | | | $ | 81.27 | | | $ | 67.61 | | | $ | 52.52 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .12 | | | | .22 | | | | .35 | | | | .05 | | | | (.07 | ) | | | .02 | |
Net gain (loss) on investments (realized and unrealized) | | | 14.92 | | | | 14.43 | | | | 13.55 | | | | (13.91 | ) | | | 14.47 | | | | 15.43 | |
Total from investment operations | | | 15.04 | | | | 14.65 | | | | 13.90 | | | | (13.86 | ) | | | 14.40 | | | | 15.45 | |
Less distributions from: |
Net investment income | | | — | | | | (.97 | ) | | | — | | | | (.42 | ) | | | (.50 | ) | | | — | |
Net realized gains | | | — | | | | (.62 | ) | | | (3.33 | ) | | | (1.57 | ) | | | (.24 | ) | | | (.36 | ) |
Total distributions | | | — | | | | (1.59 | ) | | | (3.33 | ) | | | (1.99 | ) | | | (.74 | ) | | | (.36 | ) |
Net asset value, end of period | | $ | 104.09 | | | $ | 89.05 | | | $ | 75.99 | | | $ | 65.42 | | | $ | 81.27 | | | $ | 67.61 | |
|
Total Returnc | | | 16.89 | % | | | 19.75 | % | | | 21.43 | % | | | (17.44 | %) | | | 21.43 | % | | | 30.86 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 10,604 | | | $ | 8,273 | | | $ | 6,550 | | | $ | 6,168 | | | $ | 17,067 | | | $ | 15,229 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.24 | % | | | 0.31 | % | | | 0.49 | % | | | 0.06 | % | | | (0.10 | %) | | | 0.08 | % |
Total expensesd | | | 1.70 | % | | | 1.82 | % | | | 1.82 | % | | | 1.73 | % | | | 1.70 | % | | | 1.66 | % |
Portfolio turnover rate | | | 79 | % | | | 194 | % | | | 88 | % | | | 83 | % | | | 181 | % | | | 266 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the year ended December 31, 2016 have been restated to reflect a 1:3 reverse share split effective December 1, 2016. |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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) |
AbbVie, Inc. | 5.5% |
Amgen, Inc. | 4.7% |
Moderna, Inc. | 4.1% |
Gilead Sciences, Inc. | 3.7% |
Illumina, Inc. | 3.3% |
Regeneron Pharmaceuticals, Inc. | 3.1% |
Vertex Pharmaceuticals, Inc. | 2.9% |
Biogen, Inc. | 2.7% |
Alexion Pharmaceuticals, Inc. | 2.5% |
Corteva, Inc. | 2.3% |
Top Ten Total | 34.8% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Biotechnology Fund | 8.18% | 20.26% | 14.53% | 15.97% |
S&P 500 Health Care Index | 11.85% | 27.92% | 14.06% | 15.67% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
BIOTECHNOLOGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.4% |
| | | | | | | | | |
Biotechnology - 75.6% |
Amgen, Inc. | | | 4,634 | | | $ | 1,129,537 | |
Moderna, Inc.* | | | 4,224 | | | | 992,556 | |
Gilead Sciences, Inc. | | | 12,959 | | | | 892,357 | |
Illumina, Inc.* | | | 1,700 | | | | 804,457 | |
Regeneron Pharmaceuticals, Inc.* | | | 1,338 | | | | 747,327 | |
Vertex Pharmaceuticals, Inc.* | | | 3,517 | | | | 709,133 | |
Biogen, Inc.* | | | 1,879 | | | | 650,641 | |
Alexion Pharmaceuticals, Inc.* | | | 3,325 | | | | 610,836 | |
Corteva, Inc. | | | 12,358 | | | | 548,077 | |
Seagen, Inc.* | | | 3,263 | | | | 515,162 | |
CRISPR Therapeutics AG* | | | 2,925 | | | | 473,528 | |
Horizon Therapeutics plc* | | | 4,686 | | | | 438,797 | |
Exact Sciences Corp.* | | | 3,489 | | | | 433,718 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 654 | | | | 421,366 | |
Alnylam Pharmaceuticals, Inc.* | | | 2,478 | | | | 420,071 | |
Incyte Corp.* | | | 4,880 | | | | 410,554 | |
Novavax, Inc.* | | | 1,925 | | | | 408,697 | |
BioMarin Pharmaceutical, Inc.* | | | 4,452 | | | | 371,475 | |
BioNTech SE ADR* | | | 1,550 | | | | 347,014 | |
Guardant Health, Inc.* | | | 2,713 | | | | 336,927 | |
Beam Therapeutics, Inc.* | | | 2,575 | | | | 331,428 | |
Zai Lab Ltd. ADR* | | | 1,686 | | | | 298,405 | |
BeiGene Ltd. ADR* | | | 850 | | | | 291,712 | |
Bridgebio Pharma, Inc.* | | | 4,631 | | | | 282,306 | |
Fate Therapeutics, Inc.* | | | 3,171 | | | | 275,211 | |
Arrowhead Pharmaceuticals, Inc.* | | | 3,300 | | | | 273,306 | |
Mirati Therapeutics, Inc.* | | | 1,667 | | | | 269,271 | |
United Therapeutics Corp.* | | | 1,488 | | | | 266,962 | |
Twist Bioscience Corp.* | | | 1,969 | | | | 262,369 | |
Acceleron Pharma, Inc.* | | | 2,070 | | | | 259,764 | |
Halozyme Therapeutics, Inc.* | | | 5,463 | | | | 248,075 | |
Biohaven Pharmaceutical Holding Company Ltd.* | | | 2,492 | | | | 241,923 | |
Ultragenyx Pharmaceutical, Inc.* | | | 2,515 | | | | 239,805 | |
Editas Medicine, Inc.* | | | 4,113 | | | | 232,960 | |
Ionis Pharmaceuticals, Inc.* | | | 5,817 | | | | 232,040 | |
TG Therapeutics, Inc.* | | | 5,799 | | | | 224,943 | |
Blueprint Medicines Corp.* | | | 2,508 | | | | 220,604 | |
Exelixis, Inc.* | | | 11,289 | | | | 205,686 | |
Arena Pharmaceuticals, Inc.* | | | 2,867 | | | | 195,529 | |
Iovance Biotherapeutics, Inc.* | | | 7,475 | | | | 194,500 | |
ACADIA Pharmaceuticals, Inc.* | | | 7,468 | | | | 182,145 | |
Sage Therapeutics, Inc.* | | | 3,088 | | | | 175,429 | |
Emergent BioSolutions, Inc.* | | | 2,764 | | | | 174,104 | |
PTC Therapeutics, Inc.* | | | 3,786 | | | | 160,034 | |
Veracyte, Inc.* | | | 3,982 | | | | 159,200 | |
Amicus Therapeutics, Inc.* | | | 15,321 | | | | 147,694 | |
Bluebird Bio, Inc.* | | | 4,290 | | | | 137,194 | |
Global Blood Therapeutics, Inc.* | | | 3,887 | | | | 136,123 | |
Inovio Pharmaceuticals, Inc.*,1 | | | 14,617 | | | | 135,500 | |
ChemoCentryx, Inc.* | | | 6,812 | | | | 91,213 | |
Total Biotechnology | | | | | | | 18,207,665 | |
| | | | | | | | | |
Pharmaceuticals - 14.5% |
AbbVie, Inc. | | | 11,761 | | | | 1,324,759 | |
Intellia Therapeutics, Inc.* | | | 2,833 | | | | 458,691 | |
Viatris, Inc. | | | 27,229 | | | | 389,102 | |
Jazz Pharmaceuticals plc* | | | 1,900 | | | | 337,516 | |
PRA Health Sciences, Inc.* | | | 1,854 | | | | 306,299 | |
Neurocrine Biosciences, Inc.* | | | 2,941 | | | | 286,218 | |
Sarepta Therapeutics, Inc.* | | | 2,994 | | | | 232,754 | |
Pacira BioSciences, Inc.* | | | 2,561 | | | | 155,402 | |
Total Pharmaceuticals | | | | | | | 3,490,741 | |
| | | | | | | | | |
Healthcare-Products - 6.1% |
Bio-Techne Corp. | | | 887 | | | | 399,381 | |
Novocure Ltd.* | | | 1,476 | | | | 327,406 | |
Natera, Inc.* | | | 2,768 | | | | 314,251 | |
Adaptive Biotechnologies Corp.* | | | 5,631 | | | | 230,083 | |
CareDx, Inc.* | | | 2,252 | | | | 206,103 | |
Total Healthcare-Products | | | | | | | 1,477,224 | |
| | | | | | | | | |
Healthcare-Services - 3.2% |
Syneos Health, Inc.* | | | 3,307 | | | | 295,943 | |
Invitae Corp.*,1 | | | 7,462 | | | | 251,693 | |
Medpace Holdings, Inc.* | | | 1,333 | | | | 235,448 | |
Total Healthcare-Services | | | | | | | 783,084 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $12,063,692) | | | | | | | 23,958,714 | |
| | | | | | | | | |
RIGHTS††† - 0.0% |
Biotechnology - 0.0% |
Clinical Data, Inc.* | | | 4,730 | | | | — | |
Total Rights | | | | |
(Cost $—) | | | | | | | — | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 1.0% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 137,086 | | | | 137,086 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 53,971 | | | | 53,971 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 52,913 | | | | 52,913 | |
Total Repurchase Agreements | | | | |
(Cost $243,970) | | | | | | | 243,970 | |
| | | | | | | | | |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
BIOTECHNOLOGY FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,3 - 1.1% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 268,135 | | | $ | 268,135 | |
Total Securities Lending Collateral | | | | |
(Cost $268,135) | | | | | | | 268,135 | |
| | | | | | | | | |
Total Investments - 101.5% | | | | |
(Cost $12,575,797) | | $ | 24,470,819 | |
Other Assets & Liabilities, net - (1.5)% | | | (373,444 | ) |
Total Net Assets - 100.0% | | $ | 24,097,375 | |
* | 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 a portion of this security is on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 23,958,714 | | | $ | — | | | $ | — | | | $ | 23,958,714 | |
Rights | | | — | | | | — | | | | — | * | | | — | |
Repurchase Agreements | | | — | | | | 243,970 | | | | — | | | | 243,970 | |
Securities Lending Collateral | | | 268,135 | | | | — | | | | — | | | | 268,135 | |
Total Assets | | $ | 24,226,849 | | | $ | 243,970 | | | $ | — | | | $ | 24,470,819 | |
* | Security has a market value of $0. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value - including $257,037 of securities loaned (cost $12,331,827) | | $ | 24,226,849 | |
Repurchase agreements, at value (cost $243,970) | | | 243,970 | |
Receivables: |
Fund shares sold | | | 222,472 | |
Securities lending income | | | 180 | |
Total assets | | | 24,693,471 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 268,135 | |
Securities purchased | | | 264,170 | |
Management fees | | | 15,743 | |
Transfer agent and administrative fees | | | 4,982 | |
Investor service fees | | | 4,630 | |
Portfolio accounting fees | | | 1,852 | |
Fund shares redeemed | | | 1,380 | |
Trustees’ fees* | | | 256 | |
Miscellaneous | | | 34,948 | |
Total liabilities | | | 596,096 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 24,097,375 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 8,795,675 | |
Total distributable earnings (loss) | | | 15,301,700 | |
Net assets | | $ | 24,097,375 | |
Capital shares outstanding | | | 208,170 | |
Net asset value per share | | $ | 115.76 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends (net of foreign withholding tax of $94) | | $ | 84,304 | |
Interest | | | 20 | |
Income from securities lending, net | | | 2,599 | |
Total investment income | | | 86,923 | |
| | | | | |
Expenses: |
Management fees | | | 102,642 | |
Investor service fees | | | 30,189 | |
Transfer agent and administrative fees | | | 39,830 | |
Professional fees | | | 15,201 | |
Portfolio accounting fees | | | 12,075 | |
Trustees’ fees* | | | 2,361 | |
Custodian fees | | | 1,714 | |
Line of credit fees | | | 18 | |
Miscellaneous | | | 1,520 | |
Total expenses | | | 205,550 | |
Net investment loss | | | (118,627 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 2,444,579 | |
Net realized gain | | | 2,444,579 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (785,118 | ) |
Net change in unrealized appreciation (depreciation) | | | (785,118 | ) |
Net realized and unrealized gain | | | 1,659,461 | |
Net increase in net assets resulting from operations | | $ | 1,540,834 | |
* | 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. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (118,627 | ) | | $ | (212,904 | ) |
Net realized gain on investments | | | 2,444,579 | | | | 4,373,565 | |
Net change in unrealized appreciation (depreciation) on investments | | | (785,118 | ) | | | 359,007 | |
Net increase in net assets resulting from operations | | | 1,540,834 | | | | 4,519,668 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (1,815,028 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 14,400,430 | | | | 29,630,953 | |
Distributions reinvested | | | — | | | | 1,815,028 | |
Cost of shares redeemed | | | (16,465,692 | ) | | | (31,215,524 | ) |
Net increase (decrease) from capital share transactions | | | (2,065,262 | ) | | | 230,457 | |
Net increase (decrease) in net assets | | | (524,428 | ) | | | 2,935,097 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 24,621,803 | | | | 21,686,706 | |
End of period | | $ | 24,097,375 | | | $ | 24,621,803 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 129,401 | | | | 309,476 | |
Shares issued from reinvestment of distributions | | | — | | | | 17,983 | |
Shares redeemed | | | (151,328 | ) | | | (326,022 | ) |
Net increase (decrease) in shares | | | (21,927 | ) | | | 1,437 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 107.01 | | | $ | 94.84 | | | $ | 78.16 | | | $ | 86.53 | | | $ | 66.86 | | | $ | 83.22 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.53 | ) | | | (.91 | ) | | | (.83 | ) | | | (.96 | ) | | | (.79 | ) | | | (.80 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 9.28 | | | | 20.68 | | | | 19.81 | | | | (7.17 | ) | | | 20.46 | | | | (15.56 | ) |
Total from investment operations | | | 8.75 | | | | 19.77 | | | | 18.98 | | | | (8.13 | ) | | | 19.67 | | | | (16.36 | ) |
Less distributions from: |
Net realized gains | | | — | | | | (7.60 | ) | | | (2.30 | ) | | | (.24 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (7.60 | ) | | | (2.30 | ) | | | (.24 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 115.76 | | | $ | 107.01 | | | $ | 94.84 | | | $ | 78.16 | | | $ | 86.53 | | | $ | 66.86 | |
|
Total Returnc | | | 8.18 | % | | | 21.31 | % | | | 24.67 | % | | | (9.44 | %) | | | 29.44 | % | | | (19.66 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 24,097 | | | $ | 24,622 | | | $ | 21,687 | | | $ | 21,000 | | | $ | 29,272 | | | $ | 22,231 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.98 | %) | | | (0.94 | %) | | | (0.95 | %) | | | (1.08 | %) | | | (0.99 | %) | | | (1.16 | %) |
Total expenses | | | 1.70 | % | | | 1.82 | % | | | 1.82 | % | | | 1.72 | % | | | 1.70 | % | | | 1.66 | % |
Portfolio turnover rate | | | 53 | % | | | 160 | % | | | 105 | % | | | 109 | % | | | 137 | % | | | 127 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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. | 6.7% |
Coca-Cola Co. | 5.5% |
PepsiCo, Inc. | 5.2% |
Philip Morris International, Inc. | 4.5% |
Estee Lauder Companies, Inc. — Class A | 4.0% |
Altria Group, Inc. | 3.5% |
Mondelez International, Inc. — Class A | 3.4% |
Colgate-Palmolive Co. | 3.0% |
Keurig Dr Pepper, Inc. | 2.6% |
Kraft Heinz Co. | 2.6% |
Top Ten Total | 41.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Consumer Products Fund | 7.05% | 24.36% | 5.46% | 9.50% |
S&P 500 Consumer Staples Index | 5.02% | 23.29% | 8.04% | 11.49% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
CONSUMER PRODUCTS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Food - 36.1% |
Mondelez International, Inc. — Class A | | | 8,087 | | | $ | 504,952 | |
Kraft Heinz Co. | | | 9,332 | | | | 380,559 | |
Sysco Corp. | | | 4,449 | | | | 345,910 | |
General Mills, Inc. | | | 5,420 | | | | 330,241 | |
Hershey Co. | | | 1,874 | | | | 326,413 | |
Kroger Co. | | | 7,540 | | | | 288,857 | |
Tyson Foods, Inc. — Class A | | | 3,812 | | | | 281,173 | |
Hormel Foods Corp. | | | 5,745 | | | | 274,324 | |
McCormick & Company, Inc. | | | 2,996 | | | | 264,607 | |
Kellogg Co. | | | 3,940 | | | | 253,460 | |
Conagra Brands, Inc. | | | 6,230 | | | | 226,647 | |
Campbell Soup Co. | | | 4,418 | | | | 201,417 | |
J M Smucker Co. | | | 1,544 | | | | 200,056 | |
Lamb Weston Holdings, Inc. | | | 2,327 | | | | 187,696 | |
Beyond Meat, Inc.*,1 | | | 1,113 | | | | 175,286 | |
US Foods Holding Corp.* | | | 4,211 | | | | 161,534 | |
Post Holdings, Inc.* | | | 1,300 | | | | 141,011 | |
Performance Food Group Co.* | | | 2,891 | | | | 140,185 | |
Ingredion, Inc. | | | 1,468 | | | | 132,854 | |
Flowers Foods, Inc. | | | 5,064 | | | | 122,549 | |
Sanderson Farms, Inc. | | | 640 | | | | 120,301 | |
Hain Celestial Group, Inc.* | | | 2,659 | | | | 106,679 | |
Grocery Outlet Holding Corp.* | | | 2,828 | | | | 98,018 | |
Sprouts Farmers Market, Inc.* | | | 3,530 | | | | 87,721 | |
Total Food | | | | | | | 5,352,450 | |
| | | | | | | | | |
Beverages - 26.2% |
Coca-Cola Co. | | | 15,194 | | | | 822,147 | |
PepsiCo, Inc. | | | 5,233 | | | | 775,374 | |
Keurig Dr Pepper, Inc. | | | 10,996 | | | | 387,499 | |
Monster Beverage Corp.* | | | 4,099 | | | | 374,444 | |
Constellation Brands, Inc. — Class A | | | 1,571 | | | | 367,441 | |
Brown-Forman Corp. — Class B | | | 4,299 | | | | 322,167 | |
Boston Beer Company, Inc. — Class A* | | | 193 | | | | 197,014 | |
Molson Coors Beverage Co. — Class B* | | | 3,378 | | | | 181,365 | |
Coca-Cola Europacific Partners plc | | | 2,116 | | | | 125,521 | |
Anheuser-Busch InBev S.A. ADR | | | 1,703 | | | | 122,633 | |
Diageo plc ADR | | | 546 | | | | 104,663 | |
Fomento Economico Mexicano SAB de CV ADR | | | 1,219 | | | | 103,018 | |
Total Beverages | | | | | | | 3,883,286 | |
| | | | | | | | | |
Cosmetics & Personal Care - 13.8% |
Procter & Gamble Co. | | | 7,333 | | | | 989,442 | |
Estee Lauder Companies, Inc. — Class A | | | 1,885 | | | | 599,581 | |
Colgate-Palmolive Co. | | | 5,496 | | | | 447,099 | |
Total Cosmetics & Personal Care | | | | | | | 2,036,122 | |
| | | | | | | | | |
Agriculture - 13.3% |
Philip Morris International, Inc. | | | 6,773 | | | | 671,272 | |
Altria Group, Inc. | | | 10,779 | | | | 513,943 | |
Archer-Daniels-Midland Co. | | | 5,152 | | | | 312,211 | |
Darling Ingredients, Inc.* | | | 2,699 | | | | 182,182 | |
Bunge Ltd. | | | 2,310 | | | | 180,526 | |
British American Tobacco plc ADR | | | 2,918 | | | | 114,707 | |
Total Agriculture | | | | | | | 1,974,841 | |
| | | | | | | | | |
Household Products & Housewares - 5.9% |
Kimberly-Clark Corp. | | | 2,763 | | | | 369,634 | |
Clorox Co. | | | 1,444 | | | | 259,790 | |
Church & Dwight Company, Inc. | | | 2,906 | | | | 247,649 | |
Total Household Products & Housewares | | | | | | | 877,073 | |
| | | | | | | | | |
Retail - 2.0% |
Freshpet, Inc.* | | | 884 | | | | 144,056 | |
Casey’s General Stores, Inc. | | | 734 | | | | 142,866 | |
Total Retail | | | | | | | 286,922 | |
| | | | | | | | | |
Pharmaceuticals - 0.9% |
Herbalife Nutrition Ltd.* | | | 2,600 | | | | 137,098 | |
| | | | | | | | | |
Commercial Services - 0.7% |
Medifast, Inc. | | | 359 | | | | 101,590 | |
| | | | | | | | | |
Electrical Components & Equipment - 0.6% |
Energizer Holdings, Inc. | | | 2,159 | | | | 92,794 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $6,903,118) | | | | | | | 14,742,176 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.4% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 32,405 | | | | 32,405 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 12,758 | | | | 12,758 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 12,507 | | | | 12,507 | |
Total Repurchase Agreements | | | | |
(Cost $57,670) | | | | | | | 57,670 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.0% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 7,155 | | | | 7,155 | |
Total Securities Lending Collateral | | | | |
(Cost $7,155) | | | | | | | 7,155 | |
| | | | | | | | | |
Total Investments - 99.9% | | | | |
(Cost $6,967,943) | | $ | 14,807,001 | |
Other Assets & Liabilities, net - 0.1% | | | 12,555 | |
Total Net Assets - 100.0% | | $ | 14,819,556 | |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
CONSUMER PRODUCTS 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 a portion of this security is on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 14,742,176 | | | $ | — | | | $ | — | | | $ | 14,742,176 | |
Repurchase Agreements | | | — | | | | 57,670 | | | | — | | | | 57,670 | |
Securities Lending Collateral | | | 7,155 | | | | — | | | | — | | | | 7,155 | |
Total Assets | | $ | 14,749,331 | | | $ | 57,670 | | | $ | — | | | $ | 14,807,001 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value - including $7,087 of securities loaned (cost $6,910,273) | | $ | 14,749,331 | |
Repurchase agreements, at value (cost $57,670) | | | 57,670 | |
Receivables: |
Fund shares sold | | | 475,361 | |
Dividends | | | 32,366 | |
Foreign tax reclaims | | | 211 | |
Securities lending income | | | 17 | |
Total assets | | | 15,314,956 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 448,076 | |
Management fees | | | 10,293 | |
Return of securities lending collateral | | | 7,155 | |
Transfer agent and administrative fees | | | 3,257 | |
Investor service fees | | | 3,027 | |
Portfolio accounting fees | | | 1,211 | |
Fund shares redeemed | | | 273 | |
Trustees’ fees* | | | 161 | |
Miscellaneous | | | 21,947 | |
Total liabilities | | | 495,400 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 14,819,556 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 7,577,148 | |
Total distributable earnings (loss) | | | 7,242,408 | |
Net assets | | $ | 14,819,556 | |
Capital shares outstanding | | | 195,292 | |
Net asset value per share | | $ | 75.88 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends | | $ | 167,001 | |
Interest | | | 9 | |
Income from securities lending, net | | | 106 | |
Total investment income | | | 167,116 | |
| | | | | |
Expenses: |
Management fees | | | 62,024 | |
Investor service fees | | | 18,243 | |
Transfer agent and administrative fees | | | 24,209 | |
Professional fees | | | 8,379 | |
Portfolio accounting fees | | | 7,297 | |
Trustees’ fees* | | | 1,491 | |
Custodian fees | | | 1,042 | |
Miscellaneous | | | 1,351 | |
Total expenses | | | 124,036 | |
Net investment income | | | 43,080 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 481,295 | |
Net realized gain | | | 481,295 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 446,009 | |
Net change in unrealized appreciation (depreciation) | | | 446,009 | |
Net realized and unrealized gain | | | 927,304 | |
Net increase in net assets resulting from operations | | $ | 970,384 | |
* | 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. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 43,080 | | | $ | 117,764 | |
Net realized gain on investments | | | 481,295 | | | | 539,920 | |
Net change in unrealized appreciation (depreciation) on investments | | | 446,009 | | | | 194,302 | |
Net increase in net assets resulting from operations | | | 970,384 | | | | 851,986 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (384,959 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 12,587,873 | | | | 21,469,149 | |
Distributions reinvested | | | — | | | | 384,959 | |
Cost of shares redeemed | | | (14,525,755 | ) | | | (25,139,935 | ) |
Net decrease from capital share transactions | | | (1,937,882 | ) | | | (3,285,827 | ) |
Net decrease in net assets | | | (967,498 | ) | | | (2,818,800 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 15,787,054 | | | | 18,605,854 | |
End of period | | $ | 14,819,556 | | | $ | 15,787,054 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 168,233 | | | | 331,860 | |
Shares issued from reinvestment of distributions | | | — | | | | 6,054 | |
Shares redeemed | | | (195,682 | ) | | | (391,088 | ) |
Net decrease in shares | | | (27,449 | ) | | | (53,174 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 70.88 | | | $ | 67.43 | | | $ | 55.78 | | | $ | 66.30 | | | $ | 61.79 | | | $ | 61.56 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .22 | | | | .51 | | | | .56 | | | | .70 | | | | .17 | | | | .44 | |
Net gain (loss) on investments (realized and unrealized) | | | 4.78 | | | | 4.44 | | | | 11.84 | | | | (8.51 | ) | | | 6.79 | | | | 3.10 | |
Total from investment operations | | | 5.00 | | | | 4.95 | | | | 12.40 | | | | (7.81 | ) | | | 6.96 | | | | 3.54 | |
Less distributions from: |
Net investment income | | | — | | | | (.59 | ) | | | (.60 | ) | | | (.45 | ) | | | (.64 | ) | | | (.42 | ) |
Net realized gains | | | — | | | | (.91 | ) | | | (.15 | ) | | | (2.26 | ) | | | (1.81 | ) | | | (2.89 | ) |
Total distributions | | | — | | | | (1.50 | ) | | | (.75 | ) | | | (2.71 | ) | | | (2.45 | ) | | | (3.31 | ) |
Net asset value, end of period | | $ | 75.88 | | | $ | 70.88 | | | $ | 67.43 | | | $ | 55.78 | | | $ | 66.30 | | | $ | 61.79 | |
|
Total Returnc | | | 7.05 | % | | | 7.58 | % | | | 22.33 | % | | | (12.12 | %) | | | 11.53 | % | | | 5.42 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 14,820 | | | $ | 15,787 | | | $ | 18,606 | | | $ | 13,121 | | | $ | 16,024 | | | $ | 18,410 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.59 | % | | | 0.79 | % | | | 0.88 | % | | | 1.14 | % | | | 0.27 | % | | | 0.68 | % |
Total expenses | | | 1.70 | % | | | 1.82 | % | | | 1.82 | % | | | 1.72 | % | | | 1.70 | % | | | 1.65 | % |
Portfolio turnover rate | | | 84 | % | | | 155 | % | | | 177 | % | | | 176 | % | | | 133 | % | | | 161 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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) |
NVIDIA Corp. | 8.5% |
Intel Corp. | 5.5% |
Broadcom, Inc. | 5.2% |
Texas Instruments, Inc. | 5.0% |
QUALCOMM, Inc. | 4.8% |
Applied Materials, Inc. | 4.3% |
Advanced Micro Devices, Inc. | 4.2% |
Micron Technology, Inc. | 3.7% |
Lam Research Corp. | 3.6% |
Analog Devices, Inc. | 3.0% |
Top Ten Total | 47.8% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Electronics Fund | 17.65% | 69.08% | 32.83% | 19.38% |
S&P 500 Information Technology Index | 13.76% | 42.40% | 31.21% | 21.99% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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 Information Technology Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
ELECTRONICS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.4% |
| | | | | | | | | |
Semiconductors - 88.8% |
NVIDIA Corp. | | | 1,282 | | | $ | 1,025,728 | |
Intel Corp. | | | 11,795 | | | | 662,171 | |
Broadcom, Inc. | | | 1,310 | | | | 624,660 | |
Texas Instruments, Inc. | | | 3,113 | | | | 598,630 | |
QUALCOMM, Inc. | | | 4,052 | | | | 579,152 | |
Applied Materials, Inc. | | | 3,621 | | | | 515,630 | |
Advanced Micro Devices, Inc.* | | | 5,321 | | | | 499,802 | |
Micron Technology, Inc.* | | | 5,234 | | | | 444,785 | |
Lam Research Corp. | | | 662 | | | | 430,763 | |
Analog Devices, Inc. | | | 2,091 | | | | 359,987 | |
Taiwan Semiconductor Manufacturing Company Ltd. ADR | | | 2,983 | | | | 358,437 | |
KLA Corp. | | | 974 | | | | 315,781 | |
Marvell Technology, Inc. | | | 5,412 | | | | 315,682 | |
NXP Semiconductor N.V. | | | 1,465 | | | | 301,380 | |
Microchip Technology, Inc. | | | 1,893 | | | | 283,458 | |
Xilinx, Inc. | | | 1,913 | | | | 276,696 | |
Skyworks Solutions, Inc. | | | 1,373 | | | | 263,273 | |
Maxim Integrated Products, Inc. | | | 2,270 | | | | 239,167 | |
ASML Holding N.V. — Class G | | | 332 | | | | 229,359 | |
Qorvo, Inc.* | | | 1,105 | | | | 216,193 | |
Teradyne, Inc. | | | 1,590 | | | | 212,996 | |
Monolithic Power Systems, Inc. | | | 504 | | | | 188,219 | |
Entegris, Inc. | | | 1,493 | | | | 183,594 | |
ON Semiconductor Corp.* | | | 4,768 | | | | 182,519 | |
Cree, Inc.* | | | 1,558 | | | | 152,575 | |
MKS Instruments, Inc. | | | 788 | | | | 140,225 | |
Lattice Semiconductor Corp.* | | | 2,285 | | | | 128,371 | |
STMicroelectronics N.V. — Class Y | | | 3,387 | | | | 123,219 | |
Silicon Laboratories, Inc.* | | | 787 | | | | 120,608 | |
Brooks Automation, Inc. | | | 1,228 | | | | 117,004 | |
Synaptics, Inc.* | | | 686 | | | | 106,728 | |
Cirrus Logic, Inc.* | | | 1,187 | | | | 101,038 | |
Power Integrations, Inc. | | | 1,204 | | | | 98,800 | |
Semtech Corp.* | | | 1,393 | | | | 95,838 | |
CMC Materials, Inc. | | | 617 | | | | 93,007 | |
Ambarella, Inc.* | | | 843 | | | | 89,889 | |
Total Semiconductors | | | | | | | 10,675,364 | |
| | | | | | | | | |
Energy-Alternate Sources - 8.2% |
Enphase Energy, Inc.* | | | 1,285 | | | | 235,965 | |
JinkoSolar Holding Company Ltd. ADR*,1 | | | 3,126 | | | | 175,118 | |
SolarEdge Technologies, Inc.* | | | 632 | | | | 174,666 | |
First Solar, Inc.* | | | 1,633 | | | | 147,803 | |
Canadian Solar, Inc.*,1 | | | 3,233 | | | | 144,968 | |
SunPower Corp. — Class A*,1 | | | 3,566 | | | | 104,198 | |
Total Energy-Alternate Sources | | | | | | | 982,718 | |
| | | | | | | | | |
Chemicals - 1.2% |
Daqo New Energy Corp. ADR* | | | 2,353 | | | | 152,992 | |
| | | | | | | | | |
Electrical Components & Equipment - 1.2% |
Universal Display Corp. | | | 657 | | | | 146,071 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $3,351,204) | | | | | | | 11,957,145 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.7% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 45,023 | | | | 45,023 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 17,725 | | | | 17,725 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 17,378 | | | | 17,378 | |
Total Repurchase Agreements | | | | |
(Cost $80,126) | | | | | | | 80,126 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 1.9% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 225,481 | | | | 225,481 | |
Total Securities Lending Collateral | | | | |
(Cost $225,481) | | | | | | | 225,481 | |
| | | | | | | | | |
Total Investments - 102.0% | | | | |
(Cost $3,656,811) | | $ | 12,262,752 | |
Other Assets & Liabilities, net - (2.0)% | | | (243,059 | ) |
Total Net Assets - 100.0% | | $ | 12,019,693 | |
* | 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 on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | ADR — American Depositary Receipt |
| | |
| | See Sector Classification in Other Information section. |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
ELECTRONICS FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 11,957,145 | | | $ | — | | | $ | — | | | $ | 11,957,145 | |
Repurchase Agreements | | | — | | | | 80,126 | | | | — | | | | 80,126 | |
Securities Lending Collateral | | | 225,481 | | | | — | | | | — | | | | 225,481 | |
Total Assets | | $ | 12,182,626 | | | $ | 80,126 | | | $ | — | | | $ | 12,262,752 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value - including $212,588 of securities loaned (cost $3,576,685) | | $ | 12,182,626 | |
Repurchase agreements, at value (cost $80,126) | | | 80,126 | |
Receivables: |
Fund shares sold | | | 568,270 | |
Dividends | | | 3,067 | |
Securities lending income | | | 40 | |
Total assets | | | 12,834,129 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 519,663 | |
Return of securities lending collateral | | | 225,481 | |
Fund shares redeemed | | | 39,077 | |
Management fees | | | 7,329 | |
Transfer agent and administrative fees | | | 2,319 | |
Investor service fees | | | 2,155 | |
Portfolio accounting fees | | | 862 | |
Trustees’ fees* | | | 128 | |
Miscellaneous | | | 17,422 | |
Total liabilities | | | 814,436 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 12,019,693 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 2,065,323 | |
Total distributable earnings (loss) | | | 9,954,370 | |
Net assets | | $ | 12,019,693 | |
Capital shares outstanding | | | 62,913 | |
Net asset value per share | | $ | 191.05 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends (net of foreign withholding tax of $247) | | $ | 53,566 | |
Interest | | | 11 | |
Income from securities lending, net | | | 167 | |
Total investment income | | | 53,744 | |
| | | | | |
Expenses: |
Management fees | | | 52,219 | |
Investor service fees | | | 15,358 | |
Transfer agent and administrative fees | | | 20,200 | |
Professional fees | | | 8,582 | |
Portfolio accounting fees | | | 6,143 | |
Trustees’ fees* | | | 1,164 | |
Custodian fees | | | 869 | |
Line of credit fees | | | 17 | |
Miscellaneous | | | 94 | |
Total expenses | | | 104,646 | |
Net investment loss | | | (50,902 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 1,417,139 | |
Net realized gain | | | 1,417,139 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 429,402 | |
Net change in unrealized appreciation (depreciation) | | | 429,402 | |
Net realized and unrealized gain | | | 1,846,541 | |
Net increase in net assets resulting from operations | | $ | 1,795,639 | |
* | 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. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (50,902 | ) | | $ | (57,633 | ) |
Net realized gain on investments | | | 1,417,139 | | | | 1,465,750 | |
Net change in unrealized appreciation (depreciation) on investments | | | 429,402 | | | | 2,593,723 | |
Net increase in net assets resulting from operations | | | 1,795,639 | | | | 4,001,840 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (143,071 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 9,881,516 | | | | 15,132,392 | |
Distributions reinvested | | | — | | | | 143,071 | |
Cost of shares redeemed | | | (11,808,069 | ) | | | (18,276,966 | ) |
Net decrease from capital share transactions | | | (1,926,553 | ) | | | (3,001,503 | ) |
Net increase (decrease) in net assets | | | (130,914 | ) | | | 857,266 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 12,150,607 | | | | 11,293,341 | |
End of period | | $ | 12,019,693 | | | $ | 12,150,607 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 55,707 | | | | 130,397 | |
Shares issued from reinvestment of distributions | | | — | | | | 1,197 | |
Shares redeemed | | | (67,618 | ) | | | (163,470 | ) |
Net decrease in shares | | | (11,911 | ) | | | (31,876 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 162.39 | | | $ | 105.84 | | | $ | 67.30 | | | $ | 79.89 | | | $ | 60.95 | | | $ | 49.03 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.72 | ) | | | (.73 | ) | | | (.20 | ) | | | (.07 | ) | | | (.34 | ) | | | (.07 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 29.38 | | | | 59.27 | | | | 39.89 | | | | (9.54 | ) | | | 19.28 | | | | 11.99 | |
Total from investment operations | | | 28.66 | | | | 58.54 | | | | 39.69 | | | | (9.61 | ) | | | 18.94 | | | | 11.92 | |
Less distributions from: |
Net realized gains | | | — | | | | (1.99 | ) | | | (1.15 | ) | | | (2.98 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (1.99 | ) | | | (1.15 | ) | | | (2.98 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 191.05 | | | $ | 162.39 | | | $ | 105.84 | | | $ | 67.30 | | | $ | 79.89 | | | $ | 60.95 | |
|
Total Returnc | | | 17.65 | % | | | 55.96 | % | | | 59.28 | % | | | (12.71 | %) | | | 31.06 | % | | | 24.34 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 12,020 | | | $ | 12,151 | | | $ | 11,293 | | | $ | 4,860 | | | $ | 11,236 | | | $ | 8,709 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.83 | %) | | | (0.62 | %) | | | (0.23 | %) | | | (0.09 | %) | | | (0.48 | %) | | | (0.14 | %) |
Total expenses | | | 1.70 | % | | | 1.82 | % | | | 1.82 | % | | | 1.71 | % | | | 1.70 | % | | | 1.66 | % |
Portfolio turnover rate | | | 79 | % | | | 158 | % | | | 208 | % | | | 248 | % | | | 327 | % | | | 362 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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. | 8.1% |
Chevron Corp. | 6.9% |
ConocoPhillips | 4.5% |
EOG Resources, Inc. | 3.5% |
Schlumberger N.V. | 3.3% |
Kinder Morgan, Inc. | 3.2% |
Pioneer Natural Resources Co. | 3.2% |
Marathon Petroleum Corp. | 3.1% |
Phillips 66 | 3.0% |
Occidental Petroleum Corp. | 2.8% |
Top Ten Total | 41.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Energy Fund | 47.71% | 61.06% | (3.73%) | (5.05%) |
S&P 500 Energy Index | 45.64% | 49.38% | (0.80%) | (0.02%) |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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 Energy index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
ENERGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.8% |
| | | | | | | | | |
Oil & Gas - 71.7% |
Exxon Mobil Corp. | | | 28,566 | | | $ | 1,801,943 | |
Chevron Corp. | | | 14,687 | | | | 1,538,316 | |
ConocoPhillips | | | 16,529 | | | | 1,006,616 | |
EOG Resources, Inc. | | | 9,254 | | | | 772,154 | |
Pioneer Natural Resources Co. | | | 4,306 | | | | 699,811 | |
Marathon Petroleum Corp. | | | 11,317 | | | | 683,773 | |
Phillips 66 | | | 7,768 | | | | 666,650 | |
Occidental Petroleum Corp. | | | 19,878 | | | | 621,585 | |
Valero Energy Corp. | | | 7,883 | | | | 615,505 | |
Hess Corp. | | | 6,559 | | | | 572,732 | |
Devon Energy Corp. | | | 17,125 | | | | 499,879 | |
Diamondback Energy, Inc. | | | 4,988 | | | | 468,323 | |
Continental Resources, Inc. | | | 11,326 | | | | 430,728 | |
Petroleo Brasileiro S.A. ADR | | | 34,658 | | | | 423,867 | |
Texas Pacific Land Corp. | | | 250 | | | | 399,935 | |
BP plc ADR | | | 13,401 | | | | 354,054 | |
Ovintiv, Inc. | | | 10,290 | | | | 323,826 | |
APA Corp. | | | 14,623 | | | | 316,296 | |
Cimarex Energy Co. | | | 4,325 | | | | 313,346 | |
Cabot Oil & Gas Corp. — Class A | | | 17,326 | | | | 302,512 | |
Equities Corp.* | | | 12,761 | | | | 284,060 | |
Royal Dutch Shell plc — Class A ADR1 | | | 6,282 | | | | 253,793 | |
HollyFrontier Corp. | | | 7,584 | | | | 249,514 | |
Matador Resources Co. | | | 6,540 | | | | 235,505 | |
PDC Energy, Inc. | | | 5,051 | | | | 231,285 | |
Suncor Energy, Inc. | | | 8,845 | | | | 212,015 | |
Murphy Oil Corp. | | | 8,906 | | | | 207,332 | |
Helmerich & Payne, Inc. | | | 6,348 | | | | 207,135 | |
SM Energy Co. | | | 8,176 | | | | 201,375 | |
Callon Petroleum Co.*,1 | | | 3,390 | | | | 195,569 | |
Canadian Natural Resources Ltd. | | | 5,206 | | | | 188,874 | |
CNX Resources Corp.* | | | 13,820 | | | | 188,781 | |
PBF Energy, Inc. — Class A* | | | 9,490 | | | | 145,197 | |
Delek US Holdings, Inc. | | | 6,440 | | | | 139,233 | |
Equinor ASA ADR1 | | | 5,965 | | | | 126,458 | |
Total Oil & Gas | | | | | | | 15,877,977 | |
| | | | | | | | | |
Pipelines - 14.6% |
Kinder Morgan, Inc. | | | 38,446 | | | | 700,870 | |
Williams Companies, Inc. | | | 23,220 | | | | 616,491 | |
ONEOK, Inc. | | | 9,919 | | | | 551,893 | |
Cheniere Energy, Inc.* | | | 5,919 | | | | 513,414 | |
Targa Resources Corp. | | | 7,765 | | | | 345,154 | |
Enbridge, Inc. | | | 5,670 | | | | 227,027 | |
TC Energy Corp. | | | 4,056 | | | | 200,853 | |
Pembina Pipeline Corp. | | | 2,780 | | | | 88,321 | |
Total Pipelines | | | | | | | 3,244,023 | |
| | | | | | | | | |
Oil & Gas Services - 10.2% |
Schlumberger N.V. | | | 22,684 | | | | 726,115 | |
Baker Hughes Co. | | | 22,788 | | | | 521,162 | |
Halliburton Co. | | | 21,638 | | | | 500,270 | |
NOV, Inc.* | | | 17,069 | | | | 261,497 | |
ChampionX Corp.* | | | 9,475 | | | | 243,034 | |
Total Oil & Gas Services | | | | | | | 2,252,078 | |
| | | | | | | | | |
Energy-Alternate Sources - 1.4% |
Renewable Energy Group, Inc.* | | | 2,900 | | | | 180,786 | |
Green Plains, Inc.* | | | 4,050 | | | | 136,161 | |
Total Energy-Alternate Sources | | | | | | | 316,947 | |
| | | | | | | | | |
Mining - 0.7% |
Cameco Corp. | | | 8,350 | | | | 160,153 | |
| | | | | | | | | |
Retail - 0.7% |
World Fuel Services Corp. | | | 4,794 | | | | 152,114 | |
| | | | | | | | | |
Metal Fabricate & Hardware - 0.5% |
Tenaris S.A. ADR | | | 4,543 | | | | 99,492 | |
| | | | | | | | | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $15,189,328) | | | | | | | 22,102,784 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.6% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 74,142 | | | | 74,142 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 29,190 | | | | 29,190 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 28,617 | | | | 28,617 | |
Total Repurchase Agreements | | | | |
(Cost $131,949) | | | | | | | 131,949 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 1.8% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 399,673 | | | | 399,673 | |
Total Securities Lending Collateral | | | | |
(Cost $399,673) | | | | | | | 399,673 | |
| | | | | | | | | |
Total Investments - 102.2% | | | | |
(Cost $15,720,950) | | $ | 22,634,406 | |
Other Assets & Liabilities, net - (2.2)% | | | (485,769 | ) |
Total Net Assets - 100.0% | | $ | 22,148,637 | |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
ENERGY 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 a portion of this security is on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 22,102,784 | | | $ | — | | | $ | — | | | $ | 22,102,784 | |
Repurchase Agreements | | | — | | | | 131,949 | | | | — | | | | 131,949 | |
Securities Lending Collateral | | | 399,673 | | | | — | | | | — | | | | 399,673 | |
Total Assets | | $ | 22,502,457 | | | $ | 131,949 | | | $ | — | | | $ | 22,634,406 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value - including $395,960 of securities loaned (cost $15,589,001) | | $ | 22,502,457 | |
Repurchase agreements, at value (cost $131,949) | | | 131,949 | |
Cash | | | 931 | |
Receivables: |
Dividends | | | 9,937 | |
Fund shares sold | | | 9,419 | |
Securities lending income | | | 171 | |
Total assets | | | 22,654,864 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 399,673 | |
Fund shares redeemed | | | 64,314 | |
Management fees | | | 14,712 | |
Transfer agent and administrative fees | | | 4,656 | |
Investor service fees | | | 4,327 | |
Portfolio accounting fees | | | 1,731 | |
Trustees’ fees* | | | 120 | |
Miscellaneous | | | 16,694 | |
Total liabilities | | | 506,227 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 22,148,637 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 25,618,387 | |
Total distributable earnings (loss) | | | (3,469,750 | ) |
Net assets | | $ | 22,148,637 | |
Capital shares outstanding | | | 130,402 | |
Net asset value per share | | $ | 169.85 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends (net of foreign withholding tax of $2,722) | | $ | 247,791 | |
Interest | | | 7 | |
Income from securities lending, net | | | 320 | |
Total investment income | | | 248,118 | |
| | | | | |
Expenses: |
Management fees | | | 63,262 | |
Investor service fees | | | 18,606 | |
Transfer agent and administrative fees | | | 22,581 | |
Professional fees | | | 8,937 | |
Portfolio accounting fees | | | 7,442 | |
Custodian fees | | | 978 | |
Trustees’ fees* | | | 724 | |
Line of credit fees | | | 16 | |
Miscellaneous | | | 3,570 | |
Total expenses | | | 126,116 | |
Net investment income | | | 122,002 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (98,653 | ) |
Net realized loss | | | (98,653 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 4,349,746 | |
Net change in unrealized appreciation (depreciation) | | | 4,349,746 | |
Net realized and unrealized gain | | | 4,251,093 | |
Net increase in net assets resulting from operations | | $ | 4,373,095 | |
* | 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. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 122,002 | | | $ | 133,468 | |
Net realized loss on investments | | | (98,653 | ) | | | (1,040,480 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 4,349,746 | | | | (1,447,830 | ) |
Net increase (decrease) in net assets resulting from operations | | | 4,373,095 | | | | (2,354,842 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (99,610 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 34,068,433 | | | | 19,419,055 | |
Distributions reinvested | | | — | | | | 99,610 | |
Cost of shares redeemed | | | (22,481,568 | ) | | | (20,641,084 | ) |
Net increase (decrease) from capital share transactions | | | 11,586,865 | | | | (1,122,419 | ) |
Net increase (decrease) in net assets | | | 15,959,960 | | | | (3,576,871 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 6,188,677 | | | | 9,765,548 | |
End of period | | $ | 22,148,637 | | | $ | 6,188,677 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 229,925 | | | | 188,405 | |
Shares issued from reinvestment of distributions | | | — | | | | 921 | |
Shares redeemed | | | (153,342 | ) | | | (190,712 | ) |
Net increase (decrease) in shares | | | 76,583 | | | | (1,386 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020d | | | Year Ended
December 31,
2019d | | | Year Ended
December 31,
2018d | | | Year Ended
December 31,
2017d | | | Year Ended
December 31,
2016d,e | |
Per Share Data |
Net asset value, beginning of period | | $ | 114.99 | | | $ | 176.90 | | | $ | 165.96 | | | $ | 223.73 | | | $ | 240.28 | | | $ | 184.29 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | 1.23 | | | | .96 | | | | 1.71 | | | | .12 | | | | 1.59 | | | | .24 | |
Net gain (loss) on investments (realized and unrealized) | | | 53.63 | | | | (62.41 | ) | | | 9.62 | | | | (56.84 | ) | | | (16.85 | ) | | | 56.17 | |
Total from investment operations | | | 54.86 | | | | (61.45 | ) | | | 11.33 | | | | (56.72 | ) | | | (15.26 | ) | | | 56.41 | |
Less distributions from: |
Net investment income | | | — | | | | (.46 | ) | | | (.39 | ) | | | (1.05 | ) | | | (1.29 | ) | | | (.42 | ) |
Total distributions | | | — | | | | (.46 | ) | | | (.39 | ) | | | (1.05 | ) | | | (1.29 | ) | | | (.42 | ) |
Net asset value, end of period | | $ | 169.85 | | | $ | 114.99 | | | $ | 176.90 | | | $ | 165.96 | | | $ | 223.73 | | | $ | 240.28 | |
|
Total Returnc | | | 47.71 | % | | | (34.17 | %) | | | 6.81 | % | | | (25.49 | %) | | | (6.26 | %) | | | 31.37 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 22,149 | | | $ | 6,189 | | | $ | 9,766 | | | $ | 9,672 | | | $ | 17,318 | | | $ | 28,117 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.64 | % | | | 2.04 | % | | | 0.97 | % | | | 0.06 | % | | | 0.75 | % | | | 0.42 | % |
Total expenses | | | 1.69 | % | | | 1.82 | % | | | 1.83 | % | | | 1.72 | % | | | 1.70 | % | | | 1.66 | % |
Portfolio turnover rate | | | 152 | % | | | 317 | % | | | 114 | % | | | 490 | % | | | 573 | % | | | 293 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | Reverse share split — Per share amounts for the years presented through December 31, 2020 have been restated to reflect a 1:3 reverse share split effective August 24, 2020. |
e | Reverse share split — Per share amounts for the year ended December 31, 2016 have been restated to reflect a 1:4 reverse share split effective December 1, 2016. |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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 N.V. | 14.9% |
Baker Hughes Co. | 10.7% |
Halliburton Co. | 10.3% |
NOV, Inc. | 5.4% |
ChampionX Corp. | 5.2% |
Helmerich & Payne, Inc. | 4.7% |
Cactus, Inc. — Class A | 3.9% |
Liberty Oilfield Services, Inc. — Class A | 3.9% |
TechnipFMC plc | 3.5% |
Patterson-UTI Energy, Inc. | 3.4% |
Top Ten Total | 65.9% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Energy Services Fund | 34.48% | 76.44% | (15.57%) | (13.84%) |
S&P 500 Energy Index | 45.64% | 49.38% | (0.80%) | (0.02%) |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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 Energy Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
ENERGY SERVICES FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.4% |
| | | | | | | | | |
Oil & Gas Services - 78.3% |
Schlumberger N.V. | | | 59,011 | | | $ | 1,888,942 | |
Baker Hughes Co. | | | 59,263 | | | | 1,355,345 | |
Halliburton Co. | | | 56,276 | | | | 1,301,101 | |
NOV, Inc.* | | | 44,391 | | | | 680,070 | |
ChampionX Corp.* | | | 25,836 | | | | 662,693 | |
Liberty Oilfield Services, Inc. — Class A* | | | 35,016 | | | | 495,827 | |
TechnipFMC plc* | | | 49,339 | | | | 446,518 | |
Oceaneering International, Inc.* | | | 24,666 | | | | 384,050 | |
Archrock, Inc. | | | 41,013 | | | | 365,426 | |
Dril-Quip, Inc.* | | | 9,639 | | | | 326,087 | |
DMC Global, Inc.* | | | 5,721 | | | | 321,577 | |
US Silica Holdings, Inc.* | | | 25,469 | | | | 294,422 | |
Core Laboratories N.V. | | | 7,297 | | | | 284,218 | |
ProPetro Holding Corp.* | | | 30,886 | | | | 282,916 | |
Bristow Group, Inc.* | | | 10,175 | | | | 260,582 | |
Oil States International, Inc.* | | | 27,363 | | | | 214,799 | |
Solaris Oilfield Infrastructure, Inc. — Class A | | | 21,789 | | | | 212,225 | |
Matrix Service Co.* | | | 15,044 | | | | 157,962 | |
Total Oil & Gas Services | | | | | | | 9,934,760 | |
| | | | | | | | | |
Oil & Gas - 10.4% |
Helmerich & Payne, Inc. | | | 18,153 | | | | 592,332 | |
Patterson-UTI Energy, Inc. | | | 42,890 | | | | 426,327 | |
Nabors Industries Ltd.* | | | 2,601 | | | | 297,138 | |
Total Oil & Gas | | | | | | | 1,315,797 | |
| | | | | | | | | |
Machinery-Diversified - 3.9% |
Cactus, Inc. — Class A | | | 13,532 | | | | 496,895 | |
| | | | | | | | | |
Metal Fabricate & Hardware - 2.7% |
Tenaris S.A. ADR | | | 15,863 | | | | 347,399 | |
| | | | | | | | | |
Retail - 2.5% |
Aspen Aerogels, Inc.* | | | 10,760 | | | | 321,939 | |
| | | | | | | | | |
Transportation - 1.6% |
Tidewater, Inc.* | | | 17,194 | | | | 207,188 | |
| | | | | | | | | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $9,550,643) | | | | | | | 12,623,978 | |
| | | | | | | | | |
WARRANTS† - 0.1% |
Nabors Industries Ltd. | | | | | | | | |
Expiring 06/11/26 | | | 992 | | | | 9,920 | |
Total Warrants | | | | |
(Cost $—) | | | | | | | 9,920 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,1 - 0.6% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 41,109 | | | | 41,109 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 16,185 | | | | 16,185 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 15,867 | | | | 15,867 | |
Total Repurchase Agreements | | | | |
(Cost $73,161) | | | | | | | 73,161 | |
| | | | | | | | | |
Total Investments - 100.1% | | | | |
(Cost $9,623,804) | | $ | 12,707,059 | |
Other Assets & Liabilities, net - (0.1)% | | | (14,276 | ) |
Total Net Assets - 100.0% | | $ | 12,692,783 | |
* | 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 6. |
| | 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, 2021 |
ENERGY SERVICES FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 12,623,978 | | | $ | — | | | $ | — | | | $ | 12,623,978 | |
Warrants | | | 9,920 | | | | — | | | | — | | | | 9,920 | |
Repurchase Agreements | | | — | | | | 73,161 | | | | — | | | | 73,161 | |
Total Assets | | $ | 12,633,898 | | | $ | 73,161 | | | $ | — | | | $ | 12,707,059 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value (cost $9,550,643) | | $ | 12,633,898 | |
Repurchase agreements, at value (cost $73,161) | | | 73,161 | |
Receivables: |
Fund shares sold | | | 608,316 | |
Dividends | | | 6,238 | |
Total assets | | | 13,321,613 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 603,268 | |
Management fees | | | 8,818 | |
Transfer agent and administrative fees | | | 2,791 | |
Investor service fees | | | 2,594 | |
Portfolio accounting fees | | | 1,037 | |
Fund shares redeemed | | | 719 | |
Trustees’ fees* | | | 69 | |
Miscellaneous | | | 9,534 | |
Total liabilities | | | 628,830 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 12,692,783 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 21,340,747 | |
Total distributable earnings (loss) | | | (8,647,964 | ) |
Net assets | | $ | 12,692,783 | |
Capital shares outstanding | | | 50,149 | |
Net asset value per share | | $ | 253.10 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends (net of foreign withholding tax of $15) | | $ | 109,256 | |
Interest | | | 5 | |
Income from securities lending, net | | | 37 | |
Total investment income | | | 109,298 | |
| | | | | |
Expenses: |
Management fees | | | 35,866 | |
Investor service fees | | | 10,549 | |
Transfer agent and administrative fees | | | 12,797 | |
Professional fees | | | 6,060 | |
Portfolio accounting fees | | | 4,219 | |
Custodian fees | | | 555 | |
Trustees’ fees* | | | 417 | |
Miscellaneous | | | 1,002 | |
Total expenses | | | 71,465 | |
Net investment income | | | 37,833 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (69,287 | ) |
Net realized loss | | | (69,287 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 1,837,810 | |
Net change in unrealized appreciation (depreciation) | | | 1,837,810 | |
Net realized and unrealized gain | | | 1,768,523 | |
Net increase in net assets resulting from operations | | $ | 1,806,356 | |
* | 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. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 37,833 | | | $ | 13,358 | |
Net realized loss on investments | | | (69,287 | ) | | | (1,587,927 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 1,837,810 | | | | 276,831 | |
Net increase (decrease) in net assets resulting from operations | | | 1,806,356 | | | | (1,297,738 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (20,199 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 24,240,221 | | | | 23,713,509 | |
Distributions reinvested | | | — | | | | 20,199 | |
Cost of shares redeemed | | | (17,178,885 | ) | | | (21,836,022 | ) |
Net increase from capital share transactions | | | 7,061,336 | | | | 1,897,686 | |
Net increase in net assets | | | 8,867,692 | | | | 579,749 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 3,825,091 | | | | 3,245,342 | |
End of period | | $ | 12,692,783 | | | $ | 3,825,091 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 104,390 | | | | 150,113 | |
Shares issued from reinvestment of distributions | | | — | | | | 132 | |
Shares redeemed | | | (74,564 | ) | | | (140,635 | ) |
Net increase in shares | | | 29,826 | | | | 9,610 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020e | | | Year Ended
December 31,
2019e | | | Year Ended
December 31,
2018e | | | Year Ended
December 31,
2017e | | | Year Ended
December 31,
2016d,e | |
Per Share Data |
Net asset value, beginning of period | | $ | 188.21 | | | $ | 302.92 | | | $ | 303.11 | | | $ | 575.98 | | | $ | 708.02 | | | $ | 580.00 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | 1.06 | | | | .11 | | | | 1.50 | | | | (.70 | ) | | | 11.10 | | | | (.30 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 63.83 | | | | (114.69 | ) | | | (1.69 | ) | | | (254.57 | ) | | | (143.14 | ) | | | 129.22 | |
Total from investment operations | | | 64.89 | | | | (114.58 | ) | | | (.19 | ) | | | (255.27 | ) | | | (132.04 | ) | | | 128.92 | |
Less distributions from: |
Net investment income | | | — | | | | (.13 | ) | | | — | | | | (17.60 | ) | | | — | | | | (.90 | ) |
Total distributions | | | — | | | | (.13 | ) | | | — | | | | (17.60 | ) | | | — | | | | (.90 | ) |
Net asset value, end of period | | $ | 253.10 | | | $ | 188.21 | | | $ | 302.92 | | | $ | 303.11 | | | $ | 575.98 | | | $ | 708.02 | |
|
Total Returnc | | | 34.48 | % | | | (37.33 | %) | | | (0.07 | %) | | | (45.65 | %) | | | (18.64 | %) | | | 23.15 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 12,693 | | | $ | 3,825 | | | $ | 3,245 | | | $ | 3,492 | | | $ | 9,047 | | | $ | 13,770 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.90 | % | | | 0.44 | % | | | 0.45 | % | | | (0.13 | %) | | | 1.92 | % | | | (0.26 | %) |
Total expenses | | | 1.69 | % | | | 1.82 | % | | | 1.83 | % | | | 1.71 | % | | | 1.70 | % | | | 1.66 | % |
Portfolio turnover rate | | | 191 | % | | | 817 | % | | | 423 | % | | | 331 | % | | | 338 | % | | | 291 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | Reverse share split — Per share amounts for the year ended December 31, 2016 have been restated to reflect a 1:6 share split effective December 1, 2016. |
e | Reverse share split — Per share amounts for the years presented through December 31, 2020 have been restated to reflect a 1:10 reverse share split effective August 24, 2020. |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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 | 2.9% |
JPMorgan Chase & Co. | 2.6% |
Bank of America Corp. | 2.2% |
Wells Fargo & Co. | 1.6% |
Morgan Stanley | 1.6% |
Citigroup, Inc. | 1.4% |
Goldman Sachs Group, Inc. | 1.4% |
Charles Schwab Corp. | 1.4% |
American Express Co. | 1.4% |
BlackRock, Inc. — Class A | 1.4% |
Top Ten Total | 17.9% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Financial Services Fund | 23.63% | 52.15% | 13.13% | 10.30% |
S&P 500 Financials Index | 25.69% | 61.77% | 17.05% | 13.71% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
FINANCIAL SERVICES FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.6% |
| | | | | | | | | |
REITs - 28.3% |
American Tower Corp. — Class A | | | 865 | | | $ | 233,671 | |
Prologis, Inc. | | | 1,648 | | | | 196,985 | |
Crown Castle International Corp. | | | 994 | | | | 193,929 | |
Equinix, Inc. | | | 229 | | | | 183,795 | |
Public Storage | | | 519 | | | | 156,058 | |
Simon Property Group, Inc. | | | 1,070 | | | | 139,614 | |
Digital Realty Trust, Inc. | | | 912 | | | | 137,219 | |
Welltower, Inc. | | | 1,527 | | | | 126,894 | |
SBA Communications Corp. | | | 395 | | | | 125,886 | |
AvalonBay Communities, Inc. | | | 552 | | | | 115,197 | |
Equity Residential | | | 1,456 | | | | 112,112 | |
Alexandria Real Estate Equities, Inc. | | | 616 | | | | 112,075 | |
Weyerhaeuser Co. | | | 3,143 | | | | 108,182 | |
Realty Income Corp. | | | 1,569 | | | | 104,715 | |
Extra Space Storage, Inc. | | | 610 | | | | 99,930 | |
Invitation Homes, Inc. | | | 2,613 | | | | 97,439 | |
Ventas, Inc. | | | 1,706 | | | | 97,413 | |
Mid-America Apartment Communities, Inc. | | | 550 | | | | 92,631 | |
Essex Property Trust, Inc. | | | 306 | | | | 91,803 | |
Sun Communities, Inc. | | | 532 | | | | 91,185 | |
Healthpeak Properties, Inc. | | | 2,662 | | | | 88,618 | |
Duke Realty Corp. | | | 1,857 | | | | 87,929 | |
Boston Properties, Inc. | | | 763 | | | | 87,432 | |
VICI Properties, Inc. | | | 2,728 | | | | 84,623 | |
UDR, Inc. | | | 1,643 | | | | 80,474 | |
WP Carey, Inc. | | | 1,041 | | | | 77,679 | |
Equity LifeStyle Properties, Inc. | | | 1,040 | | | | 77,282 | |
Camden Property Trust | | | 574 | | | | 76,153 | |
American Homes 4 Rent — Class A | | | 1,933 | | | | 75,097 | |
Host Hotels & Resorts, Inc.* | | | 4,214 | | | | 72,017 | |
Medical Properties Trust, Inc. | | | 3,558 | | | | 71,516 | |
Regency Centers Corp. | | | 1,082 | | | | 69,324 | |
Gaming and Leisure Properties, Inc. | | | 1,492 | | | | 69,124 | |
Lamar Advertising Co. — Class A | | | 660 | | | | 68,917 | |
VEREIT, Inc. | | | 1,475 | | | | 67,747 | |
Americold Realty Trust | | | 1,722 | | | | 65,178 | |
CubeSmart | | | 1,395 | | | | 64,616 | |
STORE Capital Corp. | | | 1,866 | | | | 64,396 | |
CyrusOne, Inc. | | | 886 | | | | 63,367 | |
Federal Realty Investment Trust | | | 540 | | | | 63,272 | |
AGNC Investment Corp. | | | 3,722 | | | | 62,865 | |
Vornado Realty Trust | | | 1,337 | | | | 62,398 | |
Omega Healthcare Investors, Inc. | | | 1,703 | | | | 61,802 | |
Life Storage, Inc. | | | 575 | | | | 61,726 | |
National Retail Properties, Inc. | | | 1,278 | | | | 59,913 | |
Kilroy Realty Corp. | | | 860 | | | | 59,890 | |
Rexford Industrial Realty, Inc. | | | 1,047 | | | | 59,627 | |
CoreSite Realty Corp. | | | 412 | | | | 55,455 | |
Brixmor Property Group, Inc. | | | 2,404 | | | | 55,028 | |
First Industrial Realty Trust, Inc. | | | 1,046 | | | | 54,633 | |
EastGroup Properties, Inc. | | | 330 | | | | 54,268 | |
American Campus Communities, Inc. | | | 1,135 | | | | 53,027 | |
SL Green Realty Corp. | | | 633 | | | | 50,640 | |
Douglas Emmett, Inc. | | | 1,497 | | | | 50,329 | |
Healthcare Trust of America, Inc. — Class A | | | 1,845 | | | | 49,261 | |
QTS Realty Trust, Inc. — Class A | | | 631 | | | | 48,776 | |
Agree Realty Corp. | | | 655 | | | | 46,171 | |
Healthcare Realty Trust, Inc. | | | 1,434 | | | | 43,307 | |
Hudson Pacific Properties, Inc. | | | 1,530 | | | | 42,565 | |
Total REITs | | | | | | | 5,123,175 | |
| | | | | | | | | |
Banks - 25.5% |
JPMorgan Chase & Co. | | | 2,993 | | | | 465,531 | |
Bank of America Corp. | | | 9,826 | | | | 405,126 | |
Wells Fargo & Co. | | | 6,585 | | | | 298,235 | |
Morgan Stanley | | | 3,082 | | | | 282,589 | |
Citigroup, Inc. | | | 3,666 | | | | 259,369 | |
Goldman Sachs Group, Inc. | | | 661 | | | | 250,869 | |
U.S. Bancorp | | | 3,467 | | | | 197,515 | |
PNC Financial Services Group, Inc. | | | 1,018 | | | | 194,194 | |
Truist Financial Corp. | | | 3,332 | | | | 184,926 | |
Bank of New York Mellon Corp. | | | 2,821 | | | | 144,520 | |
First Republic Bank | | | 663 | | | | 124,094 | |
SVB Financial Group* | | | 212 | | | | 117,963 | |
State Street Corp. | | | 1,373 | | | | 112,970 | |
Fifth Third Bancorp | | | 2,886 | | | | 110,332 | |
Northern Trust Corp. | | | 910 | | | | 105,214 | |
Huntington Bancshares, Inc. | | | 7,001 | | | | 99,904 | |
KeyCorp | | | 4,610 | | | | 95,196 | |
Citizens Financial Group, Inc. | | | 2,056 | | | | 94,309 | |
Regions Financial Corp. | | | 4,661 | | | | 94,059 | |
ICICI Bank Ltd. ADR* | | | 5,370 | | | | 91,827 | |
M&T Bank Corp. | | | 628 | | | | 91,255 | |
Royal Bank of Canada | | | 860 | | | | 87,127 | |
HDFC Bank Ltd. ADR* | | | 1,190 | | | | 87,013 | |
Toronto-Dominion Bank | | | 1,232 | | | | 86,302 | |
Bank of Nova Scotia | | | 1,280 | | | | 83,290 | |
Signature Bank | | | 328 | | | | 80,573 | |
HSBC Holdings plc ADR | | | 2,551 | | | | 73,596 | |
East West Bancorp, Inc. | | | 960 | | | | 68,822 | |
Western Alliance Bancorporation | | | 710 | | | | 65,923 | |
First Horizon Corp. | | | 3,808 | | | | 65,802 | |
Zions Bancorp North America | | | 1,195 | | | | 63,168 | |
Silvergate Capital Corp. — Class A* | | | 340 | | | | 38,529 | |
Total Banks | | | | | | | 4,620,142 | |
| | | | | | | | | |
Insurance - 21.7% |
Berkshire Hathaway, Inc. — Class B* | | | 1,923 | | | | 534,440 | |
Marsh & McLennan Companies, Inc. | | | 1,292 | | | | 181,759 | |
Progressive Corp. | | | 1,695 | | | | 166,466 | |
Chubb Ltd. | | | 1,016 | | | | 161,483 | |
Aon plc — Class A | | | 661 | | | | 157,820 | |
Willis Towers Watson plc | | | 669 | | | | 153,883 | |
MetLife, Inc. | | | 2,549 | | | | 152,558 | |
Prudential Financial, Inc. | | | 1,323 | | | | 135,568 | |
Allstate Corp. | | | 1,027 | | | | 133,962 | |
American International Group, Inc. | | | 2,812 | | | | 133,851 | |
Travelers Companies, Inc. | | | 866 | | | | 129,649 | |
Aflac, Inc. | | | 2,391 | | | | 128,301 | |
Arthur J Gallagher & Co. | | | 817 | | | | 114,445 | |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
FINANCIAL SERVICES FUND | |
| | Shares | | | Value | |
Hartford Financial Services Group, Inc. | | | 1,593 | | | $ | 98,718 | |
Everest Re Group Ltd. | | | 378 | | | | 95,260 | |
Markel Corp.* | | | 80 | | | | 94,937 | |
Athene Holding Ltd. — Class A* | | | 1,378 | | | | 93,015 | |
Arch Capital Group Ltd.* | | | 2,350 | | | | 91,509 | |
Cincinnati Financial Corp. | | | 783 | | | | 91,313 | |
RenaissanceRe Holdings Ltd. | | | 601 | | | | 89,441 | |
Principal Financial Group, Inc. | | | 1,408 | | | | 88,972 | |
Brown & Brown, Inc. | | | 1,553 | | | | 82,526 | |
Loews Corp. | | | 1,473 | | | | 80,499 | |
Equitable Holdings, Inc. | | | 2,510 | | | | 76,430 | |
Fidelity National Financial, Inc. | | | 1,697 | | | | 73,752 | |
Lincoln National Corp. | | | 1,173 | | | | 73,711 | |
American Financial Group, Inc. | | | 559 | | | | 69,719 | |
Assurant, Inc. | | | 421 | | | | 65,752 | |
Globe Life, Inc. | | | 690 | | | | 65,723 | |
Reinsurance Group of America, Inc. — Class A | | | 510 | | | | 58,140 | |
Lemonade, Inc.* | | | 530 | | | | 57,987 | |
Voya Financial, Inc. | | | 942 | | | | 57,933 | |
First American Financial Corp. | | | 880 | | | | 54,868 | |
Unum Group | | | 1,805 | | | | 51,262 | |
MGIC Investment Corp. | | | 3,312 | | | | 45,043 | |
Brookfield Asset Management Reinsurance Partners Ltd. — Class A* | | | 13 | | | | 668 | |
Total Insurance | | | | | | | 3,941,363 | |
| | | | | | | | | |
Diversified Financial Services - 16.8% |
Charles Schwab Corp. | | | 3,426 | | | | 249,447 | |
American Express Co. | | | 1,492 | | | | 246,523 | |
BlackRock, Inc. — Class A | | | 280 | | | | 244,992 | |
CME Group, Inc. — Class A | | | 865 | | | | 183,968 | |
Capital One Financial Corp. | | | 1,149 | | | | 177,739 | |
Intercontinental Exchange, Inc. | | | 1,487 | | | | 176,507 | |
Futu Holdings Ltd. ADR* | | | 910 | | | | 162,972 | |
T. Rowe Price Group, Inc. | | | 732 | | | | 144,914 | |
Rocket Companies, Inc. — Class A | | | 6,719 | | | | 130,013 | |
Discover Financial Services | | | 1,081 | | | | 127,871 | |
Synchrony Financial | | | 2,344 | | | | 113,731 | |
Apollo Global Management, Inc. | | | 1,828 | | | | 113,701 | |
Nasdaq, Inc. | | | 640 | | | | 112,512 | |
Ameriprise Financial, Inc. | | | 385 | | | | 95,819 | |
Tradeweb Markets, Inc. — Class A | | | 1,114 | | | | 94,200 | |
Ally Financial, Inc. | | | 1,815 | | | | 90,460 | |
Franklin Resources, Inc. | | | 2,648 | | | | 84,709 | |
Cboe Global Markets, Inc. | | | 641 | | | | 76,311 | |
Invesco Ltd. | | | 2,759 | | | | 73,748 | |
LPL Financial Holdings, Inc. | | | 505 | | | | 68,165 | |
Jefferies Financial Group, Inc. | | | 1,920 | | | | 65,664 | |
Credit Acceptance Corp.*,1 | | | 129 | | | | 58,580 | |
SLM Corp. | | | 2,693 | | | | 56,391 | |
Evercore, Inc. — Class A | | | 380 | | | | 53,493 | |
LendingTree, Inc.* | | | 170 | | | | 36,020 | |
Total Diversified Financial Services | | | | | | | 3,038,450 | |
| | | | | | | | | |
Private Equity - 3.1% |
Blackstone Group, Inc. — Class A | | | 2,351 | | | | 228,376 | |
KKR & Company, Inc. — Class A | | | 2,614 | | | | 154,853 | |
Brookfield Asset Management, Inc. — Class A | | | 1,753 | | | | 89,368 | |
Carlyle Group, Inc. | | | 1,880 | | | | 87,383 | |
Total Private Equity | | | | | | | 559,980 | |
| | | | | | | | | |
Commercial Services - 2.7% |
S&P Global, Inc. | | | 525 | | | | 215,486 | |
Moody’s Corp. | | | 491 | | | | 177,924 | |
MarketAxess Holdings, Inc. | | | 193 | | | | 89,473 | |
Total Commercial Services | | | | | | | 482,883 | |
| | | | | | | | | |
Software - 0.8% |
MSCI, Inc. — Class A | | | 270 | | | | 143,931 | |
| | | | | | | | | |
Media - 0.4% |
FactSet Research Systems, Inc. | | | 232 | | | | 77,861 | |
| | | | | | | | | |
Savings & Loans - 0.3% |
People’s United Financial, Inc. | | | 3,318 | | | | 56,870 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $11,438,678) | | | | | | | 18,044,655 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.6% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 63,776 | | | | 63,776 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 25,108 | | | | 25,108 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 24,616 | | | | 24,616 | |
Total Repurchase Agreements | | | | |
(Cost $113,500) | | | | | | | 113,500 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.2% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 41,423 | | | | 41,423 | |
Total Securities Lending Collateral | | | | |
(Cost $41,423) | | | | | | | 41,423 | |
| | | | | | | | | |
Total Investments - 100.4% | | | | |
(Cost $11,593,601) | | $ | 18,199,578 | |
Other Assets & Liabilities, net - (0.4)% | | | (73,224 | ) |
Total Net Assets - 100.0% | | $ | 18,126,354 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
FINANCIAL SERVICES 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 a portion of this security is on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 18,044,655 | | | $ | — | | | $ | — | | | $ | 18,044,655 | |
Repurchase Agreements | | | — | | | | 113,500 | | | | — | | | | 113,500 | |
Securities Lending Collateral | | | 41,423 | | | | — | | | | — | | | | 41,423 | |
Total Assets | | $ | 18,086,078 | | | $ | 113,500 | | | $ | — | | | $ | 18,199,578 | |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value - including $40,870 of securities loaned (cost $11,480,101) | | $ | 18,086,078 | |
Repurchase agreements, at value (cost $113,500) | | | 113,500 | |
Cash | | | 236 | |
Receivables: |
Securities sold | | | 616,819 | |
Dividends | | | 32,480 | |
Fund shares sold | | | 9,300 | |
Securities lending income | | | 117 | |
Total assets | | | 18,858,530 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 645,600 | |
Return of securities lending collateral | | | 41,423 | |
Management fees | | | 14,837 | |
Transfer agent and administrative fees | | | 4,696 | |
Investor service fees | | | 4,364 | |
Portfolio accounting fees | | | 1,746 | |
Trustees’ fees* | | | 141 | |
Miscellaneous | | | 19,369 | |
Total liabilities | | | 732,176 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 18,126,354 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 12,156,481 | |
Total distributable earnings (loss) | | | 5,969,873 | |
Net assets | | $ | 18,126,354 | |
Capital shares outstanding | | | 171,440 | |
Net asset value per share | | $ | 105.73 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends (net of foreign withholding tax of $256) | | $ | 174,185 | |
Interest | | | 9 | |
Income from securities lending, net | | | 247 | |
Total investment income | | | 174,441 | |
| | | | | |
Expenses: |
Management fees | | | 66,021 | |
Investor service fees | | | 19,418 | |
Transfer agent and administrative fees | | | 24,098 | |
Professional fees | | | 11,865 | |
Portfolio accounting fees | | | 7,767 | |
Custodian fees | | | 1,041 | |
Trustees’ fees* | | | 957 | |
Line of credit fees | | | 17 | |
Miscellaneous | | | 285 | |
Total expenses | | | 131,469 | |
Net investment income | | | 42,972 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 278,100 | |
Net realized gain | | | 278,100 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 2,750,398 | |
Net change in unrealized appreciation (depreciation) | | | 2,750,398 | |
Net realized and unrealized gain | | | 3,028,498 | |
Net increase in net assets resulting from operations | | $ | 3,071,470 | |
* | 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 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 42,972 | | | $ | 66,664 | |
Net realized gain on investments | | | 278,100 | | | | 522,950 | |
Net change in unrealized appreciation (depreciation) on investments | | | 2,750,398 | | | | (943,101 | ) |
Net increase (decrease) in net assets resulting from operations | | | 3,071,470 | | | | (353,487 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (348,018 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 16,992,823 | | | | 25,637,728 | |
Distributions reinvested | | | — | | | | 348,018 | |
Cost of shares redeemed | | | (12,304,967 | ) | | | (26,244,148 | ) |
Net increase (decrease) from capital share transactions | | | 4,687,856 | | | | (258,402 | ) |
Net increase (decrease) in net assets | | | 7,759,326 | | | | (959,907 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 10,367,028 | | | | 11,326,935 | |
End of period | | $ | 18,126,354 | | | $ | 10,367,028 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 173,026 | | | | 337,386 | |
Shares issued from reinvestment of distributions | | | — | | | | 4,870 | |
Shares redeemed | | | (122,811 | ) | | | (347,179 | ) |
Net increase (decrease) in shares | | | 50,215 | | | | (4,923 | ) |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016e | |
Per Share Data |
Net asset value, beginning of period | | $ | 85.52 | | | $ | 89.79 | | | $ | 73.46 | | | $ | 84.47 | | | $ | 73.42 | | | $ | 64.46 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .27 | | | | .70 | | | | .70 | | | | .45 | | | | .77 | | | | — | c |
Net gain (loss) on investments (realized and unrealized) | | | 19.94 | | | | (1.47 | ) | | | 19.67 | | | | (10.74 | ) | | | 10.63 | | | | 9.32 | |
Total from investment operations | | | 20.21 | | | | (.77 | ) | | | 20.37 | | | | (10.29 | ) | | | 11.40 | | | | 9.32 | |
Less distributions from: |
Net investment income | | | — | | | | (.74 | ) | | | (.71 | ) | | | (.72 | ) | | | (.35 | ) | | | (.36 | ) |
Net realized gains | | | — | | | | (2.76 | ) | | | (3.33 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (3.50 | ) | | | (4.04 | ) | | | (.72 | ) | | | (.35 | ) | | | (.36 | ) |
Net asset value, end of period | | $ | 105.73 | | | $ | 85.52 | | | $ | 89.79 | | | $ | 73.46 | | | $ | 84.47 | | | $ | 73.42 | |
|
Total Returnd | | | 23.63 | % | | | (0.11 | %) | | | 28.08 | % | | | (12.28 | %) | | | 15.57 | % | | | 15.83 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 18,126 | | | $ | 10,367 | | | $ | 11,327 | | | $ | 7,098 | | | $ | 16,357 | | | $ | 16,230 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.55 | % | | | 0.92 | % | | | 0.83 | % | | | 0.54 | % | | | 1.00 | % | | | — | f |
Total expenses | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % | | | 1.72 | % | | | 1.70 | % | | | 1.66 | % |
Portfolio turnover rate | | | 78 | % | | | 339 | % | | | 218 | % | | | 403 | % | | | 364 | % | | | 329 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
e | Reverse share split — Per share amounts for the year ended December 31, 2016 have been restated to reflect a 1:3 reverse share split effective December 1, 2016. |
f | Less than 0.01%. |
��
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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% |
UnitedHealth Group, Inc. | 2.9% |
Eli Lilly & Co. | 2.2% |
Pfizer, Inc. | 2.2% |
Abbott Laboratories | 2.1% |
Thermo Fisher Scientific, Inc. | 2.1% |
Danaher Corp. | 2.1% |
Merck & Company, Inc. | 2.1% |
AbbVie, Inc. | 2.1% |
Bristol-Myers Squibb Co. | 1.8% |
Top Ten Total | 22.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Health Care Fund | 12.14% | 30.47% | 14.44% | 13.82% |
S&P 500 Health Care Index | 11.85% | 27.92% | 14.06% | 15.67% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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 Health Care Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
HEALTH CARE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.7% |
| | | | | | | | | |
Healthcare-Products - 30.2% |
Abbott Laboratories | | | 3,480 | | | $ | 403,436 | |
Thermo Fisher Scientific, Inc. | | | 784 | | | | 395,504 | |
Danaher Corp. | | | 1,454 | | | | 390,195 | |
Medtronic plc | | | 2,655 | | | | 329,565 | |
Intuitive Surgical, Inc.* | | | 319 | | | | 293,365 | |
Stryker Corp. | | | 1,051 | | | | 272,976 | |
Edwards Lifesciences Corp.* | | | 2,164 | | | | 224,125 | |
Boston Scientific Corp.* | | | 4,995 | | | | 213,586 | |
IDEXX Laboratories, Inc.* | | | 328 | | | | 207,148 | |
Align Technology, Inc.* | | | 313 | | | | 191,243 | |
Baxter International, Inc. | | | 2,171 | | | | 174,766 | |
ResMed, Inc. | | | 679 | | | | 167,387 | |
Zimmer Biomet Holdings, Inc. | | | 994 | | | | 159,855 | |
West Pharmaceutical Services, Inc. | | | 399 | | | | 143,281 | |
10X Genomics, Inc. — Class A* | | | 649 | | | | 127,087 | |
STERIS plc | | | 616 | | | | 127,081 | |
Avantor, Inc.* | | | 3,564 | | | | 126,558 | |
Novocure Ltd.* | | | 549 | | | | 121,779 | |
Hologic, Inc.* | | | 1,761 | | | | 117,494 | |
PerkinElmer, Inc. | | | 755 | | | | 116,580 | |
Bio-Techne Corp. | | | 258 | | | | 116,167 | |
Insulet Corp.* | | | 421 | | | | 115,569 | |
QIAGEN N.V.* | | | 2,151 | | | | 104,065 | |
ABIOMED, Inc.* | | | 332 | | | | 103,621 | |
Masimo Corp.* | | | 426 | | | | 103,284 | |
Dentsply Sirona, Inc. | | | 1,598 | | | | 101,090 | |
Repligen Corp.* | | | 458 | | | | 91,426 | |
Natera, Inc.* | | | 805 | | | | 91,392 | |
Henry Schein, Inc.* | | | 1,181 | | | | 87,618 | |
Penumbra, Inc.* | | | 319 | | | | 87,425 | |
Hill-Rom Holdings, Inc. | | | 669 | | | | 75,992 | |
Tandem Diabetes Care, Inc.* | | | 714 | | | | 69,544 | |
Quidel Corp.* | | | 536 | | | | 68,672 | |
Nevro Corp.* | | | 406 | | | | 67,311 | |
Haemonetics Corp.* | | | 788 | | | | 52,512 | |
iRhythm Technologies, Inc.* | | | 591 | | | | 39,213 | |
Total Healthcare-Products | | | | | | | 5,677,912 | |
| | | | | | | | | |
Pharmaceuticals - 29.9% |
Johnson & Johnson | | | 3,482 | | | | 573,625 | |
Eli Lilly & Co. | | | 1,812 | | | | 415,890 | |
Pfizer, Inc. | | | 10,388 | | | | 406,794 | |
Merck & Company, Inc. | | | 4,995 | | | | 388,461 | |
AbbVie, Inc. | | | 3,421 | | | | 385,341 | |
Bristol-Myers Squibb Co. | | | 5,045 | | | | 337,107 | |
CVS Health Corp. | | | 3,449 | | | | 287,785 | |
Zoetis, Inc. | | | 1,392 | | | | 259,413 | |
Cigna Corp. | | | 1,051 | | | | 249,161 | |
Becton Dickinson and Co. | | | 960 | | | | 233,462 | |
AstraZeneca plc ADR1 | | | 3,150 | | | | 188,685 | |
DexCom, Inc.* | | | 423 | | | | 180,621 | |
McKesson Corp. | | | 788 | | | | 150,697 | |
Intellia Therapeutics, Inc.* | | | 823 | | | | 133,252 | |
AmerisourceBergen Corp. — Class A | | | 1,155 | | | | 132,236 | |
Jazz Pharmaceuticals plc* | | | 701 | | | | 124,526 | |
GlaxoSmithKline plc ADR | | | 2,917 | | | | 116,155 | |
Novartis AG ADR | | | 1,250 | | | | 114,050 | |
Viatris, Inc. | | | 7,920 | | | | 113,177 | |
Cardinal Health, Inc. | | | 1,962 | | | | 112,011 | |
Elanco Animal Health, Inc.* | | | 3,174 | | | | 110,106 | |
Perrigo Company plc | | | 2,294 | | | | 105,180 | |
Teva Pharmaceutical Industries Ltd. ADR* | | | 10,447 | | | | 103,425 | |
PRA Health Sciences, Inc.* | | | 540 | | | | 89,213 | |
Bausch Health Companies, Inc.* | | | 3,026 | | | | 88,722 | |
Neurocrine Biosciences, Inc.* | | | 855 | | | | 83,209 | |
Organon & Co.* | | | 2,475 | | | | 74,893 | |
Sarepta Therapeutics, Inc.* | | | 871 | | | | 67,712 | |
Total Pharmaceuticals | | | | | | | 5,624,909 | |
| | | | | | | | | |
Biotechnology - 20.5% |
Amgen, Inc. | | | 1,348 | | | | 328,575 | |
Moderna, Inc.* | | | 1,229 | | | | 288,790 | |
Gilead Sciences, Inc. | | | 3,768 | | | | 259,464 | |
Illumina, Inc.* | | | 493 | | | | 233,293 | |
Regeneron Pharmaceuticals, Inc.* | | | 389 | | | | 217,272 | |
Vertex Pharmaceuticals, Inc.* | | | 1,023 | | | | 206,268 | |
Biogen, Inc.* | | | 547 | | | | 189,410 | |
Alexion Pharmaceuticals, Inc.* | | | 966 | | | | 177,464 | |
CRISPR Therapeutics AG* | | | 1,057 | | | | 171,118 | |
Seagen, Inc.* | | | 949 | | | | 149,828 | |
Royalty Pharma plc — Class A | | | 3,236 | | | | 132,644 | |
BioNTech SE ADR* | | | 573 | | | | 128,283 | |
Horizon Therapeutics plc* | | | 1,363 | | | | 127,631 | |
Exact Sciences Corp.* | | | 1,014 | | | | 126,050 | |
Alnylam Pharmaceuticals, Inc.* | | | 721 | | | | 122,224 | |
Incyte Corp.* | | | 1,418 | | | | 119,296 | |
Novavax, Inc.* | | | 560 | | | | 118,894 | |
BioMarin Pharmaceutical, Inc.* | | | 1,294 | | | | 107,971 | |
Guardant Health, Inc.* | | | 788 | | | | 97,862 | |
Arrowhead Pharmaceuticals, Inc.* | | | 960 | | | | 79,507 | |
Pacific Biosciences of California, Inc.* | | | 2,260 | | | | 79,032 | |
Mirati Therapeutics, Inc.* | | | 484 | | | | 78,181 | |
United Therapeutics Corp.* | | | 432 | | | | 77,505 | |
Twist Bioscience Corp.* | | | 573 | | | | 76,352 | |
Exelixis, Inc.* | | | 3,284 | | | | 59,834 | |
Emergent BioSolutions, Inc.* | | | 805 | | | | 50,707 | |
Inovio Pharmaceuticals, Inc.*,1 | | | 4,250 | | | | 39,398 | |
Total Biotechnology | | | | | | | 3,842,853 | |
| | | | | | | | | |
Healthcare-Services - 14.9% |
UnitedHealth Group, Inc. | | | 1,344 | | | | 538,191 | |
Anthem, Inc. | | | 703 | | | | 268,406 | |
HCA Healthcare, Inc. | | | 1,112 | | | | 229,895 | |
Humana, Inc. | | | 478 | | | | 211,620 | |
IQVIA Holdings, Inc.* | | | 769 | | | | 186,344 | |
Centene Corp.* | | | 2,444 | | | | 178,241 | |
Laboratory Corporation of America Holdings* | | | 534 | | | | 147,304 | |
Teladoc Health, Inc.* | | | 870 | | | | 144,672 | |
Charles River Laboratories International, Inc.* | | | 326 | | | | 120,594 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
HEALTH CARE FUND | |
| | Shares | | | Value | |
Catalent, Inc.* | | | 1,083 | | | $ | 117,094 | |
Quest Diagnostics, Inc. | | | 881 | | | | 116,266 | |
Molina Healthcare, Inc.* | | | 421 | | | | 106,538 | |
DaVita, Inc.* | | | 808 | | | | 97,308 | |
Universal Health Services, Inc. — Class B | | | 653 | | | | 95,619 | |
Syneos Health, Inc.* | | | 962 | | | | 86,089 | |
Encompass Health Corp. | | | 970 | | | | 75,689 | |
Invitae Corp.*,1 | | | 2,169 | | | | 73,160 | |
Total Healthcare-Services | | | | | | | 2,793,030 | |
| | | | | | | | | |
Electronics - 2.5% |
Agilent Technologies, Inc. | | | 1,253 | | | | 185,206 | |
Mettler-Toledo International, Inc.* | | | 113 | | | | 156,543 | |
Waters Corp.* | | | 369 | | | | 127,530 | |
Total Electronics | | | | | | | 469,279 | |
| | | | | | | | | |
Software - 1.7% |
Veeva Systems, Inc. — Class A* | | | 617 | | | | 191,856 | |
Cerner Corp. | | | 1,704 | | | | 133,185 | |
Total Software | | | | | | | 325,041 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $6,783,142) | | | | | | | 18,733,024 | |
| | | Face
Amount | | | | |
REPURCHASE AGREEMENTS††,2 - 0.5% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 52,644 | | | | 52,644 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 20,726 | | | | 20,726 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 20,320 | | | | 20,320 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $93,690) | | | | | | | 93,690 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 1.2% |
| Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 219,125 | | | | 219,125 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $219,125) | | | | | | | 219,125 | |
| | | | | | | | | |
| Total Investments - 101.4% | | | | | | | | |
| (Cost $7,095,957) | | | | | | $ | 19,045,839 | |
| Other Assets & Liabilities, net - (1.4)% | | | | | | | (264,254 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 18,781,585 | |
* | 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 on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 18,733,024 | | | $ | — | | | $ | — | | | $ | 18,733,024 | |
Repurchase Agreements | | | — | | | | 93,690 | | | | — | | | | 93,690 | |
Securities Lending Collateral | | | 219,125 | | | | — | | | | — | | | | 219,125 | |
Total Assets | | $ | 18,952,149 | | | $ | 93,690 | | | $ | — | | | $ | 19,045,839 | |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value - including $212,328 of securities loaned (cost $7,002,267) | | $ | 18,952,149 | |
Repurchase agreements, at value (cost $93,690) | | | 93,690 | |
Receivables: |
Dividends | | | 10,905 | |
Foreign tax reclaims | | | 1,306 | |
Securities lending income | | | 76 | |
Total assets | | | 19,058,126 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 219,125 | |
Management fees | | | 12,772 | |
Fund shares redeemed | | | 7,247 | |
Transfer agent and administrative fees | | | 4,042 | |
Investor service fees | | | 3,756 | |
Portfolio accounting fees | | | 1,503 | |
Trustees’ fees* | | | 204 | |
Miscellaneous | | | 27,892 | |
Total liabilities | | | 276,541 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 18,781,585 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 4,614,963 | |
Total distributable earnings (loss) | | | 14,166,622 | |
Net assets | | $ | 18,781,585 | |
Capital shares outstanding | | | 193,771 | |
Net asset value per share | | $ | 96.93 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends (net of foreign withholding tax of $642) | | $ | 100,133 | |
Interest | | | 13 | |
Income from securities lending, net | | | 1,030 | |
Total investment income | | | 101,176 | |
| | | | | |
Expenses: |
Management fees | | | 79,524 | |
Investor service fees | | | 23,389 | |
Transfer agent and administrative fees | | | 31,105 | |
Professional fees | | | 11,774 | |
Portfolio accounting fees | | | 9,356 | |
Trustees’ fees* | | | 1,931 | |
Custodian fees | | | 1,339 | |
Miscellaneous | | | 854 | |
Total expenses | | | 159,272 | |
Net investment loss | | | (58,096 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 2,281,013 | |
Net realized gain | | | 2,281,013 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (54,631 | ) |
Net change in unrealized appreciation (depreciation) | | | (54,631 | ) |
Net realized and unrealized gain | | | 2,226,382 | |
Net increase in net assets resulting from operations | | $ | 2,168,286 | |
* | 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 | 59 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (58,096 | ) | | $ | (132,645 | ) |
Net realized gain on investments | | | 2,281,013 | | | | 2,504,759 | |
Net change in unrealized appreciation (depreciation) on investments | | | (54,631 | ) | | | 645,362 | |
Net increase in net assets resulting from operations | | | 2,168,286 | | | | 3,017,476 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (517,189 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 4,858,219 | | | | 30,417,037 | |
Distributions reinvested | | | — | | | | 517,189 | |
Cost of shares redeemed | | | (9,293,463 | ) | | | (31,428,341 | ) |
Net decrease from capital share transactions | | | (4,435,244 | ) | | | (494,115 | ) |
Net increase (decrease) in net assets | | | (2,266,958 | ) | | | 2,006,172 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 21,048,543 | | | | 19,042,371 | |
End of period | | $ | 18,781,585 | | | $ | 21,048,543 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 53,420 | | | | 394,586 | |
Shares issued from reinvestment of distributions | | | — | | | | 6,559 | |
Shares redeemed | | | (103,155 | ) | | | (411,959 | ) |
Net decrease in shares | | | (49,735 | ) | | | (10,814 | ) |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 86.44 | | | $ | 74.88 | | | $ | 62.38 | | | $ | 62.43 | | | $ | 52.62 | | | $ | 60.47 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.28 | ) | | | (.55 | ) | | | (.40 | ) | | | (.48 | ) | | | (.44 | ) | | | (.37 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 10.77 | | | | 14.32 | | | | 14.35 | | | | 1.33 | d | | | 12.39 | | | | (5.36 | ) |
Total from investment operations | | | 10.49 | | | | 13.77 | | | | 13.95 | | | | .85 | | | | 11.95 | | | | (5.73 | ) |
Less distributions from: |
Net realized gains | | | — | | | | (2.21 | ) | | | (1.45 | ) | | | (.90 | ) | | | (2.14 | ) | | | (2.12 | ) |
Total distributions | | | — | | | | (2.21 | ) | | | (1.45 | ) | | | (.90 | ) | | | (2.14 | ) | | | (2.12 | ) |
Net asset value, end of period | | $ | 96.93 | | | $ | 86.44 | | | $ | 74.88 | | | $ | 62.38 | | | $ | 62.43 | | | $ | 52.62 | |
|
Total Returnc | | | 12.14 | % | | | 18.68 | % | | | 22.57 | % | | | 1.25 | % | | | 22.86 | % | | | (9.70 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 18,782 | | | $ | 21,049 | | | $ | 19,042 | | | $ | 20,437 | | | $ | 22,657 | | | $ | 18,778 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.62 | %) | | | (0.71 | %) | | | (0.58 | %) | | | (0.72 | %) | | | (0.73 | %) | | | (0.67 | %) |
Total expenses | | | 1.70 | % | | | 1.82 | % | | | 1.82 | % | | | 1.72 | % | | | 1.70 | % | | | 1.66 | % |
Portfolio turnover rate | | | 27 | % | | | 171 | % | | | 150 | % | | | 194 | % | | | 156 | % | | | 146 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | The amount shown for a share outstanding throughout the period does not agree with the aggregate net loss on investments for the year because of the sales and purchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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) |
Amazon.com, Inc. | 6.3% |
Alphabet, Inc. — Class A | 6.2% |
Facebook, Inc. — Class A | 4.8% |
Alibaba Group Holding Ltd. ADR | 3.5% |
PayPal Holdings, Inc. | 2.9% |
Adobe, Inc. | 2.6% |
Netflix, Inc. | 2.4% |
salesforce.com, Inc. | 2.3% |
Cisco Systems, Inc. | 2.3% |
Baidu, Inc. ADR | 2.0% |
Top Ten Total | 35.3% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Internet Fund | 10.41% | 43.52% | 25.92% | 17.83% |
S&P 500 Information Technology Index | 13.76% | 42.40% | 31.21% | 21.99% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
INTERNET FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.4% |
| | | | | | | | | |
Internet - 61.8% |
Amazon.com, Inc.* | | | 251 | | | $ | 863,480 | |
Alphabet, Inc. — Class A* | | | 350 | | | | 854,626 | |
Facebook, Inc. — Class A* | | | 1,918 | | | | 666,908 | |
Alibaba Group Holding Ltd. ADR* | | | 2,120 | | | | 480,774 | |
Netflix, Inc.* | | | 624 | | | | 329,603 | |
Baidu, Inc. ADR* | | | 1,380 | | | | 281,382 | |
Snap, Inc. — Class A* | | | 3,269 | | | | 222,750 | |
Uber Technologies, Inc.* | | | 4,064 | | | | 203,688 | |
Booking Holdings, Inc.* | | | 89 | | | | 194,740 | |
Roku, Inc.* | | | 404 | | | | 185,537 | |
JD.com, Inc. ADR* | | | 2,267 | | | | 180,929 | |
Pinduoduo, Inc. ADR* | | | 1,328 | | | | 168,683 | |
DoorDash, Inc. — Class A* | | | 930 | | | | 165,847 | |
Twitter, Inc.* | | | 2,397 | | | | 164,938 | |
Shopify, Inc. — Class A* | | | 106 | | | | 154,864 | |
Pinterest, Inc. — Class A* | | | 1,951 | | | | 154,031 | |
Sea Ltd. ADR* | | | 554 | | | | 152,128 | |
eBay, Inc. | | | 2,134 | | | | 149,828 | |
MercadoLibre, Inc.* | | | 95 | | | | 147,990 | |
Match Group, Inc.* | | | 886 | | | | 142,867 | |
Okta, Inc.* | | | 534 | | | | 130,659 | |
Spotify Technology S.A.* | | | 468 | | | | 128,976 | |
Vipshop Holdings Ltd. ADR* | | | 6,146 | | | | 123,412 | |
Chewy, Inc. — Class A* | | | 1,529 | | | | 121,877 | |
Wayfair, Inc. — Class A* | | | 383 | | | | 120,917 | |
Zillow Group, Inc. — Class C* | | | 980 | | | | 119,776 | |
Zillow Group, Inc. — Class A* | | | 972 | | | | 119,099 | |
Etsy, Inc.* | | | 572 | | | | 117,740 | |
VeriSign, Inc.* | | | 470 | | | | 107,014 | |
Farfetch Ltd. — Class A* | | | 2,115 | | | | 106,511 | |
Expedia Group, Inc.* | | | 622 | | | | 101,828 | |
Fiverr International Ltd.* | | | 396 | | | | 96,026 | |
Lyft, Inc. — Class A* | | | 1,564 | | | | 94,591 | |
Trip.com Group Ltd. ADR* | | | 2,642 | | | | 93,685 | |
Just Eat Takeaway.com N.V. ADR* | | | 5,101 | | | | 93,141 | |
Jumia Technologies AG ADR*,1 | | | 2,992 | | | | 90,747 | |
Wix.com Ltd.* | | | 310 | | | | 89,987 | |
Weibo Corp. ADR* | | | 1,696 | | | | 89,244 | |
Autohome, Inc. ADR | | | 1,278 | | | | 81,741 | |
JOYY, Inc. ADR | | | 1,233 | | | | 81,341 | |
GoDaddy, Inc. — Class A* | | | 925 | | | | 80,438 | |
IAC* | | | 506 | | | | 78,010 | |
F5 Networks, Inc.* | | | 373 | | | | 69,624 | |
Vimeo, Inc.* | | | 1,247 | | | | 61,103 | |
Anaplan, Inc.* | | | 1,086 | | | | 57,884 | |
Stitch Fix, Inc. — Class A* | | | 872 | | | | 52,582 | |
TripAdvisor, Inc.* | | | 1,208 | | | | 48,682 | |
Overstock.com, Inc.* | | | 460 | | | | 42,412 | |
Stamps.com, Inc.* | | | 198 | | | | 39,657 | |
Total Internet | | | | | | | 8,504,297 | |
| | | | | | | | | |
Software - 24.9% |
Adobe, Inc.* | | | 616 | | | | 360,754 | |
salesforce.com, Inc.* | | | 1,286 | | | | 314,131 | |
Zoom Video Communications, Inc. — Class A* | | | 588 | | | | 227,574 | |
Activision Blizzard, Inc. | | | 1,908 | | | | 182,099 | |
Twilio, Inc. — Class A* | | | 457 | | | | 180,131 | |
Snowflake, Inc. — Class A* | | | 725 | | | | 175,305 | |
Workday, Inc. — Class A* | | | 678 | | | | 161,866 | |
DocuSign, Inc.* | | | 572 | | | | 159,914 | |
Veeva Systems, Inc. — Class A* | | | 468 | | | | 145,525 | |
Electronic Arts, Inc. | | | 938 | | | | 134,913 | |
Bilibili, Inc. ADR* | | | 1,033 | | | | 125,861 | |
NetEase, Inc. ADR | | | 1,028 | | | | 118,477 | |
HubSpot, Inc.* | | | 190 | | | | 110,717 | |
MongoDB, Inc.* | | | 269 | | | | 97,249 | |
Take-Two Interactive Software, Inc.* | | | 546 | | | | 96,653 | |
ZoomInfo Technologies, Inc. — Class A* | | | 1,838 | | | | 95,888 | |
Coupa Software, Inc.* | | | 365 | | | | 95,670 | |
Akamai Technologies, Inc.* | | | 781 | | | | 91,065 | |
Citrix Systems, Inc. | | | 678 | | | | 79,509 | |
Dropbox, Inc. — Class A* | | | 2,449 | | | | 74,229 | |
Five9, Inc.* | | | 404 | | | | 74,090 | |
Skillz, Inc.* | | | 3,020 | | | | 65,594 | |
Smartsheet, Inc. — Class A* | | | 894 | | | | 64,654 | |
Fastly, Inc. — Class A*,1 | | | 939 | | | | 55,964 | |
J2 Global, Inc.* | | | 383 | | | | 52,682 | |
BigCommerce Holdings, Inc.* | | | 712 | | | | 46,223 | |
New Relic, Inc.* | | | 624 | | | | 41,789 | |
Total Software | | | | | | | 3,428,526 | |
| | | | | | | | | |
Telecommunications - 6.1% |
Cisco Systems, Inc. | | | 5,887 | | | | 312,011 | |
Motorola Solutions, Inc. | | | 593 | | | | 128,592 | |
Arista Networks, Inc.* | | | 300 | | | | 108,693 | |
GDS Holdings Ltd. ADR* | | | 1,090 | | | | 85,554 | |
Telefonaktiebolaget LM Ericsson ADR | | | 6,054 | | | | 76,160 | |
Juniper Networks, Inc. | | | 2,272 | | | | 62,139 | |
Ciena Corp.* | | | 1,091 | | | | 62,067 | |
Total Telecommunications | | | | | | | 835,216 | |
| | | | | | | | | |
Commercial Services - 5.0% |
PayPal Holdings, Inc.* | | | 1,359 | | | | 396,121 | |
CoStar Group, Inc.* | | | 1,394 | | | | 115,451 | |
Chegg, Inc.* | | | 889 | | | | 73,885 | |
Paylocity Holding Corp.* | | | 363 | | | | 69,260 | |
2U, Inc.* | | | 901 | | | | 37,545 | |
Total Commercial Services | | | | | | | 692,262 | |
| | | | | | | | | |
Healthcare-Services - 0.8% |
Teladoc Health, Inc.* | | | 658 | | | | 109,419 | |
| | | | | | | | | |
Real Estate - 0.4% |
Redfin Corp.* | | | 867 | | | | 54,976 | |
| | | | | | | | | |
Computers - 0.4% |
Lumentum Holdings, Inc.* | | | 639 | | | | 52,417 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $6,671,217) | | | | | | | 13,677,113 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
INTERNET FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,2 - 0.8% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 61,330 | | | $ | 61,330 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 24,146 | | | | 24,146 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 23,672 | | | | 23,672 | |
Total Repurchase Agreements | | | | |
(Cost $109,148) | | | | | | | 109,148 | |
| | | | | | | | | |
| | Shares | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.6% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 79,441 | | | | 79,441 | |
Total Securities Lending Collateral | | | | |
(Cost $79,441) | | | | | | | 79,441 | |
| | | | | | | | | |
Total Investments - 100.8% | | | | |
(Cost $6,859,806) | | $ | 13,865,702 | |
Other Assets & Liabilities, net - (0.8)% | | | (111,343 | ) |
Total Net Assets - 100.0% | | $ | 13,754,359 | |
* | 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 on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 13,677,113 | | | $ | — | | | $ | — | | | $ | 13,677,113 | |
Repurchase Agreements | | | — | | | | 109,148 | | | | — | | | | 109,148 | |
Securities Lending Collateral | | | 79,441 | | | | — | | | | — | | | | 79,441 | |
Total Assets | | $ | 13,756,554 | | | $ | 109,148 | | | $ | — | | | $ | 13,865,702 | |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value - including $75,673 of securities loaned (cost $6,750,658) | | $ | 13,756,554 | |
Repurchase agreements, at value (cost $109,148) | | | 109,148 | |
Receivables: |
Fund shares sold | | | 640,234 | |
Dividends | | | 383 | |
Securities lending income | | | 11 | |
Total assets | | | 14,506,330 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 638,749 | |
Return of securities lending collateral | | | 79,441 | |
Management fees | | | 7,722 | |
Transfer agent and administrative fees | | | 2,444 | |
Investor service fees | | | 2,271 | |
Fund shares redeemed | | | 2,090 | |
Portfolio accounting fees | | | 908 | |
Trustees’ fees* | | | 134 | |
Miscellaneous | | | 18,212 | |
Total liabilities | | | 751,971 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 13,754,359 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 3,795,085 | |
Total distributable earnings (loss) | | | 9,959,274 | |
Net assets | | $ | 13,754,359 | |
Capital shares outstanding | | | 75,760 | |
Net asset value per share | | $ | 181.55 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends (net of foreign withholding tax of $437) | | $ | 10,523 | |
Interest | | | 9 | |
Income from securities lending, net | | | 60 | |
Total investment income | | | 10,592 | |
| | | | | |
Expenses: |
Management fees | | | 51,784 | |
Investor service fees | | | 15,231 | |
Transfer agent and administrative fees | | | 20,336 | |
Professional fees | | | 7,939 | |
Portfolio accounting fees | | | 6,092 | |
Trustees’ fees* | | | 1,282 | |
Custodian fees | | | 875 | |
Miscellaneous | | | 258 | |
Total expenses | | | 103,797 | |
Net investment loss | | | (93,205 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 2,402,158 | |
Net realized gain | | | 2,402,158 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (1,123,151 | ) |
Net change in unrealized appreciation (depreciation) | | | (1,123,151 | ) |
Net realized and unrealized gain | | | 1,279,007 | |
Net increase in net assets resulting from operations | | $ | 1,185,802 | |
* | 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 | 65 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (93,205 | ) | | $ | (178,934 | ) |
Net realized gain on investments | | | 2,402,158 | | | | 2,450,653 | |
Net change in unrealized appreciation (depreciation) on investments | | | (1,123,151 | ) | | | 3,455,832 | |
Net increase in net assets resulting from operations | | | 1,185,802 | | | | 5,727,551 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (207,634 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 10,639,676 | | | | 26,383,207 | |
Distributions reinvested | | | — | | | | 207,634 | |
Cost of shares redeemed | | | (12,137,440 | ) | | | (26,391,413 | ) |
Net increase (decrease) from capital share transactions | | | (1,497,764 | ) | | | 199,428 | |
Net increase (decrease) in net assets | | | (311,962 | ) | | | 5,719,345 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 14,066,321 | | | | 8,346,976 | |
End of period | | $ | 13,754,359 | | | $ | 14,066,321 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 60,684 | | | | 208,755 | |
Shares issued from reinvestment of distributions | | | — | | | | 1,541 | |
Shares redeemed | | | (70,465 | ) | | | (205,002 | ) |
Net increase (decrease) in shares | | | (9,781 | ) | | | 5,294 | |
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 164.44 | | | $ | 104.02 | | | $ | 82.90 | | | $ | 86.84 | | | $ | 65.13 | | | $ | 70.60 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (1.31 | ) | | | (1.95 | ) | | | (1.41 | ) | | | (1.25 | ) | | | (.79 | ) | | | (.14 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 18.42 | | | | 64.22 | | | | 22.53 | | | | (1.23 | ) | | | 22.88 | | | | (3.30 | ) |
Total from investment operations | | | 17.11 | | | | 62.27 | | | | 21.12 | | | | (2.48 | ) | | | 22.09 | | | | (3.44 | ) |
Less distributions from: |
Net realized gains | | | — | | | | (1.85 | ) | | | — | | | | (1.46 | ) | | | (.38 | ) | | | (2.03 | ) |
Total distributions | | | — | | | | (1.85 | ) | | | — | | | | (1.46 | ) | | | (.38 | ) | | | (2.03 | ) |
Net asset value, end of period | | $ | 181.55 | | | $ | 164.44 | | | $ | 104.02 | | | $ | 82.90 | | | $ | 86.84 | | | $ | 65.13 | |
|
Total Returnc | | | 10.41 | % | | | 60.21 | % | | | 25.48 | % | | | (3.20 | %) | | | 33.96 | % | | | 4.44 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 13,754 | | | $ | 14,066 | | | $ | 8,347 | | | $ | 8,099 | | | $ | 8,943 | | | $ | 8,485 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.53 | %) | | | (1.54 | %) | | | (1.42 | %) | | | (1.29 | %) | | | (1.01 | %) | | | (0.78 | %) |
Total expenses | | | 1.70 | % | | | 1.82 | % | | | 1.82 | % | | | 1.72 | % | | | 1.71 | % | | | 1.66 | % |
Portfolio turnover rate | | | 76 | % | | | 243 | % | | | 319 | % | | | 485 | % | | | 365 | % | | | 384 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | Reverse share split — Per share amounts for the year ended December 31, 2016 have been restated to reflect a 1:4 reverse share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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) |
Walt Disney Co. | 4.0% |
Comcast Corp. — Class A | 3.6% |
Netflix, Inc. | 3.5% |
McDonald’s Corp. | 2.9% |
Charter Communications, Inc. — Class A | 2.8% |
Philip Morris International, Inc. | 2.8% |
Starbucks Corp. | 2.6% |
Altria Group, Inc. | 2.1% |
Booking Holdings, Inc. | 2.1% |
Roku, Inc. | 2.0% |
Top Ten Total | 28.4% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Leisure Fund | 12.30% | 56.09% | 14.16% | 13.34% |
S&P 500 Consumer Discretionary Index | 10.27% | 37.08% | 19.69% | 17.89% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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 return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
LEISURE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.4% |
| | | | | | | | | |
Media - 20.4% |
Walt Disney Co.* | | | 3,152 | | | $ | 554,027 | |
Comcast Corp. — Class A | | | 8,732 | | | | 497,899 | |
Charter Communications, Inc. — Class A* | | | 542 | | | | 391,026 | |
Liberty Broadband Corp. — Class C* | | | 1,056 | | | | 183,385 | |
ViacomCBS, Inc. — Class B | | | 3,930 | | | | 177,636 | |
Discovery, Inc. — Class A*,1 | | | 4,812 | | | | 147,632 | |
DISH Network Corp. — Class A* | | | 3,497 | | | | 146,175 | |
Fox Corp. — Class A | | | 3,822 | | | | 141,911 | |
Altice USA, Inc. — Class A* | | | 3,614 | | | | 123,382 | |
News Corp. — Class A | | | 4,662 | | | | 120,140 | |
Cable One, Inc. | | | 57 | | | | 109,030 | |
New York Times Co. — Class A | | | 1,993 | | | | 86,795 | |
Nexstar Media Group, Inc. — Class A | | | 533 | | | | 78,820 | |
World Wrestling Entertainment, Inc. — Class A | | | 1,114 | | | | 64,489 | |
Total Media | | | | | | | 2,822,347 | |
| | | | | | | | | |
Retail - 16.7% |
McDonald’s Corp. | | | 1,745 | | | | 403,078 | |
Starbucks Corp. | | | 3,179 | | | | 355,444 | |
Chipotle Mexican Grill, Inc. — Class A* | | | 139 | | | | 215,497 | |
Yum! Brands, Inc. | | | 1,561 | | | | 179,562 | |
Darden Restaurants, Inc. | | | 974 | | | | 142,194 | |
Domino’s Pizza, Inc. | | | 284 | | | | 132,483 | |
Yum China Holdings, Inc. | | | 1,908 | | | | 126,405 | |
Restaurant Brands International, Inc. | | | 1,493 | | | | 96,209 | |
Texas Roadhouse, Inc. — Class A | | | 852 | | | | 81,962 | |
Wendy’s Co. | | | 2,999 | | | | 70,237 | |
Wingstop, Inc. | | | 441 | | | | 69,515 | |
Shake Shack, Inc. — Class A* | | | 643 | | | | 68,814 | |
Papa John’s International, Inc. | | | 580 | | | | 60,575 | |
Cracker Barrel Old Country Store, Inc. | | | 394 | | | | 58,493 | |
Brinker International, Inc.* | | | 871 | | | | 53,871 | |
Cheesecake Factory, Inc.* | | | 937 | | | | 50,767 | |
Bloomin’ Brands, Inc.* | | | 1,802 | | | | 48,906 | |
Jack in the Box, Inc. | | | 422 | | | | 47,028 | |
Dave & Buster’s Entertainment, Inc.* | | | 1,072 | | | | 43,523 | |
Total Retail | | | | | | | 2,304,563 | |
| | | | | | | | | |
Internet - 13.8% |
Netflix, Inc.* | | | 921 | | | | 486,481 | |
Booking Holdings, Inc.* | | | 131 | | | | 286,640 | |
Roku, Inc.* | | | 599 | | | | 275,091 | |
Sea Ltd. ADR* | | | 801 | | | | 219,954 | |
Spotify Technology S.A.* | | | 639 | | | | 176,102 | |
Tencent Music Entertainment Group ADR* | | | 11,123 | | | | 172,184 | |
Expedia Group, Inc.* | | | 920 | | | | 150,613 | |
iQIYI, Inc. ADR* | | | 8,970 | | | | 139,753 | |
Total Internet | | | | | | | 1,906,818 | |
| | | | | | | | | |
Lodging - 10.2% |
Marriott International, Inc. — Class A* | | | 1,481 | | | | 202,186 | |
Las Vegas Sands Corp.* | | | 3,670 | | | | 193,372 | |
Hilton Worldwide Holdings, Inc.* | | | 1,451 | | | | 175,020 | |
MGM Resorts International | | | 3,365 | | | | 143,517 | |
Wynn Resorts Ltd.* | | | 939 | | | | 114,840 | |
Huazhu Group Ltd. ADR* | | | 1,833 | | | | 96,801 | |
Melco Resorts & Entertainment Ltd. ADR* | | | 5,489 | | | | 90,953 | |
Hyatt Hotels Corp. — Class A* | | | 1,084 | | | | 84,162 | |
Boyd Gaming Corp.* | | | 1,338 | | | | 82,273 | |
Wyndham Hotels & Resorts, Inc. | | | 1,099 | | | | 79,447 | |
Choice Hotels International, Inc. | | | 661 | | | | 78,566 | |
Travel + Leisure Co. | | | 1,171 | | | | 69,616 | |
Total Lodging | | | | | | | 1,410,753 | |
| | | | | | | | | |
Entertainment - 8.6% |
DraftKings, Inc. — Class A* | | | 2,789 | | | | 145,502 | |
Caesars Entertainment, Inc.* | | | 1,386 | | | | 143,798 | |
Live Nation Entertainment, Inc.* | | | 1,563 | | | | 136,903 | |
Vail Resorts, Inc.* | | | 349 | | | | 110,465 | |
Penn National Gaming, Inc.* | | | 1,401 | | | | 107,163 | |
Churchill Downs, Inc. | | | 438 | | | | 86,838 | |
Scientific Games Corp. — Class A* | | | 1,102 | | | | 85,339 | |
Marriott Vacations Worldwide Corp.* | | | 498 | | | | 79,331 | |
Madison Square Garden Sports Corp. — Class A* | | | 367 | | | | 63,333 | |
Six Flags Entertainment Corp.* | | | 1,390 | | | | 60,159 | |
SeaWorld Entertainment, Inc.* | | | 1,203 | | | | 60,078 | |
AMC Entertainment Holdings, Inc. — Class A*,1 | | | 947 | | | | 53,676 | |
Cinemark Holdings, Inc.* | | | 2,283 | | | | 50,112 | |
Total Entertainment | | | | | | | 1,182,697 | |
| | | | | | | | | |
Software - 8.2% |
Activision Blizzard, Inc. | | | 2,821 | | | | 269,236 | |
Electronic Arts, Inc. | | | 1,388 | | | | 199,636 | |
Bilibili, Inc. ADR* | | | 1,421 | | | | 173,135 | |
NetEase, Inc. ADR | | | 1,401 | | | | 161,466 | |
Take-Two Interactive Software, Inc.* | | | 807 | | | | 142,855 | |
HUYA, Inc. ADR*,1 | | | 5,654 | | | | 99,793 | |
Skillz, Inc.* | | | 4,464 | | | | 96,958 | |
Total Software | | | | | | | 1,143,079 | |
| | | | | | | | | |
Leisure Time - 8.1% |
Peloton Interactive, Inc. — Class A* | | | 1,617 | | | | 200,540 | |
Carnival Corp.* | | | 6,101 | | | | 160,822 | |
Royal Caribbean Cruises Ltd.* | | | 1,676 | | | | 142,929 | |
Norwegian Cruise Line Holdings Ltd.*,1 | | | 3,806 | | | | 111,935 | |
Polaris, Inc. | | | 666 | | | | 91,215 | |
Brunswick Corp. | | | 896 | | | | 89,260 | |
YETI Holdings, Inc.* | | | 970 | | | | 89,066 | |
Harley-Davidson, Inc. | | | 1,813 | | | | 83,072 | |
Planet Fitness, Inc. — Class A* | | | 1,056 | | | | 79,464 | |
Callaway Golf Co.* | | | 2,303 | | | | 77,680 | |
Total Leisure Time | | | | | | | 1,125,983 | |
| | | | | | | | | |
Beverages - 5.7% |
Constellation Brands, Inc. — Class A | | | 894 | | | | 209,097 | |
Brown-Forman Corp. — Class B | | | 2,450 | | | | 183,603 | |
Boston Beer Company, Inc. — Class A* | | | 111 | | | | 113,309 | |
Molson Coors Beverage Co. — Class B* | | | 1,925 | | | | 103,353 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
LEISURE FUND | |
| | Shares | | | Value | |
Anheuser-Busch InBev S.A. ADR | | | 1,297 | | | $ | 93,397 | |
Diageo plc ADR | | | 472 | | | | 90,478 | |
Total Beverages | | | | | | | 793,237 | |
| | | | | | | | | |
Agriculture - 5.6% |
Philip Morris International, Inc. | | | 3,857 | | | | 382,268 | |
Altria Group, Inc. | | | 6,140 | | | | 292,755 | |
British American Tobacco plc ADR | | | 2,391 | | | | 93,990 | |
Total Agriculture | | | | | | | 769,013 | |
| | | | | | | | | |
Toys, Games & Hobbies - 1.4% |
Hasbro, Inc. | | | 1,196 | | | | 113,046 | |
Mattel, Inc.* | | | 4,151 | | | | 83,435 | |
Total Toys, Games & Hobbies | | | | | | | 196,481 | |
| | | | | | | | | |
Food Service - 0.7% |
Aramark | | | 2,550 | | | | 94,987 | |
| | | | | | | | | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $9,164,799) | | | | | | | 13,749,958 | |
| | | | | | | | | |
RIGHTS††† - 0.0% |
Media - 0.0% |
Nexstar Media Group, Inc.* | | | 1,910 | | | | — | |
| | | | | | | | | |
Total Rights | | | | |
(Cost $—) | | | | | | | — | |
| | Face
Amount | | | | |
REPURCHASE AGREEMENTS††,2 - 0.6% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 47,812 | | | | 47,812 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 18,823 | | | | 18,823 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 18,454 | | | | 18,454 | |
Total Repurchase Agreements | | | | |
(Cost $85,089) | | | | | | | 85,089 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 2.2% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 303,626 | | | | 303,626 | |
Total Securities Lending Collateral | | | | |
(Cost $303,626) | | | | | | | 303,626 | |
| | | | | | | | | |
Total Investments - 102.2% | | | | |
(Cost $9,553,514) | | $ | 14,138,673 | |
Other Assets & Liabilities, net - (2.2)% | | | (310,462 | ) |
Total Net Assets - 100.0% | | $ | 13,828,211 | |
* | 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 a portion of this security is on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 13,749,958 | | | $ | — | | | $ | — | | | $ | 13,749,958 | |
Rights | | | — | | | | — | | | | — | * | | | — | |
Repurchase Agreements | | | — | | | | 85,089 | | | | — | | | | 85,089 | |
Securities Lending Collateral | | | 303,626 | | | | — | | | | — | | | | 303,626 | |
Total Assets | | $ | 14,053,584 | | | $ | 85,089 | | | $ | — | | | $ | 14,138,673 | |
* | Security has a market value of $0. |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value - including $299,237 of securities loaned (cost $9,468,425) | | $ | 14,053,584 | |
Repurchase agreements, at value (cost $85,089) | | | 85,089 | |
Receivables: |
Fund shares sold | | | 13,789 | |
Dividends | | | 12,186 | |
Securities lending income | | | 237 | |
Foreign tax reclaims | | | 158 | |
Total assets | | | 14,165,043 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 303,626 | |
Management fees | | | 9,690 | |
Transfer agent and administrative fees | | | 3,067 | |
Investor service fees | | | 2,850 | |
Portfolio accounting fees | | | 1,140 | |
Fund shares redeemed | | | 196 | |
Trustees’ fees* | | | 118 | |
Miscellaneous | | | 16,145 | |
Total liabilities | | | 336,832 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 13,828,211 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 9,661,065 | |
Total distributable earnings (loss) | | | 4,167,146 | |
Net assets | | $ | 13,828,211 | |
Capital shares outstanding | | | 100,499 | |
Net asset value per share | | $ | 137.60 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends (net of foreign withholding tax of $426) | | $ | 57,284 | |
Interest | | | 8 | |
Income from securities lending, net | | | 1,268 | |
Total investment income | | | 58,560 | |
| | | | | |
Expenses: |
Management fees | | | 53,669 | |
Investor service fees | | | 15,785 | |
Transfer agent and administrative fees | | | 19,975 | |
Professional fees | | | 7,691 | |
Portfolio accounting fees | | | 6,314 | |
Trustees’ fees* | | | 903 | |
Custodian fees | | | 861 | |
Miscellaneous | | | 2,031 | |
Total expenses | | | 107,229 | |
Net investment loss | | | (48,669 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 40,257 | |
Net realized gain | | | 40,257 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 1,211,305 | |
Net change in unrealized appreciation (depreciation) | | | 1,211,305 | |
Net realized and unrealized gain | | | 1,251,562 | |
Net increase in net assets resulting from operations | | $ | 1,202,893 | |
* | 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 | 71 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (48,669 | ) | | $ | (29,731 | ) |
Net realized gain on investments | | | 40,257 | | | | 195,092 | |
Net change in unrealized appreciation (depreciation) on investments | | | 1,211,305 | | | | 1,149,796 | |
Net increase in net assets resulting from operations | | | 1,202,893 | | | | 1,315,157 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (176,407 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 9,923,439 | | | | 16,088,209 | |
Distributions reinvested | | | — | | | | 176,407 | |
Cost of shares redeemed | | | (8,119,632 | ) | | | (13,117,425 | ) |
Net increase from capital share transactions | | | 1,803,807 | | | | 3,147,191 | |
Net increase in net assets | | | 3,006,700 | | | | 4,285,941 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 10,821,511 | | | | 6,535,570 | |
End of period | | $ | 13,828,211 | | | $ | 10,821,511 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 73,127 | | | | 156,638 | |
Shares issued from reinvestment of distributions | | | — | | | | 1,891 | |
Shares redeemed | | | (60,946 | ) | | | (131,847 | ) |
Net increase in shares | | | 12,181 | | | | 26,682 | |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 122.53 | | | $ | 106.03 | | | $ | 83.01 | | | $ | 98.33 | | | $ | 82.21 | | | $ | 76.44 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.51 | ) | | | (.56 | ) | | | (.09 | ) | | | .23 | | | | .24 | | | | .18 | |
Net gain (loss) on investments (realized and unrealized) | | | 15.58 | | | | 21.48 | | | | 24.33 | | | | (13.07 | ) | | | 16.28 | | | | 7.07 | |
Total from investment operations | | | 15.07 | | | | 20.92 | | | | 24.24 | | | | (12.84 | ) | | | 16.52 | | | | 7.25 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.24 | ) | | | (.26 | ) | | | (.22 | ) | | | (.37 | ) |
Net realized gains | | | — | | | | (4.42 | ) | | | (.98 | ) | | | (2.22 | ) | | | (.18 | ) | | | (1.11 | ) |
Total distributions | | | — | | | | (4.42 | ) | | | (1.22 | ) | | | (2.48 | ) | | | (.40 | ) | | | (1.48 | ) |
Net asset value, end of period | | $ | 137.60 | | | $ | 122.53 | | | $ | 106.03 | | | $ | 83.01 | | | $ | 98.33 | | | $ | 82.21 | |
|
Total Returnc | | | 12.30 | % | | | 21.01 | % | | | 29.28 | % | | | (13.44 | %) | | | 20.11 | % | | | 9.56 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 13,828 | | | $ | 10,822 | | | $ | 6,536 | | | $ | 3,565 | | | $ | 9,427 | | | $ | 8,791 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.77 | %) | | | (0.56 | %) | | | (0.09 | %) | | | 0.24 | % | | | 0.26 | % | | | 0.23 | % |
Total expenses | | | 1.70 | % | | | 1.82 | % | | | 1.83 | % | | | 1.71 | % | | | 1.70 | % | | | 1.66 | % |
Portfolio turnover rate | | | 68 | % | | | 257 | % | | | 224 | % | | | 239 | % | | | 303 | % | | | 530 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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) |
Freeport-McMoRan, Inc. | 8.3% |
Newmont Corp. | 7.8% |
Barrick Gold Corp. | 6.6% |
Franco-Nevada Corp. | 5.7% |
Wheaton Precious Metals Corp. | 4.9% |
VanEck Vectors Junior Gold Miners ETF | 4.1% |
Agnico Eagle Mines Ltd. | 4.1% |
Sibanye Stillwater Ltd. ADR | 3.9% |
Kirkland Lake Gold Ltd. | 3.5% |
Royal Gold, Inc. | 3.0% |
Top Ten Total | 51.9% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Precious Metals Fund | (3.72%) | 7.13% | 6.55% | (2.86%) |
S&P 500 Materials Index | 14.50% | 48.51% | 14.59% | 10.09% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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 returns. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
PRECIOUS METALS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 95.4% |
| | | | | | | | | |
Mining - 95.4% |
Freeport-McMoRan, Inc. | | | 52,121 | | | $ | 1,934,210 | |
Newmont Corp. | | | 28,631 | | | | 1,814,633 | |
Barrick Gold Corp. | | | 74,233 | | | | 1,535,138 | |
Franco-Nevada Corp. | | | 9,186 | | | | 1,332,613 | |
Wheaton Precious Metals Corp. | | | 25,709 | | | | 1,132,996 | |
Agnico Eagle Mines Ltd. | | | 15,706 | | | | 949,428 | |
Sibanye Stillwater Ltd. ADR | | | 54,283 | | | | 908,155 | |
Kirkland Lake Gold Ltd. | | | 20,837 | | | | 802,850 | |
Royal Gold, Inc. | | | 6,177 | | | | 704,796 | |
Kinross Gold Corp. | | | 110,907 | | | | 704,259 | |
Gold Fields Ltd. ADR | | | 78,609 | | | | 699,620 | |
AngloGold Ashanti Ltd. ADR | | | 37,464 | | | | 696,081 | |
Pan American Silver Corp. | | | 21,777 | | | | 622,169 | |
B2Gold Corp. | | | 123,130 | | | | 518,377 | |
Yamana Gold, Inc. | | | 118,642 | | | | 500,669 | |
First Majestic Silver Corp.1 | | | 31,607 | | | | 499,707 | |
Hecla Mining Co. | | | 66,171 | | | | 492,312 | |
SSR Mining, Inc. | | | 29,777 | | | | 464,223 | |
Alamos Gold, Inc. — Class A | | | 56,415 | | | | 431,575 | |
Novagold Resources, Inc.* | | | 50,345 | | | | 403,263 | |
Osisko Gold Royalties Ltd. | | | 27,770 | | | | 380,449 | |
Coeur Mining, Inc.* | | | 41,560 | | | | 369,053 | |
Harmony Gold Mining Company Ltd. ADR | | | 97,526 | | | | 363,772 | |
MAG Silver Corp.* | | | 16,591 | | | | 347,084 | |
Equinox Gold Corp.* | | | 48,329 | | | | 335,887 | |
Pretium Resources, Inc.* | | | 35,002 | | | | 334,619 | |
Eldorado Gold Corp.* | | | 33,350 | | | | 331,832 | |
Sandstorm Gold Ltd.* | | | 38,503 | | | | 303,789 | |
Seabridge Gold, Inc.*,1 | | | 16,461 | | | | 288,891 | |
IAMGOLD Corp.* | | | 96,998 | | | | 286,144 | |
SilverCrest Metals, Inc.* | | | 32,102 | | | | 280,250 | |
New Gold, Inc.* | | | 150,430 | | | | 272,278 | |
Gatos Silver, Inc.* | | | 14,690 | | | | 256,928 | |
Fortuna Silver Mines, Inc.* | | | 44,901 | | | | 249,201 | |
Endeavour Silver Corp.* | | | 40,204 | | | | 246,048 | |
Silvercorp Metals, Inc. | | | 44,143 | | | | 242,345 | |
Gold Resource Corp. | | | 43,028 | | | | 111,012 | |
Total Mining | | | | | | | 22,146,656 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $9,185,733) | | | | | | | 22,146,656 | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 4.1% |
VanEck Vectors Junior Gold Miners ETF | | | 20,518 | | | | 959,216 | |
Total Exchange-Traded Funds | | | | |
(Cost $518,118) | | | | | | | 959,216 | |
| | Face
Amount | | | | |
REPURCHASE AGREEMENTS††,2 - 0.5% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 65,408 | | | | 65,408 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 25,751 | | | | 25,751 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 25,246 | | | | 25,246 | |
Total Repurchase Agreements | | | | |
(Cost $116,405) | | | | | | | 116,405 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 2.5% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 571,775 | | | | 571,775 | |
Total Securities Lending Collateral | | | | |
(Cost $571,775) | | | | | | | 571,775 | |
| | | | | | | | | |
Total Investments - 102.5% | | | | |
(Cost $10,392,031) | | $ | 23,794,052 | |
Other Assets & Liabilities, net - (2.5)% | | | (574,580 | ) |
Total Net Assets - 100.0% | | $ | 23,219,472 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
PRECIOUS METALS 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 a portion of this security is on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 22,146,656 | | | $ | — | | | $ | — | | | $ | 22,146,656 | |
Exchange-Traded Funds | | | 959,216 | | | | — | | | | — | | | | 959,216 | |
Repurchase Agreements | | | — | | | | 116,405 | | | | — | | | | 116,405 | |
Securities Lending Collateral | | | 571,775 | | | | — | | | | — | | | | 571,775 | |
Total Assets | | $ | 23,677,647 | | | $ | 116,405 | | | $ | — | | | $ | 23,794,052 | |
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value - including $570,796 of securities loaned (cost $10,275,626) | | $ | 23,677,647 | |
Repurchase agreements, at value (cost $116,405) | | | 116,405 | |
Cash | | | 5,642 | |
Receivables: |
Fund shares sold | | | 690,720 | |
Dividends | | | 6,792 | |
Foreign tax reclaims | | | 2,315 | |
Securities lending income | | | 113 | |
Total assets | | | 24,499,634 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 571,775 | |
Securities purchased | | | 560,492 | |
Deferred foreign capital gain taxes | | | 86,192 | |
Management fees | | | 15,573 | |
Transfer agent and administrative fees | | | 5,586 | |
Investor service fees | | | 5,191 | |
Portfolio accounting fees | | | 2,076 | |
Trustees’ fees* | | | 240 | |
Fund shares redeemed | | | 238 | |
Miscellaneous | | | 32,799 | |
Total liabilities | | | 1,280,162 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 23,219,472 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 31,339,811 | |
Total distributable earnings (loss) | | | (8,120,339 | ) |
Net assets | | $ | 23,219,472 | |
Capital shares outstanding | | | 510,231 | |
Net asset value per share | | $ | 45.51 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends (net of foreign withholding tax of $24,542) | | $ | 185,443 | |
Interest | | | 27 | |
Income from securities lending, net | | | 1,221 | |
Total investment income | | | 186,691 | |
| | | | | |
Expenses: |
Management fees | | | 85,725 | |
Investor service fees | | | 28,575 | |
Transfer agent and administrative fees | | | 37,379 | |
Portfolio accounting fees | | | 11,430 | |
Professional fees | | | 10,563 | |
Trustees’ fees* | | | 2,134 | |
Custodian fees | | | 1,612 | |
Miscellaneous | | | 5,439 | |
Total expenses | | | 182,857 | |
Net investment income | | | 3,834 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 386,114 | |
Net realized gain | | | 386,114 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (1,447,556 | ) |
Net change in unrealized appreciation (depreciation) | | | (1,447,556 | ) |
Net realized and unrealized loss | | | (1,061,442 | ) |
Net decrease in net assets resulting from operations | | $ | (1,057,608 | ) |
* | 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 | 77 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | 3,834 | | | $ | (206,571 | ) |
Net realized gain on investments | | | 386,114 | | | | 2,497,951 | |
Net change in unrealized appreciation (depreciation) on investments | | | (1,447,556 | ) | | | 1,611,552 | |
Net increase (decrease) in net assets resulting from operations | | | (1,057,608 | ) | | | 3,902,932 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (1,145,954 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 16,019,889 | | | | 47,951,986 | |
Distributions reinvested | | | — | | | | 1,145,954 | |
Cost of shares redeemed | | | (14,988,789 | ) | | | (53,491,041 | ) |
Net increase (decrease) from capital share transactions | | | 1,031,100 | | | | (4,393,101 | ) |
Net decrease in net assets | | | (26,508 | ) | | | (1,636,123 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 23,245,980 | | | | 24,882,103 | |
End of period | | $ | 23,219,472 | | | $ | 23,245,980 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 338,120 | | | | 1,176,724 | |
Shares issued from reinvestment of distributions | | | — | | | | 23,545 | |
Shares redeemed | | | (319,679 | ) | | | (1,385,622 | ) |
Net increase (decrease) in shares | | | 18,441 | | | | (185,353 | ) |
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 47.27 | | | $ | 36.75 | | | $ | 24.14 | | | $ | 30.30 | | | $ | 29.72 | | | $ | 17.95 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .01 | | | | (.37 | ) | | | (.20 | ) | | | (.23 | ) | | | (.29 | ) | | | (.29 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (1.77 | ) | | | 13.03 | | | | 12.81 | | | | (4.68 | ) | | | 2.29 | | | | 12.06 | |
Total from investment operations | | | (1.76 | ) | | | 12.66 | | | | 12.61 | | | | (4.91 | ) | | | 2.00 | | | | 11.77 | |
Less distributions from: |
Net investment income | | | — | | | | (2.14 | ) | | | — | | | | (1.25 | ) | | | (1.42 | ) | | | — | |
Total distributions | | | — | | | | (2.14 | ) | | | — | | | | (1.25 | ) | | | (1.42 | ) | | | — | |
Net asset value, end of period | | $ | 45.51 | | | $ | 47.27 | | | $ | 36.75 | | | $ | 24.14 | | | $ | 30.30 | | | $ | 29.72 | |
|
Total Returnc | | | (3.72 | %) | | | 34.30 | % | | | 52.24 | % | | | (16.61 | %) | | | 7.08 | % | | | 65.52 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 23,219 | | | $ | 23,246 | | | $ | 24,882 | | | $ | 16,632 | | | $ | 30,201 | | | $ | 22,672 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.03 | % | | | (0.88 | %) | | | (0.69 | %) | | | (0.87 | %) | | | (0.93 | %) | | | (0.90 | %) |
Total expensesd | | | 1.60 | % | | | 1.72 | % | | | 1.72 | % | | | 1.67 | % | | | 1.61 | % | | | 1.56 | % |
Portfolio turnover rate | | | 50 | % | | | 163 | % | | | 180 | % | | | 639 | % | | | 691 | % | | | 298 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 | 79 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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 | 3.2% |
Prologis, Inc. | 2.7% |
Crown Castle International Corp. | 2.6% |
Equinix, Inc. | 2.4% |
Public Storage | 2.1% |
Simon Property Group, Inc. | 1.9% |
Digital Realty Trust, Inc. | 1.9% |
Welltower, Inc. | 1.7% |
SBA Communications Corp. | 1.7% |
AvalonBay Communities, Inc. | 1.5% |
Top Ten Total | 21.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Real Estate Fund | 19.19% | 37.92% | 6.28% | 7.53% |
MSCI U.S. REIT Index | 21.80% | 38.05% | 6.32% | 9.38% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
REAL ESTATE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.4% |
| | | | | | | | | |
REITs - 92.3% |
REITs-Diversified - 24.7% |
American Tower Corp. — Class A | | | 1,532 | | | $ | 413,854 | |
Crown Castle International Corp. | | | 1,754 | | | | 342,205 | |
Equinix, Inc. | | | 396 | | | | 317,830 | |
Digital Realty Trust, Inc. | | | 1,607 | | | | 241,789 | |
SBA Communications Corp. | | | 692 | | | | 220,540 | |
Weyerhaeuser Co. | | | 5,552 | | | | 191,100 | |
Duke Realty Corp. | | | 3,277 | | | | 155,166 | |
VICI Properties, Inc. | | | 4,825 | | | | 149,671 | |
WP Carey, Inc. | | | 1,839 | | | | 137,226 | |
Gaming and Leisure Properties, Inc. | | | 2,638 | | | | 122,219 | |
Lamar Advertising Co. — Class A | | | 1,167 | | | | 121,858 | |
CyrusOne, Inc. | | | 1,574 | | | | 112,572 | |
CoreSite Realty Corp. | | | 726 | | | | 97,720 | |
Rayonier, Inc. | | | 2,390 | | | | 85,873 | |
New Residential Investment Corp. | | | 7,832 | | | | 82,941 | |
PS Business Parks, Inc. | | | 500 | | | | 74,040 | |
EPR Properties* | | | 1,399 | | | | 73,699 | |
PotlatchDeltic Corp. | | | 1,337 | | | | 71,062 | |
Outfront Media, Inc.* | | | 2,921 | | | | 70,192 | |
Lexington Realty Trust | | | 5,726 | | | | 68,426 | |
Uniti Group, Inc. | | | 5,569 | | | | 58,976 | |
Total REITs-Diversified | | | | | | | 3,208,959 | |
| | | | | | | | | |
REITs-Apartments - 11.5% |
AvalonBay Communities, Inc. | | | 961 | | | | 200,551 | |
Equity Residential | | | 2,571 | | | | 197,967 | |
Invitation Homes, Inc. | | | 4,606 | | | | 171,758 | |
Mid-America Apartment Communities, Inc. | | | 972 | | | | 163,704 | |
Essex Property Trust, Inc. | | | 545 | | | | 163,505 | |
UDR, Inc. | | | 2,904 | | | | 142,238 | |
Camden Property Trust | | | 1,004 | | | | 133,201 | |
American Homes 4 Rent — Class A | | | 3,413 | | | | 132,595 | |
Apartment Income REIT Corp. | | | 2,138 | | | | 101,405 | |
American Campus Communities, Inc. | | | 2,001 | | | | 93,487 | |
Total REITs-Apartments | | | | | | | 1,500,411 | |
| | | | | | | | | |
REITs-Office Property - 10.2% |
Alexandria Real Estate Equities, Inc. | | | 1,090 | | | | 198,315 | |
Boston Properties, Inc. | | | 1,352 | | | | 154,926 | |
VEREIT, Inc. | | | 2,603 | | | | 119,556 | |
Vornado Realty Trust | | | 2,368 | | | | 110,515 | |
Kilroy Realty Corp. | | | 1,514 | | | | 105,435 | |
Douglas Emmett, Inc. | | | 2,646 | | | | 88,958 | |
Cousins Properties, Inc. | | | 2,341 | | | | 86,102 | |
Highwoods Properties, Inc. | | | 1,775 | | | | 80,177 | |
Hudson Pacific Properties, Inc. | | | 2,707 | | | | 75,309 | |
JBG SMITH Properties | | | 2,352 | | | | 74,111 | |
Corporate Office Properties Trust | | | 2,324 | | | | 65,049 | |
Equity Commonwealth | | | 2,475 | | | | 64,845 | |
Brandywine Realty Trust | | | 4,092 | | | | 56,101 | |
Piedmont Office Realty Trust, Inc. — Class A | | | 2,978 | | | | 55,004 | |
Total REITs-Office Property | | | | | | | 1,334,403 | |
REITs-Health Care - 9.0% |
Welltower, Inc. | | | 2,691 | | | | 223,622 | |
Ventas, Inc. | | | 3,015 | | | | 172,156 | |
Healthpeak Properties, Inc. | | | 4,697 | | | | 156,363 | |
Medical Properties Trust, Inc. | | | 6,281 | | | | 126,248 | |
Omega Healthcare Investors, Inc. | | | 3,006 | | | | 109,088 | |
Healthcare Trust of America, Inc. — Class A | | | 3,262 | | | | 87,095 | |
Healthcare Realty Trust, Inc. | | | 2,523 | | | | 76,195 | |
Sabra Health Care REIT, Inc. | | | 4,135 | | | | 75,257 | |
Physicians Realty Trust | | | 3,973 | | | | 73,381 | |
National Health Investors, Inc. | | | 989 | | | | 66,312 | |
Total REITs-Health Care | | | | | | | 1,165,717 | |
| | | | | | | | | |
REITs-Warehouse/Industries - 8.4% |
Prologis, Inc. | | | 2,904 | | | | 347,115 | |
Americold Realty Trust | | | 3,040 | | | | 115,064 | |
Rexford Industrial Realty, Inc. | | | 1,851 | | | | 105,414 | |
First Industrial Realty Trust, Inc. | | | 1,840 | | | | 96,103 | |
EastGroup Properties, Inc. | | | 578 | | | | 95,052 | |
STAG Industrial, Inc. | | | 2,433 | | | | 91,067 | |
QTS Realty Trust, Inc. — Class A | | | 1,118 | | | | 86,421 | |
Innovative Industrial Properties, Inc. | | | 421 | | | | 80,419 | |
Terreno Realty Corp. | | | 1,210 | | | | 78,069 | |
Total REITs-Warehouse/Industries | | | | | | | 1,094,724 | |
| | | | | | | | | |
REITs-Storage - 6.9% |
Public Storage | | | 908 | | | | 273,026 | |
Extra Space Storage, Inc. | | | 1,074 | | | | 175,943 | |
Iron Mountain, Inc. | | | 2,977 | | | | 125,987 | |
CubeSmart | | | 2,468 | | | | 114,318 | |
Life Storage, Inc. | | | 1,006 | | | | 107,994 | |
National Storage Affiliates Trust | | | 1,740 | | | | 87,974 | |
Total REITs-Storage | | | | | | | 885,242 | |
| | | | | | | | | |
REITs-Hotels - 4.6% |
Host Hotels & Resorts, Inc.* | | | 7,447 | | | | 127,269 | |
MGM Growth Properties LLC — Class A | | | 3,172 | | | | 116,159 | |
Park Hotels & Resorts, Inc.* | | | 3,937 | | | | 81,142 | |
Ryman Hospitality Properties, Inc.* | | | 965 | | | | 76,196 | |
Apple Hospitality REIT, Inc. | | | 4,435 | | | | 67,678 | |
Pebblebrook Hotel Trust | | | 2,772 | | | | 65,281 | |
Sunstone Hotel Investors, Inc.* | | | 4,815 | | | | 59,802 | |
Total REITs-Hotels | | | | | | | 593,527 | |
| | | | | | | | | |
REITs-Shopping Centers - 4.4% |
Regency Centers Corp. | | | 1,917 | | | | 122,822 | |
Kimco Realty Corp. | | | 5,398 | | | | 112,548 | |
Federal Realty Investment Trust | | | 953 | | | | 111,663 | |
Brixmor Property Group, Inc. | | | 4,245 | | | | 97,168 | |
Weingarten Realty Investors | | | 2,366 | | | | 75,878 | |
Retail Opportunity Investments Corp. | | | 3,037 | | | | 53,633 | |
Total REITs-Shopping Centers | | | | | | | 573,712 | |
| | | | | | | | | |
REITs-Single Tenant - 4.4% |
Realty Income Corp. | | | 2,772 | | | | 185,003 | |
STORE Capital Corp. | | | 3,286 | | | | 113,400 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
REAL ESTATE FUND | |
| | Shares | | | Value | |
National Retail Properties, Inc. | | | 2,262 | | | $ | 106,043 | |
Spirit Realty Capital, Inc. | | | 1,815 | | | | 86,830 | |
Agree Realty Corp. | | | 1,161 | | | | 81,839 | |
Total REITs-Single Tenant | | | | | | | 573,115 | |
| | | | | | | | | |
REITs-Mortgage - 2.8% |
AGNC Investment Corp. | | | 6,575 | | | | 111,052 | |
Starwood Property Trust, Inc. | | | 3,951 | | | | 103,398 | |
Blackstone Mortgage Trust, Inc. — Class A | | | 2,510 | | | | 80,044 | |
Chimera Investment Corp.1 | | | 4,598 | | | | 69,246 | |
Total REITs-Mortgage | | | | | | | 363,740 | |
| | | | | | | | | |
REITs-Regional Malls - 2.5% |
Simon Property Group, Inc. | | | 1,891 | | | | 246,738 | |
Macerich Co. | | | 4,100 | | | | 74,825 | |
Total REITs-Regional Malls | | | | | | | 321,563 | |
| | | | | | | | | |
REITs-Manufactured Homes - 2.2% |
Sun Communities, Inc. | | | 944 | | | | 161,802 | |
Equity LifeStyle Properties, Inc. | | | 1,838 | | | | 136,582 | |
Total REITs-Manufactured Homes | | | | | | | 298,384 | |
| | | | | | | | | |
REITs-Office Property - 0.7% |
SL Green Realty Corp. | | | 1,113 | | | | 89,040 | |
Total REITS | | | | | | | 12,002,537 | |
| | | | | | | | | |
Real Estate - 5.6% |
Real Estate Management/Services - 5.0% |
CBRE Group, Inc. — Class A* | | | 2,322 | | | | 199,065 | |
KE Holdings, Inc. ADR* | | | 2,930 | | | | 139,702 | |
Jones Lang LaSalle, Inc.* | | | 593 | | | | 115,908 | |
Redfin Corp.* | | | 1,551 | | | | 98,349 | |
eXp World Holdings, Inc.* | | | 2,372 | | | | 91,962 | |
Total Real Estate Management/Services | | | | | | | 644,986 | |
| | | | | | | | | |
Real Estate Operations/Development - 0.6% |
Howard Hughes Corp.* | | | 869 | | | | 84,693 | |
Total Real Estate | | | | | | | 729,679 | |
| | | | | | | | | |
INTERNET - 0.9% |
Opendoor Technologies, Inc.*,1 | | | 6,929 | | | | 122,851 | |
| | | | | | | | | |
DIVERSIFIED FINANCIAL SERVICES - 0.6% |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | | | 1,418 | | | | 79,621 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $7,642,952) | | | | | | | 12,934,688 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.8% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 57,695 | | | | 57,695 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 22,714 | | | | 22,714 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 22,269 | | | | 22,269 | |
Total Repurchase Agreements | | | | |
(Cost $102,678) | | | | | | | 102,678 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.8% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 98,991 | | | | 98,991 | |
Total Securities Lending Collateral | | | | |
(Cost $98,991) | | | | | | | 98,991 | |
| | | | | | | | | |
Total Investments - 101.0% | | | | |
(Cost $7,844,621) | | $ | 13,136,357 | |
Other Assets & Liabilities, net - (1.0)% | | | (133,194 | ) |
Total Net Assets - 100.0% | | $ | 13,003,163 | |
* | 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 on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | ADR — American Depositary Receipt |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
REAL ESTATE FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 12,934,688 | | | $ | — | | | $ | — | | | $ | 12,934,688 | |
Repurchase Agreements | | | — | | | | 102,678 | | | | — | | | | 102,678 | |
Securities Lending Collateral | | | 98,991 | | | | — | | | | — | | | | 98,991 | |
Total Assets | | $ | 13,033,679 | | | $ | 102,678 | | | $ | — | | | $ | 13,136,357 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value - including $98,749 of securities loaned (cost $7,741,943) | | $ | 13,033,679 | |
Repurchase agreements, at value (cost $102,678) | | | 102,678 | |
Receivables: |
Securities sold | | | 608,015 | |
Dividends | | | 47,722 | |
Securities lending income | | | 7 | |
Total assets | | | 13,792,101 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 661,265 | |
Return of securities lending collateral | | | 98,991 | |
Management fees | | | 9,108 | |
Transfer agent and administrative fees | | | 2,882 | |
Investor service fees | | | 2,679 | |
Portfolio accounting fees | | | 1,072 | |
Trustees’ fees* | | | 93 | |
Miscellaneous | | | 12,848 | |
Total liabilities | | | 788,938 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 13,003,163 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 8,983,223 | |
Total distributable earnings (loss) | | | 4,019,940 | |
Net assets | | $ | 13,003,163 | |
Capital shares outstanding | | | 284,770 | |
Net asset value per share | | $ | 45.66 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends | | $ | 133,353 | |
Interest | | | 5 | |
Income from securities lending, net | | | 351 | |
Total investment income | | | 133,709 | |
| | | | | |
Expenses: |
Management fees | | | 43,237 | |
Investor service fees | | | 12,717 | |
Transfer agent and administrative fees | | | 15,924 | |
Portfolio accounting fees | | | 5,087 | |
Professional fees | | | 4,493 | |
Custodian fees | | | 687 | |
Trustees’ fees* | | | 673 | |
Miscellaneous | | | 3,395 | |
Total expenses | | | 86,213 | |
Net investment income | | | 47,496 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 23,233 | |
Net realized gain | | | 23,233 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 1,692,874 | |
Net change in unrealized appreciation (depreciation) | | | 1,692,874 | |
Net realized and unrealized gain | | | 1,716,107 | |
Net increase in net assets resulting from operations | | $ | 1,763,603 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
84 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 47,496 | | | $ | 57,893 | |
Net realized gain on investments | | | 23,233 | | | | 818,939 | |
Net change in unrealized appreciation (depreciation) on investments | | | 1,692,874 | | | | (2,195,987 | ) |
Net increase (decrease) in net assets resulting from operations | | | 1,763,603 | | | | (1,319,155 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (437,926 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 11,711,294 | | | | 13,784,485 | |
Distributions reinvested | | | — | | | | 437,926 | |
Cost of shares redeemed | | | (6,990,205 | ) | | | (18,195,801 | ) |
Net increase (decrease) from capital share transactions | | | 4,721,089 | | | | (3,973,390 | ) |
Net increase (decrease) in net assets | | | 6,484,692 | | | | (5,730,471 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 6,518,471 | | | | 12,248,942 | |
End of period | | $ | 13,003,163 | | | $ | 6,518,471 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 276,330 | | | | 373,617 | |
Shares issued from reinvestment of distributions | | | — | | | | 13,417 | |
Shares redeemed | | | (161,723 | ) | | | (498,726 | ) |
Net increase (decrease) in shares | | | 114,607 | | | | (111,692 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 85 |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 38.31 | | | $ | 43.46 | | | $ | 35.99 | | | $ | 39.22 | | | $ | 37.72 | | | $ | 34.50 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .20 | | | | .28 | | | | .68 | | | | .64 | | | | .36 | | | | .63 | |
Net gain (loss) on investments (realized and unrealized) | | | 7.15 | | | | (3.19 | ) | | | 8.03 | | | | (3.48 | ) | | | 2.11 | | | | 2.88 | |
Total from investment operations | | | 7.35 | | | | (2.91 | ) | | | 8.71 | | | | (2.84 | ) | | | 2.47 | | | | 3.51 | |
Less distributions from: |
Net investment income | | | — | | | | (1.16 | ) | | | (.83 | ) | | | (.39 | ) | | | (.97 | ) | | | (.29 | ) |
Net realized gains | | | — | | | | (1.08 | ) | | | (.41 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (2.24 | ) | | | (1.24 | ) | | | (.39 | ) | | | (.97 | ) | | | (.29 | ) |
Net asset value, end of period | | $ | 45.66 | | | $ | 38.31 | | | $ | 43.46 | | | $ | 35.99 | | | $ | 39.22 | | | $ | 37.72 | |
|
Total Returnc | | | 19.19 | % | | | (5.82 | %) | | | 24.43 | % | | | (7.33 | %) | | | 6.65 | % | | | 10.15 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 13,003 | | | $ | 6,518 | | | $ | 12,249 | | | $ | 12,708 | | | $ | 10,261 | | | $ | 11,509 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.93 | % | | | 0.76 | % | | | 1.62 | % | | | 1.67 | % | | | 0.93 | % | | | 1.73 | % |
Total expenses | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % | | | 1.73 | % | | | 1.70 | % | | | 1.65 | % |
Portfolio turnover rate | | | 61 | % | | | 173 | % | | | 225 | % | | | 313 | % | | | 331 | % | | | 279 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
86 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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. | 10.6% |
Walmart, Inc. | 5.2% |
Home Depot, Inc. | 4.9% |
Alibaba Group Holding Ltd. ADR | 3.7% |
Costco Wholesale Corp. | 3.4% |
Lowe’s Companies, Inc. | 3.1% |
Target Corp. | 2.9% |
TJX Companies, Inc. | 2.4% |
Booking Holdings, Inc. | 2.4% |
DoorDash, Inc. — Class A | 2.0% |
Top Ten Total | 40.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Retailing Fund | 14.82% | 51.08% | 18.17% | 14.23% |
S&P 500 Consumer Discretionary Index | 10.27% | 37.08% | 19.69% | 17.89% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 87 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
RETAILING FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.4% |
| | | | | | | | | |
Retail - 56.9% |
Walmart, Inc. | | | 2,647 | | | $ | 373,280 | |
Home Depot, Inc. | | | 1,099 | | | | 350,460 | |
Costco Wholesale Corp. | | | 629 | | | | 248,876 | |
Lowe’s Companies, Inc. | | | 1,141 | | | | 221,320 | |
Target Corp. | | | 859 | | | | 207,655 | |
TJX Companies, Inc. | | | 2,534 | | | | 170,842 | |
Dollar General Corp. | | | 617 | | | | 133,513 | |
Ross Stores, Inc. | | | 1,020 | | | | 126,480 | |
Walgreens Boots Alliance, Inc. | | | 2,375 | | | | 124,949 | |
Carvana Co.* | | | 399 | | | | 120,426 | |
O’Reilly Automotive, Inc.* | | | 211 | | | | 119,470 | |
AutoZone, Inc.* | | | 73 | | | | 108,932 | |
Best Buy Company, Inc. | | | 888 | | | | 102,102 | |
CarMax, Inc.* | | | 696 | | | | 89,888 | |
L Brands, Inc. | | | 1,232 | | | | 88,778 | |
Dollar Tree, Inc.* | | | 891 | | | | 88,655 | |
Tractor Supply Co. | | | 476 | | | | 88,565 | |
Burlington Stores, Inc.* | | | 275 | | | | 88,547 | |
Ulta Beauty, Inc.* | | | 239 | | | | 82,639 | |
Genuine Parts Co. | | | 636 | | | | 80,435 | |
RH* | | | 105 | | | | 71,295 | |
Advance Auto Parts, Inc. | | | 341 | | | | 69,953 | |
Gap, Inc. | | | 2,004 | | | | 67,435 | |
Floor & Decor Holdings, Inc. — Class A* | | | 616 | | | | 65,111 | |
Williams-Sonoma, Inc. | | | 407 | | | | 64,978 | |
Five Below, Inc.* | | | 324 | | | | 62,619 | |
Lithia Motors, Inc. — Class A | | | 180 | | | | 61,855 | |
Dick’s Sporting Goods, Inc. | | | 580 | | | | 58,110 | |
Kohl’s Corp. | | | 1,016 | | | | 55,992 | |
AutoNation, Inc.* | | | 553 | | | | 52,430 | |
American Eagle Outfitters, Inc. | | | 1,301 | | | | 48,827 | |
Foot Locker, Inc. | | | 782 | | | | 48,195 | |
BJ’s Wholesale Club Holdings, Inc.* | | | 1,004 | | | | 47,770 | |
Nordstrom, Inc.* | | | 1,279 | | | | 46,773 | |
Macy’s, Inc.* | | | 2,434 | | | | 46,149 | |
Vroom, Inc.* | | | 1,073 | | | | 44,916 | |
Ollie’s Bargain Outlet Holdings, Inc.* | | | 504 | | | | 42,402 | |
Bed Bath & Beyond, Inc.* | | | 1,118 | | | | 37,218 | |
GameStop Corp. — Class A* | | | 166 | | | | 35,547 | |
Murphy USA, Inc. | | | 266 | | | | 35,476 | |
Big Lots, Inc. | | | 428 | | | | 28,252 | |
Total Retail | | | | | | | 4,107,115 | |
| | | | | | | | | |
Internet - 39.5% |
Amazon.com, Inc.* | | | 222 | | | | 763,716 | |
Alibaba Group Holding Ltd. ADR* | | | 1,175 | | | | 266,466 | |
Booking Holdings, Inc.* | | | 78 | | | | 170,671 | |
DoorDash, Inc. — Class A* | | | 826 | | | | 147,301 | |
JD.com, Inc. ADR* | | | 1,816 | | | | 144,935 | |
eBay, Inc. | | | 1,895 | | | | 133,048 | |
MercadoLibre, Inc.* | | | 77 | | | | 119,950 | |
Chewy, Inc. — Class A*,1 | | | 1,357 | | | | 108,166 | |
Wayfair, Inc. — Class A* | | | 341 | | | | 107,657 | |
Etsy, Inc.* | | | 508 | | | | 104,567 | |
Vipshop Holdings Ltd. ADR* | | | 4,867 | | | | 97,729 | |
Expedia Group, Inc.* | | | 552 | | | | 90,368 | |
Pinduoduo, Inc. ADR* | | | 709 | | | | 90,057 | |
Farfetch Ltd. — Class A* | | | 1,666 | | | | 83,900 | |
Just Eat Takeaway.com N.V. ADR* | | | 4,527 | | | | 82,669 | |
Fiverr International Ltd.* | | | 309 | | | | 74,929 | |
Trip.com Group Ltd. ADR* | | | 2,072 | | | | 73,473 | |
Jumia Technologies AG ADR*,1 | | | 2,329 | | | | 70,639 | |
Stitch Fix, Inc. — Class A* | | | 774 | | | | 46,672 | |
Overstock.com, Inc.* | | | 408 | | | | 37,618 | |
Stamps.com, Inc.* | | | 175 | | | | 35,051 | |
Total Internet | | | | | | | 2,849,582 | |
| | | | | | | | | |
Distribution & Wholesale - 2.1% |
Pool Corp. | | | 177 | | | | 81,183 | |
LKQ Corp.* | | | 1,483 | | | | 72,993 | |
Total Distribution & Wholesale | | | | | | | 154,176 | |
| | | | | | | | | |
Apparel - 0.6% |
Urban Outfitters, Inc.* | | | 942 | | | | 38,829 | |
| | | | | | | | | |
Electrical Components & Equipment - 0.3% |
Blink Charging Co.*,1 | | | 595 | | | | 24,496 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $4,161,692) | | | | | | | 7,174,198 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.6% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 25,246 | | | | 25,246 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 9,939 | | | | 9,939 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 9,745 | | | | 9,745 | |
Total Repurchase Agreements | | | | |
(Cost $44,930) | | | | | | | 44,930 | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 1.5% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 105,798 | | | | 105,798 | |
Total Securities Lending Collateral | | | | |
(Cost $105,798) | | | | | | | 105,798 | |
| | | | | | | | | |
Total Investments - 101.5% | | | | |
(Cost $4,312,420) | | $ | 7,324,926 | |
Other Assets & Liabilities, net - (1.5)% | | | (107,579 | ) |
Total Net Assets - 100.0% | | $ | 7,217,347 | |
88 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
RETAILING 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 a portion of this security is on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 7,174,198 | | | $ | — | | | $ | — | | | $ | 7,174,198 | |
Repurchase Agreements | | | — | | | | 44,930 | | | | — | | | | 44,930 | |
Securities Lending Collateral | | | 105,798 | | | | — | | | | — | | | | 105,798 | |
Total Assets | | $ | 7,279,996 | | | $ | 44,930 | | | $ | — | | | $ | 7,324,926 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 89 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value - including $100,332 of securities loaned (cost $4,267,490) | | $ | 7,279,996 | |
Repurchase agreements, at value (cost $44,930) | | | 44,930 | |
Receivables: |
Fund shares sold | | | 958,168 | |
Dividends | | | 1,353 | |
Securities lending income | | | 245 | |
Total assets | | | 8,284,692 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 944,406 | |
Return of securities lending collateral | | | 105,798 | |
Management fees | | | 4,270 | |
Transfer agent and administrative fees | | | 1,351 | |
Investor service fees | | | 1,256 | |
Portfolio accounting fees | | | 503 | |
Trustees’ fees* | | | 71 | |
Fund shares redeemed | | | 34 | |
Miscellaneous | | | 9,656 | |
Total liabilities | | | 1,067,345 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 7,217,347 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 3,593,970 | |
Total distributable earnings (loss) | | | 3,623,377 | |
Net assets | | $ | 7,217,347 | |
Capital shares outstanding | | | 48,846 | |
Net asset value per share | | $ | 147.76 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends (net of foreign withholding tax of $105) | | $ | 21,703 | |
Interest | | | 4 | |
Income from securities lending, net | | | 1,183 | |
Total investment income | | | 22,890 | |
| | | | | |
Expenses: |
Management fees | | | 26,907 | |
Investor service fees | | | 7,914 | |
Transfer agent and administrative fees | | | 10,590 | |
Professional fees | | | 4,144 | |
Portfolio accounting fees | | | 3,166 | |
Trustees’ fees* | | | 675 | |
Custodian fees | | | 455 | |
Line of credit fees | | | 18 | |
Miscellaneous | | | 47 | |
Total expenses | | | 53,916 | |
Net investment loss | | | (31,026 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 717,811 | |
Net realized gain | | | 717,811 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 176,562 | |
Net change in unrealized appreciation (depreciation) | | | 176,562 | |
Net realized and unrealized gain | | | 894,373 | |
Net increase in net assets resulting from operations | | $ | 863,347 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
90 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (31,026 | ) | | $ | (50,451 | ) |
Net realized gain on investments | | | 717,811 | | | | 872,016 | |
Net change in unrealized appreciation (depreciation) on investments | | | 176,562 | | | | 1,371,724 | |
Net increase in net assets resulting from operations | | | 863,347 | | | | 2,193,289 | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 9,785,574 | | | | 14,568,819 | |
Distributions reinvested | | | — | | | | — | |
Cost of shares redeemed | | | (10,627,163 | ) | | | (13,191,711 | ) |
Net increase (decrease) from capital share transactions | | | (841,589 | ) | | | 1,377,108 | |
Net increase in net assets | | | 21,758 | | | | 3,570,397 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 7,195,589 | | | | 3,625,192 | |
End of period | | $ | 7,217,347 | | | $ | 7,195,589 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 68,874 | | | | 135,334 | |
Shares redeemed | | | (75,944 | ) | | | (119,893 | ) |
Net increase (decrease) in shares | | | (7,070 | ) | | | 15,441 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 91 |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 128.69 | | | $ | 89.57 | | | $ | 71.95 | | | $ | 74.37 | | | $ | 65.91 | | | $ | 69.96 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.68 | ) | | | (.95 | ) | | | (.45 | ) | | | (.30 | ) | | | .02 | | | | (.05 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 19.75 | | | | 40.07 | | | | 18.07 | | | | (2.11 | ) | | | 8.44 | | | | (2.93 | ) |
Total from investment operations | | | 19.07 | | | | 39.12 | | | | 17.62 | | | | (2.41 | ) | | | 8.46 | | | | (2.98 | ) |
Less distributions from: |
Net investment income | | | — | | | | — | | | | — | | | | (.01 | ) | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (1.07 | ) |
Total distributions | | | — | | | | — | | | | — | | | | (.01 | ) | | | — | | | | (1.07 | ) |
Net asset value, end of period | | $ | 147.76 | | | $ | 128.69 | | | $ | 89.57 | | | $ | 71.95 | | | $ | 74.37 | | | $ | 65.91 | |
|
Total Returnc | | | 14.82 | % | | | 43.68 | % | | | 24.49 | % | | | (3.23 | %) | | | 12.82 | % | | | 0.30 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,217 | | | $ | 7,196 | | | $ | 3,625 | | | $ | 6,788 | | | $ | 7,849 | | | $ | 5,278 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.98 | %) | | | (0.91 | %) | | | (0.54 | %) | | | (0.37 | %) | | | 0.03 | % | | | (0.25 | %) |
Total expenses | | | 1.70 | % | | | 1.82 | % | | | 1.83 | % | | | 1.72 | % | | | 1.70 | % | | | 1.66 | % |
Portfolio turnover rate | | | 154 | % | | | 250 | % | | | 173 | % | | | 260 | % | | | 447 | % | | | 668 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | Reverse share split — Per share amounts for the year ended December 1, 2016 have been restated to reflect a 1:4 reverse share split effective December 1, 2016. |
92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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. | 4.6% |
Microsoft Corp. | 4.3% |
Alphabet, Inc. — Class A | 3.8% |
Facebook, Inc. — Class A | 3.0% |
NVIDIA Corp. | 2.2% |
Visa, Inc. — Class A | 2.1% |
PayPal Holdings, Inc. | 1.8% |
Mastercard, Inc. — Class A | 1.8% |
Adobe, Inc. | 1.6% |
salesforce.com, Inc. | 1.4% |
Top Ten Total | 26.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Technology Fund | 13.66% | 49.82% | 28.30% | 17.88% |
S&P 500 Information Technology Index | 13.76% | 42.40% | 31.21% | 21.99% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 93 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
TECHNOLOGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Software - 33.5% |
Microsoft Corp. | | | 3,913 | | | $ | 1,060,032 | |
Adobe, Inc.* | | | 677 | | | | 396,478 | |
salesforce.com, Inc.* | | | 1,418 | | | | 346,375 | |
Oracle Corp. | | | 4,440 | | | | 345,610 | |
Intuit, Inc. | | | 554 | | | | 271,554 | |
Zoom Video Communications, Inc. — Class A* | | | 646 | | | | 250,021 | |
ServiceNow, Inc.* | | | 444 | | | | 244,000 | |
Fidelity National Information Services, Inc. | | | 1,501 | | | | 212,647 | |
Activision Blizzard, Inc. | | | 2,103 | | | | 200,710 | |
Twilio, Inc. — Class A* | | | 504 | | | | 198,657 | |
Snowflake, Inc. — Class A* | | | 801 | | | | 193,682 | |
Fiserv, Inc.* | | | 1,801 | | | | 192,509 | |
VMware, Inc. — Class A*,1 | | | 1,190 | | | | 190,364 | |
Autodesk, Inc.* | | | 649 | | | | 189,443 | |
Workday, Inc. — Class A* | | | 746 | | | | 178,100 | |
DocuSign, Inc.* | | | 630 | | | | 176,129 | |
Palantir Technologies, Inc. — Class A* | | | 6,253 | | | | 164,829 | |
Synopsys, Inc.* | | | 551 | | | | 151,960 | |
Electronic Arts, Inc. | | | 1,033 | | | | 148,576 | |
Bilibili, Inc. ADR* | | | 1,216 | | | | 148,157 | |
Cadence Design Systems, Inc.* | | | 1,062 | | | | 145,303 | |
Paychex, Inc. | | | 1,354 | | | | 145,284 | |
NetEase, Inc. ADR | | | 1,224 | | | | 141,066 | |
Cloudflare, Inc. — Class A* | | | 1,278 | | | | 135,264 | |
Atlassian Corporation plc — Class A* | | | 518 | | | | 133,053 | |
Datadog, Inc. — Class A* | | | 1,269 | | | | 132,078 | |
Unity Software, Inc.* | | | 1,195 | | | | 131,247 | |
ANSYS, Inc.* | | | 371 | | | | 128,759 | |
HubSpot, Inc.* | | | 209 | | | | 121,789 | |
Splunk, Inc.* | | | 829 | | | | 119,857 | |
RingCentral, Inc. — Class A* | | | 411 | | | | 119,428 | |
Slack Technologies, Inc. — Class A* | | | 2,644 | | | | 117,129 | |
MongoDB, Inc.* | | | 297 | | | | 107,371 | |
Take-Two Interactive Software, Inc.* | | | 601 | | | | 106,389 | |
Coupa Software, Inc.* | | | 402 | | | | 105,368 | |
Akamai Technologies, Inc.* | | | 860 | | | | 100,276 | |
Broadridge Financial Solutions, Inc. | | | 620 | | | | 100,149 | |
Tyler Technologies, Inc.* | | | 221 | | | | 99,974 | |
Bill.com Holdings, Inc.* | | | 535 | | | | 98,001 | |
Nuance Communications, Inc.* | | | 1,665 | | | | 90,643 | |
Ceridian HCM Holding, Inc.* | | | 943 | | | | 90,453 | |
Citrix Systems, Inc. | | | 746 | | | | 87,483 | |
Fair Isaac Corp.* | | | 173 | | | | 86,964 | |
Dropbox, Inc. — Class A* | | | 2,699 | | | | 81,807 | |
Jack Henry & Associates, Inc. | | | 492 | | | | 80,447 | |
Fastly, Inc. — Class A*,1 | | | 1,036 | | | | 61,746 | |
MicroStrategy, Inc. — Class A*,1 | | | 90 | | | | 59,805 | |
Alteryx, Inc. — Class A* | | | 646 | | | | 55,569 | |
Total Software | | | | | | | 8,242,535 | |
| | | | | | | | | |
Semiconductors - 20.3% |
NVIDIA Corp. | | | 665 | | | | 532,066 | |
Intel Corp. | | | 6,120 | | | | 343,577 | |
Broadcom, Inc. | | | 679 | | | | 323,774 | |
Texas Instruments, Inc. | | | 1,616 | | | | 310,757 | |
QUALCOMM, Inc. | | | 2,103 | | | | 300,582 | |
Applied Materials, Inc. | | | 1,879 | | | | 267,569 | |
Advanced Micro Devices, Inc.* | | | 2,761 | | | | 259,341 | |
Micron Technology, Inc.* | | | 2,716 | | | | 230,806 | |
Lam Research Corp. | | | 344 | | | | 223,841 | |
Taiwan Semiconductor Manufacturing Company Ltd. ADR | | | 1,763 | | | | 211,842 | |
NXP Semiconductor N.V. | | | 912 | | | | 187,617 | |
Analog Devices, Inc. | | | 1,086 | | | | 186,966 | |
KLA Corp. | | | 506 | | | | 164,050 | |
Marvell Technology, Inc. | | | 2,808 | | | | 163,791 | |
ASML Holding N.V. — Class G | | | 221 | | | | 152,676 | |
Microchip Technology, Inc. | | | 984 | | | | 147,344 | |
Xilinx, Inc. | | | 993 | | | | 143,627 | |
Skyworks Solutions, Inc. | | | 713 | | | | 136,718 | |
Maxim Integrated Products, Inc. | | | 1,178 | | | | 124,114 | |
Qorvo, Inc.* | | | 575 | | | | 112,499 | |
Teradyne, Inc. | | | 824 | | | | 110,383 | |
Monolithic Power Systems, Inc. | | | 261 | | | | 97,470 | |
Entegris, Inc. | | | 775 | | | | 95,302 | |
ON Semiconductor Corp.* | | | 2,473 | | | | 94,666 | |
Cree, Inc.* | | | 808 | | | | 79,127 | |
Total Semiconductors | | | | | | | 5,000,505 | |
| | | | | | | | | |
Internet - 17.5% |
Alphabet, Inc. — Class A* | | | 385 | | | | 940,089 | |
Facebook, Inc. — Class A* | | | 2,114 | | | | 735,059 | |
Baidu, Inc. ADR* | | | 1,357 | | | | 276,692 | |
Snap, Inc. — Class A* | | | 3,602 | | | | 245,440 | |
Twitter, Inc.* | | | 2,639 | | | | 181,590 | |
Pinterest, Inc. — Class A* | | | 2,148 | | | | 169,585 | |
Shopify, Inc. — Class A* | | | 116 | | | | 169,474 | |
Sea Ltd. ADR* | | | 603 | | | | 165,584 | |
Match Group, Inc.* | | | 976 | | | | 157,380 | |
Okta, Inc.* | | | 587 | | | | 143,627 | |
Palo Alto Networks, Inc.* | | | 373 | | | | 138,402 | |
Zillow Group, Inc. — Class C* | | | 1,081 | | | | 132,120 | |
VeriSign, Inc.* | | | 518 | | | | 117,943 | |
CDW Corp. | | | 663 | | | | 115,793 | |
Wix.com Ltd.* | | | 397 | | | | 115,241 | |
Zendesk, Inc.* | | | 660 | | | | 95,264 | |
NortonLifeLock, Inc. | | | 3,343 | | | | 90,996 | |
GoDaddy, Inc. — Class A* | | | 1,019 | | | | 88,612 | |
IAC* | | | 558 | | | | 86,027 | |
F5 Networks, Inc.* | | | 411 | | | | 76,717 | |
Anaplan, Inc.* | | | 1,195 | | | | 63,694 | |
Total Internet | | | | | | | 4,305,329 | |
| | | | | | | | | |
Computers - 12.6% |
Apple, Inc. | | | 8,194 | | | | 1,122,250 | |
International Business Machines Corp. | | | 1,803 | | | | 264,302 | |
Accenture plc — Class A | | | 698 | | | | 205,763 | |
Dell Technologies, Inc. — Class C* | | | 2,015 | | | | 200,835 | |
Crowdstrike Holdings, Inc. — Class A* | | | 703 | | | | 176,671 | |
Fortinet, Inc.* | | | 603 | | | | 143,629 | |
94 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
TECHNOLOGY FUND | |
| | Shares | | | Value | |
HP, Inc. | | | 4,716 | | | $ | 142,376 | |
Cognizant Technology Solutions Corp. — Class A | | | 2,010 | | | | 139,213 | |
Seagate Technology Holdings plc | | | 1,492 | | | | 131,191 | |
Zscaler, Inc.* | | | 582 | | | | 125,747 | |
Infosys Ltd. ADR | | | 5,678 | | | | 120,317 | |
Check Point Software Technologies Ltd.* | | | 1,003 | | | | 116,478 | |
Western Digital Corp.* | | | 1,516 | | | | 107,894 | |
NetApp, Inc. | | | 1,205 | | | | 98,593 | |
Total Computers | | | | | | | 3,095,259 | |
| | | | | | | | | |
Commercial Services - 5.1% |
PayPal Holdings, Inc.* | | | 1,497 | | | | 436,345 | |
Square, Inc. — Class A* | | | 1,012 | | | | 246,725 | |
Automatic Data Processing, Inc. | | | 1,069 | | | | 212,325 | |
Global Payments, Inc. | | | 900 | | | | 168,786 | |
FleetCor Technologies, Inc.* | | | 411 | | | | 105,241 | |
Riot Blockchain, Inc.*,1 | | | 1,140 | | | | 42,944 | |
Marathon Digital Holdings, Inc.* | | | 1,326 | | | | 41,597 | |
Total Commercial Services | | | | | | | 1,253,963 | |
| | | | | | | | | |
Diversified Financial Services - 3.9% |
Visa, Inc. — Class A | | | 2,245 | | | | 524,926 | |
Mastercard, Inc. — Class A | | | 1,195 | | | | 436,283 | |
Total Diversified Financial Services | | | | | | | 961,209 | |
| | | | | | | | | |
Telecommunications - 3.0% |
Cisco Systems, Inc. | | | 6,486 | | | | 343,758 | |
Motorola Solutions, Inc. | | | 653 | | | | 141,603 | |
Arista Networks, Inc.* | | | 330 | | | | 119,562 | |
Juniper Networks, Inc. | | | 2,502 | | | | 68,430 | |
Ciena Corp.* | | | 1,202 | | | | 68,382 | |
Total Telecommunications | | | | | | | 741,735 | |
| | | | | | | | | |
Energy-Alternate Sources - 1.4% |
SolarEdge Technologies, Inc.* | | | 478 | | | | 132,105 | |
Enphase Energy, Inc.* | | | 668 | | | | 122,665 | |
First Solar, Inc.* | | | 848 | | | | 76,752 | |
Total Energy-Alternate Sources | | | | | | | 331,522 | |
| | | | | | | | | |
Electronics - 1.1% |
Amphenol Corp. — Class A | | | 2,169 | | | $ | 148,381 | |
TE Connectivity Ltd. | | | 891 | | | | 120,472 | |
Total Electronics | | | | | | | 268,853 | |
| | | | | | | | | |
Advertising - 0.6% |
Trade Desk, Inc. — Class A* | | | 1,929 | | | | 149,228 | |
| | | | | | | | | |
Office & Business Equipment - 0.5% |
Zebra Technologies Corp. — Class A* | | | 238 | | | | 126,019 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $8,197,035) | | | | | | | 24,476,157 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 1.3% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 179,408 | | | | 179,408 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 70,633 | | | | 70,633 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 69,248 | | | | 69,248 | |
Total Repurchase Agreements | | | | |
(Cost $319,289) | | | | | | | 319,289 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 1.0% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 251,259 | | | | 251,259 | |
Total Securities Lending Collateral | | | | |
(Cost $251,259) | | | | | | | 251,259 | |
| | | | | | | | | |
Total Investments - 101.8% | | | | |
(Cost $8,767,583) | | $ | 25,046,705 | |
Other Assets & Liabilities, net - (1.8)% | | | (452,716 | ) |
Total Net Assets - 100.0% | | $ | 24,593,989 | |
* | 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 on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | 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 | 95 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
TECHNOLOGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 24,476,157 | | | $ | — | | | $ | — | | | $ | 24,476,157 | |
Repurchase Agreements | | | — | | | | 319,289 | | | | — | | | | 319,289 | |
Securities Lending Collateral | | | 251,259 | | | | — | | | | — | | | | 251,259 | |
Total Assets | | $ | 24,727,416 | | | $ | 319,289 | | | $ | — | | | $ | 25,046,705 | |
96 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value - including $243,453 of securities loaned (cost $8,448,294) | | $ | 24,727,416 | |
Repurchase agreements, at value (cost $319,289) | | | 319,289 | |
Receivables: |
Fund shares sold | | | 628,851 | |
Dividends | | | 5,447 | |
Foreign tax reclaims | | | 496 | |
Securities lending income | | | 118 | |
Total assets | | | 25,681,617 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 470,378 | |
Fund shares redeemed | | | 303,628 | |
Return of securities lending collateral | | | 251,259 | |
Management fees | | | 15,764 | |
Transfer agent and administrative fees | | | 4,989 | |
Investor service fees | | | 4,636 | |
Portfolio accounting fees | | | 1,855 | |
Trustees’ fees* | | | 255 | |
Miscellaneous | | | 34,864 | |
Total liabilities | | | 1,087,628 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 24,593,989 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 5,145,077 | |
Total distributable earnings (loss) | | | 19,448,912 | |
Net assets | | $ | 24,593,989 | |
Capital shares outstanding | | | 117,589 | |
Net asset value per share | | $ | 209.15 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends (net of foreign withholding tax of $322) | | $ | 77,139 | |
Interest | | | 17 | |
Income from securities lending, net | | | 290 | |
Total investment income | | | 77,446 | |
| | | | | |
Expenses: |
Management fees | | | 101,592 | |
Investor service fees | | | 29,880 | |
Transfer agent and administrative fees | | | 39,471 | |
Professional fees | | | 16,294 | |
Portfolio accounting fees | | | 11,952 | |
Trustees’ fees* | | | 2,349 | |
Custodian fees | | | 1,698 | |
Miscellaneous | | | 174 | |
Total expenses | | | 203,410 | |
Net investment loss | | | (125,964 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 2,687,970 | |
Net realized gain | | | 2,687,970 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 245,340 | |
Net change in unrealized appreciation (depreciation) | | | 245,340 | |
Net realized and unrealized gain | | | 2,933,310 | |
Net increase in net assets resulting from operations | | $ | 2,807,346 | |
* | 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 | 97 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (125,964 | ) | | $ | (144,105 | ) |
Net realized gain on investments | | | 2,687,970 | | | | 3,996,314 | |
Net change in unrealized appreciation (depreciation) on investments | | | 245,340 | | | | 3,553,034 | |
Net increase in net assets resulting from operations | | | 2,807,346 | | | | 7,405,243 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (456,120 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 11,048,370 | | | | 45,224,648 | |
Distributions reinvested | | | — | | | | 456,120 | |
Cost of shares redeemed | | | (14,494,331 | ) | | | (49,836,080 | ) |
Net decrease from capital share transactions | | | (3,445,961 | ) | | | (4,155,312 | ) |
Net increase (decrease) in net assets | | | (638,615 | ) | | | 2,793,811 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 25,232,604 | | | | 22,438,793 | |
End of period | | $ | 24,593,989 | | | $ | 25,232,604 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 55,736 | | | | 321,700 | |
Shares issued from reinvestment of distributions | | | — | | | | 3,116 | |
Shares redeemed | | | (75,276 | ) | | | (365,942 | ) |
Net decrease in shares | | | (19,540 | ) | | | (41,126 | ) |
98 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 184.01 | | | $ | 125.88 | | | $ | 93.07 | | | $ | 96.71 | | | $ | 74.88 | | | $ | 71.70 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (1.01 | ) | | | (.99 | ) | | | (.90 | ) | | | (.63 | ) | | | (.56 | ) | | | (.21 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 26.15 | | | | 62.21 | | | | 37.66 | | | | (.43 | ) | | | 24.71 | | | | 7.78 | |
Total from investment operations | | | 25.14 | | | | 61.22 | | | | 36.76 | | | | (1.06 | ) | | | 24.15 | | | | 7.57 | |
Less distributions from: |
Net realized gains | | | — | | | | (3.09 | ) | | | (3.95 | ) | | | (2.58 | ) | | | (2.32 | ) | | | (4.39 | ) |
Total distributions | | | — | | | | (3.09 | ) | | | (3.95 | ) | | | (2.58 | ) | | | (2.32 | ) | | | (4.39 | ) |
Net asset value, end of period | | $ | 209.15 | | | $ | 184.01 | | | $ | 125.88 | | | $ | 93.07 | | | $ | 96.71 | | | $ | 74.88 | |
|
Total Returnc | | | 13.66 | % | | | 49.25 | % | | | 39.75 | % | | | (1.49 | %) | | | 32.63 | % | | | 11.07 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 24,594 | | | $ | 25,233 | | | $ | 22,439 | | | $ | 16,061 | | | $ | 22,940 | | | $ | 18,156 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.05 | %) | | | (0.69 | %) | | | (0.79 | %) | | | (0.60 | %) | | | (0.64 | %) | | | (0.29 | %) |
Total expenses | | | 1.70 | % | | | 1.82 | % | | | 1.82 | % | | | 1.72 | % | | | 1.70 | % | | | 1.66 | % |
Portfolio turnover rate | | | 38 | % | | | 192 | % | | | 188 | % | | | 178 | % | | | 200 | % | | | 321 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 99 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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) |
Verizon Communications, Inc. | 8.1% |
Cisco Systems, Inc. | 8.0% |
AT&T, Inc. | 7.7% |
T-Mobile US, Inc. | 7.1% |
Comcast Corp. — Class A | 6.8% |
Charter Communications, Inc. — Class A | 5.3% |
Motorola Solutions, Inc. | 3.6% |
Liberty Broadband Corp. — Class C | 3.5% |
Arista Networks, Inc. | 3.1% |
DISH Network Corp. — Class A | 2.8% |
Top Ten Total | 56.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Telecommunications Fund | 11.72% | 25.14% | 8.72% | 5.44% |
S&P 500 Telecommunication Services Index | 19.67% | 48.38% | 10.89% | 11.30% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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 Telecommunication Services Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
100 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
TELECOMMUNICATIONS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Telecommunications - 67.6% |
Verizon Communications, Inc. | | | 4,421 | | | $ | 247,709 | |
Cisco Systems, Inc. | | | 4,601 | | | | 243,853 | |
AT&T, Inc. | | | 8,143 | | | | 234,355 | |
T-Mobile US, Inc.* | | | 1,508 | | | | 218,404 | |
Motorola Solutions, Inc. | | | 510 | | | | 110,593 | |
Arista Networks, Inc.* | | | 258 | | | | 93,476 | |
Ubiquiti, Inc. | | | 257 | | | | 80,233 | |
Lumen Technologies, Inc. | | | 5,010 | | | | 68,086 | |
Juniper Networks, Inc. | | | 1,954 | | | | 53,442 | |
Ciena Corp.* | | | 938 | | | | 53,363 | |
BCE, Inc. | | | 859 | | | | 42,366 | |
Iridium Communications, Inc.* | | | 1,022 | | | | 40,870 | |
America Movil SAB de CV — Class L ADR | | | 2,649 | | | | 39,735 | |
Rogers Communications, Inc. — Class B | | | 734 | | | | 39,005 | |
TELUS Corp. | | | 1,722 | | | | 38,624 | |
Vodafone Group plc ADR | | | 2,236 | | | | 38,303 | |
CommScope Holding Company, Inc.* | | | 1,789 | | | | 38,124 | |
Viavi Solutions, Inc.* | | | 2,046 | | | | 36,132 | |
Viasat, Inc.* | | | 693 | | | | 34,539 | |
Vonage Holdings Corp.* | | | 2,366 | | | | 34,094 | |
Calix, Inc.* | | | 673 | | | | 31,967 | |
Telephone & Data Systems, Inc. | | | 1,251 | | | | 28,348 | |
Shenandoah Telecommunications Co. | | | 574 | | | | 27,845 | |
Infinera Corp.* | | | 2,579 | | | | 26,306 | |
InterDigital, Inc. | | | 355 | | | | 25,926 | |
EchoStar Corp. — Class A* | | | 1,050 | | | | 25,504 | |
Plantronics, Inc.* | | | 598 | | | | 24,954 | |
Extreme Networks, Inc.* | | | 1,916 | | | | 21,382 | |
Gogo, Inc.* | | | 1,772 | | | | 20,165 | |
NETGEAR, Inc.* | | | 499 | | | | 19,122 | |
Inseego Corp.*,1 | | | 1,775 | | | | 17,910 | |
Cincinnati Bell, Inc.* | | | 1,033 | | | | 15,929 | |
Total Telecommunications | | | | | | | 2,070,664 | |
| | | | | | | | | |
Media - 25.3% |
Comcast Corp. — Class A | | | 3,627 | | | | 206,812 | |
Charter Communications, Inc. — Class A* | | | 226 | | | | 163,048 | |
Liberty Broadband Corp. — Class C* | | | 615 | | | | 106,801 | |
DISH Network Corp. — Class A* | | | 2,035 | | | | 85,063 | |
Altice USA, Inc. — Class A* | | | 2,103 | | | | 71,796 | |
Cable One, Inc. | | | 33 | | | | 63,123 | |
Liberty Global plc — Class C* | | | 1,659 | | | | 44,859 | |
Liberty Latin America Ltd. — Class C* | | | 2,291 | | | | 32,303 | |
Total Media | | | | | | | 773,805 | |
| | | | | | | | | |
Internet - 3.1% |
F5 Networks, Inc.* | | | 320 | | | | 59,731 | |
Cogent Communications Holdings, Inc. | | | 445 | | | | 34,216 | |
Total Internet | | | | | | | 93,947 | |
| | | | | | | | | |
Computers - 2.3% |
Lumentum Holdings, Inc.* | | | 550 | | | | 45,117 | |
NetScout Systems, Inc.* | | | 884 | | | | 25,229 | |
Total Computers | | | | | | | 70,346 | |
| | | | | | | | | |
Software - 1.2% |
Bandwidth, Inc. — Class A* | | | 249 | | | | 34,342 | |
| | | | | | | | | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $1,898,122) | | | | | | | 3,043,104 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.6% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 10,714 | | | | 10,714 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 4,218 | | | | 4,218 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 4,135 | | | | 4,135 | |
Total Repurchase Agreements | | | | |
(Cost $19,067) | | | | | | | 19,067 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.4% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 13,706 | | | | 13,706 | |
Total Securities Lending Collateral | | | | |
(Cost $13,706) | | | | | | | 13,706 | |
| | | | | | | | | |
Total Investments - 100.5% | | | | |
(Cost $1,930,895) | | $ | 3,075,877 | |
Other Assets & Liabilities, net - (0.5)% | | | (15,062 | ) |
Total Net Assets - 100.0% | | $ | 3,060,815 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 101 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
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 a portion of this security is on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 3,043,104 | | | $ | — | | | $ | — | | | $ | 3,043,104 | |
Repurchase Agreements | | | — | | | | 19,067 | | | | — | | | | 19,067 | |
Securities Lending Collateral | | | 13,706 | | | | — | | | | — | | | | 13,706 | |
Total Assets | | $ | 3,056,810 | | | $ | 19,067 | | | $ | — | | | $ | 3,075,877 | |
102 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value - including $12,865 of securities loaned (cost $1,911,828) | | $ | 3,056,810 | |
Repurchase agreements, at value (cost $19,067) | | | 19,067 | |
Receivables: |
Fund shares sold | | | 30,751 | |
Dividends | | | 3,539 | |
Securities lending income | | | 14 | |
Total assets | | | 3,110,181 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 27,275 | |
Return of securities lending collateral | | | 13,706 | |
Management fees | | | 2,152 | |
Transfer agent and administrative fees | | | 681 | |
Investor service fees | | | 633 | |
Portfolio accounting fees | | | 253 | |
Fund shares redeemed | | | 59 | |
Trustees’ fees* | | | 34 | |
Miscellaneous | | | 4,573 | |
Total liabilities | | | 49,366 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 3,060,815 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 2,516,456 | |
Total distributable earnings (loss) | | | 544,359 | |
Net assets | | $ | 3,060,815 | |
Capital shares outstanding | | | 41,489 | |
Net asset value per share | | $ | 73.77 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends (net of foreign withholding tax of $407) | | $ | 35,004 | |
Interest | | | 2 | |
Income from securities lending, net | | | 120 | |
Total investment income | | | 35,126 | |
| | | | | |
Expenses: |
Management fees | | | 13,550 | |
Investor service fees | | | 3,985 | |
Transfer agent and administrative fees | | | 5,227 | |
Professional fees | | | 2,175 | |
Portfolio accounting fees | | | 1,594 | |
Trustees’ fees* | | | 298 | |
Custodian fees | | | 225 | |
Miscellaneous | | | 57 | |
Total expenses | | | 27,111 | |
Net investment income | | | 8,015 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 206,023 | |
Net realized gain | | | 206,023 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 159,729 | |
Net change in unrealized appreciation (depreciation) | | | 159,729 | |
Net realized and unrealized gain | | | 365,752 | |
Net increase in net assets resulting from operations | | $ | 373,767 | |
* | 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 | 103 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 8,015 | | | $ | 21,940 | |
Net realized gain (loss) on investments | | | 206,023 | | | | (148,445 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 159,729 | | | | 104,851 | |
Net increase (decrease) in net assets resulting from operations | | | 373,767 | | | | (21,654 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (20,039 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 3,286,506 | | | | 6,222,410 | |
Distributions reinvested | | | — | | | | 20,039 | |
Cost of shares redeemed | | | (3,853,599 | ) | | | (6,196,659 | ) |
Net increase (decrease) from capital share transactions | | | (567,093 | ) | | | 45,790 | |
Net increase (decrease) in net assets | | | (193,326 | ) | | | 4,097 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 3,254,141 | | | | 3,250,044 | |
End of period | | $ | 3,060,815 | | | $ | 3,254,141 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 47,038 | | | | 102,385 | |
Shares issued from reinvestment of distributions | | | — | | | | 328 | |
Shares redeemed | | | (54,832 | ) | | | (106,843 | ) |
Net decrease in shares | | | (7,794 | ) | | | (4,130 | ) |
104 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 66.03 | | | $ | 60.85 | | | $ | 53.75 | | | $ | 58.48 | | | $ | 57.03 | | | $ | 48.71 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .17 | | | | .48 | | | | .37 | | | | .57 | | | | .37 | | | | .45 | |
Net gain (loss) on investments (realized and unrealized) | | | 7.57 | | | | 5.27 | d | | | 6.73 | | | | (3.51 | ) | | | 2.86 | | | | 8.03 | |
Total from investment operations | | | 7.74 | | | | 5.75 | | | | 7.10 | | | | (2.94 | ) | | | 3.23 | | | | 8.48 | |
Less distributions from: |
Net investment income | | | — | | | | (.57 | ) | | | — | | | | (.47 | ) | | | (.77 | ) | | | (.16 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (1.32 | ) | | | (1.01 | ) | | | — | |
Total distributions | | | — | | | | (.57 | ) | | | — | | | | (1.79 | ) | | | (1.78 | ) | | | (.16 | ) |
Net asset value, end of period | | $ | 73.77 | | | $ | 66.03 | | | $ | 60.85 | | | $ | 53.75 | | | $ | 58.48 | | | $ | 57.03 | |
|
Total Returnc | | | 11.72 | % | | | 9.49 | % | | | 13.21 | % | | | (5.29 | %) | | | 5.85 | % | | | 17.40 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,061 | | | $ | 3,254 | | | $ | 3,250 | | | $ | 3,230 | | | $ | 3,514 | | | $ | 5,384 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.50 | % | | | 0.81 | % | | | 0.63 | % | | | 0.97 | % | | | 0.65 | % | | | 0.86 | % |
Total expenses | | | 1.70 | % | | | 1.82 | % | | | 1.82 | % | | | 1.73 | % | | | 1.70 | % | | | 1.66 | % |
Portfolio turnover rate | | | 111 | % | | | 258 | % | | | 263 | % | | | 365 | % | | | 372 | % | | | 410 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | The amount shown for a share outstanding throughout the period does not agree with the aggregate net loss on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of investment of the Fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 105 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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) |
Tesla, Inc. | 9.2% |
United Parcel Service, Inc. — Class B | 5.2% |
Union Pacific Corp. | 4.5% |
Uber Technologies, Inc. | 3.7% |
General Motors Co. | 3.4% |
FedEx Corp. | 3.4% |
CSX Corp. | 3.2% |
Norfolk Southern Corp. | 3.1% |
NIO, Inc. ADR | 2.7% |
Old Dominion Freight Line, Inc. | 2.1% |
Top Ten Total | 40.5% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Transportation Fund | 13.70% | 74.17% | 18.27% | 13.45% |
S&P 500 Industrials Index | 16.40% | 51.45% | 14.40% | 12.80% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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 Industrials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
106 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
TRANSPORTATION FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.6% |
| | | | | | | | | |
Transportation - 38.6% |
United Parcel Service, Inc. — Class B | | | 1,610 | | | $ | 334,832 | |
Union Pacific Corp. | | | 1,344 | | | | 295,586 | |
FedEx Corp. | | | 748 | | | | 223,151 | |
CSX Corp. | | | 6,483 | | | | 207,975 | |
Norfolk Southern Corp. | | | 755 | | | | 200,385 | |
Old Dominion Freight Line, Inc. | | | 535 | | | | 135,783 | |
Kansas City Southern | | | 438 | | | | 124,116 | |
Expeditors International of Washington, Inc. | | | 914 | | | | 115,712 | |
J.B. Hunt Transport Services, Inc. | | | 635 | | | | 103,473 | |
XPO Logistics, Inc.* | | | 681 | | | | 95,265 | |
CH Robinson Worldwide, Inc. | | | 926 | | | | 86,738 | |
ZTO Express Cayman, Inc. ADR | | | 2,462 | | | | 74,722 | |
Canadian Pacific Railway Ltd. | | | 964 | | | | 74,141 | |
Canadian National Railway Co. | | | 701 | | | | 73,970 | |
Knight-Swift Transportation Holdings, Inc. | | | 1,490 | | | | 67,735 | |
Landstar System, Inc. | | | 387 | | | | 61,154 | |
Saia, Inc.* | | | 280 | | | | 58,657 | |
Ryder System, Inc. | | | 662 | | | | 49,207 | |
Kirby Corp.* | | | 765 | | | | 46,390 | |
Werner Enterprises, Inc. | | | 972 | | | | 43,273 | |
Atlas Air Worldwide Holdings, Inc.* | | | 501 | | | | 34,123 | |
Total Transportation | | | | | | | 2,506,388 | |
| | | | | | | | | |
Auto Manufacturers - 23.6% |
Tesla, Inc.* | | | 884 | | | | 600,855 | |
General Motors Co.* | | | 3,785 | | | | 223,958 | |
NIO, Inc. ADR* | | | 3,240 | | | | 172,368 | |
Li Auto, Inc. ADR* | | | 2,550 | | | | 89,097 | |
XPeng, Inc. ADR* | | | 1,920 | | | | 85,286 | |
Ferrari N.V. | | | 341 | | | | 70,263 | |
Nikola Corp.* | | | 3,710 | | | | 67,003 | |
Stellantis N.V. | | | 3,319 | | | | 65,417 | |
Toyota Motor Corp. ADR | | | 370 | | | | 64,691 | |
Fisker, Inc.* | | | 3,100 | | | | 59,768 | |
Workhorse Group, Inc.*,1 | | | 2,250 | | | | 37,328 | |
Total Auto Manufacturers | | | | | | | 1,536,034 | |
| | | | | | | | | |
Auto Parts & Equipment - 13.7% |
Aptiv plc* | | | 625 | | | | 98,331 | |
QuantumScape Corp.*,1 | | | 2,964 | | | | 86,727 | |
BorgWarner, Inc. | | | 1,693 | | | | 82,178 | |
Lear Corp. | | | 459 | | | | 80,453 | |
Magna International, Inc. | | | 790 | | | | 73,186 | |
Gentex Corp. | | | 2,107 | | | | 69,721 | |
Autoliv, Inc. | | | 710 | | | | 69,410 | |
Fox Factory Holding Corp.* | | | 420 | | | | 65,377 | |
Luminar Technologies, Inc.*,1 | | | 2,944 | | | | 64,621 | |
Goodyear Tire & Rubber Co.* | | | 3,070 | | | | 52,650 | |
Adient plc* | | | 1,142 | | | | 51,618 | |
Visteon Corp.* | | | 384 | | | | 46,441 | |
Dana, Inc. | | | 1,926 | | | | 45,762 | |
Total Auto Parts & Equipment | | | | | | | 886,475 | |
| | | | | | | | | |
Airlines - 12.1% |
Southwest Airlines Co.* | | | 2,518 | | | | 133,680 | |
Delta Air Lines, Inc.* | | | 2,918 | | | | 126,233 | |
United Airlines Holdings, Inc.* | | | 1,885 | | | | 98,567 | |
American Airlines Group, Inc.* | | | 4,141 | | | | 87,830 | |
Copa Holdings S.A. — Class A* | | | 887 | | | | 66,818 | |
Alaska Air Group, Inc.* | | | 1,083 | | | | 65,316 | |
Ryanair Holdings plc ADR* | | | 599 | | | | 64,818 | |
JetBlue Airways Corp.* | | | 3,296 | | | | 55,307 | |
Allegiant Travel Co. — Class A* | | | 240 | | | | 46,560 | |
Spirit Airlines, Inc.* | | | 1,407 | | | | 42,829 | |
Total Airlines | | | | | | | 787,958 | |
| | | | | | | | | |
Internet - 5.4% |
Uber Technologies, Inc.* | | | 4,746 | | | | 237,870 | |
Lyft, Inc. — Class A* | | | 1,826 | | | | 110,436 | |
Total Internet | | | | | | | 348,306 | |
| | | | | | | | | |
Commercial Services - 2.9% |
AMERCO | | | 150 | | | | 88,410 | |
Avis Budget Group, Inc.* | | | 716 | | | | 55,769 | |
Macquarie Infrastructure Corp. | | | 1,170 | | | | 44,776 | |
Total Commercial Services | | | | | | | 188,955 | |
| | | | | | | | | |
Home Builders - 2.3% |
Thor Industries, Inc. | | | 564 | | | | 63,732 | |
LCI Industries | | | 350 | | | | 45,997 | |
Winnebago Industries, Inc. | | | 570 | | | | 38,737 | |
Total Home Builders | | | | | | | 148,466 | |
| | | | | | | | | |
Leisure Time - 1.0% |
Harley-Davidson, Inc. | | | 1,432 | | | | 65,615 | |
| | | | | | | | | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $2,459,662) | | | | | | | 6,468,197 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.8% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 30,216 | | | | 30,216 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 11,896 | | | | 11,896 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 11,663 | | | | 11,663 | |
Total Repurchase Agreements | | | | |
(Cost $53,775) | | | | | | | 53,775 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 107 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
TRANSPORTATION FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,3 - 2.1% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 137,385 | | | $ | 137,385 | |
Total Securities Lending Collateral | | | | |
(Cost $137,385) | | | | | | | 137,385 | |
| | | | | | | | | |
Total Investments - 102.5% | | | | |
(Cost $2,650,822) | | $ | 6,659,357 | |
Other Assets & Liabilities, net - (2.5)% | | | (160,438 | ) |
Total Net Assets - 100.0% | | $ | 6,498,919 | |
* | 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 on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 6,468,197 | | | $ | — | | | $ | — | | | $ | 6,468,197 | |
Repurchase Agreements | | | — | | | | 53,775 | | | | — | | | | 53,775 | |
Securities Lending Collateral | | | 137,385 | | | | — | | | | — | | | | 137,385 | |
Total Assets | | $ | 6,605,582 | | | $ | 53,775 | | | $ | — | | | $ | 6,659,357 | |
108 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value - including $130,799 of securities loaned (cost $2,597,047) | | $ | 6,605,582 | |
Repurchase agreements, at value (cost $53,775) | | | 53,775 | |
Cash | | | 331 | |
Receivables: |
Fund shares sold | | | 4,494 | |
Dividends | | | 1,632 | |
Securities lending income | | | 757 | |
Total assets | | | 6,666,571 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 137,385 | |
Fund shares redeemed | | | 10,495 | |
Management fees | | | 4,922 | |
Transfer agent and administrative fees | | | 1,558 | |
Investor service fees | | | 1,448 | |
Portfolio accounting fees | | | 579 | |
Trustees’ fees* | | | 82 | |
Miscellaneous | | | 11,183 | |
Total liabilities | | | 167,652 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 6,498,919 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 1,850,846 | |
Total distributable earnings (loss) | | | 4,648,073 | |
Net assets | | $ | 6,498,919 | |
Capital shares outstanding | | | 52,265 | |
Net asset value per share | | $ | 124.35 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends (net of foreign withholding tax of $579) | | $ | 44,137 | |
Interest | | | 6 | |
Income from securities lending, net | | | 3,745 | |
Total investment income | | | 47,888 | |
| | | | | |
Expenses: |
Management fees | | | 32,390 | |
Investor service fees | | | 9,527 | |
Transfer agent and administrative fees | | | 12,615 | |
Professional fees | | | 4,734 | |
Portfolio accounting fees | | | 3,810 | |
Trustees’ fees* | | | 763 | |
Custodian fees | | | 543 | |
Miscellaneous | | | 471 | |
Total expenses | | | 64,853 | |
Net investment loss | | | (16,965 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 719,352 | |
Net realized gain | | | 719,352 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 274,576 | |
Net change in unrealized appreciation (depreciation) | | | 274,576 | |
Net realized and unrealized gain | | | 993,928 | |
Net increase in net assets resulting from operations | | $ | 976,963 | |
* | 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 | 109 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (16,965 | ) | | $ | (41,154 | ) |
Net realized gain on investments | | | 719,352 | | | | 648,487 | |
Net change in unrealized appreciation (depreciation) on investments | | | 274,576 | | | | 1,396,690 | |
Net increase in net assets resulting from operations | | | 976,963 | | | | 2,004,023 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (136,588 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 9,396,614 | | | | 16,952,118 | |
Distributions reinvested | | | — | | | | 136,588 | |
Cost of shares redeemed | | | (11,774,534 | ) | | | (15,779,384 | ) |
Net increase (decrease) from capital share transactions | | | (2,377,920 | ) | | | 1,309,322 | |
Net increase (decrease) in net assets | | | (1,400,957 | ) | | | 3,176,757 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 7,899,876 | | | | 4,723,119 | |
End of period | | $ | 6,498,919 | | | $ | 7,899,876 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 76,695 | | | | 197,784 | |
Shares issued from reinvestment of distributions | | | — | | | | 1,768 | |
Shares redeemed | | | (96,663 | ) | | | (185,869 | ) |
Net increase (decrease) in shares | | | (19,968 | ) | | | 13,683 | |
110 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 109.37 | | | $ | 80.67 | | | $ | 66.01 | | | $ | 86.15 | | | $ | 70.81 | | | $ | 100.87 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.27 | ) | | | (.72 | ) | | | .09 | | | | (.16 | ) | | | (.43 | ) | | | .16 | |
Net gain (loss) on investments (realized and unrealized) | | | 15.25 | | | | 32.30 | | | | 14.60 | | | | (16.55 | ) | | | 15.99 | | | | (20.23 | ) |
Total from investment operations | | | 14.98 | | | | 31.58 | | | | 14.69 | | | | (16.71 | ) | | | 15.56 | | | | (20.07 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.14 | ) | | | — | | | | — | | | | (.22 | ) | | | — | |
Net realized gains | | | — | | | | (2.74 | ) | | | (.03 | ) | | | (3.43 | ) | | | — | | | | (9.99 | ) |
Total distributions | | | — | | | | (2.88 | ) | | | (.03 | ) | | | (3.43 | ) | | | (.22 | ) | | | (9.99 | ) |
Net asset value, end of period | | $ | 124.35 | | | $ | 109.37 | | | $ | 80.67 | | | $ | 66.01 | | | $ | 86.15 | | | $ | 70.81 | |
|
Total Returnc | | | 13.70 | % | | | 40.62 | % | | | 22.24 | % | | | (20.05 | %) | | | 22.02 | % | | | 15.43 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 6,499 | | | $ | 7,900 | | | $ | 4,723 | | | $ | 4,167 | | | $ | 11,739 | | | $ | 12,883 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.45 | %) | | | (0.86 | %) | | | 0.11 | % | | | (0.19 | %) | | | (0.56 | %) | | | 0.73 | % |
Total expenses | | | 1.70 | % | | | 1.82 | % | | | 1.83 | % | | | 1.72 | % | | | 1.70 | % | | | 1.66 | % |
Portfolio turnover rate | | | 115 | % | | | 373 | % | | | 277 | % | | | 237 | % | | | 308 | % | | | 174 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | Reverse share split — Per share amounts for the year ended December 31, 2016 have been restated to reflect a 1:4 reverse share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 111 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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. | 6.1% |
Duke Energy Corp. | 4.4% |
Southern Co. | 4.0% |
Dominion Energy, Inc. | 3.9% |
American Electric Power Company, Inc. | 3.4% |
Exelon Corp. | 3.3% |
Sempra Energy | 3.2% |
Xcel Energy, Inc. | 3.0% |
Public Service Enterprise Group, Inc. | 2.8% |
WEC Energy Group, Inc. | 2.7% |
Top Ten Total | 36.8% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Utilities Fund | 2.78% | 13.86% | 4.74% | 8.01% |
S&P 500 Utilities Index | 2.38% | 15.77% | 7.41% | 10.56% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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 Utilities Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
112 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
UTILITIES FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.8% |
| | | | | | | | | |
Electric - 83.1% |
NextEra Energy, Inc. | | | 9,066 | | | $ | 664,356 | |
Duke Energy Corp. | | | 4,846 | | | | 478,397 | |
Southern Co. | | | 7,227 | | | | 437,306 | |
Dominion Energy, Inc. | | | 5,731 | | | | 421,630 | |
American Electric Power Company, Inc. | | | 4,300 | | | | 363,737 | |
Exelon Corp. | | | 8,146 | | | | 360,949 | |
Sempra Energy | | | 2,649 | | | | 350,939 | |
Xcel Energy, Inc. | | | 4,962 | | | | 326,897 | |
Public Service Enterprise Group, Inc. | | | 5,078 | | | | 303,360 | |
WEC Energy Group, Inc. | | | 3,262 | | | | 290,155 | |
Eversource Energy | | | 3,599 | | | | 288,784 | |
DTE Energy Co. | | | 2,116 | | | | 274,234 | |
Consolidated Edison, Inc. | | | 3,799 | | | | 272,464 | |
Edison International | | | 4,557 | | | | 263,486 | |
PPL Corp. | | | 9,165 | | | | 256,345 | |
PG&E Corp.* | | | 24,620 | | | | 250,385 | |
FirstEnergy Corp. | | | 6,711 | | | | 249,716 | |
Ameren Corp. | | | 3,069 | | | | 245,643 | |
Avangrid, Inc. | | | 4,769 | | | | 245,270 | |
Entergy Corp. | | | 2,417 | | | | 240,975 | |
AES Corp. | | | 8,937 | | | | 232,988 | |
CMS Energy Corp. | | | 3,894 | | | | 230,057 | |
CenterPoint Energy, Inc. | | | 8,453 | | | | 207,267 | |
Alliant Energy Corp. | | | 3,667 | | | | 204,472 | |
Evergy, Inc. | | | 3,311 | | | | 200,084 | |
NRG Energy, Inc. | | | 4,459 | | | | 179,698 | |
Vistra Corp. | | | 9,104 | | | | 168,879 | |
Pinnacle West Capital Corp. | | | 2,045 | | | | 167,629 | |
OGE Energy Corp. | | | 4,260 | | | | 143,349 | |
IDACORP, Inc. | | | 1,245 | | | | 121,387 | |
PNM Resources, Inc. | | | 2,342 | | | | 114,219 | |
Ormat Technologies, Inc. | | | 1,600 | | | | 111,248 | |
Portland General Electric Co. | | | 2,389 | | | | 110,085 | |
Black Hills Corp. | | | 1,675 | | | | 109,930 | |
NorthWestern Corp. | | | 1,576 | | | | 94,907 | |
Total Electric | | | | | | | 8,981,227 | |
| | | | | | | | | |
Gas - 9.9% |
Atmos Energy Corp. | | | 2,019 | | | | 194,046 | |
UGI Corp. | | | 3,737 | | | | 173,061 | |
NiSource, Inc. | | | 6,879 | | | | 168,536 | |
National Fuel Gas Co. | | | 2,312 | | | | 120,802 | |
Southwest Gas Holdings, Inc. | | | 1,644 | | | | 108,816 | |
ONE Gas, Inc. | | | 1,459 | | | | 108,141 | |
Spire, Inc. | | | 1,460 | | | | 105,514 | |
South Jersey Industries, Inc. | | | 3,580 | | | | 92,829 | |
Total Gas | | | | | | | 1,071,745 | |
| | | | | | | | | |
Water - 4.4% |
American Water Works Company, Inc. | | | 1,868 | | | | 287,915 | |
Essential Utilities, Inc. | | | 3,968 | | | | 181,338 | |
Total Water | | | | | | | 469,253 | |
| | | | | | | | | |
Building Materials - 1.3% |
MDU Resources Group, Inc. | | | 4,468 | | | | 140,027 | |
| | | | | | | | | |
Energy-Alternate Sources - 1.1% |
Sunnova Energy International, Inc.* | | | 3,140 | | | | 118,252 | |
| | | | | | | | | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $4,938,114) | | | | | | | 10,780,504 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,1 - 0.4% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 27,269 | | | | 27,269 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 10,736 | | | | 10,736 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 10,525 | | | | 10,525 | |
Total Repurchase Agreements | | | | |
(Cost $48,530) | | | | | | | 48,530 | |
| | | | | | | | | |
Total Investments - 100.2% | | | | |
(Cost $4,986,644) | | $ | 10,829,034 | |
Other Assets & Liabilities, net - (0.2)% | | | (22,386 | ) |
Total Net Assets - 100.0% | | $ | 10,806,648 | |
* | 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 6. |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 113 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
UTILITIES FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 10,780,504 | | | $ | — | | | $ | — | | | $ | 10,780,504 | |
Repurchase Agreements | | | — | | | | 48,530 | | | | — | | | | 48,530 | |
Total Assets | | $ | 10,780,504 | | | $ | 48,530 | | | $ | — | | | $ | 10,829,034 | |
114 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value (cost $4,938,114) | | $ | 10,780,504 | |
Repurchase agreements, at value (cost $48,530) | | | 48,530 | |
Receivables: |
Dividends | | | 16,697 | |
Total assets | | | 10,845,731 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 9,306 | |
Management fees | | | 7,757 | |
Professional fees | | | 6,974 | |
Transfer agent and administrative fees | | | 2,455 | |
Investor service fees | | | 2,281 | |
Printing fees | | | 1,664 | |
Portfolio accounting fees | | | 913 | |
Trustees’ fees* | | | 119 | |
Miscellaneous | | | 7,614 | |
Total liabilities | | | 39,083 | |
Commitments and contingent liabilities (Note 9) | | | — | |
Net assets | | $ | 10,806,648 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 5,612,064 | |
Total distributable earnings (loss) | | | 5,194,584 | |
Net assets | | $ | 10,806,648 | |
Capital shares outstanding | | | 339,959 | |
Net asset value per share | | $ | 31.79 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends | | $ | 167,999 | |
Interest | | | 7 | |
Total investment income | | | 168,006 | |
| | | | | |
Expenses: |
Management fees | | | 46,060 | |
Investor service fees | | | 13,547 | |
Transfer agent and administrative fees | | | 18,015 | |
Portfolio accounting fees | | | 5,419 | |
Professional fees | | | 2,706 | |
Trustees’ fees* | | | 1,120 | |
Custodian fees | | | 776 | |
Miscellaneous | | | 4,570 | |
Total expenses | | | 92,213 | |
Net investment income | | | 75,793 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 601,917 | |
Net realized gain | | | 601,917 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (411,064 | ) |
Net change in unrealized appreciation (depreciation) | | | (411,064 | ) |
Net realized and unrealized gain | | | 190,853 | |
Net increase in net assets resulting from operations | | $ | 266,646 | |
* | 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 | 115 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 75,793 | | | $ | 187,407 | |
Net realized gain (loss) on investments | | | 601,917 | | | | (77,867 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (411,064 | ) | | | (1,747,746 | ) |
Net increase (decrease) in net assets resulting from operations | | | 266,646 | | | | (1,638,206 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (476,044 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 4,987,109 | | | | 22,322,981 | |
Distributions reinvested | | | — | | | | 476,044 | |
Cost of shares redeemed | | | (6,248,563 | ) | | | (24,918,248 | ) |
Net decrease from capital share transactions | | | (1,261,454 | ) | | | (2,119,223 | ) |
Net decrease in net assets | | | (994,808 | ) | | | (4,233,473 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 11,801,456 | | | | 16,034,929 | |
End of period | | $ | 10,806,648 | | | $ | 11,801,456 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 157,490 | | | | 689,994 | |
Shares issued from reinvestment of distributions | | | — | | | | 16,275 | |
Shares redeemed | | | (199,081 | ) | | | (799,726 | ) |
Net decrease in shares | | | (41,591 | ) | | | (93,457 | ) |
116 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 30.93 | | | $ | 33.76 | | | $ | 28.43 | | | $ | 27.97 | | | $ | 26.24 | | | $ | 22.86 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .22 | | | | .41 | | | | .39 | | | | .43 | | | | .42 | | | | .36 | |
Net gain (loss) on investments (realized and unrealized) | | | .64 | | | | (2.20 | ) | | | 5.01 | | | | .62 | d | | | 2.42 | | | | 3.38 | |
Total from investment operations | | | .86 | | | | (1.79 | ) | | | 5.40 | | | | 1.05 | | | | 2.84 | | | | 3.74 | |
Less distributions from: |
Net investment income | | | — | | | | (.55 | ) | | | (.07 | ) | | | (.46 | ) | | | (.55 | ) | | | (.17 | ) |
Net realized gains | | | — | | | | (.49 | ) | | | — | | | | (.13 | ) | | | (.56 | ) | | | (.19 | ) |
Total distributions | | | — | | | | (1.04 | ) | | | (.07 | ) | | | (.59 | ) | | | (1.11 | ) | | | (.36 | ) |
Net asset value, end of period | | $ | 31.79 | | | $ | 30.93 | | | $ | 33.76 | | | $ | 28.43 | | | $ | 27.97 | | | $ | 26.24 | |
|
Total Returnc | | | 2.78 | % | | | (5.13 | %) | | | 19.01 | % | | | 3.78 | % | | | 11.02 | % | | | 16.34 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 10,807 | | | $ | 11,801 | | | $ | 16,035 | | | $ | 19,320 | | | $ | 14,670 | | | $ | 15,242 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.40 | % | | | 1.34 | % | | | 1.22 | % | | | 1.54 | % | | | 1.48 | % | | | 1.39 | % |
Total expenses | | | 1.70 | % | | | 1.82 | % | | | 1.82 | % | | | 1.73 | % | | | 1.70 | % | | | 1.65 | % |
Portfolio turnover rate | | | 34 | % | | | 151 | % | | | 144 | % | | | 299 | % | | | 183 | % | | | 234 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | The amount shown for a share outstanding throughout the period does not agree with the aggregate net loss on investments for the year because of the sale and repurchase of fund shares in relation to fluctuating market value of investments of the Fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 117 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
Note 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 (each, a “Fund”). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately. At June 30, 2021, 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 following funds (collectively, the “Funds”):
Fund Name | Investment
Company Type |
Banking Fund | Diversified |
Basic Materials Fund | Diversified |
Biotechnology Fund | Non-diversified |
Consumer Products Fund | Diversified |
Electronics Fund | Non-diversified |
Energy Fund | Diversified |
Energy Services Fund | Non-diversified |
Financial Services Fund | Diversified |
Health Care Fund | Diversified |
Internet Fund | Diversified |
Leisure Fund | Diversified |
Precious Metals Fund | Non-diversified |
Real Estate Fund | Diversified |
Retailing Fund | Diversified |
Technology Fund | Diversified |
Telecommunications Fund | Non-diversified |
Transportation Fund | Diversified |
Utilities Fund | Diversified |
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 a fund’s securities and other assets, less all liabilities, by the number of outstanding shares of that fund.
(a) Valuation of Investments
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 and other assets 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.
118 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are valued at the last quoted sale price.
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’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 U.S. Treasury securities, and other information analysis.
(b) Currency Translations
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 gain or loss and unrealized appreciation or depreciation 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 appreciation and depreciation 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) Foreign Taxes
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 income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of June 30, 2021, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
(d) Security Transactions
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 a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. 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 Real Estate Investment Trusts (“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 realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 119 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
(e) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Normally, all 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 U.S. federal income tax regulations which may differ from U.S. GAAP.
(f) Cash
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 0.08% at June 30, 2021.
(g) Indemnifications
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.
Note 2 – Investment Advisory Agreement and Other Agreements
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
(as a % of Net Assets) | |
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 pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board 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/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
120 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Funds’ securities and cash. U.S. Bank, N.A. (“U.S. Bank”) acts as the Funds’ custodian. As custodian, U.S. Bank is responsible for the custody of the Funds’ assets. For providing the aforementioned services, MUIS and U.S. Bank are entitled to receive a monthly fee equal to an annual percentage of each Fund’s average daily net assets and out of pocket expenses.
Note 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 or federal excise 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 U.S. 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’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
At June 30, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value were as follows:
Fund | | Tax Cost | | | Tax
Unrealized
Appreciation | | | Tax
Unrealized
Depreciation | | | Net Tax
Unrealized
Appreciation
(Depreciation) | |
Banking Fund | | $ | 6,642,991 | | | $ | 2,114,231 | | | $ | (6,118 | ) | | $ | 2,108,113 | |
Basic Materials Fund | | | 6,939,043 | | | | 4,067,375 | | | | (4,540 | ) | | | 4,062,835 | |
Biotechnology Fund | | | 13,936,712 | | | | 11,264,096 | | | | (729,989 | ) | | | 10,534,107 | |
Consumer Products Fund | | | 8,092,184 | | | | 6,715,412 | | | | (595 | ) | | | 6,714,817 | |
Electronics Fund | | | 4,220,590 | | | | 8,042,162 | | | | — | | | | 8,042,162 | |
Energy Fund | | | 18,225,512 | | | | 4,410,368 | | | | (1,474 | ) | | | 4,408,894 | |
Energy Services Fund | | | 12,436,906 | | | | 279,016 | | | | (8,863 | ) | | | 270,153 | |
Financial Services Fund | | | 13,018,092 | | | | 5,211,752 | | | | (30,266 | ) | | | 5,181,486 | |
Health Care Fund | | | 8,088,074 | | | | 11,139,603 | | | | (181,838 | ) | | | 10,957,765 | |
Internet Fund | | | 7,506,832 | | | | 6,450,889 | | | | (92,019 | ) | | | 6,358,870 | |
Leisure Fund | | | 10,412,544 | | | | 3,742,947 | | | | (16,818 | ) | | | 3,726,129 | |
Precious Metals Fund | | | 15,659,211 | | | | 8,370,691 | | | | (235,850 | ) | | | 8,134,841 | |
Real Estate Fund | | | 9,284,262 | | | | 3,913,242 | | | | (61,147 | ) | | | 3,852,095 | |
Retailing Fund | | | 4,751,688 | | | | 2,580,119 | | | | (6,881 | ) | | | 2,573,238 | |
Technology Fund | | | 9,500,309 | | | | 15,602,114 | | | | (55,718 | ) | | | 15,546,396 | |
Telecommunications Fund | | | 2,380,908 | | | | 698,753 | | | | (3,784 | ) | | | 694,969 | |
Transportation Fund | | | 3,080,819 | | | | 3,606,494 | | | | (27,956 | ) | | | 3,578,538 | |
Utilities Fund | | | 6,156,491 | | | | 4,702,046 | | | | (29,503 | ) | | | 4,672,543 | |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 121 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 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.
Note 5 – Securities Transactions
For the period ended June 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding short-term investments, were as follows:
Fund | | Purchases | | | Sales | |
Banking Fund | | $ | 15,868,594 | | | $ | 12,676,800 | |
Basic Materials Fund | | | 8,396,959 | | | | 7,237,264 | |
Biotechnology Fund | | | 12,998,195 | | | | 15,245,477 | |
Consumer Products Fund | | | 12,339,418 | | | | 14,224,632 | |
Electronics Fund | | | 9,740,544 | | | | 11,726,298 | |
Energy Fund | | | 33,251,867 | | | | 21,573,748 | |
Energy Services Fund | | | 22,206,515 | | | | 15,142,167 | |
Financial Services Fund | | | 16,469,267 | | | | 11,776,781 | |
Health Care Fund | | | 4,984,082 | | | | 9,405,266 | |
Internet Fund | | | 9,528,218 | | | | 11,117,629 | |
Leisure Fund | | | 10,253,122 | | | | 8,544,372 | |
Precious Metals Fund | | | 12,234,869 | | | | 11,240,261 | |
Real Estate Fund | | | 10,828,817 | | | | 6,038,911 | |
Retailing Fund | | | 10,030,837 | | | | 10,929,947 | |
Technology Fund | | | 9,220,990 | | | | 12,933,459 | |
Telecommunications Fund | | | 3,475,316 | | | | 4,041,739 | |
Transportation Fund | | | 8,552,670 | | | | 10,924,712 | |
Utilities Fund | | | 3,660,538 | | | | 4,828,413 | |
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. 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
122 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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, 2021, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | | Purchases | | | Sales | | | Realized
Gain (Loss) | |
Banking Fund | | $ | 2,717,280 | | | $ | 4,042,348 | | | $ | (23,587 | ) |
Basic Materials Fund | | | 580,335 | | | | 2,381,805 | | | | 58,641 | |
Biotechnology Fund | | | 1,929,205 | | | | 1,544,289 | | | | 165,927 | |
Consumer Products Fund | | | 2,079,213 | | | | 1,828,681 | | | | 72,201 | |
Electronics Fund | | | 2,173,276 | | | | 2,814,462 | | | | 342,910 | |
Energy Fund | | | 3,669,285 | | | | 6,512,047 | | | | (125,219 | ) |
Energy Services Fund | | | 2,273,633 | | | | 4,669,570 | | | | (10,079 | ) |
Financial Services Fund | | | 2,614,513 | | | | 4,143,187 | | | | 61,763 | |
Health Care Fund | | | 770,273 | | | | 1,212,596 | | | | 170,295 | |
Internet Fund | | | 2,252,726 | | | | 2,186,995 | | | | 417,504 | |
Leisure Fund | | | 2,348,740 | | | | 1,420,169 | | | | (4,604 | ) |
Precious Metals Fund | | | 1,291,415 | | | | 1,803,717 | | | | (30,351 | ) |
Real Estate Fund | | | 1,365,124 | | | | 1,382,928 | | | | (8,564 | ) |
Retailing Fund | | | 2,527,198 | | | | 2,758,366 | | | | 153,088 | |
Technology Fund | | | 1,615,070 | | | | 2,699,682 | | | | 628,918 | |
Telecommunications Fund | | | 869,665 | | | | 914,699 | | | | 20,829 | |
Transportation Fund | | | 1,837,298 | | | | 3,510,803 | | | | 190,395 | |
Utilities Fund | | | 1,096,631 | | | | 1,120,871 | | | | 146,271 | |
Note 6 – Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. government agencies. The 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, 2021, the repurchase agreements in the joint account were as follows:
Counterparty and
Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
J.P. Morgan Securities LLC | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
0.05% | | | | | | | | | | 0.13% | | | | | | | | |
Due 07/01/21 | | $ | 43,014,729 | | | $ | 43,014,789 | | | Due 04/30/23 | | $ | 43,947,200 | | | $ | 43,875,223 | |
| | | | | | | | | | | | | | | | | | | |
BofA Securities, Inc. | | | | | | | | | | U.S. Treasury Bond | | | | | | | | |
0.04% | | | | | | | | | | 2.25% | | | | | | | | |
Due 07/01/21 | | | 16,602,804 | | | | 16,602,822 | | | Due 05/15/41 | | | 16,308,000 | | | | 16,934,920 | |
| | | | | | | | | | | | | | | | | | | |
Barclays Capital, Inc. | | | | | | | | | | U.S. Treasury Inflation Indexed Bond | | | | | | | | |
0.03% | | | | | | | | | | 0.13% | | | | | | | | |
Due 07/01/21 | | | 16,934,860 | | | | 16,934,874 | | | Due 04/15/26 | | | 15,882,137 | | | | 17,278,376 | |
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.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 123 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 7 – 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 their 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, 2021, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
| | | Gross Amounts Not Offset in the
Statements of Assets and Liabilities | | | | Securities Lending Collateral | |
Fund | | Value of
Securities
Loaned | | | Collateral
Received(a) | | | Net Amount | | | | Cash
Collateral
Invested | | | Cash
Collateral
Uninvested | | | Total
Collateral | |
Basic Materials Fund | | $ | 349,248 | | | $ | (349,248 | ) | | $ | — | | | | $ | 352,966 | | | $ | — | | | $ | 352,966 | |
Biotechnology Fund | | | 257,037 | | | | (257,037 | ) | | | — | | | | | 268,135 | | | | — | | | | 268,135 | |
Consumer Products Fund | | | 7,087 | | | | (7,087 | ) | | | — | | | | | 7,155 | | | | — | | | | 7,155 | |
Electronics Fund | | | 212,588 | | | | (212,588 | ) | | | — | | | | | 225,481 | | | | — | | | | 225,481 | |
Energy Fund | | | 395,960 | | | | (395,960 | ) | | | — | | | | | 399,673 | | | | — | | | | 399,673 | |
Financial Services Fund | | | 40,870 | | | | (40,870 | ) | | | — | | | | | 41,423 | | | | — | | | | 41,423 | |
Health Care Fund | | | 212,328 | | | | (212,328 | ) | | | — | | | | | 219,125 | | | | — | | | | 219,125 | |
Internet Fund | | | 75,673 | | | | (75,673 | ) | | | — | | | | | 79,441 | | | | — | | | | 79,441 | |
Leisure Fund | | | 299,237 | | | | (299,237 | ) | | | — | | | | | 303,626 | | | | — | | | | 303,626 | |
Precious Metals Fund | | | 570,796 | | | | (570,796 | ) | | | — | | | | | 571,775 | | | | — | | | | 571,775 | |
Real Estate Fund | | | 98,749 | | | | (98,749 | ) | | | — | | | | | 98,991 | | | | — | | | | 98,991 | |
Retailing Fund | | | 100,332 | | | | (100,332 | ) | | | — | | | | | 105,798 | | | | — | | | | 105,798 | |
Technology Fund | | | 243,453 | | | | (243,453 | ) | | | — | | | | | 251,259 | | | | — | | | | 251,259 | |
Telecommunications Fund | | | 12,865 | | | | (12,865 | ) | | | — | | | | | 13,706 | | | | — | | | | 13,706 | |
Transportation Fund | | | 130,799 | | | | (130,799 | ) | | | — | | | | | 137,385 | | | | — | | | | 137,385 | |
(a) | Actual collateral received by the Fund is generally 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 to evaluate potential risks.
Note 8 – Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $150,000,000 line of credit from U.S. Bank, N.A., which was increased to $200,000,000 on February 10, 2021 and expired on June 7, 2021. On June 7, 2021, the line of credit agreement was renewed and expires on June 6, 2022. 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 1.25% for the period ended June 30, 2021. The Funds did not have any borrowings outstanding under this agreement at June 30, 2021.
124 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The average daily balances borrowed for the period ended June 30, 2021, were as follows:
Fund | | Average Daily Balance | |
Biotechnology Fund | | $ | 1,454 | |
Consumer Products Fund | | | 3 | |
Electronics Fund | | | 1,309 | |
Energy Fund | | | 1,251 | |
Energy Services Fund | | | 645 | |
Financial Services Fund | | | 1,339 | |
Health Care Fund | | | 273 | |
Internet Fund | | | 202 | |
Leisure Fund | | | 77 | |
Precious Metals Fund | | | 270 | |
Real Estate Fund | | | 328 | |
Retailing Fund | | | 1,385 | |
Technology Fund | | | 306 | |
Telecommunications Fund | | | 49 | |
Transportation Fund | | | 172 | |
Utilities Fund | | | 27 | |
Note 9 – 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-2296 (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. On April 3, 2018, Justice Kennedy and Justice Thomas issued a “Statement” related to the petition for certiorari suggesting that the Second Circuit and/or District Court may want to take steps to reexamine the application of the Section 546(e) safe harbor to the previously dismissed state law constructive fraudulent transfer claims based on the Supreme Court’s decision in Merit Management
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 125 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Group LP v. FTI Consulting, Inc. On April 10, 2018, Plaintiffs filed in the Second Circuit a motion for that court to recall its mandate, vacate its prior decision, and remand to the district court for further proceedings consistent with Merit Management. On April 20, 2018, the shareholder defendants filed an opposition to Plaintiffs’ motion to recall the mandate. On May 15, 2018, the Second Circuit issued an order recalling the mandate “in anticipation of further panel review.” On December 19, 2019, the Second Circuit issued an amended opinion that again affirmed the district court’s ruling on the basis that plaintiffs’ claims were preempted by Section 546(e) of the Bankruptcy Code. Plaintiffs filed a motion for rehearing and rehearing en banc on January 2, 2020. The Second Circuit denied the petition on February 6, 2020. On July 6, 2020, plaintiffs filed a new petition for a writ of certiorari in the U.S. Supreme Court. In that petition, plaintiffs stated that “[t]o make it more likely that there will be a quorum for this petition,” they have “abandon[ed] the case and let the judgment below stand” with respect to certain defendants. That list did not include Rydex Variable Trust. Defendants filed an opposition to the petition for certiorari on August 26, 2020, and plaintiffs filed a reply in support of the petition for certiorari on September 8, 2020. The Court denied the petition for certiorari on April 19, 2021.
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 intended to permit an interlocutory appeal of the dismissal order, but would wait to do so until it has resolved outstanding motions to dismiss filed by other defendants.
On July 18, 2017, the plaintiff submitted a letter to the District Court seeking leave to amend its complaint to add a constructive fraudulent transfer claim. The shareholder defendants opposed that request. On August 24, 2017, the Court denied the plaintiff’s request without prejudice to renewal of the request in the event of an intervening change in the law. On March 8, 2018, the plaintiff renewed his request for leave to file a motion to amend the complaint to assert a constructive fraudulent transfer claim based on the Supreme Court’s ruling in Merit Management Group LP v. FTI Consulting, Inc. The shareholder defendants opposed that request. On June 18, 2018 the District Court ordered that the request would be stayed pending further action by the Second Circuit in the SLCFC actions.
On December 18, 2018, plaintiff filed a letter with the District Court requesting that the stay be dissolved in order to permit briefing on the motion to amend the complaint and indicating plaintiff’s intention to file another motion to amend the complaint to reinstate claims for intentional fraudulent transfer. The shareholder defendants opposed that request. On January 14, 2019, the court held a case management conference, during which the court stated that it would not lift the stay prior to further action from the Second Circuit in the SLCFC actions. The court further stated that it would allow the plaintiff to file a motion to amend to try to reinstate its intentional fraudulent transfer claim. On January 23, 2019, the court ordered the parties still facing pending claims to participate in a mediation, to commence on January 28, 2019. The mediation did not result in a settlement of the claims against the shareholder defendants.
On April 4, 2019, plaintiff filed a motion to amend the Fifth Amended Complaint to assert a federal constructive fraudulent transfer claim against certain shareholder defendants. On April 10, 2019, the shareholder defendants filed a brief in opposition to plaintiff’s motion to amend. On April 12, 2019, the plaintiff filed a reply brief. On April 23, 2019, the court denied the plaintiff’s motion to amend. On June 13, 2019, the court entered judgment pursuant to Rule 54(b). On July 12, 2019, the Plaintiff filed a notice of appeal with respect to the dismissal of his claims and the District Court’s denial of his motion for leave to amend. Plaintiff filed an appellate brief on January 7, 2020. The shareholder defendants’ brief was filed on April 27, 2020. Plaintiff filed a reply brief on May 18, 2020. The Court held oral argument on August 24, 2020.
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.
126 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
Note 10 – COVID-19
The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and public health conditions around the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market ntermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.
Note 11 – Subsequent Events
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 127 |
OTHER INFORMATION (Unaudited) |
Delivery of Shareholder Reports
Paper copies of the Funds’ annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Rydex Variable Trust Contracts Review Committee
Rydex Variable Trust (the “Trust”) was organized as a Delaware statutory trust on June 11, 1998, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series (each, a “Fund” and collectively, the “Funds”):
Tradable Funds (Including Sector Funds*) |
● | Banking Fund* | ● | Basic Materials Fund* |
● | Biotechnology Fund* | ● | Commodities Strategy Fund |
● | Consumer Products Fund* | ● | Dow 2x Strategy Fund |
● | Electronics Fund* | ● | Energy Fund* |
● | Energy Services Fund* | ● | Europe 1.25x Strategy Fund |
● | Financial Services Fund* | ● | Government Long Bond 1.2x Strategy Fund |
● | Health Care Fund* | ● | High Yield Strategy Fund |
● | Internet Fund* | ● | Inverse Dow 2x Strategy Fund |
● | Inverse Government Long Bond Strategy Fund | ● | Inverse High Yield Strategy Fund*** |
● | Inverse Mid-Cap Strategy Fund | ● | Inverse NASDAQ-100 2x Strategy Fund*** |
● | Inverse NASDAQ-100 Strategy Fund | ● | Inverse Russell 2000 2x Strategy Fund*** |
128 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited)(continued) |
Tradable Funds (Including Sector Funds*) |
● | Inverse Russell 2000 Strategy Fund | ● | Inverse S&P 500 2x Strategy Fund*** |
● | Inverse S&P 500 Strategy Fund | ● | Japan 2x Strategy Fund |
● | Leisure Fund* | ● | Mid-Cap 1.5x Strategy Fund |
● | NASDAQ-100 2x Strategy Fund | ● | NASDAQ-100 Fund |
● | Nova Fund | ● | Precious Metals Fund* |
● | Real Estate Fund | ● | Retailing Fund* |
● | Russell 2000 1.5x Strategy Fund | ● | Russell 2000 2x Strategy Fund |
● | Russell 2000 Fund*** | ● | S&P 500 Fund*** |
● | S&P 500 Pure Growth Fund | ● | S&P 500 Pure Value Fund |
● | S&P MidCap 400 Pure Growth Fund | ● | S&P MidCap 400 Pure Value Fund |
● | S&P SmallCap 600 Pure Growth Fund | ● | S&P SmallCap 600 Pure Value Fund |
● | Strengthening Dollar 2x Strategy Fund | ● | Technology Fund* |
● | Telecommunications Fund* | ● | Transportation Fund* |
● | Utilities Fund* | ● | U.S. Government Money Market Fund |
● | Weakening Dollar 2x Strategy Fund | | |
Alternative Funds** (i.e., Non-Tradable Funds) |
● | Global Managed Futures Strategy Fund** | ● | Long Short Equity Fund** |
● | Multi-Hedge Strategies Fund** | | |
* | Each, a “Sector Fund” and collectively, the “Sector Funds.” |
** | Each, an “Alternative Fund” and collectively, the “Alternative Funds.” Each Fund other than the Alternative Funds, a “Tradable Fund” and collectively, the “Tradable Funds.” |
*** | The Fund has been organized as a series of the Trust but has not commenced operations, and shares of the Fund are not currently offered to investors. The investment advisory agreement for the Fund was not considered for renewal. Consequently, all references to “the Funds” or similar references hereafter should be understood as excluding such Fund. |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of the Funds pursuant to an investment advisory agreement between the Trust, with respect to the Funds, and Security Investors (the “Advisory Agreement”).1 (Guggenheim Partners, Security Investors and their affiliates may be referred to herein collectively as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes Security Investors and other affiliated investment management businesses of Guggenheim Partners.)
Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Adviser regularly provides investment research, advice and supervision, along with a continuous investment program for the Funds, and directs the purchase and sale of securities and other investments for each Fund’s portfolio.
The Advisory Agreement continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at
1 | Security Investors also serves as investment adviser to each of Rydex Variable Commodities Strategy CFC, Rydex Variable Managed Futures Strategy CFC and Rydex Variable Multi-Hedge Strategies CFC (each, a “Subsidiary” and collectively, the “Subsidiaries”), wholly-owned subsidiaries of the Trust that are organized as limited companies under the laws of the Cayman Islands and used by Commodities Strategy Fund, Managed Futures Strategy Fund and Multi-Hedge Strategies Fund, respectively, to obtain commodities exposure. Pursuant to a separate investment management agreement for each Subsidiary (each, a “Subsidiary Advisory Agreement” and collectively, the “Subsidiary Advisory Agreements), the Subsidiary pays Security Investors an advisory fee at the same rate that the respective Fund pays Security Investors under the Advisory Agreement. The Subsidiary Advisory Agreements do not require annual renewal by the Independent Trustees and will continue until they are terminated as provided in the Agreements. In addition, Security Investors has entered into a separate waiver agreement with respect to each applicable Fund pursuant to which Security Investors has contractually agreed to waive the advisory fee it receives from the Fund in an amount equal to the advisory fee paid to Security Investors by the respective Subsidiary. This undertaking will continue with respect to each applicable Fund for so long as the Fund invests in the respective Subsidiary, and may be terminated only with the approval of the Board. |
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OTHER INFORMATION (Unaudited)(continued) |
a meeting called for such purpose.2 At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreement in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreement and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Advisory Agreement.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee met with a representative of FUSE at the April Meeting to discuss how FUSE determined the appropriate peer groups for the Funds. Thereafter, the Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a list of Funds for which no peer funds were identified, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
As part of its evaluation of the Adviser and the proposed renewal of the Advisory Agreement, the Committee took into account that each Tradable Fund is designed to provide tactical advisors with specific exposures (with the exception of the U.S. Government Money Market Fund which is designed to support tactical advisors seeking to avoid market exposure or preserve capital) while also providing for unlimited trading privileges, and that the Tradable Funds offer a unique set of product features. The Committee noted that each Tradable Fund (other than the U.S. Government Money Market Fund) seeks to track, or correlate to, the performance (before fees and expenses) of a specific benchmark index over certain time periods or a specific market, noting that, because appropriate published indices are not available for many of the Sector Funds and the Real Estate Fund, the Adviser has developed its own methodology to construct internal performance benchmarks for the Sector Funds and the Real Estate Fund. In this regard, the Committee received information regarding the Adviser’s proprietary methodology for constructing internal performance benchmarks for such Funds, including the personnel with primary responsibility for the maintenance and execution of the methodology. The Committee also noted that, in addition to the performance information included in the FUSE reports, the Adviser provided tracking error data for each Tradable Fund (other than U.S. Government Money Market Fund) relative to the applicable benchmark index or Guggenheim-constructed internal performance benchmark.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the Advisory Agreement for an additional annual term.
2 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Advisory Agreement at a meeting of the Board held by videoconference on May 26, 2021. |
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OTHER INFORMATION (Unaudited)(continued) |
Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, the funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and index methodologies and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
With respect to the Tradable Funds, the Committee considered their unique product features, including their tradability, the real time cash process employed for such Funds, and the leveraged and inverse strategies offered, and the Adviser’s assessment of the value to shareholders provided by the Funds’ structure and the services required by the Adviser to provide the Funds’ unique features. The Committee noted that the Tradable Funds allow frequent trading and noted the magnitude of changes in each Fund’s assets during 2020 and 2019. In this regard, the Committee noted that the real time cash process is utilized by the Adviser to aggregate shareholder flow data to estimate daily net subscriptions or redemptions in order to mitigate the costs associated with the tradability feature, improve tracking and keep the Funds fully invested. The Committee also took into account the infrastructure developed by the Adviser to manage the significant volume and size of trading that typically occurs near the end of each business day, as well as the unique considerations required in the portfolio construction process to determine the optimal way to obtain the applicable exposures, including leveraged and inverse exposures, while allowing for high turnover. With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s proprietary methodology for constructing internal performance benchmarks for such Funds, noting the Adviser’s statement that it uses a quantitative portfolio investment process that also requires investment discretion in implementing adjustments for factors that affect tradability and liquidity, changing dynamics within a sector or market, and corporate actions such as spin-offs, among other adjustments.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Guggenheim’s resources and the ability of the Adviser to carry out its responsibilities under the Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH.
The Committee also considered the acceptability of the terms of the Advisory Agreement, including the scope of services required to be performed by the Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how the Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under the Advisory Agreement with respect to the Funds.
Investment Performance: Except as otherwise noted, the Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. For certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, only investment returns for the five-year, three-year and one-year periods ended December 31, 2020, as applicable, were received. In addition, the Committee received a comparison of each Fund’s
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OTHER INFORMATION (Unaudited)(continued) |
performance to the performance of a benchmark and a peer group of similar funds based on asset levels as identified by FUSE, and for certain Funds, a broader universe of funds, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. For the Tradable Funds (other than U.S. Government Money Market Fund), the Committee received tracking error data for other similar funds in the Guggenheim fund complex. The Committee also received certain updated performance information as of March 31, 2021.
With respect to the Tradable Funds (other than U.S. Government Money Market Fund), the Committee considered the Adviser’s statement that such Funds are designed as a suite of products seeking to provide a number of broad and specific exposures for tactical advisors and also considered that the Funds have a unique set of product features designed to meet the needs of those tactical advisors, which has an impact on performance. The Committee considered the Adviser’s statement that, in circumstances in which there are significant deviations from expected returns, management seeks to understand the cause of such deviations and determine if any remedial actions should be considered, noting that no such remedial actions were currently deemed necessary by the Adviser to address performance. The Committee also considered the Adviser’s discussion of factors that contribute to such deviations, including shareholder activity, financing costs associated with leverage and investment instruments used to achieve certain exposures, noting the Adviser’s statement that expenses and transaction costs based on shareholder activity are the primary driver of performance differences.
With respect to certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds in the two direct competitor product suites and noted the Adviser’s statement that certain Tradable Funds do not have any peer funds that provide the same index, leverage or inverse exposure. The Committee also considered management’s commentary explaining instances of significant underperformance (defined as greater than 100 basis points), as applicable, of such Funds over the five-year, three-year and/or one-year periods ended December 31, 2020, relative to their respective peer funds, attributing such relative underperformance to, among other factors, differences in portfolio construction methodologies and exposures. The Committee noted that the two direct competitor product suites do not offer a fund comparable to the Commodities Strategy Fund and considered a comparison to a peer group identified in the FUSE report that includes actively-managed funds, noting the limitations in the comparability of such peer group.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report has product features that make it comparable in this regard. The Committee considered that the Fund outperformed the comparable peer fund over the five-year, three-year and one-year periods ended December 31, 2020, although its performance ranked in the fourth quartile of the broader peer group over the same time periods.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds seeking similar exposures but that do not offer the same product features, including unlimited trading privileges, noting the Adviser’s statement that certain peer funds also cover a narrower or wider market segment than the applicable Fund. The Committee considered management’s commentary explaining such Funds’ underperformance, as applicable, over the five-year, three-year and one-year periods ended December 31, 2020, relative to their respective peer groups, attributing such underperformance to, among other factors, high turnover associated with daily shareholder flows, differences in exposures and the Funds’ modified cap weighting approach to portfolio construction.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), in seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. The Committee observed that the Global Managed Futures Strategy Fund’s returns ranked in the third quartile or better of its performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations regarding the other Alternative Funds:
Long Short Equity Fund: The Fund’s returns ranked in the 80th percentile of its performance universe for the five-year and three-year periods ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily a result of the Fund’s fundamental factor tilts and the underperformance of the Fund’s prior investment strategy. The Committee noted management’s statement that the Fund’s long exposure to value and short exposure to growth, as well as negative sector exposures to well-performing sectors, have detracted from investment performance. The Committee also noted management’s statement that
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OTHER INFORMATION (Unaudited)(continued) |
the Fund employed a momentum-based investment strategy prior to May 31, 2017 that demonstrated bouts of volatility and inconsistencies, which affected long-term performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 45th and 60th percentiles, respectively.
Multi-Hedge Strategies Fund: The Fund’s returns ranked in the 100th percentile of its performance universe for the five-year and three-year periods ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the underperformance of its long short equity sleeve and its overall lower equity market beta relative to its peers. With respect to the Fund’s long short equity sleeve, the Committee noted management’s statement that the sleeve’s high long exposure to value and short exposure to growth have detracted from investment performance. The Committee took into account management’s statement that the Fund changed its underlying investment strategies to improve diversification amongst the strategies, target a higher and more stable risk profile and enhance risk-adjusted returns while providing continuity for shareholders. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 55th and 21st percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee3 and total net expense ratio to the applicable peer group, if any. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable. The Committee noted Guggenheim’s statement that it does not provide advisory services to other clients that have investment strategies similar to those of the Funds, other than the retail fund counterparts to the Funds and certain other clients with respect to Long Short Equity Fund, each of which is charged the same advisory fee as the corresponding Fund.
With respect to the Tradable Funds that are designed to track a widely available index, which have only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds, noting the Adviser’s statement that only one of the two direct competitor product suites is directly comparable for purposes of assessing such Funds’ advisory fees. For those Tradable Funds with a peer fund from the directly comparable product suite, the Committee noted that each Fund’s contractual advisory fee was equal to or lower than the contractual advisory fee charged to the peer fund, with the exception of 15 Funds for which the contractual advisory fee was five basis points higher than the contractual advisory fee charged to the peer fund. With respect to each of those 15 Funds, the Adviser agreed to waive five basis points of its contractual advisory fee through August 1, 2022. The Committee also considered that each such Fund’s net effective management fee was competitive. The Committee noted that the higher total net expense ratio as compared to the peer fund was driven primarily by the higher other operating expenses of each such Fund.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report is directly comparable in terms of product features offered. The Committee considered that, as of the Fund’s and the peer fund’s respective fiscal year ends, the Fund’s contractual advisory fee, net effective management fee and total net expense ratio are lower than those of the peer fund. The Committee noted the Adviser’s statement that, given the current low interest rate environment, it is currently waiving, and intends to continue to waive, all or a portion of its fees to the extent necessary to maintain the Fund’s stable net asset value.
3 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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OTHER INFORMATION (Unaudited)(continued) |
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds seeking similar exposures but that do not offer the same product features, such as unlimited trading privileges. As a result, the fee and expense comparisons are more difficult given the uniqueness of both the Funds’ structure and the portfolio management needed to meet client requirements.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), the Committee made the following observations:
Global Managed Futures Strategy Fund: The Fund’s contractual advisory fee ranks in the fourth quartile (100th percentile) of its peer group. The Fund’s net effective management fee ranks in the first quartile (1st percentile) of its peer group. The Fund’s total net expense ratio ranks in the fourth quartile (100th percentile) of its peer group, with higher other operating expenses than its peer fund. The Committee considered that the peer group is limited in size and is comprised of only two funds. The Committee noted that the Fund’s contractual advisory fee and total net expense ratio each rank more competitively when compared to the broader universe of funds.
Long Short Equity Fund: The Fund’s contractual advisory fee, net effective management fee and total net expense ratio each rank in the fourth quartile (80th, 80th and 100th percentiles, respectively) of its peer group. The Committee noted the Fund’s higher other operating expenses compared to its peers. The Committee considered that the peer group is limited in size and is comprised of only six funds.
Multi-Hedge Strategies Fund: Although the Fund’s contractual advisory fee ranks in the fourth quartile (75th percentile) of its peer group, the Committee considered that the Fund’s net effective management fee and total net expense ratio each rank at the median of its peer group. The Committee considered that the peer group is limited in size and is comprised of only five funds.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to the Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Adviser derives any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Adviser may benefit from certain economies of scale and synergies, such as enhanced visibility of the Adviser, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by the Adviser from its relationship with the Funds were appropriate and that the Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
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OTHER INFORMATION (Unaudited)(concluded) |
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for an Alternative Fund (i.e., a non-Tradable Fund), with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee also considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such expense waivers and limitations. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of the Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of the Advisory Agreement for an additional annual term.
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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 bycalling 800.820.0888.
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES | | | |
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2019 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 157 | Current: Purpose Investments Funds (2013-present) Former: Managed Duration Investment Grade Municipal Fund (2006-2016). |
Angela Brock-Kyle (1959) | Trustee | Since 2016 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012). | 156 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Infinity Property & Casualty Corp. (2014-2018). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2005 (Trustee) Since 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 156 | Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019). |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2019 | Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 157 | Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - concluded | | |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2016 (Trustee) Since 2019 (Chair of the Audit Committee) | Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017). | 156 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2019 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 156 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INTERESTED TRUSTEE | | | | |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2019 | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 157 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager. |
138 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS | | | |
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2019 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
James M. Howley (1972) | Assistant Treasurer | Since 2016 | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004). |
Mark E. Mathiasen (1978) | Secretary | Since 2017 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2018 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014). |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 139 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS - concluded | |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2016 | 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, Mutual Fund Administration for 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). |
Bryan Stone (1979) | Vice President | Since 2019 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2016 | Current: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
140 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, 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.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
| | ● | We use your information in connection with servicing your accounts. |
| | ● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
| | ● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
| | ● | We use information for security purposes. We may use your information to protect our company and our customers. |
| | ● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 141 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
| | ● | We use information as otherwise permitted by law, as we may notify you. |
| | ● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other
142 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 143 |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Rydex Variable Trust(the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
144 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
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6.30.2021
Rydex Variable Trust Funds 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-0621x1221 |
| | |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS | 6 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 7 |
NOVA FUND | 9 |
INVERSE S&P 500® STRATEGY FUND | 20 |
NASDAQ-100® FUND | 27 |
INVERSE NASDAQ-100® STRATEGY FUND | 35 |
S&P 500® 2x STRATEGY FUND | 41 |
NASDAQ-100® 2x STRATEGY FUND | 52 |
MID-CAP 1.5x STRATEGY FUND | 60 |
INVERSE MID-CAP STRATEGY FUND | 70 |
RUSSELL 2000® 2x STRATEGY FUND | 76 |
RUSSELL 2000® 1.5x STRATEGY FUND | 83 |
INVERSE RUSSELL 2000® STRATEGY FUND | 90 |
DOW 2x STRATEGY FUND | 96 |
INVERSE DOW 2x STRATEGY FUND | 103 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | 109 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | 115 |
HIGH YIELD STRATEGY FUND | 122 |
U.S. GOVERNMENT MONEY MARKET FUND | 129 |
NOTES TO FINANCIAL STATEMENTS | 135 |
OTHER INFORMATION | 153 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 161 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 166 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 169 |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for a selection of our Funds (the “Fund” or “Funds”) that are part of the Rydex Variable Trust. This report covers performance of the Funds for the semi-annual period ended June 30, 2021.
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,
Security Investors, LLC
July 31, 2021
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.
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.
COVID-19. The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of this uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
Inverse and leveraged funds are not suitable for all investors. ● These Funds should be utilized only by investors who (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking daily leveraged investment results, (c) understand the risk of shorting, and (d) intend to actively monitor and manage their investments. ● The more a Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● Inverse funds involve certain risks, which include increased volatility due to the Funds’ possible use of short sales of securities and derivatives, such as options and futures. ● The Funds’ use of derivatives, such as futures, options and swap agreements, may expose the Funds’ shareholders to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. ● Short-selling involves increased risks and costs. You risk paying more for a security than you received from its sale. ● Leveraged and inverse funds seek to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. Because the 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. 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. The Funds rebalance their portfolios on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. Daily rebalancing will impair a fund’s performance if the benchmark experiences volatility. Investors should monitor their leveraged and inverse funds’ holdings consistent with their strategies, as frequently as daily. ● For more on these and other risks, please read the prospectus.
The NASDAQ-100® Fund may not be suitable for all investors. ● Investing in Rydex NASDAQ-100® Fund involves certain risks, which may include increased volatility due to the use of futures and the possibility that companies in which the Fund invests may not be commercially successful or may become obsolete more quickly. ● There are no assurances that any Rydex Fund will achieve its objective and/or strategy. This Fund is subject to active trading and tracking error risks, which may increase volatility, impact the Fund’s ability to achieve its investment objective and may decrease the Fund’s performance. ● This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. ● For more on these and other risks, please read the prospectus.
The Government Long Bond 1.2x Strategy and Inverse Government Long Bond Strategy funds are not suitable for all investors. ● These Funds should be utilized only by investors who (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking daily leveraged investment results, and (c) intend to actively monitor and manage their investments. ● The more a Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Funds’ use of derivatives, such as futures, options and swap agreements, may expose the Funds’ shareholders to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. ● Leveraged and inverse Funds seek to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. Because the 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 Funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. 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. The Funds rebalance their portfolios on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. Daily rebalancing will impair a fund’s performance if the benchmark experiences volatility. Investors should monitor their leveraged Funds’ holdings consistent with their strategies, as frequently as daily. ● In general, bond prices rise when interest rates fall, and vice versa. Moreover, while securities with longer maturities tend to produce higher yields, the price of longer maturity securities is also subject to greater fluctuations as a result of changes in interest rates. ● It is important to note that the funds are not guaranteed by the U.S. government. ● There are no assurances that any Guggenheim fund will achieve its objective and/or strategy. These Funds are subject to active trading and tracking error risks, which may increase volatility, impact the fund’s ability to achieve its investment objective, and may decrease the Fund’s performance. ● For more on these and other risks, please read the prospectus.
The High Yield Strategy Fund may not be suitable for all investors. ● The Fund’s use of derivatives such as futures, options, and swap agreements will expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● A highly liquid secondary market may not exist for the credit default swaps the Fund invests in, and there can be no assurance that a highly liquid secondary market will develop. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. ● You may have a gain or loss when you sell your shares. ● In general, bond prices rise when interest rates fall, and vice versa. ● The Fund’s exposure to the high yield bond market may subject the Fund to greater volatility because (i) it will be affected by the ability of high yield security issuers’ ability to make principal and interest payments and (ii) the prices of derivatives linked to high yield bonds may fluctuate unpredictably and not necessarily in relation to interest rates. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would in a more diversified fund. ● For more on these and other risks, please read the prospectus.
The U.S. Government Money Market Fund may not be suitable for all investors. ● You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. ● For more on these and other risks, please read the prospectus.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | June 30, 2021 |
More states saw the end of COVID-19 related restrictions in the second quarter of 2021, including New York, California, and Illinois, marking a full reopening for almost all of the U.S. The U.S. has made solid vaccination progress, inoculating over 52% of the population. Those vaccinations have helped COVID-19 cases fall sharply from their peak, but the spread of the Delta variant is a worrying trend, particularly in areas with low vaccination rates. Though we expect cases will rise further as the Delta variant spreads, vaccination rates are high for the most vulnerable populations, which could limit hospitalizations and deaths, in turn reducing the need for a return to strict lockdowns.
Relaxed COVID-19 related measures and increased consumer comfort prompted a rapid reopening of the service sector and robust manufacturing activity. Both the ISM Manufacturing and Services Purchasing Managers Indexes cooled a bit in June but remain near the peaks of recent economic cycles.
Labor demand is also at record highs according to the National Federation of Independent Businesses (“NFIB”). The NFIB reported that nearly half of small-business owners in the U.S. could not fill job openings in June, making it the fifth consecutive month where the share of surveyed business owners citing jobs were hard to fill exceeded pre-COVID-19 historical highs. To attract more workers, business owners are raising or planning to raise compensation, especially in low-wage sectors where enhanced jobless benefits are competitive with wages. Corroborating this signal of strong labor demand is the consumer confidence data, which shows perceptions around job availability is above pre-COVID-19 highs.
Against this strong backdrop, the Federal Open Market Committee (“FOMC”) held its June meeting where, as expected, it kept rates unchanged. But the surprise came from the quarterly Summary of Economic Projections, which showed that FOMC participants now see upside risks to inflation at the highest levels in over a decade. This shift in the distribution of risk around inflation resulted in a surprise two-hike increase in their median fed funds rate forecast for 2023.
Our interpretation is that the U.S. Federal Reserve (“Fed”) is willing to be patient in reaching its dual mandate, but not irresponsible. Since the June meeting, 5-year forward Treasury Inflation-Protected Securities (“TIPS”) breakeven rates have fallen by about 0.25% as the market priced out a scenario in which the Fed lets inflation run too hot. This reassessment of the Fed’s reaction function led to a material decline in interest rates over the quarter. In the long run, keeping inflation expectations in check buys the central bank more time to keep policy accommodative.
Looking ahead, we are assessing the potential consequences of a slowdown in U.S. economic activity. Second quarter U.S. gross domestic product (“GDP”) is on track to show 8-9% annualized growth, after which we expect sequential growth could slow heading into 2022. Base effects from last year’s trough in activity could fade, as might the fiscal impulse over time. The impact of reopening businesses will also shrink. This natural slowdown in activity as we move through peak growth could present challenges if growth slows more than expected.
Inflation could fall given that much of the recent increase is coming from categories suffering temporary supply chain disruptions. Price pressures have materialized in sectors directly affected by the pandemic, such as hotels, airfares, and car rentals, where demand has bounced back faster than supply. Shortages in areas such as semiconductors and building materials are caused by factories and transportation abroad that have not returned to full capacity. As these factors are resolved and supply comes back online, a decline in inflation prints and inflation expectations over the next several quarters may prompt a rethink of the FOMC’s forecasted hikes.
The Fed may commence tapering asset purchases in 2022, but we continue to believe rate hikes will likely get pushed as far as 2025 as inflation cools and the Fed targets a historically tight labor market. This patience by the Fed would support credit conditions, which could mean low default volumes and positive risk-adjusted returns. Real U.S. interest rates could remain deeply negative, further supporting the credit sector as income-seeking investors search for yield.
For the six-month period ended June 30, 2021, the S&P 500® Index* returned 15.25%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 8.83%. The return of the MSCI Emerging Markets Index* was 7.45%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -1.60% return for the six-month period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 3.62%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.02% 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.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2021 |
*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. Long Treasury Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of 10 or more years, are rated investment grade, and have $250 million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars and must be fixed rate and nonconvertible. The Long U.S. Treasury Index is market capitalization weighted and the securities in the index are updated on the last business day of each month.
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.
Dow Jones Industrial Average® is a price-weighted average of 30 significant stocks traded on the New York Stock Exchange and the Nasdaq. The DJIA was invented by Charles Dow in 1896.
ICE 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.
NASDAQ-100® Index includes 100 of the largest domestic and international non-financial securities listed on The Nasdaq Stock Market based on market capitalization. The Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology. It does not contain securities of financial companies including investment companies.
Russell 2000® Index measures the performance of the small-cap value segment of the U.S. equity universe.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
S&P MidCap 400® Index provides investors with a benchmark for mid-sized companies. The index covers approximately 7% of the U.S. equity market, and seeks to remain an accurate measure of mid-sized companies, reflecting the risk and return characteristics of the broader mid-cap universe on an on-going basis.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
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
Level | Index
Performance | Fund
Expectation | Fund
NAV | Fund
Performance | Assessment |
Start | 100 | | | $ 10.00 | | |
Day 1 | 106 | 6.0% | 9.0% | $ 10.90 | 9.0% | In line |
Day 2 | 99 | -6.6% | -9.9% | $ 9.82 | -9.9% | In line |
Cumulative | | -1.0% | -1.5% | | -1.8% | -0.3% |
As illustrated by this simple example, the effect of leverage can make it difficult to form expectations or judgments about fund performance given only the returns of the unleveraged index.
Because certain funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are 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.
6 | 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, 2020 and ending June 30, 2021.
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 | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
December 31, 2020 | Ending
Account Value
June 30, 2021 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | | | |
Nova Fund | 1.56% | 22.12% | $ 1,000.00 | $ 1,221.20 | $ 8.59 |
Inverse S&P 500® Strategy Fund | 1.73% | (13.90%) | 1,000.00 | 861.00 | 7.98 |
NASDAQ-100® Fund | 1.62% | 12.53% | 1,000.00 | 1,125.30 | 8.54 |
Inverse NASDAQ-100® Strategy Fund | 1.74% | (14.31%) | 1,000.00 | 856.90 | 8.01 |
S&P 500® 2x Strategy Fund | 1.73% | 29.92% | 1,000.00 | 1,299.20 | 9.86 |
NASDAQ-100® 2x Strategy Fund | 1.77% | 24.34% | 1,000.00 | 1,243.40 | 9.85 |
Mid-Cap 1.5x Strategy Fund | 1.70% | 25.60% | 1,000.00 | 1,256.00 | 9.51 |
Inverse Mid-Cap Strategy Fund | 1.70% | (16.88%) | 1,000.00 | 831.20 | 7.72 |
Russell 2000® 2x Strategy Fund | 1.76% | 33.69% | 1,000.00 | 1,336.90 | 10.20 |
Russell 2000® 1.5x Strategy Fund | 1.73% | 25.22% | 1,000.00 | 1,252.20 | 9.66 |
Inverse Russell 2000® Strategy Fund | 1.74% | (17.88%) | 1,000.00 | 821.20 | 7.86 |
Dow 2x Strategy Fund | 1.73% | 27.08% | 1,000.00 | 1,270.80 | 9.74 |
Inverse Dow 2x Strategy Fund | 1.72% | (24.87%) | 1,000.00 | 751.30 | 7.47 |
Government Long Bond 1.2x Strategy Fund | 1.29% | (12.06%) | 1,000.00 | 879.40 | 6.01 |
Inverse Government Long Bond Strategy Fund | 3.45% | 8.45% | 1,000.00 | 1,084.50 | 17.83 |
High Yield Strategy Fund | 1.55% | 1.91% | 1,000.00 | 1,019.10 | 7.76 |
U.S. Government Money Market Fund | 0.08% | 0.00% | 1,000.00 | 1,000.00 | 0.40 |
|
Table 2. Based on hypothetical 5% return (before expenses) | | | | |
Nova Fund | 1.56% | 5.00% | $ 1,000.00 | $ 1,017.06 | $ 7.80 |
Inverse S&P 500® Strategy Fund | 1.73% | 5.00% | 1,000.00 | 1,016.22 | 8.65 |
NASDAQ-100® Fund | 1.62% | 5.00% | 1,000.00 | 1,016.76 | 8.10 |
Inverse NASDAQ-100® Strategy Fund | 1.74% | 5.00% | 1,000.00 | 1,016.17 | 8.70 |
S&P 500® 2x Strategy Fund | 1.73% | 5.00% | 1,000.00 | 1,016.22 | 8.65 |
NASDAQ-100® 2x Strategy Fund | 1.77% | 5.00% | 1,000.00 | 1,016.02 | 8.85 |
Mid-Cap 1.5x Strategy Fund | 1.70% | 5.00% | 1,000.00 | 1,016.36 | 8.50 |
Inverse Mid-Cap Strategy Fund | 1.70% | 5.00% | 1,000.00 | 1,016.36 | 8.50 |
Russell 2000® 2x Strategy Fund | 1.76% | 5.00% | 1,000.00 | 1,016.07 | 8.80 |
Russell 2000® 1.5x Strategy Fund | 1.73% | 5.00% | 1,000.00 | 1,016.22 | 8.65 |
Inverse Russell 2000® Strategy Fund | 1.74% | 5.00% | 1,000.00 | 1,016.17 | 8.70 |
Dow 2x Strategy Fund | 1.73% | 5.00% | 1,000.00 | 1,016.22 | 8.65 |
Inverse Dow 2x Strategy Fund | 1.72% | 5.00% | 1,000.00 | 1,016.27 | 8.60 |
Government Long Bond 1.2x Strategy Fund | 1.29% | 5.00% | 1,000.00 | 1,018.40 | 6.46 |
Inverse Government Long Bond Strategy Fund | 3.45% | 5.00% | 1,000.00 | 1,007.69 | 17.17 |
High Yield Strategy Fund | 1.55% | 5.00% | 1,000.00 | 1,017.11 | 7.75 |
U.S. Government Money Market Fund | 0.08% | 5.00% | 1,000.00 | 1,024.40 | 0.40 |
1 | This ratio represents annualized net expenses, which includes 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 1.68%. 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, 2020 to June 30, 2021. |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 | 9.0% |
Apple, Inc. | 4.7% |
Microsoft Corp. | 4.5% |
Amazon.com, Inc. | 3.3% |
Facebook, Inc. — Class A | 1.8% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 1.7% |
Alphabet, Inc. — Class A | 1.6% |
Alphabet, Inc. — Class C | 1.6% |
Berkshire Hathaway, Inc. — Class B | 1.2% |
Tesla, Inc. | 1.2% |
Top Ten Total | 30.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Nova Fund | 22.12% | 63.10% | 22.78% | 19.05% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
NOVA FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 80.0% |
| | | | | | | | | |
Technology - 18.5% |
Apple, Inc. | | | 17,331 | | | $ | 2,373,654 | |
Microsoft Corp. | | | 8,321 | | | | 2,254,159 | |
NVIDIA Corp. | | | 688 | | | | 550,469 | �� |
Adobe, Inc.* | | | 528 | | | | 309,218 | |
Intel Corp. | | | 4,461 | | | | 250,440 | |
salesforce.com, Inc.* | | | 1,023 | | | | 249,888 | |
Broadcom, Inc. | | | 451 | | | | 215,055 | |
Accenture plc — Class A | | | 702 | | | | 206,942 | |
Texas Instruments, Inc. | | | 1,020 | | | | 196,146 | |
QUALCOMM, Inc. | | | 1,246 | | | | 178,091 | |
Oracle Corp. | | | 2,007 | | | | 156,225 | |
Intuit, Inc. | | | 302 | | | | 148,031 | |
International Business Machines Corp. | | | 987 | | | | 144,684 | |
Applied Materials, Inc. | | | 1,014 | | | | 144,394 | |
Advanced Micro Devices, Inc.* | | | 1,342 | | | | 126,054 | |
ServiceNow, Inc.* | | | 218 | | | | 119,802 | |
Micron Technology, Inc.* | | | 1,239 | | | | 105,290 | |
Lam Research Corp. | | | 158 | | | | 102,811 | |
Fidelity National Information Services, Inc. | | | 685 | | | | 97,044 | |
Activision Blizzard, Inc. | | | 858 | | | | 81,888 | |
Autodesk, Inc.* | | | 243 | | | | 70,932 | |
Fiserv, Inc.* | | | 658 | | | | 70,334 | |
Analog Devices, Inc. | | | 407 | | | | 70,069 | |
NXP Semiconductor N.V. | | | 305 | | | | 62,745 | |
KLA Corp. | | | 169 | | | | 54,791 | |
Roper Technologies, Inc. | | | 116 | | | | 54,543 | |
MSCI, Inc. — Class A | | | 91 | | | | 48,510 | |
Synopsys, Inc.* | | | 169 | | | | 46,608 | |
Electronic Arts, Inc. | | | 316 | | | | 45,450 | |
Microchip Technology, Inc. | | | 302 | | | | 45,221 | |
Cadence Design Systems, Inc.* | | | 307 | | | | 42,004 | |
Cognizant Technology Solutions Corp. — Class A | | | 583 | | | | 40,378 | |
HP, Inc. | | | 1,327 | | | | 40,062 | |
Xilinx, Inc. | | | 272 | | | | 39,342 | |
Paychex, Inc. | | | 354 | | | | 37,984 | |
Fortinet, Inc.* | | | 150 | | | | 35,728 | |
Skyworks Solutions, Inc. | | | 182 | | | | 34,898 | |
ANSYS, Inc.* | | | 96 | | | | 33,318 | |
Zebra Technologies Corp. — Class A* | | | 59 | | | | 31,240 | |
Maxim Integrated Products, Inc. | | | 296 | | | | 31,186 | |
Cerner Corp. | | | 333 | | | | 26,027 | |
Teradyne, Inc. | | | 184 | | | | 24,649 | |
Qorvo, Inc.* | | | 124 | | | | 24,261 | |
Western Digital Corp.* | | | 339 | | | | 24,127 | |
Take-Two Interactive Software, Inc.* | | | 128 | | | | 22,659 | |
Hewlett Packard Enterprise Co. | | | 1,443 | | | | 21,039 | |
Akamai Technologies, Inc.* | | | 180 | | | | 20,988 | |
Broadridge Financial Solutions, Inc. | | | 128 | | | | 20,676 | |
Tyler Technologies, Inc.* | | | 45 | | | | 20,357 | |
NetApp, Inc. | | | 246 | | | | 20,128 | |
Paycom Software, Inc.* | | | 54 | | | | 19,627 | |
Seagate Technology Holdings plc | | | 220 | | | | 19,345 | |
Monolithic Power Systems, Inc. | | | 48 | | | | 17,926 | |
PTC, Inc.* | | | 116 | | | | 16,386 | |
Citrix Systems, Inc. | | | 137 | | | | 16,066 | |
Leidos Holdings, Inc. | | | 147 | | | | 14,862 | |
Jack Henry & Associates, Inc. | | | 82 | | | | 13,408 | |
DXC Technology Co.* | | | 282 | | | | 10,981 | |
IPG Photonics Corp.* | | | 40 | | | | 8,431 | |
Total Technology | | | | | | | 9,307,571 | |
| | | | | | | | | |
Consumer, Non-cyclical - 16.0% |
Johnson & Johnson | | | 2,909 | | | | 479,229 | |
UnitedHealth Group, Inc. | | | 1,043 | | | | 417,659 | |
PayPal Holdings, Inc.* | | | 1,298 | | | | 378,341 | |
Procter & Gamble Co. | | | 2,705 | | | | 364,986 | |
Pfizer, Inc. | | | 6,185 | | | | 242,204 | |
Coca-Cola Co. | | | 4,287 | | | | 231,970 | |
Abbott Laboratories | | | 1,963 | | | | 227,571 | |
PepsiCo, Inc. | | | 1,526 | | | | 226,107 | |
AbbVie, Inc. | | | 1,951 | | | | 219,761 | |
Thermo Fisher Scientific, Inc. | | | 434 | | | | 218,940 | |
Merck & Company, Inc. | | | 2,798 | | | | 217,600 | |
Eli Lilly & Co. | | | 879 | | | | 201,748 | |
Danaher Corp. | | | 701 | | | | 188,120 | |
Medtronic plc | | | 1,486 | | | | 184,457 | |
Philip Morris International, Inc. | | | 1,722 | | | | 170,667 | |
Bristol-Myers Squibb Co. | | | 2,468 | | | | 164,912 | |
Amgen, Inc. | | | 635 | | | | 154,781 | |
CVS Health Corp. | | | 1,455 | | | | 121,405 | |
Intuitive Surgical, Inc.* | | | 131 | | | | 120,473 | |
S&P Global, Inc. | | | 266 | | | | 109,180 | |
Anthem, Inc. | | | 271 | | | | 103,468 | |
Zoetis, Inc. | | | 525 | | | | 97,839 | |
Altria Group, Inc. | | | 2,045 | | | | 97,506 | |
Mondelez International, Inc. — Class A | | | 1,552 | | | | 96,907 | |
Gilead Sciences, Inc. | | | 1,386 | | | | 95,440 | |
Stryker Corp. | | | 362 | | | | 94,022 | |
Automatic Data Processing, Inc. | | | 470 | | | | 93,351 | |
Cigna Corp. | | | 379 | | | | 89,849 | |
Estee Lauder Companies, Inc. — Class A | | | 256 | | | | 81,428 | |
Becton Dickinson and Co. | | | 321 | | | | 78,064 | |
Illumina, Inc.* | | | 161 | | | | 76,187 | |
Colgate-Palmolive Co. | | | 935 | | | | 76,062 | |
Edwards Lifesciences Corp.* | | | 687 | | | | 71,153 | |
Boston Scientific Corp.* | | | 1,570 | | | | 67,133 | |
Regeneron Pharmaceuticals, Inc.* | | | 116 | | | | 64,791 | |
Moody’s Corp. | | | 178 | | | | 64,502 | |
Humana, Inc. | | | 143 | | | | 63,309 | |
Global Payments, Inc. | | | 326 | | | | 61,138 | |
HCA Healthcare, Inc. | | | 290 | | | | 59,955 | |
IDEXX Laboratories, Inc.* | | | 94 | | | | 59,366 | |
Vertex Pharmaceuticals, Inc.* | | | 286 | | | | 57,666 | |
Biogen, Inc.* | | | 166 | | | | 57,481 | |
IQVIA Holdings, Inc.* | | | 212 | | | | 51,372 | |
Kimberly-Clark Corp. | | | 373 | | | | 49,900 | |
Align Technology, Inc.* | | | 80 | | | | 48,880 | |
Centene Corp.* | | | 644 | | | | 46,967 | |
IHS Markit Ltd. | | | 414 | | | | 46,641 | |
DexCom, Inc.* | | | 107 | | | | 45,689 | |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
NOVA FUND | |
| | Shares | | | Value | |
Alexion Pharmaceuticals, Inc.* | | | 244 | | | $ | 44,825 | |
Baxter International, Inc. | | | 556 | | | | 44,758 | |
Sysco Corp. | | | 565 | | | | 43,929 | |
Constellation Brands, Inc. — Class A | | | 187 | | | | 43,737 | |
General Mills, Inc. | | | 674 | | | | 41,067 | |
ResMed, Inc. | | | 161 | | | | 39,690 | |
Archer-Daniels-Midland Co. | | | 617 | | | | 37,390 | |
Monster Beverage Corp.* | | | 409 | | | | 37,362 | |
Cintas Corp. | | | 97 | | | | 37,054 | |
Zimmer Biomet Holdings, Inc. | | | 230 | | | | 36,989 | |
Corteva, Inc. | | | 814 | | | | 36,101 | |
McKesson Corp. | | | 175 | | | | 33,467 | |
Equifax, Inc. | | | 134 | | | | 32,094 | |
Kroger Co. | | | 836 | | | | 32,027 | |
Verisk Analytics, Inc. — Class A | | | 179 | | | | 31,275 | |
Laboratory Corporation of America Holdings* | | | 108 | | | | 29,792 | |
West Pharmaceutical Services, Inc. | | | 82 | | | | 29,446 | |
Kraft Heinz Co. | | | 716 | | | | 29,198 | |
Hershey Co. | | | 162 | | | | 28,217 | |
United Rentals, Inc.* | | | 80 | | | | 25,521 | |
Clorox Co. | | | 137 | | | | 24,648 | |
McCormick & Company, Inc. | | | 275 | | | | 24,288 | |
Tyson Foods, Inc. — Class A | | | 326 | | | | 24,046 | |
FleetCor Technologies, Inc.* | | | 92 | | | | 23,558 | |
Church & Dwight Company, Inc. | | | 271 | | | | 23,094 | |
Gartner, Inc.* | | | 95 | | | | 23,009 | |
STERIS plc | | | 108 | | | | 22,280 | |
Cooper Companies, Inc. | | | 54 | | | | 21,399 | |
Teleflex, Inc. | | | 52 | | | | 20,893 | |
Charles River Laboratories International, Inc.* | | | 56 | | | | 20,715 | |
Catalent, Inc.* | | | 188 | | | | 20,326 | |
MarketAxess Holdings, Inc. | | | 42 | | | | 19,471 | |
Avery Dennison Corp. | | | 92 | | | | 19,342 | |
Conagra Brands, Inc. | | | 530 | | | | 19,281 | |
PerkinElmer, Inc. | | | 124 | | | | 19,147 | |
Viatris, Inc. | | | 1,335 | | | | 19,077 | |
Quest Diagnostics, Inc. | | | 144 | | | | 19,004 | |
Hologic, Inc.* | | | 283 | | | | 18,882 | |
AmerisourceBergen Corp. — Class A | | | 163 | | | | 18,662 | |
Cardinal Health, Inc. | | | 321 | | | | 18,326 | |
Kellogg Co. | | | 278 | | | | 17,884 | |
Incyte Corp.* | | | 207 | | | | 17,415 | |
J M Smucker Co. | | | 121 | | | | 15,678 | |
ABIOMED, Inc.* | | | 50 | | | | 15,605 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 24 | | | | 15,463 | |
Dentsply Sirona, Inc. | | | 241 | | | | 15,246 | |
Brown-Forman Corp. — Class B | | | 202 | | | | 15,138 | |
Hormel Foods Corp. | | | 311 | | | | 14,850 | |
Quanta Services, Inc. | | | 154 | | | | 13,948 | |
Lamb Weston Holdings, Inc. | | | 162 | | | | 13,067 | |
Universal Health Services, Inc. — Class B | | | 86 | | | | 12,593 | |
Henry Schein, Inc.* | | | 155 | | | | 11,499 | |
Molson Coors Beverage Co. — Class B* | | | 208 | | | | 11,168 | |
Robert Half International, Inc. | | | 125 | | | | 11,121 | |
Campbell Soup Co. | | | 224 | | | | 10,212 | |
Nielsen Holdings plc | | | 396 | | | | 9,769 | |
DaVita, Inc.* | | | 77 | | | | 9,273 | |
Organon & Co.* | | | 280 | | | | 8,473 | |
Rollins, Inc. | | | 245 | | | | 8,379 | |
Perrigo Company plc | | | 148 | | | | 6,786 | |
Total Consumer, Non-cyclical | | | | | | | 8,023,131 | |
| | | | | | | | | |
Communications - 13.1% |
Amazon.com, Inc.* | | | 474 | | | | 1,630,636 | |
Facebook, Inc. — Class A* | | | 2,647 | | | | 920,388 | |
Alphabet, Inc. — Class A* | | | 332 | | | | 810,674 | |
Alphabet, Inc. — Class C* | | | 315 | | | | 789,491 | |
Walt Disney Co.* | | | 2,007 | | | | 352,770 | |
Comcast Corp. — Class A | | | 5,066 | | | | 288,863 | |
Netflix, Inc.* | | | 490 | | | | 258,823 | |
Verizon Communications, Inc. | | | 4,574 | | | | 256,281 | |
Cisco Systems, Inc. | | | 4,656 | | | | 246,768 | |
AT&T, Inc. | | | 7,889 | | | | 227,046 | |
Charter Communications, Inc. — Class A* | | | 152 | | | | 109,660 | |
Booking Holdings, Inc.* | | | 45 | | | | 98,464 | |
T-Mobile US, Inc.* | | | 647 | | | | 93,705 | |
Twitter, Inc.* | | | 882 | | | | 60,690 | |
eBay, Inc. | | | 715 | | | | 50,200 | |
Motorola Solutions, Inc. | | | 187 | | | | 40,551 | |
Corning, Inc. | | | 856 | | | | 35,010 | |
ViacomCBS, Inc. — Class B | | | 669 | | | | 30,239 | |
Etsy, Inc.* | | | 140 | | | | 28,818 | |
CDW Corp. | | | 155 | | | | 27,071 | |
Expedia Group, Inc.* | | | 156 | | | | 25,539 | |
VeriSign, Inc.* | | | 109 | | | | 24,818 | |
Arista Networks, Inc.* | | | 61 | | | | 22,101 | |
Omnicom Group, Inc. | | | 238 | | | | 19,038 | |
NortonLifeLock, Inc. | | | 641 | | | | 17,448 | |
Lumen Technologies, Inc. | | | 1,099 | | | | 14,935 | |
Interpublic Group of Companies, Inc. | | | 435 | | | | 14,133 | |
Fox Corp. — Class A | | | 361 | | | | 13,404 | |
F5 Networks, Inc.* | | | 66 | | | | 12,320 | |
DISH Network Corp. — Class A* | | | 275 | | | | 11,495 | |
News Corp. — Class A | | | 432 | | | | 11,133 | |
Juniper Networks, Inc. | | | 362 | | | | 9,901 | |
Discovery, Inc. — Class C* | | | 332 | | | | 9,621 | |
Fox Corp. — Class B | | | 168 | | | | 5,914 | |
Discovery, Inc. — Class A*,1 | | | 186 | | | | 5,707 | |
News Corp. — Class B | | | 135 | | | | 3,287 | |
Total Communications | | | | | | | 6,576,942 | |
| | | | | | | | | |
Financial - 12.2% |
Berkshire Hathaway, Inc. — Class B* | | | 2,094 | | | | 581,965 | |
JPMorgan Chase & Co. | | | 3,344 | | | | 520,126 | |
Visa, Inc. — Class A | | | 1,869 | | | | 437,010 | |
Mastercard, Inc. — Class A | | | 966 | | | | 352,677 | |
Bank of America Corp. | | | 8,332 | | | | 343,528 | |
Wells Fargo & Co. | | | 4,567 | | | | 206,839 | |
Citigroup, Inc. | | | 2,284 | | | | 161,593 | |
Morgan Stanley | | | 1,645 | | | | 150,830 | |
Goldman Sachs Group, Inc. | | | 376 | | | | 142,703 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
NOVA FUND | |
| | Shares | | | Value | |
BlackRock, Inc. — Class A | | | 157 | | | $ | 137,370 | |
American Tower Corp. — Class A REIT | | | 502 | | | | 135,610 | |
Charles Schwab Corp. | | | 1,657 | | | | 120,646 | |
American Express Co. | | | 719 | | | | 118,800 | |
Prologis, Inc. REIT | | | 817 | | | | 97,656 | |
Crown Castle International Corp. REIT | | | 477 | | | | 93,063 | |
PNC Financial Services Group, Inc. | | | 469 | | | | 89,466 | |
U.S. Bancorp | | | 1,498 | | | | 85,341 | |
CME Group, Inc. — Class A | | | 397 | | | | 84,434 | |
Truist Financial Corp. | | | 1,486 | | | | 82,473 | |
Equinix, Inc. REIT | | | 99 | | | | 79,457 | |
Marsh & McLennan Companies, Inc. | | | 562 | | | | 79,062 | |
Chubb Ltd. | | | 497 | | | | 78,993 | |
Capital One Financial Corp. | | | 499 | | | | 77,190 | |
Intercontinental Exchange, Inc. | | | 622 | | | | 73,831 | |
Progressive Corp. | | | 646 | | | | 63,444 | |
Aon plc — Class A | | | 249 | | | | 59,451 | |
Public Storage REIT | | | 168 | | | | 50,516 | |
T. Rowe Price Group, Inc. | | | 251 | | | | 49,690 | |
MetLife, Inc. | | | 822 | | | | 49,197 | |
Simon Property Group, Inc. REIT | | | 363 | | | | 47,364 | |
Digital Realty Trust, Inc. REIT | | | 311 | | | | 46,793 | |
Bank of New York Mellon Corp. | | | 891 | | | | 45,646 | |
American International Group, Inc. | | | 948 | | | | 45,125 | |
Prudential Financial, Inc. | | | 435 | | | | 44,574 | |
Allstate Corp. | | | 331 | | | | 43,176 | |
Travelers Companies, Inc. | | | 278 | | | | 41,619 | |
Discover Financial Services | | | 337 | | | | 39,864 | |
SBA Communications Corp. REIT | | | 121 | | | | 38,563 | |
Welltower, Inc. REIT | | | 461 | | | | 38,309 | |
Aflac, Inc. | | | 698 | | | | 37,455 | |
First Republic Bank | | | 194 | | | | 36,311 | |
SVB Financial Group* | | | 60 | | | | 33,386 | |
Willis Towers Watson plc | | | 142 | | | | 32,663 | |
AvalonBay Communities, Inc. REIT | | | 154 | | | | 32,138 | |
Ameriprise Financial, Inc. | | | 128 | | | | 31,857 | |
CBRE Group, Inc. — Class A* | | | 371 | | | | 31,806 | |
Arthur J Gallagher & Co. | | | 226 | | | | 31,658 | |
State Street Corp. | | | 384 | | | | 31,596 | |
Fifth Third Bancorp | | | 778 | | | | 29,743 | |
Equity Residential REIT | | | 380 | | | | 29,260 | |
Synchrony Financial | | | 598 | | | | 29,015 | |
Weyerhaeuser Co. REIT | | | 828 | | | | 28,500 | |
Alexandria Real Estate Equities, Inc. REIT | | | 152 | | | | 27,655 | |
Realty Income Corp. REIT | | | 413 | | | | 27,564 | |
Northern Trust Corp. | | | 230 | | | | 26,593 | |
Hartford Financial Services Group, Inc. | | | 395 | | | | 24,478 | |
Extra Space Storage, Inc. REIT | | | 148 | | | | 24,245 | |
Ventas, Inc. REIT | | | 414 | | | | 23,639 | |
Huntington Bancshares, Inc. | | | 1,630 | | | | 23,260 | |
Nasdaq, Inc. | | | 127 | | | | 22,327 | |
KeyCorp | | | 1,072 | | | | 22,137 | |
Citizens Financial Group, Inc. | | | 471 | | | | 21,605 | |
Essex Property Trust, Inc. REIT | | | 72 | | | | 21,601 | |
Regions Financial Corp. | | | 1,062 | | | | 21,431 | |
Mid-America Apartment Communities, Inc. REIT | | | 126 | | | | 21,221 | |
M&T Bank Corp. | | | 142 | | | | 20,634 | |
Healthpeak Properties, Inc. REIT | | | 595 | | | | 19,808 | |
Duke Realty Corp. REIT | | | 414 | | | | 19,603 | |
Cincinnati Financial Corp. | | | 166 | | | | 19,359 | |
Boston Properties, Inc. REIT | | | 157 | | | | 17,991 | |
Principal Financial Group, Inc. | | | 279 | | | | 17,630 | |
Raymond James Financial, Inc. | | | 135 | | | | 17,537 | |
UDR, Inc. REIT | | | 328 | | | | 16,066 | |
Cboe Global Markets, Inc. | | | 118 | | | | 14,048 | |
Iron Mountain, Inc. REIT | | | 319 | | | | 13,500 | |
Loews Corp. | | | 247 | | | | 13,499 | |
Host Hotels & Resorts, Inc. REIT* | | | 780 | | | | 13,330 | |
Lincoln National Corp. | | | 198 | | | | 12,442 | |
W R Berkley Corp. | | | 155 | | | | 11,537 | |
Regency Centers Corp. REIT | | | 175 | | | | 11,212 | |
Invesco Ltd. | | | 418 | | | | 11,173 | |
Everest Re Group Ltd. | | | 44 | | | | 11,088 | |
Comerica, Inc. | | | 154 | | | | 10,986 | |
Assurant, Inc. | | | 67 | | | | 10,464 | |
Western Union Co. | | | 452 | | | | 10,382 | |
Globe Life, Inc. | | | 105 | | | | 10,001 | |
Kimco Realty Corp. REIT | | | 479 | | | | 9,987 | |
Franklin Resources, Inc. | | | 301 | | | | 9,629 | |
Zions Bancorp North America | | | 181 | | | | 9,568 | |
Federal Realty Investment Trust REIT | | | 78 | | | | 9,139 | |
People’s United Financial, Inc. | | | 472 | | | | 8,090 | |
Vornado Realty Trust REIT | | | 173 | | | | 8,074 | |
Unum Group | | | 226 | | | | 6,418 | |
Total Financial | | | | | | | 6,120,333 | |
| | | | | | | | | |
Consumer, Cyclical - 7.6% |
Tesla, Inc.* | | | 851 | | | | 578,425 | |
Home Depot, Inc. | | | 1,175 | | | | 374,696 | |
NIKE, Inc. — Class B | | | 1,409 | | | | 217,676 | |
Walmart, Inc. | | | 1,517 | | | | 213,927 | |
Costco Wholesale Corp. | | | 488 | | | | 193,087 | |
McDonald’s Corp. | | | 824 | | | | 190,336 | |
Lowe’s Companies, Inc. | | | 781 | | | | 151,491 | |
Starbucks Corp. | | | 1,302 | | | | 145,577 | |
Target Corp. | | | 547 | | | | 132,232 | |
TJX Companies, Inc. | | | 1,332 | | | | 89,803 | |
General Motors Co.* | | | 1,410 | | | | 83,430 | |
Ford Motor Co.* | | | 4,332 | | | | 64,373 | |
Dollar General Corp. | | | 261 | | | | 56,478 | |
Ross Stores, Inc. | | | 394 | | | | 48,856 | |
Chipotle Mexican Grill, Inc. — Class A* | | | 31 | | | | 48,060 | |
Aptiv plc* | | | 299 | | | | 47,042 | |
O’Reilly Automotive, Inc.* | | | 77 | | | | 43,598 | |
Walgreens Boots Alliance, Inc. | | | 793 | | | | 41,720 | |
Marriott International, Inc. — Class A* | | | 295 | | | | 40,273 | |
Cummins, Inc. | | | 162 | | | | 39,497 | |
Yum! Brands, Inc. | | | 329 | | | | 37,845 | |
Hilton Worldwide Holdings, Inc.* | | | 308 | | | | 37,151 | |
AutoZone, Inc.* | | | 24 | | | | 35,813 | |
Southwest Airlines Co.* | | | 653 | | | | 34,667 | |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
NOVA FUND | |
| | Shares | | | Value | |
PACCAR, Inc. | | | 384 | | | $ | 34,272 | |
Fastenal Co. | | | 635 | | | | 33,020 | |
DR Horton, Inc. | | | 362 | | | | 32,714 | |
Delta Air Lines, Inc.* | | | 707 | | | | 30,585 | |
Copart, Inc.* | | | 230 | | | | 30,321 | |
Lennar Corp. — Class A | | | 305 | | | | 30,302 | |
VF Corp. | | | 355 | | | | 29,124 | |
Best Buy Company, Inc. | | | 246 | | | | 28,285 | |
Dollar Tree, Inc.* | | | 256 | | | | 25,472 | |
Caesars Entertainment, Inc.* | | | 231 | | | | 23,966 | |
Tractor Supply Co. | | | 127 | | | | 23,630 | |
Carnival Corp.* | | | 882 | | | | 23,249 | |
CarMax, Inc.* | | | 180 | | | | 23,247 | |
Darden Restaurants, Inc. | | | 145 | | | | 21,169 | |
WW Grainger, Inc. | | | 48 | | | | 21,024 | |
Ulta Beauty, Inc.* | | | 60 | | | | 20,746 | |
Royal Caribbean Cruises Ltd.* | | | 242 | | | | 20,638 | |
Genuine Parts Co. | | | 160 | | | | 20,235 | |
Pool Corp. | | | 44 | | | | 20,181 | |
Domino’s Pizza, Inc. | | | 43 | | | | 20,059 | |
NVR, Inc.* | | | 4 | | | | 19,893 | |
MGM Resorts International | | | 450 | | | | 19,193 | |
Las Vegas Sands Corp.* | | | 363 | | | | 19,126 | |
United Airlines Holdings, Inc.* | | | 358 | | | | 18,720 | |
L Brands, Inc. | | | 259 | | | | 18,663 | |
PulteGroup, Inc. | | | 292 | | | | 15,934 | |
LKQ Corp.* | | | 307 | | | | 15,111 | |
Whirlpool Corp. | | | 69 | | | | 15,043 | |
American Airlines Group, Inc.* | | | 709 | | | | 15,038 | |
Advance Auto Parts, Inc. | | | 72 | | | | 14,770 | |
Wynn Resorts Ltd.* | | | 116 | | | | 14,187 | |
Live Nation Entertainment, Inc.* | | | 160 | | | | 14,015 | |
Tapestry, Inc.* | | | 308 | | | | 13,392 | |
Hasbro, Inc. | | | 141 | | | | 13,327 | |
BorgWarner, Inc. | | | 265 | | | | 12,863 | |
Penn National Gaming, Inc.* | | | 164 | | | | 12,544 | |
Mohawk Industries, Inc.* | | | 65 | | | | 12,492 | |
Norwegian Cruise Line Holdings Ltd.*,1 | | | 409 | | | | 12,029 | |
Newell Brands, Inc. | | | 418 | | | | 11,483 | |
PVH Corp.* | | | 79 | | | | 8,500 | |
Alaska Air Group, Inc.* | | | 138 | | | | 8,323 | |
Gap, Inc. | | | 229 | | | | 7,706 | |
Leggett & Platt, Inc. | | | 147 | | | | 7,616 | |
Hanesbrands, Inc. | | | 386 | | | | 7,207 | |
Ralph Lauren Corp. — Class A | | | 53 | | | | 6,244 | |
Under Armour, Inc. — Class A* | | | 208 | | | | 4,399 | |
Under Armour, Inc. — Class C* | | | 217 | | | | 4,030 | |
Total Consumer, Cyclical | | | | | | | 3,800,140 | |
| | | | | | | | | |
Industrial - 6.6% |
Honeywell International, Inc. | | | 767 | | | | 168,241 | |
United Parcel Service, Inc. — Class B | | | 799 | | | | 166,168 | |
Union Pacific Corp. | | | 734 | | | | 161,429 | |
Boeing Co.* | | | 607 | | | | 145,413 | |
Raytheon Technologies Corp. | | | 1,674 | | | | 142,809 | |
Caterpillar, Inc. | | | 605 | | | | 131,666 | |
General Electric Co. | | | 9,699 | | | | 130,548 | |
3M Co. | | | 640 | | | | 127,123 | |
Deere & Co. | | | 345 | | | | 121,685 | |
Lockheed Martin Corp. | | | 270 | | | | 102,154 | |
CSX Corp. | | | 2,511 | | | | 80,553 | |
FedEx Corp. | | | 270 | | | | 80,549 | |
Norfolk Southern Corp. | | | 276 | | | | 73,253 | |
Illinois Tool Works, Inc. | | | 318 | | | | 71,092 | |
Eaton Corporation plc | | | 440 | | | | 65,199 | |
Emerson Electric Co. | | | 663 | | | | 63,807 | |
Waste Management, Inc. | | | 429 | | | | 60,107 | |
Northrop Grumman Corp. | | | 165 | | | | 59,966 | |
Johnson Controls International plc | | | 792 | | | | 54,355 | |
Agilent Technologies, Inc. | | | 335 | | | | 49,516 | |
TE Connectivity Ltd. | | | 365 | | | | 49,352 | |
L3Harris Technologies, Inc. | | | 226 | | | | 48,850 | |
Trane Technologies plc | | | 264 | | | | 48,613 | |
General Dynamics Corp. | | | 253 | | | | 47,630 | |
Amphenol Corp. — Class A | | | 660 | | | | 45,151 | |
Parker-Hannifin Corp. | | | 143 | | | | 43,917 | |
Carrier Global Corp. | | | 902 | | | | 43,837 | |
TransDigm Group, Inc.* | | | 61 | | | | 39,485 | |
Rockwell Automation, Inc. | | | 128 | | | | 36,611 | |
Stanley Black & Decker, Inc. | | | 178 | | | | 36,488 | |
Otis Worldwide Corp. | | | 446 | | | | 36,469 | |
Mettler-Toledo International, Inc.* | | | 26 | | | | 36,019 | |
AMETEK, Inc. | | | 255 | | | | 34,042 | |
Keysight Technologies, Inc.* | | | 204 | | | | 31,500 | |
Ball Corp. | | | 363 | | | | 29,410 | |
Generac Holdings, Inc.* | | | 70 | | | | 29,061 | |
Kansas City Southern | | | 100 | | | | 28,337 | |
Old Dominion Freight Line, Inc. | | | 105 | | | | 26,649 | |
Fortive Corp. | | | 374 | | | | 26,083 | |
Republic Services, Inc. — Class A | | | 233 | | | | 25,633 | |
Vulcan Materials Co. | | | 147 | | | | 25,588 | |
Martin Marietta Materials, Inc. | | | 69 | | | | 24,275 | |
Garmin Ltd. | | | 166 | | | | 24,010 | |
Dover Corp. | | | 159 | | | | 23,945 | |
Xylem, Inc. | | | 199 | | | | 23,872 | |
Expeditors International of Washington, Inc. | | | 187 | | | | 23,674 | |
Waters Corp.* | | | 68 | | | | 23,501 | |
Trimble, Inc.* | | | 277 | | | | 22,667 | |
Teledyne Technologies, Inc.* | | | 51 | | | | 21,360 | |
Ingersoll Rand, Inc.* | | | 412 | | | | 20,110 | |
Amcor plc | | | 1,703 | | | | 19,516 | |
Jacobs Engineering Group, Inc. | | | 144 | | | | 19,213 | |
IDEX Corp. | | | 84 | | | | 18,484 | |
Textron, Inc. | | | 249 | | | | 17,124 | |
Masco Corp. | | | 280 | | | | 16,495 | |
Westinghouse Air Brake Technologies Corp. | | | 196 | | | | 16,131 | |
Westrock Co. | | | 294 | | | | 15,647 | |
Fortune Brands Home & Security, Inc. | | | 153 | | | | 15,240 | |
J.B. Hunt Transport Services, Inc. | | | 92 | | | | 14,991 | |
Howmet Aerospace, Inc.* | | | 432 | | | | 14,891 | |
Packaging Corporation of America | | | 105 | | | | 14,219 | |
Allegion plc | | | 99 | | | | 13,791 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
NOVA FUND | |
| | Shares | | | Value | |
CH Robinson Worldwide, Inc. | | | 147 | | | $ | 13,770 | |
Snap-on, Inc. | | | 60 | | | | 13,406 | |
Pentair plc | | | 184 | | | | 12,418 | |
A O Smith Corp. | | | 149 | | | | 10,737 | |
Sealed Air Corp. | | | 168 | | | | 9,954 | |
Huntington Ingalls Industries, Inc. | | | 44 | | | | 9,273 | |
Total Industrial | | | | | | | 3,297,072 | |
| | | | | | | | | |
Energy - 2.3% |
Exxon Mobil Corp. | | | 4,677 | | | | 295,025 | |
Chevron Corp. | | | 2,135 | | | | 223,620 | |
ConocoPhillips | | | 1,491 | | | | 90,802 | |
EOG Resources, Inc. | | | 645 | | | | 53,819 | |
Schlumberger N.V. | | | 1,545 | | | | 49,455 | |
Marathon Petroleum Corp. | | | 706 | | | | 42,657 | |
Pioneer Natural Resources Co. | | | 256 | | | | 41,605 | |
Phillips 66 | | | 484 | | | | 41,537 | |
Kinder Morgan, Inc. | | | 2,152 | | | | 39,231 | |
Williams Companies, Inc. | | | 1,342 | | | | 35,630 | |
Valero Energy Corp. | | | 452 | | | | 35,292 | |
Occidental Petroleum Corp. | | | 928 | | | | 29,019 | |
Enphase Energy, Inc.* | | | 150 | | | | 27,544 | |
ONEOK, Inc. | | | 492 | | | | 27,375 | |
Hess Corp. | | | 303 | | | | 26,458 | |
Halliburton Co. | | | 983 | | | | 22,727 | |
Devon Energy Corp. | | | 658 | | | | 19,207 | |
Diamondback Energy, Inc. | | | 200 | | | | 18,778 | |
Baker Hughes Co. | | | 804 | | | | 18,388 | |
Marathon Oil Corp. | | | 871 | | | | 11,863 | |
APA Corp. | | | 418 | | | | 9,041 | |
Cabot Oil & Gas Corp. — Class A | | | 442 | | | | 7,717 | |
NOV, Inc.* | | | 432 | | | | 6,618 | |
Total Energy | | | | | | | 1,173,408 | |
| | | | | | | | | |
Utilities - 2.0% |
NextEra Energy, Inc. | | | 2,167 | | | | 158,798 | |
Duke Energy Corp. | | | 850 | | | | 83,912 | |
Southern Co. | | | 1,170 | | | | 70,797 | |
Dominion Energy, Inc. | | | 891 | | | | 65,551 | |
Exelon Corp. | | | 1,080 | | | | 47,855 | |
American Electric Power Company, Inc. | | | 552 | | | | 46,694 | |
Sempra Energy | | | 348 | | | | 46,103 | |
Xcel Energy, Inc. | | | 595 | | | | 39,199 | |
Public Service Enterprise Group, Inc. | | | 558 | | | | 33,335 | |
WEC Energy Group, Inc. | | | 349 | | | | 31,044 | |
American Water Works Company, Inc. | | | 200 | | | | 30,826 | |
Eversource Energy | | | 379 | | | | 30,411 | |
DTE Energy Co. | | | 214 | | | | 27,734 | |
Consolidated Edison, Inc. | | | 379 | | | | 27,182 | |
Edison International | | | 419 | | | | 24,227 | |
PPL Corp. | | | 850 | | | | 23,774 | |
Ameren Corp. | | | 282 | | | | 22,571 | |
FirstEnergy Corp. | | | 601 | | | | 22,363 | |
Entergy Corp. | | | 222 | | | | 22,133 | |
AES Corp. | | | 736 | | | | 19,187 | |
CMS Energy Corp. | | | 320 | | | | 18,906 | |
CenterPoint Energy, Inc. | | | 641 | | | | 15,717 | |
Alliant Energy Corp. | | | 276 | | | | 15,390 | |
Evergy, Inc. | | | 253 | | | | 15,289 | |
Atmos Energy Corp. | | | 144 | | | | 13,840 | |
NRG Energy, Inc. | | | 270 | | | | 10,881 | |
NiSource, Inc. | | | 433 | | | | 10,608 | |
Pinnacle West Capital Corp. | | | 125 | | | | 10,246 | |
Total Utilities | | | | | | | 984,573 | |
| | | | | | | | | |
Basic Materials - 1.7% |
Linde plc | | | 575 | | | | 166,232 | |
Sherwin-Williams Co. | | | 264 | | | | 71,927 | |
Air Products and Chemicals, Inc. | | | 245 | | | | 70,482 | |
Freeport-McMoRan, Inc. | | | 1,619 | | | | 60,081 | |
Ecolab, Inc. | | | 275 | | | | 56,642 | |
Newmont Corp. | | | 885 | | | | 56,092 | |
Dow, Inc. | | | 825 | | | | 52,206 | |
DuPont de Nemours, Inc. | | | 588 | | | | 45,517 | |
PPG Industries, Inc. | | | 262 | | | | 44,480 | |
International Flavors & Fragrances, Inc. | | | 275 | | | | 41,085 | |
Nucor Corp. | | | 331 | | | | 31,753 | |
LyondellBasell Industries N.V. — Class A | | | 284 | | | | 29,215 | |
International Paper Co. | | | 433 | | | | 26,547 | |
Albemarle Corp. | | | 129 | | | | 21,731 | |
Celanese Corp. — Class A | | | 124 | | | | 18,798 | |
Eastman Chemical Co. | | | 151 | | | | 17,629 | |
FMC Corp. | | | 142 | | | | 15,364 | |
CF Industries Holdings, Inc. | | | 237 | | | | 12,194 | |
Mosaic Co. | | | 382 | | | | 12,190 | |
Total Basic Materials | | | | | | | 850,165 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $35,498,638) | | | | | | | 40,133,335 | |
| | | | | | | | | |
MUTUAL FUNDS† - 10.7% |
Guggenheim Strategy Fund II2 | | | 180,859 | | | | 4,519,671 | |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 86,255 | | | | 859,967 | |
Total Mutual Funds | | | | |
(Cost $5,314,213) | | | | | | | 5,379,638 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 3.6% |
U.S. Treasury Bills |
0.04% due 12/09/213,4 | | $ | 1,300,000 | | | | 1,299,695 | |
0.01% due 08/03/214 | | | 509,000 | | | | 508,978 | |
Total U.S. Treasury Bills | | | | |
(Cost $1,808,775) | | | | | | | 1,808,673 | |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
NOVA FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,5 - 4.2% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/213 | | $ | 1,173,427 | | | $ | 1,173,427 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/213 | | | 461,977 | | | | 461,977 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/213 | | | 452,919 | | | | 452,919 | |
Total Repurchase Agreements | | | | |
(Cost $2,088,323) | | | | | | | 2,088,323 | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,6 - 0.0% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%7 | | | 13,336 | | | | 13,336 | |
Total Securities Lending Collateral | | | | |
(Cost $13,336) | | | | | | | 13,336 | |
| | | | | | | | | |
Total Investments - 98.5% | | | | |
(Cost $44,723,285) | | $ | 49,423,305 | |
Other Assets & Liabilities, net - 1.5% | | | 756,786 | |
Total Net Assets - 100.0% | | $ | 50,180,091 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay
(Receive) | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Barclays Bank plc | S&P 500 Index | 0.54% (1 Week USD LIBOR + 0.45%) | At Maturity | | | 07/14/21 | | | | 2,940 | | | $ | 12,632,924 | | | $ | 319,929 | |
Goldman Sachs International | S&P 500 Index | 0.54% (1 Week USD LIBOR + 0.45%) | At Maturity | | | 07/15/21 | | | | 2,773 | | | | 11,914,904 | | | | 251,577 | |
BNP Paribas | S&P 500 Index | 0.64% (1 Month USD LIBOR + 0.55%) | At Maturity | | | 07/15/21 | | | | 2,464 | | | | 10,587,428 | | | | 221,742 | |
| | | | | | | | | | | | | | $ | 35,135,256 | | | $ | 793,248 | |
* | 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 on loan at June 30, 2021 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2021. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 6. |
6 | Securities lending collateral — See Note 7. |
7 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | LIBOR — London Interbank Offered Rate |
| | 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 | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
NOVA FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 40,133,335 | | | $ | — | | | $ | — | | | $ | 40,133,335 | |
Mutual Funds | | | 5,379,638 | | | | — | | | | — | | | | 5,379,638 | |
U.S. Treasury Bills | | | — | | | | 1,808,673 | | | | — | | | | 1,808,673 | |
Repurchase Agreements | | | — | | | | 2,088,323 | | | | — | | | | 2,088,323 | |
Securities Lending Collateral | | | 13,336 | | | | — | | | | — | | | | 13,336 | |
Equity Index Swap Agreements** | | | — | | | | 793,248 | | | | — | | | | 793,248 | |
Total Assets | | $ | 45,526,309 | | | $ | 4,690,244 | | | $ | — | | | $ | 50,216,553 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 5,480,042 | | | $ | 33,450 | | | $ | (1,000,000 | ) | | $ | 3,763 | | | $ | 2,416 | | | $ | 4,519,671 | | | | 180,859 | | | $ | 33,982 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 6,345,237 | | | | 10,034,608 | | | | (15,500,000 | ) | | | 43,831 | | | | (63,709 | ) | | | 859,967 | | | | 86,255 | | | | 34,944 | |
| | | $ | 11,825,279 | | | $ | 10,068,058 | | | $ | (16,500,000 | ) | | $ | 47,594 | | | $ | (61,293 | ) | | $ | 5,379,638 | | | | | | | $ | 68,926 | |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value - including $13,264 of securities loaned (cost $37,320,749) | | $ | 41,955,344 | |
Investments in affiliated issuers, at value (cost $5,314,213) | | | 5,379,638 | |
Repurchase agreements, at value (cost $2,088,323) | | | 2,088,323 | |
Cash | | | 121 | |
Unrealized appreciation on OTC swap agreements | | | 793,248 | |
Receivables: |
Swap settlement | | | 67,810 | |
Dividends | | | 30,922 | |
Fund shares sold | | | 11,571 | |
Securities lending income | | | 3 | |
Interest | | | 3 | |
Total assets | | | 50,326,983 | |
| | | | | |
Liabilities: |
Payable for: |
Management fees | | | 32,051 | |
Return of securities lending collateral | | | 13,336 | |
Transfer agent and administrative fees | | | 11,612 | |
Investor service fees | | | 10,792 | |
Securities purchased | | | 6,617 | |
Portfolio accounting fees | | | 4,317 | |
Trustees’ fees* | | | 479 | |
Fund shares redeemed | | | 447 | |
Miscellaneous | | | 67,241 | |
Total liabilities | | | 146,892 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 50,180,091 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 38,467,635 | |
Total distributable earnings (loss) | | | 11,712,456 | |
Net assets | | $ | 50,180,091 | |
Capital shares outstanding | | | 283,895 | |
Net asset value per share | | $ | 176.76 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $28) | | $ | 180,201 | |
Dividends from securities of affiliated issuers | | | 68,926 | |
Interest | | | 4,313 | |
Income from securities lending, net | | | 35 | |
Total investment income | | | 253,475 | |
| | | | | |
Expenses: |
Management fees | | | 172,611 | |
Investor service fees | | | 57,537 | |
Transfer agent and administrative fees | | | 75,041 | |
Professional fees | | | 32,524 | |
Portfolio accounting fees | | | 23,015 | |
Trustees’ fees* | | | 4,168 | |
Custodian fees | | | 3,233 | |
Miscellaneous | | | 1,048 | |
Total expenses | | | 369,177 | |
Less: |
Expenses waived by Adviser | | | (9,228 | ) |
Net expenses | | | 359,949 | |
Net investment loss | | | (106,474 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 481,004 | |
Investments in affiliated issuers | | | 47,594 | |
Swap agreements | | | 4,726,658 | |
Futures contracts | | | 168,521 | |
Net realized gain | | | 5,423,777 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 2,196,448 | |
Investments in affiliated issuers | | | (61,293 | ) |
Swap agreements | | | 578,986 | |
Net change in unrealized appreciation (depreciation) | | | 2,714,141 | |
Net realized and unrealized gain | | | 8,137,918 | |
Net increase in net assets resulting from operations | | $ | 8,031,444 | |
* | 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 | 17 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (106,474 | ) | | $ | (79,267 | ) |
Net realized gain on investments | | | 5,423,777 | | | | 4,291,155 | |
Net change in unrealized appreciation (depreciation) on investments | | | 2,714,141 | | | | 2,265,917 | |
Net increase in net assets resulting from operations | | | 8,031,444 | | | | 6,477,805 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (3,551,997 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 103,306,261 | | | | 167,327,213 | |
Distributions reinvested | | | — | | | | 3,551,997 | |
Cost of shares redeemed | | | (106,849,752 | ) | | | (164,658,311 | ) |
Net increase (decrease) from capital share transactions | | | (3,543,491 | ) | | | 6,220,899 | |
Net increase in net assets | | | 4,487,953 | | | | 9,146,707 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 45,692,138 | | | | 36,545,431 | |
End of period | | $ | 50,180,091 | | | $ | 45,692,138 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 642,562 | | | | 1,340,119 | |
Shares issued from reinvestment of distributions | | | — | | | | 30,137 | |
Shares redeemed | | | (674,349 | ) | | | (1,323,924 | ) |
Net increase (decrease) in shares | | | (31,787 | ) | | | 46,332 | |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 144.74 | | | $ | 135.68 | | | $ | 94.55 | | | $ | 113.00 | | | $ | 89.58 | | | $ | 77.42 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.37 | ) | | | (.30 | ) | | | .90 | | | | .83 | | | | .22 | | | | .06 | |
Net gain (loss) on investments (realized and unrealized) | | | 32.39 | | | | 24.12 | | | | 41.55 | | | | (11.15 | ) | | | 27.62 | | | | 12.10 | |
Total from investment operations | | | 32.02 | | | | 23.82 | | | | 42.45 | | | | (10.32 | ) | | | 27.84 | | | | 12.16 | |
Less distributions from: |
Net investment income | | | — | | | | (1.16 | ) | | | (1.32 | ) | | | (.21 | ) | | | (.05 | ) | | | — | |
Net realized gains | | | — | | | | (13.60 | ) | | | — | | | | (7.92 | ) | | | (4.37 | ) | | | — | |
Total distributions | | | — | | | | (14.76 | ) | | | (1.32 | ) | | | (8.13 | ) | | | (4.42 | ) | | | — | |
Net asset value, end of period | | $ | 176.76 | | | $ | 144.74 | | | $ | 135.68 | | | $ | 94.55 | | | $ | 113.00 | | | $ | 89.58 | |
|
Total Returnc | | | 22.12 | % | | | 20.03 | % | | | 45.04 | % | | | (10.32 | %) | | | 31.78 | % | | | 15.72 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 50,180 | | | $ | 45,692 | | | $ | 36,545 | | | $ | 32,309 | | | $ | 51,725 | | | $ | 38,768 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.46 | %) | | | (0.24 | %) | | | 0.77 | % | | | 0.73 | % | | | 0.22 | % | | | 0.04 | % |
Total expensesd | | | 1.60 | % | | | 1.73 | % | | | 1.72 | % | | | 1.62 | % | | | 1.61 | % | | | 1.56 | % |
Net expensese | | | 1.56 | % | | | 1.68 | % | | | 1.66 | % | | | 1.61 | % | | | 1.61 | % | | | 1.56 | % |
Portfolio turnover rate | | | 268 | % | | | 650 | % | | | 336 | % | | | 604 | % | | | 412 | % | | | 636 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | Share split — Per share amounts for the year ended December 31, 2016, have been restated to reflect a 2:1 share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 Ultra Short Duration Fund — Institutional Class | 25.7% |
Guggenheim Strategy Fund II | 14.4% |
Total | 40.1% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Inverse S&P 500® Strategy Fund | (13.90%) | (30.44%) | (16.89%) | (15.57%) |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
INVERSE S&P 500® STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 40.1% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 54,904 | | | $ | 547,388 | |
Guggenheim Strategy Fund II1 | | | 12,287 | | | | 307,047 | |
Total Mutual Funds | | | | |
(Cost $847,086) | | | | | | | 854,435 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 7.1% |
Federal Home Loan Bank |
4.00% due 12/24/30 | | $ | 50,000 | | | | 50,952 | |
3.98% due 09/21/33 | | | 50,000 | | | | 50,408 | |
Federal Farm Credit Bank |
0.13% due 11/02/21 | | | 50,000 | | | | 50,006 | |
Total Federal Agency Notes | | | | |
(Cost $152,136) | | | | | | | 151,366 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 4.7% |
U.S. Treasury Bills |
0.04% due 12/09/212,3 | | | 100,000 | | | | 99,977 | |
Total U.S. Treasury Bills | | | | |
(Cost $99,983) | | | | | | | 99,977 | |
| | | | | | | | | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,4 - 56.3% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/212 | | | 672,695 | | | | 672,695 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/212 | | | 264,839 | | | | 264,839 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/212 | | | 259,647 | | | | 259,647 | |
Total Repurchase Agreements | | | | |
(Cost $1,197,181) | | | | | | | 1,197,181 | |
| | | | | | | | | |
Total Investments - 108.2% | | | | |
(Cost $2,296,386) | | $ | 2,302,959 | |
Other Assets & Liabilities, net - (8.2)% | | | (174,697 | ) |
Total Net Assets - 100.0% | | $ | 2,128,262 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Depreciation** | |
Equity Futures Contracts Sold Short† |
S&P 500 Index Mini Futures Contracts | | | 4 | | | | Sep 2021 | | | $ | 857,300 | | | $ | (894 | ) |
Total Return Swap Agreements |
Counterparty | Index | Financing Rate
Pay (Receive) | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Depreciation | |
OTC Equity Index Swap Agreements Sold Short†† |
Goldman Sachs International | S&P 500 Index | (0.44)% (1 Week USD LIBOR + 0.35%) | At Maturity | | | 07/15/21 | | | | 55 | | | $ | 235,078 | | | $ | (2,814 | ) |
BNP Paribas | S&P 500 Index | (0.14)% (1 Month USD LIBOR + 0.05%) | At Maturity | | | 07/15/21 | | | | 56 | | | | 240,303 | | | | (3,982 | ) |
Barclays Bank plc | S&P 500 Index | (0.39)% (1 Week USD LIBOR + 0.30%) | At Maturity | | | 07/14/21 | | | | 184 | | | | 790,732 | | | | (16,236 | ) |
| | | | | | | | | | | | | | $ | 1,266,113 | | | $ | (23,032 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
INVERSE S&P 500® STRATEGY FUND | |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2021. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 6. |
| | LIBOR — London Interbank Offered Rate |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Mutual Funds | | $ | 854,435 | | | $ | — | | | $ | — | | | $ | 854,435 | |
Federal Agency Notes | | | — | | | | 151,366 | | | | — | | | | 151,366 | |
U.S. Treasury Bills | | | — | | | | 99,977 | | | | — | | | | 99,977 | |
Repurchase Agreements | | | — | | | | 1,197,181 | | | | — | | | | 1,197,181 | |
Total Assets | | $ | 854,435 | | | $ | 1,448,524 | | | $ | — | | | $ | 2,302,959 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Futures Contracts** | | $ | 894 | | | $ | — | | | $ | — | | | $ | 894 | |
Equity Index Swap Agreements** | | | — | | | | 23,032 | | | | — | | | | 23,032 | |
Total Liabilities | | $ | 894 | | | $ | 23,032 | | | $ | — | | | $ | 23,926 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
INVERSE S&P 500® STRATEGY FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 329,273 | | | $ | 3,002,408 | | | $ | (3,025,000 | ) | | $ | 180 | | | $ | 186 | | | $ | 307,047 | | | | 12,287 | | | $ | 2,440 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 306,054 | | | | 9,301,842 | | | | (9,060,000 | ) | | | 796 | | | | (1,304 | ) | | | 547,388 | | | | 54,904 | | | | 1,859 | |
| | | $ | 635,327 | | | $ | 12,304,250 | | | $ | (12,085,000 | ) | | $ | 976 | | | $ | (1,118 | ) | | $ | 854,435 | | | | | | | $ | 4,299 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
INVERSE S&P 500® STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value (cost $252,119) | | $ | 251,343 | |
Investments in affiliated issuers, at value (cost $847,086) | | | 854,435 | |
Repurchase agreements, at value (cost $1,197,181) | | | 1,197,181 | |
Segregated cash with broker | | | 44,000 | |
Receivables: |
Dividends | | | 607 | |
Interest | | | 600 | |
Total assets | | | 2,348,166 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 23,032 | |
Payable for: |
Swap settlement | | | 177,409 | |
Management fees | | | 5,228 | |
Investor service fees | | | 1,469 | |
Transfer agent and administrative fees | | | 1,287 | |
Fund shares redeemed | | | 1,108 | |
Variation margin on futures contracts | | | 900 | |
Securities purchased | | | 607 | |
Portfolio accounting fees | | | 588 | |
Trustees’ fees* | | | 58 | |
Miscellaneous | | | 8,218 | |
Total liabilities | | | 219,904 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 2,128,262 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 19,000,076 | |
Total distributable earnings (loss) | | | (16,871,814 | ) |
Net assets | | $ | 2,128,262 | |
Capital shares outstanding | | | 60,045 | |
Net asset value per share | | $ | 35.44 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 4,299 | |
Interest | | | 1,680 | |
Total investment income | | | 5,979 | |
| | | | | |
Expenses: |
Management fees | | | 28,759 | |
Investor service fees | | | 7,989 | |
Transfer agent and administrative fees | | | 10,045 | |
Portfolio accounting fees | | | 3,195 | |
Professional fees | | | 2,593 | |
Custodian fees | | | 432 | |
Trustees’ fees* | | | 418 | |
Interest expense | | | 5 | |
Miscellaneous | | | 2,537 | |
Total expenses | | | 55,973 | |
Less: |
Expenses reimbursed by Adviser | | | (294 | ) |
Expenses waived by Adviser | | | (494 | ) |
Total waived/reimbursed expenses | | | (788 | ) |
Net expenses | | | 55,185 | |
Net investment loss | | | (49,206 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (310 | ) |
Investments in affiliated issuers | | | 976 | |
Swap agreements | | | (203,668 | ) |
Futures contracts | | | (103,502 | ) |
Net realized loss | | | (306,504 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (777 | ) |
Investments in affiliated issuers | | | (1,118 | ) |
Swap agreements | | | (15,910 | ) |
Futures contracts | | | 751 | |
Net change in unrealized appreciation (depreciation) | | | (17,054 | ) |
Net realized and unrealized loss | | | (323,558 | ) |
Net decrease in net assets resulting from operations | | $ | (372,764 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE S&P 500® STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (49,206 | ) | | $ | (46,356 | ) |
Net realized loss on investments | | | (306,504 | ) | | | (1,758,745 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (17,054 | ) | | | (1,649 | ) |
Net decrease in net assets resulting from operations | | | (372,764 | ) | | | (1,806,750 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (25,202 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 538,370,194 | | | | 332,592,117 | |
Distributions reinvested | | | — | | | | 25,202 | |
Cost of shares redeemed | | | (537,276,201 | ) | | | (331,137,269 | ) |
Net increase from capital share transactions | | | 1,093,993 | | | | 1,480,050 | |
Net increase (decrease) in net assets | | | 721,229 | | | | (351,902 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 1,407,033 | | | | 1,758,935 | |
End of period | | $ | 2,128,262 | | | $ | 1,407,033 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 14,195,929 | | | | 6,862,087 | |
Shares issued from reinvestment of distributions | | | — | | | | 524 | |
Shares redeemed | | | (14,170,069 | ) | | | (6,860,240 | ) |
Net increase in shares | | | 25,860 | | | | 2,371 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
INVERSE S&P 500® STRATEGY FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 41.16 | | | $ | 55.29 | | | $ | 72.35 | | | $ | 69.60 | | | $ | 84.21 | | | $ | 95.71 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.29 | ) | | | (.48 | ) | | | .44 | | | | .41 | | | | (.11 | ) | | | (.11 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (5.43 | ) | | | (13.31 | ) | | | (16.97 | ) | | | 2.34 | | | | (14.50 | ) | | | (11.39 | ) |
Total from investment operations | | | (5.72 | ) | | | (13.79 | ) | | | (16.53 | ) | | | 2.75 | | | | (14.61 | ) | | | (11.50 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.34 | ) | | | (.53 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.34 | ) | | | (.53 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 35.44 | | | $ | 41.16 | | | $ | 55.29 | | | $ | 72.35 | | | $ | 69.60 | | | $ | 84.21 | |
|
Total Returnc | | | (13.90 | %) | | | (25.02 | %) | | | (22.91 | %) | | | 3.95 | % | | | (17.35 | %) | | | (12.01 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,128 | | | $ | 1,407 | | | $ | 1,759 | | | $ | 4,413 | | | $ | 2,573 | | | $ | 4,584 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.54 | %) | | | (0.93 | %) | | | 0.71 | % | | | 0.61 | % | | | (0.15 | %) | | | (0.69 | %) |
Total expensesd | | | 1.75 | % | | | 1.88 | % | | | 1.88 | % | | | 1.77 | % | | | 1.76 | % | | | 1.71 | % |
Net expensese | | | 1.73 | % | | | 1.83 | % | | | 1.82 | % | | | 1.76 | % | | | 1.76 | % | | | 1.71 | % |
Portfolio turnover rate | | | 1,662 | % | | | 1,417 | % | | | 442 | % | | | 540 | % | | | 100 | % | | | 311 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | Reverse share split — Per share amounts for the year ended December 31, 2016, have been restated to reflect a 1:6 reverse share split effective December 1, 2016. |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 | 15.5% |
Apple, Inc. | 8.0% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 7.4% |
Microsoft Corp. | 7.1% |
Amazon.com, Inc. | 6.0% |
Facebook, Inc. — Class A | 2.9% |
Alphabet, Inc. — Class C | 2.8% |
Tesla, Inc. | 2.8% |
NVIDIA Corp. | 2.6% |
Alphabet, Inc. — Class A | 2.6% |
Top Ten Total | 57.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
NASDAQ-100® Fund | 12.53% | 42.63% | 25.93% | 19.53% |
NASDAQ-100 Index | 13.34% | 44.36% | 28.24% | 21.53% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
NASDAQ-100® FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 72.3% |
| | | | | | | | | |
Technology - 32.4% |
Apple, Inc. | | | 69,028 | | | $ | 9,454,075 | |
Microsoft Corp. | | | 31,154 | | | | 8,439,619 | |
NVIDIA Corp. | | | 3,922 | | | | 3,137,992 | |
Adobe, Inc.* | | | 3,008 | | | | 1,761,605 | |
Intel Corp. | | | 25,417 | | | | 1,426,910 | |
Broadcom, Inc. | | | 2,570 | | | | 1,225,479 | |
Texas Instruments, Inc. | | | 5,813 | | | | 1,117,840 | |
QUALCOMM, Inc. | | | 7,100 | | | | 1,014,803 | |
Intuit, Inc. | | | 1,719 | | | | 842,602 | |
Applied Materials, Inc. | | | 5,753 | | | | 819,227 | |
Advanced Micro Devices, Inc.* | | | 7,648 | | | | 718,377 | |
Micron Technology, Inc.* | | | 7,058 | | | | 599,789 | |
Lam Research Corp. | | | 897 | | | | 583,678 | |
Zoom Video Communications, Inc. — Class A* | | | 1,487 | | | | 575,514 | |
Activision Blizzard, Inc. | | | 4,891 | | | | 466,797 | |
Fiserv, Inc.* | | | 4,197 | | | | 448,617 | |
Autodesk, Inc.* | | | 1,385 | | | | 404,282 | |
Analog Devices, Inc. | | | 2,321 | | | | 399,583 | |
NXP Semiconductor N.V. | | | 1,736 | | | | 357,130 | |
ASML Holding N.V. — Class G | | | 500 | | | | 345,420 | |
DocuSign, Inc.* | | | 1,225 | | | | 342,473 | |
KLA Corp. | | | 965 | | | | 312,863 | |
Marvell Technology, Inc. | | | 5,157 | | | | 300,808 | |
Workday, Inc. — Class A* | | | 1,190 | | | | 284,101 | |
Synopsys, Inc.* | | | 960 | | | | 264,758 | |
Electronic Arts, Inc. | | | 1,801 | | | | 259,038 | |
Microchip Technology, Inc. | | | 1,722 | | | | 257,852 | |
Paychex, Inc. | | | 2,268 | | | | 243,356 | |
Cadence Design Systems, Inc.* | | | 1,752 | | | | 239,709 | |
Cognizant Technology Solutions Corp. — Class A | | | 3,320 | | | | 229,943 | |
Xilinx, Inc. | | | 1,547 | | | | 223,758 | |
NetEase, Inc. ADR | | | 1,897 | | | | 218,629 | |
Atlassian Corporation plc — Class A* | | | 851 | | | | 218,588 | |
Skyworks Solutions, Inc. | | | 1,039 | | | | 199,228 | |
ANSYS, Inc.* | | | 549 | | | | 190,536 | |
Maxim Integrated Products, Inc. | | | 1,689 | | | | 177,953 | |
Splunk, Inc.* | | | 1,032 | | | | 149,207 | |
Cerner Corp. | | | 1,896 | | | | 148,191 | |
Check Point Software Technologies Ltd.* | | | 852 | | | | 98,943 | |
Total Technology | | | | | | | 38,499,273 | |
| | | | | | | | | |
Communications - 22.8% |
Amazon.com, Inc.* | | | 2,086 | | | | 7,176,174 | |
Facebook, Inc. — Class A* | | | 9,910 | | | | 3,445,806 | |
Alphabet, Inc. — Class C* | | | 1,338 | | | | 3,353,456 | |
Alphabet, Inc. — Class A* | | | 1,244 | | | | 3,037,587 | |
Comcast Corp. — Class A | | | 28,860 | | | | 1,645,597 | |
Netflix, Inc.* | | | 2,791 | | | | 1,474,234 | |
Cisco Systems, Inc. | | | 26,527 | | | | 1,405,931 | |
T-Mobile US, Inc.* | | | 7,848 | | | | 1,136,626 | |
Charter Communications, Inc. — Class A* | | | 1,188 | | | | 857,083 | |
Booking Holdings, Inc.* | | | 257 | | | | 562,339 | |
MercadoLibre, Inc.* | | | 313 | | | | 487,588 | |
JD.com, Inc. ADR* | | | 5,071 | | | | 404,717 | |
Baidu, Inc. ADR* | | | 1,631 | | | | 332,561 | |
Pinduoduo, Inc. ADR* | | | 2,381 | | | | 302,435 | |
eBay, Inc. | | | 4,288 | | | | 301,060 | |
Match Group, Inc.* | | | 1,701 | | | | 274,286 | |
Okta, Inc.* | | | 787 | | | | 192,563 | |
Sirius XM Holdings, Inc.1 | | | 25,750 | | | | 168,405 | |
VeriSign, Inc.* | | | 709 | | | | 161,432 | |
CDW Corp. | | | 883 | | | | 154,216 | |
Trip.com Group Ltd. ADR* | | | 3,316 | | | | 117,585 | |
Fox Corp. — Class A | | | 2,057 | | | | 76,376 | |
Fox Corp. — Class B | | | 1,593 | | | | 56,074 | |
Total Communications | | | | | | | 27,124,131 | |
| | | | | | | | | |
Consumer, Non-cyclical - 9.7% |
PayPal Holdings, Inc.* | | | 7,394 | | | | 2,155,203 | |
PepsiCo, Inc. | | | 8,697 | | | | 1,288,635 | |
Amgen, Inc. | | | 3,616 | | | | 881,400 | |
Intuitive Surgical, Inc.* | | | 745 | | | | 685,132 | |
Moderna, Inc.* | | | 2,527 | | | | 593,794 | |
Mondelez International, Inc. — Class A | | | 8,842 | | | | 552,095 | |
Gilead Sciences, Inc. | | | 7,894 | | | | 543,581 | |
Automatic Data Processing, Inc. | | | 2,678 | | | | 531,904 | |
Illumina, Inc.* | | | 919 | | | | 434,880 | |
Regeneron Pharmaceuticals, Inc.* | | | 659 | | | | 368,078 | |
IDEXX Laboratories, Inc.* | | | 537 | | | | 339,142 | |
Vertex Pharmaceuticals, Inc.* | | | 1,629 | | | | 328,455 | |
Biogen, Inc.* | | | 947 | | | | 327,918 | |
Keurig Dr Pepper, Inc. | | | 8,922 | | | | 314,411 | |
Kraft Heinz Co. | | | 7,699 | | | | 313,965 | |
Align Technology, Inc.* | | | 498 | | | | 304,278 | |
Monster Beverage Corp.* | | | 3,327 | | | | 303,921 | |
DexCom, Inc.* | | | 609 | | | | 260,043 | |
Alexion Pharmaceuticals, Inc.* | | | 1,391 | | | | 255,540 | |
Cintas Corp. | | | 661 | | | | 252,502 | |
Seagen, Inc.* | | | 1,142 | | | | 180,299 | |
Verisk Analytics, Inc. — Class A | | | 1,020 | | | | 178,215 | |
Incyte Corp.* | | | 1,384 | | | | 116,436 | |
Total Consumer, Non-cyclical | | | | | | | 11,509,827 | |
| | | | | | | | | |
Consumer, Cyclical - 6.4% |
Tesla, Inc.* | | | 4,931 | | | | 3,351,601 | |
Costco Wholesale Corp. | | | 2,786 | | | | 1,102,337 | |
Starbucks Corp. | | | 7,417 | | | | 829,295 | |
Lululemon Athletica, Inc.* | | | 787 | | | | 287,231 | |
Walgreens Boots Alliance, Inc. | | | 5,441 | | | | 286,251 | |
Marriott International, Inc. — Class A* | | | 2,050 | | | | 279,866 | |
Ross Stores, Inc. | | | 2,244 | | | | 278,256 | |
O’Reilly Automotive, Inc.* | | | 439 | | | | 248,566 | |
Peloton Interactive, Inc. — Class A* | | | 1,691 | | | | 209,718 | |
Copart, Inc.* | | | 1,489 | | | | 196,295 | |
PACCAR, Inc. | | | 2,184 | | | | 194,922 | |
Fastenal Co. | | | 3,616 | | | | 188,032 | |
Dollar Tree, Inc.* | | | 1,459 | | | | 145,170 | |
Total Consumer, Cyclical | | | | | | | 7,597,540 | |
| | | | | | | | | |
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
NASDAQ-100® FUND | |
| | Shares | | | Value | |
Utilities - 0.6% |
Exelon Corp. | | | 6,151 | | | $ | 272,551 | |
American Electric Power Company, Inc. | | | 3,145 | | | | 266,036 | |
Xcel Energy, Inc. | | | 3,388 | | | | 223,201 | |
Total Utilities | | | | | | | 761,788 | |
| | | | | | | | | |
Industrial - 0.4% |
CSX Corp. | | | 14,300 | | | | 458,744 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $47,628,828) | | | | | | | 85,951,303 | |
| | | | | | | | | |
MUTUAL FUNDS† - 22.9% |
Guggenheim Strategy Fund II2 | | | 734,813 | | | | 18,362,974 | |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 885,471 | | | | 8,828,144 | |
Total Mutual Funds | | | | |
(Cost $27,033,459) | | | | | | | 27,191,118 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 1.7% |
U.S. Treasury Bills |
0.01% due 08/03/213,4 | | $ | 1,158,000 | | | | 1,157,951 | |
0.04% due 12/09/214,5 | | | 600,000 | | | | 599,859 | |
0.03% due 08/03/214 | | | 274,000 | | | | 273,989 | |
Total U.S. Treasury Bills | | | | |
(Cost $2,031,879) | | | | | | | 2,031,799 | |
| | | | | | | | | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,6 - 3.3% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/215 | | | 2,193,814 | | | | 2,193,814 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/215 | | | 863,703 | | | | 863,703 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/215 | | | 846,767 | | | | 846,767 | |
Total Repurchase Agreements | | | | |
(Cost $3,904,284) | | | | | | | 3,904,284 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,7 - 0.1% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%8 | | | 128,095 | | | | 128,095 | |
Total Securities Lending Collateral | | | | |
(Cost $128,095) | | | | | | | 128,095 | |
| | | | | | | | | |
Total Investments - 100.3% | | | | |
(Cost $80,726,545) | | $ | 119,206,599 | |
Other Assets & Liabilities, net - (0.3)% | | | (375,610 | ) |
Total Net Assets - 100.0% | | $ | 118,830,989 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
NASDAQ-100 Index Mini Futures Contracts | | | 89 | | | | Sep 2021 | | | $ | 25,887,430 | | | $ | 975,131 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay
(Receive) | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Barclays Bank plc | NASDAQ-100 Index | 0.59% (1 Week USD LIBOR + 0.50%) | At Maturity | | | 07/14/21 | | | | 256 | | | $ | 3,719,029 | | | $ | 229,219 | |
BNP Paribas | NASDAQ-100 Index | 0.74% (1 Month USD LIBOR + 0.65%) | At Maturity | | | 07/15/21 | | | | 111 | | | | 1,613,256 | | | | 94,443 | |
Goldman Sachs International | NASDAQ-100 Index | 0.64% (1 Week USD LIBOR + 0.55%) | At Maturity | | | 07/15/21 | | | | 118 | | | | 1,713,005 | | | | 85,710 | |
| | | | | | | | | | | | | | $ | 7,045,290 | | | $ | 409,372 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
NASDAQ-100® FUND | |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 on loan at June 30, 2021 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as futures collateral at June 30, 2021. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2021. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | ADR — American Depositary Receipt |
| | LIBOR — London Interbank Offered Rate |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 85,951,303 | | | $ | — | | | $ | — | | | $ | 85,951,303 | |
Mutual Funds | | | 27,191,118 | | | | — | | | | — | | | | 27,191,118 | |
U.S. Treasury Bills | | | — | | | | 2,031,799 | | | | — | | | | 2,031,799 | |
Repurchase Agreements | | | — | | | | 3,904,284 | | | | — | | | | 3,904,284 | |
Securities Lending Collateral | | | 128,095 | | | | — | | | | — | | | | 128,095 | |
Equity Futures Contracts** | | | 975,131 | | | | — | | | | — | | | | 975,131 | |
Equity Index Swap Agreements** | | | — | | | | 409,372 | | | | — | | | | 409,372 | |
Total Assets | | $ | 114,245,647 | | | $ | 6,345,455 | | | $ | — | | | $ | 120,591,102 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
NASDAQ-100® FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 16,319,628 | | | $ | 2,024,645 | | | $ | — | | | $ | — | | | $ | 18,701 | | | $ | 18,362,974 | | | | 734,813 | | | $ | 116,230 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 13,384,160 | | | | 2,555,115 | | | | (7,100,000 | ) | | | 4,178 | | | | (15,309 | ) | | | 8,828,144 | | | | 885,471 | | | | 55,823 | |
| | | $ | 29,703,788 | | | $ | 4,579,760 | | | $ | (7,100,000 | ) | | $ | 4,178 | | | $ | 3,392 | | | $ | 27,191,118 | | | | | | | $ | 172,053 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value - including $124,110 of securities loaned (cost $49,788,802) | | $ | 88,111,197 | |
Investments in affiliated issuers, at value (cost $27,033,459) | | | 27,191,118 | |
Repurchase agreements, at value (cost $3,904,284) | | | 3,904,284 | |
Unrealized appreciation on OTC swap agreements | | | 409,372 | |
Receivables: |
Fund shares sold | | | 282,482 | |
Swap settlement | | | 236,964 | |
Dividends | | | 39,444 | |
Securities lending income | | | 19 | |
Interest | | | 5 | |
Total assets | | | 120,174,885 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 854,199 | |
Return of securities lending collateral | | | 128,095 | |
Management fees | | | 68,338 | |
Variation margin on futures contracts | | | 34,710 | |
Securities purchased | | | 28,338 | |
Transfer agent and administrative fees | | | 25,161 | |
Investor service fees | | | 23,384 | |
Portfolio accounting fees | | | 9,353 | |
Trustees’ fees* | | | 1,171 | |
Miscellaneous | | | 171,147 | |
Total liabilities | | | 1,343,896 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 118,830,989 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 67,899,015 | |
Total distributable earnings (loss) | | | 50,931,974 | |
Net assets | | $ | 118,830,989 | |
Capital shares outstanding | | | 1,681,146 | |
Net asset value per share | | $ | 70.68 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $422) | | $ | 280,501 | |
Dividends from securities of affiliated issuers | | | 172,053 | |
Interest | | | 875 | |
Income from securities lending, net | | | 133 | |
Total investment income | | | 453,562 | |
| | | | | |
Expenses: |
Management fees | | | 419,229 | |
Investor service fees | | | 139,743 | |
Transfer agent and administrative fees | | | 183,343 | |
Professional fees | | | 73,819 | |
Portfolio accounting fees | | | 55,897 | |
Trustees’ fees* | | | 10,526 | |
Custodian fees | | | 7,893 | |
Miscellaneous | | | 27,415 | |
Total expenses | | | 917,865 | |
Less: |
Expenses waived by Adviser | | | (14,831 | ) |
Net expenses | | | 903,034 | |
Net investment loss | | | (449,472 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 975,346 | |
Investments in affiliated issuers | | | 4,178 | |
Swap agreements | | | 1,331,708 | |
Futures contracts | | | 2,475,152 | |
Net realized gain | | | 4,786,384 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 7,839,551 | |
Investments in affiliated issuers | | | 3,392 | |
Swap agreements | | | 356,837 | |
Futures contracts | | | 109,496 | |
Net change in unrealized appreciation (depreciation) | | | 8,309,276 | |
Net realized and unrealized gain | | | 13,095,660 | |
Net increase in net assets resulting from operations | | $ | 12,646,188 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (449,472 | ) | | $ | (563,593 | ) |
Net realized gain on investments | | | 4,786,384 | | | | 22,092,995 | |
Net change in unrealized appreciation (depreciation) on investments | | | 8,309,276 | | | | 17,477,743 | |
Net increase in net assets resulting from operations | | | 12,646,188 | | | | 39,007,145 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (12,636,620 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 95,385,342 | | | | 234,965,835 | |
Distributions reinvested | | | — | | | | 12,636,620 | |
Cost of shares redeemed | | | (101,987,141 | ) | | | (247,809,589 | ) |
Net decrease from capital share transactions | | | (6,601,799 | ) | | | (207,134 | ) |
Net increase in net assets | | | 6,044,389 | | | | 26,163,391 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 112,786,600 | | | | 86,623,209 | |
End of period | | $ | 118,830,989 | | | $ | 112,786,600 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 1,455,743 | | | | 4,565,621 | |
Shares issued from reinvestment of distributions | | | — | | | | 238,202 | |
Shares redeemed | | | (1,570,398 | ) | | | (4,780,733 | ) |
Net increase (decrease) in shares | | | (114,655 | ) | | | 23,090 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 62.81 | | | $ | 48.86 | | | $ | 36.56 | | | $ | 38.70 | | | $ | 31.89 | | | $ | 34.16 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.26 | ) | | | (.31 | ) | | | .18 | | | | .04 | | | | (.11 | ) | | | (.11 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 8.13 | | | | 21.04 | | | | 13.20 | | | | (.49 | ) | | | 9.73 | | | | 1.92 | |
Total from investment operations | | | 7.87 | | | | 20.73 | | | | 13.38 | | | | (.45 | ) | | | 9.62 | | | | 1.81 | |
Less distributions from: |
Net investment income | | | — | | | | (.17 | ) | | | (.05 | ) | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | (6.61 | ) | | | (1.03 | ) | | | (1.69 | ) | | | (2.81 | ) | | | (4.08 | ) |
Total distributions | | | — | | | | (6.78 | ) | | | (1.08 | ) | | | (1.69 | ) | | | (2.81 | ) | | | (4.08 | ) |
Net asset value, end of period | | $ | 70.68 | | | $ | 62.81 | | | $ | 48.86 | | | $ | 36.56 | | | $ | 38.70 | | | $ | 31.89 | |
|
Total Returnc | | | 12.53 | % | | | 44.96 | % | | | 36.86 | % | | | (1.81 | %) | | | 31.12 | % | | | 5.98 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 118,831 | | | $ | 112,787 | | | $ | 86,623 | | | $ | 60,616 | | | $ | 76,862 | | | $ | 61,516 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.80 | %) | | | (0.58 | %) | | | 0.41 | % | | | 0.11 | % | | | (0.30 | %) | | | (0.34 | %) |
Total expensesd | | | 1.64 | % | | | 1.76 | % | | | 1.76 | % | | | 1.66 | % | | | 1.64 | % | | | 1.60 | % |
Net expensese | | | 1.62 | % | | | 1.72 | % | | | 1.70 | % | | | 1.66 | % | | | 1.64 | % | | | 1.60 | % |
Portfolio turnover rate | | | 30 | % | | | 142 | % | | | 61 | % | | | 80 | % | | | 101 | % | | | 284 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 | 22.6% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 18.0% |
Total | 40.6% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Inverse NASDAQ-100® Strategy Fund | (14.31%) | (31.09%) | (24.09%) | (20.57%) |
NASDAQ-100 Index | 13.34% | 44.36% | 28.24% | 21.53% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
INVERSE NASDAQ-100® STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 40.6% |
Guggenheim Strategy Fund II1 | | | 4,043 | | | $ | 101,039 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 8,058 | | | | 80,342 | |
Total Mutual Funds | | | | |
(Cost $179,357) | | | | | | | 181,381 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 11.4% |
Federal Home Loan Bank |
4.00% due 12/24/30 | | $ | 25,000 | | | | 25,476 | |
3.98% due 09/21/33 | | | 25,000 | | | | 25,204 | |
Total Federal Agency Notes | | | | |
(Cost $51,061) | | | | | | | 50,680 | |
| | | | | | | | | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,2 - 64.7% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/213 | | $ | 162,461 | | | | 162,461 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/213 | | | 63,961 | | | | 63,961 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/213 | | | 62,707 | | | | 62,707 | |
Total Repurchase Agreements | | | | |
(Cost $289,129) | | | | | | | 289,129 | |
| | | | | | | | | |
Total Investments - 116.7% | | | | |
(Cost $519,547) | | $ | 521,190 | |
Other Assets & Liabilities, net - (16.7)% | | | (74,532 | ) |
Total Net Assets - 100.0% | | $ | 446,658 | |
Total Return Swap Agreements |
Counterparty | Index | Financing Rate
Pay (Receive) | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Depreciation | |
OTC Equity Index Swap Agreements Sold Short†† |
Goldman Sachs International | NASDAQ-100 Index | (0.34)% (1 Week USD LIBOR + 0.25%) | At Maturity | | | 07/15/21 | | | | 15 | | | $ | 215,811 | | | $ | (5,766 | ) |
Barclays Bank plc | NASDAQ-100 Index | (0.44)% (1 Week USD LIBOR + 0.35%) | At Maturity | | | 07/14/21 | | | | 8 | | | | 111,705 | | | | (6,884 | ) |
BNP Paribas | NASDAQ-100 Index | (0.24)% (1 Month USD LIBOR + 0.15%) | At Maturity | | | 07/15/21 | | | | 8 | | | | 123,096 | | | | (7,203 | ) |
| | | | | | | | | | | | | | $ | 450,612 | | | $ | (19,853 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Repurchase Agreements — See Note 6. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2021. |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
INVERSE NASDAQ-100® STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Mutual Funds | | $ | 181,381 | | | $ | — | | | $ | — | | | $ | 181,381 | |
Federal Agency Notes | | | — | | | | 50,680 | | | | — | | | | 50,680 | |
Repurchase Agreements | | | — | | | | 289,129 | | | | — | | | | 289,129 | |
Total Assets | | $ | 181,381 | | | $ | 339,809 | | | $ | — | | | $ | 521,190 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 19,853 | | | $ | — | | | $ | 19,853 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 125,045 | | | $ | 390,826 | | | $ | (415,000 | ) | | $ | 263 | | | $ | (95 | ) | | $ | 101,039 | | | | 4,043 | | | $ | 839 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 124,929 | | | | 695,593 | | | | (740,000 | ) | | | 259 | | | | (439 | ) | | | 80,342 | | | | 8,058 | | | | 599 | |
| | | $ | 249,974 | | | $ | 1,086,419 | | | $ | (1,155,000 | ) | | $ | 522 | | | $ | (534 | ) | | $ | 181,381 | | | | | | | $ | 1,438 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
INVERSE NASDAQ-100® STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value (cost $51,061) | | $ | 50,680 | |
Investments in affiliated issuers, at value (cost $179,357) | | | 181,381 | |
Repurchase agreements, at value (cost $289,129) | | | 289,129 | |
Receivables: |
Interest | | | 296 | |
Dividends | | | 183 | |
Total assets | | | 521,669 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 19,853 | |
Payable for: |
Swap settlement | | | 52,491 | |
Management fees | | | 661 | |
Investor service fees | | | 188 | |
Securities purchased | | | 183 | |
Transfer agent and administrative fees | | | 165 | |
Fund shares redeemed | | | 93 | |
Portfolio accounting fees | | | 75 | |
Trustees’ fees* | | | 9 | |
Miscellaneous | | | 1,293 | |
Total liabilities | | | 75,011 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 446,658 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 8,583,991 | |
Total distributable earnings (loss) | | | (8,137,333 | ) |
Net assets | | $ | 446,658 | |
Capital shares outstanding | | | 20,599 | |
Net asset value per share | | $ | 21.68 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 1,438 | |
Interest | | | 466 | |
Total investment income | | | 1,904 | |
| | | | | |
Expenses: |
Management fees | | | 3,419 | |
Investor service fees | | | 950 | |
Transfer agent and administrative fees | | | 1,276 | |
Professional fees | | | 549 | |
Portfolio accounting fees | | | 380 | |
Trustees’ fees* | | | 86 | |
Custodian fees | | | 55 | |
Miscellaneous | | | 74 | |
Total expenses | | | 6,789 | |
Less: |
Expenses reimbursed by Adviser | | | (37 | ) |
Expenses waived by Adviser | | | (159 | ) |
Total waived/reimbursed expenses | | | (196 | ) |
Net expenses | | | 6,593 | |
Net investment loss | | | (4,689 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 20 | |
Investments in affiliated issuers | | | 522 | |
Swap agreements | | | (138,837 | ) |
Net realized loss | | | (138,295 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (381 | ) |
Investments in affiliated issuers | | | (534 | ) |
Swap agreements | | | (18,132 | ) |
Net change in unrealized appreciation (depreciation) | | | (19,047 | ) |
Net realized and unrealized loss | | | (157,342 | ) |
Net decrease in net assets resulting from operations | | $ | (162,031 | ) |
* | 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. |
INVERSE NASDAQ-100® STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (4,689 | ) | | $ | (14,358 | ) |
Net realized loss on investments | | | (138,295 | ) | | | (982,115 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (19,047 | ) | | | (1,647 | ) |
Net decrease in net assets resulting from operations | | | (162,031 | ) | | | (998,120 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (12,149 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 11,060,812 | | | | 27,846,986 | |
Distributions reinvested | | | — | | | | 12,149 | |
Cost of shares redeemed | | | (10,915,716 | ) | | | (26,977,515 | ) |
Net increase from capital share transactions | | | 145,096 | | | | 881,620 | |
Net decrease in net assets | | | (16,935 | ) | | | (128,649 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 463,593 | | | | 592,242 | |
End of period | | $ | 446,658 | | | $ | 463,593 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 462,954 | | | | 807,771 | |
Shares issued from reinvestment of distributions | | | — | | | | 414 | |
Shares redeemed | | | (460,681 | ) | | | (804,229 | ) |
Net increase in shares | | | 2,273 | | | | 3,956 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
INVERSE NASDAQ-100® STRATEGY FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016g | |
Per Share Data |
Net asset value, beginning of period | | $ | 25.30 | | | $ | 41.21 | | | $ | 57.64 | | | $ | 59.28 | | | $ | 78.68 | | | $ | 86.94 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.15 | ) | | | (.33 | ) | | | .34 | | | | .32 | | | | (.11 | ) | | | (.18 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (3.47 | ) | | | (15.28 | ) | | | (16.47 | ) | | | (1.96 | )f | | | (19.29 | ) | | | (8.08 | ) |
Total from investment operations | | | (3.62 | ) | | | (15.61 | ) | | | (16.13 | ) | | | (1.64 | ) | | | (19.40 | ) | | | (8.26 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.30 | ) | | | (.30 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.30 | ) | | | (.30 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 21.68 | | | $ | 25.30 | | | $ | 41.21 | | | $ | 57.64 | | | $ | 59.28 | | | $ | 78.68 | |
|
Total Returnc | | | (14.31 | %) | | | (38.00 | %) | | | (28.01 | %) | | | (2.77 | %) | | | (24.66 | %) | | | (9.48 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 447 | | | $ | 464 | | | $ | 592 | | | $ | 7,815 | | | $ | 772 | | | $ | 2,652 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.23 | %) | | | (0.93 | %) | | | 0.70 | % | | | 0.58 | % | | | (0.17 | %) | | | (0.78 | %) |
Total expensesd | | | 1.79 | % | | | 1.92 | % | | | 1.92 | % | | | 1.83 | % | | | 1.79 | % | | | 1.74 | % |
Net expensese | | | 1.74 | % | | | 1.87 | % | | | 1.84 | % | | | 1.83 | % | | | 1.79 | % | | | 1.74 | % |
Portfolio turnover rate | | | 372 | % | | | 681 | % | | | 418 | % | | | 136 | % | | | 119 | % | | | 382 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | The amount shown for a share outstanding throughout the period does not agree with the aggregate net gain on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
g | Reverse share split — Per share amounts for the year ended December 31, 2016 have been restated to reflect a 1:4 reverse share split effective December 1, 2016. |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 | 12.5% |
Apple, Inc. | 1.9% |
Microsoft Corp. | 1.8% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 1.7% |
Amazon.com, Inc. | 1.3% |
Facebook, Inc. — Class A | 0.7% |
Alphabet, Inc. — Class A | 0.6% |
Alphabet, Inc. — Class C | 0.6% |
Berkshire Hathaway, Inc. — Class B | 0.5% |
Tesla, Inc. | 0.5% |
Top Ten Total | 22.1% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P 500® 2x Strategy Fund | 29.92% | 88.93% | 28.24% | 23.87% |
S&P 500 Index | 15.25% | 40.79% | 17.65% | 14.84% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
S&P 500® 2x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 31.2% |
| | | | | | | | | |
Technology - 7.2% |
Apple, Inc. | | | 4,666 | | | $ | 639,055 | |
Microsoft Corp. | | | 2,240 | | | | 606,816 | |
NVIDIA Corp. | | | 185 | | | | 148,018 | |
Adobe, Inc.* | | | 142 | | | | 83,161 | |
Intel Corp. | | | 1,202 | | | | 67,480 | |
salesforce.com, Inc.* | | | 275 | | | | 67,174 | |
Broadcom, Inc. | | | 121 | | | | 57,698 | |
Accenture plc — Class A | | | 189 | | | | 55,715 | |
Texas Instruments, Inc. | | | 275 | | | | 52,882 | |
QUALCOMM, Inc. | | | 335 | | | | 47,882 | |
Oracle Corp. | | | 540 | | | | 42,034 | |
Intuit, Inc. | | | 81 | | | | 39,704 | |
International Business Machines Corp. | | | 266 | | | | 38,993 | |
Applied Materials, Inc. | | | 273 | | | | 38,875 | |
Advanced Micro Devices, Inc.* | | | 361 | | | | 33,909 | |
ServiceNow, Inc.* | | | 59 | | | | 32,423 | |
Micron Technology, Inc.* | | | 333 | | | | 28,298 | |
Lam Research Corp. | | | 42 | | | | 27,329 | |
Fidelity National Information Services, Inc. | | | 184 | | | | 26,067 | |
Activision Blizzard, Inc. | | | 231 | | | | 22,047 | |
Autodesk, Inc.* | | | 65 | | | | 18,973 | |
Analog Devices, Inc. | | | 110 | | | | 18,938 | |
Fiserv, Inc.* | | | 177 | | | | 18,920 | |
NXP Semiconductor N.V. | | | 82 | | | | 16,869 | |
KLA Corp. | | | 46 | | | | 14,914 | |
Roper Technologies, Inc. | | | 31 | | | | 14,576 | |
MSCI, Inc. — Class A | | | 25 | | | | 13,327 | |
Synopsys, Inc.* | | | 45 | | | | 12,411 | |
Electronic Arts, Inc. | | | 85 | | | | 12,226 | |
Microchip Technology, Inc. | | | 81 | | | | 12,129 | |
Cadence Design Systems, Inc.* | | | 83 | | | | 11,356 | |
Cognizant Technology Solutions Corp. — Class A | | | 157 | | | | 10,874 | |
HP, Inc. | | | 357 | | | | 10,778 | |
Xilinx, Inc. | | | 73 | | | | 10,559 | |
Paychex, Inc. | | | 95 | | | | 10,193 | |
Fortinet, Inc.* | | | 40 | | | | 9,528 | |
Skyworks Solutions, Inc. | | | 49 | | | | 9,396 | |
ANSYS, Inc.* | | | 26 | | | | 9,024 | |
Zebra Technologies Corp. — Class A* | | | 16 | | | | 8,472 | |
Maxim Integrated Products, Inc. | | | 80 | | | | 8,429 | |
Cerner Corp. | | | 90 | | | | 7,034 | |
Teradyne, Inc. | | | 49 | | | | 6,564 | |
Western Digital Corp.* | | | 91 | | | | 6,477 | |
Qorvo, Inc.* | | | 33 | | | | 6,456 | |
Take-Two Interactive Software, Inc.* | | | 34 | | | | 6,019 | |
Hewlett Packard Enterprise Co. | | | 388 | | | | 5,657 | |
Broadridge Financial Solutions, Inc. | | | 35 | | | | 5,654 | |
Akamai Technologies, Inc.* | | | 48 | | | | 5,597 | |
Paycom Software, Inc.* | | | 15 | | | | 5,452 | |
Tyler Technologies, Inc.* | | | 12 | | | | 5,428 | |
NetApp, Inc. | | | 66 | | | | 5,400 | |
Seagate Technology Holdings plc | | | 59 | | | | 5,188 | |
Monolithic Power Systems, Inc. | | | 13 | | | | 4,855 | |
PTC, Inc.* | | | 31 | | | | 4,379 | |
Citrix Systems, Inc. | | | 37 | | | | 4,339 | |
Leidos Holdings, Inc. | | | 40 | | | | 4,044 | |
Jack Henry & Associates, Inc. | | | 22 | | | | 3,597 | |
DXC Technology Co.* | | | 76 | | | | 2,959 | |
IPG Photonics Corp.* | | | 11 | | | | 2,318 | |
Total Technology | | | | | | | 2,504,869 | |
| | | | | | | | | |
Consumer, Non-cyclical - 6.2% |
Johnson & Johnson | | | 783 | | | | 128,991 | |
UnitedHealth Group, Inc. | | | 281 | | | | 112,523 | |
PayPal Holdings, Inc.* | | | 349 | | | | 101,727 | |
Procter & Gamble Co. | | | 728 | | | | 98,229 | |
Pfizer, Inc. | | | 1,665 | | | | 65,201 | |
Coca-Cola Co. | | | 1,154 | | | | 62,443 | |
Abbott Laboratories | | | 528 | | | | 61,211 | |
PepsiCo, Inc. | | | 411 | | | | 60,898 | |
AbbVie, Inc. | | | 525 | | | | 59,136 | |
Thermo Fisher Scientific, Inc. | | | 117 | | | | 59,023 | |
Merck & Company, Inc. | | | 753 | | | | 58,561 | |
Eli Lilly & Co. | | | 237 | | | | 54,396 | |
Danaher Corp. | | | 189 | | | | 50,720 | |
Medtronic plc | | | 400 | | | | 49,652 | |
Philip Morris International, Inc. | | | 463 | | | | 45,888 | |
Bristol-Myers Squibb Co. | | | 664 | | | | 44,369 | |
Amgen, Inc. | | | 171 | | | | 41,681 | |
CVS Health Corp. | | | 391 | | | | 32,625 | |
Intuitive Surgical, Inc.* | | | 35 | | | | 32,187 | |
S&P Global, Inc. | | | 72 | | | | 29,552 | |
Anthem, Inc. | | | 73 | | | | 27,871 | |
Zoetis, Inc. | | | 141 | | | | 26,277 | |
Altria Group, Inc. | | | 550 | | | | 26,224 | |
Mondelez International, Inc. — Class A | | | 418 | | | | 26,100 | |
Gilead Sciences, Inc. | | | 373 | | | | 25,685 | |
Automatic Data Processing, Inc. | | | 127 | | | | 25,225 | |
Stryker Corp. | | | 97 | | | | 25,194 | |
Cigna Corp. | | | 102 | | | | 24,181 | |
Estee Lauder Companies, Inc. — Class A | | | 69 | | | | 21,948 | |
Becton Dickinson and Co. | | | 86 | | | | 20,914 | |
Colgate-Palmolive Co. | | | 252 | | | | 20,500 | |
Illumina, Inc.* | | | 43 | | | | 20,348 | |
Edwards Lifesciences Corp.* | | | 185 | | | | 19,160 | |
Boston Scientific Corp.* | | | 422 | | | | 18,045 | |
Moody’s Corp. | | | 48 | | | | 17,394 | |
Regeneron Pharmaceuticals, Inc.* | | | 31 | | | | 17,315 | |
Humana, Inc. | | | 38 | | | | 16,823 | |
Global Payments, Inc. | | | 88 | | | | 16,504 | |
HCA Healthcare, Inc. | | | 78 | | | | 16,126 | |
IDEXX Laboratories, Inc.* | | | 25 | | | | 15,789 | |
Biogen, Inc.* | | | 45 | | | | 15,582 | |
Vertex Pharmaceuticals, Inc.* | | | 77 | | | | 15,525 | |
IQVIA Holdings, Inc.* | | | 57 | | | | 13,812 | |
Kimberly-Clark Corp. | | | 100 | | | | 13,378 | |
Align Technology, Inc.* | | | 21 | | | | 12,831 | |
Centene Corp.* | | | 173 | | | | 12,617 | |
IHS Markit Ltd. | | | 111 | | | | 12,505 | |
DexCom, Inc.* | | | 29 | | | | 12,383 | |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
S&P 500® 2x STRATEGY FUND | |
| | Shares | | | Value | |
Alexion Pharmaceuticals, Inc.* | | | 66 | | | $ | 12,125 | |
Baxter International, Inc. | | | 150 | | | | 12,075 | |
Sysco Corp. | | | 152 | | | | 11,818 | |
Constellation Brands, Inc. — Class A | | | 50 | | | | 11,694 | |
General Mills, Inc. | | | 181 | | | | 11,028 | |
ResMed, Inc. | | | 43 | | | | 10,600 | |
Archer-Daniels-Midland Co. | | | 166 | | | | 10,059 | |
Monster Beverage Corp.* | | | 110 | | | | 10,048 | |
Zimmer Biomet Holdings, Inc. | | | 62 | | | | 9,971 | |
Cintas Corp. | | | 26 | | | | 9,932 | |
Corteva, Inc. | | | 219 | | | | 9,713 | |
McKesson Corp. | | | 47 | | | | 8,988 | |
Equifax, Inc. | | | 36 | | | | 8,622 | |
Kroger Co. | | | 225 | | | | 8,620 | |
Verisk Analytics, Inc. — Class A | | | 48 | | | | 8,387 | |
Laboratory Corporation of America Holdings* | | | 29 | | | | 8,000 | |
West Pharmaceutical Services, Inc. | | | 22 | | | | 7,900 | |
Kraft Heinz Co. | | | 193 | | | | 7,871 | |
Hershey Co. | | | 44 | | | | 7,664 | |
United Rentals, Inc.* | | | 22 | | | | 7,018 | |
Clorox Co. | | | 37 | | | | 6,657 | |
McCormick & Company, Inc. | | | 74 | | | | 6,536 | |
Tyson Foods, Inc. — Class A | | | 88 | | | | 6,491 | |
FleetCor Technologies, Inc.* | | | 25 | | | | 6,402 | |
Gartner, Inc.* | | | 26 | | | | 6,297 | |
Church & Dwight Company, Inc. | | | 73 | | | | 6,221 | |
STERIS plc | | | 29 | | | | 5,983 | |
Cooper Companies, Inc. | | | 15 | | | | 5,944 | |
Teleflex, Inc. | | | 14 | | | | 5,625 | |
Charles River Laboratories International, Inc.* | | | 15 | | | | 5,549 | |
Catalent, Inc.* | | | 51 | | | | 5,514 | |
Avery Dennison Corp. | | | 25 | | | | 5,256 | |
Conagra Brands, Inc. | | | 143 | | | | 5,202 | |
Quest Diagnostics, Inc. | | | 39 | | | | 5,147 | |
Viatris, Inc. | | | 359 | | | | 5,130 | |
MarketAxess Holdings, Inc. | | | 11 | | | | 5,099 | |
PerkinElmer, Inc. | | | 33 | | | | 5,096 | |
Hologic, Inc.* | | | 76 | | | | 5,071 | |
AmerisourceBergen Corp. — Class A | | | 44 | | | | 5,038 | |
Cardinal Health, Inc. | | | 86 | | | | 4,910 | |
Kellogg Co. | | | 75 | | | | 4,825 | |
Incyte Corp.* | | | 56 | | | | 4,711 | |
J M Smucker Co. | | | 33 | | | | 4,276 | |
Dentsply Sirona, Inc. | | | 65 | | | | 4,112 | |
ABIOMED, Inc.* | | | 13 | | | | 4,057 | |
Brown-Forman Corp. — Class B | | | 54 | | | | 4,047 | |
Hormel Foods Corp. | | | 84 | | | | 4,011 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 6 | | | | 3,866 | |
Quanta Services, Inc. | | | 41 | | | | 3,713 | |
Lamb Weston Holdings, Inc. | | | 43 | | | | 3,468 | |
Universal Health Services, Inc. — Class B | | | 23 | | | | 3,368 | |
Henry Schein, Inc.* | | | 42 | | | | 3,116 | |
Robert Half International, Inc. | | | 34 | | | | 3,025 | |
Molson Coors Beverage Co. — Class B* | | | 56 | | | | 3,007 | |
Campbell Soup Co. | | | 60 | | | | 2,735 | |
Nielsen Holdings plc | | | 107 | | | | 2,640 | |
DaVita, Inc.* | | | 21 | | | | 2,529 | |
Organon & Co.* | | | 75 | | | | 2,270 | |
Rollins, Inc. | | | 66 | | | | 2,257 | |
Perrigo Company plc | | | 40 | | | | 1,834 | |
Total Consumer, Non-cyclical | | | | | | | 2,158,437 | |
| | | | | | | | | |
Communications - 5.1% |
Amazon.com, Inc.* | | | 127 | | | | 436,900 | |
Facebook, Inc. — Class A* | | | 712 | | | | 247,570 | |
Alphabet, Inc. — Class A* | | | 89 | | | | 217,319 | |
Alphabet, Inc. — Class C* | | | 85 | | | | 213,037 | |
Walt Disney Co.* | | | 540 | | | | 94,916 | |
Comcast Corp. — Class A | | | 1,364 | | | | 77,775 | |
Netflix, Inc.* | | | 132 | | | | 69,724 | |
Verizon Communications, Inc. | | | 1,232 | | | | 69,029 | |
Cisco Systems, Inc. | | | 1,254 | | | | 66,462 | |
AT&T, Inc. | | | 2,124 | | | | 61,129 | |
Charter Communications, Inc. — Class A* | | | 41 | | | | 29,579 | |
Booking Holdings, Inc.* | | | 12 | | | | 26,257 | |
T-Mobile US, Inc.* | | | 174 | | | | 25,200 | |
Twitter, Inc.* | | | 237 | | | | 16,308 | |
eBay, Inc. | | | 192 | | | | 13,480 | |
Motorola Solutions, Inc. | | | 50 | | | | 10,842 | |
Corning, Inc. | | | 230 | | | | 9,407 | |
ViacomCBS, Inc. — Class B | | | 180 | | | | 8,136 | |
Etsy, Inc.* | | | 38 | | | | 7,822 | |
CDW Corp. | | | 42 | | | | 7,335 | |
Expedia Group, Inc.* | | | 42 | | | | 6,876 | |
VeriSign, Inc.* | | | 29 | | | | 6,603 | |
Arista Networks, Inc.* | | | 16 | | | | 5,797 | |
Omnicom Group, Inc. | | | 64 | | | | 5,120 | |
NortonLifeLock, Inc. | | | 172 | | | | 4,682 | |
Lumen Technologies, Inc. | | | 296 | | | | 4,023 | |
Interpublic Group of Companies, Inc. | | | 117 | | | | 3,801 | |
Fox Corp. — Class A | | | 97 | | | | 3,602 | |
F5 Networks, Inc.* | | | 18 | | | | 3,360 | |
DISH Network Corp. — Class A* | | | 74 | | | | 3,093 | |
News Corp. — Class A | | | 116 | | | | 2,989 | |
Juniper Networks, Inc. | | | 97 | | | | 2,653 | |
Discovery, Inc. — Class C* | | | 89 | | | | 2,579 | |
Fox Corp. — Class B | | | 45 | | | | 1,584 | |
Discovery, Inc. — Class A*,1 | | | 50 | | | | 1,534 | |
News Corp. — Class B | | | 36 | | | | 877 | |
Total Communications | | | | | | | 1,767,400 | |
| | | | | | | | | |
Financial - 4.8% |
Berkshire Hathaway, Inc. — Class B* | | | 564 | | | | 156,747 | |
JPMorgan Chase & Co. | | | 900 | | | | 139,986 | |
Visa, Inc. — Class A | | | 503 | | | | 117,612 | |
Mastercard, Inc. — Class A | | | 260 | | | | 94,923 | |
Bank of America Corp. | | | 2,243 | | | | 92,479 | |
Wells Fargo & Co. | | | 1,230 | | | | 55,707 | |
Citigroup, Inc. | | | 615 | | | | 43,511 | |
Morgan Stanley | | | 443 | | | | 40,619 | |
Goldman Sachs Group, Inc. | | | 101 | | | | 38,332 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
S&P 500® 2x STRATEGY FUND | |
| | Shares | | | Value | |
BlackRock, Inc. — Class A | | | 42 | | | $ | 36,749 | |
American Tower Corp. — Class A REIT | | | 135 | | | | 36,469 | |
Charles Schwab Corp. | | | 446 | | | | 32,473 | |
American Express Co. | | | 193 | | | | 31,889 | |
Prologis, Inc. REIT | | | 220 | | | | 26,297 | |
Crown Castle International Corp. REIT | | | 129 | | | | 25,168 | |
PNC Financial Services Group, Inc. | | | 126 | | | | 24,036 | |
U.S. Bancorp | | | 403 | | | | 22,959 | |
CME Group, Inc. — Class A | | | 107 | | | | 22,757 | |
Truist Financial Corp. | | | 400 | | | | 22,200 | |
Equinix, Inc. REIT | | | 27 | | | | 21,670 | |
Chubb Ltd. | | | 134 | | | | 21,298 | |
Marsh & McLennan Companies, Inc. | | | 151 | | | | 21,243 | |
Capital One Financial Corp. | | | 134 | | | | 20,729 | |
Intercontinental Exchange, Inc. | | | 167 | | | | 19,823 | |
Progressive Corp. | | | 174 | | | | 17,089 | |
Aon plc — Class A | | | 67 | | | | 15,997 | |
Public Storage REIT | | | 45 | | | | 13,531 | |
T. Rowe Price Group, Inc. | | | 67 | | | | 13,264 | |
MetLife, Inc. | | | 221 | | | | 13,227 | |
Simon Property Group, Inc. REIT | | | 98 | | | | 12,787 | |
Digital Realty Trust, Inc. REIT | | | 84 | | | | 12,639 | |
Bank of New York Mellon Corp. | | | 240 | | | | 12,295 | |
American International Group, Inc. | | | 255 | | | | 12,138 | |
Prudential Financial, Inc. | | | 117 | | | | 11,989 | |
Allstate Corp. | | | 89 | | | | 11,609 | |
Travelers Companies, Inc. | | | 75 | | | | 11,228 | |
Discover Financial Services | | | 91 | | | | 10,764 | |
SBA Communications Corp. REIT | | | 33 | | | | 10,517 | |
Welltower, Inc. REIT | | | 124 | | | | 10,304 | |
Aflac, Inc. | | | 188 | | | | 10,088 | |
First Republic Bank | | | 52 | | | | 9,733 | |
SVB Financial Group* | | | 16 | | | | 8,903 | |
AvalonBay Communities, Inc. REIT | | | 42 | | | | 8,765 | |
Willis Towers Watson plc | | | 38 | | | | 8,741 | |
CBRE Group, Inc. — Class A* | | | 100 | | | | 8,573 | |
Arthur J Gallagher & Co. | | | 61 | | | | 8,545 | |
State Street Corp. | | | 103 | | | | 8,475 | |
Ameriprise Financial, Inc. | | | 34 | | | | 8,462 | |
Fifth Third Bancorp | | | 209 | | | | 7,990 | |
Equity Residential REIT | | | 102 | | | | 7,854 | |
Synchrony Financial | | | 161 | | | | 7,812 | |
Weyerhaeuser Co. REIT | | | 223 | | | | 7,676 | |
Alexandria Real Estate Equities, Inc. REIT | | | 41 | | | | 7,460 | |
Realty Income Corp. REIT | | | 111 | | | | 7,408 | |
Northern Trust Corp. | | | 62 | | | | 7,168 | |
Hartford Financial Services Group, Inc. | | | 106 | | | | 6,569 | |
Extra Space Storage, Inc. REIT | | | 40 | | | | 6,553 | |
Ventas, Inc. REIT | | | 112 | | | | 6,395 | |
Huntington Bancshares, Inc. | | | 439 | | | | 6,265 | |
Nasdaq, Inc. | | | 34 | | | | 5,977 | |
KeyCorp | | | 289 | | | | 5,968 | |
Citizens Financial Group, Inc. | | | 127 | | | | 5,825 | |
Regions Financial Corp. | | | 286 | | | | 5,771 | |
Mid-America Apartment Communities, Inc. REIT | | | 34 | | | | 5,726 | |
Essex Property Trust, Inc. REIT | | | 19 | | | | 5,700 | |
M&T Bank Corp. | | | 38 | | | | 5,522 | |
Healthpeak Properties, Inc. REIT | | | 160 | | | | 5,326 | |
Duke Realty Corp. REIT | | | 111 | | | | 5,256 | |
Cincinnati Financial Corp. | | | 45 | | | | 5,248 | |
Boston Properties, Inc. REIT | | | 42 | | | | 4,813 | |
Principal Financial Group, Inc. | | | 75 | | | | 4,739 | |
Raymond James Financial, Inc. | | | 36 | | | | 4,676 | |
UDR, Inc. REIT | | | 88 | | | | 4,310 | |
Cboe Global Markets, Inc. | | | 32 | | | | 3,810 | |
Loews Corp. | | | 67 | | | | 3,662 | |
Iron Mountain, Inc. REIT | | | 86 | | | | 3,639 | |
Host Hotels & Resorts, Inc. REIT* | | | 210 | | | | 3,589 | |
Lincoln National Corp. | | | 53 | | | | 3,330 | |
W R Berkley Corp. | | | 42 | | | | 3,126 | |
Everest Re Group Ltd. | | | 12 | | | | 3,024 | |
Invesco Ltd. | | | 113 | | | | 3,021 | |
Regency Centers Corp. REIT | | | 47 | | | | 3,011 | |
Comerica, Inc. | | | 42 | | | | 2,996 | |
Assurant, Inc. | | | 18 | | | | 2,811 | |
Western Union Co. | | | 122 | | | | 2,802 | |
Kimco Realty Corp. REIT | | | 129 | | | | 2,690 | |
Globe Life, Inc. | | | 28 | | | | 2,667 | |
Franklin Resources, Inc. | | | 81 | | | | 2,591 | |
Zions Bancorp North America | | | 49 | | | | 2,590 | |
Federal Realty Investment Trust REIT | | | 21 | | | | 2,461 | |
Vornado Realty Trust REIT | | | 47 | | | | 2,193 | |
People’s United Financial, Inc. | | | 127 | | | | 2,177 | |
Unum Group | | | 61 | | | | 1,732 | |
Total Financial | | | | | | | 1,647,268 | |
| | | | | | | | | |
Consumer, Cyclical - 2.9% |
Tesla, Inc.* | | | 229 | | | | 155,651 | |
Home Depot, Inc. | | | 316 | | | | 100,769 | |
NIKE, Inc. — Class B | | | 379 | | | | 58,552 | |
Walmart, Inc. | | | 408 | | | | 57,536 | |
Costco Wholesale Corp. | | | 131 | | | | 51,833 | |
McDonald’s Corp. | | | 222 | | | | 51,280 | |
Lowe’s Companies, Inc. | | | 210 | | | | 40,734 | |
Starbucks Corp. | | | 350 | | | | 39,133 | |
Target Corp. | | | 147 | | | | 35,536 | |
TJX Companies, Inc. | | | 359 | | | | 24,204 | |
General Motors Co.* | | | 380 | | | | 22,484 | |
Ford Motor Co.* | | | 1,167 | | | | 17,342 | |
Dollar General Corp. | | | 70 | | | | 15,147 | |
Ross Stores, Inc. | | | 106 | | | | 13,144 | |
Aptiv plc* | | | 80 | | | | 12,587 | |
Chipotle Mexican Grill, Inc. — Class A* | | | 8 | | | | 12,403 | |
O’Reilly Automotive, Inc.* | | | 21 | | | | 11,890 | |
Walgreens Boots Alliance, Inc. | | | 213 | | | | 11,206 | |
Marriott International, Inc. — Class A* | | | 79 | | | | 10,785 | |
Cummins, Inc. | | | 43 | | | | 10,484 | |
Yum! Brands, Inc. | | | 89 | | | | 10,238 | |
Hilton Worldwide Holdings, Inc.* | | | 83 | | | | 10,011 | |
Southwest Airlines Co.* | | | 176 | | | | 9,344 | |
PACCAR, Inc. | | | 103 | | | | 9,193 | |
AutoZone, Inc.* | | | 6 | | | | 8,953 | |
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
S&P 500® 2x STRATEGY FUND | |
| | Shares | | | Value | |
Fastenal Co. | | | 171 | | | $ | 8,892 | |
DR Horton, Inc. | | | 98 | | | | 8,856 | |
Delta Air Lines, Inc.* | | | 190 | | | | 8,219 | |
Copart, Inc.* | | | 62 | | | | 8,174 | |
Lennar Corp. — Class A | | | 82 | | | | 8,147 | |
VF Corp. | | | 96 | | | | 7,876 | |
Best Buy Company, Inc. | | | 66 | | | | 7,589 | |
Dollar Tree, Inc.* | | | 69 | | | | 6,866 | |
Caesars Entertainment, Inc.* | | | 62 | | | | 6,432 | |
CarMax, Inc.* | | | 49 | | | | 6,328 | |
Tractor Supply Co. | | | 34 | | | | 6,326 | |
Carnival Corp.* | | | 237 | | | | 6,248 | |
WW Grainger, Inc. | | | 13 | | | | 5,694 | |
Darden Restaurants, Inc. | | | 39 | | | | 5,694 | |
Domino’s Pizza, Inc. | | | 12 | | | | 5,598 | |
Royal Caribbean Cruises Ltd.* | | | 65 | | | | 5,543 | |
Ulta Beauty, Inc.* | | | 16 | | | | 5,532 | |
Pool Corp. | | | 12 | | | | 5,504 | |
Genuine Parts Co. | | | 43 | | | | 5,438 | |
Las Vegas Sands Corp.* | | | 98 | | | | 5,164 | |
MGM Resorts International | | | 121 | | | | 5,161 | |
L Brands, Inc. | | | 70 | | | | 5,044 | |
United Airlines Holdings, Inc.* | | | 96 | | | | 5,020 | |
NVR, Inc.* | | | 1 | | | | 4,973 | |
PulteGroup, Inc. | | | 79 | | | | 4,311 | |
Whirlpool Corp. | | | 19 | | | | 4,142 | |
LKQ Corp.* | | | 83 | | | | 4,085 | |
American Airlines Group, Inc.* | | | 191 | | | | 4,051 | |
Advance Auto Parts, Inc. | | | 19 | | | | 3,898 | |
Wynn Resorts Ltd.* | | | 31 | | | | 3,791 | |
Live Nation Entertainment, Inc.* | | | 43 | | | | 3,766 | |
Tapestry, Inc.* | | | 83 | | | | 3,609 | |
Hasbro, Inc. | | | 38 | | | | 3,592 | |
BorgWarner, Inc. | | | 71 | | | | 3,446 | |
Penn National Gaming, Inc.* | | | 44 | | | | 3,366 | |
Mohawk Industries, Inc.* | | | 17 | | | | 3,267 | |
Norwegian Cruise Line Holdings Ltd.*,1 | | | 110 | | | | 3,235 | |
Newell Brands, Inc. | | | 113 | | | | 3,104 | |
PVH Corp.* | | | 21 | | | | 2,259 | |
Alaska Air Group, Inc.* | | | 37 | | | | 2,232 | |
Gap, Inc. | | | 62 | | | | 2,086 | |
Leggett & Platt, Inc. | | | 40 | | | | 2,073 | |
Hanesbrands, Inc. | | | 104 | | | | 1,942 | |
Ralph Lauren Corp. — Class A | | | 14 | | | | 1,649 | |
Under Armour, Inc. — Class A* | | | 56 | | | | 1,184 | |
Under Armour, Inc. — Class C* | | | 58 | | | | 1,077 | |
Total Consumer, Cyclical | | | | | | | 1,020,922 | |
| | | | | | | | | |
Industrial - 2.6% |
Honeywell International, Inc. | | | 207 | | | | 45,405 | |
United Parcel Service, Inc. — Class B | | | 215 | | | | 44,714 | |
Union Pacific Corp. | | | 198 | | | | 43,546 | |
Boeing Co.* | | | 163 | | | | 39,048 | |
Raytheon Technologies Corp. | | | 450 | | | | 38,389 | |
Caterpillar, Inc. | | | 163 | | | | 35,474 | |
General Electric Co. | | | 2,611 | | | | 35,144 | |
3M Co. | | | 172 | | | | 34,164 | |
Deere & Co. | | | 93 | | | | 32,802 | |
Lockheed Martin Corp. | | | 73 | | | | 27,620 | |
FedEx Corp. | | | 73 | | | | 21,778 | |
CSX Corp. | | | 676 | | | | 21,686 | |
Norfolk Southern Corp. | | | 74 | | | | 19,640 | |
Illinois Tool Works, Inc. | | | 85 | | | | 19,003 | |
Eaton Corporation plc | | | 118 | | | | 17,485 | |
Emerson Electric Co. | | | 178 | | | | 17,131 | |
Northrop Grumman Corp. | | | 45 | | | | 16,354 | |
Waste Management, Inc. | | | 115 | | | | 16,113 | |
Johnson Controls International plc | | | 213 | | | | 14,618 | |
Agilent Technologies, Inc. | | | 90 | | | | 13,303 | |
TE Connectivity Ltd. | | | 98 | | | | 13,251 | |
L3Harris Technologies, Inc. | | | 61 | | | | 13,185 | |
Trane Technologies plc | | | 71 | | | | 13,074 | |
General Dynamics Corp. | | | 68 | | | | 12,802 | |
Amphenol Corp. — Class A | | | 178 | | | | 12,177 | |
Carrier Global Corp. | | | 243 | | | | 11,810 | |
Parker-Hannifin Corp. | | | 38 | | | | 11,670 | |
TransDigm Group, Inc.* | | | 16 | | | | 10,357 | |
Rockwell Automation, Inc. | | | 35 | | | | 10,011 | |
Stanley Black & Decker, Inc. | | | 48 | | | | 9,840 | |
Otis Worldwide Corp. | | | 120 | | | | 9,812 | |
Mettler-Toledo International, Inc.* | | | 7 | | | | 9,697 | |
AMETEK, Inc. | | | 69 | | | | 9,211 | |
Keysight Technologies, Inc.* | | | 55 | | | | 8,493 | |
Ball Corp. | | | 98 | | | | 7,940 | |
Generac Holdings, Inc.* | | | 19 | | | | 7,888 | |
Kansas City Southern | | | 27 | | | | 7,651 | |
Old Dominion Freight Line, Inc. | | | 28 | | | | 7,106 | |
Fortive Corp. | | | 101 | | | | 7,044 | |
Republic Services, Inc. — Class A | | | 63 | | | | 6,930 | |
Vulcan Materials Co. | | | 39 | | | | 6,789 | |
Martin Marietta Materials, Inc. | | | 19 | | | | 6,684 | |
Garmin Ltd. | | | 45 | | | | 6,509 | |
Xylem, Inc. | | | 54 | | | | 6,478 | |
Dover Corp. | | | 43 | | | | 6,476 | |
Expeditors International of Washington, Inc. | | | 50 | | | | 6,330 | |
Waters Corp.* | | | 18 | | | | 6,221 | |
Trimble, Inc.* | | | 75 | | | | 6,137 | |
Teledyne Technologies, Inc.* | | | 14 | | | | 5,864 | |
Ingersoll Rand, Inc.* | | | 111 | | | | 5,418 | |
Amcor plc | | | 458 | | | | 5,249 | |
Jacobs Engineering Group, Inc. | | | 39 | | | | 5,203 | |
IDEX Corp. | | | 23 | | | | 5,061 | |
Textron, Inc. | | | 67 | | | | 4,608 | |
Masco Corp. | | | 75 | | | | 4,418 | |
Westinghouse Air Brake Technologies Corp. | | | 53 | | | | 4,362 | |
Westrock Co. | | | 79 | | | | 4,204 | |
Fortune Brands Home & Security, Inc. | | | 41 | | | | 4,084 | |
J.B. Hunt Transport Services, Inc. | | | 25 | | | | 4,074 | |
Howmet Aerospace, Inc.* | | | 116 | | | | 3,998 | |
Packaging Corporation of America | | | 28 | | | | 3,792 | |
Allegion plc | | | 27 | | | | 3,761 | |
CH Robinson Worldwide, Inc. | | | 40 | | | | 3,747 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
S&P 500® 2x STRATEGY FUND | |
| | Shares | | | Value | |
Snap-on, Inc. | | | 16 | | | $ | 3,575 | |
Pentair plc | | | 49 | | | | 3,307 | |
A O Smith Corp. | | | 40 | | | | 2,882 | |
Sealed Air Corp. | | | 45 | | | | 2,666 | |
Huntington Ingalls Industries, Inc. | | | 12 | | | | 2,529 | |
Total Industrial | | | | | | | 887,792 | |
| | | | | | | | | |
Energy - 0.9% |
Exxon Mobil Corp. | | | 1,260 | | | | 79,481 | |
Chevron Corp. | | | 575 | | | | 60,225 | |
ConocoPhillips | | | 401 | | | | 24,421 | |
EOG Resources, Inc. | | | 174 | | | | 14,519 | |
Schlumberger N.V. | | | 416 | | | | 13,316 | |
Marathon Petroleum Corp. | | | 189 | | | | 11,419 | |
Pioneer Natural Resources Co. | | | 69 | | | | 11,214 | |
Phillips 66 | | | 130 | | | | 11,157 | |
Kinder Morgan, Inc. | | | 579 | | | | 10,555 | |
Williams Companies, Inc. | | | 361 | | | | 9,585 | |
Valero Energy Corp. | | | 122 | | | | 9,526 | |
Occidental Petroleum Corp. | | | 250 | | | | 7,817 | |
Enphase Energy, Inc.* | | | 40 | | | | 7,346 | |
ONEOK, Inc. | | | 132 | | | | 7,344 | |
Hess Corp. | | | 82 | | | | 7,160 | |
Halliburton Co. | | | 265 | | | | 6,127 | |
Devon Energy Corp. | | | 177 | | | | 5,167 | |
Diamondback Energy, Inc. | | | 54 | | | | 5,070 | |
Baker Hughes Co. | | | 216 | | | | 4,940 | |
Marathon Oil Corp. | | | 234 | | | | 3,187 | |
APA Corp. | | | 112 | | | | 2,422 | |
Cabot Oil & Gas Corp. — Class A | | | 119 | | | | 2,078 | |
NOV, Inc.* | | | 116 | | | | 1,777 | |
Total Energy | | | | | | | 315,853 | |
| | | | | | | | | |
Utilities - 0.8% |
NextEra Energy, Inc. | | | 583 | | | | 42,722 | |
Duke Energy Corp. | | | 229 | | | | 22,607 | |
Southern Co. | | | 315 | | | | 19,061 | |
Dominion Energy, Inc. | | | 240 | | | | 17,657 | |
Exelon Corp. | | | 291 | | | | 12,894 | |
American Electric Power Company, Inc. | | | 149 | | | | 12,604 | |
Sempra Energy | | | 94 | | | | 12,453 | |
Xcel Energy, Inc. | | | 160 | | | | 10,541 | |
Public Service Enterprise Group, Inc. | | | 150 | | | | 8,961 | |
WEC Energy Group, Inc. | | | 94 | | | | 8,361 | |
American Water Works Company, Inc. | | | 54 | | | | 8,323 | |
Eversource Energy | | | 102 | | | | 8,184 | |
DTE Energy Co. | | | 58 | | | | 7,517 | |
Consolidated Edison, Inc. | | | 102 | | | | 7,315 | |
Edison International | | | 113 | | | | 6,534 | |
PPL Corp. | | | 229 | | | | 6,405 | |
Ameren Corp. | | | 76 | | | | 6,083 | |
FirstEnergy Corp. | | | 162 | | | | 6,028 | |
Entergy Corp. | | | 60 | | | | 5,982 | |
AES Corp. | | | 198 | | | | 5,162 | |
CMS Energy Corp. | | | 86 | | | | 5,081 | |
CenterPoint Energy, Inc. | | | 173 | | | | 4,242 | |
Alliant Energy Corp. | | | 74 | | | | 4,126 | |
Evergy, Inc. | | | 68 | | | | 4,109 | |
Atmos Energy Corp. | | | 39 | | | | 3,748 | |
NRG Energy, Inc. | | | 73 | | | | 2,942 | |
NiSource, Inc. | | | 117 | | | | 2,867 | |
Pinnacle West Capital Corp. | | | 34 | | | | 2,787 | |
Total Utilities | | | | | | | 265,296 | |
| | | | | | | | | |
Basic Materials - 0.7% |
Linde plc | | | 155 | | | | 44,810 | |
Sherwin-Williams Co. | | | 71 | | | | 19,344 | |
Air Products and Chemicals, Inc. | | | 66 | | | | 18,987 | |
Freeport-McMoRan, Inc. | | | 436 | | | | 16,180 | |
Ecolab, Inc. | | | 74 | | | | 15,242 | |
Newmont Corp. | | | 238 | | | | 15,084 | |
Dow, Inc. | | | 222 | | | | 14,048 | |
DuPont de Nemours, Inc. | | | 158 | | | | 12,231 | |
PPG Industries, Inc. | | | 70 | | | | 11,884 | |
International Flavors & Fragrances, Inc. | | | 74 | | | | 11,055 | |
Nucor Corp. | | | 89 | | | | 8,538 | |
LyondellBasell Industries N.V. — Class A | | | 77 | | | | 7,921 | |
International Paper Co. | | | 116 | | | | 7,112 | |
Albemarle Corp. | | | 35 | | | | 5,896 | |
Celanese Corp. — Class A | | | 33 | | | | 5,003 | |
Eastman Chemical Co. | | | 41 | | | | 4,787 | |
FMC Corp. | | | 38 | | | | 4,111 | |
CF Industries Holdings, Inc. | | | 64 | | | | 3,293 | |
Mosaic Co. | | | 103 | | | | 3,287 | |
Total Basic Materials | | | | | | | 228,813 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $9,875,191) | | | | | | | 10,796,650 | |
| | | | | | | | | |
MUTUAL FUNDS† - 14.2% |
Guggenheim Strategy Fund II2 | | | 173,740 | | | | 4,341,758 | |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 59,204 | | | | 590,261 | |
Total Mutual Funds | | | | |
(Cost $4,872,350) | | | | | | | 4,932,019 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 2.1% |
U.S. Treasury Bills |
0.04% due 12/09/213,4 | | $ | 391,000 | | | | 390,909 | |
0.05% due 12/09/214 | | | 250,000 | | | | 249,941 | |
0.01% due 08/03/214,5 | | | 89,000 | | | | 88,996 | |
Total U.S. Treasury Bills | | | | |
(Cost $729,875) | | | | | | | 729,846 | |
| | | | | | | | | |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
S&P 500® 2x STRATEGY FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,6 - 32.5% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/213 | | $ | 6,327,343 | | | $ | 6,327,343 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/213 | | | 2,491,069 | | | | 2,491,069 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/213 | | | 2,442,225 | | | | 2,442,225 | |
Total Repurchase Agreements | | | | |
(Cost $11,260,637) | | | | | | | 11,260,637 | |
| | | | | | | | | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,7 - 0.0% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%8 | | | 10,250 | | | | 10,250 | |
Total Securities Lending Collateral | | | | |
(Cost $10,250) | | | | | | | 10,250 | |
| | | | | | | | | |
Total Investments - 80.0% | | | | |
(Cost $26,748,303) | | $ | 27,729,402 | |
Other Assets & Liabilities, net - 20.0% | | | 6,943,592 | |
Total Net Assets - 100.0% | | $ | 34,672,994 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Depreciation** | |
Equity Futures Contracts Purchased† |
S&P 500 Index Mini Futures Contracts | | | 8 | | | | Sep 2021 | | | $ | 1,714,600 | | | $ | (340 | ) |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay
(Receive) | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Goldman Sachs International | S&P 500 Index | 0.54% (1 Week USD LIBOR + 0.45%) | At Maturity | | | 07/15/21 | | | | 8,416 | | | $ | 36,166,488 | | | $ | 577,172 | |
Barclays Bank plc | S&P 500 Index | 0.54% (1 Week USD LIBOR + 0.45%) | At Maturity | | | 07/14/21 | | | | 3,842 | | | | 16,511,274 | | | | 244,639 | |
BNP Paribas | S&P 500 Index | 0.64% (1 Month USD LIBOR + 0.55%) | At Maturity | | | 07/15/21 | | | | 945 | | | | 4,062,581 | | | | 87,628 | |
| | | | | | | | | | | | | | $ | 56,740,343 | | | $ | 909,439 | |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 on loan at June 30, 2021 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2021. |
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, 2021. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | LIBOR — London Interbank Offered Rate |
| | 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 | 47 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
S&P 500® 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 10,796,650 | | | $ | — | | | $ | — | | | $ | 10,796,650 | |
Mutual Funds | | | 4,932,019 | | | | — | | | | — | | | | 4,932,019 | |
U.S. Treasury Bills | | | — | | | | 729,846 | | | | — | | | | 729,846 | |
Repurchase Agreements | | | — | | | | 11,260,637 | | | | — | | | | 11,260,637 | |
Securities Lending Collateral | | | 10,250 | | | | — | | | | — | | | | 10,250 | |
Equity Index Swap Agreements* | | | — | | | | 909,439 | | | | — | | | | 909,439 | |
Total Assets | | $ | 15,738,919 | | | $ | 12,899,922 | | | $ | — | | | $ | 28,638,841 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Futures Contracts* | | $ | 340 | | | $ | — | | | $ | — | | | $ | 340 | |
* | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 3,935,408 | | | $ | 4,501,395 | | | $ | (4,100,000 | ) | | $ | 56,710 | | | $ | (51,755 | ) | | $ | 4,341,758 | | | | 173,740 | | | $ | 26,778 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 4,808,189 | | | | 18,680,696 | | | | (22,900,000 | ) | | | 56,054 | | | | (54,678 | ) | | | 590,261 | | | | 59,204 | | | | 20,950 | |
| | | $ | 8,743,597 | | | $ | 23,182,091 | | | $ | (27,000,000 | ) | | $ | 112,764 | | | $ | (106,433 | ) | | $ | 4,932,019 | | | | | | | $ | 47,728 | |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value - including $10,194 of securities loaned (cost $10,615,316) | | $ | 11,536,746 | |
Investments in affiliated issuers, at value (cost $4,872,350) | | | 4,932,019 | |
Repurchase agreements, at value (cost $11,260,637) | | | 11,260,637 | |
Cash | | | 61 | |
Segregated cash with broker | | | 770,448 | |
Unrealized appreciation on OTC swap agreements | | | 909,439 | |
Receivables: |
Securities sold | | | 20,014,679 | |
Swap settlement | | | 653,674 | |
Fund shares sold | | | 457,213 | |
Dividends | | | 22,663 | |
Interest | | | 14 | |
Securities lending income | | | 1 | |
Total assets | | | 50,557,594 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 15,735,228 | |
Management fees | | | 30,885 | |
Variation margin on futures contracts | | | 13,713 | |
Return of securities lending collateral | | | 10,250 | |
Investor service fees | | | 8,731 | |
Transfer agent and administrative fees | | | 7,648 | |
Securities purchased | | | 6,905 | |
Portfolio accounting fees | | | 3,492 | |
Trustees’ fees* | | | 464 | |
Miscellaneous | | | 67,284 | |
Total liabilities | | | 15,884,600 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 34,672,994 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 31,494,803 | |
Total distributable earnings (loss) | | | 3,178,191 | |
Net assets | | $ | 34,672,994 | |
Capital shares outstanding | | | 84,609 | |
Net asset value per share | | $ | 409.80 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $14) | | $ | 155,759 | |
Dividends from securities of affiliated issuers | | | 47,728 | |
Interest | | | 7,283 | |
Income from securities lending, net | | | 19 | |
Total investment income | | | 210,789 | |
| | | | | |
Expenses: |
Management fees | | | 189,509 | |
Investor service fees | | | 52,641 | |
Transfer agent and administrative fees | | | 69,502 | |
Professional fees | | | 28,251 | |
Portfolio accounting fees | | | 21,056 | |
Trustees’ fees* | | | 4,149 | |
Custodian fees | | | 3,370 | |
Line of credit fees | | | 2,488 | |
Interest expense | | | 3 | |
Miscellaneous | | | 893 | |
Total expenses | | | 371,862 | |
Less: |
Expenses reimbursed by Adviser | | | (1,746 | ) |
Expenses waived by Adviser | | | (5,528 | ) |
Total waived/reimbursed expenses | | | (7,274 | ) |
Net expenses | | | 364,588 | |
Net investment loss | | | (153,799 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 2,912,853 | |
Investments in affiliated issuers | | | 112,764 | |
Swap agreements | | | 5,534,800 | |
Futures contracts | | | (524,759 | ) |
Net realized gain | | | 8,035,658 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (542,462 | ) |
Investments in affiliated issuers | | | (106,433 | ) |
Swap agreements | | | 549,995 | |
Futures contracts | | | (340 | ) |
Net change in unrealized appreciation (depreciation) | | | (99,240 | ) |
Net realized and unrealized gain | | | 7,936,418 | |
Net increase in net assets resulting from operations | | $ | 7,782,619 | |
* | 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 | 49 |
S&P 500® 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (153,799 | ) | | $ | (136,370 | ) |
Net realized gain (loss) on investments | | | 8,035,658 | | | | (6,034,312 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (99,240 | ) | | | 1,118,782 | |
Net increase (decrease) in net assets resulting from operations | | | 7,782,619 | | | | (5,051,900 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (6,283,511 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 709,176,930 | | | | 666,124,278 | |
Distributions reinvested | | | — | | | | 6,283,511 | |
Cost of shares redeemed | | | (718,974,381 | ) | | | (678,580,309 | ) |
Net decrease from capital share transactions | | | (9,797,451 | ) | | | (6,172,520 | ) |
Net decrease in net assets | | | (2,014,832 | ) | | | (17,507,931 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 36,687,826 | | | | 54,195,757 | |
End of period | | $ | 34,672,994 | | | $ | 36,687,826 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 1,979,025 | | | | 2,451,470 | |
Shares issued from reinvestment of distributions | | | — | | | | 25,952 | |
Shares redeemed | | | (2,010,725 | ) | | | (2,534,148 | ) |
Net decrease in shares | | | (31,700 | ) | | | (56,726 | ) |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® 2x STRATEGY FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 315.43 | | | $ | 313.21 | | | $ | 192.73 | | | $ | 244.38 | | | $ | 176.52 | | | $ | 165.22 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (1.31 | ) | | | (1.21 | ) | | | 1.59 | | | | 1.48 | | | | .13 | | | | (.53 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 95.68 | | | | 45.29 | f | | | 118.89 | | | | (35.10 | ) | | | 75.18 | | | | 32.62 | |
Total from investment operations | | | 94.37 | | | | 44.08 | | | | 120.48 | | | | (33.62 | ) | | | 75.31 | | | | 32.09 | |
Less distributions from: |
Net investment income | | | — | | | | (1.68 | ) | | | — | | | | (.14 | ) | | | — | | | | — | |
Net realized gains | | | — | | | | (40.18 | ) | | | — | | | | (17.89 | ) | | | (7.45 | ) | | | (20.79 | ) |
Total distributions | | | — | | | | (41.86 | ) | | | — | | | | (18.03 | ) | | | (7.45 | ) | | | (20.79 | ) |
Net asset value, end of period | | $ | 409.80 | | | $ | 315.43 | | | $ | 313.21 | | | $ | 192.73 | | | $ | 244.38 | | | $ | 176.52 | |
|
Total Returnc | | | 29.92 | % | | | 18.10 | % | | | 62.51 | % | | | (15.41 | %) | | | 43.49 | % | | | 20.40 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 34,673 | | | $ | 36,688 | | | $ | 54,196 | | | $ | 31,177 | | | $ | 36,513 | | | $ | 24,895 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.73 | %) | | | (0.44 | %) | | | 0.62 | % | | | 0.60 | % | | | 0.06 | % | | | (0.32 | %) |
Total expensesd | | | 1.77 | % | | | 1.87 | % | | | 1.87 | % | | | 1.77 | % | | | 1.76 | % | | | 1.71 | % |
Net expensese | | | 1.73 | % | | | 1.83 | % | | | 1.80 | % | | | 1.77 | % | | | 1.76 | % | | | 1.71 | % |
Portfolio turnover rate | | | 2,241 | % | | | 2,610 | % | | | 248 | % | | | 424 | % | | | 282 | % | | | 578 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | The amount shown for a share outstanding throughout the period does not agree with the aggregate net loss on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments in the Fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 | 12.2% |
Apple, Inc. | 7.4% |
Microsoft Corp. | 6.6% |
Amazon.com, Inc. | 5.6% |
Facebook, Inc. — Class A | 2.7% |
Alphabet, Inc. — Class C | 2.6% |
Tesla, Inc. | 2.6% |
NVIDIA Corp. | 2.5% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 2.4% |
Alphabet, Inc. — Class A | 2.4% |
Top Ten Total | 47.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
NASDAQ-100® 2x Strategy Fund | 24.34% | 93.73% | 50.72% | 37.73% |
NASDAQ-100 Index | 13.34% | 44.36% | 28.24% | 21.53% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
NASDAQ-100® 2x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 67.6% |
| | | | | | | | | |
Technology - 30.3% |
Apple, Inc. | | | 86,087 | | | $ | 11,790,476 | |
Microsoft Corp. | | | 38,853 | | | | 10,525,278 | |
NVIDIA Corp. | | | 4,891 | | | | 3,913,289 | |
Adobe, Inc.* | | | 3,752 | | | | 2,197,321 | |
Intel Corp. | | | 31,699 | | | | 1,779,582 | |
Broadcom, Inc. | | | 3,205 | | | | 1,528,272 | |
Texas Instruments, Inc. | | | 7,250 | | | | 1,394,175 | |
QUALCOMM, Inc. | | | 8,855 | | | | 1,265,645 | |
Intuit, Inc. | | | 2,145 | | | | 1,051,415 | |
Applied Materials, Inc. | | | 7,175 | | | | 1,021,720 | |
Advanced Micro Devices, Inc.* | | | 9,538 | | | | 895,904 | |
Micron Technology, Inc.* | | | 8,803 | | | | 748,079 | |
Lam Research Corp. | | | 1,120 | | | | 728,784 | |
Zoom Video Communications, Inc. — Class A* | | | 1,855 | | | | 717,941 | |
Activision Blizzard, Inc. | | | 6,100 | | | | 582,184 | |
Fiserv, Inc.* | | | 5,234 | | | | 559,462 | |
Autodesk, Inc.* | | | 1,728 | | | | 504,403 | |
Analog Devices, Inc. | | | 2,895 | | | | 498,403 | |
NXP Semiconductor N.V. | | | 2,165 | | | | 445,384 | |
ASML Holding N.V. — Class G | | | 624 | | | | 431,084 | |
DocuSign, Inc.* | | | 1,527 | | | | 426,903 | |
KLA Corp. | | | 1,203 | | | | 390,025 | |
Marvell Technology, Inc. | | | 6,431 | | | | 375,120 | |
Workday, Inc. — Class A* | | | 1,484 | | | | 354,290 | |
Synopsys, Inc.* | | | 1,198 | | | | 330,397 | |
Electronic Arts, Inc. | | | 2,247 | | | | 323,186 | |
Microchip Technology, Inc. | | | 2,147 | | | | 321,492 | |
Paychex, Inc. | | | 2,829 | | | | 303,552 | |
Cadence Design Systems, Inc.* | | | 2,184 | | | | 298,815 | |
Cognizant Technology Solutions Corp. — Class A | | | 4,140 | | | | 286,736 | |
Xilinx, Inc. | | | 1,930 | | | | 279,155 | |
Atlassian Corporation plc — Class A* | | | 1,062 | | | | 272,785 | |
NetEase, Inc. ADR | | | 2,365 | | | | 272,566 | |
Skyworks Solutions, Inc. | | | 1,296 | | | | 248,508 | |
ANSYS, Inc.* | | | 684 | | | | 237,389 | |
Maxim Integrated Products, Inc. | | | 2,107 | | | | 221,994 | |
Splunk, Inc.* | | | 1,287 | | | | 186,075 | |
Cerner Corp. | | | 2,365 | | | | 184,848 | |
Check Point Software Technologies Ltd.* | | | 1,062 | | | | 123,330 | |
Total Technology | | | | | | | 48,015,967 | |
| | | | | | | | | |
Communications - 21.3% |
Amazon.com, Inc.* | | | 2,602 | | | | 8,951,296 | |
Facebook, Inc. — Class A* | | | 12,361 | | | | 4,298,043 | |
Alphabet, Inc. — Class C* | | | 1,669 | | | | 4,183,048 | |
Alphabet, Inc. — Class A* | | | 1,551 | | | | 3,787,216 | |
Comcast Corp. — Class A | | | 35,992 | | | | 2,052,264 | |
Netflix, Inc.* | | | 3,481 | | | | 1,838,699 | |
Cisco Systems, Inc. | | | 33,082 | | | | 1,753,346 | |
T-Mobile US, Inc.* | | | 9,788 | | | | 1,417,596 | |
Charter Communications, Inc. — Class A* | | | 1,481 | | | | 1,068,467 | |
Booking Holdings, Inc.* | | | 322 | | | | 704,565 | |
MercadoLibre, Inc.* | | | 391 | | | | 609,096 | |
JD.com, Inc. ADR* | | | 6,326 | | | | 504,878 | |
Baidu, Inc. ADR* | | | 2,034 | | | | 414,733 | |
Pinduoduo, Inc. ADR* | | | 2,970 | | | | 377,249 | |
eBay, Inc. | | | 5,348 | | | | 375,483 | |
Match Group, Inc.* | | | 2,122 | | | | 342,172 | |
Okta, Inc.* | | | 982 | | | | 240,276 | |
Sirius XM Holdings, Inc.1 | | | 32,113 | | | | 210,019 | |
VeriSign, Inc.* | | | 884 | | | | 201,278 | |
CDW Corp. | | | 1,101 | | | | 192,290 | |
Trip.com Group Ltd. ADR* | | | 4,136 | | | | 146,663 | |
Fox Corp. — Class A | | | 2,566 | | | | 95,276 | |
Fox Corp. — Class B | | | 1,988 | | | | 69,978 | |
Total Communications | | | | | | | 33,833,931 | |
| | | | | | | | | |
Consumer, Non-cyclical - 9.0% |
PayPal Holdings, Inc.* | | | 9,222 | | | | 2,688,028 | |
PepsiCo, Inc. | | | 10,846 | | | | 1,607,052 | |
Amgen, Inc. | | | 4,510 | | | | 1,099,312 | |
Intuitive Surgical, Inc.* | | | 930 | | | | 855,265 | |
Moderna, Inc.* | | | 3,152 | | | | 740,657 | |
Mondelez International, Inc. — Class A | | | 11,027 | | | | 688,526 | |
Gilead Sciences, Inc. | | | 9,845 | | | | 677,927 | |
Automatic Data Processing, Inc. | | | 3,340 | | | | 663,391 | |
Illumina, Inc.* | | | 1,146 | | | | 542,299 | |
Regeneron Pharmaceuticals, Inc.* | | | 822 | | | | 459,120 | |
IDEXX Laboratories, Inc.* | | | 669 | | | | 422,507 | |
Vertex Pharmaceuticals, Inc.* | | | 2,032 | | | | 409,712 | |
Biogen, Inc.* | | | 1,182 | | | | 409,291 | |
Keurig Dr Pepper, Inc. | | | 11,127 | | | | 392,116 | |
Kraft Heinz Co. | | | 9,602 | | | | 391,569 | |
Align Technology, Inc.* | | | 621 | | | | 379,431 | |
Monster Beverage Corp.* | | | 4,149 | | | | 379,011 | |
DexCom, Inc.* | | | 759 | | | | 324,093 | |
Alexion Pharmaceuticals, Inc.* | | | 1,735 | | | | 318,737 | |
Cintas Corp. | | | 825 | | | | 315,150 | |
Seagen, Inc.* | | | 1,425 | | | | 224,979 | |
Verisk Analytics, Inc. — Class A | | | 1,272 | | | | 222,244 | |
Incyte Corp.* | | | 1,726 | | | | 145,208 | |
Total Consumer, Non-cyclical | | | | | | | 14,355,625 | |
| | | | | | | | | |
Consumer, Cyclical - 6.0% |
Tesla, Inc.* | | | 6,150 | | | | 4,180,155 | |
Costco Wholesale Corp. | | | 3,474 | | | | 1,374,558 | |
Starbucks Corp. | | | 9,250 | | | | 1,034,242 | |
Lululemon Athletica, Inc.* | | | 982 | | | | 358,401 | |
Walgreens Boots Alliance, Inc. | | | 6,786 | | | | 357,011 | |
Marriott International, Inc. — Class A* | | | 2,556 | | | | 348,945 | |
Ross Stores, Inc. | | | 2,799 | | | | 347,076 | |
O’Reilly Automotive, Inc.* | | | 548 | | | | 310,283 | |
Peloton Interactive, Inc. — Class A* | | | 2,110 | | | | 261,682 | |
Copart, Inc.* | | | 1,857 | | | | 244,808 | |
PACCAR, Inc. | | | 2,725 | | | | 243,206 | |
Fastenal Co. | | | 4,510 | | | | 234,520 | |
Dollar Tree, Inc.* | | | 1,821 | | | | 181,190 | |
Total Consumer, Cyclical | | | | | | | 9,476,077 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
NASDAQ-100® 2x STRATEGY FUND | |
| | Shares | | | Value | |
Utilities - 0.6% |
Exelon Corp. | | | 7,671 | | | $ | 339,902 | |
American Electric Power Company, Inc. | | | 3,923 | | | | 331,847 | |
Xcel Energy, Inc. | | | 4,225 | | | | 278,343 | |
Total Utilities | | | | | | | 950,092 | |
| | | | | | | | | |
Industrial - 0.4% |
CSX Corp. | | | 17,838 | | | | 572,243 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $82,021,071) | | | | | | | 107,203,935 | |
| | | | | | | | | |
MUTUAL FUNDS† - 14.6% |
Guggenheim Strategy Fund II2 | | | 775,801 | | | | 19,387,270 | |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 383,217 | | | | 3,820,673 | |
Total Mutual Funds | | | | |
(Cost $22,889,825) | | | | | | | 23,207,943 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 6.2% |
U.S. Treasury Bills |
0.04% due 12/09/213,4 | | $ | 7,600,000 | | | | 7,598,216 | |
0.01% due 08/03/214,5 | | | 1,930,000 | | | | 1,929,918 | |
0.03% due 08/03/214 | | | 306,000 | | | | 305,987 | |
Total U.S. Treasury Bills | | | | |
(Cost $9,834,681) | | | | | | | 9,834,121 | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,6 - 5.6% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/213 | | | 5,015,613 | | | | 5,015,613 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/213 | | | 1,974,642 | | | | 1,974,642 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/213 | | | 1,935,924 | | | | 1,935,924 | |
Total Repurchase Agreements | | | | |
(Cost $8,926,179) | | | | | | | 8,926,179 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,7 - 0.1% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%8 | | | 162,567 | | | | 162,567 | |
Total Securities Lending Collateral | | | | |
(Cost $162,567) | | | | | | | 162,567 | |
| | | | | | | | | |
Total Investments - 94.1% | | | | |
(Cost $123,834,323) | | $ | 149,334,745 | |
Other Assets & Liabilities, net - 5.9% | | | 9,314,465 | |
Total Net Assets - 100.0% | | $ | 158,649,210 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
NASDAQ-100 Index Mini Futures Contracts | | | 139 | | | | Sep 2021 | | | $ | 40,430,930 | | | $ | 1,558,206 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay
(Receive) | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Barclays Bank plc | NASDAQ-100 Index | 0.59% (1 Week USD LIBOR + 0.50%) | At Maturity | | | 07/14/21 | | | | 6,189 | | | $ | 90,083,521 | | | $ | 5,552,206 | |
Goldman Sachs International | NASDAQ-100 Index | 0.64% (1 Week USD LIBOR + 0.55%) | At Maturity | | | 07/15/21 | | | | 5,201 | | | | 75,692,722 | | | | 3,593,228 | |
BNP Paribas | NASDAQ-100 Index | 0.74% (1 Month USD LIBOR + 0.65%) | At Maturity | | | 07/15/21 | | | | 257 | | | | 3,741,674 | | | | 158,902 | |
| | | | | | | | | | | | | | $ | 169,517,917 | | | $ | 9,304,336 | |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
NASDAQ-100® 2x STRATEGY FUND | |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 on loan at June 30, 2021 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2021. |
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, 2021. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | ADR — American Depositary Receipt |
| | LIBOR — London Interbank Offered Rate |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 107,203,935 | | | $ | — | | | $ | — | | | $ | 107,203,935 | |
Mutual Funds | | | 23,207,943 | | | | — | | | | — | | | | 23,207,943 | |
U.S. Treasury Bills | | | — | | | | 9,834,121 | | | | — | | | | 9,834,121 | |
Repurchase Agreements | | | — | | | | 8,926,179 | | | | — | | | | 8,926,179 | |
Securities Lending Collateral | | | 162,567 | | | | — | | | | — | | | | 162,567 | |
Equity Futures Contracts** | | | 1,558,206 | | | | — | | | | — | | | | 1,558,206 | |
Equity Index Swap Agreements** | | | — | | | | 9,304,336 | | | | — | | | | 9,304,336 | |
Total Assets | | $ | 132,132,651 | | | $ | 28,064,636 | | | $ | — | | | $ | 160,197,287 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
NASDAQ-100® 2x STRATEGY FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 19,837,695 | | | $ | 205,782 | | | $ | (680,000 | ) | | $ | 709 | | | $ | 23,084 | | | $ | 19,387,270 | | | | 775,801 | | | $ | 132,707 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 10,913,117 | | | | 2,709,711 | | | | (9,800,000 | ) | | | 77,057 | | | | (79,212 | ) | | | 3,820,673 | | | | 383,217 | | | | 30,289 | |
| | | $ | 30,750,812 | | | $ | 2,915,493 | | | $ | (10,480,000 | ) | | $ | 77,766 | | | $ | (56,128 | ) | | $ | 23,207,943 | | | | | | | $ | 162,996 | |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NASDAQ-100® 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value - including $157,509 of securities loaned (cost $92,018,319) | | $ | 117,200,623 | |
Investments in affiliated issuers, at value (cost $22,889,825) | | | 23,207,943 | |
Repurchase agreements, at value (cost $8,926,179) | | | 8,926,179 | |
Unrealized appreciation on OTC swap agreements | | | 9,304,336 | |
Receivables: |
Fund shares sold | | | 306,382 | |
Swap settlement | | | 279,868 | |
Dividends | | | 39,582 | |
Securities lending income | | | 20 | |
Interest | | | 11 | |
Total assets | | | 159,264,944 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 162,567 | |
Management fees | | | 101,846 | |
Professional fees | | | 74,463 | |
Variation margin on futures contracts | | | 54,210 | |
Investor service fees | | | 28,508 | |
Securities purchased | | | 26,392 | |
Transfer agent and administrative fees | | | 24,974 | |
Fund shares redeemed | | | 16,093 | |
Portfolio accounting fees | | | 11,403 | |
Trustees’ fees* | | | 1,289 | |
Miscellaneous | | | 113,989 | |
Total liabilities | | | 615,734 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 158,649,210 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 106,450,067 | |
Total distributable earnings (loss) | | | 52,199,143 | |
Net assets | | $ | 158,649,210 | |
Capital shares outstanding | | | 901,467 | |
Net asset value per share | | $ | 175.99 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $406) | | $ | 268,809 | |
Dividends from securities of affiliated issuers | | | 162,996 | |
Interest | | | 4,132 | |
Income from securities lending, net | | | 121 | |
Total investment income | | | 436,058 | |
| | | | | |
Expenses: |
Management fees | | | 552,749 | |
Investor service fees | | | 153,541 | |
Transfer agent and administrative fees | | | 201,205 | |
Professional fees | | | 90,466 | |
Portfolio accounting fees | | | 61,416 | |
Trustees’ fees* | | | 11,491 | |
Custodian fees | | | 8,664 | |
Miscellaneous | | | 21,168 | |
Total expenses | | | 1,100,700 | |
Less: |
Expenses reimbursed by Adviser | | | (5,702 | ) |
Expenses waived by Adviser | | | (8,211 | ) |
Total waived/reimbursed expenses | | | (13,913 | ) |
Net expenses | | | 1,086,787 | |
Net investment loss | | | (650,729 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (1,992,548 | ) |
Investments in affiliated issuers | | | 77,766 | |
Swap agreements | | | 7,184,456 | |
Futures contracts | | | 376,352 | |
Net realized gain | | | 5,646,026 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 9,262,195 | |
Investments in affiliated issuers | | | (56,128 | ) |
Swap agreements | | | 8,655,826 | |
Futures contracts | | | 1,346,544 | |
Net change in unrealized appreciation (depreciation) | | | 19,208,437 | |
Net realized and unrealized gain | | | 24,854,463 | |
Net increase in net assets resulting from operations | | $ | 24,203,734 | |
* | 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 | 57 |
NASDAQ-100® 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (650,729 | ) | | $ | (837,348 | ) |
Net realized gain on investments | | | 5,646,026 | | | | 52,261,748 | |
Net change in unrealized appreciation (depreciation) on investments | | | 19,208,437 | | | | 16,407,356 | |
Net increase in net assets resulting from operations | | | 24,203,734 | | | | 67,831,756 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (18,829,665 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 213,508,224 | | | | 720,453,470 | |
Distributions reinvested | | | — | | | | 18,829,665 | |
Cost of shares redeemed | | | (210,111,820 | ) | | | (757,046,894 | ) |
Net increase (decrease) from capital share transactions | | | 3,396,404 | | | | (17,763,759 | ) |
Net increase in net assets | | | 27,600,138 | | | | 31,238,332 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 131,049,072 | | | | 99,810,740 | |
End of period | | $ | 158,649,210 | | | $ | 131,049,072 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 1,362,603 | | | | 7,323,669 | |
Shares issued from reinvestment of distributions | | | — | | | | 181,473 | |
Shares redeemed | | | (1,387,040 | ) | | | (7,672,011 | ) |
Net decrease in shares | | | (24,437 | ) | | | (166,869 | ) |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NASDAQ-100® 2x STRATEGY FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 141.54 | | | $ | 91.34 | | | $ | 50.68 | | | $ | 64.95 | | | $ | 38.79 | | | $ | 38.67 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.80 | ) | | | (.88 | ) | | | .22 | | | | .14 | | | | (.17 | ) | | | (.22 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 35.25 | | | | 72.46 | | | | 40.55 | | | | (2.70 | ) | | | 26.97 | | | | 3.57 | |
Total from investment operations | | | 34.45 | | | | 71.58 | | | | 40.77 | | | | (2.56 | ) | | | 26.80 | | | | 3.35 | |
Less distributions from: |
Net investment income | | | — | | | | (.30 | ) | | | (.11 | ) | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | (21.08 | ) | | | — | | | | (11.71 | ) | | | (.64 | ) | | | (3.23 | ) |
Total distributions | | | — | | | | (21.38 | ) | | | (.11 | ) | | | (11.71 | ) | | | (.64 | ) | | | (3.23 | ) |
Net asset value, end of period | | $ | 175.99 | | | $ | 141.54 | | | $ | 91.34 | | | $ | 50.68 | | | $ | 64.95 | | | $ | 38.79 | |
|
Total Returnc | | | 24.34 | % | | | 86.87 | % | | | 80.50 | % | | | (9.31 | %) | | | 69.49 | % | | | 9.60 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 158,649 | | | $ | 131,049 | | | $ | 99,811 | | | $ | 58,680 | | | $ | 70,853 | | | $ | 41,115 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.06 | %) | | | (0.83 | %) | | | 0.30 | % | | | 0.21 | % | | | (0.32 | %) | | | (0.62 | %) |
Total expensesd | | | 1.79 | % | | | 1.91 | % | | | 1.91 | % | | | 1.81 | % | | | 1.80 | % | | | 1.75 | % |
Net expensese | | | 1.77 | % | | | 1.87 | % | | | 1.84 | % | | | 1.80 | % | | | 1.80 | % | | | 1.75 | % |
Portfolio turnover rate | | | 175 | % | | | 663 | % | | | 346 | % | | | 220 | % | | | 97 | % | | | 494 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 | 12.5% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 11.1% |
Bio-Techne Corp. | 0.5% |
Cognex Corp. | 0.4% |
Molina Healthcare, Inc. | 0.4% |
Fair Isaac Corp. | 0.4% |
SolarEdge Technologies, Inc. | 0.4% |
XPO Logistics, Inc. | 0.4% |
Signature Bank | 0.4% |
Camden Property Trust | 0.4% |
Top Ten Total | 26.9% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Mid-Cap 1.5x Strategy Fund | 25.60% | 84.25% | 16.97% | 14.80% |
S&P MidCap 400 Index | 17.59% | 53.24% | 14.29% | 12.40% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
MID-CAP 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 64.1% |
| | | | | | | | | |
Financial - 15.5% |
Signature Bank | | | 110 | | | $ | 27,021 | |
Camden Property Trust REIT | | | 187 | | | | 24,809 | |
Brown & Brown, Inc. | | | 447 | | | | 23,754 | |
Medical Properties Trust, Inc. REIT | | | 1,124 | | | | 22,592 | |
East West Bancorp, Inc. | | | 272 | | | | 19,500 | |
Jones Lang LaSalle, Inc.* | | | 98 | | | | 19,155 | |
First Horizon Corp. | | | 1,056 | | | | 18,248 | |
Alleghany Corp.* | | | 27 | | | | 18,011 | |
Lamar Advertising Co. — Class A REIT | | | 166 | | | | 17,334 | |
CyrusOne, Inc. REIT | | | 234 | | | | 16,736 | |
American Financial Group, Inc. | | | 132 | | | | 16,463 | |
Omega Healthcare Investors, Inc. REIT | | | 450 | | | | 16,331 | |
STORE Capital Corp. REIT | | | 465 | | | | 16,047 | |
Life Storage, Inc. REIT | | | 147 | | | | 15,780 | |
National Retail Properties, Inc. REIT | | | 336 | | | | 15,752 | |
Commerce Bancshares, Inc. | | | 201 | | | | 14,986 | |
Reinsurance Group of America, Inc. — Class A | | | 130 | | | | 14,820 | |
Rexford Industrial Realty, Inc. REIT | | | 256 | | | | 14,579 | |
Apartment Income REIT Corp. | | | 300 | | | | 14,229 | |
RenaissanceRe Holdings Ltd. | | | 95 | | | | 14,138 | |
Kilroy Realty Corp. REIT | | | 202 | | | | 14,067 | |
SEI Investments Co. | | | 227 | | | | 14,067 | |
Old Republic International Corp. | | | 541 | | | | 13,476 | |
First Financial Bankshares, Inc. | | | 272 | | | | 13,363 | |
Stifel Financial Corp. | | | 202 | | | | 13,102 | |
First American Financial Corp. | | | 210 | | | | 13,094 | |
Jefferies Financial Group, Inc. | | | 382 | | | | 13,064 | |
Brixmor Property Group, Inc. REIT | | | 568 | | | | 13,002 | |
SLM Corp. | | | 617 | | | | 12,920 | |
First Industrial Realty Trust, Inc. REIT | | | 247 | | | | 12,901 | |
Pinnacle Financial Partners, Inc. | | | 146 | | | | 12,890 | |
Prosperity Bancshares, Inc. | | | 178 | | | | 12,780 | |
Janus Henderson Group plc | | | 326 | | | | 12,652 | |
EastGroup Properties, Inc. REIT | | | 76 | | | | 12,498 | |
Synovus Financial Corp. | | | 284 | | | | 12,462 | |
Affiliated Managers Group, Inc. | | | 80 | | | | 12,337 | |
American Campus Communities, Inc. REIT | | | 263 | | | | 12,287 | |
Cullen/Frost Bankers, Inc. | | | 108 | | | | 12,096 | |
Primerica, Inc. | | | 76 | | | | 11,639 | |
Evercore, Inc. — Class A | | | 79 | | | | 11,121 | |
CoreSite Realty Corp. REIT | | | 82 | | | | 11,037 | |
SL Green Realty Corp. REIT | | | 133 | | | | 10,640 | |
Douglas Emmett, Inc. REIT | | | 315 | | | | 10,590 | |
Spirit Realty Capital, Inc. REIT | | | 220 | | | | 10,525 | |
Cousins Properties, Inc. REIT | | | 284 | | | | 10,446 | |
Valley National Bancorp | | | 776 | | | | 10,422 | |
Interactive Brokers Group, Inc. — Class A | | | 155 | | | | 10,188 | |
Glacier Bancorp, Inc. | | | 182 | | | | 10,025 | |
Alliance Data Systems Corp. | | | 96 | | | | 10,002 | |
CIT Group, Inc. | | | 190 | | | | 9,802 | |
New York Community Bancorp, Inc. | | | 889 | | | | 9,797 | |
Bank OZK | | | 231 | | | | 9,739 | |
Essent Group Ltd. | | | 216 | | | | 9,709 | |
Rayonier, Inc. REIT | | | 266 | | | | 9,557 | |
United Bankshares, Inc. | | | 257 | | | | 9,380 | |
Hanover Insurance Group, Inc. | | | 69 | | | | 9,359 | |
Selective Insurance Group, Inc. | | | 115 | | | | 9,332 | |
Park Hotels & Resorts, Inc. REIT* | | | 452 | | | | 9,316 | |
Webster Financial Corp. | | | 173 | | | | 9,228 | |
PacWest Bancorp | | | 223 | | | | 9,179 | |
Sterling Bancorp | | | 368 | | | | 9,123 | |
Highwoods Properties, Inc. REIT | | | 199 | | | | 8,989 | |
MGIC Investment Corp. | | | 648 | | | | 8,813 | |
Kemper Corp. | | | 116 | | | | 8,572 | |
Wintrust Financial Corp. | | | 109 | | | | 8,244 | |
Healthcare Realty Trust, Inc. REIT | | | 271 | | | | 8,184 | |
RLI Corp. | | | 77 | | | | 8,053 | |
Hudson Pacific Properties, Inc. REIT | | | 288 | | | | 8,012 | |
Umpqua Holdings Corp. | | | 422 | | | | 7,786 | |
UMB Financial Corp. | | | 83 | | | | 7,724 | |
Physicians Realty Trust REIT | | | 412 | | | | 7,610 | |
EPR Properties REIT* | | | 143 | | | | 7,533 | |
FNB Corp. | | | 610 | | | | 7,521 | |
Sabra Health Care REIT, | | | 413 | | | | 7,517 | |
Brighthouse Financial, Inc.* | | | 164 | | | | 7,469 | |
Hancock Whitney Corp. | | | 166 | | | | 7,377 | |
Weingarten Realty Investors REIT | | | 229 | | | | 7,344 | |
Home BancShares, Inc. | | | 290 | | | | 7,157 | |
PotlatchDeltic Corp. REIT | | | 128 | | | | 6,803 | |
Kinsale Capital Group, Inc. | | | 41 | | | | 6,756 | |
National Storage Affiliates Trust REIT | | | 132 | | | | 6,674 | |
JBG SMITH Properties REIT | | | 211 | | | | 6,649 | |
Navient Corp. | | | 343 | | | | 6,630 | |
Bank of Hawaii Corp. | | | 77 | | | | 6,485 | |
Texas Capital Bancshares, Inc.* | | | 97 | | | | 6,158 | |
Federated Hermes, Inc. — Class B | | | 179 | | | | 6,070 | |
Corporate Office Properties Trust REIT | | | 215 | | | | 6,018 | |
Associated Banc-Corp. | | | 293 | | | | 6,001 | |
CNO Financial Group, Inc. | | | 252 | | | | 5,952 | |
Pebblebrook Hotel Trust REIT | | | 251 | | | | 5,911 | |
Macerich Co. REIT | | | 320 | | | | 5,840 | |
PS Business Parks, Inc. REIT | | | 39 | | | | 5,775 | |
Cathay General Bancorp | | | 143 | | | | 5,628 | |
BancorpSouth Bank | | | 184 | | | | 5,213 | |
Fulton Financial Corp. | | | 311 | | | | 4,908 | |
International Bancshares Corp. | | | 107 | | | | 4,595 | |
LendingTree, Inc.* | | | 21 | | | | 4,450 | |
Washington Federal, Inc. | | | 138 | | | | 4,385 | |
Urban Edge Properties REIT | | | 210 | | | | 4,011 | |
Trustmark Corp. | | | 121 | | | | 3,727 | |
Mercury General Corp. | | | 51 | | | | 3,312 | |
Total Financial | | | | | | | 1,085,355 | |
| | | | | | | | | |
Industrial - 12.8% |
Cognex Corp. | | | 338 | | | | 28,409 | |
XPO Logistics, Inc.* | | | 195 | | | | 27,278 | |
Graco, Inc. | | | 324 | | | | 24,527 | |
Lennox International, Inc. | | | 66 | | | | 23,153 | |
Nordson Corp. | | | 103 | | | | 22,609 | |
Toro Co. | | | 205 | | | | 22,525 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MID-CAP 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Trex Company, Inc.* | | | 220 | | | $ | 22,486 | |
Axon Enterprise, Inc.* | | | 124 | | | | 21,923 | |
Owens Corning | | | 200 | | | | 19,580 | |
Hubbell, Inc. | | | 104 | | | | 19,431 | |
Carlisle Companies, Inc. | | | 100 | | | | 19,138 | |
Universal Display Corp. | | | 83 | | | | 18,453 | |
Middleby Corp.* | | | 106 | | | | 18,366 | |
AptarGroup, Inc. | | | 126 | | | | 17,746 | |
AECOM* | | | 280 | | | | 17,730 | |
Builders FirstSource, Inc.* | | | 396 | | | | 16,893 | |
Oshkosh Corp. | | | 131 | | | | 16,328 | |
Arrow Electronics, Inc.* | | | 142 | | | | 16,164 | |
AGCO Corp. | | | 118 | | | | 15,385 | |
Donaldson Company, Inc. | | | 241 | | | | 15,311 | |
ITT, Inc. | | | 164 | | | | 15,021 | |
Lincoln Electric Holdings, Inc. | | | 114 | | | | 15,015 | |
Jabil, Inc. | | | 256 | | | | 14,879 | |
II-VI, Inc.* | | | 200 | | | | 14,518 | |
Woodward, Inc. | | | 112 | | | | 13,762 | |
Acuity Brands, Inc. | | | 69 | | | | 12,905 | |
Sonoco Products Co. | | | 192 | | | | 12,845 | |
EMCOR Group, Inc. | | | 104 | | | | 12,812 | |
Tetra Tech, Inc. | | | 103 | | | | 12,570 | |
Stericycle, Inc.* | | | 175 | | | | 12,521 | |
TopBuild Corp.* | | | 63 | | | | 12,460 | |
Coherent, Inc.* | | | 47 | | | | 12,424 | |
MDU Resources Group, Inc. | | | 384 | | | | 12,035 | |
Littelfuse, Inc. | | | 47 | | | | 11,975 | |
Louisiana-Pacific Corp. | | | 195 | | | | 11,757 | |
Eagle Materials, Inc. | | | 82 | | | | 11,653 | |
MSA Safety, Inc. | | | 70 | | | | 11,590 | |
Landstar System, Inc. | | | 73 | | | | 11,535 | |
MasTec, Inc.* | | | 108 | | | | 11,459 | |
National Instruments Corp. | | | 252 | | | | 10,654 | |
Knight-Swift Transportation Holdings, Inc. | | | 234 | | | | 10,638 | |
Timken Co. | | | 131 | | | | 10,557 | |
Vontier Corp. | | | 322 | | | | 10,491 | |
Regal Beloit Corp. | | | 78 | | | | 10,414 | |
Colfax Corp.* | | | 225 | | | | 10,307 | |
Hexcel Corp.* | | | 161 | | | | 10,046 | |
Flowserve Corp. | | | 249 | | | | 10,040 | |
nVent Electric plc | | | 320 | | | | 9,997 | |
Valmont Industries, Inc. | | | 41 | | | | 9,678 | |
SYNNEX Corp. | | | 79 | | | | 9,619 | |
Curtiss-Wright Corp. | | | 79 | | | | 9,382 | |
Simpson Manufacturing Company, Inc. | | | 83 | | | | 9,166 | |
Clean Harbors, Inc.* | | | 96 | | | | 8,942 | |
Crane Co. | | | 95 | | | | 8,775 | |
EnerSys | | | 82 | | | | 8,014 | |
Ryder System, Inc. | | | 103 | | | | 7,656 | |
Avnet, Inc. | | | 190 | | | | 7,615 | |
Mercury Systems, Inc.* | | | 107 | | | | 7,092 | |
Kirby Corp.* | | | 115 | | | | 6,974 | |
Terex Corp. | | | 133 | | | | 6,333 | |
Silgan Holdings, Inc. | | | 150 | | | | 6,225 | |
GATX Corp. | | | 68 | | | | 6,016 | |
Kennametal, Inc. | | | 160 | | | | 5,747 | |
Vishay Intertechnology, Inc. | | | 254 | | | | 5,728 | |
Werner Enterprises, Inc. | | | 109 | | | | 4,853 | |
Energizer Holdings, Inc. | | | 111 | | | | 4,771 | |
Dycom Industries, Inc.* | | | 59 | | | | 4,397 | |
Belden, Inc. | | | 85 | | | | 4,299 | |
Fluor Corp.* | | | 240 | | | | 4,248 | |
Trinity Industries, Inc. | | | 155 | | | | 4,168 | |
Worthington Industries, Inc. | | | 67 | | | | 4,099 | |
Greif, Inc. — Class A | | | 51 | | | | 3,088 | |
Total Industrial | | | | | | | 897,200 | |
| | | | | | | | | |
Consumer, Non-cyclical - 11.2% |
Bio-Techne Corp. | | | 74 | | | | 33,319 | |
Molina Healthcare, Inc.* | | | 112 | | | | 28,343 | |
Masimo Corp.* | | | 97 | | | | 23,518 | |
Darling Ingredients, Inc.* | | | 312 | | | | 21,060 | |
PRA Health Sciences, Inc.* | | | 124 | | | | 20,486 | |
Jazz Pharmaceuticals plc* | | | 115 | | | | 20,429 | |
Repligen Corp.* | | | 98 | | | | 19,563 | |
Boston Beer Company, Inc. — Class A* | | | 18 | | | | 18,374 | |
Penumbra, Inc.* | | | 65 | | | | 17,814 | |
Neurocrine Biosciences, Inc.* | | | 181 | | | | 17,615 | |
Syneos Health, Inc.* | | | 193 | | | | 17,271 | |
Service Corporation International | | | 321 | | | | 17,202 | |
WEX, Inc.* | | | 85 | | | | 16,481 | |
Arrowhead Pharmaceuticals, Inc.* | | | 199 | | | | 16,481 | |
United Therapeutics Corp.* | | | 86 | | | | 15,429 | |
Amedisys, Inc.* | | | 62 | | | | 15,186 | |
Encompass Health Corp. | | | 191 | | | | 14,904 | |
Chemed Corp. | | | 31 | | | | 14,709 | |
Hill-Rom Holdings, Inc. | | | 127 | | | | 14,426 | |
Paylocity Holding Corp.* | | | 72 | | | | 13,738 | |
STAAR Surgical Co.* | | | 90 | | | | 13,725 | |
Tenet Healthcare Corp.* | | | 204 | | | | 13,666 | |
Envista Holdings Corp.* | | | 308 | | | | 13,309 | |
HealthEquity, Inc.* | | | 160 | | | | 12,877 | |
ManpowerGroup, Inc. | | | 104 | | | | 12,367 | |
Post Holdings, Inc.* | | | 113 | | | | 12,257 | |
LHC Group, Inc.* | | | 61 | | | | 12,216 | |
Halozyme Therapeutics, Inc.* | | | 256 | | | | 11,625 | |
Ingredion, Inc. | | | 128 | | | | 11,584 | |
Globus Medical, Inc. — Class A* | | | 148 | | | | 11,474 | |
Exelixis, Inc.* | | | 599 | | | | 10,914 | |
Acadia Healthcare Company, Inc.* | | | 172 | | | | 10,793 | |
Helen of Troy Ltd.* | | | 47 | | | | 10,722 | |
ASGN, Inc.* | | | 102 | | | | 9,887 | |
Quidel Corp.* | | | 74 | | | | 9,481 | |
Neogen Corp.* | | | 205 | | | | 9,438 | |
Medpace Holdings, Inc.* | | | 53 | | | | 9,361 | |
Integra LifeSciences Holdings Corp.* | | | 136 | | | | 9,281 | |
Flowers Foods, Inc. | | | 377 | | | | 9,123 | |
FTI Consulting, Inc.* | | | 66 | | | | 9,016 | |
H&R Block, Inc. | | | 347 | | | | 8,148 | |
Grand Canyon Education, Inc.* | | | 89 | | | | 8,007 | |
LivaNova plc* | | | 93 | | | | 7,822 | |
ICU Medical, Inc.* | | | 38 | | | | 7,820 | |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MID-CAP 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Avis Budget Group, Inc.* | | | 100 | | | $ | 7,789 | |
Sabre Corp.* | | | 610 | | | | 7,613 | |
Lancaster Colony Corp. | | | 38 | | | | 7,353 | |
Brink’s Co. | | | 95 | | | | 7,300 | |
Sanderson Farms, Inc. | | | 38 | | | | 7,143 | |
NuVasive, Inc.* | | | 99 | | | | 6,710 | |
Haemonetics Corp.* | | | 97 | | | | 6,464 | |
Hain Celestial Group, Inc.* | | | 157 | | | | 6,299 | |
Insperity, Inc. | | | 69 | | | | 6,236 | |
PROG Holdings, Inc. | | | 129 | | | | 6,209 | |
LiveRamp Holdings, Inc.* | | | 131 | | | | 6,137 | |
Nektar Therapeutics* | | | 348 | | | | 5,972 | |
R1 RCM, Inc.* | | | 264 | | | | 5,871 | |
Grocery Outlet Holding Corp.* | | | 166 | | | | 5,754 | |
Sprouts Farmers Market, Inc.* | | | 226 | | | | 5,616 | |
Emergent BioSolutions, Inc.* | | | 87 | | | | 5,480 | |
Patterson Companies, Inc. | | | 167 | | | | 5,075 | |
Graham Holdings Co. — Class B | | | 8 | | | | 5,071 | |
Coty, Inc. — Class A* | | | 542 | | | | 5,062 | |
John Wiley & Sons, Inc. — Class A | | | 84 | | | | 5,055 | |
TreeHouse Foods, Inc.* | | | 107 | | | | 4,764 | |
Progyny, Inc.* | | | 72 | | | | 4,248 | |
Ligand Pharmaceuticals, Inc. — Class B* | | | 32 | | | | 4,198 | |
Strategic Education, Inc. | | | 48 | | | | 3,651 | |
Adtalem Global Education, Inc.* | | | 94 | | | | 3,350 | |
WW International, Inc.* | | | 92 | | | | 3,325 | |
Pilgrim’s Pride Corp.* | | | 93 | | | | 2,063 | |
Tootsie Roll Industries, Inc. | | | 34 | | | | 1,153 | |
Total Consumer, Non-cyclical | | | | | | | 782,222 | |
| | | | | | | | | |
Consumer, Cyclical - 10.5% |
Williams-Sonoma, Inc. | | | 146 | | | | 23,309 | |
RH* | | | 32 | | | | 21,728 | |
Five Below, Inc.* | | | 107 | | | | 20,680 | |
Deckers Outdoor Corp.* | | | 53 | | | | 20,356 | |
Lithia Motors, Inc. — Class A | | | 57 | | | | 19,587 | |
Lear Corp. | | | 105 | | | | 18,404 | |
Watsco, Inc. | | | 63 | | | | 18,058 | |
Capri Holdings Ltd.* | | | 290 | | | | 16,585 | |
Kohl’s Corp. | | | 298 | | | | 16,423 | |
Gentex Corp. | | | 462 | | | | 15,288 | |
Polaris, Inc. | | | 110 | | | | 15,066 | |
Scotts Miracle-Gro Co. — Class A | | | 78 | | | | 14,970 | |
Brunswick Corp. | | | 149 | | | | 14,843 | |
Crocs, Inc.* | | | 125 | | | | 14,565 | |
IAA, Inc.* | | | 257 | | | | 14,017 | |
Casey’s General Stores, Inc. | | | 71 | | | | 13,819 | |
Tempur Sealy International, Inc. | | | 350 | | | | 13,716 | |
Harley-Davidson, Inc. | | | 294 | | | | 13,471 | |
Mattel, Inc.* | | | 666 | | | | 13,387 | |
YETI Holdings, Inc.* | | | 143 | | | | 13,130 | |
Churchill Downs, Inc. | | | 66 | | | | 13,085 | |
Marriott Vacations Worldwide Corp.* | | | 82 | | | | 13,063 | |
Wyndham Hotels & Resorts, Inc. | | | 178 | | | | 12,868 | |
Skechers USA, Inc. — Class A* | | | 257 | | | | 12,806 | |
Dick’s Sporting Goods, Inc. | | | 125 | | | | 12,524 | |
BJ’s Wholesale Club Holdings, Inc.* | | | 262 | | | | 12,466 | |
Fox Factory Holding Corp.* | | | 80 | | | | 12,453 | |
Toll Brothers, Inc. | | | 214 | | | | 12,371 | |
Foot Locker, Inc. | | | 197 | | | | 12,141 | |
Texas Roadhouse, Inc. — Class A | | | 125 | | | | 12,025 | |
Thor Industries, Inc. | | | 106 | | | | 11,978 | |
American Eagle Outfitters, Inc. | | | 288 | | | | 10,809 | |
JetBlue Airways Corp.* | | | 605 | | | | 10,152 | |
Travel + Leisure Co. | | | 165 | | | | 9,809 | |
AutoNation, Inc.* | | | 103 | | | | 9,765 | |
Boyd Gaming Corp.* | | | 154 | | | | 9,469 | |
Ollie’s Bargain Outlet Holdings, Inc.* | | | 109 | | | | 9,170 | |
Goodyear Tire & Rubber Co.* | | | 533 | | | | 9,141 | |
Wingstop, Inc. | | | 57 | | | | 8,985 | |
Carter’s, Inc. | | | 84 | | | | 8,666 | |
Avient Corp. | | | 174 | | | | 8,554 | |
Scientific Games Corp. — Class A* | | | 108 | | | | 8,363 | |
Adient plc* | | | 180 | | | | 8,136 | |
MSC Industrial Direct Company, Inc. — Class A | | | 90 | | | | 8,076 | |
Wendy’s Co. | | | 338 | | | | 7,916 | |
Univar Solutions, Inc.* | | | 324 | | | | 7,899 | |
Nordstrom, Inc.* | | | 208 | | | | 7,607 | |
Callaway Golf Co.* | | | 222 | | | | 7,488 | |
KB Home | | | 170 | | | | 6,923 | |
Papa John’s International, Inc. | | | 64 | | | | 6,684 | |
Cracker Barrel Old Country Store, Inc. | | | 45 | | | | 6,681 | |
Choice Hotels International, Inc. | | | 56 | | | | 6,656 | |
Dana, Inc. | | | 278 | | | | 6,605 | |
Taylor Morrison Home Corp. — Class A* | | | 247 | | | | 6,526 | |
Visteon Corp.* | | | 53 | | | | 6,410 | |
Murphy USA, Inc. | | | 48 | | | | 6,402 | |
Six Flags Entertainment Corp.* | | | 145 | | | | 6,275 | |
FirstCash, Inc. | | | 78 | | | | 5,962 | |
Columbia Sportswear Co. | | | 58 | | | | 5,705 | |
Urban Outfitters, Inc.* | | | 132 | | | | 5,441 | |
Nu Skin Enterprises, Inc. — Class A | | | 96 | | | | 5,438 | |
Herman Miller, Inc. | | | 113 | | | | 5,327 | |
Tri Pointe Homes, Inc.* | | | 226 | | | | 4,843 | |
Jack in the Box, Inc. | | | 42 | | | | 4,681 | |
Cinemark Holdings, Inc.* | | | 208 | | | | 4,566 | |
Healthcare Services Group, Inc. | | | 143 | | | | 4,515 | |
KAR Auction Services, Inc.* | | | 239 | | | | 4,195 | |
World Fuel Services Corp. | | | 121 | | | | 3,839 | |
Total Consumer, Cyclical | | | | | | | 732,861 | |
| | | | | | | | | |
Technology - 5.6% |
Fair Isaac Corp.* | | | 55 | | | | 27,647 | |
Ceridian HCM Holding, Inc.* | | | 251 | | | | 24,076 | |
Cree, Inc.* | | | 221 | | | | 21,643 | |
MKS Instruments, Inc. | | | 106 | | | | 18,863 | |
Aspen Technology, Inc.* | | | 130 | | | | 17,880 | |
Manhattan Associates, Inc.* | | | 122 | | | | 17,670 | |
Genpact Ltd. | | | 333 | | | | 15,128 | |
Lattice Semiconductor Corp.* | | | 261 | | | | 14,663 | |
Brooks Automation, Inc. | | | 142 | | | | 13,530 | |
Silicon Laboratories, Inc.* | | | 85 | | | | 13,026 | |
Concentrix Corp.* | | | 80 | | | | 12,864 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MID-CAP 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Lumentum Holdings, Inc.* | | | 145 | | | $ | 11,894 | |
CDK Global, Inc. | | | 233 | | | | 11,578 | |
CACI International, Inc. — Class A* | | | 45 | | | | 11,480 | |
NCR Corp.* | | | 250 | | | | 11,403 | |
J2 Global, Inc.* | | | 81 | | | | 11,142 | |
Synaptics, Inc.* | | | 68 | | | | 10,580 | |
Teradata Corp.* | | | 209 | | | | 10,444 | |
KBR, Inc. | | | 271 | | | | 10,339 | |
MAXIMUS, Inc. | | | 117 | | | | 10,293 | |
Science Applications International Corp. | | | 111 | | | | 9,738 | |
Cirrus Logic, Inc.* | | | 110 | | | | 9,363 | |
Sailpoint Technologies Holdings, Inc.* | | | 176 | | | | 8,988 | |
Semtech Corp.* | | | 124 | | | | 8,531 | |
CMC Materials, Inc. | | | 56 | | | | 8,441 | |
ACI Worldwide, Inc.* | | | 226 | | | | 8,394 | |
Envestnet, Inc.* | | | 104 | | | | 7,889 | |
Xerox Holdings Corp. | | | 308 | | | | 7,235 | |
Blackbaud, Inc.* | | | 93 | | | | 7,121 | |
CommVault Systems, Inc.* | | | 88 | | | | 6,879 | |
Qualys, Inc.* | | | 64 | | | | 6,444 | |
Amkor Technology, Inc. | | | 205 | | | | 4,852 | |
NetScout Systems, Inc.* | | | 141 | | | | 4,024 | |
Total Technology | | | | | | | 394,042 | |
| | | | | | | | | |
Basic Materials - 2.8% |
Steel Dynamics, Inc. | | | 384 | | | | 22,886 | |
RPM International, Inc. | | | 248 | | | | 21,993 | |
Cleveland-Cliffs, Inc.*,1 | | | 878 | | | | 18,930 | |
Reliance Steel & Aluminum Co. | | | 122 | | | | 18,410 | |
Royal Gold, Inc. | | | 125 | | | | 14,262 | |
Olin Corp. | | | 274 | | | | 12,675 | |
United States Steel Corp. | | | 515 | | | | 12,360 | |
Valvoline, Inc. | | | 346 | | | | 11,231 | |
Chemours Co. | | | 316 | | | | 10,997 | |
Ashland Global Holdings, Inc. | | | 104 | | | | 9,100 | |
Commercial Metals Co. | | | 230 | | | | 7,066 | |
Sensient Technologies Corp. | | | 81 | | | | 7,011 | |
Ingevity Corp.* | | | 76 | | | | 6,183 | |
Cabot Corp. | | | 108 | | | | 6,148 | |
Minerals Technologies, Inc. | | | 65 | | | | 5,114 | |
NewMarket Corp. | | | 14 | | | | 4,508 | |
Compass Minerals International, Inc. | | | 65 | | | | 3,852 | |
Total Basic Materials | | | | | | | 192,726 | |
| | | | | | | | | |
Energy - 2.1% |
SolarEdge Technologies, Inc.* | | | 99 | | | | 27,361 | |
Targa Resources Corp. | | | 437 | | | | 19,425 | |
Sunrun, Inc.* | | | 309 | | | | 17,236 | |
First Solar, Inc.* | | | 163 | | | | 14,753 | |
Cimarex Energy Co. | | | 196 | | | | 14,200 | |
Equities Corp.* | | | 533 | | | | 11,865 | |
HollyFrontier Corp. | | | 286 | | | | 9,409 | |
ChampionX Corp.* | | | 358 | | | | 9,183 | |
Equitrans Midstream Corp. | | | 777 | | | | 6,612 | |
Murphy Oil Corp. | | | 278 | | | | 6,472 | |
CNX Resources Corp.* | | | 421 | | | | 5,751 | |
Antero Midstream Corp. | | | 547 | | | | 5,683 | |
Total Energy | | | | | | | 147,950 | |
| | | | | | | | | |
Utilities - 1.9% |
Essential Utilities, Inc. | | | 427 | | | | 19,514 | |
UGI Corp. | | | 399 | | | | 18,478 | |
OGE Energy Corp. | | | 383 | | | | 12,888 | |
IDACORP, Inc. | | | 97 | | | | 9,457 | |
National Fuel Gas Co. | | | 174 | | | | 9,091 | |
Hawaiian Electric Industries, Inc. | | | 209 | | | | 8,837 | |
PNM Resources, Inc. | | | 164 | | | | 7,998 | |
Black Hills Corp. | | | 120 | | | | 7,876 | |
ONE Gas, Inc. | | | 102 | | | | 7,560 | |
Southwest Gas Holdings, Inc. | | | 111 | | | | 7,347 | |
New Jersey Resources Corp. | | | 184 | | | | 7,281 | |
Spire, Inc. | | | 99 | | | | 7,155 | |
ALLETE, Inc. | | | 100 | | | | 6,998 | |
NorthWestern Corp. | | | 97 | | | | 5,841 | |
Total Utilities | | | | | | | 136,321 | |
| | | | | | | | | |
Communications - 1.7% |
FactSet Research Systems, Inc. | | | 73 | | | | 24,499 | |
Cable One, Inc. | | | 10 | | | | 19,128 | |
Ciena Corp.* | | | 296 | | | | 16,840 | |
New York Times Co. — Class A | | | 277 | | | | 12,063 | |
Iridium Communications, Inc.* | | | 224 | | | | 8,958 | |
TEGNA, Inc. | | | 422 | | | | 7,917 | |
TripAdvisor, Inc.* | | | 187 | | | | 7,536 | |
Viasat, Inc.* | | | 130 | | | | 6,479 | |
Yelp, Inc. — Class A* | | | 134 | | | | 5,355 | |
World Wrestling Entertainment, Inc. — Class A | | | 86 | | | | 4,979 | |
Telephone & Data Systems, Inc. | | | 190 | | | | 4,305 | |
Total Communications | | | | | | | 118,059 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $3,614,884) | | | | | | | 4,486,736 | |
| | | | | | | | | |
MUTUAL FUNDS† - 23.6% |
Guggenheim Strategy Fund II2 | | | 35,110 | | | | 877,406 | |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 78,026 | | | | 777,922 | |
Total Mutual Funds | | | | |
(Cost $1,632,216) | | | | | | | 1,655,328 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 5.9% |
U.S. Treasury Bills |
0.04% due 12/09/213,4 | | $ | 400,000 | | | | 399,906 | |
0.01% due 08/03/214 | | | 14,000 | | | | 13,999 | |
Total U.S. Treasury Bills | | | | |
(Cost $413,932) | | | | | | | 413,905 | |
| | | | | | | | | |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
MID-CAP 1.5x STRATEGY FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,5 - 6.6% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/213 | | $ | 261,163 | | | $ | 261,163 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/213 | | | 102,820 | | | | 102,820 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/213 | | | 100,804 | | | | 100,804 | |
Total Repurchase Agreements | | | | |
(Cost $464,787) | | | | | | $ | 464,787 | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,6 - 0.0% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%7 | | | 22 | | | | 22 | |
Total Securities Lending Collateral | | | | |
(Cost $22) | | | | | | | 22 | |
| | | | | | | | | |
Total Investments - 100.2% | | | | |
(Cost $6,125,841) | | $ | 7,020,778 | |
Other Assets & Liabilities, net - (0.2)% | | | (12,548 | ) |
Total Net Assets - 100.0% | | $ | 7,008,230 | |
Total Return Swap Agreements |
Counterparty | Index | Financing Rate
Pay (Receive) | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Equity Index Swap Agreements†† |
Barclays Bank plc | S&P MidCap 400 Index | 0.44% (1 Week USD LIBOR + 0.35%) | At Maturity | | | 07/14/21 | | | | 1,390 | | | $ | 3,747,945 | | | $ | 18,156 | |
BNP Paribas | S&P MidCap 400 Index | 0.54% (1 Month USD LIBOR + 0.45%) | At Maturity | | | 07/15/21 | | | | 350 | | | | 942,608 | | | | (4,403 | ) |
Goldman Sachs International | S&P MidCap 400 Index | 0.49% (1 Week USD LIBOR + 0.40%) | At Maturity | | | 07/15/21 | | | | 494 | | | | 1,331,472 | | | | (5,193 | ) |
| | | | | | | | | | | | | | $ | 6,022,025 | | | $ | 8,560 | |
* | 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 on loan at June 30, 2021 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2021. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 6. |
6 | Securities lending collateral — See Note 7. |
7 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | LIBOR — London Interbank Offered Rate |
| | 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 | 65 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
MID-CAP 1.5x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 4,486,736 | | | $ | — | | | $ | — | | | $ | 4,486,736 | |
Mutual Funds | | | 1,655,328 | | | | — | | | | — | | | | 1,655,328 | |
U.S. Treasury Bills | | | — | | | | 413,905 | | | | — | | | | 413,905 | |
Repurchase Agreements | | | — | | | | 464,787 | | | | — | | | | 464,787 | |
Securities Lending Collateral | | | 22 | | | | — | | | | — | | | | 22 | |
Equity Index Swap Agreements** | | | — | | | | 18,156 | | | | — | | | | 18,156 | |
Total Assets | | $ | 6,142,086 | | | $ | 896,848 | | | $ | — | | | $ | 7,038,934 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 9,596 | | | $ | — | | | $ | 9,596 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 857,565 | | | $ | 18,812 | | | $ | — | | | $ | — | | | $ | 1,029 | | | $ | 877,406 | | | | 35,110 | | | $ | 5,896 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 1,134,053 | | | | 95,007 | | | | (450,000 | ) | | | (5 | ) | | | (1,133 | ) | | | 777,922 | | | | 78,026 | | | | 5,104 | |
| | | $ | 1,991,618 | | | $ | 113,819 | | | $ | (450,000 | ) | | $ | (5 | ) | | $ | (104 | ) | | $ | 1,655,328 | | | | | | | $ | 11,000 | |
66 | 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, 2021 |
Assets: |
Investments in unaffiliated issuers, at value - including $22 of securities loaned (cost $4,028,838) | | $ | 4,900,663 | |
Investments in affiliated issuers, at value (cost $1,632,216) | | | 1,655,328 | |
Repurchase agreements, at value (cost $464,787) | | | 464,787 | |
Unrealized appreciation on OTC swap agreements | | | 18,156 | |
Receivables: |
Dividends | | | 5,103 | |
Securities lending income | | | 2 | |
Total assets | | | 7,044,039 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 9,596 | |
Payable for: |
Fund shares redeemed | | | 5,149 | |
Management fees | | | 4,929 | |
Professional fees | | | 3,745 | |
Securities purchased | | | 1,693 | |
Investor service fees | | | 1,417 | |
Transfer agent and administrative fees | | | 1,241 | |
Swap settlement | | | 1,144 | |
Printing fees | | | 949 | |
Portfolio accounting fees | | | 567 | |
Trustees’ fees* | | | 71 | |
Return of securities lending collateral | | | 22 | |
Miscellaneous | | | 5,286 | |
Total liabilities | | | 35,809 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 7,008,230 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 4,599,961 | |
Total distributable earnings (loss) | | | 2,408,269 | |
Net assets | | $ | 7,008,230 | |
Capital shares outstanding | | | 27,184 | |
Net asset value per share | | $ | 257.81 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 17,599 | |
Dividends from securities of affiliated issuers | | | 11,000 | |
Interest | | | 201 | |
Income from securities lending, net | | | 17 | |
Total investment income | | | 28,817 | |
| | | | | |
Expenses: |
Management fees | | | 27,796 | |
Investor service fees | | | 7,721 | |
Transfer agent and administrative fees | | | 10,344 | |
Professional fees | | | 3,962 | |
Portfolio accounting fees | | | 3,088 | |
Trustees’ fees* | | | 673 | |
Custodian fees | | | 445 | |
Miscellaneous | | | 112 | |
Total expenses | | | 54,141 | |
Less: |
Expenses reimbursed by Adviser | | | (283 | ) |
Expenses waived by Adviser | | | (1,362 | ) |
Total waived/reimbursed expenses | | | (1,645 | ) |
Net expenses | | | 52,496 | |
Net investment loss | | | (23,679 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 121,425 | |
Investments in affiliated issuers | | | (5 | ) |
Swap agreements | | | 924,199 | |
Futures contracts | | | 45,493 | |
Net realized gain | | | 1,091,112 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 173,304 | |
Investments in affiliated issuers | | | (104 | ) |
Swap agreements | | | (8,615 | ) |
Net change in unrealized appreciation (depreciation) | | | 164,585 | |
Net realized and unrealized gain | | | 1,255,697 | |
Net increase in net assets resulting from operations | | $ | 1,232,018 | |
* | 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 | 67 |
MID-CAP 1.5x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (23,679 | ) | | $ | (22,995 | ) |
Net realized gain on investments | | | 1,091,112 | | | | 633,373 | |
Net change in unrealized appreciation (depreciation) on investments | | | 164,585 | | | | 519,858 | |
Net increase in net assets resulting from operations | | | 1,232,018 | | | | 1,130,236 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (204,307 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 4,810,487 | | | | 18,591,440 | |
Distributions reinvested | | | — | | | | 204,307 | |
Cost of shares redeemed | | | (3,789,962 | ) | | | (20,409,667 | ) |
Net increase (decrease) from capital share transactions | | | 1,020,525 | | | | (1,613,920 | ) |
Net increase (decrease) in net assets | | | 2,252,543 | | | | (687,991 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 4,755,687 | | | | 5,443,678 | |
End of period | | $ | 7,008,230 | | | $ | 4,755,687 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 19,386 | | | | 118,727 | |
Shares issued from reinvestment of distributions | | | — | | | | 1,368 | |
Shares redeemed | | | (15,371 | ) | | | (124,988 | ) |
Net increase (decrease) in shares | | | 4,015 | | | | (4,893 | ) |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MID-CAP 1.5x STRATEGY FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019f | | | Year Ended
December 31,
2018f | | | Year Ended
December 31,
2017f | | | Year Ended
December 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 205.26 | | | $ | 193.99 | | | $ | 144.00 | | | $ | 233.70 | | | $ | 361.85 | | | $ | 311.39 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.93 | ) | | | (.12 | ) | | | 1.10 | | | | 1.30 | | | | .20 | | | | (1.00 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 53.48 | | | | 12.09 | | | | 50.79 | | | | (32.00 | ) | | | 58.15 | | | | 88.66 | |
Total from investment operations | | | 52.55 | | | | 11.97 | | | | 51.89 | | | | (30.70 | ) | | | 58.35 | | | | 87.66 | |
Less distributions from: |
Net investment income | | | — | | | | (.15 | ) | | | (1.90 | ) | | | (.60 | ) | | | — | | | | — | |
Net realized gains | | | — | | | | (.55 | ) | | | — | | | | (58.40 | ) | | | (186.50 | ) | | | (37.20 | ) |
Total distributions | | | — | | | | (.70 | ) | | | (1.90 | ) | | | (59.00 | ) | | | (186.50 | ) | | | (37.20 | ) |
Net asset value, end of period | | $ | 257.81 | | | $ | 205.26 | | | $ | 193.99 | | | $ | 144.00 | | | $ | 233.70 | | | $ | 361.85 | |
|
Total Returnc | | | 25.60 | % | | | 10.69 | % | | | 36.11 | % | | | (19.40 | %) | | | 22.44 | % | | | 29.64 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,008 | | | $ | 4,756 | | | $ | 5,444 | | | $ | 5,408 | | | $ | 7,875 | | | $ | 19,948 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.77 | %) | | | (0.47 | %) | | | 0.60 | % | | | 0.67 | % | | | 0.07 | % | | | (0.30 | %) |
Total expensesd | | | 1.75 | % | | | 1.87 | % | | | 1.87 | % | | | 1.78 | % | | | 1.76 | % | | | 1.72 | % |
Net expensese | | | 1.70 | % | | | 1.81 | % | | | 1.80 | % | | | 1.78 | % | | | 1.76 | % | | | 1.72 | % |
Portfolio turnover rate | | | 25 | % | | | 472 | % | | | 274 | % | | | 368 | % | | | 403 | % | | | 368 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | Reverse share split — Per share amounts for the years presented through December 31, 2019 have been restated to reflect a 1:10 reverse share split effective August 24, 2020. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 | 23.4% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 18.6% |
Total | 42.0% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Inverse Mid-Cap Strategy Fund | (16.88%) | (37.55%) | (15.73%) | (14.72%) |
S&P MidCap 400 Index | 17.59% | 53.24% | 14.29% | 12.40% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
INVERSE MID-CAP STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 42.0% |
Guggenheim Strategy Fund II1 | | | 1,135 | | | $ | 28,366 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 2,260 | | | | 22,529 | |
Total Mutual Funds | | | | |
(Cost $49,637) | | | | | | | 50,895 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 4.2% |
Federal Farm Credit Bank |
1.88% due 06/14/22 | | $ | 5,000 | | | | 5,086 | |
Total Federal Agency Notes | | | | |
(Cost $5,079) | | | | | | | 5,086 | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,2 - 65.7% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/213 | | | 44,673 | | | | 44,673 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/213 | | | 17,588 | | | | 17,588 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/213 | | | 17,243 | | | | 17,243 | |
Total Repurchase Agreements | | | | |
(Cost $79,504) | | | | | | | 79,504 | |
| | | | | | | | | |
Total Investments - 111.9% | | | | |
(Cost $134,220) | | $ | 135,485 | |
Other Assets & Liabilities, net - (11.9)% | | | (14,462 | ) |
Total Net Assets - 100.0% | | $ | 121,023 | |
Total Return Swap Agreements |
Counterparty | Index | Financing Rate
Pay (Receive) | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Equity Index Swap Agreements Sold Short†† |
Goldman Sachs International | S&P MidCap 400 Index | (0.19)% (1 Week USD LIBOR + 0.10%) | At Maturity | | | 07/15/21 | | | | 27 | | | $ | 71,626 | | | $ | 708 | |
BNP Paribas | S&P MidCap 400 Index | (0.04)% (1 Month USD LIBOR - 0.05%) | At Maturity | | | 07/15/21 | | | | 9 | | | | 25,150 | | | | 117 | |
Barclays Bank plc | S&P MidCap 400 Index | (0.29)% (1 Week USD LIBOR + 0.20%) | At Maturity | | | 07/14/21 | | | | 9 | | | | 24,601 | | | | (120 | ) |
| | | | | | | | | | | | | | $ | 121,377 | | | $ | 705 | |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Repurchase Agreements — See Note 6. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2021. |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
INVERSE MID-CAP STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Mutual Funds | | $ | 50,895 | | | $ | — | | | $ | — | | | $ | 50,895 | |
Federal Agency Notes | | | — | | | | 5,086 | | | | — | | | | 5,086 | |
Repurchase Agreements | | | — | | | | 79,504 | | | | — | | | | 79,504 | |
Equity Index Swap Agreements** | | | — | | | | 825 | | | | — | | | | 825 | |
Total Assets | | $ | 50,895 | | | $ | 85,415 | | | $ | — | | | $ | 136,310 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 120 | | | $ | — | | | $ | 120 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 36,131 | | | $ | 5,190 | | | $ | (13,000 | ) | | $ | 435 | | | $ | (390 | ) | | $ | 28,366 | | | | 1,135 | | | $ | 194 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 31,450 | | | | 5,110 | | | | (14,000 | ) | | | 362 | | | | (393 | ) | | | 22,529 | | | | 2,260 | | | | 112 | |
| | | $ | 67,581 | | | $ | 10,300 | | | $ | (27,000 | ) | | $ | 797 | | | $ | (783 | ) | | $ | 50,895 | | | | | | | $ | 306 | |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE MID-CAP STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value (cost $5,079) | | $ | 5,086 | |
Investments in affiliated issuers, at value (cost $49,637) | | | 50,895 | |
Repurchase agreements, at value (cost $79,504) | | | 79,504 | |
Unrealized appreciation on OTC swap agreements | | | 825 | |
Receivables: |
Dividends | | | 42 | |
Interest | | | 5 | |
Total assets | | | 136,357 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 120 | |
Payable for: |
Fund shares redeemed | | | 14,393 | |
Swap settlement | | | 402 | |
Management fees | | | 79 | |
Securities purchased | | | 42 | |
Investor service fees | | | 23 | |
Transfer agent and administrative fees | | | 20 | |
Portfolio accounting fees | | | 9 | |
Trustees’ fees* | | | 2 | |
Miscellaneous | | | 244 | |
Total liabilities | | | 15,334 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 121,023 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 2,025,576 | |
Total distributable earnings (loss) | | | (1,904,553 | ) |
Net assets | | $ | 121,023 | |
Capital shares outstanding | | | 3,259 | |
Net asset value per share | | $ | 37.14 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 306 | |
Interest | | | 11 | |
Total investment income | | | 317 | |
| | | | | |
Expenses: |
Management fees | | | 576 | |
Investor service fees | | | 160 | |
Transfer agent and administrative fees | | | 246 | |
Portfolio accounting fees | | | 64 | |
Professional fees | | | 34 | |
Trustees’ fees* | | | 26 | |
Custodian fees | | | 11 | |
Miscellaneous | | | 9 | |
Total expenses | | | 1,126 | |
Less: |
Expenses reimbursed by Adviser | | | (5 | ) |
Expenses waived by Adviser | | | (30 | ) |
Total waived/reimbursed expenses | | | (35 | ) |
Net expenses | | | 1,091 | |
Net investment loss | | | (774 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in affiliated issuers | | | 797 | |
Swap agreements | | | (34,190 | ) |
Net realized loss | | | (33,393 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 7 | |
Investments in affiliated issuers | | | (783 | ) |
Swap agreements | | | 1,517 | |
Net change in unrealized appreciation (depreciation) | | | 741 | |
Net realized and unrealized loss | | | (32,652 | ) |
Net decrease in net assets resulting from operations | | $ | (33,426 | ) |
* | 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 | 73 |
INVERSE MID-CAP STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (774 | ) | | $ | (3,363 | ) |
Net realized loss on investments | | | (33,393 | ) | | | (89,468 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 741 | | | | 945 | |
Net decrease in net assets resulting from operations | | | (33,426 | ) | | | (91,886 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (2,781 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 721,913 | | | | 4,452,907 | |
Distributions reinvested | | | — | | | | 2,781 | |
Cost of shares redeemed | | | (704,824 | ) | | | (4,488,838 | ) |
Net increase (decrease) from capital share transactions | | | 17,089 | | | | (33,150 | ) |
Net decrease in net assets | | | (16,337 | ) | | | (127,817 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 137,360 | | | | 265,177 | |
End of period | | $ | 121,023 | | | $ | 137,360 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 18,405 | | | | 67,443 | |
Shares issued from reinvestment of distributions | | | — | | | | 49 | |
Shares redeemed | | | (18,220 | ) | | | (68,834 | ) |
Net increase (decrease) in shares | | | 185 | | | | (1,342 | ) |
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE MID-CAP STRATEGY FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016g | |
Per Share Data |
Net asset value, beginning of period | | $ | 44.68 | | | $ | 60.05 | | | $ | 75.67 | | | $ | 68.22 | | | $ | 78.92 | | | $ | 97.61 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.24 | ) | | | (.61 | ) | | | .51 | | | | .35 | | | | (.16 | ) | | | (.26 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (7.30 | ) | | | (14.22 | ) | | | (15.87 | ) | | | 7.10 | f | | | (10.54 | ) | | | (18.43 | ) |
Total from investment operations | | | (7.54 | ) | | | (14.83 | ) | | | (15.36 | ) | | | 7.45 | | | | (10.70 | ) | | | (18.69 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.54 | ) | | | (.26 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.54 | ) | | | (.26 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 37.14 | | | $ | 44.68 | | | $ | 60.05 | | | $ | 75.67 | | | $ | 68.22 | | | $ | 78.92 | |
|
Total Returnc | | | (16.88 | %) | | | (24.89 | %) | | | (20.31 | %) | | | 10.90 | % | | | (13.55 | %) | | | (19.13 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 121 | | | $ | 137 | | | $ | 265 | | | $ | 645 | | | $ | 178 | | | $ | 380 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.21 | %) | | | (1.01 | %) | | | 0.78 | % | | | 0.51 | % | | | (0.22 | %) | | | (0.82 | %) |
Total expensesd | | | 1.76 | % | | | 1.88 | % | | | 1.88 | % | | | 1.77 | % | | | 1.76 | % | | | 1.71 | % |
Net expensese | | | 1.70 | % | | | 1.83 | % | | | 1.81 | % | | | 1.77 | % | | | 1.76 | % | | | 1.71 | % |
Portfolio turnover rate | | | 27 | % | | | 281 | % | | | 185 | % | | | 404 | % | | | 111 | % | | | 565 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | The amount shown for a share outstanding throughout the period does not agree with the aggregate net loss on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments in the Fund. |
g | Reverse Share Split — Per share amounts for the year ended December 31, 2016, have been restated to reflect a 1:3 reverse share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) |
Guggenheim Ultra Short Duration Fund — Institutional Class | 21.0% |
Guggenheim Strategy Fund II | 7.7% |
iShares Russell 2000 Index ETF | 4.1% |
Vanguard Russell 2000 ETF | 4.1% |
Total | 36.9% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Russell 2000® 2x Strategy Fund | 33.69% | 146.50% | 24.03% | 16.85% |
Russell 2000 Index | 17.54% | 62.03% | 16.47% | 14.24% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | Shares | | | Value | |
RIGHTS††† - 0.0% |
| | | | | | | | | |
Communications - 0.0% |
Nexstar Media Group, Inc.* | | | 207 | | | $ | — | |
| | | | | | | | | |
Consumer, Non-cyclical - 0.0% |
Tobira Therapeutics, Inc.* | | | 7 | | | | — | |
Omthera Pharmaceuticals, Inc.* | | | 10 | | | | — | |
Total Consumer, Non-cyclical | | | | | | | — | |
| | | | | | | | | |
Total Rights | | | | |
(Cost $—) | | | | | | | — | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 8.2% |
iShares Russell 2000 Index ETF1 | | | 1,420 | | | | 325,705 | |
Vanguard Russell 2000 ETF1 | | | 3,515 | | | | 325,384 | |
Total Exchange-Traded Funds | | | | |
(Cost $623,000) | | | | | | | 651,089 | |
| | | | | | | | | |
MUTUAL FUNDS† - 28.7% |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 166,659 | | | | 1,661,588 | |
Guggenheim Strategy Fund II2 | | | 24,324 | | | | 607,866 | |
Total Mutual Funds | | | | |
(Cost $2,256,263) | | | | | | | 2,269,454 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 7.3% |
U.S. Treasury Bills |
0.04% due 12/09/213 | | $ | 350,000 | | | | 349,918 | |
0.03% due 08/03/213,4 | | | 229,000 | | | | 228,990 | |
Total U.S. Treasury Bills | | | | |
(Cost $578,933) | | | | | | | 578,908 | |
| | | | | | | | | |
| | Face
Amount | | | Value | |
FEDERAL AGENCY NOTES†† - 1.3% |
Federal Home Loan Bank |
4.00% due 12/24/30 | | | 50,000 | | | | 50,952 | |
3.98% due 09/21/33 | | | 50,000 | | | | 50,408 | |
Total Federal Agency Notes | | | | |
(Cost $102,122) | | | | | | | 101,360 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,5 - 62.3% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/216 | | | 2,771,734 | | | | 2,771,734 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/216 | | | 1,091,229 | | | | 1,091,229 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/216 | | | 1,069,833 | | | | 1,069,833 | |
Total Repurchase Agreements | | | | |
(Cost $4,932,796) | | | | | | | 4,932,796 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,7 - 4.8% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%8 | | | 381,312 | | | | 381,312 | |
Total Securities Lending Collateral | | | | |
(Cost $381,312) | | | | | | | 381,312 | |
| | | | | | | | | |
Total Investments - 112.6% | | | | |
(Cost $8,874,426) | | $ | 8,914,919 | |
Other Assets & Liabilities, net - (12.6)% | | | (997,389 | ) |
Total Net Assets - 100.0% | | $ | 7,917,530 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
Russell 2000 Index Mini Futures Contracts | | | 35 | | | | Sep 2021 | | | $ | 4,035,150 | | | $ | 37,470 | |
Total Return Swap Agreements |
Counterparty | Index | Financing Rate
Pay (Receive) | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Goldman Sachs International | Russell 2000 Index | 0.34% (1 Week USD LIBOR + 0.25%) | At Maturity | | | 07/15/21 | | | | 4,433 | | | $ | 10,242,697 | | | $ | 91,811 | |
Barclays Bank plc | Russell 2000 Index | 0.09% (1 Week USD LIBOR) | At Maturity | | | 07/14/21 | | | | 145 | | | | 335,235 | | | | 15,205 | |
BNP Paribas | Russell 2000 Index | 0.19% (1 Month USD LIBOR + 0.10%) | At Maturity | | | 07/15/21 | | | | 240 | | | | 553,669 | | | | 14,684 | |
| | | | | | | | | | | | | | $ | 11,131,601 | | | $ | 121,700 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
RUSSELL 2000® 2x STRATEGY FUND | |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 a portion of this security is on loan at June 30, 2021 — See Note 7. |
2 | Affiliated issuer. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | All or a portion of this security is pledged as futures collateral at June 30, 2021. |
5 | Repurchase Agreements — See Note 6. |
6 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2021. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | LIBOR — London Interbank Offered Rate |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Rights | | $ | — | | | $ | — | | | $ | — | * | | $ | — | |
Exchange-Traded Funds | | | 651,089 | | | | — | | | | — | | | | 651,089 | |
Mutual Funds | | | 2,269,454 | | | | — | | | | — | | | | 2,269,454 | |
U.S. Treasury Bills | | | — | | | | 578,908 | | | | — | | | | 578,908 | |
Federal Agency Notes | | | — | | | | 101,360 | | | | — | | | | 101,360 | |
Repurchase Agreements | | | — | | | | 4,932,796 | | | | — | | | | 4,932,796 | |
Securities Lending Collateral | | | 381,312 | | | | — | | | | — | | | | 381,312 | |
Equity Futures Contracts** | | | 37,470 | | | | — | | | | — | | | | 37,470 | |
Equity Index Swap Agreements** | | | — | | | | 121,700 | | | | — | | | | 121,700 | |
Total Assets | | $ | 3,339,325 | | | $ | 5,734,764 | | | $ | — | | | $ | 9,074,089 | |
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
RUSSELL 2000® 2x STRATEGY FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 1,822,457 | | | $ | 83,390 | | | $ | (1,300,000 | ) | | $ | 1,289 | | | $ | 730 | | | $ | 607,866 | | | | 24,324 | | | $ | 8,422 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 2,832,155 | | | | 7,231,697 | | | | (8,400,000 | ) | | | (6 | ) | | | (2,258 | ) | | | 1,661,588 | | | | 166,659 | | | | 6,820 | |
| | | $ | 4,654,612 | | | $ | 7,315,087 | | | $ | (9,700,000 | ) | | $ | 1,283 | | | $ | (1,528 | ) | | $ | 2,269,454 | | | | | | | $ | 15,242 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
RUSSELL 2000® 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value - including $373,609 of securities loaned (cost $1,685,367) | | $ | 1,712,669 | |
Investments in affiliated issuers, at value (cost $2,256,263) | | | 2,269,454 | |
Repurchase agreements, at value (cost $4,932,796) | | | 4,932,796 | |
Unrealized appreciation on OTC swap agreements | | | 121,700 | |
Receivables: |
Fund shares sold | | | 20,266 | |
Dividends | | | 2,483 | |
Variation margin on futures contracts | | | 2,100 | |
Interest | | | 598 | |
Securities lending income | | | 137 | |
Total assets | | | 9,062,203 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 360,000 | |
Payable for: |
Return of securities lending collateral | | | 381,312 | |
Swap settlement | | | 371,941 | |
Management fees | | | 7,644 | |
Investor service fees | | | 2,189 | |
Transfer agent and administrative fees | | | 1,918 | |
Securities purchased | | | 1,888 | |
Portfolio accounting fees | | | 876 | |
Fund shares redeemed | | | 193 | |
Trustees’ fees* | | | 104 | |
Miscellaneous | | | 16,608 | |
Total liabilities | | | 1,144,673 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 7,917,530 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 3,989,656 | |
Total distributable earnings (loss) | | | 3,927,874 | |
Net assets | | $ | 7,917,530 | |
Capital shares outstanding | | | 21,646 | |
Net asset value per share | | $ | 365.77 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 1,088 | |
Dividends from securities of affiliated issuers | | | 15,242 | |
Interest | | | 2,124 | |
Income from securities lending, net | | | 157 | |
Total investment income | | | 18,611 | |
| | | | | |
Expenses: |
Management fees | | | 41,228 | |
Investor service fees | | | 11,452 | |
Transfer agent and administrative fees | | | 15,376 | |
Professional fees | | | 8,085 | |
Portfolio accounting fees | | | 4,581 | |
Trustees’ fees* | | | 1,014 | |
Custodian fees | | | 662 | |
Interest expense | | | 134 | |
Miscellaneous | | | 176 | |
Total expenses | | | 82,708 | |
Less: |
Expenses reimbursed by Adviser | | | (438 | ) |
Expenses waived by Adviser | | | (1,829 | ) |
Total waived/reimbursed expenses | | | (2,267 | ) |
Net expenses | | | 80,441 | |
Net investment loss | | | (61,830 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (109 | ) |
Investments in affiliated issuers | | | 1,283 | |
Swap agreements | | | 2,735,468 | |
Futures contracts | | | 63,808 | |
Net realized gain | | | 2,800,450 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 27,282 | |
Investments in affiliated issuers | | | (1,528 | ) |
Swap agreements | | | 167,583 | |
Futures contracts | | | 37,470 | |
Net change in unrealized appreciation (depreciation) | | | 230,807 | |
Net realized and unrealized gain | | | 3,031,257 | |
Net increase in net assets resulting from operations | | $ | 2,969,427 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (61,830 | ) | | $ | (50,350 | ) |
Net realized gain on investments | | | 2,800,450 | | | | 3,322,483 | |
Net change in unrealized appreciation (depreciation) on investments | | | 230,807 | | | | (17,488 | ) |
Net increase in net assets resulting from operations | | | 2,969,427 | | | | 3,254,645 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (18,804 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 128,708,963 | | | | 133,357,212 | |
Distributions reinvested | | | — | | | | 18,804 | |
Cost of shares redeemed | | | (140,275,172 | ) | | | (123,972,068 | ) |
Net increase (decrease) from capital share transactions | | | (11,566,209 | ) | | | 9,403,948 | |
Net increase (decrease) in net assets | | | (8,596,782 | ) | | | 12,639,789 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 16,514,312 | | | | 3,874,523 | |
End of period | | $ | 7,917,530 | | | $ | 16,514,312 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 385,100 | | | | 732,820 | |
Shares issued from reinvestment of distributions | | | — | | | | 119 | |
Shares redeemed | | | (423,815 | ) | | | (689,066 | ) |
Net increase (decrease) in shares | | | (38,715 | ) | | | 43,873 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
RUSSELL 2000® 2x STRATEGY FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 273.59 | | | $ | 234.99 | | | $ | 160.46 | | | $ | 234.65 | | | $ | 192.92 | | | $ | 139.69 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (2.27 | ) | | | (2.35 | ) | | | 1.27 | | | | .70 | | | | (.79 | ) | | | (1.11 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 94.45 | | | | 42.01 | | | | 74.31 | | | | (54.40 | ) | | | 50.24 | | | | 54.34 | |
Total from investment operations | | | 92.18 | | | | 39.66 | | | | 75.58 | | | | (53.70 | ) | | | 49.45 | | | | 53.23 | |
Less distributions from: |
Net investment income | | | — | | | | (1.06 | ) | | | (1.05 | ) | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | (20.49 | ) | | | (7.72 | ) | | | — | |
Total distributions | | | — | | | | (1.06 | ) | | | (1.05 | ) | | | (20.49 | ) | | | (7.72 | ) | | | — | |
Net asset value, end of period | | $ | 365.77 | | | $ | 273.59 | | | $ | 234.99 | | | $ | 160.46 | | | $ | 234.65 | | | $ | 192.92 | |
|
Total Returnc | | | 33.69 | % | | | 17.21 | % | | | 47.15 | % | | | (26.21 | %) | | | 26.26 | % | | | 38.11 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,918 | | | $ | 16,514 | | | $ | 3,875 | | | $ | 1,690 | | | $ | 7,040 | | | $ | 5,747 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.35 | %) | | | (1.23 | %) | | | 0.61 | % | | | 0.28 | % | | | (0.38 | %) | | | (0.74 | %) |
Total expensesd | | | 1.81 | % | | | 1.92 | % | | | 1.92 | % | | | 1.82 | % | | | 1.80 | % | | | 1.77 | % |
Net expensese | | | 1.76 | % | | | 1.86 | % | | | 1.86 | % | | | 1.82 | % | | | 1.80 | % | | | 1.77 | % |
Portfolio turnover rate | | | 240 | % | | | 463 | % | | | 510 | % | | | 625 | % | | | 525 | % | | | 1,125 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 Ultra Short Duration Fund — Institutional Class | 23.2% |
Guggenheim Strategy Fund II | 21.6% |
Total | 44.8% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Russell 2000® 1.5x Strategy Fund | 25.22% | 100.12% | 20.29% | 14.36% |
Russell 2000 Index | 17.54% | 62.03% | 16.47% | 14.24% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
RIGHTS††† - 0.0% |
| | | | | | | | | |
Communications - 0.0% |
Nexstar Media Group, Inc.* | | | 132 | | | $ | — | |
| | | | | | | | | |
Consumer, Non-cyclical - 0.0% |
Omthera Pharmaceuticals, Inc.* | | | 37 | | | | — | |
Tobira Therapeutics, Inc.* | | | 8 | | | | — | |
Total Consumer, Non-cyclical | | | | | | | — | |
| | | | | | | | | |
Total Rights | | | | |
(Cost $—) | | | | | | | — | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 8.4% |
iShares Russell 2000 Index ETF1 | | | 1,880 | | | | 431,216 | |
Vanguard Russell 2000 ETF1 | | | 4,657 | | | | 431,098 | |
Total Exchange-Traded Funds | | | | |
(Cost $823,515) | | | | | | | 862,314 | |
| | | | | | | | | |
MUTUAL FUNDS† - 44.8% |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 236,720 | | | | 2,360,095 | |
Guggenheim Strategy Fund II2 | | | 88,180 | | | | 2,203,615 | |
Total Mutual Funds | | | | |
(Cost $4,547,813) | | | | | | | 4,563,710 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 7.8% |
U.S. Treasury Bills |
0.04% due 12/09/213,4 | | $ | 800,000 | | | | 799,812 | |
Total U.S. Treasury Bills | | | | |
(Cost $799,864) | | | | | | | 799,812 | |
| | | | | | | | | |
| | Face
Amount | | | Value | |
FEDERAL AGENCY NOTES†† - 6.4% |
Federal Home Loan Bank |
4.00% due 12/24/30 | | | 200,000 | | | | 203,809 | |
3.98% due 09/21/33 | | | 200,000 | | | | 201,632 | |
Federal Farm Credit Bank |
0.45% (U.S. Prime Rate - 2.80%, Rate Floor: 0.00%) due 03/14/225 | | | 250,000 | | | | 250,687 | |
Total Federal Agency Notes | | | | |
(Cost $658,489) | | | | | | | 656,128 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,6 - 27.7% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/213 | | | 1,584,237 | | | | 1,584,237 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/213 | | | 623,712 | | | | 623,712 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/213 | | | 611,483 | | | | 611,483 | |
Total Repurchase Agreements | | | | |
(Cost $2,819,432) | | | | | | | 2,819,432 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,7 - 6.5% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%8 | | | 659,934 | | | | 659,934 | |
Total Securities Lending Collateral | | | | |
(Cost $659,934) | | | | | | | 659,934 | |
| | | | | | | | | |
Total Investments - 101.6% | | | | |
(Cost $10,309,047) | | $ | 10,361,330 | |
Other Assets & Liabilities, net - (1.6)% | | | (165,021 | ) |
Total Net Assets - 100.0% | | $ | 10,196,309 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay
(Receive) | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Barclays Bank plc | Russell 2000 Index | 0.09% (1 Week USD LIBOR) | At Maturity | | | 07/14/21 | | | | 3,695 | | | $ | 8,538,081 | | | $ | 362,564 | |
Goldman Sachs International | Russell 2000 Index | 0.34% (1 Week USD LIBOR + 0.25%) | At Maturity | | | 07/15/21 | | | | 2,107 | | | | 4,867,421 | | | | 63,018 | |
BNP Paribas | Russell 2000 Index | 0.19% (1 Month USD LIBOR + 0.10%) | At Maturity | | | 07/15/21 | | | | 446 | | | | 1,029,379 | | | | 23,430 | |
| | | | | | | | | | | | | | $ | 14,434,881 | | | $ | 449,012 | |
84 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
† | 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 a portion of this security is on loan at June 30, 2021 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2021. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Variable rate security. Rate indicated is the rate effective at June 30, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | LIBOR — London Interbank Offered Rate |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Rights | | $ | — | | | $ | — | | | $ | — | * | | $ | — | |
Exchange-Traded Funds | | | 862,314 | | | | — | | | | — | | | | 862,314 | |
Mutual Funds | | | 4,563,710 | | | | — | | | | — | | | | 4,563,710 | |
U.S. Treasury Bills | | | — | | | | 799,812 | | | | — | | | | 799,812 | |
Federal Agency Notes | | | — | | | | 656,128 | | | | — | | | | 656,128 | |
Repurchase Agreements | | | — | | | | 2,819,432 | | | | — | | | | 2,819,432 | |
Securities Lending Collateral | | | 659,934 | | | | — | | | | — | | | | 659,934 | |
Equity Index Swap Agreements** | | | — | | | | 449,012 | | | | — | | | | 449,012 | |
Total Assets | | $ | 6,085,958 | | | $ | 4,724,384 | | | $ | — | | | $ | 10,810,342 | |
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 85 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 1,389,548 | | | $ | 812,399 | | | $ | — | | | $ | — | | | $ | 1,668 | | | $ | 2,203,615 | | | | 88,180 | | | $ | 12,457 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 2,352,432 | | | | 1,012,027 | | | | (1,000,000 | ) | | | (2,006 | ) | | | (2,358 | ) | | | 2,360,095 | | | | 236,720 | | | | 12,151 | |
| | | $ | 3,741,980 | | | $ | 1,824,426 | | | $ | (1,000,000 | ) | | $ | (2,006 | ) | | $ | (690 | ) | | $ | 4,563,710 | | | | | | | $ | 24,608 | |
86 | 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, 2021 |
Assets: |
Investments in unaffiliated issuers, at value - including $646,666 of securities loaned (cost $2,941,802) | | $ | 2,978,188 | |
Investments in affiliated issuers, at value (cost $4,547,813) | | | 4,563,710 | |
Repurchase agreements, at value (cost $2,819,432) | | | 2,819,432 | |
Unrealized appreciation on OTC swap agreements | | | 449,012 | |
Receivables: |
Swap settlement | | | 52,461 | |
Fund shares sold | | | 17,293 | |
Dividends | | | 5,244 | |
Interest | | | 2,410 | |
Securities lending income | | | 145 | |
Total assets | | | 10,887,895 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 659,934 | |
Management fees | | | 6,656 | |
Securities purchased | | | 4,455 | |
Investor service fees | | | 1,984 | |
Transfer agent and administrative fees | | | 1,738 | |
Portfolio accounting fees | | | 793 | |
Trustees’ fees* | | | 97 | |
Fund shares redeemed | | | 87 | |
Miscellaneous | | | 15,842 | |
Total liabilities | | | 691,586 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 10,196,309 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 6,136,961 | |
Total distributable earnings (loss) | | | 4,059,348 | |
Net assets | | $ | 10,196,309 | |
Capital shares outstanding | | | 90,621 | |
Net asset value per share | | $ | 112.52 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 1,442 | |
Dividends from securities of affiliated issuers | | | 24,608 | |
Interest | | | 5,686 | |
Income from securities lending, net | | | 191 | |
Total investment income | | | 31,927 | |
| | | | | |
Expenses: |
Management fees | | | 45,798 | |
Investor service fees | | | 12,722 | |
Transfer agent and administrative fees | | | 16,352 | |
Professional fees | | | 9,943 | |
Portfolio accounting fees | | | 5,089 | |
Trustees’ fees* | | | 822 | |
Custodian fees | | | 709 | |
Interest expense | | | 27 | |
Miscellaneous | | | 348 | |
Total expenses | | | 91,810 | |
Less: |
Expenses reimbursed by Adviser | | | (397 | ) |
Expenses waived by Adviser | | | (3,235 | ) |
Total waived/reimbursed expenses | | | (3,632 | ) |
Net expenses | | | 88,178 | |
Net investment loss | | | (56,251 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 66 | |
Investments in affiliated issuers | | | (2,006 | ) |
Swap agreements | | | 2,031,415 | |
Futures contracts | | | (37,309 | ) |
Net realized gain | | | 1,992,166 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 35,515 | |
Investments in affiliated issuers | | | (690 | ) |
Swap agreements | | | 430,744 | |
Net change in unrealized appreciation (depreciation) | | | 465,569 | |
Net realized and unrealized gain | | | 2,457,735 | |
Net increase in net assets resulting from operations | | $ | 2,401,484 | |
* | 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 | 87 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (56,251 | ) | | $ | (50,267 | ) |
Net realized gain on investments | | | 1,992,166 | | | | 2,093,595 | |
Net change in unrealized appreciation (depreciation) on investments | | | 465,569 | | | | 37,639 | |
Net increase in net assets resulting from operations | | | 2,401,484 | | | | 2,080,967 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (148,557 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 11,411,052 | | | | 27,542,995 | |
Distributions reinvested | | | — | | | | 148,557 | |
Cost of shares redeemed | | | (14,899,850 | ) | | | (23,685,229 | ) |
Net increase (decrease) from capital share transactions | | | (3,488,798 | ) | | | 4,006,323 | |
Net increase (decrease) in net assets | | | (1,087,314 | ) | | | 5,938,733 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 11,283,623 | | | | 5,344,890 | |
End of period | | $ | 10,196,309 | | | $ | 11,283,623 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 107,035 | | | | 412,440 | |
Shares issued from reinvestment of distributions | | | — | | | | 2,515 | |
Shares redeemed | | | (141,978 | ) | | | (357,968 | ) |
Net increase (decrease) in shares | | | (34,943 | ) | | | 56,987 | |
88 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 1.5x STRATEGY FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 89.86 | | | $ | 77.94 | | | $ | 57.58 | | | $ | 74.58 | | | $ | 64.03 | | | $ | 49.10 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.58 | ) | | | (.67 | ) | | | .41 | | | | .34 | | | | (.14 | ) | | | (.38 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 23.24 | | | | 15.02 | | | | 19.95 | | | | (13.90 | ) | | | 12.71 | | | | 15.31 | |
Total from investment operations | | | 22.66 | | | | 14.35 | | | | 20.36 | | | | (13.56 | ) | | | 12.57 | | | | 14.93 | |
Less distributions from: |
Net realized gains | | | — | | | | (2.43 | ) | | | — | | | | (3.44 | ) | | | (2.02 | ) | | | — | |
Total distributions | | | — | | | | (2.43 | ) | | | — | | | | (3.44 | ) | | | (2.02 | ) | | | — | |
Net asset value, end of period | | $ | 112.52 | | | $ | 89.86 | | | $ | 77.94 | | | $ | 57.58 | | | $ | 74.58 | | | $ | 64.03 | |
|
Total Returnc | | | 25.22 | % | | | 20.04 | % | | | 35.36 | % | | | (19.57 | %) | | | 20.01 | % | | | 30.41 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 10,196 | | | $ | 11,284 | | | $ | 5,345 | | | $ | 6,473 | | | $ | 9,070 | | | $ | 9,759 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.11 | %) | | | (1.01 | %) | | | 0.58 | % | | | 0.45 | % | | | (0.21 | %) | | | (0.74 | %) |
Total expensesd | | | 1.80 | % | | | 1.92 | % | | | 1.92 | % | | | 1.82 | % | | | 1.80 | % | | | 1.77 | % |
Net expensese | | | 1.73 | % | | | 1.85 | % | | | 1.85 | % | | | 1.81 | % | | | 1.80 | % | | | 1.77 | % |
Portfolio turnover rate | | | 21 | % | | | 148 | % | | | 127 | % | | | 268 | % | | | 234 | % | | | 1,198 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 89 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 Ultra Short Duration Fund — Institutional Class | 36.5% |
Guggenheim Strategy Fund II | 35.6% |
Total | 72.1% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Inverse Russell 2000® Strategy Fund | (17.88%) | (42.14%) | (18.44%) | (15.82%) |
Russell 2000 Index | 17.54% | 62.03% | 16.47% | 14.24% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
90 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
INVERSE RUSSELL 2000® STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 72.1% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 14,254 | | | $ | 142,113 | |
Guggenheim Strategy Fund II1 | | | 5,557 | | | | 138,860 | |
Total Mutual Funds | | | | |
(Cost $277,155) | | | | | | | 280,973 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 8.8% |
Freddie Mac. |
2.00% due 12/10/21 | | $ | 34,000 | | | | 34,292 | |
Total Federal Agency Notes | | | | |
(Cost $34,273) | | | | | | | 34,292 | |
| | | | | | | | | |
| | Face
Amoun | | | Value | |
REPURCHASE AGREEMENTS††,2 - 129.7% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/213 | | | 284,311 | | | | 284,311 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/213 | | | 111,933 | | | | 111,933 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/213 | | | 109,738 | | | | 109,738 | |
Total Repurchase Agreements | | | | |
(Cost $505,982) | | | | | | | 505,982 | |
| | | | | | | | | |
Total Investments - 210.6% | | | | |
(Cost $817,410) | | $ | 821,247 | |
Other Assets & Liabilities, net - (110.6)% | | | (431,231 | ) |
Total Net Assets - 100.0% | | $ | 390,016 | |
Total Return Swap Agreements |
Counterparty | Index | Financing Rate
Pay (Receive) | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Equity Index Swap Agreements Sold Short†† |
Goldman Sachs International | Russell 2000 Index | (0.04)% (1 Week USD LIBOR - 0.05%) | At Maturity | | | 07/15/21 | | | | 75 | | | $ | 174,369 | | | $ | 1,245 | |
BNP Paribas | Russell 2000 Index | 0.31% (1 Month USD LIBOR - 0.40%) | At Maturity | | | 07/15/21 | | | | 42 | | | | 96,917 | | | | (72 | ) |
Barclays Bank plc | Russell 2000 Index | 0.41% (1 Week USD LIBOR - 0.50%) | At Maturity | | | 07/14/21 | | | | 51 | | | | 117,288 | | | | (5,319 | ) |
| | | | | | | | | | | | | | $ | 388,574 | | | $ | (4,146 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Repurchase Agreements — See Note 6. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2021. |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 91 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
INVERSE RUSSELL 2000® STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Mutual Funds | | $ | 280,973 | | | $ | — | | | $ | — | | | $ | 280,973 | |
Federal Agency Notes | | | — | | | | 34,292 | | | | — | | | | 34,292 | |
Repurchase Agreements | | | — | | | | 505,982 | | | | — | | | | 505,982 | |
Equity Index Swap Agreements** | | | — | | | | 1,245 | | | | — | | | | 1,245 | |
Total Assets | | $ | 280,973 | | | $ | 541,519 | | | $ | — | | | $ | 822,492 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 5,391 | | | $ | — | | | $ | 5,391 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 73,033 | | | $ | 240,769 | | | $ | (175,000 | ) | | $ | (30 | ) | | $ | 88 | | | $ | 138,860 | | | | 5,557 | | | $ | 776 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 76,710 | | | | 240,556 | | | | (175,000 | ) | | | (76 | ) | | | (77 | ) | | | 142,113 | | | | 14,254 | | | | 560 | |
| | | $ | 149,743 | | | $ | 481,325 | | | $ | (350,000 | ) | | $ | (106 | ) | | $ | 11 | | | $ | 280,973 | | | | | | | $ | 1,336 | |
92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE RUSSELL 2000® STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value (cost $34,273) | | $ | 34,292 | |
Investments in affiliated issuers, at value (cost $277,155) | | | 280,973 | |
Repurchase agreements, at value (cost $505,982) | | | 505,982 | |
Unrealized appreciation on OTC swap agreements | | | 1,245 | |
Receivables: |
Dividends | | | 276 | |
Interest | | | 40 | |
Total assets | | | 822,808 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 5,391 | |
Payable for: |
Fund shares redeemed | | | 410,748 | |
Swap settlement | | | 14,742 | |
Management fees | | | 408 | |
Securities purchased | | | 276 | |
Investor service fees | | | 121 | |
Transfer agent and administrative fees | | | 106 | |
Portfolio accounting fees | | | 49 | |
Trustees’ fees* | | | 6 | |
Miscellaneous | | | 945 | |
Total liabilities | | | 432,792 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 390,016 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 8,104,260 | |
Total distributable earnings (loss) | | | (7,714,244 | ) |
Net assets | | $ | 390,016 | |
Capital shares outstanding | | | 12,850 | |
Net asset value per share | | $ | 30.35 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 1,336 | |
Interest | | | 40 | |
Total investment income | | | 1,376 | |
| | | | | |
Expenses: |
Management fees | | | 2,496 | |
Investor service fees | | | 693 | |
Transfer agent and administrative fees | | | 903 | |
Portfolio accounting fees | | | 277 | |
Professional fees | | | 174 | |
Trustees’ fees* | | | 50 | |
Custodian fees | | | 39 | |
Miscellaneous | | | 348 | |
Total expenses | | | 4,980 | |
Less: |
Expenses reimbursed by Adviser | | | (24 | ) |
Expenses waived by Adviser | | | (144 | ) |
Total waived/reimbursed expenses | | | (168 | ) |
Net expenses | | | 4,812 | |
Net investment loss | | | (3,436 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in affiliated issuers | | | (106 | ) |
Swap agreements | | | (51,687 | ) |
Net realized loss | | | (51,793 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 18 | |
Investments in affiliated issuers | | | 11 | |
Swap agreements | | | (4,164 | ) |
Net change in unrealized appreciation (depreciation) | | | (4,135 | ) |
Net realized and unrealized loss | | | (55,928 | ) |
Net decrease in net assets resulting from operations | | $ | (59,364 | ) |
* | 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 | 93 |
INVERSE RUSSELL 2000® STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (3,436 | ) | | $ | (12,877 | ) |
Net realized loss on investments | | | (51,793 | ) | | | (810,673 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (4,135 | ) | | | 3,416 | |
Net decrease in net assets resulting from operations | | | (59,364 | ) | | | (820,134 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (9,218 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 4,654,524 | | | | 32,339,554 | |
Distributions reinvested | | | — | | | | 9,218 | |
Cost of shares redeemed | | | (4,578,645 | ) | | | (31,758,192 | ) |
Net increase from capital share transactions | | | 75,879 | | | | 590,580 | |
Net increase (decrease) in net assets | | | 16,515 | | | | (238,772 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 373,501 | | | | 612,273 | |
End of period | | $ | 390,016 | | | $ | 373,501 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 146,447 | | | | 598,355 | |
Shares issued from reinvestment of distributions | | | — | | | | 182 | |
Shares redeemed | | | (143,703 | ) | | | (599,808 | ) |
Net increase (decrease) in shares | | | 2,744 | | | | (1,271 | ) |
94 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE RUSSELL 2000® STRATEGY FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 36.96 | | | $ | 53.82 | | | $ | 68.28 | | | $ | 61.44 | | | $ | 71.04 | | | $ | 89.12 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.20 | ) | | | (.57 | ) | | | .46 | | | | .31 | | | | (.51 | ) | | | (.35 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (6.41 | ) | | | (15.89 | ) | | | (14.50 | ) | | | 6.53 | | | | (9.09 | ) | | | (17.73 | ) |
Total from investment operations | | | (6.61 | ) | | | (16.46 | ) | | | (14.04 | ) | | | 6.84 | | | | (9.60 | ) | | | (18.08 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.40 | ) | | | (.42 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.40 | ) | | | (.42 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 30.35 | | | $ | 36.96 | | | $ | 53.82 | | | $ | 68.28 | | | $ | 61.44 | | | $ | 71.04 | �� |
|
Total Returnc | | | (17.88 | %) | | | (30.81 | %) | | | (20.62 | %) | | | 11.13 | % | | | (13.49 | %) | | | (20.28 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 390 | | | $ | 374 | | | $ | 612 | | | $ | 3,782 | | | $ | 923 | | | $ | 12,310 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.24 | %) | | | (1.05 | %) | | | 0.76 | % | | | 0.51 | % | | | (0.74 | %) | | | (1.14 | %) |
Total expensesd | | | 1.80 | % | | | 1.93 | % | | | 1.93 | % | | | 1.83 | % | | | 1.80 | % | | | 1.75 | % |
Net expensese | | | 1.74 | % | | | 1.87 | % | | | 1.85 | % | | | 1.82 | % | | | 1.80 | % | | | 1.75 | % |
Portfolio turnover rate | | | 142 | % | | | 275 | % | | | 164 | % | | | 287 | % | | | 445 | % | | | 1,160 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | Reverse share split — Per share amounts for the year ended December 31, 2016, have been restated to through a 1:3 reverse share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 95 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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 performance of the Dow Jones Industrial Average® (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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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) |
UnitedHealth Group, Inc. | 6.0% |
Goldman Sachs Group, Inc. | 5.6% |
Home Depot, Inc. | 4.7% |
Microsoft Corp. | 4.0% |
salesforce.com, Inc. | 3.6% |
Amgen, Inc. | 3.6% |
Guggenheim Strategy Fund II | 3.6% |
Boeing Co. | 3.6% |
Visa, Inc. — Class A | 3.5% |
McDonald’s Corp. | 3.4% |
Top Ten Total | 41.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Dow 2x Strategy Fund | 27.08% | 79.00% | 26.12% | 21.17% |
Dow Jones Industrial Average Index | 13.79% | 36.34% | 16.66% | 13.50% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
96 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
DOW 2x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 77.9% |
| | | | | | | | | |
Financial - 16.1% |
Goldman Sachs Group, Inc. | | | 2,345 | | | $ | 889,998 | |
Visa, Inc. — Class A | | | 2,345 | | | | 548,308 | |
American Express Co. | | | 2,345 | | | | 387,464 | |
JPMorgan Chase & Co. | | | 2,345 | | | | 364,741 | |
Travelers Companies, Inc. | | | 2,345 | | | | 351,070 | |
Total Financial | | | | | | | 2,541,581 | |
| | | | | | | | | |
Consumer, Non-cyclical - 16.0% |
UnitedHealth Group, Inc. | | | 2,345 | | | | 939,032 | |
Amgen, Inc. | | | 2,345 | | | | 571,593 | |
Johnson & Johnson | | | 2,345 | | | | 386,315 | |
Procter & Gamble Co. | | | 2,345 | | | | 316,411 | |
Merck & Company, Inc. | | | 2,345 | | | | 182,371 | |
Coca-Cola Co. | | | 2,345 | | | | 126,888 | |
Total Consumer, Non-cyclical | | | | | | | 2,522,610 | |
| | | | | | | | | |
Consumer, Cyclical - 13.4% |
Home Depot, Inc. | | | 2,345 | | | | 747,797 | |
McDonald’s Corp. | | | 2,345 | | | | 541,672 | |
NIKE, Inc. — Class B | | | 2,345 | | | | 362,279 | |
Walmart, Inc. | | | 2,345 | | | | 330,692 | |
Walgreens Boots Alliance, Inc. | | | 2,345 | | | | 123,370 | |
Total Consumer, Cyclical | | | | | | | 2,105,810 | |
| | | | | | | | | |
Industrial - 13.0% |
Boeing Co.* | | | 2,345 | | | | 561,768 | |
Honeywell International, Inc. | | | 2,345 | | | | 514,376 | |
Caterpillar, Inc. | | | 2,345 | | | | 510,343 | |
3M Co. | | | 2,345 | | | | 465,787 | |
Total Industrial | | | | | | | 2,052,274 | |
| | | | | | | | | |
Technology - 12.7% |
Microsoft Corp. | | | 2,345 | | | | 635,261 | |
salesforce.com, Inc.* | | | 2,345 | | | | 572,813 | |
International Business Machines Corp. | | | 2,345 | | | | 343,754 | |
Apple, Inc. | | | 2,345 | | | | 321,171 | |
Intel Corp. | | | 2,345 | | | | 131,648 | |
Total Technology | | | | | | | 2,004,647 | |
| | | | | | | | | |
Communications - 4.2% |
Walt Disney Co.* | | | 2,345 | | | | 412,181 | |
Verizon Communications, Inc. | | | 2,345 | | | | 131,390 | |
Cisco Systems, Inc. | | | 2,345 | | | | 124,285 | |
Total Communications | | | | | | | 667,856 | |
| | | | | | | | | |
Energy - 1.6% |
Chevron Corp. | | | 2,345 | | | | 245,615 | |
| | | | | | | | | |
Basic Materials - 0.9% |
Dow, Inc. | | | 2,345 | | | | 148,392 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $11,057,964) | | | | | | | 12,288,785 | |
| | | | | | | | | |
MUTUAL FUNDS† - 5.7% |
Guggenheim Strategy Fund II1 | | | 22,665 | | | | 566,403 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 32,891 | | | | 327,924 | |
Total Mutual Funds | | | | |
(Cost $869,912) | | | | | | | 894,327 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 9.0% |
U.S. Treasury Bills |
0.04% due 12/09/212,3 | | $ | 1,300,000 | | | | 1,299,695 | |
0.01% due 08/03/213,4 | | | 127,000 | | | | 126,994 | |
Total U.S. Treasury Bills | | | | |
(Cost $1,426,778) | | | | | | | 1,426,689 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,5 - 7.0% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/212 | | | 619,402 | | | | 619,402 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/212 | | | 243,858 | | | | 243,858 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/212 | | | 239,077 | | | | 239,077 | |
Total Repurchase Agreements | | | | |
(Cost $1,102,337) | | | | | | | 1,102,337 | |
| | | | | | | | | |
Total Investments - 99.6% | | | | |
(Cost $14,456,991) | | $ | 15,712,138 | |
Other Assets & Liabilities, net - 0.4% | | | 65,259 | |
Total Net Assets - 100.0% | | $ | 15,777,397 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 97 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
DOW 2x STRATEGY FUND | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
Dow Jones Industrial Average Index Mini Futures Contracts | | | 7 | | | | Sep 2021 | | | $ | 1,203,370 | | | $ | 811 | |
Total Return Swap Agreements |
Counterparty | Index | Financing
Rate Pay
(Receive) | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Barclays Bank plc | Dow Jones Industrial Average Index | 0.59% (1 Week USD LIBOR + 0.50%) | At Maturity | | | 07/14/21 | | | | 364 | | | $ | 12,558,379 | | | $ | 69,176 | |
BNP Paribas | Dow Jones Industrial Average Index | 0.59% (1 Month USD LIBOR + 0.50%) | At Maturity | | | 07/15/21 | | | | 161 | | | | 5,563,957 | | | | 30,390 | |
| | | | | | | | | | | | | | $ | 18,122,336 | | | $ | 99,566 | |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2021. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | All or a portion of this security is pledged as futures collateral at June 30, 2021. |
5 | Repurchase Agreements — See Note 6. |
| | LIBOR — London Interbank Offered Rate |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 12,288,785 | | | $ | — | | | $ | — | | | $ | 12,288,785 | |
Mutual Funds | | | 894,327 | | | | — | | | | — | | | | 894,327 | |
U.S. Treasury Bills | | | — | | | | 1,426,689 | | | | — | | | | 1,426,689 | |
Repurchase Agreements | | | — | | | | 1,102,337 | | | | — | | | | 1,102,337 | |
Equity Futures Contracts** | | | 811 | | | | — | | | | — | | | | 811 | |
Equity Index Swap Agreements** | | | — | | | | 99,566 | | | | — | | | | 99,566 | |
Total Assets | | $ | 13,183,923 | | | $ | 2,628,592 | | | $ | — | | | $ | 15,812,515 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
98 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
DOW 2x STRATEGY FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 3,308,169 | | | $ | 352,631 | | | $ | (3,100,000 | ) | | $ | 43,108 | | | $ | (37,505 | ) | | $ | 566,403 | | | | 22,665 | | | $ | 17,952 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 3,296,696 | | | | 1,932,403 | | | | (4,900,000 | ) | | | 17,536 | | | | (18,711 | ) | | | 327,924 | | | | 32,891 | | | | 12,578 | |
| | | $ | 6,604,865 | | | $ | 2,285,034 | | | $ | (8,000,000 | ) | | $ | 60,644 | | | $ | (56,216 | ) | | $ | 894,327 | | | | | | | $ | 30,530 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 99 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value (cost $12,484,742) | | $ | 13,715,474 | |
Investments in affiliated issuers, at value (cost $869,912) | | | 894,327 | |
Repurchase agreements, at value (cost $1,102,337) | | | 1,102,337 | |
Unrealized appreciation on OTC swap agreements | | | 99,566 | |
Receivables: |
Variation margin on futures contracts | | | 6,307 | |
Dividends | | | 5,955 | |
Fund shares sold | | | 5,203 | |
Total assets | | | 15,829,169 | |
| | | | | |
Liabilities: |
Payable for: |
Management fees | | | 12,847 | |
Professional fees | | | 9,192 | |
Swap settlement | | | 4,470 | |
Investor service fees | | | 3,635 | |
Transfer agent and administrative fees | | | 3,185 | |
Securities purchased | | | 2,599 | |
Printing fees | | | 2,329 | |
Licensing fees | | | 2,012 | |
Portfolio accounting fees | | | 1,454 | |
Fund shares redeemed | | | 445 | |
Trustees’ fees* | | | 153 | |
Miscellaneous | | | 9,451 | |
Total liabilities | | | 51,772 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 15,777,397 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 12,370,702 | |
Total distributable earnings (loss) | | | 3,406,695 | |
Net assets | | $ | 15,777,397 | |
Capital shares outstanding | | | 83,976 | |
Net asset value per share | | $ | 187.88 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 62,680 | |
Dividends from securities of affiliated issuers | | | 30,530 | |
Interest | | | 584 | |
Total investment income | | | 93,794 | |
| | | | | |
Expenses: |
Management fees | | | 68,237 | |
Investor service fees | | | 18,955 | |
Transfer agent and administrative fees | | | 24,417 | |
Portfolio accounting fees | | | 7,582 | |
Professional fees | | | 7,296 | |
Trustees’ fees* | | | 1,264 | |
Custodian fees | | | 1,053 | |
Line of credit fees | | | 44 | |
Miscellaneous | | | 6,719 | |
Total expenses | | | 135,567 | |
Less: |
Expenses reimbursed by Adviser | | | (727 | ) |
Expenses waived by Adviser | | | (3,355 | ) |
Total waived/reimbursed expenses | | | (4,082 | ) |
Net expenses | | | 131,485 | |
Net investment loss | | | (37,691 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (148,070 | ) |
Investments in affiliated issuers | | | 60,644 | |
Swap agreements | | | 2,495,843 | |
Futures contracts | | | 253,830 | |
Net realized gain | | | 2,662,247 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 611,725 | |
Investments in affiliated issuers | | | (56,216 | ) |
Swap agreements | | | (70,423 | ) |
Futures contracts | | | (6,999 | ) |
Net change in unrealized appreciation (depreciation) | | | 478,087 | |
Net realized and unrealized gain | | | 3,140,334 | |
Net increase in net assets resulting from operations | | $ | 3,102,643 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
100 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (37,691 | ) | | $ | (57,889 | ) |
Net realized gain (loss) on investments | | | 2,662,247 | | | | (462,515 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 478,087 | | | | 461,578 | |
Net increase (decrease) in net assets resulting from operations | | | 3,102,643 | | | | (58,826 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (1,605,976 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 41,021,448 | | | | 155,052,801 | |
Distributions reinvested | | | — | | | | 1,605,976 | |
Cost of shares redeemed | | | (42,599,641 | ) | | | (156,260,037 | ) |
Net increase (decrease) from capital share transactions | | | (1,578,193 | ) | | | 398,740 | |
Net increase (decrease) in net assets | | | 1,524,450 | | | | (1,266,062 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 14,252,947 | | | | 15,519,009 | |
End of period | | $ | 15,777,397 | | | $ | 14,252,947 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 228,676 | | | | 1,248,400 | |
Shares issued from reinvestment of distributions | | | — | | | | 13,989 | |
Shares redeemed | | | (241,111 | ) | | | (1,260,965 | ) |
Net increase (decrease) in shares | | | (12,435 | ) | | | 1,424 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 101 |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 147.84 | | | $ | 163.38 | | | $ | 111.50 | | | $ | 171.44 | | | $ | 110.08 | | | $ | 84.22 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.42 | ) | | | (.53 | ) | | | .91 | | | | 1.01 | | | | .25 | | | | .06 | |
Net gain (loss) on investments (realized and unrealized) | | | 40.46 | | | | (.73 | ) | | | 51.94 | | | | (18.55 | ) | | | 63.43 | | | | 25.80 | |
Total from investment operations | | | 40.04 | | | | (1.26 | ) | | | 52.85 | | | | (17.54 | ) | | | 63.68 | | | | 25.86 | |
Less distributions from: |
Net investment income | | | — | | | | (.92 | ) | | | (.97 | ) | | | (.36 | ) | | | (.06 | ) | | | — | |
Net realized gains | | | — | | | | (13.36 | ) | | | — | | | | (42.04 | ) | | | (2.26 | ) | | | — | |
Total distributions | | | — | | | | (14.28 | ) | | | (.97 | ) | | | (42.40 | ) | | | (2.32 | ) | | | — | |
Net asset value, end of period | | $ | 187.88 | | | $ | 147.84 | | | $ | 163.38 | | | $ | 111.50 | | | $ | 171.44 | | | $ | 110.08 | |
|
Total Returnc | | | 27.08 | % | | | 1.73 | % | | | 47.47 | % | | | (14.23 | %) | | | 58.51 | % | | | 30.72 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 15,777 | | | $ | 14,253 | | | $ | 15,519 | | | $ | 14,209 | | | $ | 23,319 | | | $ | 16,510 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.50 | %) | | | (0.42 | %) | | | 0.65 | % | | | 0.65 | % | | | 0.18 | % | | | 0.07 | % |
Total expensesd | | | 1.79 | % | | | 1.91 | % | | | 1.91 | % | | | 1.80 | % | | | 1.81 | % | | | 1.77 | % |
Net expensese | | | 1.73 | % | | | 1.85 | % | | | 1.84 | % | | | 1.80 | % | | | 1.81 | % | | | 1.77 | % |
Portfolio turnover rate | | | 245 | % | | | 607 | % | | | 256 | % | | | 362 | % | | | 256 | % | | | 361 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
102 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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 Average® (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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 | 24.5% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 24.3% |
Total | 48.8% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Inverse Dow 2x Strategy Fund | (24.87%) | (49.85%) | (33.71%) | (29.22%) |
Dow Jones Industrial Average Index | 13.79% | 36.34% | 16.66% | 13.50% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 103 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
INVERSE DOW 2x STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 48.8% |
Guggenheim Strategy Fund II1 | | | 25,018 | | | $ | 625,197 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 62,395 | | | | 622,081 | |
Total Mutual Funds | | | | |
(Cost $1,225,484) | | | | | | | 1,247,278 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 12.1% |
U.S. Treasury Bills |
0.04% due 12/09/212,3 | | $ | 300,000 | | | | 299,929 | |
0.01% due 08/03/213,4 | | | 10,000 | | | | 10,000 | |
Total U.S. Treasury Bills | | | | |
(Cost $309,949) | | | | | | | 309,929 | |
| | | | | | | | | |
| | Face
Amount | | | Value | |
FEDERAL AGENCY NOTES†† - 3.9% |
Federal Farm Credit Bank |
0.13% due 11/02/21 | | | 100,000 | | | | 100,012 | |
Total Federal Agency Notes | | | | |
(Cost $100,028) | | | | | | | 100,012 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,5 - 34.2% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/212 | | | 491,970 | | | | 491,970 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/212 | | | 193,688 | | | | 193,688 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/212 | | | 189,890 | | | | 189,890 | |
Total Repurchase Agreements | | | | |
(Cost $875,548) | | | | | | | 875,548 | |
| | | | | | | | | |
Total Investments - 99.0% | | | | |
(Cost $2,511,009) | | $ | 2,532,767 | |
Other Assets & Liabilities, net - 1.0% | | | 24,907 | |
Total Net Assets - 100.0% | | $ | 2,557,674 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Depreciation** | |
Equity Futures Contracts Sold Short† |
Dow Jones Industrial Average Index Mini Futures Contracts | | | 1 | | | | Sep 2021 | | | $ | 171,910 | | | $ | (127 | ) |
Total Return Swap Agreements |
Counterparty | Index | Financing Rate
Pay (Receive) | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Depreciation | |
OTC Equity Index Swap Agreements Sold Short†† |
BNP Paribas | Dow Jones Industrial Average Index | (0.09)% (1 Month USD LIBOR) | At Maturity | | | 07/15/21 | | | | 73 | | | $ | 2,526,039 | | | $ | (10,560 | ) |
Barclays Bank plc | Dow Jones Industrial Average Index | (0.34)% (1 Week USD LIBOR + 0.25%) | At Maturity | | | 07/14/21 | | | | 70 | | | | 2,429,291 | | | | (13,389 | ) |
| | | | | | | | | | | | | | $ | 4,955,330 | | | $ | (23,949 | ) |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2021. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | All or a portion of this security is pledged as futures collateral at June 30, 2021. |
5 | Repurchase Agreements — See Note 6. |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
104 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
INVERSE DOW 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Mutual Funds | | $ | 1,247,278 | | | $ | — | | | $ | — | | | $ | 1,247,278 | |
U.S. Treasury Bills | | | — | | | | 309,929 | | | | — | | | | 309,929 | |
Federal Agency Notes | | | — | | | | 100,012 | | | | — | | | | 100,012 | |
Repurchase Agreements | | | — | | | | 875,548 | | | | — | | | | 875,548 | |
Total Assets | | $ | 1,247,278 | | | $ | 1,285,489 | | | $ | — | | | $ | 2,532,767 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Futures Contracts** | | $ | 127 | | | $ | — | | | $ | — | | | $ | 127 | |
Equity Index Swap Agreements** | | | — | | | | 23,949 | | | | — | | | | 23,949 | |
Total Liabilities | | $ | 127 | | | $ | 23,949 | | | $ | — | | | $ | 24,076 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 454,861 | | | $ | 654,942 | | | $ | (485,000 | ) | | $ | (153 | ) | | $ | 547 | | | $ | 625,197 | | | | 25,018 | | | $ | 4,986 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 938,935 | | | | 303,767 | | | | (620,000 | ) | | | 318 | | | | (939 | ) | | | 622,081 | | | | 62,395 | | | | 3,817 | |
| | | $ | 1,393,796 | | | $ | 958,709 | | | $ | (1,105,000 | ) | | $ | 165 | | | $ | (392 | ) | | $ | 1,247,278 | | | | | | | $ | 8,803 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 105 |
INVERSE DOW 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value (cost $409,977) | | $ | 409,941 | |
Investments in affiliated issuers, at value (cost $1,225,484) | | | 1,247,278 | |
Repurchase agreements, at value (cost $875,548) | | | 875,548 | |
Receivables: |
Fund shares sold | | | 72,741 | |
Dividends | | | 1,228 | |
Interest | | | 21 | |
Total assets | | | 2,606,757 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 23,949 | |
Payable for: |
Swap settlement | | | 12,800 | |
Fund shares redeemed | | | 1,936 | |
Management fees | | | 1,665 | |
Securities purchased | | | 1,228 | |
Variation margin on futures contracts | | | 1,060 | |
Investor service fees | | | 498 | |
Transfer agent and administrative fees | | | 436 | |
Portfolio accounting fees | | | 199 | |
Trustees’ fees* | | | 36 | |
Miscellaneous | | | 5,276 | |
Total liabilities | | | 49,083 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 2,557,674 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 25,026,451 | |
Total distributable earnings (loss) | | | (22,468,777 | ) |
Net assets | | $ | 2,557,674 | |
Capital shares outstanding | | | 48,259 | |
Net asset value per share | | $ | 53.00 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 8,803 | |
Interest | | | 230 | |
Total investment income | | | 9,033 | |
| | | | | |
Expenses: |
Management fees | | | 14,305 | |
Investor service fees | | | 3,974 | |
Transfer agent and administrative fees | | | 5,365 | |
Professional fees | | | 2,359 | |
Portfolio accounting fees | | | 1,589 | |
Trustees’ fees* | | | 357 | |
Custodian fees | | | 230 | |
Miscellaneous | | | 327 | |
Total expenses | | | 28,506 | |
Less: |
Expenses reimbursed by Adviser | | | (100 | ) |
Expenses waived by Adviser | | | (1,008 | ) |
Total waived/reimbursed expenses | | | (1,108 | ) |
Net expenses | | | 27,398 | |
Net investment loss | | | (18,365 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 11 | |
Investments in affiliated issuers | | | 165 | |
Swap agreements | | | (1,028,039 | ) |
Futures contracts | | | (38,508 | ) |
Net realized loss | | | (1,066,371 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (40 | ) |
Investments in affiliated issuers | | | (392 | ) |
Swap agreements | | | 32,637 | |
Futures contracts | | | 2,480 | |
Net change in unrealized appreciation (depreciation) | | | 34,685 | |
Net realized and unrealized loss | | | (1,031,686 | ) |
Net decrease in net assets resulting from operations | | $ | (1,050,051 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
106 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE DOW 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (18,365 | ) | | $ | (32,650 | ) |
Net realized loss on investments | | | (1,066,371 | ) | | | (2,444,249 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 34,685 | | | | (33,555 | ) |
Net decrease in net assets resulting from operations | | | (1,050,051 | ) | | | (2,510,454 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (20,050 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 7,329,583 | | | | 71,582,539 | |
Distributions reinvested | | | — | | | | 20,050 | |
Cost of shares redeemed | | | (7,152,360 | ) | | | (68,916,815 | ) |
Net increase from capital share transactions | | | 177,223 | | | | 2,685,774 | |
Net increase (decrease) in net assets | | | (872,828 | ) | | | 155,270 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 3,430,502 | | | | 3,275,232 | |
End of period | | $ | 2,557,674 | | | $ | 3,430,502 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 122,776 | | | | 638,978 | |
Shares issued from reinvestment of distributions | | | — | | | | 209 | |
Shares redeemed | | | (123,148 | ) | | | (615,557 | ) |
Net increase (decrease) in shares | | | (372 | ) | | | 23,630 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 107 |
INVERSE DOW 2x STRATEGY FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019g | | | Year Ended
December 31,
2018g | | | Year Ended
December 31,
2017g | | | Year Ended
December 31,
2016f,g | |
Per Share Data |
Net asset value, beginning of period | | $ | 70.54 | | | $ | 131.01 | | | $ | 204.97 | | | $ | 202.08 | | | $ | 331.11 | | | $ | 470.55 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.35 | ) | | | (.34 | ) | | | .90 | | | | 1.25 | | | | (1.60 | ) | | | (1.25 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (17.19 | ) | | | (59.99 | ) | | | (74.86 | ) | | | 1.64 | | | | (127.43 | ) | | | (138.19 | ) |
Total from investment operations | | | (17.54 | ) | | | (60.33 | ) | | | (73.96 | ) | | | 2.89 | | | | (129.03 | ) | | | (139.44 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.14 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.14 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 53.00 | | | $ | 70.54 | | | $ | 131.01 | | | $ | 204.97 | | | $ | 202.08 | | | $ | 331.11 | |
|
Total Returnc | | | (24.87 | %) | | | (45.76 | %) | | | (36.08 | %) | | | 1.43 | % | | | (38.95 | %) | | | (29.65 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,558 | | | $ | 3,431 | | | $ | 3,275 | | | $ | 2,122 | | | $ | 3,699 | | | $ | 3,403 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.16 | %) | | | (1.04 | %) | | | 0.56 | % | | | 0.67 | % | | | (0.58 | %) | | | (0.84 | %) |
Total expensesd | | | 1.79 | % | | | 1.92 | % | | | 1.92 | % | | | 1.81 | % | | | 1.81 | % | | | 1.77 | % |
Net expensese | | | 1.72 | % | | | 1.86 | % | | | 1.86 | % | | | 1.80 | % | | | 1.81 | % | | | 1.77 | % |
Portfolio turnover rate | | | 61 | % | | | 616 | % | | | 427 | % | | | 524 | % | | | 915 | % | | | 642 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | Reverse share split — Per share amounts for the year ended December 31, 2016 have been restated to reflect a 1:3 reverse share split effective December 1, 2016. |
g | Reverse share split — Per share amounts for the years presented through December 31, 2019 have been restated to reflect a 1:5 reverse share split effective August 24, 2020. |
108 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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 most recently issued 30 Year U.S. Treasury Bond. 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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 Bonds | 47.4% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 14.6% |
Guggenheim Strategy Fund II | 11.1% |
Total | 73.1% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Government Long Bond 1.2x Strategy Fund | (12.06%) | (16.95%) | 1.42% | 6.94% |
Price Movement of Long Treasury Bond** | (9.66%) | (14.55%) | 0.47% | 3.92% |
Bloomberg Barclays U.S. Long Treasury Index | (7.92%) | (10.58%) | 3.13% | 6.66% |
* | 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. Long Treasury Index and the Price Movement of Long Treasury Bond are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Does not reflect any interest. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 109 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 25.7% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 135,184 | | | $ | 1,347,783 | |
Guggenheim Strategy Fund II1 | | | 41,113 | | | | 1,027,413 | |
Total Mutual Funds | | | | |
(Cost $2,325,713) | | | | | | | 2,375,196 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. GOVERNMENT SECURITIES†† - 47.4% |
U.S. Treasury Bonds |
2.38% due 05/15/51 | | $ | 4,100,000 | | | | 4,376,750 | |
Total U.S. Government Securities | | | | |
(Cost $4,140,440) | | | | | | | 4,376,750 | |
| | | | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 6.6% |
Federal Home Loan Bank |
0.01% due 07/02/212 | | | 612,000 | | | | 612,000 | |
Total Federal Agency Discount Notes | | | | |
(Cost $612,000) | | | | | | | 612,000 | |
| | | | | | | | | |
FEDERAL AGENCY NOTES†† - 3.9% |
Federal Farm Credit Bank |
0.13% due 11/02/21 | | | 200,000 | | | | 200,025 | |
Federal Home Loan Bank |
1.13% due 07/14/21 | | | 160,000 | | | | 160,062 | |
Total Federal Agency Notes | | | | |
(Cost $360,119) | | | | | | | 360,087 | |
| | | | | | | | | |
| | Face
Amount | | | Value | |
U.S. TREASURY BILLS†† - 2.0% |
U.S. Treasury Bills |
0.01% due 08/03/212,3 | | | 177,000 | | | | 176,992 | |
Total U.S. Treasury Bills | | | | |
(Cost $176,998) | | | | | | | 176,992 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 12.4% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | | 645,190 | | | | 645,190 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 254,011 | | | | 254,011 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 249,030 | | | | 249,030 | |
Total Repurchase Agreements | | | | |
(Cost $1,148,231) | | | | | | | 1,148,231 | |
| | | | | | | | | |
Total Investments - 98.0% | | | | |
(Cost $8,763,501) | | $ | 9,049,256 | |
Other Assets & Liabilities, net - 2.0% | | | 188,577 | |
Total Net Assets - 100.0% | | $ | 9,237,833 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Interest Rate Futures Contracts Purchased† |
U.S. Treasury Ultra Long Bond Futures Contracts | | | 40 | | | | Sep 2021 | | | $ | 7,701,250 | | | $ | 253,046 | |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Rate indicated is the effective yield at the time of purchase. |
3 | All or a portion of this security is pledged as futures collateral at June 30, 2021. |
4 | Repurchase Agreements — See Note 6. |
| | |
| | See Sector Classification in Other Information section. |
110 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Mutual Funds | | $ | 2,375,196 | | | $ | — | | | $ | — | | | $ | 2,375,196 | |
U.S. Government Securities | | | — | | | | 4,376,750 | | | | — | | | | 4,376,750 | |
Federal Agency Discount Notes | | | — | | | | 612,000 | | | | — | | | | 612,000 | |
Federal Agency Notes | | | — | | | | 360,087 | | | | — | | | | 360,087 | |
U.S. Treasury Bills | | | — | | | | 176,992 | | | | — | | | | 176,992 | |
Repurchase Agreements | | | — | | | | 1,148,231 | | | | — | | | | 1,148,231 | |
Interest Rate Futures Contracts** | | | 253,046 | | | | — | | | | — | | | | 253,046 | |
Total Assets | | $ | 2,628,242 | | | $ | 6,674,060 | | | $ | — | | | $ | 9,302,302 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 1,416,232 | | | $ | 2,108,802 | | | $ | (2,500,000 | ) | | $ | 3,453 | | | $ | (1,074 | ) | | $ | 1,027,413 | | | | 41,113 | | | $ | 8,939 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 1,643,816 | | | | 2,505,416 | | | | (2,800,000 | ) | | | 5,850 | | | | (7,299 | ) | | | 1,347,783 | | | | 135,184 | | | | 5,508 | |
| | | $ | 3,060,048 | | | $ | 4,614,218 | | | $ | (5,300,000 | ) | | $ | 9,303 | | | $ | (8,373 | ) | | $ | 2,375,196 | | | | | | | $ | 14,447 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 111 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value (cost $5,289,557) | | $ | 5,525,829 | |
Investments in affiliated issuers, at value (cost $2,325,713) | | | 2,375,196 | |
Repurchase agreements, at value (cost $1,148,231) | | | 1,148,231 | |
Segregated cash with broker | | | 83,890 | |
Receivables: |
Securities sold | | | 640,500 | |
Fund shares sold | | | 53,421 | |
Variation margin on futures contracts | | | 38,750 | |
Interest | | | 16,958 | |
Dividends | | | 1,917 | |
Total assets | | | 9,884,692 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 614,546 | |
Management fees | | | 3,480 | |
Securities purchased | | | 1,917 | |
Investor service fees | | | 1,830 | |
Transfer agent and administrative fees | | | 1,603 | |
Portfolio accounting fees | | | 732 | |
Trustees’ fees* | | | 153 | |
Miscellaneous | | | 22,598 | |
Total liabilities | | | 646,859 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 9,237,833 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 22,718,568 | |
Total distributable earnings (loss) | | | (13,480,735 | ) |
Net assets | | $ | 9,237,833 | |
Capital shares outstanding | | | 252,960 | |
Net asset value per share | | $ | 36.52 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 14,447 | |
Interest | | | 100,228 | |
Total investment income | | | 114,675 | |
| | | | | |
Expenses: |
Management fees | | | 32,176 | |
Investor service fees | | | 16,088 | |
Transfer agent and administrative fees | | | 18,879 | |
Professional fees | | | 7,496 | |
Portfolio accounting fees | | | 6,435 | |
Trustees’ fees* | | | 1,592 | |
Custodian fees | | | 1,175 | |
Line of credit fees | | | 443 | |
Miscellaneous | | | 396 | |
Total expenses | | | 84,680 | |
Less: |
Expenses waived by Adviser | | | (1,464 | ) |
Net expenses | | | 83,216 | |
Net investment income | | | 31,459 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (1,699,731 | ) |
Investments in affiliated issuers | | | 9,303 | |
Futures contracts | | | (1,184,645 | ) |
Net realized loss | | | (2,875,073 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 175,037 | |
Investments in affiliated issuers | | | (8,373 | ) |
Futures contracts | | | 256,038 | |
Net change in unrealized appreciation (depreciation) | | | 422,702 | |
Net realized and unrealized loss | | | (2,452,371 | ) |
Net decrease in net assets resulting from operations | | $ | (2,420,912 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
112 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 31,459 | | | $ | 12,524 | |
Net realized loss on investments | | | (2,875,073 | ) | | | (1,499,921 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 422,702 | | | | 258,819 | |
Net decrease in net assets resulting from operations | | | (2,420,912 | ) | | | (1,228,578 | ) |
| | | | | | | | | |
Distributions: | | | | | | | | |
Distributions to shareholders | | | (15,257 | ) | | | (13,020 | ) |
Return of Capital | | | — | | | | (16,202 | ) |
Total Distributions | | | (15,257 | ) | | | (29,222 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 65,980,296 | | | | 423,159,024 | |
Distributions reinvested | | | 15,257 | | | | 29,222 | |
Cost of shares redeemed | | | (69,793,128 | ) | | | (416,811,935 | ) |
Net increase (decrease) from capital share transactions | | | (3,797,575 | ) | | | 6,376,311 | |
Net increase (decrease) in net assets | | | (6,233,744 | ) | | | 5,118,511 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 15,471,577 | | | | 10,353,066 | |
End of period | | $ | 9,237,833 | | | $ | 15,471,577 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 1,879,711 | | | | 9,798,142 | |
Shares issued from reinvestment of distributions | | | 439 | | | | 760 | |
Shares redeemed | | | (1,999,180 | ) | | | (9,730,041 | ) |
Net increase (decrease) in shares | | | (119,030 | ) | | | 68,861 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 113 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 41.59 | | | $ | 34.15 | | | $ | 29.60 | | | $ | 31.79 | | | $ | 29.36 | | | $ | 29.73 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .09 | | | | .02 | | | | .39 | | | | .46 | | | | .38 | | | | .31 | |
Net gain (loss) on investments (realized and unrealized) | | | (5.11 | ) | | | 7.48 | f | | | 4.55 | | | | (2.16 | ) | | | 2.43 | | | | (.38 | ) |
Total from investment operations | | | (5.02 | ) | | | 7.50 | | | | 4.94 | | | | (1.70 | ) | | | 2.81 | | | | (.07 | ) |
Less distributions from: |
Net investment income | | | (.05 | ) | | | (.03 | ) | | | (.39 | ) | | | (.46 | ) | | | (.38 | ) | | | (.30 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (.03 | ) | | | — | | | | — | |
Return of capital | | | — | | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | (.05 | ) | | | (.06 | ) | | | (.39 | ) | | | (.49 | ) | | | (.38 | ) | | | (.30 | ) |
Net asset value, end of period | | $ | 36.52 | | | $ | 41.59 | | | $ | 34.15 | | | $ | 29.60 | | | $ | 31.79 | | | $ | 29.36 | |
|
Total Returnc | | | (12.06 | %) | | | 21.96 | % | | | 16.78 | % | | | (5.32 | %) | | | 9.64 | % | | | (0.33 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 9,238 | | | $ | 15,472 | | | $ | 10,353 | | | $ | 13,436 | | | $ | 11,617 | | | $ | 17,124 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.49 | % | | | 0.06 | % | | | 1.19 | % | | | 1.58 | % | | | 1.24 | % | | | 0.93 | % |
Total expensesd | | | 1.32 | % | | | 1.43 | % | | | 1.41 | % | | | 1.32 | % | | | 1.30 | % | | | 1.25 | % |
Net expensese | | | 1.29 | % | | | 1.40 | % | | | 1.38 | % | | | 1.32 | % | | | 1.30 | % | | | 1.25 | % |
Portfolio turnover rate | | | 716 | % | | | 1,887 | % | | | 2,060 | % | | | 2,292 | % | | | 2,055 | % | | | 1,386 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | The amount shown for a share outstanding throughout the period does not agree with the aggregate net loss on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
114 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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 most recently issued 30 Year U.S. Treasury Bond. 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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 Ultra Short Duration Fund — Institutional Class | 28.6% |
Guggenheim Strategy Fund II | 19.5% |
Total | 48.1% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Inverse Government Long Bond Strategy Fund | 8.45% | 12.22% | (4.08%) | (8.93%) |
Price Movement of Long Treasury Bond** | (9.66%) | (14.55%) | 0.47% | 3.92% |
Bloomberg Barclays U.S. Long Treasury Index | (7.92%) | (10.58%) | 3.13% | 6.66% |
* | 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. Long Treasury Index and the Price Movement of Long Treasury Bond are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Does not reflect interest. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 115 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 48.1% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 166,308 | | | $ | 1,658,088 | |
Guggenheim Strategy Fund II1 | | | 45,234 | | | | 1,130,397 | |
Total Mutual Funds | | | | |
(Cost $2,784,356) | | | | | | | 2,788,485 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 14.5% |
Federal Home Loan Bank |
0.02% due 09/03/21 | | $ | 500,000 | | | | 499,952 | |
3.00% due 10/12/21 | | | 135,000 | | | | 136,117 | |
4.00% due 12/24/30 | | | 50,000 | | | | 50,952 | |
3.98% due 09/21/33 | | | 50,000 | | | | 50,408 | |
Federal Farm Credit Bank |
0.13% due 11/02/21 | | | 100,000 | | | | 100,013 | |
Total Federal Agency Notes | | | | |
(Cost $838,263) | | | | | | | 837,442 | |
| | | | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 4.4% |
Federal Home Loan Bank |
0.03% due 07/09/212 | | | 255,000 | | | | 254,998 | |
Total Federal Agency Discount Notes | | | | |
(Cost $254,998) | | | | | | | 254,998 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 1.7% |
U.S. Treasury Bills |
0.01% due 08/03/212,3 | | | 85,000 | | | | 84,996 | |
0.03% due 08/03/212 | | | 13,000 | | | | 13,000 | |
Total U.S. Treasury Bills | | | | |
(Cost $97,999) | | | | | | | 97,996 | |
| | | | | | | | | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS†† - 77.8% |
Individual Repurchase Agreements4 |
Mizuho Securities USA LLC
issued 06/30/21 at (0.15)%
due 07/01/21 (secured by a U.S. Treasury Bond, at a rate of 2.38% and maturing 05/15/51 as collateral, with a value of $1,705,500) to be repurchased at $1,672,052 | | | 1,672,059 | | | | 1,672,059 | |
Barclays Capital, Inc.
issued 06/30/21 at (0.10)%
due 07/01/21 (secured by a U.S. Treasury Bond, at a rate of 2.38% and maturing 05/15/51 as collateral, with a value of $1,286,730) to be repurchased at $1,261,496 | | | 1,261,500 | | | | 1,261,500 | |
| | | | | | | | | |
Joint Repurchase Agreements5 | | | | | | | | |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | | 884,772 | | | | 884,772 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 348,334 | | | | 348,334 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 341,503 | | | | 341,503 | |
Total Repurchase Agreements | | | | |
(Cost $4,508,168) | | | | | | | 4,508,168 | |
| | | | | | | | | |
Total Investments - 146.5% | | | | |
(Cost $8,483,784) | | $ | 8,487,089 | |
| |
U.S. Government Securities Sold Short†† - (57.1)% |
U.S. Treasury Bonds |
2.38% due 05/15/51 | | | 3,100,000 | | | | (3,309,250 | ) |
| | | | | | | | | |
Total Securities Sold Short - (57.1)% | | | | |
(Proceeds $3,182,475) | | $ | (3,309,250 | ) |
Other Assets & Liabilities, net - 10.6% | | | 616,040 | |
Total Net Assets - 100.0% | | $ | 5,793,879 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Depreciation** | |
Interest Rate Futures Contracts Sold Short† |
U.S. Treasury Ultra Long Bond Futures Contracts | | | 15 | | | | Sep 2021 | | | $ | 2,887,969 | | | $ | (115,221 | ) |
116 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Rate indicated is the effective yield at the time of purchase. |
3 | All or a portion of this security is pledged as futures collateral at June 30, 2021. |
4 | All or a portion of this security is pledged as short security collateral at June 30, 2021. |
5 | Repurchase Agreements — See Note 6. |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Mutual Funds | | $ | 2,788,485 | | | $ | — | | | $ | — | | | $ | 2,788,485 | |
Federal Agency Notes | | | — | | | | 837,442 | | | | — | | | | 837,442 | |
Federal Agency Discount Notes | | | — | | | | 254,998 | | | | — | | | | 254,998 | |
U.S. Treasury Bills | | | — | | | | 97,996 | | | | — | | | | 97,996 | |
Repurchase Agreements | | | — | | | | 4,508,168 | | | | — | | | | 4,508,168 | |
Total Assets | | $ | 2,788,485 | | | $ | 5,698,604 | | | $ | — | | | $ | 8,487,089 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
U.S. Government Securities | | $ | — | | | $ | 3,309,250 | | | $ | — | | | $ | 3,309,250 | |
Interest Rate Futures Contracts** | | | 115,221 | | | | — | | | | — | | | | 115,221 | |
Total Liabilities | | $ | 115,221 | | | $ | 3,309,250 | | | $ | — | | | $ | 3,424,471 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 117 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 523,908 | | | $ | 705,940 | | | $ | (100,000 | ) | | $ | (41 | ) | | $ | 590 | | | $ | 1,130,397 | | | | 45,234 | | | $ | 5,991 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 503,804 | | | | 2,757,094 | | | | (1,600,000 | ) | | | (1,307 | ) | | | (1,503 | ) | | | 1,658,088 | | | | 166,308 | | | | 7,122 | |
| | | $ | 1,027,712 | | | $ | 3,463,034 | | | $ | (1,700,000 | ) | | $ | (1,348 | ) | | $ | (913 | ) | | $ | 2,788,485 | | | | | | | $ | 13,113 | |
118 | 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, 2021 |
Assets: |
Investments in unaffiliated issuers, at value (cost $1,191,260) | | $ | 1,190,436 | |
Investments in affiliated issuers, at value (cost $2,784,356) | | | 2,788,485 | |
Repurchase agreements, at value (cost $4,508,168) | | | 4,508,168 | |
Receivables: |
Fund shares sold | | | 331,163 | |
Securities sold | | | 320,250 | |
Dividends | | | 2,623 | |
Interest | | | 2,405 | |
Total assets | | | 9,143,530 | |
| | | | | |
Liabilities: |
Securities sold short, at value (proceeds $3,182,475) | | | 3,309,250 | |
Payable for: |
Variation margin on futures contracts | | | 14,531 | |
Interest payable on short sales | | | 9,403 | |
Management fees | | | 3,782 | |
Securities purchased | | | 2,624 | |
Investor service fees | | | 1,145 | |
Transfer agent and administrative fees | | | 1,003 | |
Portfolio accounting fees | | | 458 | |
Fund shares redeemed | | | 90 | |
Trustees’ fees* | | | 52 | |
Miscellaneous | | | 7,313 | |
Total liabilities | | | 3,349,651 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 5,793,879 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 13,075,736 | |
Total distributable earnings (loss) | | | (7,281,857 | ) |
Net assets | | $ | 5,793,879 | |
Capital shares outstanding | | | 79,646 | |
Net asset value per share | | $ | 72.75 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 13,113 | |
Interest | | | 1,428 | |
Total investment income | | | 14,541 | |
| | | | | |
Expenses: |
Management fees | | | 30,357 | |
Investor service fees | | | 8,433 | |
Transfer agent and administrative fees | | | 10,258 | |
Short interest expense | | | 59,641 | |
Professional fees | | | 3,957 | |
Portfolio accounting fees | | | 3,373 | |
Custodian fees | | | 443 | |
Trustees’ fees* | | | 324 | |
Miscellaneous | | | 1,706 | |
Total expenses | | | 118,492 | |
Less: |
Expenses reimbursed by Adviser | | | (229 | ) |
Expenses waived by Adviser | | | (1,858 | ) |
Total waived/reimbursed expenses | | | (2,087 | ) |
Net expenses | | | 116,405 | |
Net investment loss | | | (101,864 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (222 | ) |
Investments in affiliated issuers | | | (1,348 | ) |
Investments sold short | | | 622,216 | |
Futures contracts | | | 61,396 | |
Net realized gain | | | 682,042 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (826 | ) |
Investments in affiliated issuers | | | (913 | ) |
Investments sold short | | | (138,086 | ) |
Futures contracts | | | (119,019 | ) |
Net change in unrealized appreciation (depreciation) | | | (258,844 | ) |
Net realized and unrealized gain | | | 423,198 | |
Net increase in net assets resulting from operations | | $ | 321,334 | |
* | 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 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (101,864 | ) | | $ | (62,913 | ) |
Net realized gain (loss) on investments | | | 682,042 | | | | (78,796 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (258,844 | ) | | | (44,186 | ) |
Net increase (decrease) in net assets resulting from operations | | | 321,334 | | | | (185,895 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (8,507 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 63,548,542 | | | | 68,251,100 | |
Distributions reinvested | | | — | | | | 8,507 | |
Cost of shares redeemed | | | (60,724,021 | ) | | | (67,799,247 | ) |
Net increase from capital share transactions | | | 2,824,521 | | | | 460,360 | |
Net increase in net assets | | | 3,145,855 | | | | 265,958 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 2,648,024 | | | | 2,382,066 | |
End of period | | $ | 5,793,879 | | | $ | 2,648,024 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 833,639 | | | | 1,034,768 | |
Shares issued from reinvestment of distributions | | | — | | | | 135 | |
Shares redeemed | | | (793,467 | ) | | | (1,023,365 | ) |
Net increase in shares | | | 40,172 | | | | 11,538 | |
120 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016g | |
Per Share Data |
Net asset value, beginning of period | | $ | 67.08 | | | $ | 85.27 | | | $ | 98.33 | | | $ | 94.75 | | | $ | 104.00 | | | $ | 107.17 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (1.13 | ) | | | (1.48 | ) | | | .26 | | | | (.64 | ) | | | (1.88 | ) | | | (.87 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 6.80 | | | | (16.51 | ) | | | (13.32 | ) | | | 4.22 | | | | (7.37 | ) | | | (2.30 | ) |
Total from investment operations | | | 5.67 | | | | (17.99 | ) | | | (13.06 | ) | | | 3.58 | | | | (9.25 | ) | | | (3.17 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.20 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.20 | ) | | | — | | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 72.75 | | | $ | 67.08 | | | $ | 85.27 | | | $ | 98.33 | | | $ | 94.75 | | | $ | 104.00 | |
|
Total Returnc | | | 8.45 | % | | | (21.09 | %) | | | (13.28 | %) | | | 3.79 | % | | | (8.89 | %) | | | (2.94 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5,794 | | | $ | 2,648 | | | $ | 2,382 | | | $ | 4,426 | | | $ | 4,676 | | | $ | 3,821 | |
Ratios to average net assets: |
Net investment income (loss) | | | (3.02 | %) | | | (2.23 | %) | | | 0.29 | % | | | (0.63 | %) | | | (1.89 | %) | | | (2.59 | %) |
Total expensesd | | | 3.51 | % | | | 3.01 | % | | | 3.58 | % | | | 4.31 | % | | | 4.00 | % | | | 3.65 | % |
Net expensese,f | | | 3.45 | % | | | 2.97 | % | | | 3.49 | % | | | 4.30 | % | | | 4.00 | % | | | 3.65 | % |
Portfolio turnover rate | | | 951 | % | | | 2,529 | % | | | 966 | % | | | 907 | % | | | 2,300 | % | | | 1,384 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | Total expenses may include interest expense related to short sales. Excluding interest expense, the net expense ratios for the periods presented would be: |
| | 06/30/21a | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 |
| | 1.68% | 1.83% | 1.79% | 1.75% | 1.75% | 1.72% |
g | Reverse share split — Per share amounts for the year ended December 31, 2016, have been restated to reflect a 1:3 reverse share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 121 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 |
Largest Holdings (% of Total Net Assets) |
Guggenheim Ultra Short Duration Fund — Institutional Class | 27.0% |
Guggenheim Strategy Fund II | 17.4% |
iShares iBoxx High Yield Corporate Bond ETF | 5.4% |
SPDR Bloomberg Barclays High Yield Bond ETF | 5.2% |
Total | 55.0% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | Since
Inception
(10/15/14) |
High Yield Strategy Fund | 1.91% | 12.00% | 4.85% | 4.87% |
Bloomberg Barclays U.S. Corporate High Yield Index | 3.62% | 15.37% | 7.48% | 6.18% |
* | 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 Bloomberg Barclays U.S. Corporate High Yield Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
122 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
HIGH YIELD STRATEGY FUND | |
| | Shares | | | Value | |
EXCHANGE-TRADED FUNDS† - 10.6% |
iShares iBoxx High Yield Corporate Bond ETF1 | | | 3,725 | | | $ | 327,949 | |
SPDR Bloomberg Barclays High Yield Bond ETF1 | | | 2,891 | | | | 317,894 | |
Total Exchange-Traded Funds | | | | |
(Cost $617,440) | | | | | | | 645,843 | |
| | | | | | | | | |
MUTUAL FUNDS† - 44.4% |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 165,402 | | | | 1,649,057 | |
Guggenheim Strategy Fund II2 | | | 42,356 | | | | 1,058,473 | |
Total Mutual Funds | | | | |
(Cost $2,683,056) | | | | | | | 2,707,530 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 4.9% |
Federal Farm Credit Banks Funding Corp. |
0.13% due 11/02/21 | | $ | 200,000 | | | | 200,025 | |
Federal Farm Credit Bank |
0.45% (U.S. Prime Rate - 2.80%, Rate Floor: 0.00%) due 03/14/223 | | | 100,000 | | | | 100,275 | |
Total Federal Agency Notes | | | | |
(Cost $300,057) | | | | | | | 300,300 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 0.6% |
U.S. Treasury Bills |
0.01% due 08/03/214,5 | | | 37,000 | | | | 36,998 | |
Total U.S. Treasury Bills | | | | |
(Cost $37,000) | | | | | | | 36,998 | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,6 - 37.9% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | | 1,299,461 | | | | 1,299,461 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 511,597 | | | | 511,597 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 501,565 | | | | 501,565 | |
Total Repurchase Agreements | | | | |
(Cost $2,312,623) | | | | | | | 2,312,623 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,7 - 8.1% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%8 | | | 494,728 | | | | 494,728 | |
Total Securities Lending Collateral | | | | |
(Cost $494,728) | | | | | | | 494,728 | |
| | | | | | | | | |
Total Investments - 106.5% | | | | |
(Cost $6,444,904) | | $ | 6,498,022 | |
Other Assets & Liabilities, net - (6.5)% | | | (395,388 | ) |
Total Net Assets - 100.0% | | $ | 6,102,634 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Depreciation** | |
Interest Rate Futures Contracts Purchased† |
U.S. Treasury 5 Year Note Futures Contracts | | | 36 | | | | Sep 2021 | | | $ | 4,442,344 | | | $ | (10,167 | ) |
Centrally Cleared Credit Default Swap Agreements Protection Sold†† |
Counterparty | Exchange | Index | Protection
Premium
Rate | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid | | | Unrealized
Appreciation** | |
Barclays Bank plc | ICE | CDX.NA.HY.36.V1 | 5.00% | | | Quarterly | | 06/20/26 | | $ | 4,400,000 | | | $ | 448,631 | | | $ | 361,634 | | | $ | 86,997 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 123 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
HIGH YIELD STRATEGY FUND | |
Total Return Swap Agreements |
Counterparty | Reference
Obligation | Financing
Rate Pay
(Receive) | Payment
Frequency | | Maturity Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Credit Index Swap Agreements†† |
BNP Paribas | iShares iBoxx $ High Yield Corporate Bond ETF | 0.44% (1 Month USD LIBOR + 0.35%) | At Maturity | | | 07/15/21 | | | | 5,549 | | | $ | 488,547 | | | $ | 4,384 | |
BNP Paribas | SPDR Bloomberg Barclays High Yield Bond ETF | 0.49% (1 Month USD LIBOR + 0.40%) | At Maturity | | | 07/15/21 | | | | 3,476 | | | | 382,174 | | | | 2,571 | |
Goldman Sachs International | iShares iBoxx $ High Yield Corporate Bond ETF | 0.44% (1 Week USD LIBOR + 0.35%) | At Maturity | | | 07/29/21 | | | | 888 | | | | 78,180 | | | | 107 | |
| | | | | | | | | | | | | | $ | 948,901 | | | $ | 7,062 | |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 on loan at June 30, 2021 — See Note 7. |
2 | Affiliated issuer. |
3 | Variable rate security. Rate indicated is the rate effective at June 30, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
4 | All or a portion of this security is pledged as futures collateral at June 30, 2021. |
5 | Rate indicated is the effective yield at the time of purchase. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | CDX.NA.HY.36.V1 — Credit Default Swap North American High Yield Series 36 Index Version 1 |
| | ICE — Intercontinental Exchange |
| | LIBOR — London Interbank Offered Rate |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
124 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
HIGH YIELD STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Exchange-Traded Funds | | $ | 645,843 | | | $ | — | | | $ | — | | | $ | 645,843 | |
Mutual Funds | | | 2,707,530 | | | | — | | | | — | | | | 2,707,530 | |
Federal Agency Notes | | | — | | | | 300,300 | | | | — | | | | 300,300 | |
U.S. Treasury Bills | | | — | | | | 36,998 | | | | — | | | | 36,998 | |
Repurchase Agreements | | | — | | | | 2,312,623 | | | | — | | | | 2,312,623 | |
Securities Lending Collateral | | | 494,728 | | | | — | | | | — | | | | 494,728 | |
Credit Default Swap Agreements** | | | — | | | | 86,997 | | | | — | | | | 86,997 | |
Credit Index Swap Agreements** | | | — | | | | 7,062 | | | | — | | | | 7,062 | |
Total Assets | | $ | 3,848,101 | | | $ | 2,743,980 | | | $ | — | | | $ | 6,592,081 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Interest Rate Futures Contracts** | | $ | 10,167 | | | $ | — | | | $ | — | | | $ | 10,167 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 2,245,542 | | | $ | 109,835 | | | $ | (1,300,000 | ) | | $ | 410 | | | $ | 2,686 | | | $ | 1,058,473 | | | | 42,356 | | | $ | 10,055 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 2,242,947 | | | | 607,259 | | | | (1,200,000 | ) | | | 895 | | | | (2,044 | ) | | | 1,649,057 | | | | 165,402 | | | | 7,383 | |
| | | $ | 4,488,489 | | | $ | 717,094 | | | $ | (2,500,000 | ) | | $ | 1,305 | | | $ | 642 | | | $ | 2,707,530 | | | | | | | $ | 17,438 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 125 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value - including $484,289 of securities loaned (cost $1,449,225) | | $ | 1,477,869 | |
Investments in affiliated issuers, at value (cost $2,683,056) | | | 2,707,530 | |
Repurchase agreements, at value (cost $2,312,623) | | | 2,312,623 | |
Unamortized upfront premiums paid on credit default swap agreements | | | 361,634 | |
Unrealized appreciation on OTC swap agreements | | | 7,062 | |
Receivables: |
Swap settlement | | | 27,741 | |
Protection fees on credit default swap agreements | | | 6,458 | |
Dividends | | | 2,324 | |
Variation margin on futures contracts | | | 1,137 | |
Fund shares sold | | | 393 | |
Securities lending income | | | 389 | |
Interest | | | 65 | |
Total assets | | | 6,905,225 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 10,318 | |
Payable for: |
Return of securities lending collateral | | | 494,728 | |
Fund shares redeemed | | | 274,307 | |
Management fees | | | 4,160 | |
Securities purchased | | | 2,323 | |
Transfer agent and administrative fees | | | 1,592 | |
Investor service fees | | | 1,479 | |
Portfolio accounting fees | | | 591 | |
Trustees’ fees* | | | 96 | |
Variation margin on credit default swap agreements | | | 8 | |
Miscellaneous | | | 12,989 | |
Total liabilities | | | 802,591 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 6,102,634 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 5,915,789 | |
Total distributable earnings (loss) | | | 186,845 | |
Net assets | | $ | 6,102,634 | |
Capital shares outstanding | | | 74,399 | |
Net asset value per share | | $ | 82.03 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 23,679 | |
Dividends from securities of affiliated issuers | | | 17,438 | |
Interest | | | 488 | |
Income from securities lending, net | | | 2,783 | |
Total investment income | | | 44,388 | |
| | | | | |
Expenses: |
Management fees | | | 28,284 | |
Investor service fees | | | 9,428 | |
Transfer agent and administrative fees | | | 13,193 | |
Professional fees | | | 3,984 | |
Portfolio accounting fees | | | 3,771 | |
Trustees’ fees* | | | 1,034 | |
Custodian fees | | | 566 | |
Miscellaneous | | | 359 | |
Total expenses | | | 60,619 | |
Less: |
Expenses waived by Adviser | | | (1,980 | ) |
Net expenses | | | 58,639 | |
Net investment loss | | | (14,251 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 24,546 | |
Investments in affiliated issuers | | | 1,305 | |
Swap agreements | | | 372,296 | |
Futures contracts | | | (77,825 | ) |
Net realized gain | | | 320,322 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (30,314 | ) |
Investments in affiliated issuers | | | 642 | |
Swap agreements | | | (202,731 | ) |
Futures contracts | | | (25,386 | ) |
Net change in unrealized appreciation (depreciation) | | | (257,789 | ) |
Net realized and unrealized gain | | | 62,533 | |
Net increase in net assets resulting from operations | | $ | 48,282 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
126 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (14,251 | ) | | $ | (15,199 | ) |
Net realized gain (loss) on investments | | | 320,322 | | | | (327,610 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (257,789 | ) | | | 208,011 | |
Net increase (decrease) in net assets resulting from operations | | | 48,282 | | | | (134,798 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (322,452 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 18,633,502 | | | | 43,956,938 | |
Distributions reinvested | | | — | | | | 322,452 | |
Cost of shares redeemed | | | (23,354,306 | ) | | | (43,555,192 | ) |
Net increase (decrease) from capital share transactions | | | (4,720,804 | ) | | | 724,198 | |
Net increase (decrease) in net assets | | | (4,672,522 | ) | | | 266,948 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 10,775,156 | | | | 10,508,208 | |
End of period | | $ | 6,102,634 | | | $ | 10,775,156 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 231,140 | | | | 554,786 | |
Shares issued from reinvestment of distributions | | | — | | | | 4,307 | |
Shares redeemed | | | (290,613 | ) | | | (546,558 | ) |
Net increase (decrease) in shares | | | (59,473 | ) | | | 12,535 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 127 |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 80.49 | | | $ | 86.60 | | | $ | 77.95 | | | $ | 83.54 | | | $ | 81.50 | | | $ | 75.17 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.15 | ) | | | (.20 | ) | | | .64 | | | | .71 | | | | .29 | | | | .14 | |
Net gain (loss) on investments (realized and unrealized) | | | 1.69 | | | | (.60 | ) | | | 10.08 | | | | (1.39 | ) | | | 5.23 | | | | 6.99 | |
Total from investment operations | | | 1.54 | | | | (.80 | ) | | | 10.72 | | | | (.68 | ) | | | 5.52 | | | | 7.13 | |
Less distributions from: |
Net investment income | | | — | | | | (4.92 | ) | | | (2.07 | ) | | | (4.91 | ) | | | (3.48 | ) | | | (.80 | ) |
Net realized gains | | | — | | | | (.39 | ) | | | — | | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (5.31 | ) | | | (2.07 | ) | | | (4.91 | ) | | | (3.48 | ) | | | (.80 | ) |
Net asset value, end of period | | $ | 82.03 | | | $ | 80.49 | | | $ | 86.60 | | | $ | 77.95 | | | $ | 83.54 | | | $ | 81.50 | |
|
Total Returnc | | | 1.91 | % | | | (0.47 | %) | | | 13.84 | % | | | (0.87 | %) | | | 6.87 | % | | | 11.62 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 6,103 | | | $ | 10,775 | | | $ | 10,508 | | | $ | 4,113 | | | $ | 6,524 | | | $ | 7,390 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.38 | %) | | | (0.25 | %) | | | 0.76 | % | | | 0.88 | % | | | 0.35 | % | | | 0.51 | % |
Total expensesd | | | 1.61 | % | | | 1.72 | % | | | 1.72 | % | | | 1.62 | % | | | 1.60 | % | | | 1.56 | % |
Net expensese | | | 1.55 | % | | | 1.67 | % | | | 1.65 | % | | | 1.61 | % | | | 1.60 | % | | | 1.56 | % |
Portfolio turnover rate | | | 28 | % | | | 460 | % | | | 299 | % | | | 116 | % | | | 124 | % | | | 255 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | Reverse share split — Per share amounts for the year ended December 31, 2016 have been restated to reflect a 1:3 reverse share split effective December 1, 2016. |
128 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
U.S. GOVERNMENT MONEY MARKET FUND
OBJECTIVE: Seeks to provide security of principal, high current income, and liquidity.
Performance displayed represents past performance, which is no guarantee of future results.
You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
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, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
U.S. Government Money Market Fund | 0.00% | 0.01% | 0.31% | 0.15% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 129 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
U.S. GOVERNMENT MONEY MARKET FUND | |
| | Face
Amount | | | Value | |
FEDERAL AGENCY NOTES†† - 55.5% |
Farmer Mac |
0.15% (U.S. Prime Rate - 3.10%, Rate Floor: 0.00%) due 01/07/221 | | $ | 6,000,000 | | | $ | 6,000,000 | |
0.06% (3 Month USD LIBOR - 0.10%, Rate Floor: 0.00%) due 11/22/211 | | | 5,000,000 | | | | 5,000,000 | |
0.08% (3 Month USD LIBOR - 0.10%, Rate Floor: 0.00%) due 08/03/211 | | | 4,000,000 | | | | 4,000,000 | |
0.03% (3 Month USD LIBOR - 0.13%) due 08/13/211 | | | 1,370,000 | | | | 1,369,946 | |
Federal Farm Credit Bank |
0.08% (3 Month USD LIBOR - 0.10%, Rate Floor: 0.00%) due 10/27/211 | | | 3,020,000 | | | | 3,020,261 | |
0.16% (3 Month USD LIBOR,, Rate Floor: 0.00%) due 11/16/211 | | | 1,500,000 | | | | 1,500,477 | |
0.16% (1 Month USD LIBOR + 0.09%, Rate Floor: 0.00%) due 12/13/211 | | | 500,000 | | | | 500,230 | |
0.08% (1 Month USD LIBOR, Rate Floor: 0.00%) due 08/09/211 | | | 500,000 | | | | 500,011 | |
0.07% (1 Month USD LIBOR, Rate Floor: 0.00%) due 07/16/211 | | | 395,000 | | | | 395,000 | |
1.95% due 11/02/21 | | | 250,000 | | | | 251,599 | |
0.19% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.00%) due 11/02/211 | | | 225,000 | | | | 225,109 | |
1.60% due 01/21/22 | | | 200,000 | | | | 201,704 | |
2.90% due 08/23/21 | | | 156,000 | | | | 156,632 | |
0.28% (U.S. Prime Rate - 2.97%, Rate Floor: 0.00%) due 05/27/221 | | | 50,000 | | | | 50,037 | |
5.50% due 08/16/21 | | | 25,000 | | | | 25,170 | |
Fannie Mae |
1.88% due 04/05/22 | | | 2,233,000 | | | | 2,262,945 | |
1.38% due 10/07/21 | | | 1,580,000 | | | | 1,585,404 | |
0.20% (U.S. Secured Overnight Financing Rate + 0.15%, Rate Floor: 0.00%) due 12/09/211 | | | 750,000 | | | | 750,400 | |
0.15% (U.S. Secured Overnight Financing Rate + 0.10%, Rate Floor: 0.00%) due 12/03/211 | | | 240,000 | | | | 240,062 | |
Freddie Mac |
1.13% due 08/12/21 | | | 1,296,000 | | | | 1,297,598 | |
2.38% due 01/13/22 | | | 893,000 | | | | 903,985 | |
0.19% (U.S. Secured Overnight Financing Rate + 0.14%, Rate Floor: 0.00%) due 12/10/211 | | | 525,000 | | | | 525,259 | |
Federal Home Loan Bank |
1.13% due 07/14/21 | | | 1,110,000 | | | | 1,110,413 | |
2.75% due 08/16/21 | | | 150,000 | | | | 150,509 | |
Total Federal Agency Notes | | | | |
(Cost $32,022,751) | | | | | | | 32,022,751 | |
| | | | | | | | | |
U.S. GOVERNMENT SECURITIES†† - 8.6% |
U.S. Treasury Note |
1.75% due 05/15/22 | | | 2,400,000 | | | | 2,434,755 | |
2.13% due 09/30/21 | | | 2,000,000 | | | | 2,010,410 | |
0.38% due 03/31/22 | | | 500,000 | | | | 501,160 | |
Total U.S. Government Securities | | | | |
(Cost $4,946,325) | | | | | | | 4,946,325 | |
| | | | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 1.8% |
Federal Farm Credit Bank |
0.05% due 09/30/212 | | | 957,000 | | | | 956,879 | |
Federal Home Loan Bank |
0.03% due 11/10/212 | | | 100,000 | | | | 99,987 | |
Total Federal Agency Discount Notes | | | | |
(Cost $1,056,866) | | | | | | | 1,056,866 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 1.7% |
U.S. Treasury Bills |
0.03% due 12/02/212 | | | 1,000,000 | | | | 999,869 | |
Total U.S. Treasury Bills | | | | |
(Cost $999,869) | | | | | | | 999,869 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,3 - 32.5% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | | 10,533,814 | | | | 10,533,814 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 4,147,153 | | | | 4,147,153 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 4,065,837 | | | | 4,065,837 | |
Total Repurchase Agreements | | | | |
(Cost $18,746,804) | | | | | | | 18,746,804 | |
| | | | | | | | | |
Total Investments - 100.1% | | | | |
(Cost $57,772,615) | | $ | 57,772,615 | |
Other Assets & Liabilities, net - (0.1)% | | | (67,181 | ) |
Total Net Assets - 100.0% | | $ | 57,705,434 | |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Variable rate security. Rate indicated is the rate effective at June 30, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
2 | Rate indicated is the effective yield at the time of purchase. |
3 | Repurchase Agreements — See Note 6. |
| | LIBOR — London Interbank Offered Rate |
| | |
| | See Sector Classification in Other Information section. |
130 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
U.S. GOVERNMENT MONEY MARKET FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Federal Agency Notes | | $ | — | | | $ | 32,022,751 | | | $ | — | | | $ | 32,022,751 | |
U.S. Government Securities | | | — | | | | 4,946,325 | | | | — | | | | 4,946,325 | |
Federal Agency Discount Notes | | | — | | | | 1,056,866 | | | | — | | | | 1,056,866 | |
U.S. Treasury Bills | | | — | | | | 999,869 | | | | — | | | | 999,869 | |
Repurchase Agreements | | | — | | | | 18,746,804 | | | | — | | | | 18,746,804 | |
Total Assets | | $ | — | | | $ | 57,772,615 | | | $ | — | | | $ | 57,772,615 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 131 |
U.S. GOVERNMENT MONEY MARKET FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value (cost $39,025,811) | | $ | 39,025,811 | |
Repurchase agreements, at value (cost $18,746,804) | | | 18,746,804 | |
Receivables: |
Interest | | | 62,735 | |
Total assets | | | 57,835,350 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 51,431 | |
Trustees’ fees* | | | 620 | |
Miscellaneous | | | 77,865 | |
Total liabilities | | | 129,916 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 57,705,434 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 57,702,693 | |
Total distributable earnings (loss) | | | 2,741 | |
Net assets | | $ | 57,705,434 | |
Capital shares outstanding | | | 57,690,036 | |
Net asset value per share | | $ | 1.00 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Interest | | $ | 23,854 | |
Total investment income | | | 23,854 | |
| | | | | |
Expenses: |
Management fees | | | 152,448 | |
Investor service fees | | | 76,224 | |
Transfer agent and administrative fees | | | 83,948 | |
Portfolio accounting fees | | | 30,489 | |
Professional fees | | | 26,194 | |
Trustees’ fees* | | | 5,435 | |
Custodian fees | | | 4,274 | |
Miscellaneous | | | 17,567 | |
Total expenses | | | 396,579 | |
Less: |
Expenses reimbursed by Adviser: | | | (173,486 | ) |
Expenses waived by Adviser | | | (199,250 | ) |
Total waived/reimbursed expenses | | | (372,736 | ) |
Net expenses | | | 23,843 | |
Net investment income | | | 11 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 2,166 | |
Net realized gain | | | 2,166 | |
Net increase in net assets resulting from operations | | $ | 2,177 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
132 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
U.S. GOVERNMENT MONEY MARKET FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 11 | | | $ | 30,498 | |
Net realized gain on investments | | | 2,166 | | | | 94 | |
Net change in unrealized appreciation (depreciation) on investments | | | — | | | | — | |
Net increase in net assets resulting from operations | | | 2,177 | | | | 30,592 | |
| | | | | | | | | |
Distributions to shareholders | | | (11 | ) | | | (36,455 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 63,206,186 | | | | 229,042,427 | |
Distributions reinvested | | | 11 | | | | 36,455 | |
Cost of shares redeemed | | | (60,159,643 | ) | | | (223,649,451 | ) |
Net increase from capital share transactions | | | 3,046,554 | | | | 5,429,431 | |
Net increase in net assets | | | 3,048,720 | | | | 5,423,568 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 54,656,714 | | | | 49,233,146 | |
End of period | | $ | 57,705,434 | | | $ | 54,656,714 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 63,206,186 | | | | 229,042,427 | |
Shares issued from reinvestment of distributions | | | 11 | | | | 36,455 | |
Shares redeemed | | | (60,159,643 | ) | | | (223,649,451 | ) |
Net increase in shares | | | 3,046,554 | | | | 5,429,431 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 133 |
U.S. GOVERNMENT MONEY MARKET FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
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 | | | — | c | | | — | c | | | .01 | | | | .01 | | | | — | c | | | — | c |
Net gain (loss) on investments (realized and unrealized) | | | — | c | | | — | c | | | — | c | | | — | c | | | — | c | | | — | c |
Total from investment operations | | | — | c | | | — | c | | | .01 | | | | .01 | | | | — | c | | | — | c |
Less distributions from: |
Net investment income | | | (— | )c | | | (— | )c | | | (.01 | ) | | | (.01 | ) | | | (— | )c | | | (— | )c |
Net realized gains | | | (— | )c | | | (— | )c | | | (— | )c | | | (— | )c | | | (— | )c | | | (— | )c |
Total distributions | | | (— | )c | | | (— | )c | | | (.01 | ) | | | (.01 | ) | | | (— | )c | | | (— | )c |
Net asset value, end of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
|
Total Returnf | | | 0.00 | % | | | 0.07 | % | | | 0.87 | % | | | 0.58 | % | | | 0.01 | % | | | 0.00 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 57,705 | | | $ | 54,657 | | | $ | 49,233 | | | $ | 85,008 | | | $ | 78,269 | | | $ | 61,704 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.00 | %e | | | 0.05 | % | | | 0.88 | % | | | 0.57 | % | | | — | e | | | — | e |
Total expenses | | | 1.30 | % | | | 1.42 | % | | | 1.42 | % | | | 1.32 | % | | | 1.31 | % | | | 1.25 | % |
Net expensesd | | | 0.08 | % | | | 0.41 | % | | | 1.42 | % | | | 1.32 | % | | | 0.96 | % | | | 0.40 | % |
Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
a | Unaudited figures for the period ended June 30, 2021. 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 | Less than $0.01 per share. |
d | Net expense information reflects the expense ratio after expense waivers, as applicable. |
e | Less than 0.01%. |
f | Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
134 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
Note 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 (each, a “Fund”). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately. At June 30, 2021, 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 following funds (collectively, the “Funds”):
Fund Name | Investment
Company Type |
Nova Fund | Non-diversified |
Inverse S&P 500® Strategy Fund | Non-diversified |
NASDAQ-100® Fund | Non-diversified |
Inverse NASDAQ-100® Strategy Fund | Non-diversified |
S&P 500® 2x Strategy Fund | Non-diversified |
NASDAQ-100® 2x Strategy Fund | Non-diversified |
Mid-Cap 1.5x Strategy Fund | Non-diversified |
Inverse Mid-Cap Strategy Fund | Non-diversified |
Russell 2000® 2x Strategy Fund | Non-diversified |
Russell 2000® 1.5x Strategy Fund | Non-diversified |
Inverse Russell 2000® Strategy Fund | Non-diversified |
Dow 2x Strategy Fund | Non-diversified |
Inverse Dow 2x Strategy Fund | Non-diversified |
Government Long Bond 1.2x Strategy Fund | Diversified |
Inverse Government Long Bond Strategy Fund | Diversified |
High Yield Strategy Fund | Non-diversified |
U.S. Government Money Market Fund | Diversified |
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 a fund’s securities and other assets, less all liabilities, by the number of outstanding shares of that fund.
(a) Valuation of Investments
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 and other assets 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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 135 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are valued at the last quoted sale 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.
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 generally valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts is accounted for using the unrealized appreciation or depreciation 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 swap agreements entered into by a fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close of the New York Stock Exchange (“NYSE”).
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’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 U.S. Treasury securities, 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) U.S. Government and Agency Obligations
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) Short Sales
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) Futures Contracts
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 appreciation or depreciation. When the contract is closed, the Fund records a
136 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. 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.
Upfront payments received or made by a Fund on credit default swap agreements and interest rate 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) Foreign Taxes
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 income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of June 30, 2021, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
(g) Security Transactions
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 a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. 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 Real Estate Investment Trusts (“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 realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(h) Distributions
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. 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. Normally, all 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 U.S. federal income tax regulations which may differ from U.S. GAAP.
(i) Cash
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 0.08% at June 30, 2021.
(j) Indemnifications
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 | 137 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 2 – Financial Instruments and Derivatives
As part of their investment strategy, the Funds may utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on 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.
Futures Contracts
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.
138 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table represents the Funds’ use and volume of futures on a monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Long | | | Short | |
Nova Fund | Index exposure, Leverage, Liquidity | | $ | 1,611,246 | | | $ | 317,146 | |
Inverse S&P 500® Strategy Fund | Index exposure, Liquidity | | | — | | | | 142,883 | |
NASDAQ-100® Fund | Index exposure, Liquidity | | | 22,855,466 | | | | — | |
S&P 500® 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 3,144,427 | | | | — | |
NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 30,880,132 | | | | — | |
Mid-Cap 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | | | 268,347 | | | | — | |
Russell 2000® 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 982,053 | | | | — | |
Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 2,307,528 | | | | — | |
Inverse Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | — | | | | 219,204 | |
Government Long Bond 1.2x Strategy Fund | Duration, Index exposure, Leverage, Liquidity | | | 8,412,469 | | | | — | |
Inverse Government Long Bond Strategy Fund | Duration, Index exposure, Liquidity | | | — | | | | 1,927,630 | |
High Yield Strategy Fund | Duration, Index exposure, Liquidity | | | 4,990,788 | | | | — | |
Swap Agreements
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. When utilizing over-the-counter (“OTC”) swaps, a fund 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 and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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 an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset 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. When utilizing total return swaps, a fund 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 reference asset declines in value.
The following table represents the Funds’ use and volume of total return swaps on a monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Long | | | Short | |
Nova Fund | Index exposure, Leverage, Liquidity | | $ | 42,138,411 | | | $ | — | |
Inverse S&P 500® Strategy Fund | Index exposure, Liquidity | | | — | | | | 5,569,366 | |
NASDAQ-100® Fund | Index exposure, Liquidity | | | 12,794,730 | | | | — | |
Inverse NASDAQ-100® Strategy Fund | Index exposure, Liquidity | | | — | | | | 796,360 | |
S&P 500® 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 49,689,236 | | | | — | |
NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 146,518,854 | | | | — | |
Mid-Cap 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | | | 6,444,862 | | | | — | |
Inverse Mid-Cap Strategy Fund | Index exposure, Liquidity | | | — | | | | 139,671 | |
Russell 2000® 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 16,692,606 | | | | — | |
Russell 2000® 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | | | 14,765,219 | | | | — | |
Inverse Russell 2000® Strategy Fund | Index exposure, Liquidity | | | — | | | | 501,233 | |
Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 20,249,115 | | | | — | |
Inverse Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | — | | | | 6,276,612 | |
High Yield Strategy Fund | Duration, Index exposure, Liquidity | | | 725,892 | | | | — | |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 139 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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. A fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or 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. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller 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 amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund 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 in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.
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 Fund’s use and volume of credit default swaps on a monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Protection Sold | | | Protection Purchased | |
High Yield Strategy Fund | Duration, Index exposure, Liquidity, | | $ | 5,158,333 | | | $ | — | |
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, 2021:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Interest rate contracts | Variation margin on futures contracts | Variation margin on futures contracts |
Equity/Credit contacts | Unrealized appreciation on OTC swap agreements | Unrealized depreciation on OTC swap agreements |
Credit contacts | Unamortized upfront premiums paid on credit default swap agreements | Variation margin on credit default swap agreements |
140 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at June 30, 2021:
Asset Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Futures
Interest Rate
Risk* | | | Swaps
Credit
Risk* | | | Total Value at
June 30,
2021 | |
Nova Fund | | $ | — | | | $ | 793,248 | | | $ | — | | | $ | — | | | $ | 793,248 | |
NASDAQ-100® Fund | | | 975,131 | | | | 409,372 | | | | — | | | | — | | | | 1,384,503 | |
S&P 500® 2x Strategy Fund | | | — | | | | 909,439 | | | | — | | | | — | | | | 909,439 | |
NASDAQ-100® 2x Strategy Fund | | | 1,558,206 | | | | 9,304,336 | | | | — | | | | — | | | | 10,862,542 | |
Mid-Cap 1.5x Strategy Fund | | | — | | | | 18,156 | | | | — | | | | — | | | | 18,156 | |
Inverse Mid-Cap Strategy Fund | | | — | | | | 825 | | | | — | | | | — | | | | 825 | |
Russell 2000® 2x Strategy Fund | | | 37,470 | | | | 121,700 | | | | — | | | | — | | | | 159,170 | |
Russell 2000® 1.5x Strategy Fund | | | — | | | | 449,012 | | | | — | | | | — | | | | 449,012 | |
Inverse Russell 2000® Strategy Fund | | | — | | | | 1,245 | | | | — | | | | — | | | | 1,245 | |
Dow 2x Strategy Fund | | | 811 | | | | 99,566 | | | | — | | | | — | | | | 100,377 | |
Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | 253,046 | | | | — | | | | 253,046 | |
High Yield Strategy Fund | | | — | | | | — | | | | — | | | | 94,059 | | | | 94,059 | |
Liability Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Futures
Interest Rate
Risk* | | | Swaps
Credit
Risk* | | | Total Value at
June 30,
2021 | |
Inverse S&P 500® Strategy Fund | | $ | 894 | | | $ | 23,032 | | | $ | — | | | $ | — | | | $ | 23,926 | |
Inverse NASDAQ-100® Strategy Fund | | | — | | | | 19,853 | | | | — | | | | — | | | | 19,853 | |
S&P 500® 2x Strategy Fund | | | 340 | | | | — | | | | — | | | | — | | | | 340 | |
Mid-Cap 1.5x Strategy Fund | | | — | | | | 9,596 | | | | — | | | | — | | | | 9,596 | |
Inverse Mid-Cap Strategy Fund | | | — | | | | 120 | | | | — | | | | — | | | | 120 | |
Inverse Russell 2000® Strategy Fund | | | — | | | | 5,391 | | | | — | | | | — | | | | 5,391 | |
Inverse Dow 2x Strategy Fund | | | 127 | | | | 23,949 | | | | — | | | | — | | | | 24,076 | |
Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | 115,221 | | | | — | | | | 115,221 | |
High Yield Strategy Fund | | | — | | | | — | | | | 10,167 | | | | — | | | | 10,167 | |
* | Includes cumulative appreciation (depreciation) of futures contracts, OTC and centrally-cleared derivatives contracts as reported on the Schedules of Investments. 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, 2021:
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 | 141 |
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, 2021:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations |
Fund | | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Futures
Interest Rate
Risk | | | Swaps
Credit
Risk | | | Total | |
Nova Fund | | $ | 168,521 | | | $ | 4,726,658 | | | $ | — | | | $ | — | | | $ | 4,895,179 | |
Inverse S&P 500® Strategy Fund | | | (103,502 | ) | | | (203,668 | ) | | | — | | | | — | | | | (307,170 | ) |
NASDAQ-100® Fund | | | 2,475,152 | | | | 1,331,708 | | | | — | | | | — | | | | 3,806,860 | |
Inverse NASDAQ-100® Strategy Fund | | | — | | | | (138,837 | ) | | | — | | | | — | | | | (138,837 | ) |
S&P 500® 2x Strategy Fund | | | (524,759 | ) | | | 5,534,800 | | | | — | | | | — | | | | 5,010,041 | |
NASDAQ-100® 2x Strategy Fund | | | 376,352 | | | | 7,184,456 | | | | — | | | | — | | | | 7,560,808 | |
Mid-Cap 1.5x Strategy Fund | | | 45,493 | | | | 924,199 | | | | — | | | | — | | | | 969,692 | |
Inverse Mid-Cap Strategy Fund | | | — | | | | (34,190 | ) | | | — | | | | — | | | | (34,190 | ) |
Russell 2000® 2x Strategy Fund | | | 63,808 | | | | 2,735,468 | | | | — | | | | — | | | | 2,799,276 | |
Russell 2000® 1.5x Strategy Fund | | | (37,309 | ) | | | 2,031,415 | | | | — | | | | — | | | | 1,994,106 | |
Inverse Russell 2000® Strategy Fund | | | — | | | | (51,687 | ) | | | — | | | | — | | | | (51,687 | ) |
Dow 2x Strategy Fund | | | 253,830 | | | | 2,495,843 | | | | — | | | | — | | | | 2,749,673 | |
Inverse Dow 2x Strategy Fund | | | (38,508 | ) | | | (1,028,039 | ) | | | — | | | | — | | | | (1,066,547 | ) |
Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | (1,184,645 | ) | | | — | | | | (1,184,645 | ) |
Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | 61,396 | | | | — | | | | 61,396 | |
High Yield Strategy Fund | | | — | | | | — | | | | (77,825 | ) | | | 372,296 | | | | 294,471 | |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations |
Fund | | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Futures
Interest Rate
Risk | | | Swaps
Credit
Risk | | | Total | |
Nova Fund | | $ | — | | | $ | 578,986 | | | $ | — | | | $ | — | | | $ | 578,986 | |
Inverse S&P 500® Strategy Fund | | | 751 | | | | (15,910 | ) | | | — | | | | — | | | | (15,159 | ) |
NASDAQ-100® Fund | | | 109,496 | | | | 356,837 | | | | — | | | | — | | | | 466,333 | |
Inverse NASDAQ-100® Strategy Fund | | | — | | | | (18,132 | ) | | | — | | | | — | | | | (18,132 | ) |
S&P 500® 2x Strategy Fund | | | (340 | ) | | | 549,995 | | | | — | | | | — | | | | 549,655 | |
NASDAQ-100® 2x Strategy Fund | | | 1,346,544 | | | | 8,655,826 | | | | — | | | | — | | | | 10,002,370 | |
Mid-Cap 1.5x Strategy Fund | | | — | | | | (8,615 | ) | | | — | | | | — | | | | (8,615 | ) |
Inverse Mid-Cap Strategy Fund | | | — | | | | 1,517 | | | | — | | | | — | | | | 1,517 | |
Russell 2000® 2x Strategy Fund | | | 37,470 | | | | 167,583 | | | | — | | | | — | | | | 205,053 | |
Russell 2000® 1.5x Strategy Fund | | | — | | | | 430,744 | | | | — | | | | — | | | | 430,744 | |
Inverse Russell 2000® Strategy Fund | | | — | | | | (4,164 | ) | | | — | | | | — | | | | (4,164 | ) |
Dow 2x Strategy Fund | | | (6,999 | ) | | | (70,423 | ) | | | — | | | | — | | | | (77,422 | ) |
Inverse Dow 2x Strategy Fund | | | 2,480 | | | | 32,637 | | | | — | | | | — | | | | 35,117 | |
Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | 256,038 | | | | — | | | | 256,038 | |
Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | (119,019 | ) | | | — | | | | (119,019 | ) |
High Yield Strategy Fund | | | — | | | | — | | | | (25,386 | ) | | | (202,731 | ) | | | (228,117 | ) |
In conjunction with short sales and the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.
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.
142 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 3 – 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. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. 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 RYDEX FUNDS SEMI-ANNUAL REPORT | 143 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
| | | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statements of
Assets and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Assets1 | | | Gross
Amounts
Offset in the
Statements
of Assets and
Liabilities | | | Net Amount
of Assets
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received | | | Net
Amount | |
Nova Fund | Swap equity contracts | | $ | 793,248 | | | $ | — | | | $ | 793,248 | | | $ | — | | | $ | — | | | $ | 793,248 | |
NASDAQ-100® Fund | Swap equity contracts | | | 409,372 | | | | — | | | | 409,372 | | | | — | | | | — | | | | 409,372 | |
S&P 500® 2x Strategy Fund | Swap equity contracts | | | 909,439 | | | | — | | | | 909,439 | | | | — | | | | — | | | | 909,439 | |
NASDAQ-100® 2x Strategy Fund | Swap equity contracts | | | 9,304,336 | | | | — | | | | 9,304,336 | | | | — | | | | — | | | | 9,304,336 | |
Mid-Cap 1.5x Strategy Fund | Swap equity contracts | | | 18,156 | | | | — | | | | 18,156 | | | | — | | | | — | | | | 18,156 | |
Inverse Mid-Cap Strategy Fund | Swap equity contracts | | | 825 | | | | — | | | | 825 | | | | — | | | | — | | | | 825 | |
Russell 2000® 2x Strategy Fund | Swap equity contracts | | | 121,700 | | | | — | | | | 121,700 | | | | — | | | | — | | | | 121,700 | |
Russell 2000® 1.5x Strategy Fund | Swap equity contracts | | | 449,012 | | | | — | | | | 449,012 | | | | — | | | | — | | | | 449,012 | |
Inverse Russell 2000® Strategy Fund | Swap equity contracts | | | 1,245 | | | | — | | | | 1,245 | | | | — | | | | — | | | | 1,245 | |
Dow 2x Strategy Fund | Swap equity contracts | | | 99,566 | | | | — | | | | 99,566 | | | | — | | | | — | | | | 99,566 | |
High Yield Strategy Fund | Credit index swap agreements | | | 7,062 | | | | — | | | | 7,062 | | | | — | | | | — | | | | 7,062 | |
| | | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statements of
Assets and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Liabilities1 | | | Gross
Amounts
Offset in the
Statements
of Assets and
Liabilities | | | Net Amount
of Liabilities
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net Amount | |
Inverse S&P 500® Strategy Fund | Swap equity contracts | | $ | 23,032 | | | $ | — | | | $ | 23,032 | | | $ | (19,050 | ) | | $ | — | | | $ | 3,982 | |
Inverse NASDAQ-100® Strategy Fund | Swap equity contracts | | | 19,853 | | | | — | | | | 19,853 | | | | (5,766 | ) | | | — | | | | 14,087 | |
Mid-Cap 1.5x Strategy Fund | Swap equity contracts | | | 9,596 | | | | — | | | | 9,596 | | | | (5,193 | ) | | | — | | | | 4,403 | |
Inverse Mid-Cap Strategy Fund | Swap equity contracts | | | 120 | | | | — | | | | 120 | | | | — | | | | — | | | | 120 | |
Inverse Russell 2000® Strategy Fund | Swap equity contracts | | | 5,391 | | | | — | | | | 5,391 | | | | — | | | | — | | | | 5,391 | |
Inverse Dow 2x Strategy Fund | Swap equity contracts | | | 23,949 | | | | — | | | | 23,949 | | | | (23,949 | ) | | | — | | | | — | |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
144 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of June 30, 2021.
Fund | Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
Inverse S&P 500® Strategy Fund | Goldman Sachs International | Futures contracts | | $ | 44,000 | | | $ | — | |
S&P 500® 2x Strategy Fund | Barclays Bank plc | Total return swap agreements | | | 309,000 | | | | — | |
| Goldman Sachs International | Futures contracts | | | 461,448 | | | | — | |
S&P 500® 2x Strategy Fund Total | | | | | 770,448 | | | | — | |
Russell 2000® 2x Strategy Fund | Barclays Bank plc | Futures contracts | | | — | | | | 360,000 | |
Government Long Bond 1.2x Strategy Fund | Goldman Sachs International | Futures contracts | | | 83,890 | | | | — | |
High Yield Strategy Fund | Barclays Bank plc | Credit default swap agreements | | | — | | | | 10,318 | |
Note 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.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 145 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 5 – Investment Advisory Agreement and Other Agreements
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
(as a % of Net Assets) | |
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 pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board 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.
146 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended June 30, 2021, the following Funds waived fees related to investments in affiliated funds:
Fund | | Amount Waived | |
Nova Fund | | $ | 9,228 | |
Inverse S&P 500® Strategy Fund | | | 494 | |
NASDAQ-100® Fund | | | 14,831 | |
Inverse NASDAQ-100® Strategy Fund | | | 159 | |
S&P 500® 2x Strategy Fund | | | 5,528 | |
NASDAQ-100® 2x Strategy Fund | | | 8,211 | |
Mid-Cap 1.5x Strategy Fund | | | 1,362 | |
Inverse Mid-Cap Strategy Fund | | | 30 | |
Russell 2000® 2x Strategy Fund | | | 1,829 | |
Russell 2000® 1.5x Strategy Fund | | | 3,235 | |
Inverse Russell 2000® Strategy Fund | | | 144 | |
Dow 2x Strategy Fund | | | 3,355 | |
Inverse Dow 2x Strategy Fund | | | 1,008 | |
Government Long Bond 1.2x Strategy Fund | | | 1,464 | |
Inverse Government Long Bond Strategy Fund | | | 1,858 | |
High Yield Strategy Fund | | | 1,980 | |
GI has contractually agreed to waive and/or reimburse expenses for Inverse S&P 500 Strategy 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 and Inverse Government Long Bond Strategy Fund, in an amount equal to an annual percentage rate of 0.05% of each Fund’s average daily net assets. This agreement is effective June 1, 2021 and the end of the initial term is August 1, 2022. This agreement shall automatically renew for one-year terms, unless GI provides written notice to the Fund of the termination at least thirty days prior to the end of the then-current term. This agreement may be terminated at any time by the Fund’s Board of Trustees upon sixty days’ written notice.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
At June 30, 2021, GI and its affiliates owned over twenty percent of the outstanding shares of the Funds, as follows:
| Fund | | Percent of
Outstanding
Shares Owned | |
| High Yield Strategy Fund | | | 39 | % |
MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Funds’ securities and cash. U.S. Bank, N.A. (“U.S. Bank”) acts as the Funds’ custodian. As custodian, U.S. Bank is responsible for the custody of the Funds’ assets. For providing the aforementioned services, MUIS and U.S. Bank are entitled to receive a monthly fee equal to an annual percentage of each Fund’s average daily net assets and out of pocket expenses.
Note 6 – Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. government agencies. The 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 | 147 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2021, the repurchase agreements in the joint account were as follows:
Counterparty and
Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
J.P. Morgan Securities LLC | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
0.05% | | | | | | | | | | 0.13% | | | | | | | | |
Due 07/01/21 | | $ | 43,014,729 | | | $ | 43,014,789 | | | Due 04/30/23 | | $ | 43,947,200 | | | $ | 43,875,223 | |
| | | | | | | | | | | | | | | | | | | |
BofA Securities, Inc. | | | | | | | | | | U.S. Treasury Bond | | | | | | | | |
0.04% | | | | | | | | | | 2.25% | | | | | | | | |
Due 07/01/21 | | | 16,602,804 | | | | 16,602,822 | | | Due 05/15/41 | | | 16,308,000 | | | | 16,934,920 | |
| | | | | | | | | | | | | | | | | | | |
Barclays Capital, Inc. | | | | | | | | | | U.S. Treasury Inflation Indexed Bond | | | | | | | | |
0.03% | | | | | | | | | | 0.13% | | | | | | | | |
Due 07/01/21 | | | 16,934,860 | | | | 16,934,874 | | | Due 04/15/26 | | | 15,882,137 | | | | 17,278,376 | |
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.
Note 7 – 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 their 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, 2021, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
| | | Gross Amounts Not Offset in the
Statements of Assets and Liabilities | | | | Securities Lending Collateral | |
Fund | | Value of
Securities
Loaned | | | Collateral
Received(a) | | | Net
Amount | | | | Cash
Collateral
Invested | | | Cash
Collateral
Uninvested | | | Total
Collateral | |
Nova Fund | | $ | 13,264 | | | $ | (13,264 | ) | | $ | — | | | | $ | 13,336 | | | $ | — | | | $ | 13,336 | |
NASDAQ-100® Fund | | | 124,110 | | | | (124,110 | ) | | | — | | | | | 128,095 | | | | — | | | | 128,095 | |
S&P 500® 2x Strategy Fund | | | 10,194 | | | | (10,194 | ) | | | — | | | | | 10,250 | | | | — | | | | 10,250 | |
NASDAQ-100® 2x Strategy Fund | | | 157,509 | | | | (157,509 | ) | | | — | | | | | 162,567 | | | | — | | | | 162,567 | |
Mid-Cap 1.5x Strategy Fund | | | 22 | | | | (22 | ) | | | — | | | | | 22 | | | | — | | | | 22 | |
Russell 2000® 2x Strategy Fund | | | 373,609 | | | | (373,609 | ) | | | — | | | | | 381,312 | | | | — | | | | 381,312 | |
Russell 2000® 1.5x Strategy Fund | | | 646,666 | | | | (646,666 | ) | | | — | | | | | 659,934 | | | | — | | | | 659,934 | |
High Yield Strategy Fund | | | 484,289 | | | | (484,289 | ) | | | — | | | | | 494,728 | | | | — | | | | 494,728 | |
(a) | Actual collateral received by the Fund is generally greater than the amount shown due to overcollateralization. |
148 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 to evaluate potential risks.
Note 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 or federal excise 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 U.S. 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’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
At June 30, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:
Fund | | Tax
Cost | | | Tax
Unrealized
Appreciation | | | Tax
Unrealized
Depreciation | | | Net Tax
Unrealized
Appreciation
(Depreciation) | |
Nova Fund | | $ | 46,526,482 | | | $ | 3,705,477 | | | $ | (15,406 | ) | | $ | 3,690,071 | |
Inverse S&P 500® Strategy Fund | | | 2,300,323 | | | | 3,788 | | | | (25,078 | ) | | | (21,290 | ) |
NASDAQ-100® Fund | | | 82,954,955 | | | | 37,663,203 | | | | (27,056 | ) | | | 37,636,147 | |
Inverse NASDAQ-100® Strategy Fund | | | 521,187 | | | | 644 | | | | (20,494 | ) | | | (19,850 | ) |
S&P 500® 2x Strategy Fund | | | 28,767,437 | | | | — | | | | (128,936 | ) | | | (128,936 | ) |
NASDAQ-100® 2x Strategy Fund | | | 134,924,764 | | | | 25,273,327 | | | | (804 | ) | | | 25,272,523 | |
Mid-Cap 1.5x Strategy Fund | | | 6,540,838 | | | | 515,546 | | | | (27,046 | ) | | | 488,500 | |
Inverse Mid-Cap Strategy Fund | | | 134,864 | | | | 1,446 | | | | (120 | ) | | | 1,326 | |
Russell 2000® 2x Strategy Fund | | | 8,876,246 | | | | 198,664 | | | | (821 | ) | | | 197,843 | |
Russell 2000® 1.5x Strategy Fund | | | 10,312,171 | | | | 501,437 | | | | (3,266 | ) | | | 498,171 | |
Inverse Russell 2000® Strategy Fund | | | 818,870 | | | | 3,622 | | | | (5,391 | ) | | | (1,769 | ) |
Dow 2x Strategy Fund | | | 14,923,486 | | | | 890,310 | | | | (1,281 | ) | | | 889,029 | |
Inverse Dow 2x Strategy Fund | | | 2,526,797 | | | | 6,032 | | | | (24,138 | ) | | | (18,106 | ) |
Government Long Bond 1.2x Strategy Fund | | | 8,792,889 | | | | 509,455 | | | | (42 | ) | | | 509,413 | |
Inverse Government Long Bond Strategy Fund | | | 5,383,467 | | | | 1,554 | | | | (322,403 | ) | | | (320,849 | ) |
High Yield Strategy Fund | | | 6,459,102 | | | | 133,022 | | | | (10,210 | ) | | | 122,812 | |
U.S. Government Money Market Fund | | | 57,772,615 | | | | — | | | | — | | | | — | |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 149 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 9 – Securities Transactions
For the period ended June 30, 2021, 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 | | $ | 104,677,292 | | | $ | 101,882,619 | |
Inverse S&P 500® Strategy Fund | | | 12,304,250 | | | | 12,085,000 | |
NASDAQ-100® Fund | | | 32,505,163 | | | | 33,657,103 | |
Inverse NASDAQ-100® Strategy Fund | | | 1,086,419 | | | | 1,155,000 | |
S&P 500® 2x Strategy Fund | | | 541,706,027 | | | | 557,211,264 | |
NASDAQ-100® 2x Strategy Fund | | | 200,907,971 | | | | 183,099,297 | |
Mid-Cap 1.5x Strategy Fund | | | 3,140,807 | | | | 1,161,240 | |
Inverse Mid-Cap Strategy Fund | | | 15,394 | | | | 27,000 | |
Russell 2000® 2x Strategy Fund | | | 7,938,087 | | | | 9,700,000 | |
Russell 2000® 1.5x Strategy Fund | | | 2,647,941 | | | | 1,000,000 | |
Inverse Russell 2000® Strategy Fund | | | 481,324 | | | | 350,000 | |
Dow 2x Strategy Fund | | | 30,306,286 | | | | 29,480,466 | |
Inverse Dow 2x Strategy Fund | | | 958,709 | | | | 1,105,000 | |
Government Long Bond 1.2x Strategy Fund | | | 4,614,218 | | | | 5,300,000 | |
Inverse Government Long Bond Strategy Fund | | | 3,463,034 | | | | 1,700,000 | |
High Yield Strategy Fund | | | 1,366,992 | | | | 5,648,335 | |
U.S. Government Money Market Fund | | | 2,063,238 | | | | — | |
For the period ended June 30, 2021, the cost of purchases and proceeds from sales of government securities were as follows:
Fund | | Purchases | | | Sales | |
Government Long Bond 1.2x Strategy Fund | | $ | 75,562,984 | | | $ | 77,835,523 | |
Inverse Government Long Bond Strategy Fund | | | 61,016,063 | | | | 62,814,578 | |
U.S. Government Money Market Fund | | | 2,443,031 | | | | — | |
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. 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, 2021, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | | Purchases | | | Sales | | | Realized
Gain (Loss) | |
Nova Fund | | $ | 41,582,227 | | | $ | 40,420,604 | | | $ | 495,466 | |
NASDAQ-100® Fund | | | 11,297,826 | | | | 14,454,668 | | | | 451,145 | |
S&P 500® 2x Strategy Fund | | | 220,022,898 | | | | 220,227,150 | | | | 1,288,103 | |
NASDAQ-100® 2x Strategy Fund | | | 73,416,480 | | | | 55,282,898 | | | | (570,662 | ) |
Mid-Cap 1.5x Strategy Fund | | | 1,441,851 | | | | 470,947 | | | | 12,486 | |
Dow 2x Strategy Fund | | | 6,921,837 | | | | 8,725,166 | | | | (8,631 | ) |
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $150,000,000 line of credit from U.S. Bank, N.A., which was increased to $200,000,000 on February 10, 2021 and expired on June 7, 2021. On June 7, 2021, the line of credit agreement was renewed and expires on June 6, 2022. 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 1.25% for the period ended June 30, 2021. The Funds did not have any borrowings outstanding under this agreement at June 30, 2021.
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The average daily balances borrowed for the period ended June 30, 2021, were as follows:
Fund | | Average Daily Balance | |
Inverse S&P 500® Strategy Fund | | $ | 49 | |
Inverse NASDAQ-100® Strategy Fund | | | 5 | |
S&P 500® 2x Strategy Fund | | | 195,770 | |
Dow 2x Strategy Fund | | | 3,489 | |
Government Long Bond 1.2x Strategy Fund | | | 34,844 | |
Note 11 – 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-2296 (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. On April 3, 2018, Justice Kennedy and Justice Thomas issued a “Statement” related to the petition for certiorari suggesting that the Second Circuit and/or District Court may want to take steps to reexamine the application of the Section 546(e) safe harbor to the previously dismissed state law constructive fraudulent transfer claims based on the Supreme Court’s decision in Merit Management Group LP v. FTI Consulting, Inc. On April 10, 2018, Plaintiffs filed in the Second Circuit a motion for that court to recall its mandate, vacate its prior decision, and remand to the district court for further proceedings consistent with Merit Management. On April 20, 2018, the shareholder defendants filed an opposition to Plaintiffs’ motion to recall the mandate. On May 15, 2018, the Second Circuit issued an order recalling the mandate “in anticipation of further panel review.” On December 19, 2019, the Second Circuit issued an amended opinion that again affirmed the district court’s ruling on the basis that plaintiffs’ claims were preempted by Section 546(e) of the Bankruptcy Code. Plaintiffs filed a motion for rehearing and rehearing en banc on January 2, 2020. The Second Circuit denied the petition on February 6, 2020. On July 6, 2020, plaintiffs filed a new petition for a writ of certiorari in the U.S. Supreme Court. In that petition, plaintiffs stated that “[t]o make it more likely that there will be a quorum for this petition,” they have “abandon[ed] the case and let the judgment below stand” with respect to certain defendants. That list did not include Rydex Variable Trust. Defendants filed an opposition to the petition for certiorari on August 26, 2020, and plaintiffs filed a reply in support of the petition for certiorari on September 8, 2020. The Court denied the petition for certiorari on April 19, 2021.
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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 intended to permit an interlocutory appeal of the dismissal order, but would wait to do so until it has resolved outstanding motions to dismiss filed by other defendants.
On July 18, 2017, the plaintiff submitted a letter to the District Court seeking leave to amend its complaint to add a constructive fraudulent transfer claim. The shareholder defendants opposed that request. On August 24, 2017, the Court denied the plaintiff’s request without prejudice to renewal of the request in the event of an intervening change in the law. On March 8, 2018, the plaintiff renewed his request for leave to file a motion to amend the complaint to assert a constructive fraudulent transfer claim based on the Supreme Court’s ruling in Merit Management Group LP v. FTI Consulting, Inc. The shareholder defendants opposed that request. On June 18, 2018 the District Court ordered that the request would be stayed pending further action by the Second Circuit in the SLCFC actions.
On December 18, 2018, plaintiff filed a letter with the District Court requesting that the stay be dissolved in order to permit briefing on the motion to amend the complaint and indicating plaintiff’s intention to file another motion to amend the complaint to reinstate claims for intentional fraudulent transfer. The shareholder defendants opposed that request. On January 14, 2019, the court held a case management conference, during which the court stated that it would not lift the stay prior to further action from the Second Circuit in the SLCFC actions. The court further stated that it would allow the plaintiff to file a motion to amend to try to reinstate its intentional fraudulent transfer claim. On January 23, 2019, the court ordered the parties still facing pending claims to participate in a mediation, to commence on January 28, 2019. The mediation did not result in a settlement of the claims against the shareholder defendants.
On April 4, 2019, plaintiff filed a motion to amend the Fifth Amended Complaint to assert a federal constructive fraudulent transfer claim against certain shareholder defendants. On April 10, 2019, the shareholder defendants filed a brief in opposition to plaintiff’s motion to amend. On April 12, 2019, the plaintiff filed a reply brief. On April 23, 2019, the court denied the plaintiff’s motion to amend. On June 13, 2019, the court entered judgment pursuant to Rule 54(b). On July 12, 2019, the Plaintiff filed a notice of appeal with respect to the dismissal of his claims and the District Court’s denial of his motion for leave to amend. Plaintiff filed an appellate brief on January 7, 2020. The shareholder defendants’ brief was filed on April 27, 2020. Plaintiff filed a reply brief on May 18, 2020. The Court held oral argument on August 24, 2020.
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.
Note 12 – COVID-19
The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and public health conditions around the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.
Note 13 – Subsequent Events
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.
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OTHER INFORMATION (Unaudited) |
Delivery of Shareholder Reports
Paper copies of the Funds’ annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Rydex Variable Trust Contracts Review Committee
Rydex Variable Trust (the “Trust”) was organized as a Delaware statutory trust on June 11, 1998, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series (each, a “Fund” and collectively, the “Funds”):
Tradable Funds (Including Sector Funds*) |
● | Banking Fund* | ● | Basic Materials Fund* |
● | Biotechnology Fund* | ● | Commodities Strategy Fund |
● | Consumer Products Fund* | ● | Dow 2x Strategy Fund |
● | Electronics Fund* | ● | Energy Fund* |
● | Energy Services Fund* | ● | Europe 1.25x Strategy Fund |
● | Financial Services Fund* | ● | Government Long Bond 1.2x Strategy Fund |
● | Health Care Fund* | ● | High Yield Strategy Fund |
● | Internet Fund* | ● | Inverse Dow 2x Strategy Fund |
● | Inverse Government Long Bond Strategy Fund | ● | Inverse High Yield Strategy Fund*** |
● | Inverse Mid-Cap Strategy Fund | ● | Inverse NASDAQ-100 2x Strategy Fund*** |
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● | Inverse NASDAQ-100 Strategy Fund | ● | Inverse Russell 2000 2x Strategy Fund*** |
● | Inverse Russell 2000 Strategy Fund | ● | Inverse S&P 500 2x Strategy Fund*** |
● | Inverse S&P 500 Strategy Fund | ● | Japan 2x Strategy Fund |
● | Leisure Fund* | ● | Mid-Cap 1.5x Strategy Fund |
● | NASDAQ-100 2x Strategy Fund | ● | NASDAQ-100 Fund |
● | Nova Fund | ● | Precious Metals Fund* |
● | Real Estate Fund | ● | Retailing Fund* |
● | Russell 2000 1.5x Strategy Fund | ● | Russell 2000 2x Strategy Fund |
● | Russell 2000 Fund*** | ● | S&P 500 Fund*** |
● | S&P 500 Pure Growth Fund | ● | S&P 500 Pure Value Fund |
● | S&P MidCap 400 Pure Growth Fund | ● | S&P MidCap 400 Pure Value Fund |
● | S&P SmallCap 600 Pure Growth Fund | ● | S&P SmallCap 600 Pure Value Fund |
● | Strengthening Dollar 2x Strategy Fund | ● | Technology Fund* |
● | Telecommunications Fund* | ● | Transportation Fund* |
● | Utilities Fund* | ● | U.S. Government Money Market Fund |
● | Weakening Dollar 2x Strategy Fund | | |
Alternative Funds** (i.e., Non-Tradable Funds) |
● | Global Managed Futures Strategy Fund** | ● | Long Short Equity Fund** |
● | Multi-Hedge Strategies Fund** | | |
* | Each, a “Sector Fund” and collectively, the “Sector Funds.” |
** | Each, an “Alternative Fund” and collectively, the “Alternative Funds.” |
*** | The Fund has been organized as a series of the Trust but has not commenced operations, and shares of the Fund are not currently offered to investors. The investment advisory agreement for the Fund was not considered for renewal. Consequently, all references to “the Funds” or similar references hereafter should be understood as excluding such Fund. |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of the Funds pursuant to an investment advisory agreement between the Trust, with respect to the Funds, and Security Investors (the “Advisory Agreement”).1 (Guggenheim Partners, Security Investors and their affiliates may be referred to herein collectively as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes Security Investors and other affiliated investment management businesses of Guggenheim Partners.)
Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Adviser regularly provides investment research, advice and supervision, along with a continuous investment program for the Funds, and directs the purchase and sale of securities and other investments for each Fund’s portfolio.
The Advisory Agreement continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at
1 | Security Investors also serves as investment adviser to each of Rydex Variable Commodities Strategy CFC, Rydex Variable Managed Futures Strategy CFC and Rydex Variable Multi-Hedge Strategies CFC (each, a “Subsidiary” and collectively, the “Subsidiaries”), wholly-owned subsidiaries of the Trust that are organized as limited companies under the laws of the Cayman Islands and used by Commodities Strategy Fund, Managed Futures Strategy Fund and Multi-Hedge Strategies Fund, respectively, to obtain commodities exposure. Pursuant to a separate investment management agreement for each Subsidiary (each, a “Subsidiary Advisory Agreement” and collectively, the “Subsidiary Advisory Agreements), the Subsidiary pays Security Investors an advisory fee at the same rate that the respective Fund pays Security Investors under the Advisory Agreement. The Subsidiary Advisory Agreements do not require annual renewal by the Independent Trustees and will continue until they are terminated as provided in the Agreements. In addition, Security Investors has entered into a separate waiver agreement with respect to each applicable Fund pursuant to which Security Investors has contractually agreed to waive the advisory fee it receives from the Fund in an amount equal to the advisory fee paid to Security Investors by the respective Subsidiary. This undertaking will continue with respect to each applicable Fund for so long as the Fund invests in the respective Subsidiary, and may be terminated only with the approval of the Board. |
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a meeting called for such purpose.2 At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreement in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreement and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Advisory Agreement.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee met with a representative of FUSE at the April Meeting to discuss how FUSE determined the appropriate peer groups for the Funds. Thereafter, the Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a list of Funds for which no peer funds were identified, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
As part of its evaluation of the Adviser and the proposed renewal of the Advisory Agreement, the Committee took into account that each Tradable Fund is designed to provide tactical advisors with specific exposures (with the exception of the U.S. Government Money Market Fund which is designed to support tactical advisors seeking to avoid market exposure or preserve capital) while also providing for unlimited trading privileges, and that the Tradable Funds offer a unique set of product features. The Committee noted that each Tradable Fund (other than the U.S. Government Money Market Fund) seeks to track, or correlate to, the performance (before fees and expenses) of a specific benchmark index over certain time periods or a specific market, noting that, because appropriate published indices are not available for many of the Sector Funds and the Real Estate Fund, the Adviser has developed its own methodology to construct internal performance benchmarks for the Sector Funds and the Real Estate Fund. In this regard, the Committee received information regarding the Adviser’s proprietary methodology for constructing internal performance benchmarks for such Funds, including the personnel with primary responsibility for the maintenance and execution of the methodology. The Committee also noted that, in addition to the performance information included in the FUSE reports, the Adviser provided tracking error data for each Tradable Fund (other than U.S. Government Money Market Fund) relative to the applicable benchmark index or Guggenheim-constructed internal performance benchmark.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the Advisory Agreement for an additional annual term.
Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The
2 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Advisory Agreement at a meeting of the Board held by videoconference on May 26, 2021. |
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Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, the funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and index methodologies and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
With respect to the Tradable Funds, the Committee considered their unique product features, including their tradability, the real time cash process employed for such Funds, and the leveraged and inverse strategies offered, and the Adviser’s assessment of the value to shareholders provided by the Funds’ structure and the services required by the Adviser to provide the Funds’ unique features. The Committee noted that the Tradable Funds allow frequent trading and noted the magnitude of changes in each Fund’s assets during 2020 and 2019. In this regard, the Committee noted that the real time cash process is utilized by the Adviser to aggregate shareholder flow data to estimate daily net subscriptions or redemptions in order to mitigate the costs associated with the tradability feature, improve tracking and keep the Funds fully invested. The Committee also took into account the infrastructure developed by the Adviser to manage the significant volume and size of trading that typically occurs near the end of each business day, as well as the unique considerations required in the portfolio construction process to determine the optimal way to obtain the applicable exposures, including leveraged and inverse exposures, while allowing for high turnover. With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s proprietary methodology for constructing internal performance benchmarks for such Funds, noting the Adviser’s statement that it uses a quantitative portfolio investment process that also requires investment discretion in implementing adjustments for factors that affect tradability and liquidity, changing dynamics within a sector or market, and corporate actions such as spin-offs, among other adjustments.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Guggenheim’s resources and the ability of the Adviser to carry out its responsibilities under the Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH.
The Committee also considered the acceptability of the terms of the Advisory Agreement, including the scope of services required to be performed by the Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how the Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under the Advisory Agreement with respect to the Funds.
Investment Performance: Except as otherwise noted, the Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. For certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, only investment returns for the five-year, three-year and one-year periods ended December 31, 2020, as applicable, were received. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark and a peer group of similar funds based on asset levels as identified by FUSE, and for certain Funds, a broader universe of funds, in each case for the same periods, as applicable. The Committee also received from FUSE a description
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of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. For the Tradable Funds (other than U.S. Government Money Market Fund), the Committee received tracking error data for other similar funds in the Guggenheim fund complex. The Committee also received certain updated performance information as of March 31, 2021.
With respect to the Tradable Funds (other than U.S. Government Money Market Fund), the Committee considered the Adviser’s statement that such Funds are designed as a suite of products seeking to provide a number of broad and specific exposures for tactical advisors and also considered that the Funds have a unique set of product features designed to meet the needs of those tactical advisors, which has an impact on performance. The Committee considered the Adviser’s statement that, in circumstances in which there are significant deviations from expected returns, management seeks to understand the cause of such deviations and determine if any remedial actions should be considered, noting that no such remedial actions were currently deemed necessary by the Adviser to address performance. The Committee also considered the Adviser’s discussion of factors that contribute to such deviations, including shareholder activity, financing costs associated with leverage and investment instruments used to achieve certain exposures, noting the Adviser’s statement that expenses and transaction costs based on shareholder activity are the primary driver of performance differences.
With respect to certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds in the two direct competitor product suites and noted the Adviser’s statement that certain Tradable Funds do not have any peer funds that provide the same index, leverage or inverse exposure. The Committee also considered management’s commentary explaining instances of significant underperformance (defined as greater than 100 basis points), as applicable, of such Funds over the five-year, three-year and/or one-year periods ended December 31, 2020, relative to their respective peer funds, attributing such relative underperformance to, among other factors, differences in portfolio construction methodologies and exposures. The Committee noted that the two direct competitor product suites do not offer a fund comparable to the Commodities Strategy Fund and considered a comparison to a peer group identified in the FUSE report that includes actively-managed funds, noting the limitations in the comparability of such peer group.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report has product features that make it comparable in this regard. The Committee considered that the Fund outperformed the comparable peer fund over the five-year, three-year and one-year periods ended December 31, 2020, although its performance ranked in the fourth quartile of the broader peer group over the same time periods.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds seeking similar exposures but that do not offer the same product features, including unlimited trading privileges, noting the Adviser’s statement that certain peer funds also cover a narrower or wider market segment than the applicable Fund. The Committee considered management’s commentary explaining such Funds’ underperformance, as applicable, over the five-year, three-year and one-year periods ended December 31, 2020, relative to their respective peer groups, attributing such underperformance to, among other factors, high turnover associated with daily shareholder flows, differences in exposures and the Funds’ modified cap weighting approach to portfolio construction.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), in seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. The Committee observed that the Global Managed Futures Strategy Fund’s returns ranked in the third quartile or better of its performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations regarding the other Alternative Funds:
Long Short Equity Fund: The Fund’s returns ranked in the 80th percentile of its performance universe for the five-year and three-year periods ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily a result of the Fund’s fundamental factor tilts and the underperformance of the Fund’s prior investment strategy. The Committee noted management’s statement that the Fund’s long exposure to value and short exposure to growth, as well as negative sector exposures to well-performing sectors, have detracted from investment performance. The Committee also noted management’s statement that
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OTHER INFORMATION (Unaudited)(continued) |
the Fund employed a momentum-based investment strategy prior to May 31, 2017 that demonstrated bouts of volatility and inconsistencies, which affected long-term performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 45th and 60th percentiles, respectively.
Multi-Hedge Strategies Fund: The Fund’s returns ranked in the 100th percentile of its performance universe for the five-year and three-year periods ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the underperformance of its long short equity sleeve and its overall lower equity market beta relative to its peers. With respect to the Fund’s long short equity sleeve, the Committee noted management’s statement that the sleeve’s high long exposure to value and short exposure to growth have detracted from investment performance. The Committee took into account management’s statement that the Fund changed its underlying investment strategies to improve diversification amongst the strategies, target a higher and more stable risk profile and enhance risk-adjusted returns while providing continuity for shareholders. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 55th and 21st percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee3 and total net expense ratio to the applicable peer group, if any. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable. The Committee noted Guggenheim’s statement that it does not provide advisory services to other clients that have investment strategies similar to those of the Funds, other than the retail fund counterparts to the Funds and certain other clients with respect to Long Short Equity Fund, each of which is charged the same advisory fee as the corresponding Fund.
With respect to the Tradable Funds that are designed to track a widely available index, which have only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds, noting the Adviser’s statement that only one of the two direct competitor product suites is directly comparable for purposes of assessing such Funds’ advisory fees. For those Tradable Funds with a peer fund from the directly comparable product suite, the Committee noted that each Fund’s contractual advisory fee was equal to or lower than the contractual advisory fee charged to the peer fund, with the exception of 15 Funds for which the contractual advisory fee was five basis points higher than the contractual advisory fee charged to the peer fund. With respect to each of those 15 Funds, the Adviser agreed to waive five basis points of its contractual advisory fee through August 1, 2022. The Committee also considered that each such Fund’s net effective management fee was competitive. The Committee noted that the higher total net expense ratio as compared to the peer fund was driven primarily by the higher other operating expenses of each such Fund.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report is directly comparable in terms of product features offered. The Committee considered that, as of the Fund’s and the peer fund’s respective fiscal year ends, the Fund’s contractual advisory fee, net effective management fee and total net expense ratio are lower than those of the peer fund. The Committee noted the Adviser’s statement that, given the current low interest rate environment, it is currently waiving, and intends to continue to waive, all or a portion of its fees to the extent necessary to maintain the Fund’s stable net asset value.
3 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
158 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited)(continued) |
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds seeking similar exposures but that do not offer the same product features, such as unlimited trading privileges. As a result, the fee and expense comparisons are more difficult given the uniqueness of both the Funds’ structure and the portfolio management needed to meet client requirements.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), the Committee made the following observations:
Global Managed Futures Strategy Fund: The Fund’s contractual advisory fee ranks in the fourth quartile (100th percentile) of its peer group. The Fund’s net effective management fee ranks in the first quartile (1st percentile) of its peer group. The Fund’s total net expense ratio ranks in the fourth quartile (100th percentile) of its peer group, with higher other operating expenses than its peer fund. The Committee considered that the peer group is limited in size and is comprised of only two funds. The Committee noted that the Fund’s contractual advisory fee and total net expense ratio each rank more competitively when compared to the broader universe of funds.
Long Short Equity Fund: The Fund’s contractual advisory fee, net effective management fee and total net expense ratio each rank in the fourth quartile (80th, 80th and 100th percentiles, respectively) of its peer group. The Committee noted the Fund’s higher other operating expenses compared to its peers. The Committee considered that the peer group is limited in size and is comprised of only six funds.
Multi-Hedge Strategies Fund: Although the Fund’s contractual advisory fee ranks in the fourth quartile (75th percentile) of its peer group, the Committee considered that the Fund’s net effective management fee and total net expense ratio each rank at the median of its peer group. The Committee considered that the peer group is limited in size and is comprised of only five funds.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to the Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Adviser derives any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Adviser may benefit from certain economies of scale and synergies, such as enhanced visibility of the Adviser, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by the Adviser from its relationship with the Funds were appropriate and that the Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
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OTHER INFORMATION (Unaudited)(concluded) |
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for an Alternative Fund (i.e., a non-Tradable Fund), with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee also considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such expense waivers and limitations. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of the Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of the Advisory Agreement for an additional annual term.
160 | 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 bycalling 800.820.0888.
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES | | | |
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2019 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 157 | Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016). |
Angela Brock-Kyle (1959) | Trustee | Since 2016 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012). | 156 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Infinity Property & Casualty Corp. (2014-2018). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2005 (Trustee) Since 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 156 | Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019). |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2019 | Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 157 | Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INDEPENDENT TRUSTEES - concluded | | |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2016 (Trustee) Since 2019 (Chair of the Audit Committee) | Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017). | 156 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2019 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 156 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
162 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Fund
Complex
Overseen | Other
Directorships Held
by Trustees*** |
INTERESTED TRUSTEE | | | | |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2019 | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 157 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS | | | |
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2019 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
James M. Howley (1972) | Assistant Treasurer | Since 2016 | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004). |
Mark E. Mathiasen (1978) | Secretary | Since 2017 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2018 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014). |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2016 | 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, Mutual Fund Administration for 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). |
164 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s)
Held with
Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS - concluded | |
Bryan Stone (1979) | Vice President | Since 2019 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2016 | Current: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, 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.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
| | ● | We use your information in connection with servicing your accounts. |
| | ● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
| | ● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
| | ● | We use information for security purposes. We may use your information to protect our company and our customers. |
| | ● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
166 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
| | ● | We use information as otherwise permitted by law, as we may notify you. |
| | ● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
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168 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Rydex Variable Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 169 |
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6.30.2021
Rydex Variable Trust 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 Fund |
Japan 2x Strategy Fund |
Specialty Funds |
Strengthening Dollar 2x Strategy Fund |
Weakening Dollar 2x Strategy Fund |
GuggenheimInvestments.com | RVATB2-SEMI-0621x1221 |
| | |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS | 6 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 7 |
S&P 500® PURE GROWTH FUND | 9 |
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 | 56 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | 62 |
WEAKENING DOLLAR 2x STRATEGY FUND | 68 |
NOTES TO FINANCIAL STATEMENTS | 74 |
OTHER INFORMATION | 87 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 95 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 100 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 103 |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for ten funds that are part of the Rydex Variable Trust (the “Funds”). This report covers performance of the Funds for the semi-annual period ended June 30, 2021.
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,
Security Investors, LLC
July 31, 2021
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.
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.
COVID-19. The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of this uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.
Inverse and leveraged funds are not suitable for all investors. ● These Funds should be utilized only by investors who (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking daily leveraged investment results, (c) understand the risk of shorting, and (d) intend to actively monitor and manage their investments. ● The more a Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● Inverse funds involve certain risks, which include increased volatility due to the Funds’ possible use of short sales of securities and derivatives, such as options and futures. ● The Funds’ use of derivatives, such as futures, options, and swap agreements, may expose the Funds’ shareholders to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. ● Short-selling involves increased risks and costs. You risk paying more for a security than you received from its sale. ● Leveraged and inverse funds seek to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. Because the 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. 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. The Funds rebalance their portfolios on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. Daily rebalancing will impair a Fund’s performance if the benchmark experiences volatility. Investors should monitor their leveraged and inverse funds’ holdings consistent with their strategies, as frequently as daily. ● For more on these and other risks, please read the prospectus.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
Pure Style Funds may not be suitable for all investors. ● The Funds are subject to the risk that large, medium and small-capitalization stocks may under-perform other segments of the equity market or the equity market as a whole ● Value stocks are subject to the risk that the intrinsic value of the stock may never be realized by the market or that the price goes down. Growth stocks typically invest a high portion of their earnings back into their business and may lack the dividend yield that could cushion their decline in a market downturn. Growth stocks may be more volatile than other stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing company. ● The Funds are subject to the risk that unanticipated early closings of securities exchanges and other financial markets may result in the funds’ inability to buy or sell securities or other financial instruments on that day. In certain circumstances, it may be difficult for the Funds to purchase and sell particular investments within a reasonable time at a fair price. ● Unlike many investment companies, the Funds are not actively “managed.” This means that based on market and economic conditions, the Funds’ performance could be lower than other types of funds that may actively shift their portfolio assets to take advantage of market opportunities or to lessen the impact of a market decline ● The Funds are subject to active trading and tracking error risks, which may increase volatility, impact the Funds’ ability to achieve its investment objective and may decrease the Fund’s performance. ● These Funds are considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of fund shares than would occur in a more diversified fund. ● Securities are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested. ● Please read the prospectus for more detailed information regarding these and other risks.
The Strengthening Dollar 2x Strategy Fund is subject to a number of risks and may not be suitable for all investors. ● The Fund’s use of derivatives such as futures and swap agreements may expose the fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● The Fund’s exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. These risks may cause the Fund to experience higher losses and/or volatility than a Fund that does not invest in derivatives, use leverage or have exposure to foreign currencies. ● Also, the Fund is subject to active trading and tracking error risks that may increase volatility, decrease performance and impact the Fund’s ability to achieve its investment objective. This fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of fund shares than would occur in a more diversified fund. ● For more on these and other risks, please read the prospectus.
The Weakening Dollar 2x Strategy Fund is subject to a number of risks and may not be suitable for all investors. ● The Fund’s use of derivatives such as futures and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● The Fund’s indirect exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. These risks may cause the Fund to experience higher losses and/or volatility than a fund that does not invest in derivatives, use leverage or have exposure to foreign currencies. ● Also, the Fund is subject to active trading and tracking error risks that may increase volatility, decrease performance and impact the Fund’s ability to achieve its investment objective. This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. ● For more on these and other risks, please read the prospectus.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | June 30, 2021 |
More states saw the end of COVID-19 related restrictions in the second quarter of 2021, including New York, California, and Illinois, marking a full reopening for almost all of the U.S. The U.S. has made solid vaccination progress, inoculating over 52% of the population. Those vaccinations have helped COVID-19 cases fall sharply from their peak, but the spread of the Delta variant is a worrying trend, particularly in areas with low vaccination rates. Though we expect cases will rise further as the Delta variant spreads, vaccination rates are high for the most vulnerable populations, which could limit hospitalizations and deaths, in turn reducing the need for a return to strict lockdowns.
Relaxed COVID-19 related measures and increased consumer comfort prompted a rapid reopening of the service sector and robust manufacturing activity. Both the ISM Manufacturing and Services Purchasing Managers Indexes cooled a bit in June but remain near the peaks of recent economic cycles.
Labor demand is also at record highs according to the National Federation of Independent Businesses (“NFIB”). The NFIB reported that nearly half of small-business owners in the U.S. could not fill job openings in June, making it the fifth consecutive month where the share of surveyed business owners citing jobs were hard to fill exceeded pre-COVID-19 historical highs. To attract more workers, business owners are raising or planning to raise compensation, especially in low-wage sectors where enhanced jobless benefits are competitive with wages. Corroborating this signal of strong labor demand is the consumer confidence data, which shows perceptions around job availability is above pre-COVID-19 highs.
Against this strong backdrop, the Federal Open Market Committee (“FOMC”) held its June meeting where, as expected, it kept rates unchanged. But the surprise came from the quarterly Summary of Economic Projections, which showed that FOMC participants now see upside risks to inflation at the highest levels in over a decade. This shift in the distribution of risk around inflation resulted in a surprise two-hike increase in their median fed funds rate forecast for 2023.
Our interpretation is that the U.S. Federal Reserve (“Fed”) is willing to be patient in reaching its dual mandate, but not irresponsible. Since the June meeting, 5-year forward Treasury Inflation-Protected Securities (“TIPS”) breakeven rates have fallen by about 0.25% as the market priced out a scenario in which the Fed lets inflation run too hot. This reassessment of the Fed’s reaction function led to a material decline in interest rates over the quarter. In the long run, keeping inflation expectations in check buys the central bank more time to keep policy accommodative.
Looking ahead, we are assessing the potential consequences of a slowdown in U.S. economic activity. Second quarter U.S. gross domestic product (“GDP”) is on track to show 8-9% annualized growth, after which we expect sequential growth could slow heading into 2022. Base effects from last year’s trough in activity could fade, as might the fiscal impulse over time. The impact of reopening businesses will also shrink. This natural slowdown in activity as we move through peak growth could present challenges if growth slows more than expected.
Inflation could fall given that much of the recent increase is coming from categories suffering temporary supply chain disruptions. Price pressures have materialized in sectors directly affected by the pandemic, such as hotels, airfares, and car rentals, where demand has bounced back faster than supply. Shortages in areas such as semiconductors and building materials are caused by factories and transportation abroad that have not returned to full capacity. As these factors are resolved and supply comes back online, a decline in inflation prints and inflation expectations over the next several quarters may prompt a rethink of the FOMC’s forecasted hikes.
The Fed may commence tapering asset purchases in 2022, but we continue to believe rate hikes will likely get pushed as far as 2025 as inflation cools and the Fed targets a historically tight labor market. This patience by the Fed would support credit conditions, which could mean low default volumes and positive risk-adjusted returns. Real U.S. interest rates could remain deeply negative, further supporting the credit sector as income-seeking investors search for yield.
For the six-month period ended June 30, 2021, the S&P 500® Index* returned 15.25%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 8.83%. The return of the MSCI Emerging Markets Index* was 7.45%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -1.60% return for the six-month period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 3.62%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.02% 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.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2021 |
*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.
ICE 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.
Nikkei-225 Stock Average Index is a price-weighted index comprised of Japan’s top 225 blue-chip companies on the Tokyo Stock Exchange.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
S&P 500® Pure Growth Index is narrow in focus, containing only those S&P 500 Index companies with strong growth characteristics as selected by S&P. The S&P 500 Index is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).
S&P 500® Pure Value Index is narrow in focus, containing only those S&P 500 Index companies with strong value characteristics as selected by S&P. The S&P 500 Index is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).
S&P MidCap 400® Pure Growth Index is narrow in focus, containing only those S&P MidCap 400 Index companies with strong growth characteristics as selected by S&P. The S&P MidCap 400 Index measures the performance of the mid-capitalization sector of the U.S. equity market.
S&P MidCap 400® Pure Value Index is narrow in focus, containing only those S&P MidCap 400 Index companies with strong value characteristics as selected by S&P. The S&P MidCap 400 Index measures the performance of the mid-capitalization sector of the U.S. equity market.
S&P SmallCap 600® Pure Growth Index is narrow in focus, containing only those S&P SmallCap 600 Index companies with strong growth characteristics as selected by S&P. The S&P SmallCap 600 Index measures the performance of the small-capitalization sector of the U.S. equity market.
S&P SmallCap 600® Pure Value Index is narrow in focus, containing only those S&P SmallCap 600 Index companies with strong value characteristics as selected by S&P. The S&P SmallCap 600 Index measures the performance of the small-capitalization sector of the U.S. equity market.
STOXX Europe 50® Index provides a blue-chip representation of supersector leaders in Europe. The index covers 50 stocks from 17 European countries: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Norway, Poland, Portugal, Spain, Sweden, Switzerland and the United Kingdom.
USD or U.S. Dollar Index® (USDX) is an index that determines the relative value of the United States dollar to a basket of foreign currencies. This formulated “basket” of currencies comprises the weighting of six other currencies as follows: Euro (EUR), 57.6% + Japanese Yen (JPY), 13.6% + Pound Sterling (GBP), 11.9% + Canadian Dollar (CAD), 9.1% + Swedish Krona (SEK), 4.2% + Swiss Franc (CHF) 3.6%.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
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
Level | Index
Performance | Fund
Expectation | Fund
NAV | Fund
Performance | Assessment |
Start | 100 | | | $ 10.00 | | |
Day 1 | 106 | 6.0% | 9.0% | $ 10.90 | 9.0% | In line |
Day 2 | 99 | -6.6% | -9.9% | $ 9.82 | -9.9% | In line |
Cumulative | | -1.0% | -1.5% | | -1.8% | -0.3% |
As illustrated by this simple example, the effect of leverage can make it difficult to form expectations or judgments about fund performance given only the returns of the unleveraged index.
Because certain funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are 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.
6 | 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, 2020 and ending June 30, 2021.
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 | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
December 31, 2020 | Ending
Account Value
June 30, 2021 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 |
S&P 500® Pure Growth Fund | 1.61% | 12.22% | $ 1,000.00 | $ 1,122.20 | $ 8.47 |
S&P 500® Pure Value Fund | 1.60% | 25.75% | 1,000.00 | 1,257.50 | 8.96 |
S&P MidCap 400® Pure Growth Fund | 1.61% | 11.08% | 1,000.00 | 1,110.80 | 8.43 |
S&P MidCap 400® Pure Value Fund | 1.60% | 24.81% | 1,000.00 | 1,248.10 | 8.92 |
S&P SmallCap 600® Pure Growth Fund | 1.61% | 17.12% | 1,000.00 | 1,171.20 | 8.67 |
S&P SmallCap 600® Pure Value Fund | 1.60% | 41.98% | 1,000.00 | 1,419.80 | 9.60 |
Europe 1.25x Strategy Fund | 1.74% | 13.58% | 1,000.00 | 1,135.80 | 9.21 |
Japan 2x Strategy Fund | 1.54% | (7.02%) | 1,000.00 | 929.80 | 7.37 |
Strengthening Dollar 2x Strategy Fund | 1.94% | 4.64% | 1,000.00 | 1,046.40 | 9.84 |
Weakening Dollar 2x Strategy Fund | 1.95% | (6.45%) | 1,000.00 | 935.50 | 9.36 |
|
Table 2. Based on hypothetical 5% return (before expenses) |
S&P 500® Pure Growth Fund | 1.61% | 5.00% | $ 1,000.00 | $ 1,016.81 | $ 8.05 |
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 | 1.61% | 5.00% | 1,000.00 | 1,016.81 | 8.05 |
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 | 1.61% | 5.00% | 1,000.00 | 1,016.81 | 8.05 |
S&P SmallCap 600® Pure Value Fund | 1.60% | 5.00% | 1,000.00 | 1,016.86 | 8.00 |
Europe 1.25x Strategy Fund | 1.74% | 5.00% | 1,000.00 | 1,016.17 | 8.70 |
Japan 2x Strategy Fund | 1.54% | 5.00% | 1,000.00 | 1,017.16 | 7.70 |
Strengthening Dollar 2x Strategy Fund | 1.94% | 5.00% | 1,000.00 | 1,015.17 | 9.69 |
Weakening Dollar 2x Strategy Fund | 1.95% | 5.00% | 1,000.00 | 1,015.12 | 9.74 |
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest, if any. |
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, 2020 to June 30, 2021. |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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) |
NVIDIA Corp. | 2.6% |
PayPal Holdings, Inc. | 2.5% |
Etsy, Inc. | 2.4% |
SVB Financial Group | 2.3% |
Generac Holdings, Inc. | 2.2% |
Tesla, Inc. | 2.1% |
Align Technology, Inc. | 2.1% |
Monolithic Power Systems, Inc. | 2.1% |
Teradyne, Inc. | 2.0% |
Fortinet, Inc. | 1.9% |
Top Ten Total | 22.2% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P 500® Pure Growth Fund | 12.22% | 40.23% | 16.87% | 13.62% |
S&P 500 Pure Growth Index | 13.09% | 42.87% | 18.94% | 15.61% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
S&P 500® PURE GROWTH FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Technology - 36.7% |
NVIDIA Corp. | | | 1,300 | | | $ | 1,040,130 | |
Monolithic Power Systems, Inc. | | | 2,250 | | | | 840,262 | |
Teradyne, Inc. | | | 6,020 | | | | 806,439 | |
Fortinet, Inc.* | | | 3,264 | | | | 777,452 | |
ServiceNow, Inc.* | | | 1,390 | | | | 763,874 | |
Adobe, Inc.* | | | 1,190 | | | | 696,912 | |
KLA Corp. | | | 1,989 | | | | 644,854 | |
Lam Research Corp. | | | 970 | | | | 631,179 | |
Autodesk, Inc.* | | | 2,084 | | | | 608,320 | |
Advanced Micro Devices, Inc.* | | | 6,447 | | | | 605,567 | |
Apple, Inc. | | | 4,370 | | | | 598,515 | |
MSCI, Inc. — Class A | | | 1,077 | | | | 574,127 | |
salesforce.com, Inc.* | | | 2,291 | | | | 559,623 | |
Applied Materials, Inc. | | | 3,720 | | | | 529,728 | |
Microsoft Corp. | | | 1,920 | | | | 520,128 | |
Cadence Design Systems, Inc.* | | | 3,689 | | | | 504,729 | |
Synopsys, Inc.* | | | 1,767 | | | | 487,321 | |
Paycom Software, Inc.* | | | 1,299 | | | | 472,147 | |
Intuit, Inc. | | | 946 | | | | 463,701 | |
QUALCOMM, Inc. | | | 3,220 | | | | 460,235 | |
Take-Two Interactive Software, Inc.* | | | 2,593 | | | | 459,013 | |
Qorvo, Inc.* | | | 2,222 | | | | 434,734 | |
ANSYS, Inc.* | | | 954 | | | | 331,095 | |
PTC, Inc.* | | | 2,280 | | | | 322,073 | |
Xilinx, Inc. | | | 2,190 | | | | 316,762 | |
Tyler Technologies, Inc.* | | | 668 | | | | 302,183 | |
Total Technology | | | | | | | 14,751,103 | |
| | | | | | | | | |
Consumer, Non-cyclical - 27.8% |
PayPal Holdings, Inc.* | | | 3,507 | | | | 1,022,220 | |
Align Technology, Inc.* | | | 1,378 | | | | 841,958 | |
IDEXX Laboratories, Inc.* | | | 1,190 | | | | 751,544 | |
West Pharmaceutical Services, Inc. | | | 1,890 | | | | 678,699 | |
United Rentals, Inc.* | | | 2,059 | | | | 656,842 | |
DexCom, Inc.* | | | 1,525 | | | | 651,175 | |
DaVita, Inc.* | | | 5,090 | | | | 612,989 | |
Charles River Laboratories International, Inc.* | | | 1,650 | | | | 610,368 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 900 | | | | 579,861 | |
Regeneron Pharmaceuticals, Inc.* | | | 1,020 | | | | 569,711 | |
Catalent, Inc.* | | | 4,770 | | | | 515,732 | |
ABIOMED, Inc.* | | | 1,550 | | | | 483,770 | |
Thermo Fisher Scientific, Inc. | | | 844 | | | | 425,773 | |
PerkinElmer, Inc. | | | 2,660 | | | | 410,731 | |
ResMed, Inc. | | | 1,580 | | | | 389,502 | |
Monster Beverage Corp.* | | | 4,050 | | | | 369,968 | |
MarketAxess Holdings, Inc. | | | 772 | | | | 357,892 | |
Vertex Pharmaceuticals, Inc.* | | | 1,667 | | | | 336,117 | |
Rollins, Inc. | | | 9,810 | | | | 335,502 | |
S&P Global, Inc. | | | 792 | | | | 325,076 | |
Verisk Analytics, Inc. — Class A | | | 1,420 | | | | 248,102 | |
Total Consumer, Non-cyclical | | | | | | | 11,173,532 | |
| | | | | | | | | |
Communications - 13.4% |
Etsy, Inc.* | | | 4,750 | | | | 977,740 | |
Amazon.com, Inc.* | | | 210 | | | | 722,434 | |
Facebook, Inc. — Class A* | | | 1,791 | | | | 622,749 | |
Netflix, Inc.* | | | 1,178 | | | | 622,231 | |
eBay, Inc. | | | 8,200 | | | | 575,722 | |
Arista Networks, Inc.* | | | 1,180 | | | | 427,526 | |
Twitter, Inc.* | | | 6,110 | | | | 420,429 | |
Charter Communications, Inc. — Class A* | | | 570 | | | | 411,226 | |
Alphabet, Inc. — Class A* | | | 128 | | | | 312,549 | |
Alphabet, Inc. — Class C* | | | 120 | | | | 300,758 | |
Total Communications | | | | | | | 5,393,364 | |
| | | | | | | | | |
Consumer, Cyclical - 9.8% |
Tesla, Inc.* | | | 1,240 | | | | 842,828 | |
Tractor Supply Co. | | | 3,380 | | | | 628,883 | |
Pool Corp. | | | 1,370 | | | | 628,364 | |
Domino’s Pizza, Inc. | | | 1,254 | | | | 584,978 | |
Chipotle Mexican Grill, Inc. — Class A* | | | 296 | | | | 458,901 | |
Dollar General Corp. | | | 2,000 | | | | 432,780 | |
Copart, Inc.* | | | 2,782 | | | | 366,751 | |
Total Consumer, Cyclical | | | | | | | 3,943,485 | |
| | | | | | | | | |
Industrial - 5.3% |
Generac Holdings, Inc.* | | | 2,100 | | | | 871,815 | |
Old Dominion Freight Line, Inc. | | | 1,796 | | | | 455,825 | |
Trimble, Inc.* | | | 5,270 | | | | 431,244 | |
Mettler-Toledo International, Inc.* | | | 270 | | | | 374,042 | |
Total Industrial | | | | | | | 2,132,926 | |
| | | | | | | | | |
Financial - 2.3% |
SVB Financial Group* | | | 1,660 | | | | 923,674 | |
| | | | | | | | | |
Basic Materials - 2.3% |
Albemarle Corp. | | | 3,150 | | | | 530,649 | |
FMC Corp. | | | 3,585 | | | | 387,897 | |
Total Basic Materials | | | | | | | 918,546 | |
| | | | | | | | | |
Energy - 1.9% |
Enphase Energy, Inc.* | | | 4,160 | | | | 763,901 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $26,469,702) | | | | | | | 40,000,531 | |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
S&P 500® PURE GROWTH FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,1 - 1.6% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 365,554 | | | $ | 365,554 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 143,918 | | | | 143,918 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 141,096 | | | | 141,096 | |
Total Repurchase Agreements | | | | |
(Cost $650,568) | | | | | | | 650,568 | |
| | | | | | | | | |
Total Investments - 101.1% | | | | |
(Cost $27,120,270) | | $ | 40,651,099 | |
Other Assets & Liabilities, net - (1.1)% | | | (461,186 | ) |
Total Net Assets - 100.0% | | $ | 40,189,913 | |
* | 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 6. |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 40,000,531 | | | $ | — | | | $ | — | | | $ | 40,000,531 | |
Repurchase Agreements | | | — | | | | 650,568 | | | | — | | | | 650,568 | |
Total Assets | | $ | 40,000,531 | | | $ | 650,568 | | | $ | — | | | $ | 40,651,099 | |
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, 2021 |
Assets: |
Investments, at value (cost $26,469,702) | | $ | 40,000,531 | |
Repurchase agreements, at value (cost $650,568) | | | 650,568 | |
Receivables: |
Securities sold | | | 192,867 | |
Dividends | | | 5,850 | |
Fund shares sold | | | 2,210 | |
Total assets | | | 40,852,026 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 568,037 | |
Management fees | | | 22,616 | |
Transfer agent and administrative fees | | | 8,112 | |
Investor service fees | | | 7,539 | |
Portfolio accounting fees | | | 3,015 | |
Trustees’ fees* | | | 374 | |
Miscellaneous | | | 52,420 | |
Total liabilities | | | 662,113 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 40,189,913 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 27,072,572 | |
Total distributable earnings (loss) | | | 13,117,341 | |
Net assets | | $ | 40,189,913 | |
Capital shares outstanding | | | 649,134 | |
Net asset value per share | | $ | 61.91 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends | | $ | 47,743 | |
Interest | | | 28 | |
Total investment income | | | 47,771 | |
| | | | | |
Expenses: |
Management fees | | | 130,566 | |
Investor service fees | | | 43,522 | |
Transfer agent and administrative fees | | | 57,358 | |
Professional fees | | | 21,641 | |
Portfolio accounting fees | | | 17,409 | |
Trustees’ fees* | | | 3,386 | |
Custodian fees | | | 2,469 | |
Miscellaneous | | | 3,106 | |
Total expenses | | | 279,457 | |
Net investment loss | | | (231,686 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 265,829 | |
Net realized gain | | | 265,829 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 4,145,665 | |
Net change in unrealized appreciation (depreciation) | | | 4,145,665 | |
Net realized and unrealized gain | | | 4,411,494 | |
Net increase in net assets resulting from operations | | $ | 4,179,808 | |
* | 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 |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (231,686 | ) | | $ | (306,941 | ) |
Net realized gain on investments | | | 265,829 | | | | 4,989,774 | |
Net change in unrealized appreciation (depreciation) on investments | | | 4,145,665 | | | | 3,637,839 | |
Net increase in net assets resulting from operations | | | 4,179,808 | | | | 8,320,672 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (6,865,286 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 15,497,904 | | | | 47,158,985 | |
Distributions reinvested | | | — | | | | 6,865,286 | |
Cost of shares redeemed | | | (14,779,855 | ) | | | (62,244,297 | ) |
Net increase (decrease) from capital share transactions | | | 718,049 | | | | (8,220,026 | ) |
Net increase (decrease) in net assets | | | 4,897,857 | | | | (6,764,640 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 35,292,056 | | | | 42,056,696 | |
End of period | | $ | 40,189,913 | | | $ | 35,292,056 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 269,325 | | | | 941,377 | |
Shares issued from reinvestment of distributions | | | — | | | | 146,600 | |
Shares redeemed | | | (259,833 | ) | | | (1,220,094 | ) |
Net increase (decrease) in shares | | | 9,492 | | | | (132,117 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
S&P 500® PURE GROWTH FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 55.17 | | | $ | 54.49 | | | $ | 43.97 | | | $ | 50.27 | | | $ | 42.31 | | | $ | 43.72 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.38 | ) | | | (.48 | ) | | | (.22 | ) | | | (.44 | ) | | | (.38 | ) | | | (.23 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 7.12 | | | | 13.22 | | | | 11.87 | | | | (1.68 | ) | | | 10.51 | | | | 1.38 | |
Total from investment operations | | | 6.74 | | | | 12.74 | | | | 11.65 | | | | (2.12 | ) | | | 10.13 | | | | 1.15 | |
Less distributions from: |
Net realized gains | | | — | | | | (12.06 | ) | | | (1.13 | ) | | | (4.18 | ) | | | (2.17 | ) | | | (2.56 | ) |
Total distributions | | | — | | | | (12.06 | ) | | | (1.13 | ) | | | (4.18 | ) | | | (2.17 | ) | | | (2.56 | ) |
Net asset value, end of period | | $ | 61.91 | | | $ | 55.17 | | | $ | 54.49 | | | $ | 43.97 | | | $ | 50.27 | | | $ | 42.31 | |
|
Total Returnc | | | 12.22 | % | | | 27.32 | % | | | 26.60 | % | | | (5.63 | %) | | | 24.39 | % | | | 2.58 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 40,190 | | | $ | 35,292 | | | $ | 42,057 | | | $ | 41,825 | | | $ | 55,023 | | | $ | 43,908 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.33 | %) | | | (0.94 | %) | | | (0.42 | %) | | | (0.85 | %) | | | (0.80 | %) | | | (0.54 | %) |
Total expenses | | | 1.61 | % | | | 1.73 | % | | | 1.72 | % | | | 1.62 | % | | | 1.67 | % | | | 1.56 | % |
Portfolio turnover rate | | | 37 | % | | | 159 | % | | | 190 | % | | | 203 | % | | | 303 | % | | | 265 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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 | 2.2% |
Unum Group | 2.2% |
Ford Motor Co. | 2.1% |
Lumen Technologies, Inc. | 2.0% |
Lincoln National Corp. | 1.9% |
Prudential Financial, Inc. | 1.8% |
Valero Energy Corp. | 1.8% |
MetLife, Inc. | 1.8% |
CVS Health Corp. | 1.6% |
Invesco Ltd. | 1.6% |
Top Ten Total | 19.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P 500® Pure Value Fund | 25.75% | 62.01% | 9.46% | 9.99% |
S&P 500 Pure Value Index | 27.01% | 65.25% | 11.41% | 12.06% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
S&P 500® PURE VALUE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Financial - 44.3% |
Berkshire Hathaway, Inc. — Class B* | | | 2,891 | | | $ | 803,467 | |
Unum Group | | | 27,809 | | | | 789,776 | |
Lincoln National Corp. | | | 10,679 | | | | 671,068 | |
Prudential Financial, Inc. | | | 6,418 | | | | 657,652 | |
MetLife, Inc. | | | 10,590 | | | | 633,811 | |
Invesco Ltd. | | | 21,349 | | | | 570,659 | |
Hartford Financial Services Group, Inc. | | | 8,662 | | | | 536,784 | |
Principal Financial Group, Inc. | | | 7,861 | | | | 496,737 | |
Capital One Financial Corp. | | | 2,989 | | | | 462,368 | |
Wells Fargo & Co. | | | 10,068 | | | | 455,980 | |
Allstate Corp. | | | 3,186 | | | | 415,582 | |
People’s United Financial, Inc. | | | 23,784 | | | | 407,658 | |
Citigroup, Inc. | | | 5,721 | | | | 404,761 | |
Citizens Financial Group, Inc. | | | 8,512 | | | | 390,445 | |
Loews Corp. | | | 7,071 | | | | 386,430 | |
Fifth Third Bancorp | | | 9,981 | | | | 381,574 | |
Bank of New York Mellon Corp. | | | 7,353 | | | | 376,694 | |
Goldman Sachs Group, Inc. | | | 989 | | | | 375,355 | |
American International Group, Inc. | | | 7,858 | | | | 374,041 | |
Everest Re Group Ltd. | | | 1,444 | | | | 363,902 | |
Aflac, Inc. | | | 6,651 | | | | 356,893 | |
Assurant, Inc. | | | 2,214 | | | | 345,782 | |
Comerica, Inc. | | | 4,812 | | | | 343,288 | |
Zions Bancorp North America | | | 5,980 | | | | 316,103 | |
Bank of America Corp. | | | 7,515 | | | | 309,843 | |
KeyCorp | | | 14,887 | | | | 307,417 | |
Franklin Resources, Inc. | | | 9,430 | | | | 301,666 | |
Regions Financial Corp. | | | 14,870 | | | | 300,077 | |
Travelers Companies, Inc. | | | 1,990 | | | | 297,923 | |
Morgan Stanley | | | 3,036 | | | | 278,371 | |
Cincinnati Financial Corp. | | | 2,300 | | | | 268,226 | |
M&T Bank Corp. | | | 1,774 | | | | 257,780 | |
State Street Corp. | | | 3,129 | | | | 257,454 | |
Truist Financial Corp. | | | 4,318 | | | | 239,649 | |
Kimco Realty Corp. REIT | | | 11,085 | | | | 231,122 | |
PNC Financial Services Group, Inc. | | | 1,020 | | | | 194,575 | |
Globe Life, Inc. | | | 2,027 | | | | 193,072 | |
Huntington Bancshares, Inc. | | | 12,897 | | | | 184,040 | |
Chubb Ltd. | | | 1,148 | | | | 182,463 | |
Raymond James Financial, Inc. | | | 1,393 | | | | 180,951 | |
CBRE Group, Inc. — Class A* | | | 2,016 | | | | 172,832 | |
Synchrony Financial | | | 3,330 | | | | 161,571 | |
U.S. Bancorp | | | 2,700 | | | | 153,819 | |
JPMorgan Chase & Co. | | | 856 | | | | 133,142 | |
Total Financial | | | | | | | 15,922,803 | |
| | | | | | | | | |
Consumer, Non-cyclical - 16.5% |
CVS Health Corp. | | | 6,894 | | | | 575,235 | |
Centene Corp.* | | | 7,470 | | | | 544,787 | |
Archer-Daniels-Midland Co. | | | 8,424 | | | | 510,495 | |
Kroger Co. | | | 12,540 | | | | 480,407 | |
Molson Coors Beverage Co. — Class B* | | | 8,229 | | | | 441,815 | |
Cigna Corp. | | | 1,731 | | | | 410,368 | |
Tyson Foods, Inc. — Class A | | | 5,170 | | | | 381,339 | |
Viatris, Inc. | | | 24,560 | | | | 350,963 | |
McKesson Corp. | | | 1,813 | | | | 346,718 | |
Kraft Heinz Co. | | | 8,129 | | | | 331,501 | |
Cardinal Health, Inc. | | | 4,990 | | | | 284,879 | |
Anthem, Inc. | | | 708 | | | | 270,314 | |
Universal Health Services, Inc. — Class B | | | 1,420 | | | | 207,931 | |
Perrigo Company plc | | | 4,215 | | | | 193,258 | |
Corteva, Inc. | | | 4,104 | | | | 182,012 | |
J M Smucker Co. | | | 1,238 | | | | 160,408 | |
Henry Schein, Inc.* | | | 1,770 | | | | 131,316 | |
AmerisourceBergen Corp. — Class A | | | 1,136 | | | | 130,061 | |
Total Consumer, Non-cyclical | | | | | | | 5,933,807 | |
| | | | | | | | | |
Consumer, Cyclical - 11.4% |
Ford Motor Co.* | | | 51,741 | | | | 768,871 | |
Walgreens Boots Alliance, Inc. | | | 9,881 | | | | 519,840 | |
General Motors Co.* | | | 7,982 | | | | 472,295 | |
Mohawk Industries, Inc.* | | | 2,201 | | | | 423,010 | |
Lennar Corp. — Class A | | | 3,366 | | | | 334,412 | |
LKQ Corp.* | | | 4,710 | | | | 231,826 | |
Whirlpool Corp. | | | 1,042 | | | | 227,177 | |
BorgWarner, Inc. | | | 4,268 | | | | 207,169 | |
Hanesbrands, Inc. | | | 10,470 | | | | 195,475 | |
CarMax, Inc.* | | | 1,300 | | | | 167,895 | |
PVH Corp.* | | | 1,507 | | | | 162,138 | |
Gap, Inc. | | | 4,388 | | | | 147,656 | |
Advance Auto Parts, Inc. | | | 710 | | | | 145,649 | |
Walmart, Inc. | | | 692 | | | | 97,586 | |
Total Consumer, Cyclical | | | | | | | 4,100,999 | |
| | | | | | | | | |
Energy - 8.0% |
Valero Energy Corp. | | | 8,154 | | | | 636,664 | |
Exxon Mobil Corp. | | | 8,235 | | | | 519,464 | |
Phillips 66 | | | 5,395 | | | | 462,999 | |
Marathon Petroleum Corp. | | | 5,086 | | | | 307,296 | |
Marathon Oil Corp. | | | 21,786 | | | | 296,725 | |
Kinder Morgan, Inc. | | | 11,520 | | | | 210,010 | |
Pioneer Natural Resources Co. | | | 937 | | | | 152,281 | |
EOG Resources, Inc. | | | 1,794 | | | | 149,691 | |
Chevron Corp. | | | 1,248 | | | | 130,716 | |
Total Energy | | | | | | | 2,865,846 | |
| | | | | | | | | |
Communications - 6.4% |
Lumen Technologies, Inc. | | | 51,876 | | | | 704,995 | |
ViacomCBS, Inc. — Class B | | | 6,780 | | | | 306,456 | |
AT&T, Inc. | | | 7,690 | | | | 221,318 | |
DISH Network Corp. — Class A* | | | 5,241 | | | | 219,074 | |
Juniper Networks, Inc. | | | 6,402 | | | | 175,095 | |
Fox Corp. — Class A | | | 4,074 | | | | 151,267 | |
Interpublic Group of Companies, Inc. | | | 4,320 | | | | 140,357 | |
Discovery, Inc. — Class C* | | | 4,310 | | | | 124,904 | |
News Corp. — Class A | | | 4,347 | | | | 112,022 | |
Discovery, Inc. — Class A*,1 | | | 2,232 | | | | 68,478 | |
Fox Corp. — Class B | | | 1,880 | | | | 66,176 | |
News Corp. — Class B | | | 1,348 | | | | 32,824 | |
Total Communications | | | | | | | 2,322,966 | |
| | | | | | | | | |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
S&P 500® PURE VALUE FUND | |
| | Shares | | | Value | |
Industrial - 4.6% |
Westrock Co. | | | 7,114 | | | $ | 378,607 | |
Textron, Inc. | | | 3,843 | | | | 264,283 | |
Huntington Ingalls Industries, Inc. | | | 1,020 | | | | 214,965 | |
Howmet Aerospace, Inc.* | | | 5,990 | | | | 206,475 | |
Raytheon Technologies Corp. | | | 2,098 | | | | 178,981 | |
Westinghouse Air Brake Technologies Corp. | | | 1,870 | | | | 153,901 | |
General Dynamics Corp. | | | 700 | | | | 131,782 | |
General Electric Co. | | | 8,955 | | | | 120,534 | |
Total Industrial | | | | | | | 1,649,528 | |
| | | | | | | | | |
Technology - 3.4% |
Hewlett Packard Enterprise Co. | | | 36,360 | | | | 530,129 | |
Western Digital Corp.* | | | 4,315 | | | | 307,098 | |
HP, Inc. | | | 7,409 | | | | 223,678 | |
DXC Technology Co.* | | | 4,296 | | | | 167,286 | |
Total Technology | | | | | | | 1,228,191 | |
| | | | | | | | | |
Utilities - 2.7% |
Exelon Corp. | | | 5,699 | | | | 252,523 | |
Consolidated Edison, Inc. | | | 1,960 | | | | 140,571 | |
FirstEnergy Corp. | | | 3,630 | | | | 135,072 | |
Evergy, Inc. | | | 2,200 | | | | 132,946 | |
Pinnacle West Capital Corp. | | | 1,380 | | | | 113,119 | |
PPL Corp. | | | 3,700 | | | | 103,489 | |
Edison International | | | 1,540 | | | | 89,043 | |
Total Utilities | | | | | | | 966,763 | |
| | | | | | | | | |
Basic Materials - 2.2% |
Nucor Corp. | | | 3,876 | | | | 371,825 | |
Mosaic Co. | | | 8,705 | | | | 277,776 | |
International Paper Co. | | | 2,228 | | | | 136,599 | |
Total Basic Materials | | | | | | | 786,200 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $24,834,638) | | | | | | | 35,777,103 | |
| | | | | | | | | |
| | Face
Amount | | | | |
REPURCHASE AGREEMENTS††,2 - 0.1% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 18,512 | | | | 18,512 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 7,288 | | | | 7,288 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 7,146 | | | | 7,146 | |
Total Repurchase Agreements | | | | |
(Cost $32,946) | | | | | | | 32,946 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.1% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 52,824 | | | | 52,824 | |
Total Securities Lending Collateral | | | | |
(Cost $52,824) | | | | | | | 52,824 | |
| | | | | | | | | |
Total Investments - 99.7% | | | | |
(Cost $24,920,408) | | $ | 35,862,873 | |
Other Assets & Liabilities, net - 0.3% | | | 90,550 | |
Total Net Assets - 100.0% | | $ | 35,953,423 | |
* | 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 on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | 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 | 17 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
S&P 500® PURE VALUE FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 35,777,103 | | | $ | — | | | $ | — | | | $ | 35,777,103 | |
Repurchase Agreements | | | — | | | | 32,946 | | | | — | | | | 32,946 | |
Securities Lending Collateral | | | 52,824 | | | | — | | | | — | | | | 52,824 | |
Total Assets | | $ | 35,829,927 | | | $ | 32,946 | | | $ | — | | | $ | 35,862,873 | |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments, at value - including $52,279 of securities loaned (cost $24,887,462) | | $ | 35,829,927 | |
Repurchase agreements, at value (cost $32,946) | | | 32,946 | |
Receivables: |
Securities sold | | | 480,211 | |
Dividends | | | 46,459 | |
Securities lending income | | | 50 | |
Total assets | | | 36,389,593 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 288,228 | |
Return of securities lending collateral | | | 52,824 | |
Management fees | | | 26,879 | |
Transfer agent and administrative fees | | | 9,641 | |
Investor service fees | | | 8,960 | |
Portfolio accounting fees | | | 3,584 | |
Trustees’ fees* | | | 324 | |
Miscellaneous | | | 45,730 | |
Total liabilities | | | 436,170 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 35,953,423 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 27,341,842 | |
Total distributable earnings (loss) | | | 8,611,581 | |
Net assets | | $ | 35,953,423 | |
Capital shares outstanding | | | 611,463 | |
Net asset value per share | | $ | 58.80 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends | | $ | 435,350 | |
Interest | | | 18 | |
Income from securities lending, net | | | 86 | |
Total investment income | | | 435,454 | |
| | | | | |
Expenses: |
Management fees | | | 132,071 | |
Investor service fees | | | 44,024 | |
Transfer agent and administrative fees | | | 55,132 | |
Professional fees | | | 25,346 | |
Portfolio accounting fees | | | 17,609 | |
Custodian fees | | | 2,379 | |
Trustees’ fees* | | | 2,346 | |
Miscellaneous | | | 2,713 | |
Total expenses | | | 281,620 | |
Net investment income | | | 153,834 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 269,364 | |
Net realized gain | | | 269,364 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 6,310,563 | |
Net change in unrealized appreciation (depreciation) | | | 6,310,563 | |
Net realized and unrealized gain | | | 6,579,927 | |
Net increase in net assets resulting from operations | | $ | 6,733,761 | |
* | 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 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 153,834 | | | $ | 207,689 | |
Net realized gain (loss) on investments | | | 269,364 | | | | (342,346 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 6,310,563 | | | | (485,148 | ) |
Net increase (decrease) in net assets resulting from operations | | | 6,733,761 | | | | (619,805 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (1,768,964 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 43,740,720 | | | | 27,521,313 | |
Distributions reinvested | | | — | | | | 1,768,964 | |
Cost of shares redeemed | | | (40,520,187 | ) | | | (33,633,141 | ) |
Net increase (decrease) from capital share transactions | | | 3,220,533 | | | | (4,342,864 | ) |
Net increase (decrease) in net assets | | | 9,954,294 | | | | (6,731,633 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 25,999,129 | | | | 32,730,762 | |
End of period | | $ | 35,953,423 | | | $ | 25,999,129 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 786,878 | | | | 678,561 | |
Shares issued from reinvestment of distributions | | | — | | | | 47,135 | |
Shares redeemed | | | (731,446 | ) | | | (733,904 | ) |
Net increase (decrease) in shares | | | 55,432 | | | | (8,208 | ) |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 46.76 | | | $ | 58.01 | | | $ | 48.02 | | | $ | 61.83 | | | $ | 56.45 | | | $ | 50.08 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .24 | | | | .46 | | | | .59 | | | | .53 | | | | .35 | | | | .83 | |
Net gain (loss) on investments (realized and unrealized) | | | 11.80 | | | | (7.59 | ) | | | 10.53 | | | | (7.82 | ) | | | 8.28 | | | | 9.87 | |
Total from investment operations | | | 12.04 | | | | (7.13 | ) | | | 11.12 | | | | (7.29 | ) | | | 8.63 | | | | 10.70 | |
Less distributions from: |
Net investment income | | | — | | | | (.85 | ) | | | (.45 | ) | | | (.53 | ) | | | (.46 | ) | | | (1.23 | ) |
Net realized gains | | | — | | | | (3.27 | ) | | | (.68 | ) | | | (5.99 | ) | | | (2.79 | ) | | | (3.10 | ) |
Total distributions | | | — | | | | (4.12 | ) | | | (1.13 | ) | | | (6.52 | ) | | | (3.25 | ) | | | (4.33 | ) |
Net asset value, end of period | | $ | 58.80 | | | $ | 46.76 | | | $ | 58.01 | | | $ | 48.02 | | | $ | 61.83 | | | $ | 56.45 | |
|
Total Returnc | | | 25.75 | % | | | (10.56 | %) | | | 23.27 | % | | | (13.32 | %) | | | 15.86 | % | | | 17.40 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 35,953 | | | $ | 25,999 | | | $ | 32,731 | | | $ | 33,111 | | | $ | 44,496 | | | $ | 44,849 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.87 | % | | | 1.08 | % | | | 1.10 | % | | | 0.91 | % | | | 0.61 | % | | | 0.88 | % |
Total expenses | | | 1.60 | % | | | 1.73 | % | | | 1.72 | % | | | 1.63 | % | | | 1.61 | % | | | 1.56 | % |
Portfolio turnover rate | | | 100 | % | | | 157 | % | | | 144 | % | | | 197 | % | | | 127 | % | | | 207 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | Share split — Per share amounts for the year ended December 31, 2016 have been restated to reflect a 2:1 share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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) |
STAAR Surgical Co. | 3.3% |
RH | 3.0% |
SLM Corp. | 2.3% |
Brighthouse Financial, Inc. | 2.3% |
Brooks Automation, Inc. | 2.2% |
Axon Enterprise, Inc. | 2.2% |
Medpace Holdings, Inc. | 2.2% |
Repligen Corp. | 2.2% |
Boston Beer Company, Inc. — Class A | 2.2% |
YETI Holdings, Inc. | 2.1% |
Top Ten Total | 24.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P MidCap 400® Pure Growth Fund | 11.08% | 48.66% | 12.24% | 9.08% |
S&P MidCap 400 Pure Growth Index | 12.08% | 51.34% | 14.11% | 10.73% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
S&P MIDCAP 400® PURE GROWTH FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Consumer, Non-cyclical - 34.9% |
STAAR Surgical Co.* | | | 4,317 | | | $ | 658,343 | |
Medpace Holdings, Inc.* | | | 2,457 | | | | 433,980 | |
Repligen Corp.* | | | 2,168 | | | | 432,776 | |
Boston Beer Company, Inc. — Class A* | | | 420 | | | | 428,736 | |
Syneos Health, Inc.* | | | 3,786 | | | | 338,809 | |
R1 RCM, Inc.* | | | 14,960 | | | | 332,710 | |
Paylocity Holding Corp.* | | | 1,680 | | | | 320,544 | |
Halozyme Therapeutics, Inc.* | | | 6,337 | | | | 287,763 | |
Darling Ingredients, Inc.* | | | 4,250 | | | | 286,875 | |
Quidel Corp.* | | | 2,190 | | | | 280,583 | |
Penumbra, Inc.* | | | 924 | | | | 253,231 | |
HealthEquity, Inc.* | | | 3,020 | | | | 243,050 | |
Bio-Techne Corp. | | | 512 | | | | 230,533 | |
Emergent BioSolutions, Inc.* | | | 3,630 | | | | 228,654 | |
ASGN, Inc.* | | | 2,090 | | | | 202,584 | |
Amedisys, Inc.* | | | 825 | | | | 202,067 | |
Exelixis, Inc.* | | | 10,921 | | | | 198,981 | |
PRA Health Sciences, Inc.* | | | 1,171 | | | | 193,461 | |
Helen of Troy Ltd.* | | | 840 | | | | 191,621 | |
Masimo Corp.* | | | 785 | | | | 190,323 | |
FTI Consulting, Inc.* | | | 1,209 | | | | 165,162 | |
Arrowhead Pharmaceuticals, Inc.* | | | 1,941 | | | | 160,753 | |
Neurocrine Biosciences, Inc.* | | | 1,540 | | | | 149,873 | |
Insperity, Inc. | | | 1,520 | | | | 137,362 | |
LHC Group, Inc.* | | | 670 | | | | 134,174 | |
Jazz Pharmaceuticals plc* | | | 661 | | | | 117,420 | |
Chemed Corp. | | | 190 | | | | 90,155 | |
Total Consumer, Non-cyclical | | | | | | | 6,890,523 | |
| | | | | | | | | |
Consumer, Cyclical - 23.6% |
RH* | | | 859 | | | | 583,261 | |
YETI Holdings, Inc.* | | | 4,490 | | | | 412,272 | |
Wingstop, Inc. | | | 2,462 | | | | 388,085 | |
Scotts Miracle-Gro Co. — Class A | | | 1,924 | | | | 369,254 | |
Fox Factory Holding Corp.* | | | 2,362 | | | | 367,669 | |
Lithia Motors, Inc. — Class A | | | 1,029 | | | | 353,606 | |
Crocs, Inc.* | | | 2,970 | | | | 346,065 | |
Williams-Sonoma, Inc. | | | 2,123 | | | | 338,937 | |
Deckers Outdoor Corp.* | | | 760 | | | | 291,893 | |
Ollie’s Bargain Outlet Holdings, Inc.* | | | 3,096 | | | | 260,466 | |
Churchill Downs, Inc. | | | 1,281 | | | | 253,971 | |
Five Below, Inc.* | | | 1,112 | | | | 214,916 | |
Tempur Sealy International, Inc. | | | 4,250 | | | | 166,557 | |
Texas Roadhouse, Inc. — Class A | | | 1,130 | | | | 108,706 | |
Mattel, Inc.* | | | 5,339 | | | | 107,314 | |
Jack in the Box, Inc. | | | 830 | | | | 92,495 | |
Total Consumer, Cyclical | | | | | | | 4,655,467 | |
| | | | | | | | | |
Industrial - 14.8% |
Axon Enterprise, Inc.* | | | 2,503 | | | | 442,530 | |
Trex Company, Inc.* | | | 3,888 | | | | 397,392 | |
II-VI, Inc.* | | | 5,230 | | | | 379,646 | |
TopBuild Corp.* | | | 1,740 | | | | 344,137 | |
Knight-Swift Transportation Holdings, Inc. | | | 5,229 | | | | 237,710 | |
Timken Co. | | | 2,128 | | | | 171,496 | |
Simpson Manufacturing Company, Inc. | | | 1,500 | | | | 165,660 | |
Tetra Tech, Inc. | | | 1,049 | | | | 128,020 | |
Toro Co. | | | 1,129 | | | | 124,054 | |
Graco, Inc. | | | 1,580 | | | | 119,606 | |
Cognex Corp. | | | 1,394 | | | | 117,166 | |
Mercury Systems, Inc.* | | | 1,578 | | | | 104,590 | |
Universal Display Corp. | | | 429 | | | | 95,380 | |
Lincoln Electric Holdings, Inc. | | | 715 | | | | 94,173 | |
Total Industrial | | | | | | | 2,921,560 | |
| | | | | | | | | |
Technology - 8.5% |
Brooks Automation, Inc. | | | 4,660 | | | | 444,005 | |
Sailpoint Technologies Holdings, Inc.* | | | 4,850 | | | | 247,690 | |
CMC Materials, Inc. | | | 1,434 | | | | 216,161 | |
Lattice Semiconductor Corp.* | | | 3,500 | | | | 196,630 | |
Fair Isaac Corp.* | | | 355 | | | | 178,451 | |
Qualys, Inc.* | | | 1,550 | | | | 156,069 | |
Lumentum Holdings, Inc.* | | | 1,694 | | | | 138,959 | |
MKS Instruments, Inc. | | | 597 | | | | 106,236 | |
Total Technology | | | | | | | 1,684,201 | |
| | | | | | | | | |
Financial - 8.2% |
SLM Corp. | | | 21,660 | | | | 453,560 | |
Brighthouse Financial, Inc.* | | | 9,870 | | | | 449,480 | |
Kinsale Capital Group, Inc. | | | 1,810 | | | | 298,234 | |
Brown & Brown, Inc. | | | 3,020 | | | | 160,483 | |
Primerica, Inc. | | | 925 | | | | 141,654 | |
Interactive Brokers Group, Inc. — Class A | | | 1,800 | | | | 118,314 | |
Total Financial | | | | | | | 1,621,725 | |
| | | | | | | | | |
Energy - 6.8% |
SolarEdge Technologies, Inc.* | | | 1,433 | | | | 396,038 | |
Sunrun, Inc.* | | | 5,450 | | | | 304,001 | |
Antero Midstream Corp. | | | 26,250 | | | | 272,738 | |
First Solar, Inc.* | | | 2,697 | | | | 244,106 | |
CNX Resources Corp.* | | | 9,320 | | | | 127,311 | |
Total Energy | | | | | | | 1,344,194 | |
| | | | | | | | | |
Communications - 1.6% |
Cable One, Inc. | | | 80 | | | | 153,025 | |
FactSet Research Systems, Inc. | | | 320 | | | | 107,395 | |
New York Times Co. — Class A | | | 1,483 | | | | 64,585 | |
Total Communications | | | | | | | 325,005 | |
| | | | | | | | | |
Basic Materials - 1.1% |
Cleveland-Cliffs, Inc.*,1 | | | 9,820 | | | | 211,719 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $14,181,693) | | | | | | | 19,654,394 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
S&P MIDCAP 400® PURE GROWTH FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,2 - 0.7% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 78,908 | | | $ | 78,908 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 31,066 | | | | 31,066 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 30,457 | | | | 30,457 | |
Total Repurchase Agreements | | | | |
(Cost $140,431) | | | | | | | 140,431 | |
| | Shares | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.1% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 11,696 | | | | 11,696 | |
Total Securities Lending Collateral | | | | |
(Cost $11,696) | | | | | | | 11,696 | |
| | | | | | | | | |
Total Investments - 100.3% | | | | |
(Cost $14,333,820) | | $ | 19,806,521 | |
Other Assets & Liabilities, net - (0.3)% | | | (57,046 | ) |
Total Net Assets - 100.0% | | $ | 19,749,475 | |
* | 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 on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 19,654,394 | | | $ | — | | | $ | — | | | $ | 19,654,394 | |
Repurchase Agreements | | | — | | | | 140,431 | | | | — | | | | 140,431 | |
Securities Lending Collateral | | | 11,696 | | | | — | | | | — | | | | 11,696 | |
Total Assets | | $ | 19,666,090 | | | $ | 140,431 | | | $ | — | | | $ | 19,806,521 | |
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, 2021 |
Assets: |
Investments, at value - including $11,729 of securities loaned (cost $14,193,389) | | $ | 19,666,090 | |
Repurchase agreements, at value (cost $140,431) | | | 140,431 | |
Receivables: |
Fund shares sold | | | 214,478 | |
Dividends | | | 1,689 | |
Securities lending income | | | 17 | |
Total assets | | | 20,022,705 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 201,360 | |
Management fees | | | 11,950 | |
Return of securities lending collateral | | | 11,696 | |
Fund shares redeemed | | | 8,181 | |
Transfer agent and administrative fees | | | 4,286 | |
Investor service fees | | | 3,983 | |
Portfolio accounting fees | | | 1,593 | |
Trustees’ fees* | | | 214 | |
Miscellaneous | | | 29,967 | |
Total liabilities | | | 273,230 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 19,749,475 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 12,469,923 | |
Total distributable earnings (loss) | | | 7,279,552 | |
Net assets | | $ | 19,749,475 | |
Capital shares outstanding | | | 392,419 | |
Net asset value per share | | $ | 50.33 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends | | $ | 33,984 | |
Interest | | | 16 | |
Income from securities lending, net | | | 47 | |
Total investment income | | | 34,047 | |
| | | | | |
Expenses: |
Management fees | | | 76,093 | |
Investor service fees | | | 25,364 | |
Transfer agent and administrative fees | | | 33,388 | |
Professional fees | | | 14,166 | |
Portfolio accounting fees | | | 10,146 | |
Trustees’ fees* | | | 1,949 | |
Custodian fees | | | 1,437 | |
Miscellaneous | | | 481 | |
Total expenses | | | 163,024 | |
Net investment loss | | | (128,977 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 869,148 | |
Net realized gain | | | 869,148 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 1,274,925 | |
Net change in unrealized appreciation (depreciation) | | | 1,274,925 | |
Net realized and unrealized gain | | | 2,144,073 | |
Net increase in net assets resulting from operations | | $ | 2,015,096 | |
* | 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 |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (128,977 | ) | | $ | (161,933 | ) |
Net realized gain on investments | | | 869,148 | | | | 1,838,567 | |
Net change in unrealized appreciation (depreciation) on investments | | | 1,274,925 | | | | 3,082,718 | |
Net increase in net assets resulting from operations | | | 2,015,096 | | | | 4,759,352 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (549,822 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 9,825,708 | | | | 23,579,335 | |
Distributions reinvested | | | — | | | | 549,822 | |
Cost of shares redeemed | | | (12,960,987 | ) | | | (20,206,916 | ) |
Net increase (decrease) from capital share transactions | | | (3,135,279 | ) | | | 3,922,241 | |
Net increase (decrease) in net assets | | | (1,120,183 | ) | | | 8,131,771 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 20,869,658 | | | | 12,737,887 | |
End of period | | $ | 19,749,475 | | | $ | 20,869,658 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 197,418 | | | | 651,346 | |
Shares issued from reinvestment of distributions | | | — | | | | 15,320 | |
Shares redeemed | | | (265,553 | ) | | | (558,244 | ) |
Net increase (decrease) in shares | | | (68,135 | ) | | | 108,422 | |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE GROWTH FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 45.31 | | | $ | 36.17 | | | $ | 31.34 | | | $ | 39.31 | | | $ | 33.11 | | | $ | 32.23 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.31 | ) | | | (.41 | ) | | | (.27 | ) | | | (.28 | ) | | | (.25 | ) | | | (.22 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 5.33 | | | | 11.04 | | | | 5.10 | | | | (4.97 | ) | | | 6.45 | | | | 1.10 | |
Total from investment operations | | | 5.02 | | | | 10.63 | | | | 4.83 | | | | (5.25 | ) | | | 6.20 | | | | .88 | |
Less distributions from: |
Net realized gains | | | — | | | | (1.49 | ) | | | — | | | | (2.72 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (1.49 | ) | | | — | | | | (2.72 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 50.33 | | | $ | 45.31 | | | $ | 36.17 | | | $ | 31.34 | | | $ | 39.31 | | | $ | 33.11 | |
|
Total Returnc | | | 11.08 | % | | | 30.47 | % | | | 15.41 | % | | | (14.83 | %) | | | 18.73 | % | | | 2.70 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 19,749 | | | $ | 20,870 | | | $ | 12,738 | | | $ | 14,210 | | | $ | 20,394 | | | $ | 19,061 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.27 | %) | | | (1.13 | %) | | | (0.77 | %) | | | (0.72 | %) | | | (0.70 | %) | | | (0.71 | %) |
Total expenses | | | 1.61 | % | | | 1.72 | % | | | 1.73 | % | | | 1.62 | % | | | 1.61 | % | | | 1.56 | % |
Portfolio turnover rate | | | 54 | % | | | 204 | % | | | 176 | % | | | 183 | % | | | 233 | % | | | 296 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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) |
HollyFrontier Corp. | 2.2% |
Telephone & Data Systems, Inc. | 2.2% |
Navient Corp. | 2.1% |
Avnet, Inc. | 2.1% |
Commercial Metals Co. | 2.1% |
Kohl’s Corp. | 1.9% |
World Fuel Services Corp. | 1.8% |
AutoNation, Inc. | 1.8% |
Graham Holdings Co. — Class B | 1.8% |
SYNNEX Corp. | 1.8% |
Top Ten Total | 19.8% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P MidCap 400® Pure Value Fund | 24.81% | 81.11% | 12.45% | 10.10% |
S&P MidCap 400 Pure Value Index | 25.97% | 85.12% | 14.48% | 12.19% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
S&P MIDCAP 400® PURE VALUE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.4% |
| | | | | | | | | |
Financial - 38.8% |
Navient Corp. | | | 26,682 | | | $ | 515,763 | |
Jefferies Financial Group, Inc. | | | 11,497 | | | | 393,197 | |
Reinsurance Group of America, Inc. — Class A | | | 3,185 | | | | 363,090 | |
Old Republic International Corp. | | | 13,826 | | | | 344,406 | |
Mercury General Corp. | | | 4,881 | | | | 317,021 | |
CNO Financial Group, Inc. | | | 13,182 | | | | 311,359 | |
Associated Banc-Corp. | | | 13,274 | | | | 271,852 | |
Macerich Co. REIT | | | 14,590 | | | | 266,267 | |
Sterling Bancorp | | | 10,707 | | | | 265,427 | |
First American Financial Corp. | | | 4,250 | | | | 264,987 | |
FNB Corp. | | | 21,484 | | | | 264,898 | |
Jones Lang LaSalle, Inc.* | | | 1,290 | | | | 252,144 | |
Valley National Bancorp | | | 17,593 | | | | 236,274 | |
Wintrust Financial Corp. | | | 3,100 | | | | 234,453 | |
SL Green Realty Corp. REIT | | | 2,830 | | | | 226,400 | |
First Horizon Corp. | | | 12,714 | | | | 219,698 | |
Fulton Financial Corp. | | | 13,880 | | | | 219,026 | |
Pinnacle Financial Partners, Inc. | | | 2,370 | | | | 209,247 | |
Alleghany Corp.* | | | 310 | | | | 206,792 | |
Bank OZK | | | 4,887 | | | | 206,036 | |
Washington Federal, Inc. | | | 6,440 | | | | 204,663 | |
New York Community Bancorp, Inc. | | | 18,120 | | | | 199,682 | |
Hancock Whitney Corp. | | | 4,391 | | | | 195,136 | |
Hanover Insurance Group, Inc. | | | 1,410 | | | | 191,252 | |
Trustmark Corp. | | | 6,110 | | | | 188,188 | |
American Financial Group, Inc. | | | 1,490 | | | | 185,833 | |
Kemper Corp. | | | 2,431 | | | | 179,651 | |
Cathay General Bancorp | | | 4,530 | | | | 178,301 | |
United Bankshares, Inc. | | | 4,810 | | | | 175,565 | |
MGIC Investment Corp. | | | 12,780 | | | | 173,808 | |
Synovus Financial Corp. | | | 3,876 | | | | 170,079 | |
Alliance Data Systems Corp. | | | 1,600 | | | | 166,704 | |
International Bancshares Corp. | | | 3,710 | | | | 159,307 | |
BancorpSouth Bank | | | 4,980 | | | | 141,083 | |
Prosperity Bancshares, Inc. | | | 1,894 | | | | 135,989 | |
Webster Financial Corp. | | | 2,483 | | | | 132,443 | |
East West Bancorp, Inc. | | | 1,817 | | | | 130,261 | |
Pebblebrook Hotel Trust REIT | | | 5,256 | | | | 123,779 | |
UMB Financial Corp. | | | 1,300 | | | | 120,978 | |
CIT Group, Inc. | | | 2,232 | | | | 115,149 | |
Selective Insurance Group, Inc. | | | 1,350 | | | | 109,552 | |
Janus Henderson Group plc | | | 2,550 | | | | 98,966 | |
Texas Capital Bancshares, Inc.* | | | 1,475 | | | | 93,648 | |
Sabra Health Care REIT, Inc. | | | 5,060 | | | | 92,092 | |
Cousins Properties, Inc. REIT | | | 2,460 | | | | 90,479 | |
Total Financial | | | | | | | 9,340,925 | |
| | | | | | | | | |
Consumer, Cyclical - 21.1% |
Kohl’s Corp. | | | 8,090 | | | | 445,840 | |
World Fuel Services Corp. | | | 13,596 | | | | 431,401 | |
AutoNation, Inc.* | | | 4,547 | | | | 431,101 | |
Foot Locker, Inc. | | | 5,904 | | | | 363,864 | |
Dick’s Sporting Goods, Inc. | | | 3,517 | | | | 352,368 | |
Dana, Inc. | | | 14,738 | | | | 350,175 | |
Taylor Morrison Home Corp. — Class A* | | | 13,233 | | | | 349,616 | |
Univar Solutions, Inc.* | | | 13,960 | | | | 340,345 | |
Tri Pointe Homes, Inc.* | | | 15,848 | | | | 339,623 | |
KB Home | | | 6,560 | | | | 267,123 | |
Murphy USA, Inc. | | | 1,790 | | | | 238,732 | |
Goodyear Tire & Rubber Co.* | | | 12,322 | | | | 211,322 | |
BJ’s Wholesale Club Holdings, Inc.* | | | 4,404 | | | | 209,542 | |
Lear Corp. | | | 1,078 | | | | 188,952 | |
Thor Industries, Inc. | | | 1,540 | | | | 174,020 | |
Urban Outfitters, Inc.* | | | 3,655 | | | | 150,659 | |
Adient plc* | | | 3,289 | | | | 148,663 | |
KAR Auction Services, Inc.* | | | 5,257 | | | | 92,260 | |
Total Consumer, Cyclical | | | | | | | 5,085,606 | |
| | | | | | | | | |
Industrial - 14.9% |
Avnet, Inc. | | | 12,646 | | | | 506,851 | |
SYNNEX Corp. | | | 3,487 | | | | 424,577 | |
Arrow Electronics, Inc.* | | | 3,343 | | | | 380,534 | |
Ryder System, Inc. | | | 4,023 | | | | 299,029 | |
Jabil, Inc. | | | 5,100 | | | | 296,412 | |
MasTec, Inc.* | | | 2,230 | | | | 236,603 | |
Greif, Inc. — Class A | | | 3,772 | | | | 228,395 | |
EMCOR Group, Inc. | | | 1,740 | | | | 214,351 | |
Oshkosh Corp. | | | 1,400 | | | | 174,496 | |
MDU Resources Group, Inc. | | | 5,288 | | | | 165,726 | |
AECOM* | | | 2,363 | | | | 149,625 | |
Dycom Industries, Inc.* | | | 1,677 | | | | 124,987 | |
Kirby Corp.* | | | 1,770 | | | | 107,333 | |
Colfax Corp.* | | | 2,270 | | | | 103,989 | |
Trinity Industries, Inc. | | | 3,554 | | | | 95,567 | |
GATX Corp. | | | 890 | | | | 78,738 | |
Total Industrial | | | | | | | 3,587,213 | |
| | | | | | | | | |
Consumer, Non-cyclical - 9.1% |
Graham Holdings Co. — Class B | | | 680 | | | | 431,052 | |
ManpowerGroup, Inc. | | | 2,799 | | | | 332,829 | |
Sprouts Farmers Market, Inc.* | | | 12,007 | | | | 298,374 | |
Pilgrim’s Pride Corp.* | | | 13,000 | | | | 288,340 | |
Tenet Healthcare Corp.* | | | 3,608 | | | | 241,700 | |
TreeHouse Foods, Inc.* | | | 5,066 | | | | 225,538 | |
Adtalem Global Education, Inc.* | | | 4,921 | | | | 175,384 | |
Ingredion, Inc. | | | 1,399 | | | | 126,610 | |
Strategic Education, Inc. | | | 850 | | | | 64,651 | |
Total Consumer, Non-cyclical | | | | | | | 2,184,478 | |
| | | | | | | | | |
Basic Materials - 4.8% |
Commercial Metals Co. | | | 16,069 | | | | 493,640 | |
Steel Dynamics, Inc. | | | 3,237 | | | | 192,925 | |
Reliance Steel & Aluminum Co. | | | 1,208 | | | | 182,287 | |
United States Steel Corp. | | | 6,301 | | | | 151,224 | |
Minerals Technologies, Inc. | | | 1,573 | | | | 123,748 | |
Total Basic Materials | | | | | | | 1,143,824 | |
| | | | | | | | | |
Technology - 3.8% |
Xerox Holdings Corp. | | | 17,560 | | | | 412,484 | |
NCR Corp.* | | | 4,790 | | | | 218,472 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
S&P MIDCAP 400® PURE VALUE FUND | |
| | Shares | | | Value | |
NetScout Systems, Inc.* | | | 5,764 | | | $ | 164,505 | |
KBR, Inc. | | | 3,080 | | | | 117,502 | |
Total Technology | | | | | | | 912,963 | |
| | | | | | | | | |
Communications - 3.3% |
Telephone & Data Systems, Inc. | | | 23,605 | | | | 534,889 | |
Viasat, Inc.* | | | 5,040 | | | | 251,194 | |
Total Communications | | | | | | | 786,083 | |
| | | | | | | | | |
Energy - 2.2% |
HollyFrontier Corp. | | | 16,310 | | | | 536,599 | |
| | | | | | | | | |
Utilities - 1.4% |
Southwest Gas Holdings, Inc. | | | 1,986 | | | | 131,453 | |
UGI Corp. | | | 2,581 | | | | 119,526 | |
ALLETE, Inc. | | | 1,310 | | | | 91,674 | |
Total Utilities | | | | | | | 342,653 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $17,946,058) | | | | | | | 23,920,344 | |
| | | | | | | | | |
| | Face
Amount | | | | |
REPURCHASE AGREEMENTS††,1 - 0.5% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 62,559 | | | | 62,559 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 24,629 | | | | 24,629 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 24,146 | | | | 24,146 | |
Total Repurchase Agreements | | | | |
(Cost $111,334) | | | | | | | 111,334 | |
| | | | | | | | | |
Total Investments - 99.9% | | | | |
(Cost $18,057,392) | | $ | 24,031,678 | |
Other Assets & Liabilities, net - 0.1% | | | 19,146 | |
Total Net Assets - 100.0% | | $ | 24,050,824 | |
* | 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 6. |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 23,920,344 | | | $ | — | | | $ | — | | | $ | 23,920,344 | |
Repurchase Agreements | | | — | | | | 111,334 | | | | — | | | | 111,334 | |
Total Assets | | $ | 23,920,344 | | | $ | 111,334 | | | $ | — | | | $ | 24,031,678 | |
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, 2021 |
Assets: |
Investments, at value (cost $17,946,058) | | $ | 23,920,344 | |
Repurchase agreements, at value (cost $111,334) | | | 111,334 | |
Receivables: |
Securities sold | | | 141,929 | |
Dividends | | | 26,140 | |
Total assets | | | 24,199,747 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 91,448 | |
Management fees | | | 15,567 | |
Professional fees | | | 12,973 | |
Transfer agent and administrative fees | | | 5,584 | |
Investor service fees | | | 5,189 | |
Portfolio accounting fees | | | 2,076 | |
Trustees’ fees* | | | 205 | |
Miscellaneous | | | 15,881 | |
Total liabilities | | | 148,923 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 24,050,824 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 18,651,521 | |
Total distributable earnings (loss) | | | 5,399,303 | |
Net assets | | $ | 24,050,824 | |
Capital shares outstanding | | | 445,657 | |
Net asset value per share | | $ | 53.97 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends | | $ | 218,146 | |
Interest | | | 12 | |
Income from securities lending, net | | | 1,444 | |
Total investment income | | | 219,602 | |
| | | | | |
Expenses: |
Management fees | | | 80,253 | |
Investor service fees | | | 26,751 | |
Transfer agent and administrative fees | | | 33,964 | |
Professional fees | | | 14,505 | |
Portfolio accounting fees | | | 10,700 | |
Trustees’ fees* | | | 1,597 | |
Custodian fees | | | 1,464 | |
Miscellaneous | | | 2,057 | |
Total expenses | | | 171,291 | |
Net investment income | | | 48,311 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 152,530 | |
Net realized gain | | | 152,530 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 3,606,181 | |
Net change in unrealized appreciation (depreciation) | | | 3,606,181 | |
Net realized and unrealized gain | | | 3,758,711 | |
Net increase in net assets resulting from operations | | $ | 3,807,022 | |
* | 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 |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 48,311 | | | $ | 22,361 | |
Net realized gain on investments | | | 152,530 | | | | 101,276 | |
Net change in unrealized appreciation (depreciation) on investments | | | 3,606,181 | | | | 1,081,423 | |
Net increase in net assets resulting from operations | | | 3,807,022 | | | | 1,205,060 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (307,126 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 24,148,815 | | | | 24,813,296 | |
Distributions reinvested | | | — | | | | 307,126 | |
Cost of shares redeemed | | | (20,273,190 | ) | | | (19,068,103 | ) |
Net increase from capital share transactions | | | 3,875,625 | | | | 6,052,319 | |
Net increase in net assets | | | 7,682,647 | | | | 6,950,253 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 16,368,177 | | | | 9,417,924 | |
End of period | | $ | 24,050,824 | | | $ | 16,368,177 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 468,908 | | | | 687,958 | |
Shares issued from reinvestment of distributions | | | — | | | | 9,769 | |
Shares redeemed | | | (401,827 | ) | | | (542,587 | ) |
Net increase in shares | | | 67,081 | | | | 155,140 | |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE VALUE FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 43.24 | | | $ | 42.15 | | | $ | 34.42 | | | $ | 49.79 | | | $ | 54.35 | | | $ | 42.30 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | .12 | | | | .09 | | | | .14 | | | | (.01 | ) | | | (.05 | ) | | | (.06 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 10.61 | | | | 2.49 | | | | 7.59 | | | | (7.95 | ) | | | 6.13 | | | | 12.41 | |
Total from investment operations | | | 10.73 | | | | 2.58 | | | | 7.73 | | | | (7.96 | ) | | | 6.08 | | | | 12.35 | |
Less distributions from: |
Net investment income | | | — | | | | (.15 | ) | | | — | | | | — | | | | — | | | | (.30 | ) |
Net realized gains | | | — | | | | (1.34 | ) | | | — | | | | (7.41 | ) | | | (10.64 | ) | | | — | |
Total distributions | | | — | | | | (1.49 | ) | | | — | | | | (7.41 | ) | | | (10.64 | ) | | | (.30 | ) |
Net asset value, end of period | | $ | 53.97 | | | $ | 43.24 | | | $ | 42.15 | | | $ | 34.42 | | | $ | 49.79 | | | $ | 54.35 | |
|
Total Returnc | | | 24.81 | % | | | 7.42 | % | | | 22.46 | % | | | (18.98 | %) | | | 13.15 | % | | | 28.89 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 24,051 | | | $ | 16,368 | | | $ | 9,418 | | | $ | 8,985 | | | $ | 17,415 | | | $ | 30,207 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.45 | % | | | 0.27 | % | | | 0.35 | % | | | (0.03 | %) | | | (0.10 | %) | | | (0.07 | %) |
Total expenses | | | 1.60 | % | | | 1.72 | % | | | 1.73 | % | | | 1.62 | % | | | 1.61 | % | | | 1.56 | % |
Portfolio turnover rate | | | 83 | % | | | 320 | % | | | 188 | % | | | 145 | % | | | 144 | % | | | 282 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | Share split — Per share amounts for the year ended December 31, 2016 have been restated to reflect a 2:1 share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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) |
Vista Outdoor, Inc. | 2.4% |
Fulgent Genetics, Inc. | 2.4% |
Mr Cooper Group, Inc. | 1.9% |
Bonanza Creek Energy, Inc. | 1.9% |
MarineMax, Inc. | 1.9% |
Celsius Holdings, Inc. | 1.8% |
Big Lots, Inc. | 1.8% |
Hibbett, Inc. | 1.8% |
Community Health Systems, Inc. | 1.8% |
Medifast, Inc. | 1.7% |
Top Ten Total | 19.4% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P SmallCap 600® Pure Growth Fund | 17.12% | 60.09% | 13.49% | 10.85% |
S&P SmallCap 600 Pure Growth Index | 18.16% | 63.40% | 15.62% | 12.87% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
S&P SMALLCAP 600® PURE GROWTH FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Consumer, Non-cyclical - 30.6% |
Fulgent Genetics, Inc.*,1 | | | 4,942 | | | $ | 455,801 | |
Celsius Holdings, Inc.* | | | 4,560 | | | | 346,971 | |
Community Health Systems, Inc.* | | | 21,700 | | | | 335,048 | |
Medifast, Inc. | | | 1,141 | | | | 322,880 | |
Alarm.com Holdings, Inc.* | | | 2,621 | | | | 221,999 | |
Joint Corp.* | | | 2,620 | | | | 219,870 | |
Meridian Bioscience, Inc.* | | | 8,780 | | | | 194,740 | |
Corcept Therapeutics, Inc.* | | | 8,566 | | | | 188,452 | |
Zynex, Inc.*,1 | | | 11,402 | | | | 177,073 | |
Rent-A-Center, Inc. | | | 3,109 | | | | 164,995 | |
Coherus Biosciences, Inc.* | | | 11,920 | | | | 164,854 | |
Collegium Pharmaceutical, Inc.* | | | 6,800 | | | | 160,752 | |
Avanos Medical, Inc.* | | | 4,400 | | | | 160,028 | |
Merit Medical Systems, Inc.* | | | 2,450 | | | | 158,417 | |
Supernus Pharmaceuticals, Inc.* | | | 4,980 | | | | 153,334 | |
Innoviva, Inc.* | | | 11,398 | | | | 152,847 | |
National Beverage Corp. | | | 3,140 | | | | 148,302 | |
B&G Foods, Inc.1 | | | 4,490 | | | | 147,272 | |
Ensign Group, Inc. | | | 1,670 | | | | 144,739 | |
NeoGenomics, Inc.* | | | 3,110 | | | | 140,478 | |
Green Dot Corp. — Class A* | | | 2,980 | | | | 139,613 | |
Pennant Group, Inc.* | | | 3,276 | | | | 133,988 | |
Pacira BioSciences, Inc.* | | | 2,160 | | | | 131,069 | |
ModivCare, Inc.* | | | 770 | | | | 130,954 | |
Vericel Corp.* | | | 2,480 | | | | 130,200 | |
Arlo Technologies, Inc.* | | | 14,180 | | | | 95,998 | |
Xencor, Inc.* | | | 2,700 | | | | 93,123 | |
REGENXBIO, Inc.* | | | 2,262 | | | | 87,879 | |
Luminex Corp. | | | 2,290 | | | | 84,272 | |
Omnicell, Inc.* | | | 550 | | | | 83,298 | |
Cytokinetics, Inc.*,1 | | | 3,560 | | | | 70,452 | |
EVERTEC, Inc. | | | 1,535 | | | | 67,003 | |
LeMaitre Vascular, Inc. | | | 1,094 | | | | 66,756 | |
Heska Corp.* | | | 280 | | | | 64,324 | |
Addus HomeCare Corp.* | | | 657 | | | | 57,317 | |
WD-40 Co. | | | 210 | | | | 53,821 | |
Tactile Systems Technology, Inc.* | | | 1,020 | | | | 53,040 | |
Forrester Research, Inc.* | | | 1,130 | | | | 51,754 | |
Total Consumer, Non-cyclical | | | | | | | 5,753,713 | |
| | | | | | | | | |
Consumer, Cyclical - 18.1% |
Vista Outdoor, Inc.* | | | 9,950 | | | | 460,486 | |
MarineMax, Inc.* | | | 7,290 | | | | 355,315 | |
Big Lots, Inc. | | | 5,197 | | | | 343,054 | |
Hibbett, Inc. | | | 3,760 | | | | 337,009 | |
Century Communities, Inc. | | | 4,390 | | | | 292,111 | |
LGI Homes, Inc.* | | | 1,621 | | | | 262,505 | |
iRobot Corp.* | | | 2,750 | | | | 256,822 | |
Sleep Number Corp.* | | | 2,089 | | | | 229,686 | |
Installed Building Products, Inc. | | | 1,540 | | | | 188,434 | |
Meritage Homes Corp.* | | | 1,510 | | | | 142,061 | |
Lumber Liquidators Holdings, Inc.* | | | 5,340 | | | | 112,674 | |
Dine Brands Global, Inc.* | | | 1,220 | | | | 108,885 | |
PetMed Express, Inc.1 | | | 2,390 | | | | 76,121 | |
LCI Industries | | | 510 | | | | 67,024 | |
Dorman Products, Inc.* | | | 620 | | | | 64,275 | |
Shake Shack, Inc. — Class A* | | | 584 | | | | 62,500 | |
Tupperware Brands Corp.* | | | 1,730 | | | | 41,087 | |
Total Consumer, Cyclical | | | | | | | 3,400,049 | |
| | | | | | | | | |
Financial - 16.9% |
Mr Cooper Group, Inc.* | | | 10,930 | | | | 361,346 | |
Innovative Industrial Properties, Inc. REIT | | | 1,473 | | | | 281,372 | |
St. Joe Co. | | | 5,742 | | | | 256,151 | |
Trupanion, Inc.* | | | 2,170 | | | | 249,767 | |
Safehold, Inc. REIT | | | 2,814 | | | | 220,899 | |
Brightsphere Investment Group, Inc. | | | 8,390 | | | | 196,578 | |
StoneX Group, Inc.* | | | 3,224 | | | | 195,600 | |
HCI Group, Inc.1 | | | 1,740 | | | | 173,008 | |
Virtus Investment Partners, Inc. | | | 604 | | | | 167,773 | |
Axos Financial, Inc.* | | | 3,200 | | | | 148,448 | |
Palomar Holdings, Inc.* | | | 1,910 | | | | 144,129 | |
Triumph Bancorp, Inc.* | | | 1,890 | | | | 140,333 | |
ServisFirst Bancshares, Inc. | | | 1,930 | | | | 131,201 | |
Essential Properties Realty Trust, Inc. REIT | | | 4,204 | | | | 113,676 | |
Walker & Dunlop, Inc. | | | 1,060 | | | | 110,643 | |
eHealth, Inc.* | | | 1,400 | | | | 81,760 | |
PRA Group, Inc.* | | | 2,090 | | | | 80,402 | |
NMI Holdings, Inc. — Class A* | | | 3,244 | | | | 72,925 | |
Community Healthcare Trust, Inc. REIT | | | 1,243 | | | | 58,993 | |
Total Financial | | | | | | | 3,185,004 | |
| | | | | | | | | |
Technology - 11.8% |
MicroStrategy, Inc. — Class A*,1 | | | 443 | | | | 294,374 | |
SPS Commerce, Inc.* | | | 1,681 | | | | 167,848 | |
Simulations Plus, Inc. | | | 2,910 | | | | 159,788 | |
TTEC Holdings, Inc. | | | 1,521 | | | | 156,800 | |
Ultra Clean Holdings, Inc.* | | | 2,547 | | | | 136,825 | |
Onto Innovation, Inc.* | | | 1,870 | | | | 136,585 | |
LivePerson, Inc.* | | | 1,910 | | | | 120,788 | |
FormFactor, Inc.* | | | 3,026 | | | | 110,328 | |
Agilysys, Inc.* | | | 1,831 | | | | 104,129 | |
Power Integrations, Inc. | | | 1,246 | | | | 102,247 | |
Diodes, Inc.* | | | 1,225 | | | | 97,718 | |
Ebix, Inc. | | | 2,850 | | | | 96,615 | |
CEVA, Inc.* | | | 2,000 | | | | 94,600 | |
Allscripts Healthcare Solutions, Inc.* | | | 5,010 | | | | 92,735 | |
ExlService Holdings, Inc.* | | | 811 | | | | 86,177 | |
8x8, Inc.* | | | 2,697 | | | | 74,869 | |
Tabula Rasa HealthCare, Inc.* | | | 1,410 | | | | 70,500 | |
Cohu, Inc.* | | | 1,870 | | | | 68,797 | |
OneSpan, Inc.* | | | 2,220 | | | | 56,698 | |
Total Technology | | | | | | | 2,228,421 | |
| | | | | | | | | |
Industrial - 11.5% |
Chart Industries, Inc.* | | | 1,530 | | | | 223,870 | |
Vicor Corp.* | | | 1,754 | | | | 185,468 | |
Advanced Energy Industries, Inc. | | | 1,624 | | | | 183,041 | |
Comfort Systems USA, Inc. | | | 2,280 | | | | 179,641 | |
Saia, Inc.* | | | 835 | | | | 174,924 | |
AeroVironment, Inc.* | | | 1,350 | | | | 135,203 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
S&P SMALLCAP 600® PURE GROWTH FUND | |
| | Shares | | | Value | |
Patrick Industries, Inc. | | | 1,822 | | | $ | 133,006 | |
PGT Innovations, Inc.* | | | 5,310 | | | | 123,351 | |
Matson, Inc. | | | 1,490 | | | | 95,360 | |
AAON, Inc. | | | 1,480 | | | | 92,633 | |
Alamo Group, Inc. | | | 540 | | | | 82,447 | |
Forward Air Corp. | | | 913 | | | | 81,942 | |
Exponent, Inc. | | | 830 | | | | 74,044 | |
Federal Signal Corp. | | | 1,839 | | | | 73,983 | |
Gibraltar Industries, Inc.* | | | 930 | | | | 70,969 | |
Marten Transport Ltd. | | | 4,280 | | | | 70,577 | |
Proto Labs, Inc.* | | | 720 | | | | 66,096 | |
Franklin Electric Company, Inc. | | | 761 | | | | 61,352 | |
Badger Meter, Inc. | | | 620 | | | | 60,834 | |
Total Industrial | | | | | | | 2,168,741 | |
| | | | | | | | | |
Communications - 5.7% |
TechTarget, Inc.* | | | 3,159 | | | | 244,791 | |
Stamps.com, Inc.* | | | 1,008 | | | | 201,893 | |
Shutterstock, Inc. | | | 1,701 | | | | 166,987 | |
Perficient, Inc.* | | | 1,384 | | | | 111,301 | |
Vonage Holdings Corp.* | | | 7,270 | | | | 104,761 | |
Cincinnati Bell, Inc.* | | | 6,000 | | | | 92,520 | |
QuinStreet, Inc.* | | | 4,529 | | | | 84,149 | |
Viavi Solutions, Inc.* | | | 3,487 | | | | 61,580 | |
Total Communications | | | | | | | 1,067,982 | |
| | | | | | | | | |
Energy - 3.7% |
Bonanza Creek Energy, Inc. | | | 7,550 | | | | 355,378 | |
Renewable Energy Group, Inc.* | | | 4,199 | | | | 261,766 | |
DMC Global, Inc.* | | | 1,238 | | | | 69,588 | |
Total Energy | | | | | | | 686,732 | |
| | | | | | | | | |
Basic Materials - 1.2% |
Quaker Chemical Corp. | | | 510 | | | | 120,967 | |
Livent Corp.* | | | 5,763 | | | | 111,571 | |
Total Basic Materials | | | | | | | 232,538 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $13,640,442) | | | | | | | 18,723,180 | |
| | Face
Amount | | | | |
REPURCHASE AGREEMENTS††,2 - 0.7% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 69,730 | | | | 69,730 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 27,453 | | | | 27,453 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 26,914 | | | | 26,914 | |
Total Repurchase Agreements | | | | |
(Cost $124,097) | | | | | | | 124,097 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 5.4% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 1,019,454 | | | | 1,019,454 | |
Total Securities Lending Collateral | | | | |
(Cost $1,019,454) | | | | | | | 1,019,454 | |
| | | | | | | | | |
Total Investments - 105.6% | | | | |
(Cost $14,783,993) | | $ | 19,866,731 | |
Other Assets & Liabilities, net - (5.6)% | | | (1,046,419 | ) |
Total Net Assets - 100.0% | | $ | 18,820,312 | |
* | 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 on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
S&P SMALLCAP 600® PURE GROWTH FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 18,723,180 | | | $ | — | | | $ | — | | | $ | 18,723,180 | |
Repurchase Agreements | | | — | | | | 124,097 | | | | — | | | | 124,097 | |
Securities Lending Collateral | | | 1,019,454 | | | | — | | | | — | | | | 1,019,454 | |
Total Assets | | $ | 19,742,634 | | | $ | 124,097 | | | $ | — | | | $ | 19,866,731 | |
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, 2021 |
Assets: |
Investments, at value - including $976,851 of securities loaned (cost $14,659,896) | | $ | 19,742,634 | |
Repurchase agreements, at value (cost $124,097) | | | 124,097 | |
Receivables: |
Fund shares sold | | | 218,113 | |
Dividends | | | 9,142 | |
Securities lending income | | | 318 | |
Total assets | | | 20,094,304 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 1,019,454 | |
Securities purchased | | | 209,052 | |
Management fees | | | 10,928 | |
Transfer agent and administrative fees | | | 3,920 | |
Investor service fees | | | 3,643 | |
Portfolio accounting fees | | | 1,457 | |
Fund shares redeemed | | | 915 | |
Trustees’ fees* | | | 174 | |
Miscellaneous | | | 24,449 | |
Total liabilities | | | 1,273,992 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 18,820,312 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 14,046,085 | |
Total distributable earnings (loss) | | | 4,774,227 | |
Net assets | | $ | 18,820,312 | |
Capital shares outstanding | | | 264,292 | |
Net asset value per share | | $ | 71.21 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends | | $ | 38,852 | |
Interest | | | 14 | |
Income from securities lending, net | | | 4,178 | |
Total investment income | | | 43,044 | |
| | | | | |
Expenses: |
Management fees | | | 71,192 | |
Investor service fees | | | 23,731 | |
Transfer agent and administrative fees | | | 30,163 | |
Professional fees | | | 13,222 | |
Portfolio accounting fees | | | 9,492 | |
Trustees’ fees* | | | 1,396 | |
Custodian fees | | | 1,299 | |
Miscellaneous | | | 1,997 | |
Total expenses | | | 152,492 | |
Net investment loss | | | (109,448 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 223,641 | |
Net realized gain | | | 223,641 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 2,417,922 | |
Net change in unrealized appreciation (depreciation) | | | 2,417,922 | |
Net realized and unrealized gain | | | 2,641,563 | |
Net increase in net assets resulting from operations | | $ | 2,532,115 | |
* | 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 |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (109,448 | ) | | $ | (88,147 | ) |
Net realized gain on investments | | | 223,641 | | | | 167,890 | |
Net change in unrealized appreciation (depreciation) on investments | | | 2,417,922 | | | | 1,703,710 | |
Net increase in net assets resulting from operations | | | 2,532,115 | | | | 1,783,453 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (448,156 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 22,943,704 | | | | 19,287,441 | |
Distributions reinvested | | | — | | | | 448,156 | |
Cost of shares redeemed | | | (22,669,644 | ) | | | (17,379,693 | ) |
Net increase from capital share transactions | | | 274,060 | | | | 2,355,904 | |
Net increase in net assets | | | 2,806,175 | | | | 3,691,201 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 16,014,137 | | | | 12,322,936 | |
End of period | | $ | 18,820,312 | | | $ | 16,014,137 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 327,643 | | | | 387,331 | |
Shares issued from reinvestment of distributions | | | — | | | | 9,650 | |
Shares redeemed | | | (326,761 | ) | | | (356,659 | ) |
Net increase in shares | | | 882 | | | | 40,322 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
S&P SMALLCAP 600® PURE GROWTH FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 60.80 | | | $ | 55.24 | | | $ | 49.07 | | | $ | 54.95 | | | $ | 49.86 | | | $ | 42.01 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.40 | ) | | | (.45 | ) | | | (.36 | ) | | | (.60 | ) | | | (.47 | ) | | | (.14 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 10.81 | | | | 8.42 | | | | 6.53 | | | | (4.12 | ) | | | 8.25 | | | | 7.99 | |
Total from investment operations | | | 10.41 | | | | 7.97 | | | | 6.17 | | | | (4.72 | ) | | | 7.78 | | | | 7.85 | |
Less distributions from: |
Net realized gains | | | — | | | | (2.41 | ) | | | — | | | | (1.16 | ) | | | (2.69 | ) | | | — | |
Total distributions | | | — | | | | (2.41 | ) | | | — | | | | (1.16 | ) | | | (2.69 | ) | | | — | |
Net asset value, end of period | | $ | 71.21 | | | $ | 60.80 | | | $ | 55.24 | | | $ | 49.07 | | | $ | 54.95 | | | $ | 49.86 | |
|
Total Returnc | | | 17.12 | % | | | 15.76 | % | | | 12.57 | % | | | (9.03 | %) | | | 16.08 | % | | | 18.69 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 18,820 | | | $ | 16,014 | | | $ | 12,323 | | | $ | 17,006 | | | $ | 20,438 | | | $ | 20,844 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.15 | %) | | | (0.93 | %) | | | (0.69 | %) | | | (1.01 | %) | | | (0.90 | %) | | | (0.32 | %) |
Total expenses | | | 1.61 | % | | | 1.72 | % | | | 1.73 | % | | | 1.63 | % | | | 1.61 | % | | | 1.56 | % |
Portfolio turnover rate | | | 109 | % | | | 258 | % | | | 190 | % | | | 313 | % | | | 280 | % | | | 475 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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) |
Veritiv Corp. | 2.5% |
CONSOL Energy, Inc. | 2.3% |
Domtar Corp. | 1.7% |
Aaron’s Company, Inc. | 1.6% |
Conn’s, Inc. | 1.6% |
Olympic Steel, Inc. | 1.4% |
Genworth Financial, Inc. — Class A | 1.4% |
Green Plains, Inc. | 1.4% |
Consolidated Communications Holdings, Inc. | 1.2% |
CoreCivic, Inc. | 1.2% |
Top Ten Total | 16.3% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P SmallCap 600® Pure Value Fund | 41.98% | 98.99% | 10.17% | 8.67% |
S&P SmallCap 600 Pure Value Index | 43.45% | 103.52% | 12.19% | 10.50% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
S&P SMALLCAP 600® PURE VALUE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Financial - 24.0% |
Genworth Financial, Inc. — Class A* | | | 95,830 | | | $ | 373,737 | |
Customers Bancorp, Inc.* | | | 6,144 | | | | 239,555 | |
Realogy Holdings Corp.* | | | 11,402 | | | | 207,744 | |
EZCORP, Inc. — Class A* | | | 31,344 | | | | 189,004 | |
Boston Private Financial Holdings, Inc. | | | 12,090 | | | | 178,327 | |
Stewart Information Services Corp. | | | 3,121 | | | | 176,929 | |
Hanmi Financial Corp. | | | 9,050 | | | | 172,493 | |
American Equity Investment Life Holding Co. | | | 4,971 | | | | 160,663 | |
Dime Community Bancshares, Inc. | | | 4,740 | | | | 159,359 | |
Encore Capital Group, Inc.* | | | 3,345 | | | | 158,520 | |
Employers Holdings, Inc. | | | 3,680 | | | | 157,504 | |
Universal Insurance Holdings, Inc. | | | 11,050 | | | | 153,374 | |
Investors Bancorp, Inc. | | | 9,861 | | | | 140,618 | |
Enova International, Inc.* | | | 4,020 | | | | 137,524 | |
Assured Guaranty Ltd. | | | 2,802 | | | | 133,039 | |
United Insurance Holdings Corp. | | | 22,820 | | | | 130,074 | |
Simmons First National Corp. — Class A | | | 4,278 | | | | 125,517 | |
Service Properties Trust REIT | | | 9,670 | | | | 121,842 | |
United Fire Group, Inc. | | | 4,387 | | | | 121,652 | |
RPT Realty REIT | | | 9,350 | | | | 121,363 | |
First Financial Bancorp | | | 5,120 | | | | 120,986 | |
Central Pacific Financial Corp. | | | 4,600 | | | | 119,876 | |
Hope Bancorp, Inc. | | | 8,449 | | | | 119,807 | |
Office Properties Income Trust REIT | | | 4,080 | | | | 119,585 | |
SiriusPoint Ltd.* | | | 11,660 | | | | 117,416 | |
GEO Group, Inc. REIT1 | | | 16,341 | | | | 116,348 | |
First Midwest Bancorp, Inc. | | | 5,840 | | | | 115,807 | |
Provident Financial Services, Inc. | | | 4,870 | | | | 111,474 | |
Northfield Bancorp, Inc. | | | 6,300 | | | | 103,320 | |
First BanCorp | | | 8,450 | | | | 100,724 | |
Ready Capital Corp. REIT | | | 6,252 | | | | 99,219 | |
First Commonwealth Financial Corp. | | | 6,430 | | | | 90,470 | |
Ameris Bancorp | | | 1,756 | | | | 88,906 | |
PennyMac Mortgage Investment Trust REIT | | | 4,220 | | | | 88,873 | |
OFG Bancorp | | | 3,720 | | | | 82,286 | |
Renasant Corp. | | | 2,047 | | | | 81,880 | |
WSFS Financial Corp. | | | 1,750 | | | | 81,533 | |
Franklin Street Properties Corp. REIT | | | 15,360 | | | | 80,794 | |
Veritex Holdings, Inc. | | | 2,280 | | | | 80,735 | |
Diversified Healthcare Trust REIT | | | 19,303 | | | | 80,686 | |
S&T Bancorp, Inc. | | | 2,570 | | | | 80,441 | |
Banner Corp. | | | 1,480 | | | | 80,231 | |
Horace Mann Educators Corp. | | | 1,959 | | | | 73,306 | |
BankUnited, Inc. | | | 1,676 | | | | 71,548 | |
Allegiance Bancshares, Inc. | | | 1,860 | | | | 71,498 | |
Acadia Realty Trust REIT | | | 3,230 | | | | 70,931 | |
Eagle Bancorp, Inc. | | | 1,260 | | | | 70,661 | |
Apollo Commercial Real Estate Finance, Inc. REIT | | | 4,420 | | | | 70,499 | |
Old National Bancorp | | | 3,668 | | | | 64,593 | |
HomeStreet, Inc. | | | 1,580 | | | | 64,369 | |
Independent Bank Group, Inc. | | | 760 | | | | 56,225 | |
Safety Insurance Group, Inc. | | | 700 | | | | 54,796 | |
First Bancorp | | | 1,300 | | | | 53,183 | |
Whitestone REIT — Class B | | | 6,000 | | | | 49,500 | |
DiamondRock Hospitality Co. REIT* | | | 5,020 | | | | 48,694 | |
Total Financial | | | | | | | 6,340,038 | |
| | | | | | | | | |
Consumer, Cyclical - 23.2% |
Veritiv Corp.* | | | 10,956 | | | | 672,918 | |
Conn’s, Inc.* | | | 16,418 | | | | 418,659 | |
Signet Jewelers Ltd.* | | | 3,657 | | | | 295,449 | |
G-III Apparel Group Ltd.* | | | 8,956 | | | | 294,294 | |
Cato Corp. — Class A | | | 17,338 | | | | 292,492 | |
ODP Corp.* | | | 5,569 | | | | 267,368 | |
Chico’s FAS, Inc.* | | | 38,716 | | | | 254,751 | |
Daktronics, Inc.* | | | 36,675 | | | | 241,688 | |
M/I Homes, Inc.* | | | 3,880 | | | | 227,640 | |
Vera Bradley, Inc.* | | | 18,220 | | | | 225,746 | |
Abercrombie & Fitch Co. — Class A* | | | 4,720 | | | | 219,150 | |
Genesco, Inc.* | | | 3,383 | | | | 215,429 | |
Bed Bath & Beyond, Inc.* | | | 5,964 | | | | 198,542 | |
Group 1 Automotive, Inc. | | | 1,270 | | | | 196,126 | |
GMS, Inc.* | | | 3,920 | | | | 188,709 | |
Resideo Technologies, Inc.* | | | 5,771 | | | | 173,130 | |
Core-Mark Holding Company, Inc. | | | 3,706 | | | | 166,807 | |
Shoe Carnival, Inc. | | | 2,214 | | | | 158,500 | |
Unifi, Inc.* | | | 5,979 | | | | 145,649 | |
Asbury Automotive Group, Inc.* | | | 840 | | | | 143,951 | |
ScanSource, Inc.* | | | 5,086 | | | | 143,069 | |
Barnes & Noble Education, Inc.* | | | 19,176 | | | | 138,259 | |
Sally Beauty Holdings, Inc.* | | | 6,260 | | | | 138,158 | |
Interface, Inc. — Class A | | | 7,440 | | | | 113,832 | |
PC Connection, Inc. | | | 2,360 | | | | 109,197 | |
Sonic Automotive, Inc. — Class A | | | 2,195 | | | | 98,204 | |
SkyWest, Inc.* | | | 2,140 | | | | 92,170 | |
Marcus Corp.*,1 | | | 4,120 | | | | 87,385 | |
Ethan Allen Interiors, Inc. | | | 2,760 | | | | 76,176 | |
HNI Corp. | | | 1,620 | | | | 71,231 | |
Motorcar Parts of America, Inc.* | | | 2,880 | | | | 64,627 | |
Total Consumer, Cyclical | | | | | | | 6,129,306 | |
| | | | | | | | | |
Industrial - 16.3% |
Olympic Steel, Inc. | | | 12,809 | | | | 376,457 | |
US Concrete, Inc.* | | | 3,815 | | | | 281,547 | |
Greenbrier Companies, Inc. | | | 6,155 | | | | 268,235 | |
Granite Construction, Inc. | | | 5,939 | | | | 246,647 | |
ArcBest Corp. | | | 3,575 | | | | 208,029 | |
Sanmina Corp.* | | | 5,210 | | | | 202,982 | |
DXP Enterprises, Inc.* | | | 6,001 | | | | 199,833 | |
Benchmark Electronics, Inc. | | | 7,020 | | | | 199,789 | |
O-I Glass, Inc.* | | | 11,630 | | | | 189,918 | |
Griffon Corp. | | | 7,350 | | | | 188,380 | |
Bel Fuse, Inc. — Class B | | | 12,687 | | | | 182,693 | |
Boise Cascade Co. | | | 2,886 | | | | 168,398 | |
Apogee Enterprises, Inc. | | | 4,130 | | | | 168,215 | |
Atlas Air Worldwide Holdings, Inc.* | | | 2,449 | | | | 166,802 | |
Haynes International, Inc. | | | 4,644 | | | | 164,305 | |
Powell Industries, Inc. | | | 5,203 | | | | 161,033 | |
TimkenSteel Corp.* | | | 11,308 | | | | 160,008 | |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
S&P SMALLCAP 600® PURE VALUE FUND | |
| | Shares | | | Value | |
Comtech Telecommunications Corp. | | | 5,990 | | | $ | 144,718 | |
TTM Technologies, Inc.* | | | 9,806 | | | | 140,226 | |
AAR Corp.* | | | 3,550 | | | | 137,562 | |
Hub Group, Inc. — Class A* | | | 1,654 | | | | 109,131 | |
Encore Wire Corp. | | | 1,180 | | | | 89,432 | |
Trinseo S.A. | | | 1,216 | | | | 72,765 | |
Matthews International Corp. — Class A | | | 2,020 | | | | 72,639 | |
Tredegar Corp. | | | 1,870 | | | | 25,750 | |
Total Industrial | | | | | | | 4,325,494 | |
| | | | | | | | | |
Consumer, Non-cyclical - 12.5% |
Aaron’s Company, Inc. | | | 13,280 | | | | 424,827 | |
CoreCivic, Inc.* | | | 29,198 | | | | 305,703 | |
Fresh Del Monte Produce, Inc. | | | 8,606 | | | | 282,965 | |
Andersons, Inc. | | | 9,094 | | | | 277,640 | |
Seneca Foods Corp. — Class A* | | | 5,306 | | | | 271,030 | |
SpartanNash Co. | | | 11,700 | | | | 225,927 | |
Kelly Services, Inc. — Class A* | | | 8,244 | | | | 197,609 | |
Magellan Health, Inc.* | | | 2,039 | | | | 192,074 | |
Universal Corp. | | | 2,987 | | | | 170,170 | |
Cross Country Healthcare, Inc.* | | | 9,890 | | | | 163,284 | |
Edgewell Personal Care Co. | | | 3,200 | | | | 140,480 | |
Invacare Corp.* | | | 16,302 | | | | 131,557 | |
Resources Connection, Inc. | | | 8,940 | | | | 128,378 | |
ABM Industries, Inc. | | | 2,729 | | | | 121,031 | |
Deluxe Corp. | | | 2,150 | | | | 102,706 | |
TrueBlue, Inc.* | | | 3,518 | | | | 98,891 | |
Prestige Consumer Healthcare, Inc.* | | | 1,540 | | | | 80,234 | |
Total Consumer, Non-cyclical | | | | | | | 3,314,506 | |
| | | | | | | | | |
Energy - 12.4% |
CONSOL Energy, Inc.* | | | 32,664 | | | | 603,304 | |
Green Plains, Inc.* | | | 10,980 | | | | 369,148 | |
SunCoke Energy, Inc. | | | 41,322 | | | | 295,039 | |
SM Energy Co. | | | 11,017 | | | | 271,349 | |
Callon Petroleum Co.*,1 | | | 4,420 | | | | 254,990 | |
Helix Energy Solutions Group, Inc.* | | | 35,520 | | | | 202,819 | |
ProPetro Holding Corp.* | | | 21,441 | | | | 196,400 | |
Talos Energy, Inc.* | | | 12,160 | | | | 190,182 | |
Matrix Service Co.* | | | 16,292 | | | | 171,066 | |
US Silica Holdings, Inc.* | | | 10,364 | | | | 119,808 | |
PBF Energy, Inc. — Class A* | | | 7,770 | | | | 118,881 | |
Penn Virginia Corp.* | | | 5,000 | | | | 118,050 | |
Nabors Industries Ltd.* | | | 915 | | | | 104,529 | |
Oil States International, Inc.* | | | 12,119 | | | | 95,134 | |
NOW, Inc.* | | | 8,435 | | | | 80,048 | |
Bristow Group, Inc.* | | | 2,211 | | | | 56,624 | |
Warrior Met Coal, Inc. | | | 2,574 | | | | 44,273 | |
Total Energy | | | | | | | 3,291,644 | |
| | | | | | | | | |
Basic Materials - 6.0% |
Domtar Corp.* | | | 8,068 | | | | 443,417 | |
AdvanSix, Inc.* | | | 7,466 | | | | 222,935 | |
Mercer International, Inc. | | | 13,940 | | | | 177,735 | |
Carpenter Technology Corp. | | | 4,380 | | | | 176,163 | |
Koppers Holdings, Inc.* | | | 4,890 | | | | 158,191 | |
Clearwater Paper Corp.* | | | 5,014 | | | | 145,256 | |
Rayonier Advanced Materials, Inc.* | | | 20,527 | | | | 137,326 | |
Allegheny Technologies, Inc.* | | | 4,336 | | | | 90,406 | |
Glatfelter Corp. | | | 2,800 | | | | 39,116 | |
Total Basic Materials | | | | | | | 1,590,545 | |
| | | | | | | | | |
Communications - 4.1% |
Consolidated Communications Holdings, Inc.* | | | 35,489 | | | | 311,948 | |
Scholastic Corp. | | | 6,022 | | | | 228,174 | |
EW Scripps Co. — Class A | | | 8,120 | | | | 165,567 | |
AMC Networks, Inc. — Class A* | | | 1,840 | | | | 122,912 | |
Gannett Company, Inc.* | | | 15,482 | | | | 84,996 | |
Spok Holdings, Inc. | | | 8,322 | | | | 80,058 | |
NETGEAR, Inc.* | | | 1,455 | | | | 55,756 | |
ePlus, Inc.* | | | 550 | | | | 47,679 | |
Total Communications | | | | | | | 1,097,090 | |
| | | | | | | | | |
Technology - 0.7% |
Insight Enterprises, Inc.* | | | 1,820 | | | | 182,018 | |
BM Technologies, Inc.* | | | 137 | | | | 1,704 | |
Total Technology | | | | | | | 183,722 | |
| | | | | | | | | |
Utilities - 0.3% |
Unitil Corp. | | | 1,350 | | | | 71,510 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $19,369,205) | | | | | | | 26,343,855 | |
| | | | | | | | | |
WARRANTS† - 0.0% |
Nabors Industries Ltd. | | | | | | | | |
Expiring 06/11/26* | | | 374 | | | | 3,740 | |
Total Warrants | | | | |
(Cost $0) | | | | | | | 3,740 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.5% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | $ | 78,242 | | | | 78,242 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 30,803 | | | | 30,803 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 30,200 | | | | 30,200 | |
Total Repurchase Agreements | | | | |
(Cost $139,245) | | | | | | | 139,245 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
S&P SMALLCAP 600® PURE VALUE FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,3 - 1.3% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%4 | | | 333,725 | | | $ | 333,725 | |
Total Securities Lending Collateral | | | | |
(Cost $333,725) | | | | | | | 333,725 | |
| | | | | | | | | |
Total Investments - 101.3% | | | | |
(Cost $19,842,175) | | $ | 26,820,565 | |
Other Assets & Liabilities, net - (1.3)% | | | (354,730 | ) |
Total Net Assets - 100.0% | | $ | 26,465,835 | |
* | 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 on loan at June 30, 2021 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 26,343,855 | | | $ | — | | | $ | — | | | $ | 26,343,855 | |
Warrants | | | 3,740 | | | | — | | | | — | | | | 3,740 | |
Repurchase Agreements | | | — | | | | 139,245 | | | | — | | | | 139,245 | |
Securities Lending Collateral | | | 333,725 | | | | — | | | | — | | | | 333,725 | |
Total Assets | | $ | 26,681,320 | | | $ | 139,245 | | | $ | — | | | $ | 26,820,565 | |
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, 2021 |
Assets: |
Investments, at value - including $333,423 of securities loaned (cost $19,702,930) | | $ | 26,681,320 | |
Repurchase agreements, at value (cost $139,245) | | | 139,245 | |
Receivables: |
Securities sold | | | 134,468 | |
Dividends | | | 14,098 | |
Securities lending income | | | 95 | |
Total assets | | | 26,969,226 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 333,725 | |
Fund shares redeemed | | | 114,802 | |
Management fees | | | 17,253 | |
Transfer agent and administrative fees | | | 6,188 | |
Investor service fees | | | 5,751 | |
Portfolio accounting fees | | | 2,300 | |
Trustees’ fees* | | | 163 | |
Miscellaneous | | | 23,209 | |
Total liabilities | | | 503,391 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 26,465,835 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 23,274,267 | |
Total distributable earnings (loss) | | | 3,191,568 | |
Net assets | | $ | 26,465,835 | |
Capital shares outstanding | | | 312,129 | |
Net asset value per share | | $ | 84.79 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends (net of foreign withholding tax of $190) | | $ | 122,278 | |
Interest | | | 14 | |
Income from securities lending, net | | | 452 | |
Total investment income | | | 122,744 | |
| | | | | |
Expenses: |
Management fees | | | 79,703 | |
Investor service fees | | | 26,568 | |
Transfer agent and administrative fees | | | 31,950 | |
Professional fees | | | 16,854 | |
Portfolio accounting fees | | | 10,627 | |
Custodian fees | | | 1,382 | |
Trustees’ fees* | | | 894 | |
Miscellaneous | | | 2,118 | |
Total expenses | | | 170,096 | |
Net investment loss | | | (47,352 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 235,070 | |
Net realized gain | | | 235,070 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 5,898,782 | |
Net change in unrealized appreciation (depreciation) | | | 5,898,782 | |
Net realized and unrealized gain | | | 6,133,852 | |
Net increase in net assets resulting from operations | | $ | 6,086,500 | |
* | 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 |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (47,352 | ) | | $ | (31,514 | ) |
Net realized gain (loss) on investments | | | 235,070 | | | | (703,672 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 5,898,782 | | | | (105,869 | ) |
Net increase (decrease) in net assets resulting from operations | | | 6,086,500 | | | | (841,055 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 49,699,691 | | | | 13,118,125 | |
Distributions reinvested | | | — | | | | — | |
Cost of shares redeemed | | | (37,450,808 | ) | | | (13,223,227 | ) |
Net increase (decrease) from capital share transactions | | | 12,248,883 | | | | (105,102 | ) |
Net increase (decrease) in net assets | | | 18,335,383 | | | | (946,157 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 8,130,452 | | | | 9,076,609 | |
End of period | | $ | 26,465,835 | | | $ | 8,130,452 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 675,666 | | | | 253,112 | |
Shares redeemed | | | (499,691 | ) | | | (259,881 | ) |
Net increase (decrease) in shares | | | 175,975 | | | | (6,769 | ) |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE VALUE FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016d | |
Per Share Data |
Net asset value, beginning of period | | $ | 59.72 | | | $ | 63.51 | | | $ | 52.81 | | | $ | 66.48 | | | $ | 69.13 | | | $ | 52.48 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.17 | ) | | | (.31 | ) | | | (.17 | ) | | | .08 | | | | (.23 | ) | | | (.45 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 25.24 | | | | (3.48 | ) | | | 11.06 | | | | (13.75 | ) | | | (.20 | ) | | | 17.10 | |
Total from investment operations | | | 25.07 | | | | (3.79 | ) | | | 10.89 | | | | (13.67 | ) | | | (.43 | ) | | | 16.65 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.19 | ) | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (2.22 | ) | | | — | |
Total distributions | | | — | | | | — | | | | (.19 | ) | | | — | | | | (2.22 | ) | | | — | |
Net asset value, end of period | | $ | 84.79 | | | $ | 59.72 | | | $ | 63.51 | | | $ | 52.81 | | | $ | 66.48 | | | $ | 69.13 | |
|
Total Returnc | | | 41.98 | % | | | (5.97 | %) | | | 20.68 | % | | | (20.58 | %) | | | (0.28 | %) | | | 31.74 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 26,466 | | | $ | 8,130 | | | $ | 9,077 | | | $ | 8,414 | | | $ | 17,748 | | | $ | 28,408 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.45 | %) | | | (0.64 | %) | | | (0.28 | %) | | | 0.12 | % | | | (0.35 | %) | | | (0.44 | %) |
Total expenses | | | 1.60 | % | | | 1.72 | % | | | 1.73 | % | | | 1.62 | % | | | 1.61 | % | | | 1.56 | % |
Portfolio turnover rate | | | 169 | % | | | 305 | % | | | 248 | % | | | 194 | % | | | 204 | % | | | 303 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | Share split — Per share amounts for the year ended December 31, 2016 have been restated to reflect a 2:1 share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 Ultra Short Duration Fund — Institutional Class | 21.1% |
Guggenheim Strategy Fund II | 21.0% |
Nestle S.A. ADR | 0.7% |
ASML Holding N.V. — Class G | 0.6% |
Roche Holding AG ADR | 0.5% |
Novartis AG ADR | 0.4% |
LVMH Moet Hennessy Louis Vuitton SE ADR | 0.4% |
AstraZeneca plc ADR | 0.3% |
SAP SE ADR | 0.3% |
Unilever plc ADR | 0.3% |
Top Ten Total | 45.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Country Diversification
Country | | % of Long-Term
Investments | |
United Kingdom | | | 28.5 | % |
France | | | 21.7 | % |
Switzerland | | | 20.0 | % |
Germany | | | 14.1 | % |
Netherlands | | | 7.1 | % |
Denmark | | | 2.7 | % |
Italy | | | 2.4 | % |
Other | | | 3.5 | % |
Total Long–Term Investments | | | 100.0 | % |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | June 30, 2021 |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Europe 1.25x Strategy Fund | 13.58% | 32.96% | 8.83% | 2.99% |
STOXX Europe 50 Index | 11.46% | 27.34% | 9.18% | 4.47% |
* | 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 is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
EUROPE 1.25x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 9.6% |
| | | | | | | | | |
Consumer, Non-cyclical - 4.0% |
Nestle S.A. ADR | | | 197 | | | $ | 24,574 | |
Roche Holding AG ADR | | | 384 | | | | 18,044 | |
Novartis AG ADR | | | 168 | | | | 15,328 | |
AstraZeneca plc ADR1 | | | 180 | | | | 10,782 | |
Unilever plc ADR | | | 180 | | | | 10,530 | |
Novo Nordisk A/S ADR | | | 113 | | | | 9,466 | |
Sanofi ADR | | | 156 | | | | 8,215 | |
Diageo plc ADR | | | 40 | | | | 7,668 | |
L’Oreal S.A. ADR | | | 84 | | | | 7,509 | |
GlaxoSmithKline plc ADR | | | 169 | | | | 6,730 | |
British American Tobacco plc ADR | | | 145 | | | | 5,700 | |
Adyen N.V. ADR* | | | 96 | | | | 4,717 | |
Reckitt Benckiser Group plc ADR1 | | | 248 | | | | 4,439 | |
Anheuser-Busch InBev S.A. ADR | | | 58 | | | | 4,176 | |
Bayer AG ADR | | | 268 | | | | 4,084 | |
RELX plc ADR | | | 135 | | | | 3,601 | |
Total Consumer, Non-cyclical | | | | | | | 145,563 | |
| | | | | | | | | |
Financial - 1.0% |
HSBC Holdings plc ADR | | | 283 | | | | 8,164 | |
Allianz SE ADR | | | 282 | | | | 7,047 | |
BNP Paribas S.A. ADR | | | 157 | | | | 4,917 | |
Zurich Insurance Group AG ADR | | | 102 | | | | 4,106 | |
UBS Group AG | | | 237 | | | | 3,636 | |
AXA S.A. ADR | | | 140 | | | | 3,563 | |
Intesa Sanpaolo SpA ADR | | | 208 | | | | 3,478 | |
Prudential plc ADR1 | | | 89 | | | | 3,391 | |
Total Financial | | | | | | | 38,302 | |
| | | | | | | | | |
Industrial - 0.9% |
Siemens AG ADR | | | 102 | | | | 8,123 | |
Schneider Electric SE ADR | | | 194 | | | | 6,128 | |
Airbus SE ADR* | | | 160 | | | | 5,152 | |
Vinci S.A. ADR | | | 161 | | | | 4,308 | |
ABB Ltd. ADR | | | 120 | | | | 4,079 | |
Safran S.A. ADR | | | 104 | | | | 3,611 | |
Total Industrial | | | | | | | 31,401 | |
| | | | | | | | | |
Basic Materials - 0.9% |
Linde plc | | | 35 | | | | 10,118 | |
Rio Tinto plc ADR | | | 72 | | | | 6,040 | |
Air Liquide S.A. ADR | | | 162 | | | | 5,693 | |
BASF SE ADR1 | | | 252 | | | | 4,997 | |
BHP Group plc ADR | | | 72 | | | | 4,298 | |
Total Basic Materials | | | | | | | 31,146 | |
| | | | | | | | | |
Technology - 0.8% |
ASML Holding N.V. — Class G | | | 29 | | | | 20,034 | |
SAP SE ADR | | | 75 | | | | 10,535 | |
Total Technology | | | | | | | 30,569 | |
| | | | | | | | | |
Consumer, Cyclical - 0.8% |
LVMH Moet Hennessy Louis Vuitton SE ADR | | | 90 | | | | 14,202 | |
Daimler AG ADR | | | 230 | | | | 5,149 | |
adidas AG ADR | | | 25 | | | | 4,669 | |
Kering S.A. ADR | | | 50 | | | | 4,383 | |
Total Consumer, Cyclical | | | | | | | 28,403 | |
| | | | | | | | | |
Energy - 0.5% |
TotalEnergies SE ADR | | | 180 | | | | 8,147 | |
BP plc ADR | | | 228 | | | | 6,023 | |
Royal Dutch Shell plc — Class A ADR1 | | | 140 | | | | 5,656 | |
Total Energy | | | | | | | 19,826 | |
| | | | | | | | | |
Utilities - 0.4% |
Enel SpA ADR | | | 532 | | | | 4,932 | |
Iberdrola S.A. ADR | | | 100 | | | | 4,885 | |
National Grid plc ADR | | | 48 | | | | 3,069 | |
Total Utilities | | | | | | | 12,886 | |
| | | | | | | | | |
Communications - 0.3% |
Deutsche Telekom AG ADR | | | 221 | | | | 4,699 | |
Vodafone Group plc ADR | | | 194 | | | | 3,323 | |
Prosus N.V. ADR | | | 152 | | | | 2,979 | |
Total Communications | | | | | | | 11,001 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $266,911) | | | | | | | 349,097 | |
| | | | | | | | | |
MUTUAL FUNDS† - 42.1% |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 76,782 | | | | 765,519 | |
Guggenheim Strategy Fund II2 | | | 30,553 | | | | 763,530 | |
Total Mutual Funds | | | | |
(Cost $1,524,508) | | | | | | | 1,529,049 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 10.1% |
U.S. Treasury Bills |
0.01% due 08/03/213,4 | | $ | 365,000 | | | | 364,985 | |
Total U.S. Treasury Bills | | | | |
(Cost $364,997) | | | | | | | 364,985 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,5 - 31.7% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | | 647,471 | | | | 647,471 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 254,909 | | | | 254,909 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 249,910 | | | | 249,910 | |
Total Repurchase Agreements | | | | |
(Cost $1,152,290) | | | | | | | 1,152,290 | |
| | | | | | | | | |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2021 |
EUROPE 1.25x STRATEGY FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,6 - 0.5% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class Z, 0.02%7 | | | 19,256 | | | $ | 19,256 | |
Total Securities Lending Collateral | | | | |
(Cost $19,256) | | | | | | | 19,256 | |
| | | | | | | | | |
Total Investments - 94.0% | | | | |
(Cost $3,327,962) | | $ | 3,414,677 | |
Other Assets & Liabilities, net - 6.0% | | | 217,053 | |
Total Net Assets - 100.0% | | $ | 3,631,730 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Depreciation** | |
Equity Futures Contracts Purchased† |
STOXX 50 Index Futures Contracts | | | 101 | | | | Sep 2021 | | | $ | 4,201,744 | | | $ | (43,902 | ) |
Currency Futures Contracts Purchased† |
Euro FX Futures Contracts | | | 28 | | | | Sep 2021 | | | | 4,156,775 | | | | (104,384 | ) |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 on loan at June 30, 2021 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as futures collateral at June 30, 2021. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 6. |
6 | Securities lending collateral — See Note 7. |
7 | Rate indicated is the 7-day yield as of June 30, 2021. |
| | 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, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks | | $ | 349,097 | | | $ | — | | | $ | — | | | $ | 349,097 | |
Mutual Funds | | | 1,529,049 | | | | — | | | | — | | | | 1,529,049 | |
U.S. Treasury Bills | | | — | | | | 364,985 | | | | — | | | | 364,985 | |
Repurchase Agreements | | | — | | | | 1,152,290 | | | | — | | | | 1,152,290 | |
Securities Lending Collateral | | | 19,256 | | | | — | | | | — | | | | 19,256 | |
Total Assets | | $ | 1,897,402 | | | $ | 1,517,275 | | | $ | — | | | $ | 3,414,677 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
EUROPE 1.25x STRATEGY FUND | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Currency Futures Contracts** | | $ | 104,384 | | | $ | — | | | $ | — | | | $ | 104,384 | |
Equity Futures Contracts** | | | 43,902 | | | | — | | | | — | | | | 43,902 | |
Total Liabilities | | $ | 148,286 | | | $ | — | | | $ | — | | | $ | 148,286 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 429,079 | | | $ | 683,943 | | | $ | (350,000 | ) | | $ | 119 | | | $ | 389 | | | $ | 763,530 | | | | 30,553 | | | $ | 3,985 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 543,073 | | | | 572,792 | | | | (350,000 | ) | | | 150 | | | | (496 | ) | | | 765,519 | | | | 76,782 | | | | 2,821 | |
| | | $ | 972,152 | | | $ | 1,256,735 | | | $ | (700,000 | ) | | $ | 269 | | | $ | (107 | ) | | $ | 1,529,049 | | | | | | | $ | 6,806 | |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EUROPE 1.25x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value - including $18,650 of securities loaned (cost $651,164) | | $ | 733,338 | |
Investments in affiliated issuers, at value (cost $1,524,508) | | | 1,529,049 | |
Repurchase agreements, at value (cost $1,152,290) | | | 1,152,290 | |
Foreign currency, at value | | | 995 | |
Receivables: |
Fund shares sold | | | 271,116 | |
Foreign tax reclaims | | | 7,303 | |
Dividends | | | 1,913 | |
Securities lending income | | | 49 | |
Total assets | | | 3,696,053 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 1,002 | |
Payable for: |
Variation margin on futures contracts | | | 33,897 | |
Return of securities lending collateral | | | 19,256 | |
Management fees | | | 2,548 | |
Securities purchased | | | 1,504 | |
Investor service fees | | | 752 | |
Transfer agent and administrative fees | | | 658 | |
Portfolio accounting fees | | | 301 | |
Fund shares redeemed | | | 30 | |
Trustees’ fees* | | | 26 | |
Miscellaneous | | | 4,349 | |
Total liabilities | | | 64,323 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 3,631,730 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 4,222,820 | |
Total distributable earnings (loss) | | | (591,090 | ) |
Net assets | | $ | 3,631,730 | |
Capital shares outstanding | | | 30,222 | |
Net asset value per share | | $ | 120.17 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $876) | | $ | 6,566 | |
Dividends from securities of affiliated issuers | | | 6,806 | |
Interest | | | 150 | |
Income from securities lending, net | | | 213 | |
Total investment income | | | 13,735 | |
| | | | | |
Expenses: |
Management fees | | | 13,099 | |
Investor service fees | | | 3,639 | |
Transfer agent and administrative fees | | | 4,530 | |
Professional fees | | | 1,456 | |
Portfolio accounting fees | | | 1,402 | |
Custodian fees | | | 194 | |
Trustees’ fees* | | | 181 | |
Miscellaneous | | | 1,681 | |
Total expenses | | | 26,182 | |
Less: | | | | |
Expenses reimbursed by Adviser | | | (151 | ) |
Expenses waived by Adviser | | | (742 | ) |
Total waived/reimbursed expenses | | | (893 | ) |
Net expenses | | | 25,289 | |
Net investment loss | | | (11,554 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 1,419 | |
Investments in affiliated issuers | | | 269 | |
Futures contracts | | | 495,309 | |
Foreign currency transactions | | | (446 | ) |
Net realized gain | | | 496,551 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 23,287 | |
Investments in affiliated issuers | | | (107 | ) |
Futures contracts | | | (168,682 | ) |
Foreign currency translations | | | 255 | |
Net change in unrealized appreciation (depreciation) | | | (145,247 | ) |
Net realized and unrealized gain | | | 351,304 | |
Net increase in net assets resulting from operations | | $ | 339,750 | |
* | 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 |
EUROPE 1.25x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (11,554 | ) | | $ | (13,580 | ) |
Net realized gain (loss) on investments | | | 496,551 | | | | (20,081 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (145,247 | ) | | | (87,795 | ) |
Net increase (decrease) in net assets resulting from operations | | | 339,750 | | | | (121,456 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (34,978 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 4,024,260 | | | | 5,584,974 | |
Distributions reinvested | | | — | | | | 34,978 | |
Cost of shares redeemed | | | (3,255,147 | ) | | | (6,930,469 | ) |
Net increase (decrease) from capital share transactions | | | 769,113 | | | | (1,310,517 | ) |
Net increase (decrease) in net assets | | | 1,108,863 | | | | (1,466,951 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 2,522,867 | | | | 3,989,818 | |
End of period | | $ | 3,631,730 | | | $ | 2,522,867 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 35,579 | | | | 55,745 | |
Shares issued from reinvestment of distributions | | | — | | | | 361 | |
Shares redeemed | | | (29,202 | ) | | | (69,429 | ) |
Net increase (decrease) in shares | | | 6,377 | | | | (13,323 | ) |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EUROPE 1.25x STRATEGY FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 105.80 | | | $ | 107.35 | | | $ | 84.49 | | | $ | 104.66 | | | $ | 82.06 | | | $ | 88.28 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.45 | ) | | | (.63 | ) | | | .76 | | | | 1.66 | | | | .25 | | | | .25 | |
Net gain (loss) on investments (realized and unrealized) | | | 14.82 | | | | .73 | g | | | 23.18 | | | | (21.46 | ) | | | 23.17 | | | | (6.25 | ) |
Total from investment operations | | | 14.37 | | | | .10 | | | | 23.94 | | | | (19.80 | ) | | | 23.42 | | | | (6.00 | ) |
Less distributions from: |
Net investment income | | | — | | | | (1.65 | ) | | | (1.08 | ) | | | (.37 | ) | | | (.82 | ) | | | (.22 | ) |
Total distributions | | | — | | | | (1.65 | ) | | | (1.08 | ) | | | (.37 | ) | | | (.82 | ) | | | (.22 | ) |
Net asset value, end of period | | $ | 120.17 | | | $ | 105.80 | | | $ | 107.35 | | | $ | 84.49 | | | $ | 104.66 | | | $ | 82.06 | |
|
Total Returnc | | | 13.58 | % | | | 0.24 | % | | | 28.43 | % | | | (18.97 | %) | | | 28.60 | % | | | (5.58 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,632 | | | $ | 2,523 | | | $ | 3,990 | | | $ | 2,687 | | | $ | 5,725 | | | $ | 2,553 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.79 | %) | | | (0.67 | %) | | | 0.77 | % | | | 1.67 | % | | | 0.26 | % | | | 1.70 | % |
Total expensesd | | | 1.80 | % | | | 1.91 | % | | | 1.88 | % | | | 1.78 | % | | | 1.80 | % | | | 1.73 | % |
Net expensese | | | 1.74 | % | | | 1.86 | % | | | 1.80 | % | | | 1.77 | % | | | 1.80 | % | | | 1.73 | % |
Portfolio turnover rate | | | 84 | % | | | 212 | % | | | 391 | % | | | 187 | % | | | 121 | % | | | 441 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | Reverse share split — Per share amounts for the year ended December 31, 2016, have been restated to reflect a 1:6 reverse share split effective December 1, 2016. |
g | The amount shown for a share outstanding throughout the period does not agree with the aggregate net loss on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 II | 23.8% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 23.7% |
Total | 47.5% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Japan 2x Strategy Fund | (7.02%) | 52.51% | 18.91% | 12.06% |
Nikkei-225 Stock Average Index | (2.49%) | 25.38% | 11.42% | 7.84% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
JAPAN 2x STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 47.5% |
Guggenheim Strategy Fund II1 | | | 24,685 | | | $ | 616,886 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 61,659 | | | | 614,741 | |
Total Mutual Funds | | | | |
(Cost $1,221,867) | | | | | | | 1,231,627 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 12.9% |
U.S. Treasury Bills |
0.01% due 08/03/212,3 | | $ | 304,000 | | | | 303,987 | |
0.03% due 08/03/213 | | | 31,000 | | | | 30,999 | |
Total U.S. Treasury Bills | | | | |
(Cost $334,996) | | | | | | | 334,986 | |
| |
FEDERAL AGENCY NOTES†† - 5.8% |
Federal Farm Credit Bank |
0.13% due 11/02/21 | | | 150,000 | | | | 150,018 | |
Total Federal Agency Notes | | | | |
(Cost $150,043) | | | | | | | 150,018 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 38.2% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/21 | | | 557,041 | | | | 557,041 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/21 | | | 219,307 | | | | 219,307 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/21 | | | 215,006 | | | | 215,006 | |
Total Repurchase Agreements | | | | |
(Cost $991,354) | | | | | | | 991,354 | |
| | | | | | | | | |
Total Investments - 104.4% | | | | |
(Cost $2,698,260) | | $ | 2,707,985 | |
Other Assets & Liabilities, net - (4.4)% | | | (113,856 | ) |
Total Net Assets - 100.0% | | $ | 2,594,129 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Depreciation** | |
Equity Futures Contracts Purchased† |
Nikkei 225 (CME) Index Equity Futures Contracts | | | 36 | | | | Sep 2021 | | | $ | 5,180,400 | | | $ | (32,195 | ) |
| | | | | | | | | | | | | | | | | |
Currency Futures Contracts Purchased† |
Japanese Yen Futures Contracts | | | 46 | | | | Sep 2021 | | | | 5,179,313 | | | | (71,443 | ) |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | All or a portion of this security is pledged as futures collateral at June 30, 2021. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 6. |
| | CME — Chicago Mercantile Exchange |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
JAPAN 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Mutual Funds | | $ | 1,231,627 | | | $ | — | | | $ | — | | | $ | 1,231,627 | |
U.S. Treasury Bills | | | — | | | | 334,986 | | | | — | | | | 334,986 | |
Federal Agency Notes | | | — | | | | 150,018 | | | | — | | | | 150,018 | |
Repurchase Agreements | | | — | | | | 991,354 | | | | — | | | | 991,354 | |
Total Assets | | $ | 1,231,627 | | | $ | 1,476,358 | | | $ | — | | | $ | 2,707,985 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Currency Futures Contracts** | | $ | 71,443 | | | $ | — | | | $ | — | | | $ | 71,443 | |
Equity Futures Contracts** | | | 32,195 | | | | — | | | | — | | | | 32,195 | |
Total Liabilities | | $ | 103,638 | | | $ | — | | | $ | — | | | $ | 103,638 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 496,862 | | | $ | 304,667 | | | $ | (185,000 | ) | | $ | (148 | ) | | $ | 505 | | | $ | 616,886 | | | | 24,685 | | | $ | 4,715 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 592,484 | | | | 203,253 | | | | (180,000 | ) | | | (361 | ) | | | (635 | ) | | | 614,741 | | | | 61,659 | | | | 3,285 | |
| | | $ | 1,089,346 | | | $ | 507,920 | | | $ | (365,000 | ) | | $ | (509 | ) | | $ | (130 | ) | | $ | 1,231,627 | | | | | | | $ | 8,000 | |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value (cost $485,039) | | $ | 485,004 | |
Investments in affiliated issuers, at value (cost $1,221,867) | | | 1,231,627 | |
Repurchase agreements, at value (cost $991,354) | | | 991,354 | |
Receivables: |
Fund shares sold | | | 3,738 | |
Dividends | | | 1,213 | |
Interest | | | 32 | |
Total assets | | | 2,712,968 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 65,039 | |
Variation margin on futures contracts | | | 45,481 | |
Management fees | | | 1,579 | |
Securities purchased | | | 1,213 | |
Transfer agent and administrative fees | | | 612 | |
Investor service fees | | | 568 | |
Portfolio accounting fees | | | 227 | |
Trustees’ fees* | | | 30 | |
Miscellaneous | | | 4,090 | |
Total liabilities | | | 118,839 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 2,594,129 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 3,805,142 | |
Total distributable earnings (loss) | | | (1,211,013 | ) |
Net assets | | $ | 2,594,129 | |
Capital shares outstanding | | | 23,528 | |
Net asset value per share | | $ | 110.26 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 8,000 | |
Interest | | | 194 | |
Total investment income | | | 8,194 | |
| | | | | |
Expenses: |
Management fees | | | 11,305 | |
Investor service fees | | | 3,768 | |
Transfer agent and administrative fees | | | 4,886 | |
Professional fees | | | 2,144 | |
Portfolio accounting fees | | | 1,507 | |
Trustees’ fees* | | | 260 | |
Custodian fees | | | 210 | |
Miscellaneous | | | 68 | |
Total expenses | | | 24,148 | |
Less: |
Expenses waived by Adviser | | | (870 | ) |
Net expenses | | | 23,278 | |
Net investment loss | | | (15,084 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 364 | |
Investments in affiliated issuers | | | (509 | ) |
Futures contracts | | | 153,894 | |
Net realized gain | | | 153,749 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (42 | ) |
Investments in affiliated issuers | | | (130 | ) |
Futures contracts | | | (343,046 | ) |
Net change in unrealized appreciation (depreciation) | | | (343,218 | ) |
Net realized and unrealized loss | | | (189,469 | ) |
Net decrease in net assets resulting from operations | | $ | (204,553 | ) |
* | 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 | 59 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (15,084 | ) | | $ | (13,879 | ) |
Net realized gain on investments | | | 153,749 | | | | 345,662 | |
Net change in unrealized appreciation (depreciation) on investments | | | (343,218 | ) | | | 241,144 | |
Net increase (decrease) in net assets resulting from operations | | | (204,553 | ) | | | 572,927 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (16,959 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 3,769,907 | | | | 4,641,138 | |
Distributions reinvested | | | — | | | | 16,959 | |
Cost of shares redeemed | | | (3,964,548 | ) | | | (4,257,909 | ) |
Net increase (decrease) from capital share transactions | | | (194,641 | ) | | | 400,188 | |
Net increase (decrease) in net assets | | | (399,194 | ) | | | 956,156 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 2,993,323 | | | | 2,037,167 | |
End of period | | $ | 2,594,129 | | | $ | 2,993,323 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 31,534 | | | | 60,712 | |
Shares issued from reinvestment of distributions | | | — | | | | 223 | |
Shares redeemed | | | (33,248 | ) | | | (59,560 | ) |
Net increase (decrease) in shares | | | (1,714 | ) | | | 1,375 | |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 118.59 | | | $ | 85.35 | | | $ | 62.30 | | | $ | 100.82 | | | $ | 67.08 | | | $ | 61.65 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.60 | ) | | | (.65 | ) | | | .66 | | | | .70 | | | | (.13 | ) | | | (.06 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (7.73 | ) | | | 34.73 | | | | 23.49 | | | | (19.56 | ) | | | 33.87 | | | | 5.49 | |
Total from investment operations | | | (8.33 | ) | | | 34.08 | | | | 24.15 | | | | (18.86 | ) | | | 33.74 | | | | 5.43 | |
Less distributions from: |
Net investment income | | | — | | | | (.84 | ) | | | (1.10 | ) | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | (19.66 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (.84 | ) | | | (1.10 | ) | | | (19.66 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 110.26 | | | $ | 118.59 | | | $ | 85.35 | | | $ | 62.30 | | | $ | 100.82 | | | $ | 67.08 | |
|
Total Returnc | | | (7.02 | %) | | | 40.46 | % | | | 39.03 | % | | | (22.95 | %) | | | 50.30 | % | | | 8.86 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,594 | | | $ | 2,993 | | | $ | 2,037 | | | $ | 2,013 | | | $ | 5,614 | | | $ | 2,499 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.00 | %) | | | (0.82 | %) | | | 0.89 | % | | | 0.76 | % | | | (0.15 | %) | | | (0.50 | %) |
Total expensesd | | | 1.60 | % | | | 1.72 | % | | | 1.72 | % | | | 1.58 | % | | | 1.83 | % | | | 1.56 | % |
Net expensese | | | 1.54 | % | | | 1.67 | % | | | 1.64 | % | | | 1.58 | % | | | 1.83 | % | | | 1.56 | % |
Portfolio turnover rate | | | 26 | % | | | 199 | % | | | 153 | % | | | 180 | % | | | 73 | % | | | 183 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | Reverse share split — Per share amounts for the year ended December 31, 2016, have been restated to reflect a 1:6 reverse share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 Ultra Short Duration Fund — Institutional Class | 30.9% |
Guggenheim Strategy Fund II | 19.6% |
Total | 50.5% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Strengthening Dollar 2x Strategy Fund | 4.64% | (11.23%) | (0.26%) | 2.72% |
U.S. Dollar Index | 2.78% | (5.08%) | (0.78%) | 2.21% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 50.5% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 58,795 | | | $ | 586,186 | |
Guggenheim Strategy Fund II1 | | | 14,919 | | | | 372,817 | |
Total Mutual Funds | | | | |
(Cost $954,223) | | | | | | | 959,003 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 10.0% |
Federal Home Loan Banks |
1.88% due 07/07/21 | | $ | 140,000 | | | | 140,048 | |
Federal Farm Credit Bank |
0.13% due 11/02/21 | | | 50,000 | | | | 50,006 | |
Total Federal Agency Notes | | | | |
(Cost $190,057) | | | | | | | 190,054 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 3.4% |
U.S. Treasury Bills |
0.01% due 08/03/212,3 | | | 48,000 | | | | 47,998 | |
0.03% due 08/03/213 | | | 16,000 | | | | 15,999 | |
Total U.S. Treasury Bills | | | | |
(Cost $63,999) | | | | | | | 63,997 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 37.1% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/215 | | | 395,015 | | | | 395,015 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/215 | | | 155,517 | | | | 155,517 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/215 | | | 152,468 | | | | 152,468 | |
Total Repurchase Agreements | | | | |
(Cost $703,000) | | | | | | | 703,000 | |
| | | | | | | | | |
Total Investments - 101.0% | | | | |
(Cost $1,911,279) | | $ | 1,916,054 | |
Other Assets & Liabilities, net - (1.0)% | | | (19,608 | ) |
Total Net Assets - 100.0% | | $ | 1,896,446 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Currency Futures Contracts Purchased† |
U.S. Dollar Index Futures Contracts | | | 36 | | | | Sep 2021 | | | $ | 3,324,600 | | | $ | 69,063 | |
Total Return Swap Agreements |
Counterparty | Index | Financing Rate
Pay (Receive) | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Currency Index Swap Agreements†† |
Goldman Sachs International | U.S. Dollar Index | N/A | At Maturity | | | 09/17/21 | | | | 5,069 | | | $ | 467,941 | | | $ | 6,660 | |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | All or a portion of this security is pledged as futures collateral at June 30, 2021. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 6. |
5 | All or a portion of this security is pledged as currency index swap collateral at June 30, 2021. |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Mutual Funds | | $ | 959,003 | | | $ | — | | | $ | — | | | $ | 959,003 | |
Federal Agency Notes | | | — | | | | 190,054 | | | | — | | | | 190,054 | |
U.S. Treasury Bills | | | — | | | | 63,997 | | | | — | | | | 63,997 | |
Repurchase Agreements | | | — | | | | 703,000 | | | | — | | | | 703,000 | |
Currency Futures Contracts** | | | 69,063 | | | | — | | | | — | | | | 69,063 | |
Currency Index Swap Agreements** | | | — | | | | 6,660 | | | | — | | | | 6,660 | |
Total Assets | | $ | 1,028,066 | | | $ | 963,711 | | | $ | — | | | $ | 1,991,777 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 319,625 | | | $ | 402,650 | | | $ | (350,000 | ) | | $ | 139 | | | $ | 404 | | | $ | 372,818 | | | | 14,919 | | | $ | 2,680 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 434,153 | | | | 502,167 | | | | (350,000 | ) | | | 222 | | | | (357 | ) | | | 586,185 | | | | 58,795 | | | | 2,190 | |
| | | $ | 753,778 | | | $ | 904,817 | | | $ | (700,000 | ) | | $ | 361 | | | $ | 47 | | | $ | 959,003 | | | | | | | $ | 4,870 | |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value (cost $254,056) | | $ | 254,051 | |
Investments in affiliated issuers, at value (cost $954,223) | | | 959,003 | |
Repurchase agreements, at value (cost $703,000) | | | 703,000 | |
Segregated cash with broker | | | 4,722 | |
Unrealized appreciation on OTC swap agreements | | | 6,660 | |
Receivables: |
Variation margin on futures contracts | | | 11,124 | |
Fund shares sold | | | 5,492 | |
Interest | | | 1,280 | |
Dividends | | | 811 | |
Swap settlement | | | 224 | |
Total assets | | | 1,946,367 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 41,081 | |
Licensing fees | | | 3,636 | |
Management fees | | | 1,086 | |
Securities purchased | | | 813 | |
Investor service fees | | | 328 | |
Transfer agent and administrative fees | | | 287 | |
Portfolio accounting fees | | | 131 | |
Trustees’ fees* | | | 19 | |
Miscellaneous | | | 2,540 | |
Total liabilities | | | 49,921 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 1,896,446 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 3,156,746 | |
Total distributable earnings (loss) | | | (1,260,300 | ) |
Net assets | | $ | 1,896,446 | |
Capital shares outstanding | | | 51,567 | |
Net asset value per share | | $ | 36.78 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 4,870 | |
Interest | | | 99 | |
Total investment income | | | 4,969 | |
| | | | | |
Expenses: |
Management fees | | | 8,003 | |
Investor service fees | | | 2,223 | |
Transfer agent and administrative fees | | | 2,923 | |
Licensing fees | | | 2,324 | |
Portfolio accounting fees | | | 889 | |
Professional fees | | | 568 | |
Trustees’ fees* | | | 167 | |
Custodian fees | | | 126 | |
Miscellaneous | | | 681 | |
Total expenses | | | 17,904 | |
Less: |
Expenses reimbursed by Adviser | | | (66 | ) |
Expenses waived by Adviser | | | (581 | ) |
Total waived/reimbursed expenses | | | (647 | ) |
Net expenses | | | 17,257 | |
Net investment loss | | | (12,288 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in affiliated issuers | | | 361 | |
Swap agreements | | | (320 | ) |
Futures contracts | | | (40,849 | ) |
Net realized loss | | | (40,808 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (6 | ) |
Investments in affiliated issuers | | | 47 | |
Swap agreements | | | 11,049 | |
Futures contracts | | | 101,625 | |
Net change in unrealized appreciation (depreciation) | | | 112,715 | |
Net realized and unrealized gain | | | 71,907 | |
Net increase in net assets resulting from operations | | $ | 59,619 | |
* | 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 | 65 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (12,288 | ) | | $ | (20,911 | ) |
Net realized loss on investments | | | (40,808 | ) | | | (342,625 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 112,715 | | | | (18,853 | ) |
Net increase (decrease) in net assets resulting from operations | | | 59,619 | | | | (382,389 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (13,811 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 5,982,151 | | | | 23,485,177 | |
Distributions reinvested | | | — | | | | 13,811 | |
Cost of shares redeemed | | | (5,701,290 | ) | | | (22,958,927 | ) |
Net increase from capital share transactions | | | 280,861 | | | | 540,061 | |
Net increase in net assets | | | 340,480 | | | | 143,861 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 1,555,966 | | | | 1,412,105 | |
End of period | | $ | 1,896,446 | | | $ | 1,555,966 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 165,440 | | | | 583,065 | |
Shares issued from reinvestment of distributions | | | — | | | | 351 | |
Shares redeemed | | | (158,139 | ) | | | (573,413 | ) |
Net increase in shares | | | 7,301 | | | | 10,003 | |
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016 | |
Per Share Data |
Net asset value, beginning of period | | $ | 35.15 | | | $ | 41.21 | | | $ | 39.73 | | | $ | 35.53 | | | $ | 43.90 | | | $ | 43.45 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.25 | ) | | | (.43 | ) | | | .21 | | | | .27 | | | | (.04 | ) | | | (.23 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 1.88 | | | | (5.32 | ) | | | 1.63 | | | | 3.93 | | | | (7.67 | ) | | | 2.96 | |
Total from investment operations | | | 1.63 | | | | (5.75 | ) | | | 1.84 | | | | 4.20 | | | | (7.71 | ) | | | 2.73 | |
Less distributions from: |
Net investment income | | | — | | | | (.31 | ) | | | (.36 | ) | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (.66 | ) | | | (2.28 | ) |
Total distributions | | | — | | | | (.31 | ) | | | (.36 | ) | | | — | | | | (.66 | ) | | | (2.28 | ) |
Net asset value, end of period | | $ | 36.78 | | | $ | 35.15 | | | $ | 41.21 | | | $ | 39.73 | | | $ | 35.53 | | | $ | 43.90 | |
|
Total Returnc | | | 4.64 | % | | | (14.03 | %) | | | 4.61 | % | | | 11.82 | % | | | (17.65 | %) | | | 7.00 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,896 | | | $ | 1,556 | | | $ | 1,412 | | | $ | 3,420 | | | $ | 1,737 | | | $ | 5,644 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.38 | %) | | | (1.05 | %) | | | 0.50 | % | | | 0.73 | % | | | (0.10 | %) | | | (0.57 | %) |
Total expensesd | | | 2.01 | % | | | 2.02 | % | | | 2.09 | % | | | 1.83 | % | | | 1.80 | % | | | 1.76 | % |
Net expensese | | | 1.94 | % | | | 1.96 | % | | | 2.02 | % | | | 1.82 | % | | | 1.80 | % | | | 1.76 | % |
Portfolio turnover rate | | | 79 | % | | | 103 | % | | | 102 | % | | | 241 | % | | | 88 | % | | | 190 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2021 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 | 25.4% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 25.2% |
Total | 50.6% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2021
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Weakening Dollar 2x Strategy Fund | (6.45%) | 8.38% | (2.17%) | (6.46%) |
U.S. Dollar Index | 2.78% | (5.08%) | (0.78%) | 2.21% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2021 |
WEAKENING DOLLAR 2x STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 50.6% |
Guggenheim Strategy Fund II1 | | | 11,532 | | | $ | 288,181 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 28,722 | | | | 286,359 | |
Total Mutual Funds | | | | |
(Cost $571,224) | | | | | | | 574,540 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY NOTES†† - 13.2% |
Fannie Mae |
1.38% due 10/07/21 | | $ | 100,000 | | | | 100,349 | |
Federal Farm Credit Bank |
0.13% due 11/02/21 | | | 50,000 | | | | 50,006 | |
Total Federal Agency Notes | | | | |
(Cost $150,372) | | | | | | | 150,355 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 7.5% |
U.S. Treasury Bills |
0.01% due 08/03/212,3 | | | 85,000 | | | | 84,997 | |
Total U.S. Treasury Bills | | | | |
(Cost $84,999) | | | | | | | 84,997 | |
REPURCHASE AGREEMENTS††,4 - 32.9% |
J.P. Morgan Securities LLC
issued 06/30/21 at 0.05%
due 07/01/215 | | | 210,322 | | | | 210,322 | |
Barclays Capital, Inc.
issued 06/30/21 at 0.03%
due 07/01/215 | | | 82,804 | | | | 82,804 | |
BofA Securities, Inc.
issued 06/30/21 at 0.04%
due 07/01/215 | | | 81,180 | | | | 81,180 | |
Total Repurchase Agreements | | | | |
(Cost $374,306) | | | | | | | 374,306 | |
| | | | | | | | | |
Total Investments - 104.2% | | | | |
(Cost $1,180,901) | | $ | 1,184,198 | |
Other Assets & Liabilities, net - (4.2)% | | | (47,365 | ) |
Total Net Assets - 100.0% | | $ | 1,136,833 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Depreciation** | |
Currency Futures Contracts Sold Short† |
U.S. Dollar Index Futures Contracts | | | 19 | | | | Sep 2021 | | | $ | 1,754,650 | | | $ | (43,784 | ) |
Total Return Swap Agreements |
Counterparty | Index | Financing Rate
Pay (Receive) | Payment
Frequency | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Depreciation | |
OTC Currency Index Swap Agreements Sold Short†† |
Goldman Sachs International | U.S. Dollar Index | N/A | At Maturity | | | 09/17/21 | | | | 5,529 | | | $ | 510,351 | | | $ | (11,627 | ) |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | All or a portion of this security is pledged as futures collateral at June 30, 2021. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 6. |
5 | All or a portion of this security is pledged as currency index swap collateral at June 30, 2021. |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2021 |
WEAKENING DOLLAR 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2021 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Mutual Funds | | $ | 574,540 | | | $ | — | | | $ | — | | | $ | 574,540 | |
Federal Agency Notes | | | — | | | | 150,355 | | | | — | | | | 150,355 | |
U.S. Treasury Bills | | | — | | | | 84,997 | | | | — | | | | 84,997 | |
Repurchase Agreements | | | — | | | | 374,306 | | | | — | | | | 374,306 | |
Total Assets | | $ | 574,540 | | | $ | 609,658 | | | $ | — | | | $ | 1,184,198 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Currency Futures Contracts** | | $ | 43,784 | | | $ | — | | | $ | — | | | $ | 43,784 | |
Currency Index Swap Agreements** | | | — | | | | 11,627 | | | | — | | | | 11,627 | |
Total Liabilities | | $ | 43,784 | | | $ | 11,627 | | | $ | — | | | $ | 55,411 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126820000133/gug81042-ncsr.htm.
Transactions during the period ended June 30, 2021, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/20 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
06/30/21 | | | Shares
06/30/21 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 365,606 | | | $ | 2,168 | | | $ | (80,000 | ) | | $ | (76 | ) | | $ | 483 | | | $ | 288,181 | | | | 11,532 | | | $ | 2,204 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 535,187 | | | | 1,780 | | | | (250,000 | ) | | | (298 | ) | | | (310 | ) | | | 286,359 | | | | 28,722 | | | | 1,808 | |
| | | $ | 900,793 | | | $ | 3,948 | | | $ | (330,000 | ) | | $ | (374 | ) | | $ | 173 | | | $ | 574,540 | | | | | | | $ | 4,012 | |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
WEAKENING DOLLAR 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2021 |
Assets: |
Investments in unaffiliated issuers, at value (cost $235,371) | | $ | 235,352 | |
Investments in affiliated issuers, at value (cost $571,224) | | | 574,540 | |
Repurchase agreements, at value (cost $374,306) | | | 374,306 | |
Receivables: |
Dividends | | | 566 | |
Interest | | | 331 | |
Total assets | | | 1,185,095 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 11,627 | |
Payable for: |
Fund shares redeemed | | | 20,872 | |
Variation margin on futures contracts | | | 6,187 | |
Licensing fees | | | 3,023 | |
Swap settlement | | | 1,263 | |
Management fees | | | 1,224 | |
Securities purchased | | | 566 | |
Investor service fees | | | 356 | |
Transfer agent and administrative fees | | | 312 | |
Portfolio accounting fees | | | 143 | |
Trustees’ fees* | | | 20 | |
Miscellaneous | | | 2,669 | |
Total liabilities | | | 48,262 | |
Commitments and contingent liabilities (Note 11) | | | — | |
Net assets | | $ | 1,136,833 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 2,538,500 | |
Total distributable earnings (loss) | | | (1,401,667 | ) |
Net assets | | $ | 1,136,833 | |
Capital shares outstanding | | | 19,807 | |
Net asset value per share | | $ | 57.40 | |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2021 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 4,012 | |
Interest | | | 148 | |
Total investment income | | | 4,160 | |
| | | | | |
Expenses: |
Management fees | | | 8,406 | |
Investor service fees | | | 2,335 | |
Transfer agent and administrative fees | | | 3,074 | |
Licensing fees | | | 2,435 | |
Professional fees | | | 1,108 | |
Portfolio accounting fees | | | 934 | |
Trustees’ fees* | | | 182 | |
Custodian fees | | | 132 | |
Miscellaneous | | | 204 | |
Total expenses | | | 18,810 | |
Less: |
Expenses reimbursed by Adviser | | | (71 | ) |
Expenses waived by Adviser | | | (484 | ) |
Total waived/reimbursed expenses | | | (555 | ) |
Net expenses | | | 18,255 | |
Net investment loss | | | (14,095 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in affiliated issuers | | | (374 | ) |
Swap agreements | | | (5,329 | ) |
Futures contracts | | | (30,736 | ) |
Net realized loss | | | (36,439 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (21 | ) |
Investments in affiliated issuers | | | 173 | |
Swap agreements | | | (15,486 | ) |
Futures contracts | | | (92,897 | ) |
Net change in unrealized appreciation (depreciation) | | | (108,231 | ) |
Net realized and unrealized loss | | | (144,670 | ) |
Net decrease in net assets resulting from operations | | $ | (158,765 | ) |
* | 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 | 71 |
WEAKENING DOLLAR 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Six Months Ended
June 30, 2021
(Unaudited) | | | Year Ended
December 31,
2020 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (14,095 | ) | | $ | (15,662 | ) |
Net realized gain (loss) on investments | | | (36,439 | ) | | | 124,442 | |
Net change in unrealized appreciation (depreciation) on investments | | | (108,231 | ) | | | 45,512 | |
Net increase (decrease) in net assets resulting from operations | | | (158,765 | ) | | | 154,292 | |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (3,015 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 2,094,190 | | | | 38,842,654 | |
Distributions reinvested | | | — | | | | 3,015 | |
Cost of shares redeemed | | | (3,130,216 | ) | | | (37,252,358 | ) |
Net increase (decrease) from capital share transactions | | | (1,036,026 | ) | | | 1,593,311 | |
Net increase (decrease) in net assets | | | (1,194,791 | ) | | | 1,744,588 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of period | | | 2,331,624 | | | | 587,036 | |
End of period | | $ | 1,136,833 | | | $ | 2,331,624 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 35,184 | | | | 675,499 | |
Shares issued from reinvestment of distributions | | | — | | | | 54 | |
Shares redeemed | | | (53,375 | ) | | | (648,006 | ) |
Net increase (decrease) in shares | | | (18,191 | ) | | | 27,547 | |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
WEAKENING DOLLAR 2x STRATEGY FUND | |
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.
| | Six Months Ended
June 30, 2021a | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | | | Year Ended
December 31,
2018 | | | Year Ended
December 31,
2017 | | | Year Ended
December 31,
2016f | |
Per Share Data |
Net asset value, beginning of period | | $ | 61.36 | | | $ | 56.17 | | | $ | 59.56 | | | $ | 67.40 | | | $ | 56.49 | | | $ | 61.90 | |
Income (loss) from investment operations: |
Net investment income (loss)b | | | (.45 | ) | | | (.76 | ) | | | .28 | | | | .40 | | | | (.14 | ) | | | (.11 | ) |
Net gain (loss) on investments (realized and unrealized) | | | (3.51 | ) | | | 6.19 | | | | (3.17 | ) | | | (8.24 | ) | | | 11.05 | | | | (5.30 | ) |
Total from investment operations | | | (3.96 | ) | | | 5.43 | | | | (2.89 | ) | | | (7.84 | ) | | | 10.91 | | | | (5.41 | ) |
Less distributions from: |
Net investment income | | | — | | | | (.24 | ) | | | (.50 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (.24 | ) | | | (.50 | ) | | | — | | | | — | | | | — | |
Net asset value, end of period | | $ | 57.40 | | | $ | 61.36 | | | $ | 56.17 | | | $ | 59.56 | | | $ | 67.40 | | | $ | 56.49 | |
|
Total Returnc | | | (6.45 | %) | | | 9.69 | % | | | (4.85 | %) | | | (11.63 | %) | | | 19.31 | % | | | (8.71 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,137 | | | $ | 2,332 | | | $ | 587 | | | $ | 582 | | | $ | 779 | | | $ | 687 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.51 | %) | | | (1.35 | %) | | | 0.50 | % | | | 0.61 | % | | | (0.22 | %) | | | (0.63 | %) |
Total expensesd | | | 2.01 | % | | | 2.00 | % | | | 2.08 | % | | | 1.82 | % | | | 1.80 | % | | | 1.76 | % |
Net expensese | | | 1.95 | % | | | 1.96 | % | | | 2.00 | % | | | 1.81 | % | | | 1.80 | % | | | 1.76 | % |
Portfolio turnover rate | | | 1 | % | | | 129 | % | | | 187 | % | | | 213 | % | | | 367 | % | | | 250 | % |
a | Unaudited figures for the period ended June 30, 2021. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | Reverse share split — Per share amounts for the year ended December 31, 2016 have been restated to reflect a 1:4 reverse share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
Note 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 (each, a “Fund”). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately. At June 30, 2021, 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 following funds (collectively, the “Funds”):
Fund Name | | Investment
Company Type | |
S&P 500® Pure Growth Fund | | | Non-diversified | |
S&P 500® Pure Value Fund | | | Non-diversified | |
S&P MidCap 400® Pure Growth Fund | | | Non-diversified | |
S&P MidCap 400® Pure Value Fund | | | Non-diversified | |
S&P SmallCap 600® Pure Growth Fund | | | Non-diversified | |
S&P SmallCap 600® Pure Value Fund | | | Non-diversified | |
Europe 1.25x Strategy Fund | | | Non-diversified | |
Japan 2x Strategy Fund | | | Non-diversified | |
Strengthening Dollar 2x Strategy Fund | | | Non-diversified | |
Weakening Dollar 2x Strategy Fund | | | Non-diversified | |
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 adivosry services. Guggehnheim 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 a fund’s securities and other assets, less all liabilities, by the number of outstanding shares of that fund.
(a) Valuation of Investments
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 and other assets 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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
U.S. Government securities are valued by independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.
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 value of futures contracts is accounted for using the unrealized appreciation or depreciation 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 appreciation or depreciation 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, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’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 U.S. Treasury securities, 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) U.S. Government and Agency Obligations
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) Futures Contracts
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 appreciation or depreciation. 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
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
(e) Currency Translations
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 gain or loss and unrealized appreciation or depreciation 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
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
transactions. Net unrealized appreciation and depreciation 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) Foreign Taxes
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 income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of June 30, 2021, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
(g) Security Transactions
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 a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. 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 Real Estate Investment Trusts (“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 realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(h) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Normally, all 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 U.S. federal income tax regulations which may differ from U.S. GAAP.
(i) Cash
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 0.08% at June 30, 2021.
(j) Indemnifications
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.
Note 2 – Derivatives
As part of their investment strategy, the Funds may utilize a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on 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 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.
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 Contracts
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 monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Long | | | Short | |
Europe 1.25x Strategy Fund | Index exposure, Leverage, Liquidity | | $ | 6,613,235 | | | $ | — | |
Japan 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 11,824,539 | | | | — | |
Strengthening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 3,090,327 | | | | — | |
Weakening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | — | | | | 3,159,515 | |
Swap Agreements
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. When utilizing over-the-counter (“OTC”) swaps, a fund 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 and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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 monthly basis:
| | | | Average Notional Amount | |
Fund | Use | | Long | | | Short | |
Strengthening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | | $ | 466,250 | | | $ | — | |
Weakening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | — | | | | 487,358 | |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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, 2021:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Currency contracts | Variation margin on futures contracts | Variation margin on futures contracts |
Currency contracts | Unrealized appreciation on OTC swap agreements | Unrealized depreciation on OTC swap agreements |
The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at June 30, 2021:
Asset Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Futures
Foreign
Currency
Exchange
Risk* | | | Swaps
Currency
Risk | | | Total Value at
June 30,
2021 | |
Strengthening Dollar 2x Strategy Fund | | $ | — | | | $ | 69,063 | | | $ | 6,660 | | | $ | 75,723 | |
Liability Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Futures
Foreign
Currency
Exchange
Risk* | | | Swaps
Currency
Risk | | | Total Value at
June 30,
2021 | |
Europe 1.25x Strategy Fund | | $ | 43,902 | | | $ | 104,384 | | | $ | — | | | $ | 148,286 | |
Japan 2x Strategy Fund | | | 32,195 | | | | 71,443 | | | | — | | | | 103,638 | |
Weakening Dollar 2x Strategy Fund | | | — | | | | 43,784 | | | | 11,627 | | | | 55,411 | |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. For exchange-traded and centrally-cleared derivatives, 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, 2021:
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 |
Currency 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, 2021:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations |
Fund | | Futures
Equity
Risk | | | Futures
Foreign
Currency
Exchange
Risk | | | Swaps
Currency
Risk | | | Total | |
Europe 1.25x Strategy Fund | | $ | 495,802 | | | $ | (493 | ) | | $ | — | | | $ | 495,309 | |
Japan 2x Strategy Fund | | | 499,613 | | | | (345,719 | ) | | | — | | | | 153,894 | |
Strengthening Dollar 2x Strategy Fund | | | — | | | | (40,849 | ) | | | (320 | ) | | | (41,169 | ) |
Weakening Dollar 2x Strategy Fund | | | — | | | | (30,736 | ) | | | (5,329 | ) | | | (36,065 | ) |
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations |
Fund | | Futures
Equity
Risk | | | Futures
Foreign
Currency
Exchange
Risk | | | Swaps
Currency
Risk | | | Total | |
Europe 1.25x Strategy Fund | | $ | (56,433 | ) | | $ | (112,249 | ) | | $ | — | | | $ | (168,682 | ) |
Japan 2x Strategy Fund | | | (230,195 | ) | | | (112,851 | ) | | | — | | | | (343,046 | ) |
Strengthening Dollar 2x Strategy Fund | | | — | | | | 101,625 | | | | 11,049 | | | | 112,674 | |
Weakening Dollar 2x Strategy Fund | | | — | | | | (92,897 | ) | | | (15,486 | ) | | | (108,383 | ) |
In conjunction with the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.
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.
Note 3 – 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. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. 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 RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
| | | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statements of
Assets and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Assets1 | | | Gross
Amounts
Offset in the
Statements
of Assets and
Liabilities | | | Net Amount
of Assets
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Received | | | Net Amount | |
Strengthening Dollar 2x Strategy Fund | Swap currency contracts | | $ | 6,660 | | | $ | — | | | $ | 6,660 | | | $ | — | | | $ | — | | | $ | 6,660 | |
| | | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statements of
Assets and Liabilities | | | | | |
Fund | Instrument | | Gross
Amounts of
Recognized
Liabilities1 | | | Gross
Amounts
Offset in the
Statements
of Assets and
Liabilities | | | Net Amount
of Liabilities
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net Amount | |
Weakening Dollar 2x Strategy Fund | Swap currency contracts | | $ | 11,627 | | | $ | — | | | $ | 11,627 | | | $ | (11,627 | ) | | $ | — | | | $ | — | |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of June 30, 2021.
Fund | Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
Strengthening Dollar 2x Strategy Fund | Goldman Sachs International | Futures contracts | | $ | 4,722 | | | $ | — | |
Note 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. |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
Note 5 – Investment Advisory Agreement and Other Agreements
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
(as a % of Net Assets) | |
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 pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board 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.
If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended June 30, 2021, the following Funds waived fees related to investments in affiliated funds:
Fund | | Amount Waived | |
Europe 1.25x Strategy Fund | | $ | 742 | |
Japan 2x Strategy Fund | | | 870 | |
Strengthening Dollar 2x Strategy Fund | | | 581 | |
Weakening Dollar 2x Strategy Fund | | | 484 | |
GI has contractually agreed to waive and/or reimburse expenses for Europe 1.25x Strategy Fund, Strengthening Dollar 2x Strategy Fund and Weakening Dollar 2x Strategy Fund, in an amount equal to an annual percentage rate of 0.05% of each Fund’s average daily net assets. This agreement is effective June 1, 2021 and the end of the initial term is August 1, 2022. This agreement shall automatically renew for one-year terms, unless GI provides written notice to the Fund of the termination at least thirty days prior to the end of the then-current term. This agreement may be terminated at any time by the Fund’s Board of Trustees upon sixty days’ written notice.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Funds’ securities and cash. U.S. Bank, N.A. (“U.S. Bank”) acts as the Funds’ custodian. As custodian, U.S. Bank is responsible for the custody of the Funds’ assets. For providing the aforementioned services, MUIS and U.S. Bank are entitled to receive a monthly fee equal to an annual percentage of each Fund’s average daily net assets and out of pocket expenses.
Note 6 – Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. government agencies. The 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, 2021, the repurchase agreements in the joint account were as follows:
Counterparty and
Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
J.P. Morgan Securities LLC | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
0.05% | | | | | | | | | | 0.13% | | | | | | | | |
Due 07/01/21 | | $ | 43,014,729 | | | $ | 43,014,789 | | | Due 04/30/23 | | $ | 43,947,200 | | | $ | 43,875,223 | |
| | | | | | | | | | | | | | | | | | | |
BofA Securities, Inc. | | | | | | | | | | U.S. Treasury Bond | | | | | | | | |
0.04% | | | | | | | | | | 2.25% | | | | | | | | |
Due 07/01/21 | | | 16,602,804 | | | | 16,602,822 | | | Due 05/15/41 | | | 16,308,000 | | | | 16,934,920 | |
| | | | | | | | | | | | | | | | | | | |
Barclays Capital, Inc. | | | | | | | | | | U.S. Treasury Inflation Indexed Bond | | | | | | | | |
0.03% | | | | | | | | | | 0.13% | | | | | | | | |
Due 07/01/21 | | | 16,934,860 | | | | 16,934,874 | | | Due 04/15/26 | | | 15,882,137 | | | | 17,278,376 | |
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.
Note 7 – 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 their 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.
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2021, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
| | | Gross Amounts Not Offset in the
Statements of Assets and Liabilities | | | | Securities Lending Collateral | |
Fund | | Value of
Securities
Loaned | | | Collateral
Received(a) | | | Net
Amount | | | | Cash
Collateral
Invested | | | Cash
Collateral
Uninvested | | | Total
Collateral | |
S&P 500® Pure Value Fund | | $ | 52,279 | | | $ | (52,279 | ) | | $ | — | | | | $ | 52,824 | | | $ | — | | | $ | 52,824 | |
S&P MidCap 400® Pure Growth Fund | | | 11,729 | | | | (11,696 | ) | | | 33 | | | | | 11,696 | * | | | — | | | | 11,696 | |
S&P SmallCap 600® Pure Growth Fund | | | 976,851 | | | | (976,851 | ) | | | — | | | | | 1,019,454 | | | | — | | | | 1,019,454 | |
S&P SmallCap 600® Pure Value Fund | | | 333,423 | | | | (333,423 | ) | | | — | | | | | 333,725 | | | | — | | | | 333,725 | |
Europe 1.25x Strategy Fund | | | 18,650 | | | | (18,650 | ) | | | — | | | | | 19,256 | | | | — | | | | 19,256 | |
(a) | Actual collateral received by the Fund is generally greater than the amount shown due to overcollateralization. |
* | Subsequent to June 30, 2021, additional collateral was received. |
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 to evaluate potential risks.
Note 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 or federal excise 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 U.S. 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’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
At June 30, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:
Fund | | Tax
Cost | | | Tax
Unrealized
Appreciation | | | Tax
Unrealized
Depreciation | | | Net Tax
Unrealized
Appreciation
(Depreciation) | |
S&P 500® Pure Growth Fund | | $ | 28,049,694 | | | $ | 12,736,129 | | | $ | (134,724 | ) | | $ | 12,601,405 | |
S&P 500® Pure Value Fund | | | 27,799,837 | | | | 8,082,757 | | | | (19,721 | ) | | | 8,063,036 | |
S&P MidCap 400® Pure Growth Fund | | | 15,093,204 | | | | 5,088,026 | | | | (374,709 | ) | | | 4,713,317 | |
S&P MidCap 400® Pure Value Fund | | | 19,627,225 | | | | 4,477,501 | | | | (73,048 | ) | | | 4,404,453 | |
S&P SmallCap 600® Pure Growth Fund | | | 15,986,902 | | | | 4,151,841 | | | | (272,012 | ) | | | 3,879,829 | |
S&P SmallCap 600® Pure Value Fund | | | 21,908,771 | | | | 5,022,860 | | | | (111,066 | ) | | | 4,911,794 | |
Europe 1.25x Strategy Fund | | | 3,356,221 | | | | 58,901 | | | | (148,731 | ) | | | (89,830 | ) |
Japan 2x Strategy Fund | | | 2,703,509 | | | | 4,530 | | | | (103,692 | ) | | | (99,162 | ) |
Strengthening Dollar 2x Strategy Fund | | | 1,912,004 | | | | 79,784 | | | | (11 | ) | | | 79,773 | |
Weakening Dollar 2x Strategy Fund | | | 1,180,911 | | | | 3,307 | | | | (55,431 | ) | | | (52,124 | ) |
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 9 – Securities Transactions
For the period ended June 30, 2021, 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 | | $ | 13,344,624 | | | $ | 13,002,864 | |
S&P 500® Pure Value Fund | | | 37,366,204 | | | | 34,100,687 | |
S&P MidCap 400® Pure Growth Fund | | | 10,844,983 | | | | 14,096,077 | |
S&P MidCap 400® Pure Value Fund | | | 21,255,408 | | | | 17,361,735 | |
S&P SmallCap 600® Pure Growth Fund | | | 20,214,538 | | | | 20,045,200 | |
S&P SmallCap 600® Pure Value Fund | | | 44,275,407 | | | | 32,140,572 | |
Europe 1.25x Strategy Fund | | | 1,964,071 | | | | 1,266,458 | |
Japan 2x Strategy Fund | | | 507,920 | | | | 365,000 | |
Strengthening Dollar 2x Strategy Fund | | | 904,816 | | | | 700,000 | |
Weakening Dollar 2x Strategy Fund | | | 3,948 | | | | 330,000 | |
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. 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, 2021, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | | Purchases | | | Sales | | | Realized
Gain (Loss) | |
S&P 500® Pure Growth Fund | | $ | 1,919,299 | | | $ | 2,131,457 | | | $ | 61,797 | |
S&P 500® Pure Value Fund | | | 8,561,057 | | | | 5,573,611 | | | | 72,499 | |
S&P MidCap 400® Pure Growth Fund | | | 1,416,012 | | | | 990,474 | | | | 25,183 | |
S&P MidCap 400® Pure Value Fund | | | 2,586,507 | | | | 4,525,316 | | | | 41,010 | |
S&P SmallCap 600® Pure Growth Fund | | | 3,938,856 | | | | 1,317,814 | | | | (50,138 | ) |
S&P SmallCap 600® Pure Value Fund | | | 4,503,699 | | | | 5,467,300 | | | | 107,308 | |
Europe 1.25x Strategy Fund | | | 695,093 | | | | 554,398 | | | | 1,734 | |
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $150,000,000 line of credit from U.S. Bank, N.A., which was increased to $200,000,000 on February 10, 2021 and expired on June 7, 2021. On June 7, 2021, the line of credit agreement was renewed and expires on June 6, 2022. 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 1.25% for the period ended June 30, 2021. The Funds did not have any borrowings outstanding under this agreement at June 30, 2021.
The average daily balances borrowed for the period ended June 30, 2021, were as follows:
Fund | | Average Daily Balance | |
S&P 500® Pure Growth Fund | | $ | 14 | |
S&P 500® Pure Value Fund | | | 183 | |
S&P MidCap 400® Pure Growth Fund | | | 85 | |
S&P SmallCap 600® Pure Growth Fund | | | 281 | |
S&P SmallCap 600® Pure Value Fund | | | 49 | |
84 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 11 – 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-2296 (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. On April 3, 2018, Justice Kennedy and Justice Thomas issued a “Statement” related to the petition for certiorari suggesting that the Second Circuit and/or District Court may want to take steps to reexamine the application of the Section 546(e) safe harbor to the previously dismissed state law constructive fraudulent transfer claims based on the Supreme Court’s decision in Merit Management Group LP v. FTI Consulting, Inc. On April 10, 2018, Plaintiffs filed in the Second Circuit a motion for that court to recall its mandate, vacate its prior decision, and remand to the district court for further proceedings consistent with Merit Management. On April 20, 2018, the shareholder defendants filed an opposition to Plaintiffs’ motion to recall the mandate. On May 15, 2018, the Second Circuit issued an order recalling the mandate “in anticipation of further panel review.” On December 19, 2019, the Second Circuit issued an amended opinion that again affirmed the district court’s ruling on the basis that plaintiffs’ claims were preempted by Section 546(e) of the Bankruptcy Code. Plaintiffs filed a motion for rehearing and rehearing en banc on January 2, 2020. The Second Circuit denied the petition on February 6, 2020. On July 6, 2020, plaintiffs filed a new petition for a writ of certiorari in the U.S. Supreme Court. In that petition, plaintiffs stated that “[t]o make it more likely that there will be a quorum for this petition,” they have “abandon[ed] the case and let the judgment below stand” with respect to certain defendants. That list did not include Rydex Variable Trust. Defendants filed an opposition to the petition for certiorari on August 26, 2020, and plaintiffs filed a reply in support of the petition for certiorari on September 8, 2020. The Court denied the petition for certiorari on April 19, 2021.
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 intended to permit an interlocutory appeal of the dismissal order, but would wait to do so until it has resolved outstanding motions to dismiss filed by other defendants.
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On July 18, 2017, the plaintiff submitted a letter to the District Court seeking leave to amend its complaint to add a constructive fraudulent transfer claim. The shareholder defendants opposed that request. On August 24, 2017, the Court denied the plaintiff’s request without prejudice to renewal of the request in the event of an intervening change in the law. On March 8, 2018, the plaintiff renewed his request for leave to file a motion to amend the complaint to assert a constructive fraudulent transfer claim based on the Supreme Court’s ruling in Merit Management Group LP v. FTI Consulting, Inc. The shareholder defendants opposed that request. On June 18, 2018 the District Court ordered that the request would be stayed pending further action by the Second Circuit in the SLCFC actions.
On December 18, 2018, plaintiff filed a letter with the District Court requesting that the stay be dissolved in order to permit briefing on the motion to amend the complaint and indicating plaintiff’s intention to file another motion to amend the complaint to reinstate claims for intentional fraudulent transfer. The shareholder defendants opposed that request. On January 14, 2019, the court held a case management conference, during which the court stated that it would not lift the stay prior to further action from the Second Circuit in the SLCFC actions. The court further stated that it would allow the plaintiff to file a motion to amend to try to reinstate its intentional fraudulent transfer claim. On January 23, 2019, the court ordered the parties still facing pending claims to participate in a mediation, to commence on January 28, 2019. The mediation did not result in a settlement of the claims against the shareholder defendants.
On April 4, 2019, plaintiff filed a motion to amend the Fifth Amended Complaint to assert a federal constructive fraudulent transfer claim against certain shareholder defendants. On April 10, 2019, the shareholder defendants filed a brief in opposition to plaintiff’s motion to amend. On April 12, 2019, the plaintiff filed a reply brief. On April 23, 2019, the court denied the plaintiff’s motion to amend. On June 13, 2019, the court entered judgment pursuant to Rule 54(b). On July 12, 2019, the Plaintiff filed a notice of appeal with respect to the dismissal of his claims and the District Court’s denial of his motion for leave to amend. Plaintiff filed an appellate brief on January 7, 2020. The shareholder defendants’ brief was filed on April 27, 2020. Plaintiff filed a reply brief on May 18, 2020. The Court held oral argument on August 24, 2020.
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.
Note 12 – COVID-19
The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and public health conditions around the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.
Note 13 – Subsequent Events
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.
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OTHER INFORMATION (Unaudited) |
Delivery of Shareholder Reports
Paper copies of the Funds’ annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.
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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Rydex Variable Trust Contracts Review Committee
Rydex Variable Trust (the “Trust”) was organized as a Delaware statutory trust on June 11, 1998, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series (each, a “Fund” and collectively, the “Funds”):
Tradable Funds (Including Sector Funds*) |
● | Banking Fund* | ● | Basic Materials Fund* |
● | Biotechnology Fund* | ● | Commodities Strategy Fund |
● | Consumer Products Fund* | ● | Dow 2x Strategy Fund |
● | Electronics Fund* | ● | Energy Fund* |
● | Energy Services Fund* | ● | Europe 1.25x Strategy Fund |
● | Financial Services Fund* | ● | Government Long Bond 1.2x Strategy Fund |
● | Health Care Fund* | ● | High Yield Strategy Fund |
● | Internet Fund* | ● | Inverse Dow 2x Strategy Fund |
● | Inverse Government Long Bond Strategy Fund | ● | Inverse High Yield Strategy Fund*** |
● | Inverse Mid-Cap Strategy Fund | ● | Inverse NASDAQ-100 2x Strategy Fund*** |
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● | Inverse NASDAQ-100 Strategy Fund | ● | Inverse Russell 2000 2x Strategy Fund*** |
● | Inverse Russell 2000 Strategy Fund | ● | Inverse S&P 500 2x Strategy Fund*** |
● | Inverse S&P 500 Strategy Fund | ● | Japan 2x Strategy Fund |
● | Leisure Fund* | ● | Mid-Cap 1.5x Strategy Fund |
● | NASDAQ-100 2x Strategy Fund | ● | NASDAQ-100 Fund |
● | Nova Fund | ● | Precious Metals Fund* |
● | Real Estate Fund | ● | Retailing Fund* |
● | Russell 2000 1.5x Strategy Fund | ● | Russell 2000 2x Strategy Fund |
● | Russell 2000 Fund*** | ● | S&P 500 Fund*** |
● | S&P 500 Pure Growth Fund | ● | S&P 500 Pure Value Fund |
● | S&P MidCap 400 Pure Growth Fund | ● | S&P MidCap 400 Pure Value Fund |
● | S&P SmallCap 600 Pure Growth Fund | ● | S&P SmallCap 600 Pure Value Fund |
● | Strengthening Dollar 2x Strategy Fund | ● | Technology Fund* |
● | Telecommunications Fund* | ● | Transportation Fund* |
● | Utilities Fund* | ● | U.S. Government Money Market Fund |
● | Weakening Dollar 2x Strategy Fund | | |
Alternative Funds** (i.e., Non-Tradable Funds) |
● | Global Managed Futures Strategy Fund** | ● | Long Short Equity Fund** |
● | Multi-Hedge Strategies Fund** | | |
* | Each, a “Sector Fund” and collectively, the “Sector Funds.” |
** | Each, an “Alternative Fund” and collectively, the “Alternative Funds.” |
*** | The Fund has been organized as a series of the Trust but has not commenced operations, and shares of the Fund are not currently offered to investors. The investment advisory agreement for the Fund was not considered for renewal. Consequently, all references to “the Funds” or similar references hereafter should be understood as excluding such Fund. |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of the Funds pursuant to an investment advisory agreement between the Trust, with respect to the Funds, and Security Investors (the “Advisory Agreement”).1 (Guggenheim Partners, Security Investors and their affiliates may be referred to herein collectively as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes Security Investors and other affiliated investment management businesses of Guggenheim Partners.)
Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Adviser regularly provides investment research, advice and supervision, along with a continuous investment program for the Funds, and directs the purchase and sale of securities and other investments for each Fund’s portfolio.
The Advisory Agreement continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at
1 | Security Investors also serves as investment adviser to each of Rydex Variable Commodities Strategy CFC, Rydex Variable Managed Futures Strategy CFC and Rydex Variable Multi-Hedge Strategies CFC (each, a “Subsidiary” and collectively, the “Subsidiaries”), wholly-owned subsidiaries of the Trust that are organized as limited companies under the laws of the Cayman Islands and used by Commodities Strategy Fund, Managed Futures Strategy Fund and Multi-Hedge Strategies Fund, respectively, to obtain commodities exposure. Pursuant to a separate investment management agreement for each Subsidiary (each, a “Subsidiary Advisory Agreement” and collectively, the “Subsidiary Advisory Agreements), the Subsidiary pays Security Investors an advisory fee at the same rate that the respective Fund pays Security Investors under the Advisory Agreement. The Subsidiary Advisory Agreements do not require annual renewal by the Independent Trustees and will continue until they are terminated as provided in the Agreements. In addition, Security Investors has entered into a separate waiver agreement with respect to each applicable Fund pursuant to which Security Investors has contractually agreed to waive the advisory fee it receives from the Fund in an amount equal to the advisory fee paid to Security Investors by the respective Subsidiary. This undertaking will continue with respect to each applicable Fund for so long as the Fund invests in the respective Subsidiary, and may be terminated only with the approval of the Board. |
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a meeting called for such purpose.2 At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreement in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreement and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Advisory Agreement.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee met with a representative of FUSE at the April Meeting to discuss how FUSE determined the appropriate peer groups for the Funds. Thereafter, the Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a list of Funds for which no peer funds were identified, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
As part of its evaluation of the Adviser and the proposed renewal of the Advisory Agreement, the Committee took into account that each Tradable Fund is designed to provide tactical advisors with specific exposures (with the exception of the U.S. Government Money Market Fund which is designed to support tactical advisors seeking to avoid market exposure or preserve capital) while also providing for unlimited trading privileges, and that the Tradable Funds offer a unique set of product features. The Committee noted that each Tradable Fund (other than the U.S. Government Money Market Fund) seeks to track, or correlate to, the performance (before fees and expenses) of a specific benchmark index over certain time periods or a specific market, noting that, because appropriate published indices are not available for many of the Sector Funds and the Real Estate Fund, the Adviser has developed its own methodology to construct internal performance benchmarks for the Sector Funds and the Real Estate Fund. In this regard, the Committee received information regarding the Adviser’s proprietary methodology for constructing internal performance benchmarks for such Funds, including the personnel with primary responsibility for the maintenance and execution of the methodology. The Committee also noted that, in addition to the performance information included in the FUSE reports, the Adviser provided tracking error data for each Tradable Fund (other than U.S. Government Money Market Fund) relative to the applicable benchmark index or Guggenheim-constructed internal performance benchmark.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the Advisory Agreement for an additional annual term.
Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The
2 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Advisory Agreement at a meeting of the Board held by videoconference on May 26, 2021. |
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Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, the funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and index methodologies and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
With respect to the Tradable Funds, the Committee considered their unique product features, including their tradability, the real time cash process employed for such Funds, and the leveraged and inverse strategies offered, and the Adviser’s assessment of the value to shareholders provided by the Funds’ structure and the services required by the Adviser to provide the Funds’ unique features. The Committee noted that the Tradable Funds allow frequent trading and noted the magnitude of changes in each Fund’s assets during 2020 and 2019. In this regard, the Committee noted that the real time cash process is utilized by the Adviser to aggregate shareholder flow data to estimate daily net subscriptions or redemptions in order to mitigate the costs associated with the tradability feature, improve tracking and keep the Funds fully invested. The Committee also took into account the infrastructure developed by the Adviser to manage the significant volume and size of trading that typically occurs near the end of each business day, as well as the unique considerations required in the portfolio construction process to determine the optimal way to obtain the applicable exposures, including leveraged and inverse exposures, while allowing for high turnover. With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s proprietary methodology for constructing internal performance benchmarks for such Funds, noting the Adviser’s statement that it uses a quantitative portfolio investment process that also requires investment discretion in implementing adjustments for factors that affect tradability and liquidity, changing dynamics within a sector or market, and corporate actions such as spin-offs, among other adjustments.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Guggenheim’s resources and the ability of the Adviser to carry out its responsibilities under the Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH.
The Committee also considered the acceptability of the terms of the Advisory Agreement, including the scope of services required to be performed by the Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how the Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under the Advisory Agreement with respect to the Funds.
Investment Performance: Except as otherwise noted, the Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. For certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, only investment returns for the five-year, three-year and one-year periods ended December 31, 2020, as applicable, were received. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark and a peer group of similar funds based on asset levels as identified by FUSE, and for certain Funds, a broader universe of funds, in each case for the same periods, as applicable. The Committee also received from FUSE a description
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of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. For the Tradable Funds (other than U.S. Government Money Market Fund), the Committee received tracking error data for other similar funds in the Guggenheim fund complex. The Committee also received certain updated performance information as of March 31, 2021.
With respect to the Tradable Funds (other than U.S. Government Money Market Fund), the Committee considered the Adviser’s statement that such Funds are designed as a suite of products seeking to provide a number of broad and specific exposures for tactical advisors and also considered that the Funds have a unique set of product features designed to meet the needs of those tactical advisors, which has an impact on performance. The Committee considered the Adviser’s statement that, in circumstances in which there are significant deviations from expected returns, management seeks to understand the cause of such deviations and determine if any remedial actions should be considered, noting that no such remedial actions were currently deemed necessary by the Adviser to address performance. The Committee also considered the Adviser’s discussion of factors that contribute to such deviations, including shareholder activity, financing costs associated with leverage and investment instruments used to achieve certain exposures, noting the Adviser’s statement that expenses and transaction costs based on shareholder activity are the primary driver of performance differences.
With respect to certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds in the two direct competitor product suites and noted the Adviser’s statement that certain Tradable Funds do not have any peer funds that provide the same index, leverage or inverse exposure. The Committee also considered management’s commentary explaining instances of significant underperformance (defined as greater than 100 basis points), as applicable, of such Funds over the five-year, three-year and/or one-year periods ended December 31, 2020, relative to their respective peer funds, attributing such relative underperformance to, among other factors, differences in portfolio construction methodologies and exposures. The Committee noted that the two direct competitor product suites do not offer a fund comparable to the Commodities Strategy Fund and considered a comparison to a peer group identified in the FUSE report that includes actively-managed funds, noting the limitations in the comparability of such peer group.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report has product features that make it comparable in this regard. The Committee considered that the Fund outperformed the comparable peer fund over the five-year, three-year and one-year periods ended December 31, 2020, although its performance ranked in the fourth quartile of the broader peer group over the same time periods.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds seeking similar exposures but that do not offer the same product features, including unlimited trading privileges, noting the Adviser’s statement that certain peer funds also cover a narrower or wider market segment than the applicable Fund. The Committee considered management’s commentary explaining such Funds’ underperformance, as applicable, over the five-year, three-year and one-year periods ended December 31, 2020, relative to their respective peer groups, attributing such underperformance to, among other factors, high turnover associated with daily shareholder flows, differences in exposures and the Funds’ modified cap weighting approach to portfolio construction.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), in seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. The Committee observed that the Global Managed Futures Strategy Fund’s returns ranked in the third quartile or better of its performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations regarding the other Alternative Funds:
Long Short Equity Fund: The Fund’s returns ranked in the 80th percentile of its performance universe for the five-year and three-year periods ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily a result of the Fund’s fundamental factor tilts and the underperformance of the Fund’s prior investment strategy. The Committee noted management’s statement that the Fund’s long exposure to value and short exposure to growth, as well as negative sector exposures to well-performing sectors, have detracted from investment performance. The Committee also noted management’s statement that
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the Fund employed a momentum-based investment strategy prior to May 31, 2017 that demonstrated bouts of volatility and inconsistencies, which affected long-term performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 45th and 60th percentiles, respectively.
Multi-Hedge Strategies Fund: The Fund’s returns ranked in the 100th percentile of its performance universe for the five-year and three-year periods ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the underperformance of its long short equity sleeve and its overall lower equity market beta relative to its peers. With respect to the Fund’s long short equity sleeve, the Committee noted management’s statement that the sleeve’s high long exposure to value and short exposure to growth have detracted from investment performance. The Committee took into account management’s statement that the Fund changed its underlying investment strategies to improve diversification amongst the strategies, target a higher and more stable risk profile and enhance risk-adjusted returns while providing continuity for shareholders. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 55th and 21st percentiles, respectively.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee3 and total net expense ratio to the applicable peer group, if any. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable. The Committee noted Guggenheim’s statement that it does not provide advisory services to other clients that have investment strategies similar to those of the Funds, other than the retail fund counterparts to the Funds and certain other clients with respect to Long Short Equity Fund, each of which is charged the same advisory fee as the corresponding Fund.
With respect to the Tradable Funds that are designed to track a widely available index, which have only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds, noting the Adviser’s statement that only one of the two direct competitor product suites is directly comparable for purposes of assessing such Funds’ advisory fees. For those Tradable Funds with a peer fund from the directly comparable product suite, the Committee noted that each Fund’s contractual advisory fee was equal to or lower than the contractual advisory fee charged to the peer fund, with the exception of 15 Funds for which the contractual advisory fee was five basis points higher than the contractual advisory fee charged to the peer fund. With respect to each of those 15 Funds, the Adviser agreed to waive five basis points of its contractual advisory fee through August 1, 2022. The Committee also considered that each such Fund’s net effective management fee was competitive. The Committee noted that the higher total net expense ratio as compared to the peer fund was driven primarily by the higher other operating expenses of each such Fund.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report is directly comparable in terms of product features offered. The Committee considered that, as of the Fund’s and the peer fund’s respective fiscal year ends, the Fund’s contractual advisory fee, net effective management fee and total net expense ratio are lower than those of the peer fund. The Committee noted the Adviser’s statement that, given the current low interest rate environment, it is currently waiving, and intends to continue to waive, all or a portion of its fees to the extent necessary to maintain the Fund’s stable net asset value.
3 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
OTHER INFORMATION (Unaudited)(continued) |
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds seeking similar exposures but that do not offer the same product features, such as unlimited trading privileges. As a result, the fee and expense comparisons are more difficult given the uniqueness of both the Funds’ structure and the portfolio management needed to meet client requirements.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), the Committee made the following observations:
Global Managed Futures Strategy Fund: The Fund’s contractual advisory fee ranks in the fourth quartile (100th percentile) of its peer group. The Fund’s net effective management fee ranks in the first quartile (1st percentile) of its peer group. The Fund’s total net expense ratio ranks in the fourth quartile (100th percentile) of its peer group, with higher other operating expenses than its peer fund. The Committee considered that the peer group is limited in size and is comprised of only two funds. The Committee noted that the Fund’s contractual advisory fee and total net expense ratio each rank more competitively when compared to the broader universe of funds.
Long Short Equity Fund: The Fund’s contractual advisory fee, net effective management fee and total net expense ratio each rank in the fourth quartile (80th, 80th and 100th percentiles, respectively) of its peer group. The Committee noted the Fund’s higher other operating expenses compared to its peers. The Committee considered that the peer group is limited in size and is comprised of only six funds.
Multi-Hedge Strategies Fund: Although the Fund’s contractual advisory fee ranks in the fourth quartile (75th percentile) of its peer group, the Committee considered that the Fund’s net effective management fee and total net expense ratio each rank at the median of its peer group. The Committee considered that the peer group is limited in size and is comprised of only five funds.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.
The Committee also considered other benefits available to the Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Adviser derives any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Adviser may benefit from certain economies of scale and synergies, such as enhanced visibility of the Adviser, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by the Adviser from its relationship with the Funds were appropriate and that the Adviser’s profitability from its relationship with the Funds was not unreasonable.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.
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OTHER INFORMATION (Unaudited)(concluded) |
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for an Alternative Fund (i.e., a non-Tradable Fund), with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee also considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such expense waivers and limitations. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.
Overall Conclusions
The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of the Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of the Advisory Agreement for an additional annual term.
94 | 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 | Position(s) Held
with Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios in
Fund Complex
Overseen | Other Directorships
Held by Trustees*** |
INDEPENDENT TRUSTEES | | | | |
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2019 (Trustee) Since 2020
(Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 157 | Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016). |
Angela Brock-Kyle (1959) | Trustee | Since 2016 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012). | 156 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Infinity Property & Casualty Corp. (2014-2018). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2005 (Trustee) Since 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 156 | Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019). |
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2019 | Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 157 | Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s) Held
with Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios in
Fund Complex
Overseen | Other Directorships
Held by Trustees*** |
INDEPENDENT TRUSTEES - concluded | | | | |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2016 (Trustee) Since 2019
(Chair of the Audit Committee) | Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017). | 156 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2019 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 156 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
96 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s) Held
with Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years | Number of
Portfolios in
Fund Complex
Overseen | Other Directorships
Held by Trustees*** |
INTERESTED TRUSTEE | | | | |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2019 | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 157 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address*
and Year of Birth | Position(s) Held
with Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS | | | |
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2019 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
James M. Howley (1972) | Assistant Treasurer | Since 2016 | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004). |
Mark E. Mathiasen (1978) | Secretary | Since 2017 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2018 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014). |
Margaux Misantone (1978) | AML Officer | Since 2017 | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address*
and Year of Birth | Position(s) Held
with Trust | Term of Office
and Length of
Time Served** | Principal Occupation(s)
During Past Five Years |
OFFICERS - concluded | | | |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2016 | 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, Mutual Fund Administration for 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). |
Bryan Stone (1979) | Vice President | Since 2019 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2016 | Current: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, 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.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
| | ● | We use your information in connection with servicing your accounts. |
| | ● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
| | ● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
| | ● | We use information for security purposes. We may use your information to protect our company and our customers. |
| | ● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
| | ● | We use information as otherwise permitted by law, as we may notify you. |
| | ● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
102 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Rydex Variable Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
| | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 103 |
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Item 2. Code of Ethics.
Not applicable at this time.
Item 3. Audit Committee Financial Expert.
Not applicable at this time.
Item 4. Principal Accountant Fees and Services.
Not applicable at this time.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of this filing and have concluded that based on such evaluation as required by Rule 30a-3(b) under the Investment Company Act, that the registrant’s disclosure controls and procedures were effective as of that date in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
(b) The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the registrant’s period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed End Fund Management Investment Companies.
Not Applicable
Item 13. Exhibits.
(a)(1) Not applicable.
(a)(2) Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached.
(b) A certification by the registrant’s President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)) is attached.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (Registrant) | Rydex Variable Trust | |
| | | |
| By (Signature and Title)* | /s/ Brian E. Binder | |
| | Brian E. Binder, President and Chief Executive Officer | |
| | | |
| Date | September 8, 2021 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title)* | /s/ Brian E. Binder | |
| Brian E. Binder, President and Chief Executive Officer | |
| | | |
| Date | September 8, 2021 | |
| | | |
| By (Signature and Title)* | /s/ John L. Sullivan | |
| | John L. Sullivan, Chief Financial Officer and Treasurer | |
| | | |
| Date | September 8, 2021 | |
| * | Print the name and title of each signing officer under his or her signature. |
