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: (301) 296-5100
Date of fiscal year end: December 31
Date of reporting period: January 1, 2023 - December 31, 2023
Item 1. Reports to Stockholders.
The registrant’s 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:
12.31.2023
Rydex Variable Trust Funds 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-ANN-1223x1224 |
| | |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
LONG SHORT EQUITY FUND | 8 |
GLOBAL MANAGED FUTURES STRATEGY FUND | 27 |
MULTI-HEDGE STRATEGIES FUND | 37 |
COMMODITIES STRATEGY FUND | 63 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS | 71 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 86 |
OTHER INFORMATION | 87 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 89 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 95 |
| | THE RYDEX FUNDS ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for the Long Short Equity Fund, Global Managed Futures Strategy Fund, Multi-Hedge Strategies Fund and Commodities Strategy Fund (each, a “Fund” and collectively, the “Funds”), separate series of Rydex Variable Trust. This report covers the performance of the Funds for the annual period ended December 31, 2023 (the “Reporting Period”).
The Investment Adviser is 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, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
January 31, 2024
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.
2 | THE RYDEX FUNDS ANNUAL REPORT | |
The Long Short Equity Fund may not be suitable for all investors. ●The Fund is subject to the risk that the Investment Adviser’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. ● The 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. Please read the prospectus for more detailed information regarding these and other risks.
The Global Managed Futures Strategy Fund 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 are subject to 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 commodities 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. ● Please read the prospectus for more detailed information regarding these and other 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. ● Please read the prospectus for more detailed information regarding these and other 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 commodities 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 risk, 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. ● The 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. ● Please read the prospectus for more detailed information regarding these and other risks.
| | THE RYDEX FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | December 31, 2023 |
The U.S. economy has proved resilient to tight monetary policy by the Federal Reserve (the “Fed”), helped by falling inflation boosting real incomes and consumer sentiment, an expansion in the fiscal deficit over the past year, and a supply-side boost as labor force participation improves. We believe these tailwinds are likely to fade going forward which would pressure growth. Consumer spending also faces headwinds from dwindling excess savings buffers.
The Fed-induced easing of financial conditions, with interest rates falling and stock prices rising, has taken pressure off the economy and helped bring down recession risk. While it appears recession risk has come down, it is still materially higher than very optimistic market expectations would suggest. The 2024 election could add to volatility and uncertainty. We expect Treasury yields to decline more than the market currently anticipates in 2024, though they are unlikely to return to the lows of the last cycle.
We expect default rates to stay elevated as U.S. companies cope with rising borrowing costs and limited credit availability, but the stress will become increasingly bifurcated between large and small companies. High-quality corporate debt and structured credit yields should provide an income cushion that could reduce the impact if spreads should widen from here.
The two-year Treasury yield declined to 4.23% from 5.03% in the fourth quarter, while the 10-year Treasury yield dropped to 3.88% from 4.59%, a 9 basis point flattening in the 2s/10s yield curve. One basis point equals 0.01%. Investment-grade corporate bond issuance has been robust, predominantly split between financials and industrials. Investment-grade spreads, which peaked at 163 basis points in April, tightened to 103 basis points by the end of the year. Meanwhile, high-yield bond credit spreads narrowed to just 363 basis points by year-end, the tightest since April 2022, and marking a significant reduction from 491 basis points at the beginning of the year. Leveraged loan discount margins tightened from 652 basis points to 528 basis points, but 44% of the loan index is trading at spreads below 400 basis points and the median loan ended the year at 464 basis points. Structured credit spreads rallied into year-end, capping a strong year of outperformance for structured credit. In CLOs, we continue to expect range bound primary spreads and an increase in refinancings and resets in early 2024.
For the Reporting Period, the S&P 500® Index* returned 26.29%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 18.24%. The return of the MSCI Emerging Markets Index* was 9.83%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a 5.53% return for the Reporting Period, while the Bloomberg U.S. Corporate High Yield Index* returned 13.45%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 5.05% for the Reporting 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 ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | December 31, 2023 |
*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 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 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.
ICE BofA 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.
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.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® Index is a 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.
SG (Societe Generale) CTA Index is designed to track the largest 20 (by AUM) Commodity Trading Advisors, or CTAs, and be representative of the managed futures space. The CTA Index is equally weighted, and rebalanced and reconstituted annually.
Wilshire Focused Liquid Alternative Index measures the performance of a focused basket of mutual funds that provides risk adjusted exposure to equity hedge, global macro, relative value, and event driven alternative investment strategies.
| | THE RYDEX FUNDS 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 June 30, 2023 and ending December 31, 2023.
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 ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| | Expense
Ratio1 | | | Fund
Return | | | Beginning
Account Value
June 30, 2023 | | | Ending
Account Value
December 31, 2023 | | | Expenses
Paid During
Period2 | |
Table 1. Based on actual Fund return3 | | | | | | | | | | | | | | | | | | | | |
Long Short Equity Fund | | | 1.93 | % | | | 4.00 | % | | $ | 1,000.00 | | | $ | 1,040.00 | | | $ | 9.92 | |
Global Managed Futures Strategy Fund | | | 2.03 | % | | | 0.60 | % | | | 1,000.00 | | | | 1,006.00 | | | | 10.26 | |
Multi-Hedge Strategies Fund | | | 1.64 | % | | | 2.48 | % | | | 1,000.00 | | | | 1,024.80 | | | | 8.37 | |
Commodities Strategy Fund | | | 1.68 | % | | | 2.72 | % | | | 1,000.00 | | | | 1,027.20 | | | | 8.58 | |
|
Table 2. Based on hypothetical 5% return (before expenses) | | | | | | | | | | | | | | | | |
Long Short Equity Fund | | | 1.93 | % | | | 5.00 | % | | $ | 1,000.00 | | | $ | 1,015.48 | | | $ | 9.80 | |
Global Managed Futures Strategy Fund | | | 2.03 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,014.97 | | | | 10.31 | |
Multi-Hedge Strategies Fund | | | 1.64 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.94 | | | | 8.34 | |
Commodities Strategy Fund | | | 1.68 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.74 | | | | 8.54 | |
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 interest expenses. Excluding these expenses, the net 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 184/365 (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 June 30, 2023 to December 31, 2023. |
| | THE RYDEX FUNDS ANNUAL REPORT | 7 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
LONG SHORT EQUITY FUND
OBJECTIVE: Seeks long-term capital appreciation.
For the Reporting Period, Guggenheim Long Short Equity Fund returned 12.75%. The Fund outperformed one of the two benchmarks used by the Fund in the period, the Morningstar Long/Short Equity Category Average, which returned 9.28%, and underperformed the other benchmark, the S&P 500 Index, which returned 26.29% for the same one-year period.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
For the Reporting Period, the broad market strongly recovered in a goldilocks environment of slowing inflation with sustained economic strength. The year started similarly to how it ended 2022, with interest rates rising, which lead to pockets of struggle (for example, several regional banks going bust due to imbalances between their short term and long term liabilities). By late summer the tone had changed. Supply constraints eased, as did many commodity prices (particularly oil & gas). Meanwhile, the drumbeat of calls for a coming recession proved to be wrong (or early perhaps) – with the job market holding fairly steady despite the continued Fed rate increases. ‘Soft Landing’ replaced the term ‘Recession’ in economic news. The last Fed hike was in July, and by the end of 2023, the new consensus was anticipated gradual and steady Fed rate cuts in 2024.
As is often the case, the equity markets responded in strange ways. For most of the year, the cap-weighted benchmarks had impressive gains driven by the so-called ‘Magnificent Seven’ megacaps, with AI-related growth being a huge driver for the likes of Microsoft, Nvidia, Alphabet, and Meta. Outside of those largest growth companies, returns were much weaker. The large cap value benchmarks, and small cap benchmarks, were all underwater for the year-to-date in late October. As the year closed out with long-term rates on the decline, all asset classes held a large risk-on rally (and particularly the laggards from earlier in the year). Companies with difficult profitability or leverage metrics seemed to rebound the most, as the easing of rate increases and spreads eased their situations the most.
The Fund had a +12.75% return, but after subtracting the +11.25% gain in our preferred risk benchmark blend of 30% S&P 500 and 70% cash, the excess return was a +1.50% outperformance. The overall market gains contributed about +1.6% based on our net long exposure averaging a bit higher than the benchmark. The realized beta (sensitivity of daily returns to broad stock benchmark moves) was about 0.49 for the year.
Overall fundamental style positioning worked in the Fund’s favor by about +11.7% attribution. Value names had a good year vis-à-vis expensive names, particularly among the small and mid-caps. A bias towards high-quality positions also paid off (mostly early in 2023, before the risk-on rally commenced).
Industry tilts ended with a moderate -1.6% drag in excess of the risk benchmark. A net long among Health Care names was a drag, as that sector was one of the poorly performing ‘defensive’ sectors (along with Utilities and Staples). On the plus side, the Fund’s net long in the Capital Goods industry was a positive contributor. Security selection (the impact of returns within style and industry groups) was a drag of -3.6%.
How did the Fund use derivatives during the Reporting Period?
The Fund uses total return swaps to gain exposure to short positions and to attain some leverage on the long side when surpassing 100% long weights. In total, the derivatives resulted in a net negative market exposure, creating a partial market hedge against assets that are invested in long stocks. While the standalone performance of derivatives was negative for the Reporting Period as the market rose significantly, the partial market hedge performed as expected.
How was the Fund positioned at the end of the Reporting Period?
At Reporting Period end, the Fund held about 193% of assets in long securities, and 115% short, for a net-dollar exposure of 78%. Because the long side exposure holds higher-quality and more-defensive sectors, while the short side focuses on higher-risk names, the actual expected net ‘beta’ of the fund is in the 0.45 to 0.50 range.
The Fund maintains its style bias towards cheaper valuation names. Our bias towards higher profitability and low stock volatility remains. The Fund is slightly short the growth factor, but that bias is closer to neutral than in years past.
8 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | December 31, 2023 |
From an industry perspective, the Fund’s largest net long sectors are IT, Health Care, and Consumer Discretionary, with our names mostly focused on cheaper and higher-cash-flow-generating groups within those otherwise growth-oriented sectors. The largest net short exposures are Real Estate, and Materials. Notably, the Fund has flipped to a net short exposure in the Materials sector – including many chemicals and mining names.
Performance displayed represents past performance which is no guarantee of future results.
| | THE RYDEX FUNDS ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Cumulative Fund Performance*,†
Inception Date: May 1, 2002 |
Ten Largest Holdings | % of Total Net Assets |
Microsoft Corp. | 1.9% |
QUALCOMM, Inc. | 0.9% |
Merck & Company, Inc. | 0.9% |
Johnson & Johnson | 0.9% |
Toll Brothers, Inc. | 0.9% |
Visa, Inc. — Class A | 0.9% |
Thermo Fisher Scientific, Inc. | 0.9% |
Cisco Systems, Inc. | 0.9% |
Incyte Corp. | 0.9% |
Viatris, Inc. | 0.9% |
Top Ten Total | 10.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Long Short Equity Fund | 12.75% | 5.76% | 3.32% |
Morningstar Long/Short Equity Category Average | 9.28% | 5.29% | 3.25% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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. |
10 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 98.7% |
| | | | | | | | | |
Industrial - 16.7% |
Middleby Corp.* | | | 1,474 | | | $ | 216,928 | |
Acuity Brands, Inc.1 | | | 1,052 | | | | 215,481 | |
Donaldson Company, Inc.1 | | | 3,147 | | | | 205,656 | |
Snap-on, Inc. | | | 698 | | | | 201,610 | |
Boise Cascade Co.1 | | | 1,525 | | | | 197,274 | |
TD SYNNEX Corp. | | | 1,770 | | | | 190,470 | |
IDEX Corp. | | | 871 | | | | 189,103 | |
Brady Corp. — Class A | | | 3,024 | | | | 177,478 | |
Carlisle Companies, Inc. | | | 555 | | | | 173,399 | |
Apogee Enterprises, Inc.1 | | | 3,098 | | | | 165,464 | |
International Seaways, Inc. | | | 3,569 | | | | 162,318 | |
Garmin Ltd. | | | 1,261 | | | | 162,089 | |
Terex Corp. | | | 2,788 | | | | 160,199 | |
Mueller Industries, Inc. | | | 2,763 | | | | 130,275 | |
Teekay Corp.* | | | 15,888 | | | | 113,599 | |
Huntington Ingalls Industries, Inc. | | | 433 | | | | 112,424 | |
A O Smith Corp. | | | 1,350 | | | | 111,294 | |
AGCO Corp. | | | 886 | | | | 107,569 | |
Owens Corning | | | 687 | | | | 101,834 | |
EnerSys | | | 993 | | | | 100,253 | |
UFP Industries, Inc.1 | | | 791 | | | | 99,310 | |
Encore Wire Corp. | | | 458 | | | | 97,829 | |
Keysight Technologies, Inc.* | | | 588 | | | | 93,545 | |
Scorpio Tankers, Inc. | | | 1,482 | | | | 90,106 | |
Argan, Inc.1 | | | 1,809 | | | | 84,643 | |
Vontier Corp. | | | 2,269 | | | | 78,394 | |
Atkore, Inc.*,1 | | | 473 | | | | 75,680 | |
Ardmore Shipping Corp. | | | 5,257 | | | | 74,071 | |
Griffon Corp. | | | 1,184 | | | | 72,165 | |
Lindsay Corp. | | | 523 | | | | 67,551 | |
Teekay Tankers Ltd. — Class A | | | 1,325 | | | | 66,210 | |
Builders FirstSource, Inc.*,1 | | | 358 | | | | 59,764 | |
Enerpac Tool Group Corp. | | | 1,360 | | | | 42,283 | |
Insteel Industries, Inc.1 | | | 1,088 | | | | 41,660 | |
World Kinect Corp. | | | 1,824 | | | | 41,551 | |
Total Industrial | | | | | | | 4,279,479 | |
| | | | | | | | | |
Consumer, Cyclical - 16.1% |
Toll Brothers, Inc.1 | | | 2,207 | | | | 226,858 | |
NVR, Inc.*,1 | | | 31 | | | | 217,014 | |
DR Horton, Inc.1 | | | 1,332 | | | | 202,437 | |
Starbucks Corp. | | | 2,108 | | | | 202,389 | |
MSC Industrial Direct Company, Inc. — Class A | | | 1,977 | | | | 200,191 | |
Brunswick Corp.1 | | | 1,995 | | | | 193,016 | |
Meritage Homes Corp. | | | 1,040 | | | | 181,168 | |
Standard Motor Products, Inc. | | | 4,369 | | | | 173,930 | |
PulteGroup, Inc.1 | | | 1,682 | | | | 173,616 | |
Monarch Casino & Resort, Inc. | | | 2,454 | | | | 169,694 | |
Gentex Corp. | | | 5,050 | | | | 164,933 | |
Allison Transmission Holdings, Inc.1 | | | 2,746 | | | | 159,680 | |
Lowe’s Companies, Inc. | | | 706 | | | | 157,120 | |
Cummins, Inc. | | | 575 | | | | 137,753 | |
M/I Homes, Inc.* | | | 991 | | | | 136,500 | |
KB Home1 | | | 1,737 | | | | 108,493 | |
PACCAR, Inc.1 | | | 1,064 | | | | 103,899 | |
AutoNation, Inc.* | | | 678 | | | | 101,822 | |
Lennar Corp. — Class A1 | | | 627 | | | | 93,448 | |
General Motors Co.1 | | | 2,529 | | | | 90,842 | |
Polaris, Inc. | | | 956 | | | | 90,600 | |
Taylor Morrison Home Corp. — Class A* | | | 1,607 | | | | 85,734 | |
Target Corp. | | | 600 | | | | 85,452 | |
Home Depot, Inc.1 | | | 219 | | | | 75,894 | |
Columbia Sportswear Co. | | | 912 | | | | 72,541 | |
Patrick Industries, Inc. | | | 660 | | | | 66,231 | |
Dolby Laboratories, Inc. — Class A | | | 694 | | | | 59,809 | |
Golden Entertainment, Inc. | | | 1,402 | | | | 55,982 | |
MasterCraft Boat Holdings, Inc.* | | | 2,365 | | | | 53,544 | |
BorgWarner, Inc. | | | 1,431 | | | | 51,301 | |
Malibu Boats, Inc. — Class A* | | | 839 | | | | 45,994 | |
Macy’s, Inc. | | | 2,222 | | | | 44,707 | |
ScanSource, Inc.* | | | 1,116 | | | | 44,205 | |
Ethan Allen Interiors, Inc. | | | 1,382 | | | | 44,113 | |
Caleres, Inc. | | | 1,241 | | | | 38,136 | |
Total Consumer, Cyclical | | | | | | | 4,109,046 | |
| | | | | | | | | |
Consumer, Non-cyclical - 16.0% |
Merck & Company, Inc.1 | | | 2,088 | | | | 227,634 | |
Johnson & Johnson | | | 1,449 | | | | 227,116 | |
Thermo Fisher Scientific, Inc. | | | 426 | | | | 226,117 | |
Incyte Corp.*,1 | | | 3,511 | | | | 220,456 | |
Viatris, Inc. | | | 20,336 | | | | 220,239 | |
Gilead Sciences, Inc.1 | | | 2,611 | | | | 211,517 | |
Bristol-Myers Squibb Co.1 | | | 3,981 | | | | 204,265 | |
Ingredion, Inc. | | | 1,816 | | | | 197,091 | |
Hologic, Inc.*,1 | | | 2,758 | | | | 197,059 | |
Pfizer, Inc.1 | | | 6,799 | | | | 195,743 | |
Colgate-Palmolive Co. | | | 2,203 | | | | 175,601 | |
Innoviva, Inc.*,1 | | | 7,864 | | | | 126,138 | |
Biogen, Inc.*,1 | | | 483 | | | | 124,986 | |
Premier, Inc. — Class A | | | 5,213 | | | | 116,563 | |
Dynavax Technologies Corp.*,1 | | | 8,295 | | | | 115,964 | |
Exelixis, Inc.*,1 | | | 4,783 | | | | 114,744 | |
United Therapeutics Corp.*,1 | | | 451 | | | | 99,170 | |
Cencora, Inc. — Class A | | | 440 | | | | 90,367 | |
Perdoceo Education Corp. | | | 4,444 | | | | 78,037 | |
Royalty Pharma plc — Class A | | | 2,773 | | | | 77,894 | |
Baxter International, Inc. | | | 1,982 | | | | 76,624 | |
PayPal Holdings, Inc.* | | | 1,081 | | | | 66,384 | |
Humana, Inc.1 | | | 132 | | | | 60,431 | |
Heidrick & Struggles International, Inc.1 | | | 1,978 | | | | 58,410 | |
Molina Healthcare, Inc.*,1 | | | 160 | | | | 57,810 | |
Centene Corp.*,1 | | | 711 | | | | 52,763 | |
Alarm.com Holdings, Inc.* | | | 797 | | | | 51,502 | |
Cross Country Healthcare, Inc.* | | | 2,146 | | | | 48,586 | |
Neurocrine Biosciences, Inc.* | | | 362 | | | | 47,697 | |
Organon & Co. | | | 3,291 | | | | 47,456 | |
Ligand Pharmaceuticals, Inc. — Class B* | | | 645 | | | | 46,066 | |
Edwards Lifesciences Corp.* | | | 554 | | | | 42,242 | |
Agilent Technologies, Inc. | | | 300 | | | | 41,709 | |
AbbVie, Inc. | | | 269 | | | | 41,687 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Value | |
Supernus Pharmaceuticals, Inc.* | | | 1,382 | | | $ | 39,995 | |
Eli Lilly & Co. | | | 66 | | | | 38,473 | |
Halozyme Therapeutics, Inc.* | | | 957 | | | | 35,371 | |
Total Consumer, Non-cyclical | | | | | | | 4,099,907 | |
| | | | | | | | | |
Financial - 12.4% |
Visa, Inc. — Class A | | | 870 | | | | 226,504 | |
Radian Group, Inc. | | | 7,418 | | | | 211,784 | |
MGIC Investment Corp. | | | 10,861 | | | | 209,509 | |
Essent Group Ltd. | | | 3,921 | | | | 206,793 | |
Equity Commonwealth REIT | | | 10,107 | | | | 194,054 | |
Ambac Financial Group, Inc.*,1 | | | 10,664 | | | | 175,743 | |
Hartford Financial Services Group, Inc. | | | 2,167 | | | | 174,183 | |
Globe Life, Inc. | | | 1,336 | | | | 162,618 | |
Brixmor Property Group, Inc. REIT | | | 5,788 | | | | 134,687 | |
AvalonBay Communities, Inc. REIT | | | 666 | | | | 124,688 | |
American Express Co.1 | | | 664 | | | | 124,394 | |
International Bancshares Corp.1 | | | 2,248 | | | | 122,111 | |
Interactive Brokers Group, Inc. — Class A | | | 1,425 | | | | 118,132 | |
National Storage Affiliates Trust REIT | | | 2,793 | | | | 115,826 | |
MetLife, Inc.1 | | | 1,544 | | | | 102,105 | |
American Financial Group, Inc. | | | 829 | | | | 98,560 | |
Jackson Financial, Inc. — Class A | | | 1,836 | | | | 94,003 | |
Enact Holdings, Inc.1 | | | 3,116 | | | | 90,021 | |
Mr Cooper Group, Inc.* | | | 1,280 | | | | 83,354 | |
Walker & Dunlop, Inc. | | | 731 | | | | 81,148 | |
Reinsurance Group of America, Inc. — Class A | | | 485 | | | | 78,463 | |
Berkshire Hathaway, Inc. — Class B* | | | 182 | | | | 64,912 | |
Virtus Investment Partners, Inc. | | | 193 | | | | 46,660 | |
Affiliated Managers Group, Inc. | | | 285 | | | | 43,155 | |
Preferred Bank/Los Angeles CA | | | 589 | | | | 43,027 | |
East West Bancorp, Inc. | | | 589 | | | | 42,379 | |
Total Financial | | | | | | | 3,168,813 | |
| | | | | | | | | |
Technology - 12.4% |
Microsoft Corp.1 | | | 1,278 | | | | 480,579 | |
QUALCOMM, Inc. | | | 1,615 | | | | 233,577 | |
International Business Machines Corp.1 | | | 1,293 | | | | 211,470 | |
Apple, Inc.1 | | | 1,072 | | | | 206,392 | |
Amdocs Ltd. | | | 2,271 | | | | 199,598 | |
Genpact Ltd. | | | 4,763 | | | | 165,324 | |
Dropbox, Inc. — Class A* | | | 4,829 | | | | 142,359 | |
Cirrus Logic, Inc.* | | | 1,602 | | | | 133,270 | |
Electronic Arts, Inc.1 | | | 894 | | | | 122,308 | |
Insight Enterprises, Inc.* | | | 686 | | | | 121,552 | |
Applied Materials, Inc.1 | | | 680 | | | | 110,208 | |
Immersion Corp.1 | | | 14,636 | | | | 103,330 | |
Hewlett Packard Enterprise Co.1 | | | 5,840 | | | | 99,163 | |
Photronics, Inc.* | | | 3,031 | | | | 95,082 | |
NVIDIA Corp.1 | | | 171 | | | | 84,683 | |
NXP Semiconductor N.V. | | | 306 | | | | 70,282 | |
NetApp, Inc. | | | 699 | | | | 61,624 | |
Skyworks Solutions, Inc.1 | | | 542 | | | | 60,932 | |
Amkor Technology, Inc. | | | 1,769 | | | | 58,855 | |
ServiceNow, Inc.* | | | 78 | | | | 55,106 | |
Bandwidth, Inc. — Class A* | | | 3,683 | | | | 53,293 | |
Broadcom, Inc. | | | 44 | | | | 49,115 | |
Blackbaud, Inc.* | | | 535 | | | | 46,385 | |
Fortinet, Inc.* | | | 743 | | | | 43,488 | |
CEVA, Inc.* | | | 1,810 | | | | 41,105 | |
DXC Technology Co.* | | | 1,634 | | | | 37,370 | |
Veradigm, Inc.*,1 | | | 3,494 | | | | 36,652 | |
Teradata Corp.* | | | 817 | | | | 35,548 | |
Total Technology | | | | | | | 3,158,650 | |
| | | | | | | | | |
Communications - 12.3% |
Cisco Systems, Inc.1 | | | 4,455 | | | | 225,067 | |
InterDigital, Inc. | | | 1,902 | | | | 206,443 | |
Yelp, Inc. — Class A* | | | 4,142 | | | | 196,082 | |
Meta Platforms, Inc. — Class A*,1 | | | 551 | | | | 195,032 | |
Fox Corp. — Class A1 | | | 6,439 | | | | 191,045 | |
VeriSign, Inc.* | | | 898 | | | | 184,952 | |
T-Mobile US, Inc. | | | 1,147 | | | | 183,898 | |
Verizon Communications, Inc.1 | | | 4,811 | | | | 181,375 | |
AT&T, Inc.1 | | | 10,778 | | | | 180,855 | |
Alphabet, Inc. — Class C*,1 | | | 1,191 | | | | 167,848 | |
IDT Corp. — Class B*,1 | | | 4,022 | | | | 137,110 | |
Juniper Networks, Inc.1 | | | 4,597 | | | | 135,520 | |
TEGNA, Inc. | | | 7,964 | | | | 121,849 | |
Ooma, Inc.* | | | 11,149 | | | | 119,629 | |
Amazon.com, Inc.*,1 | | | 715 | | | | 108,637 | |
Booking Holdings, Inc.*,1 | | | 23 | | | | 81,586 | |
Ciena Corp.*,1 | | | 1,711 | | | | 77,012 | |
Shutterstock, Inc. | | | 1,480 | | | | 71,454 | |
Gogo, Inc.* | | | 7,009 | | | | 71,001 | |
Walt Disney Co. | | | 727 | | | | 65,641 | |
FactSet Research Systems, Inc. | | | 128 | | | | 61,063 | |
Spok Holdings, Inc. | | | 3,624 | | | | 56,099 | |
Cargurus, Inc.* | | | 1,867 | | | | 45,107 | |
A10 Networks, Inc.1 | | | 3,026 | | | | 39,852 | |
Cars.com, Inc.* | | | 2,061 | | | | 39,097 | |
Total Communications | | | | | | | 3,143,254 | |
| | | | | | | | | |
Utilities - 5.6% |
PPL Corp. | | | 7,358 | | | | 199,402 | |
Evergy, Inc. | | | 3,786 | | | | 197,629 | |
Xcel Energy, Inc. | | | 3,192 | | | | 197,617 | |
Atmos Energy Corp.1 | | | 1,702 | | | | 197,262 | |
National Fuel Gas Co. | | | 3,757 | | | | 188,488 | |
Public Service Enterprise Group, Inc. | | | 3,080 | | | | 188,342 | |
Northwestern Energy Group, Inc. | | | 3,583 | | | | 182,339 | |
ONE Gas, Inc. | | | 1,158 | | | | 73,788 | |
Total Utilities | | | | | | | 1,424,867 | |
| | | | | | | | | |
Energy - 5.5% |
EOG Resources, Inc. | | | 1,633 | | | | 197,511 | |
Marathon Petroleum Corp.1 | | | 1,329 | | | | 197,170 | |
Valero Energy Corp.1 | | | 1,478 | | | | 192,140 | |
Cheniere Energy, Inc. | | | 829 | | | | 141,518 | |
Liberty Energy, Inc. — Class A1 | | | 6,082 | | | | 110,328 | |
Occidental Petroleum Corp.1 | | | 1,680 | | | | 100,313 | |
PBF Energy, Inc. — Class A | | | 1,883 | | | | 82,777 | |
CVR Energy, Inc.1 | | | 2,580 | | | | 78,174 | |
12 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Value | |
Helmerich & Payne, Inc. | | | 2,135 | | | $ | 77,330 | |
SandRidge Energy, Inc. | | | 4,775 | | | | 65,274 | |
Exxon Mobil Corp. | | | 613 | | | | 61,288 | |
NOW, Inc.* | | | 4,691 | | | | 53,102 | |
SolarEdge Technologies, Inc.* | | | 456 | | | | 42,682 | |
Total Energy | | | | | | | 1,399,607 | |
| | | | | | | | | |
Basic Materials - 1.4% |
NewMarket Corp.1 | | | 362 | | | | 197,590 | |
Cabot Corp. | | | 1,059 | | | | 88,427 | |
Sylvamo Corp. | | | 1,526 | | | | 74,942 | |
Total Basic Materials | | | | | | | 360,959 | |
| | | | | | | | | |
Government - 0.3% |
Banco Latinoamericano de Comercio Exterior S.A. — Class E | | | 3,081 | | | | 76,224 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $22,590,703) | | | | | | | 25,220,806 | |
| | | | | | | | | |
MONEY MARKET FUND† - 2.1% |
Invesco Treasury Obligations Portfolio, 5.20%2 | | | 539,490 | | | | 539,490 | |
Total Money Market Fund | | | | |
(Cost $539,490) | | | | | | | 539,490 | |
| | | | | | | | | |
Total Investments - 100.8% | | | | |
(Cost $23,130,193) | | $ | 25,760,296 | |
Other Assets & Liabilities, net - (0.8)% | | | (197,893 | ) |
Total Net Assets - 100.0% | | $ | 25,562,403 | |
Custom Basket Swap Agreements |
Counterparty | Reference Obligation | Type | Financing
Rate | | 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 | Pay | 5.73% (Federal
Funds Rate +
0.40%) | | | At Maturity | | | | 11/27/24 | | | $ | 12,377,997 | | | $ | 1,286,793 | |
Goldman Sachs International | GS Equity Custom Basket | Pay | 5.78% (Federal
Funds Rate +
0.45%) | | | At Maturity | | | | 05/06/24 | | | | 12,052,837 | | | | 1,277,101 | |
| | | | | | | | | | | | | | $ | 24,430,834 | | | $ | 2,563,894 | |
OTC Custom Basket Swap Agreements Sold Short†† |
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | Receive | 5.03% (Federal
Funds Rate -
0.30%) | | | At Maturity | | | | 11/27/24 | | | $ | 14,824,745 | | | $ | (1,014,709 | ) |
Goldman Sachs International | GS Equity Custom Basket | Receive | 5.13% (Federal
Funds Rate -
0.20%) | | | At Maturity | | | | 05/06/24 | | | | 14,824,734 | | | | (1,023,177 | ) |
| | | | | | | | | | | | | | $ | 29,649,479 | | | $ | (2,037,886 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
MS EQUITY LONG CUSTOM BASKET | | | | | | | | |
Industrial | | | | | | | | | | | | |
Boise Cascade Co. | | | 739 | | | | 0.77 | % | | $ | 37,049 | |
Mueller Industries, Inc. | | | 1,338 | | | | 0.51 | % | | | 25,532 | |
Snap-on, Inc. | | | 338 | | | | 0.79 | % | | | 20,834 | |
Acuity Brands, Inc. | | | 509 | | | | 0.84 | % | | | 17,596 | |
Donaldson Company, Inc. | | | 1,524 | | | | 0.80 | % | | | 16,290 | |
UFP Industries, Inc. | | | 383 | | | | 0.39 | % | | | 15,843 | |
Terex Corp. | | | 1,350 | | | | 0.63 | % | | | 11,543 | |
TD SYNNEX Corp. | | | 857 | | | | 0.75 | % | | | 11,316 | |
Encore Wire Corp. | | | 222 | | | | 0.38 | % | | | 10,185 | |
Owens Corning | | | 333 | | | | 0.40 | % | | | 9,707 | |
Middleby Corp. | | | 714 | | | | 0.85 | % | | | 9,659 | |
Apogee Enterprises, Inc. | | | 1,500 | | | | 0.65 | % | | | 9,303 | |
Scorpio Tankers, Inc. | | | 718 | | | | 0.35 | % | | | 8,880 | |
Builders FirstSource, Inc. | | | 174 | | | | 0.23 | % | | | 7,773 | |
Atkore, Inc. | | | 229 | | | | 0.30 | % | | | 6,742 | |
Griffon Corp. | | | 573 | | | | 0.28 | % | | | 6,571 | |
Teekay Corp. | | | 7,694 | | | | 0.44 | % | | | 6,253 | |
Keysight Technologies, Inc. | | | 285 | | | | 0.37 | % | | | 6,192 | |
Carlisle Companies, Inc. | | | 269 | | | | 0.68 | % | | | 5,859 | |
IDEX Corp. | | | 422 | | | | 0.74 | % | | | 5,735 | |
Argan, Inc. | | | 876 | | | | 0.33 | % | | | 5,699 | |
Teekay Tankers Ltd. — Class A | | | 641 | | | | 0.26 | % | | | 5,472 | |
A O Smith Corp. | | | 654 | | | | 0.44 | % | | | 5,378 | |
International Seaways, Inc. | | | 1,728 | | | | 0.63 | % | | | 5,054 | |
Ardmore Shipping Corp. | | | 2,545 | | | | 0.29 | % | | | 4,876 | |
EnerSys | | | 481 | | | | 0.39 | % | | | 4,558 | |
Huntington Ingalls Industries, Inc. | | | 209 | | | | 0.44 | % | | | 3,953 | |
Insteel Industries, Inc. | | | 527 | | | | 0.16 | % | | | 3,291 | |
Garmin Ltd. | | | 611 | | | | 0.63 | % | | | 2,663 | |
Brady Corp. — Class A | | | 1,465 | | | | 0.69 | % | | | 2,489 | |
Enerpac Tool Group Corp. | | | 659 | | | | 0.17 | % | | | 1,432 | |
AGCO Corp. | | | 429 | | | | 0.42 | % | | | 1,390 | |
World Kinect Corp. | | | 883 | | | | 0.16 | % | | | 1,301 | |
Vontier Corp. | | | 1,099 | | | | 0.31 | % | | | 321 | |
Lindsay Corp. | | | 253 | | | | 0.26 | % | | | (1,530 | ) |
Total Industrial | | | | | | | | | | | 295,209 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Alphabet, Inc. — Class C | | | 577 | | | | 0.66 | % | | | 40,076 | |
InterDigital, Inc. | | | 921 | | | | 0.81 | % | | | 24,217 | |
Meta Platforms, Inc. — Class A | | | 267 | | | | 0.76 | % | | | 23,725 | |
IDT Corp. — Class B | | | 1,948 | | | | 0.54 | % | | | 19,932 | |
Booking Holdings, Inc. | | | 11 | | | | 0.32 | % | | | 10,200 | |
Amazon.com, Inc. | | | 346 | | | | 0.42 | % | | | 9,837 | |
AT&T, Inc. | | | 5,219 | | | | 0.71 | % | | | 9,164 | |
T-Mobile US, Inc. | | | 556 | | | | 0.72 | % | | | 7,832 | |
Yelp, Inc. — Class A | | | 2,006 | | | | 0.77 | % | | | 7,680 | |
Verizon Communications, Inc. | | | 2,330 | | | | 0.71 | % | | | 6,874 | |
Shutterstock, Inc. | | | 717 | | | | 0.28 | % | | | 5,292 | |
Juniper Networks, Inc. | | | 2,226 | | | | 0.53 | % | | | 5,062 | |
Cisco Systems, Inc. | | | 2,157 | | | | 0.88 | % | | | 4,485 | |
A10 Networks, Inc. | | | 1,465 | | | | 0.16 | % | | | 2,424 | |
Cargurus, Inc. | | | 904 | | | | 0.18 | % | | | 2,028 | |
FactSet Research Systems, Inc. | | | 62 | | | | 0.24 | % | | | 1,365 | |
Ciena Corp. | | | 829 | | | | 0.30 | % | | | 973 | |
Cars.com, Inc. | | | 998 | | | | 0.15 | % | | | 43 | |
TEGNA, Inc. | | | 3,857 | | | | 0.48 | % | | | (67 | ) |
Walt Disney Co. | | | 352 | | | | 0.26 | % | | | (641 | ) |
Gogo, Inc. | | | 3,394 | | | | 0.28 | % | | | (1,440 | ) |
Spok Holdings, Inc. | | | 1,755 | | | | 0.22 | % | | | (1,966 | ) |
VeriSign, Inc. | | | 435 | | | | 0.72 | % | | | (2,986 | ) |
Fox Corp. — Class A | | | 3,118 | | | | 0.75 | % | | | (3,984 | ) |
Ooma, Inc. | | | 5,399 | | | | 0.47 | % | | | (9,325 | ) |
Total Communications | | | | | | | | | | | 160,800 | |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Perdoceo Education Corp. | | | 2,152 | | | | 0.29 | % | | | 15,199 | |
Exelixis, Inc. | | | 2,316 | | | | 0.45 | % | | | 14,639 | |
Innoviva, Inc. | | | 3,808 | | | | 0.49 | % | | | 13,906 | |
Viatris, Inc. | | | 9,848 | | | | 0.86 | % | | | 11,450 | |
Thermo Fisher Scientific, Inc. | | | 206 | | | | 0.88 | % | | | 9,067 | |
Dynavax Technologies Corp. | | | 4,017 | | | | 0.45 | % | | | 5,733 | |
Gilead Sciences, Inc. | | | 1,264 | | | | 0.83 | % | | | 5,250 | |
Biogen, Inc. | | | 234 | | | | 0.49 | % | | | 5,068 | |
Premier, Inc. — Class A | | | 2,524 | | | | 0.46 | % | | | 4,980 | |
Ligand Pharmaceuticals, Inc. — Class B | | | 312 | | | | 0.18 | % | | | 3,577 | |
Alarm.com Holdings, Inc. | | | 386 | | | | 0.20 | % | | | 2,870 | |
Merck & Company, Inc. | | | 1,011 | | | | 0.89 | % | | | 2,728 | |
Neurocrine Biosciences, Inc. | | | 175 | | | | 0.19 | % | | | 2,705 | |
Heidrick & Struggles International, Inc. | | | 958 | | | | 0.23 | % | | | 2,703 | |
Cross Country Healthcare, Inc. | | | 1,039 | | | | 0.19 | % | | | 2,320 | |
Ingredion, Inc. | | | 879 | | | | 0.77 | % | | | 2,128 | |
Molina Healthcare, Inc. | | | 78 | | | | 0.23 | % | | | 1,983 | |
Centene Corp. | | | 344 | | | | 0.21 | % | | | 1,875 | |
Baxter International, Inc. | | | 960 | | | | 0.30 | % | | | 1,699 | |
Hologic, Inc. | | | 1,335 | | | | 0.77 | % | | | 1,689 | |
Agilent Technologies, Inc. | | | 145 | | | | 0.16 | % | | | 1,491 | |
PayPal Holdings, Inc. | | | 523 | | | | 0.26 | % | | | 1,434 | |
AbbVie, Inc. | | | 130 | | | | 0.16 | % | | | 1,324 | |
Incyte Corp. | | | 1,700 | | | | 0.86 | % | | | 1,038 | |
Johnson & Johnson | | | 702 | | | | 0.89 | % | | | 819 | |
Colgate-Palmolive Co. | | | 1,067 | | | | 0.69 | % | | | 807 | |
Edwards Lifesciences Corp. | | | 268 | | | | 0.17 | % | | | 745 | |
Supernus Pharmaceuticals, Inc. | | | 669 | | | | 0.16 | % | | | 592 | |
14 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Cencora, Inc. — Class A | | | 213 | | | | 0.35 | % | | $ | 509 | |
Eli Lilly & Co. | | | 32 | | | | 0.15 | % | | | (53 | ) |
Humana, Inc. | | | 64 | | | | 0.24 | % | | | (569 | ) |
United Therapeutics Corp. | | | 218 | | | | 0.39 | % | | | (774 | ) |
Halozyme Therapeutics, Inc. | | | 464 | | | | 0.14 | % | | | (1,399 | ) |
Royalty Pharma plc — Class A | | | 1,343 | | | | 0.30 | % | | | (2,867 | ) |
Organon & Co. | | | 1,593 | | | | 0.19 | % | | | (3,159 | ) |
Pfizer, Inc. | | | 3,292 | | | | 0.77 | % | | | (7,230 | ) |
Bristol-Myers Squibb Co. | | | 1,969 | | | | 0.82 | % | | | (17,796 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | 86,481 | |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
MGIC Investment Corp. | | | 5,259 | | | | 0.82 | % | | | 25,054 | |
Essent Group Ltd. | | | 1,899 | | | | 0.81 | % | | | 18,233 | |
Ambac Financial Group, Inc. | | | 5,164 | | | | 0.69 | % | | | 11,900 | |
American Express Co. | | | 322 | | | | 0.49 | % | | | 11,883 | |
Mr Cooper Group, Inc. | | | 620 | | | | 0.33 | % | | | 11,055 | |
International Bancshares Corp. | | | 1,089 | | | | 0.48 | % | | | 11,035 | |
Radian Group, Inc. | | | 3,592 | | | | 0.83 | % | | | 8,651 | |
National Storage Affiliates Trust | | | 1,353 | | | | 0.45 | % | | | 8,325 | |
Preferred Bank/Los Angeles CA | | | 285 | | | | 0.17 | % | | | 7,690 | |
Walker & Dunlop, Inc. | | | 354 | | | | 0.32 | % | | | 7,086 | |
AvalonBay Communities, Inc. | | | 322 | | | | 0.49 | % | | | 6,188 | |
MetLife, Inc. | | | 748 | | | | 0.40 | % | | | 4,805 | |
Globe Life, Inc. | | | 647 | | | | 0.64 | % | | | 4,420 | |
Virtus Investment Partners, Inc. | | | 93 | | | | 0.18 | % | | | 3,469 | |
Jackson Financial, Inc. — Class A | | | 889 | | | | 0.37 | % | | | 2,626 | |
Interactive Brokers Group, Inc. — Class A | | | 690 | | | | 0.46 | % | | | 2,615 | |
Brixmor Property Group, Inc. | | | 2,803 | | | | 0.53 | % | | | 2,147 | |
Visa, Inc. — Class A | | | 421 | | | | 0.89 | % | | | 2,105 | |
Hartford Financial Services Group, Inc. | | | 1,049 | | | | 0.68 | % | | | 2,024 | |
Affiliated Managers Group, Inc. | | | 138 | | | | 0.17 | % | | | 1,940 | |
Enact Holdings, Inc. | | | 1,509 | | | | 0.35 | % | | | 1,474 | |
East West Bancorp, Inc. | | | 285 | | | | 0.17 | % | | | 1,455 | |
American Financial Group, Inc. | | | 401 | | | | 0.39 | % | | | 467 | |
Berkshire Hathaway, Inc. — Class B | | | 88 | | | | 0.25 | % | | | 158 | |
Equity Commonwealth | | | 4,894 | | | | 0.76 | % | | | 139 | |
Reinsurance Group of America, Inc. — Class A | | | 235 | | | | 0.31 | % | | | (529 | ) |
Total Financial | | | | | | | | | | | 156,415 | |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Toll Brothers, Inc. | | | 1,069 | | | | 0.89 | % | | | 32,087 | |
Meritage Homes Corp. | | | 504 | | | | 0.71 | % | | | 25,340 | |
M/I Homes, Inc. | | | 480 | | | | 0.53 | % | | | 24,438 | |
DR Horton, Inc. | | | 645 | | | | 0.79 | % | | | 22,606 | |
PulteGroup, Inc. | | | 814 | | | | 0.68 | % | | | 21,707 | |
Brunswick Corp. | | | 966 | | | | 0.76 | % | | | 21,140 | |
Allison Transmission Holdings, Inc. | | | 1,330 | | | | 0.62 | % | | | 17,215 | |
NVR, Inc. | | | 15 | | | | 0.85 | % | | | 14,330 | |
KB Home | | | 841 | | | | 0.42 | % | | | 11,789 | |
MSC Industrial Direct Company, Inc. — Class A | | | 957 | | | | 0.78 | % | | | 10,795 | |
Lennar Corp. — Class A | | | 304 | | | | 0.37 | % | | | 10,237 | |
General Motors Co. | | | 1,225 | | | | 0.36 | % | | | 8,780 | |
Standard Motor Products, Inc. | | | 2,116 | | | | 0.68 | % | | | 8,773 | |
Taylor Morrison Home Corp. — Class A | | | 778 | | | | 0.34 | % | | | 8,710 | |
PACCAR, Inc. | | | 515 | | | | 0.41 | % | | | 6,884 | |
Home Depot, Inc. | | | 106 | | | | 0.30 | % | | | 5,796 | |
Cummins, Inc. | | | 558 | | | | 1.08 | % | | | 5,303 | |
Lowe’s Companies, Inc. | | | 342 | | | | 0.61 | % | | | 4,919 | |
Monarch Casino & Resort, Inc. | | | 1,188 | | | | 0.66 | % | | | 4,861 | |
Patrick Industries, Inc. | | | 319 | | | | 0.26 | % | | | 4,477 | |
Gentex Corp. | | | 2,445 | | | | 0.65 | % | | | 4,136 | |
AutoNation, Inc. | | | 328 | | | | 0.40 | % | | | 3,683 | |
Macy’s, Inc. | | | 1,076 | | | | 0.17 | % | | | 2,780 | |
Target Corp. | | | 291 | | | | 0.33 | % | | | 2,378 | |
ScanSource, Inc. | | | 540 | | | | 0.17 | % | | | 2,350 | |
Golden Entertainment, Inc. | | | 679 | | | | 0.22 | % | | | 1,751 | |
Malibu Boats, Inc. — Class A | | | 406 | | | | 0.18 | % | | | 1,256 | |
Ethan Allen Interiors, Inc. | | | 669 | | | | 0.17 | % | | | 1,093 | |
BorgWarner, Inc. | | | 693 | | | | 0.20 | % | | | 991 | |
Dolby Laboratories, Inc. — Class A | | | 336 | | | | 0.23 | % | | | (473 | ) |
Caleres, Inc. | | | 601 | | | | 0.15 | % | | | (522 | ) |
Columbia Sportswear Co. | | | 442 | | | | 0.28 | % | | | (840 | ) |
Starbucks Corp. | | | 1,021 | | | | 0.79 | % | | | (1,736 | ) |
MasterCraft Boat Holdings, Inc. | | | 1,145 | | | | 0.21 | % | | | (2,566 | ) |
Polaris, Inc. | | | 463 | | | | 0.35 | % | | | (2,721 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 281,747 | |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Microsoft Corp. | | | 619 | | | | 1.84 | % | | | 78,908 | |
Apple, Inc. | | | 519 | | | | 0.81 | % | | | 64,393 | |
Photronics, Inc. | | | 1,468 | | | | 0.37 | % | | | 15,764 | |
International Business Machines Corp. | | | 626 | | | | 0.83 | % | | | 12,547 | |
QUALCOMM, Inc. | | | 782 | | | | 0.91 | % | | | 11,948 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Applied Materials, Inc. | | | 329 | | | | 0.43 | % | | $ | 7,919 | |
NXP Semiconductor N.V. | | | 148 | | | | 0.27 | % | | | 7,747 | |
NVIDIA Corp. | | | 83 | | | | 0.33 | % | | | 6,856 | |
Skyworks Solutions, Inc. | | | 262 | | | | 0.24 | % | | | 5,616 | |
Dropbox, Inc. — Class A | | | 2,339 | | | | 0.56 | % | | | 5,362 | |
Cirrus Logic, Inc. | | | 776 | | | | 0.52 | % | | | 4,919 | |
Bandwidth, Inc. — Class A | | | 1,784 | | | | 0.21 | % | | | 4,740 | |
Amkor Technology, Inc. | | | 856 | | | | 0.23 | % | | | 4,188 | |
Broadcom, Inc. | | | 22 | | | | 0.20 | % | | | 4,175 | |
Hewlett Packard Enterprise Co. | | | 2,828 | | | | 0.39 | % | | | 4,004 | |
Insight Enterprises, Inc. | | | 332 | | | | 0.48 | % | | | 3,846 | |
Amdocs Ltd. | | | 1,100 | | | | 0.78 | % | | | 3,791 | |
Electronic Arts, Inc. | | | 433 | | | | 0.48 | % | | | 3,550 | |
Fortinet, Inc. | | | 360 | | | | 0.17 | % | | | 2,302 | |
Blackbaud, Inc. | | | 259 | | | | 0.18 | % | | | 1,732 | |
Immersion Corp. | | | 7,088 | | | | 0.40 | % | | | 1,198 | |
ServiceNow, Inc. | | | 38 | | | | 0.22 | % | | | 724 | |
CEVA, Inc. | | | 876 | | | | 0.16 | % | | | 673 | |
Genpact Ltd. | | | 2,306 | | | | 0.65 | % | | | (246 | ) |
NetApp, Inc. | | | 338 | | | | 0.24 | % | | | (663 | ) |
DXC Technology Co. | | | 791 | | | | 0.15 | % | | | (675 | ) |
Teradata Corp. | | | 396 | | | | 0.14 | % | | | (1,653 | ) |
Veradigm, Inc. | | | 1,692 | | | | 0.14 | % | | | (2,115 | ) |
Total Technology | | | | | | | | | | | 251,550 | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | �� | | | |
Evergy, Inc. | | | 3,668 | | | | 1.55 | % | | | 5,138 | |
PPL Corp. | | | 3,563 | | | | 0.78 | % | | | 2,236 | |
Atmos Energy Corp. | | | 824 | | | | 0.77 | % | | | 2,173 | |
Xcel Energy, Inc. | | | 1,546 | | | | 0.77 | % | | | 994 | |
Public Service Enterprise Group, Inc. | | | 1,491 | | | | 0.74 | % | | | 946 | |
Northwestern Energy Group, Inc. | | | 1,735 | | | | 0.71 | % | | | (130 | ) |
ONE Gas, Inc. | | | 561 | | | | 0.29 | % | | | (3,525 | ) |
National Fuel Gas Co. | | | 1,819 | | | | 0.74 | % | | | (6,278 | ) |
Total Utilities | | | | | | | | | | | 1,554 | |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Marathon Petroleum Corp. | | | 643 | | | | 0.77 | % | | | 12,404 | |
Valero Energy Corp. | | | 716 | | | | 0.75 | % | | | 8,520 | |
Cheniere Energy, Inc. | | | 401 | | | | 0.55 | % | | | 7,006 | |
PBF Energy, Inc. — Class A | | | 912 | | | | 0.32 | % | | | 2,057 | |
SolarEdge Technologies, Inc. | | | 221 | | | | 0.17 | % | | | 1,894 | |
NOW, Inc. | | | 2,271 | | | | 0.21 | % | | | 1,755 | |
Helmerich & Payne, Inc. | | | 1,034 | | | | 0.30 | % | | | (550 | ) |
Exxon Mobil Corp. | | | 297 | | | | 0.24 | % | | | (840 | ) |
CVR Energy, Inc. | | | 1,249 | | | | 0.31 | % | | | (1,423 | ) |
EOG Resources, Inc. | | | 791 | | | | 0.77 | % | | | (1,614 | ) |
Occidental Petroleum Corp. | | | 814 | | | | 0.39 | % | | | (2,288 | ) |
SandRidge Energy, Inc. | | | 2,313 | | | | 0.26 | % | | | (4,929 | ) |
Liberty Energy, Inc. — Class A | | | 2,945 | | | | 0.43 | % | | | (5,793 | ) |
Total Energy | | | | | | | | | | | 16,199 | |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
NewMarket Corp. | | | 175 | | | | 0.77 | % | | | 34,123 | |
Cabot Corp. | | | 513 | | | | 0.35 | % | | | 2,909 | |
Sylvamo Corp. | | | 739 | | | | 0.29 | % | | | (2,470 | ) |
Total Basic Materials | | | | | | | | | | | 34,562 | |
| | | | | | | | | | | | | |
Government | | | | | | | | | | | | |
Banco Latinoamericano de Comercio Exterior S.A. — Class E | | | 1,492 | | | | 0.30 | % | | | 2,276 | |
Total MS Equity Long Custom Basket | | | | | | $ | 1,286,793 | |
| | | | | | | | | |
MS EQUITY SHORT CUSTOM BASKET | | | | | | | | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
Avista Corp. | | | 2,192 | | | | (0.53 | )% | | $ | 16,985 | |
Portland General Electric Co. | | | 4,483 | | | | (1.31 | )% | | | 13,111 | |
AES Corp. | | | 10,501 | | | | (1.36 | )% | | | 11,568 | |
California Water Service Group | | | 3,628 | | | | (1.27 | )% | | | 7,031 | |
Exelon Corp. | | | 981 | | | | (0.24 | )% | | | 3,758 | |
Alliant Energy Corp. | | | 1,863 | | | | (0.64 | )% | | | 165 | |
Spire, Inc. | | | 1,309 | | | | (0.55 | )% | | | (5,345 | ) |
PG&E Corp. | | | 10,646 | | | | (1.29 | )% | | | (7,596 | ) |
Southwest Gas Holdings, Inc. | | | 3,108 | | | | (1.33 | )% | | | (11,341 | ) |
UGI Corp. | | | 7,560 | | | | (1.25 | )% | | | (14,568 | ) |
Eversource Energy | | | 3,082 | | | | (1.28 | )% | | | (19,625 | ) |
Total Utilities | | | | | | | | | | | (5,857 | ) |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
TreeHouse Foods, Inc. | | | 3,934 | | | | (1.11 | )% | | | 17,768 | |
Avis Budget Group, Inc. | | | 355 | | | | (0.42 | )% | | | 6,291 | |
Grocery Outlet Holding Corp. | | | 2,711 | | | | (0.49 | )% | | | 6,149 | |
ManpowerGroup, Inc. | | | 1,125 | | | | (0.60 | )% | | | 2,257 | |
Clorox Co. | | | 1,005 | | | | (0.97 | )% | | | 1,286 | |
Church & Dwight Company, Inc. | | | 874 | | | | (0.56 | )% | | | 592 | |
Booz Allen Hamilton Holding Corp. | | | 497 | | | | (0.43 | )% | | | (2,229 | ) |
RB Global, Inc. | | | 1,551 | | | | (0.70 | )% | | | (5,279 | ) |
Insmed, Inc. | | | 1,427 | | | | (0.30 | )% | | | (6,041 | ) |
Utz Brands, Inc. | | | 7,867 | | | | (0.86 | )% | | | (6,282 | ) |
ICF International, Inc. | | | 379 | | | | (0.34 | )% | | | (7,996 | ) |
CBIZ, Inc. | | | 1,049 | | | | (0.44 | )% | | | (9,469 | ) |
TransUnion | | | 1,537 | | | | (0.71 | )% | | | (13,287 | ) |
U-Haul Holding Co. | | | 1,006 | | | | (0.49 | )% | | | (13,319 | ) |
Cintas Corp. | | | 335 | | | | (1.36 | )% | | | (16,536 | ) |
Neogen Corp. | | | 7,523 | | | | (1.02 | )% | | | (18,381 | ) |
16 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Affirm Holdings, Inc. | | | 833 | | | | (0.28 | )% | | $ | (20,368 | ) |
Pilgrim’s Pride Corp. | | | 5,813 | | | | (1.08 | )% | | | (20,718 | ) |
Rollins, Inc. | | | 3,768 | | | | (1.11 | )% | | | (22,469 | ) |
Equifax, Inc. | | | 839 | | | | (1.40 | )% | | | (41,437 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | (169,468 | ) |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Kennedy-Wilson Holdings, Inc. | | | 15,724 | | | | (1.31 | )% | | | 55,689 | |
Sun Communities, Inc. | | | 1,252 | | | | (1.13 | )% | | | 36,576 | |
Americold Realty Trust, Inc. | | | 5,707 | | | | (1.17 | )% | | | 19,655 | |
American Tower Corp. — Class A | | | 608 | | | | (0.89 | )% | | | 8,258 | |
Rexford Industrial Realty, Inc. | | | 2,992 | | | | (1.13 | )% | | | 6,959 | |
Raymond James Financial, Inc. | | | 1,281 | | | | (0.96 | )% | | | 4,855 | |
New York Mortgage Trust, Inc. | | | 13,508 | | | | (0.78 | )% | | | 4,294 | |
Ellington Financial, Inc. | | | 9,433 | | | | (0.81 | )% | | | 2,286 | |
Equinix, Inc. | | | 203 | | | | (1.10 | )% | | | 1,120 | |
UMH Properties, Inc. | | | 9,626 | | | | (0.99 | )% | | | 801 | |
COPT Defense Properties | | | 1,942 | | | | (0.34 | )% | | | (207 | ) |
Alexander & Baldwin, Inc. | | | 7,293 | | | | (0.94 | )% | | | (2,714 | ) |
Digital Realty Trust, Inc. | | | 948 | | | | (0.86 | )% | | | (4,457 | ) |
Brighthouse Financial, Inc. | | | 3,563 | | | | (1.27 | )% | | | (5,098 | ) |
Invitation Homes, Inc. | | | 2,098 | | | | (0.48 | )% | | | (6,916 | ) |
Rayonier, Inc. | | | 3,868 | | | | (0.87 | )% | | | (8,404 | ) |
PotlatchDeltic Corp. | | | 3,021 | | | | (1.00 | )% | | | (9,334 | ) |
Macerich Co. | | | 3,108 | | | | (0.32 | )% | | | (9,420 | ) |
Apartment Investment and Management Co. — Class A | | | 15,571 | | | | (0.82 | )% | | | (9,624 | ) |
Capitol Federal Financial, Inc. | | | 15,905 | | | | (0.69 | )% | | | (9,917 | ) |
Veris Residential, Inc. | | | 6,818 | | | | (0.72 | )% | | | (11,681 | ) |
Citigroup, Inc. | | | 3,735 | | | | (1.30 | )% | | | (15,556 | ) |
Ventas, Inc. | | | 2,107 | | | | (0.71 | )% | | | (16,105 | ) |
Carlyle Group, Inc. | | | 3,210 | | | | (0.88 | )% | | | (16,960 | ) |
Air Lease Corp. — Class A | | | 2,981 | | | | (0.84 | )% | | | (17,617 | ) |
BOK Financial Corp. | | | 2,497 | | | | (1.44 | )% | | | (18,319 | ) |
Welltower, Inc. | | | 1,788 | | | | (1.09 | )% | | | (20,278 | ) |
TFS Financial Corp. | | | 14,184 | | | | (1.41 | )% | | | (24,210 | ) |
Marcus & Millichap, Inc. | | | 3,629 | | | | (1.07 | )% | | | (28,722 | ) |
Howard Hughes Holdings, Inc. | | | 2,185 | | | | (1.26 | )% | | | (36,380 | ) |
Jones Lang LaSalle, Inc. | | | 991 | | | | (1.26 | )% | | | (37,520 | ) |
Popular, Inc. | | | 2,469 | | | | (1.37 | )% | | | (37,816 | ) |
Merchants Bancorp | | | 3,168 | | | | (0.91 | )% | | | (38,704 | ) |
PennyMac Financial Services, Inc. | | | 1,770 | | | | (1.06 | )% | | | (41,574 | ) |
CBRE Group, Inc. — Class A | | | 2,295 | | | | (1.44 | )% | | | (49,297 | ) |
KKR & Company, Inc. — Class A | | | 2,526 | | | | (1.41 | )% | | | (65,191 | ) |
Total Financial | | | | | | | | | | | (401,528 | ) |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Piedmont Lithium, Inc. | | | 3,345 | | | | (0.64 | )% | | | 32,032 | |
Hecla Mining Co. | | | 16,236 | | | | (0.53 | )% | | | 13,907 | |
Kaiser Aluminum Corp. | | | 1,495 | | | | (0.72 | )% | | | 9,050 | |
Novagold Resources, Inc. | | | 19,161 | | | | (0.48 | )% | | | 7,436 | |
Compass Minerals International, Inc. | | | 2,831 | | | | (0.48 | )% | | | (1,932 | ) |
Ashland, Inc. | | | 951 | | | | (0.54 | )% | | | (2,077 | ) |
Tronox Holdings plc — Class A | | | 5,474 | | | | (0.52 | )% | | | (4,392 | ) |
ATI, Inc. | | | 1,546 | | | | (0.47 | )% | | | (4,930 | ) |
Linde plc | | | 417 | | | | (1.16 | )% | | | (8,565 | ) |
Schnitzer Steel Industries, Inc. — Class A | | | 2,639 | | | | (0.54 | )% | | | (9,863 | ) |
Element Solutions, Inc. | | | 6,200 | | | | (0.97 | )% | | | (13,600 | ) |
Celanese Corp. — Class A | | | 1,059 | | | | (1.11 | )% | | | (14,438 | ) |
Chemours Co. | | | 3,220 | | | | (0.69 | )% | | | (16,705 | ) |
Ecolab, Inc. | | | 749 | | | | (1.00 | )% | | | (20,720 | ) |
Carpenter Technology Corp. | | | 1,101 | | | | (0.53 | )% | | | (23,687 | ) |
Stepan Co. | | | 2,204 | | | | (1.41 | )% | | | (44,561 | ) |
Century Aluminum Co. | | | 10,632 | | | | (0.87 | )% | | | (53,302 | ) |
Total Basic Materials | | | | | | | | | | | (156,347 | ) |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Topgolf Callaway Brands Corp. | | | 9,869 | | | | (0.95 | )% | | | 4,126 | |
Walgreens Boots Alliance, Inc. | | | 6,558 | | | | (1.16 | )% | | | 167 | |
Allegiant Travel Co. — Class A | | | 709 | | | | (0.40 | )% | | | (6,444 | ) |
Shake Shack, Inc. — Class A | | | 1,253 | | | | (0.63 | )% | | | (11,321 | ) |
Floor & Decor Holdings, Inc. — Class A | | | 966 | | | | (0.73 | )% | | | (12,778 | ) |
Lithia Motors, Inc. — Class A | | | 312 | | | | (0.69 | )% | | | (14,108 | ) |
LGI Homes, Inc. | | | 810 | | | | (0.73 | )% | | | (14,259 | ) |
CarMax, Inc. | | | 1,985 | | | | (1.03 | )% | | | (23,116 | ) |
Total Consumer, Cyclical | | | | | | | | | | | (77,733 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Oceaneering International, Inc. | | | 3,782 | | | | (0.54 | )% | | | 6,657 | |
Dril-Quip, Inc. | | | 4,590 | | | | (0.72 | )% | | | 149 | |
Noble Corporation plc | | | 994 | | | | (0.32 | )% | | | (566 | ) |
Valaris Ltd. | | | 1,826 | | | | (0.84 | )% | | | (589 | ) |
Callon Petroleum Co. | | | 1,867 | | | | (0.41 | )% | | | (2,396 | ) |
TechnipFMC plc | | | 4,752 | | | | (0.65 | )% | | | (2,743 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Sitio Royalties Corp. — Class A | | | 2,714 | | | | (0.43 | )% | | $ | (3,942 | ) |
Archrock, Inc. | | | 7,879 | | | | (0.82 | )% | | | (20,369 | ) |
Total Energy | | | | | | | | | | | (23,799 | ) |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
MSA Safety, Inc. | | | 368 | | | | (0.42 | )% | | | 3,417 | |
Tetra Tech, Inc. | | | 453 | | | | (0.51 | )% | | | (699 | ) |
Knight-Swift Transportation Holdings, Inc. | | | 1,409 | | | | (0.55 | )% | | | (989 | ) |
Norfolk Southern Corp. | | | 193 | | | | (0.31 | )% | | | (1,687 | ) |
Union Pacific Corp. | | | 165 | | | | (0.27 | )% | | | (1,933 | ) |
Werner Enterprises, Inc. | | | 2,935 | | | | (0.84 | )% | | | (3,840 | ) |
RXO, Inc. | | | 3,690 | | | | (0.58 | )% | | | (4,943 | ) |
Stericycle, Inc. | | | 1,450 | | | | (0.48 | )% | | | (7,500 | ) |
GATX Corp. | | | 1,381 | | | | (1.12 | )% | | | (9,937 | ) |
Vulcan Materials Co. | | | 644 | | | | (0.99 | )% | | | (11,706 | ) |
Trinity Industries, Inc. | | | 6,334 | | | | (1.14 | )% | | | (20,951 | ) |
Casella Waste Systems, Inc. — Class A | | | 1,944 | | | | (1.12 | )% | | | (21,434 | ) |
Boeing Co. | | | 559 | | | | (0.98 | )% | | | (38,080 | ) |
Total Industrial | | | | | | | | | | | (120,282 | ) |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
KBR, Inc. | | | 1,517 | | | | (0.57 | )% | | | 8,891 | |
Paycor HCM, Inc. | | | 5,545 | | | | (0.81 | )% | | | 4,919 | |
Ceridian HCM Holding, Inc. | | | 1,466 | | | | (0.66 | )% | | | 1,301 | |
Parsons Corp. | | | 1,560 | | | | (0.66 | )% | | | (11,993 | ) |
Evolent Health, Inc. — Class A | | | 3,428 | | | | (0.76 | )% | | | (16,159 | ) |
HashiCorp, Inc. — Class A | | | 4,385 | | | | (0.70 | )% | | | (19,824 | ) |
Braze, Inc. — Class A | | | 2,102 | | | | (0.75 | )% | | | (20,849 | ) |
Total Technology | | | | | | | | | | | (53,714 | ) |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
DoorDash, Inc. — Class A | | | 260 | | | | (0.17 | )% | | | (2,697 | ) |
Roku, Inc. | | | 242 | | | | (0.15 | )% | | | (3,284 | ) |
Total Communications | | | | | | | | | | | (5,981 | ) |
Total MS Equity Short Custom Basket | | | | | | $ | (1,014,709 | ) |
| | | | | | | | | |
GS EQUITY LONG CUSTOM BASKET | | | | | | | | |
Industrial | | | | | | | | | | | | |
Boise Cascade Co. | | | 739 | | | | 0.79 | % | | $ | 37,088 | |
Mueller Industries, Inc. | | | 1,338 | | | | 0.52 | % | | | 25,620 | |
Snap-on, Inc. | | | 338 | | | | 0.81 | % | | | 20,821 | |
Acuity Brands, Inc. | | | 509 | | | | 0.87 | % | | | 17,719 | |
Donaldson Company, Inc. | | | 1,524 | | | | 0.83 | % | | | 16,477 | |
UFP Industries, Inc. | | | 383 | | | | 0.40 | % | | | 15,840 | |
Terex Corp. | | | 1,350 | | | | 0.64 | % | | | 11,869 | |
TD SYNNEX Corp. | | | 857 | | | | 0.77 | % | | | 11,527 | |
Encore Wire Corp. | | | 222 | | | | 0.39 | % | | | 10,177 | |
Owens Corning | | | 333 | | | | 0.41 | % | | | 9,835 | |
Middleby Corp. | | | 714 | | | | 0.87 | % | | | 9,697 | |
Apogee Enterprises, Inc. | | | 1,500 | | | | 0.66 | % | | | 9,295 | |
Scorpio Tankers, Inc. | | | 718 | | | | 0.36 | % | | | 8,908 | |
Builders FirstSource, Inc. | | | 174 | | | | 0.24 | % | | | 7,823 | |
Atkore, Inc. | | | 229 | | | | 0.30 | % | | | 6,734 | |
Griffon Corp. | | | 573 | | | | 0.29 | % | | | 6,538 | |
Keysight Technologies, Inc. | | | 285 | | | | 0.38 | % | | | 6,215 | |
Teekay Corp. | | | 7,694 | | | | 0.46 | % | | | 6,127 | |
Carlisle Companies, Inc. | | | 269 | | | | 0.70 | % | | | 5,965 | |
IDEX Corp. | | | 422 | | | | 0.76 | % | | | 5,696 | |
Argan, Inc. | | | 876 | | | | 0.34 | % | | | 5,676 | |
Teekay Tankers Ltd. — Class A | | | 641 | | | | 0.27 | % | | | 5,451 | |
A O Smith Corp. | | | 654 | | | | 0.45 | % | | | 5,307 | |
International Seaways, Inc. | | | 1,728 | | | | 0.65 | % | | | 4,904 | |
Ardmore Shipping Corp. | | | 2,545 | | | | 0.30 | % | | | 4,766 | |
EnerSys | | | 481 | | | | 0.40 | % | | | 4,568 | |
Huntington Ingalls Industries, Inc. | | | 209 | | | | 0.45 | % | | | 4,085 | |
Insteel Industries, Inc. | | | 527 | | | | 0.17 | % | | | 3,259 | |
Garmin Ltd. | | | 611 | | | | 0.65 | % | | | 2,735 | |
Brady Corp. — Class A | | | 1,465 | | | | 0.71 | % | | | 2,432 | |
Enerpac Tool Group Corp. | | | 659 | | | | 0.17 | % | | | 1,508 | |
World Kinect Corp. | | | 883 | | | | 0.17 | % | | | 1,346 | |
AGCO Corp. | | | 429 | | | | 0.43 | % | | | 1,342 | |
Vontier Corp. | | | 1,099 | | | | 0.32 | % | | | 335 | |
Lindsay Corp. | | | 253 | | | | 0.27 | % | | | (1,516 | ) |
Total Industrial | | | | | | | | | | | 296,169 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
Alphabet, Inc. — Class C | | | 577 | | | | 0.69 | % | | | 41,478 | |
InterDigital, Inc. | | | 921 | | | | 0.83 | % | | | 24,285 | |
Meta Platforms, Inc. — Class A | | | 267 | | | | 0.78 | % | | | 23,793 | |
IDT Corp. — Class B | | | 1,948 | | | | 0.55 | % | | | 19,863 | |
Booking Holdings, Inc. | | | 11 | | | | 0.32 | % | | | 10,269 | |
Amazon.com, Inc. | | | 346 | | | | 0.44 | % | | | 9,873 | |
AT&T, Inc. | | | 5,219 | | | | 0.73 | % | | | 9,177 | |
T-Mobile US, Inc. | | | 556 | | | | 0.74 | % | | | 7,794 | |
Yelp, Inc. — Class A | | | 2,006 | | | | 0.79 | % | | | 7,605 | |
Verizon Communications, Inc. | | | 2,330 | | | | 0.73 | % | | | 6,777 | |
Shutterstock, Inc. | | | 717 | | | | 0.29 | % | | | 5,318 | |
Juniper Networks, Inc. | | | 2,226 | | | | 0.54 | % | | | 5,054 | |
Cisco Systems, Inc. | | | 2,157 | | | | 0.90 | % | | | 4,603 | |
A10 Networks, Inc. | | | 1,465 | | | | 0.16 | % | | | 2,255 | |
Cargurus, Inc. | | | 904 | | | | 0.18 | % | | | 2,013 | |
FactSet Research Systems, Inc. | | | 62 | | | | 0.25 | % | | | 1,348 | |
Ciena Corp. | | | 829 | | | | 0.31 | % | | | 989 | |
Cars.com, Inc. | | | 998 | | | | 0.16 | % | | | 44 | |
TEGNA, Inc. | | | 3,857 | | | | 0.49 | % | | | 20 | |
Walt Disney Co. | | | 352 | | | | 0.26 | % | | | (647 | ) |
Gogo, Inc. | | | 3,394 | | | | 0.29 | % | | | (1,324 | ) |
Spok Holdings, Inc. | | | 1,755 | | | | 0.23 | % | | | (2,325 | ) |
18 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
VeriSign, Inc. | | | 435 | | | | 0.74 | % | | $ | (3,045 | ) |
Fox Corp. — Class A | | | 3,118 | | | | 0.77 | % | | | (4,150 | ) |
Ooma, Inc. | | | 5,399 | | | | 0.48 | % | | | (9,293 | ) |
Total Communications | | | | | | | | | | | 161,774 | |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Perdoceo Education Corp. | | | 2,152 | | | | 0.32 | % | | | 15,145 | |
Exelixis, Inc. | | | 2,316 | | | | 0.46 | % | | | 14,682 | |
Innoviva, Inc. | | | 3,808 | | | | 0.51 | % | | | 13,916 | |
Viatris, Inc. | | | 9,848 | | | | 0.88 | % | | | 11,827 | |
Thermo Fisher Scientific, Inc. | | | 206 | | | | 0.91 | % | | | 9,137 | |
Dynavax Technologies Corp. | | | 4,017 | | | | 0.47 | % | | | 5,761 | |
Gilead Sciences, Inc. | | | 1,264 | | | | 0.85 | % | | | 5,494 | |
Biogen, Inc. | | | 234 | | | | 0.50 | % | | | 5,198 | |
Premier, Inc. — Class A | | | 2,524 | | | | 0.47 | % | | | 4,729 | |
Ligand Pharmaceuticals, Inc. — Class B | | | 312 | | | | 0.18 | % | | | 3,600 | |
Alarm.com Holdings, Inc. | | | 386 | | | | 0.21 | % | | | 2,944 | |
Merck & Company, Inc. | | | 1,011 | | | | 0.91 | % | | | 2,774 | |
Heidrick & Struggles International, Inc. | | | 958 | | | | 0.23 | % | | | 2,749 | |
Neurocrine Biosciences, Inc. | | | 175 | | | | 0.19 | % | | | 2,699 | |
Cross Country Healthcare, Inc. | | | 1,039 | | | | 0.20 | % | | | 2,291 | |
Molina Healthcare, Inc. | | | 78 | | | | 0.23 | % | | | 2,091 | |
Ingredion, Inc. | | | 879 | | | | 0.79 | % | | | 1,992 | |
Centene Corp. | | | 344 | | | | 0.21 | % | | | 1,902 | |
Hologic, Inc. | | | 1,335 | | | | 0.79 | % | | | 1,733 | |
Baxter International, Inc. | | | 960 | | | | 0.31 | % | | | 1,721 | |
Agilent Technologies, Inc. | | | 145 | | | | 0.17 | % | | | 1,511 | |
PayPal Holdings, Inc. | | | 523 | | | | 0.27 | % | | | 1,429 | |
AbbVie, Inc. | | | 130 | | | | 0.17 | % | | | 1,326 | |
Incyte Corp. | | | 1,700 | | | | 0.89 | % | | | 1,192 | |
Johnson & Johnson | | | 702 | | | | 0.91 | % | | | 847 | |
Colgate-Palmolive Co. | | | 1,067 | | | | 0.71 | % | | | 818 | |
Edwards Lifesciences Corp. | | | 268 | | | | 0.17 | % | | | 760 | |
Supernus Pharmaceuticals, Inc. | | | 669 | | | | 0.16 | % | | | 614 | |
Cencora, Inc. — Class A | | | 213 | | | | 0.36 | % | | | 409 | |
Eli Lilly & Co. | | | 32 | | | | 0.15 | % | | | (73 | ) |
United Therapeutics Corp. | | | 218 | | | | 0.40 | % | | | (690 | ) |
Humana, Inc. | | | 64 | | | | 0.24 | % | | | (729 | ) |
Halozyme Therapeutics, Inc. | | | 464 | | | | 0.14 | % | | | (1,452 | ) |
Royalty Pharma plc — Class A | | | 1,343 | | | | 0.31 | % | | | (2,883 | ) |
Organon & Co. | | | 1,593 | | | | 0.19 | % | | | (3,270 | ) |
Pfizer, Inc. | | | 3,292 | | | | 0.79 | % | | | (7,306 | ) |
Bristol-Myers Squibb Co. | | | 1,969 | | | | 0.84 | % | | | (17,770 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | 87,118 | |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
MGIC Investment Corp. | | | 5,259 | | | | 0.84 | % | | | 25,045 | |
Essent Group Ltd. | | | 1,899 | | | | 0.83 | % | | | 18,280 | |
American Express Co. | | | 322 | | | | 0.50 | % | | | 11,956 | |
Ambac Financial Group, Inc. | | | 5,164 | | | | 0.71 | % | | | 11,871 | |
Mr Cooper Group, Inc. | | | 620 | | | | 0.33 | % | | | 11,134 | |
International Bancshares Corp. | | | 1,089 | | | | 0.49 | % | | | 11,052 | |
Radian Group, Inc. | | | 3,592 | | | | 0.85 | % | | | 8,792 | |
National Storage Affiliates Trust | | | 1,353 | | | | 0.47 | % | | | 8,291 | |
Preferred Bank/Los Angeles CA | | | 285 | | | | 0.17 | % | | | 7,672 | |
Walker & Dunlop, Inc. | | | 354 | | | | 0.33 | % | | | 6,914 | |
AvalonBay Communities, Inc. | | | 322 | | | | 0.50 | % | | | 6,109 | |
MetLife, Inc. | | | 748 | | | | 0.41 | % | | | 4,972 | |
Globe Life, Inc. | | | 647 | | | | 0.65 | % | | | 4,530 | |
Virtus Investment Partners, Inc. | | | 93 | | | | 0.19 | % | | | 3,535 | |
Interactive Brokers Group, Inc. — Class A | | | 690 | | | | 0.47 | % | | | 2,690 | |
Jackson Financial, Inc. — Class A | | | 889 | | | | 0.38 | % | | | 2,512 | |
Visa, Inc. — Class A | | | 421 | | | | 0.91 | % | | | 2,104 | |
Brixmor Property Group, Inc. | | | 2,803 | | | | 0.54 | % | | | 2,087 | |
Hartford Financial Services Group, Inc. | | | 1,049 | | | | 0.70 | % | | | 2,085 | |
Affiliated Managers Group, Inc. | | | 138 | | | | 0.17 | % | | | 1,938 | |
Enact Holdings, Inc. | | | 1,509 | | | | 0.36 | % | | | 1,508 | |
East West Bancorp, Inc. | | | 285 | | | | 0.17 | % | | | 1,486 | |
American Financial Group, Inc. | | | 401 | | | | 0.40 | % | | | 680 | |
Berkshire Hathaway, Inc. — Class B | | | 88 | | | | 0.26 | % | | | 137 | |
Equity Commonwealth | | | 4,894 | | | | 0.78 | % | | | 71 | |
Reinsurance Group of America, Inc. — Class A | | | 235 | | | | 0.32 | % | | | (481 | ) |
Total Financial | | | | | | | | | | | 156,970 | |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Toll Brothers, Inc. | | | 1,069 | | | | 0.91 | % | | | 32,293 | |
Meritage Homes Corp. | | | 504 | | | | 0.73 | % | | | 25,341 | |
M/I Homes, Inc. | | | 480 | | | | 0.55 | % | | | 24,510 | |
DR Horton, Inc. | | | 645 | | | | 0.81 | % | | | 22,611 | |
PulteGroup, Inc. | | | 814 | | | | 0.70 | % | | | 21,793 | |
Brunswick Corp. | | | 966 | | | | 0.78 | % | | | 21,223 | |
Allison Transmission Holdings, Inc. | | | 1,330 | | | | 0.64 | % | | | 17,175 | |
NVR, Inc. | | | 15 | | | | 0.87 | % | | | 14,361 | |
KB Home | | | 841 | | | | 0.44 | % | | | 11,717 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
MSC Industrial Direct Company, Inc. — Class A | | | 957 | | | | 0.80 | % | | $ | 10,871 | |
Lennar Corp. — Class A | | | 304 | | | | 0.38 | % | | | 10,365 | |
General Motors Co. | | | 1,225 | | | | 0.37 | % | | | 9,075 | |
Taylor Morrison Home Corp. — Class A | | | 778 | | | | 0.34 | % | | | 8,715 | |
Standard Motor Products, Inc. | | | 2,116 | | | | 0.70 | % | | | 8,707 | |
PACCAR, Inc. | | | 515 | | | | 0.42 | % | | | 6,871 | |
Home Depot, Inc. | | | 106 | | | | 0.30 | % | | | 5,823 | |
Lowe’s Companies, Inc. | | | 342 | | | | 0.63 | % | | | 5,016 | |
Monarch Casino & Resort, Inc. | | | 1,188 | | | | 0.68 | % | | | 4,774 | |
Patrick Industries, Inc. | | | 319 | | | | 0.27 | % | | | 4,504 | |
Gentex Corp. | | | 2,445 | | | | 0.66 | % | | | 4,066 | |
AutoNation, Inc. | | | 328 | | | | 0.41 | % | | | 3,707 | |
Macy’s, Inc. | | | 1,076 | | | | 0.18 | % | | | 2,860 | |
Target Corp. | | | 291 | | | | 0.34 | % | | | 2,405 | |
ScanSource, Inc. | | | 540 | | | | 0.18 | % | | | 2,357 | |
Golden Entertainment, Inc. | | | 679 | | | | 0.22 | % | | | 1,781 | |
Malibu Boats, Inc. — Class A | | | 406 | | | | 0.18 | % | | | 1,238 | |
Ethan Allen Interiors, Inc. | | | 669 | | | | 0.18 | % | | | 1,094 | |
BorgWarner, Inc. | | | 693 | | | | 0.21 | % | | | 979 | |
Caleres, Inc. | | | 601 | | | | 0.15 | % | | | (443 | ) |
Dolby Laboratories, Inc. — Class A | | | 336 | | | | 0.24 | % | | | (466 | ) |
Columbia Sportswear Co. | | | 442 | | | | 0.29 | % | | | (773 | ) |
Starbucks Corp. | | | 1,021 | | | | 0.81 | % | | | (1,774 | ) |
MasterCraft Boat Holdings, Inc. | | | 1,145 | | | | 0.22 | % | | | (2,604 | ) |
Polaris, Inc. | | | 463 | | | | 0.36 | % | | | (2,755 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 277,417 | |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Microsoft Corp. | | | 619 | | | | 1.93 | % | | | 76,485 | |
Apple, Inc. | | | 519 | | | | 0.83 | % | | | 63,774 | |
Photronics, Inc. | | | 1,468 | | | | 0.38 | % | | | 15,806 | |
International Business Machines Corp. | | | 626 | | | | 0.85 | % | | | 12,519 | |
QUALCOMM, Inc. | | | 782 | | | | 0.94 | % | | | 11,869 | |
Applied Materials, Inc. | | | 329 | | | | 0.44 | % | | | 7,974 | |
NXP Semiconductor N.V. | | | 148 | | | | 0.28 | % | | | 7,769 | |
NVIDIA Corp. | | | 83 | | | | 0.34 | % | | | 6,886 | |
Skyworks Solutions, Inc. | | | 262 | | | | 0.24 | % | | | 5,646 | |
Dropbox, Inc. — Class A | | | 2,339 | | | | 0.57 | % | | | 5,321 | |
Cirrus Logic, Inc. | | | 776 | | | | 0.54 | % | | | 5,056 | |
Bandwidth, Inc. — Class A | | | 1,784 | | | | 0.21 | % | | | 4,820 | |
Amkor Technology, Inc. | | | 856 | | | | 0.24 | % | | | 4,232 | |
Broadcom, Inc. | | | 22 | | | | 0.20 | % | | | 4,147 | |
Hewlett Packard Enterprise Co. | | | 2,828 | | | | 0.40 | % | | | 4,041 | |
Insight Enterprises, Inc. | | | 332 | | | | 0.49 | % | | | 3,813 | |
Amdocs Ltd. | | | 1,100 | | | | 0.80 | % | | | 3,795 | |
Electronic Arts, Inc. | | | 433 | | | | 0.49 | % | | | 3,441 | |
Fortinet, Inc. | | | 360 | | | | 0.17 | % | | | 2,298 | |
Blackbaud, Inc. | | | 259 | | | | 0.19 | % | | | 1,706 | |
Immersion Corp. | | | 7,088 | | | | 0.42 | % | | | 1,169 | |
ServiceNow, Inc. | | | 38 | | | | 0.22 | % | | | 712 | |
CEVA, Inc. | | | 876 | | | | 0.17 | % | | | 693 | |
Genpact Ltd. | | | 2,306 | | | | 0.66 | % | | | (569 | ) |
NetApp, Inc. | | | 338 | | | | 0.25 | % | | | (672 | ) |
DXC Technology Co. | | | 791 | | | | 0.15 | % | | | (681 | ) |
Teradata Corp. | | | 396 | | | | 0.14 | % | | | (1,643 | ) |
Veradigm, Inc. | | | 1,692 | | | | 0.15 | % | | | (2,157 | ) |
Total Technology | | | | | | | | | | | 248,250 | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
Atmos Energy Corp. | | | 824 | | | | 0.79 | % | | | 2,289 | |
PPL Corp. | | | 3,563 | | | | 0.80 | % | | | 2,122 | |
Public Service Enterprise Group, Inc. | | | 1,491 | | | | 0.76 | % | | | 1,100 | |
Xcel Energy, Inc. | | | 1,546 | | | | 0.79 | % | | | 949 | |
Northwestern Energy Group, Inc. | | | 1,735 | | | | 0.73 | % | | | (53 | ) |
ONE Gas, Inc. | | | 561 | | | | 0.30 | % | | | (3,447 | ) |
National Fuel Gas Co. | | | 1,819 | | | | 0.76 | % | | | (6,317 | ) |
Total Utilities | | | | | | | | | | | (3,357 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Marathon Petroleum Corp. | | | 643 | | | | 0.79 | % | | | 12,425 | |
Valero Energy Corp. | | | 716 | | | | 0.77 | % | | | 8,483 | |
Cheniere Energy, Inc. | | | 401 | | | | 0.57 | % | | | 6,966 | |
PBF Energy, Inc. — Class A | | | 912 | | | | 0.33 | % | | | 2,030 | |
SolarEdge Technologies, Inc. | | | 221 | | | | 0.17 | % | | | 1,897 | |
NOW, Inc. | | | 2,271 | | | | 0.21 | % | | | 1,844 | |
Helmerich & Payne, Inc. | | | 1,034 | | | | 0.31 | % | | | (556 | ) |
Exxon Mobil Corp. | | | 297 | | | | 0.25 | % | | | (836 | ) |
CVR Energy, Inc. | | | 1,249 | | | | 0.31 | % | | | (1,499 | ) |
EOG Resources, Inc. | | | 791 | | | | 0.79 | % | | | (1,688 | ) |
Occidental Petroleum Corp. | | | 814 | | | | 0.40 | % | | | (2,207 | ) |
SandRidge Energy, Inc. | | | 2,313 | | | | 0.26 | % | | | (4,911 | ) |
Liberty Energy, Inc. — Class A | | | 2,945 | | | | 0.44 | % | | | (5,802 | ) |
Total Energy | | | | | | | | | | | 16,146 | |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
NewMarket Corp. | | | 175 | | | | 0.79 | % | | | 34,240 | |
Cabot Corp. | | | 513 | | | | 0.36 | % | | | 2,899 | |
Sylvamo Corp. | | | 739 | | | | 0.30 | % | | | (2,205 | ) |
Total Basic Materials | | | | | | | | | | | 34,934 | |
| | | | | | | | | | | | | |
Government | | | | | | | | | | | | |
Banco Latinoamericano de Comercio Exterior S.A. — Class E | | | 1,492 | | | | 0.31 | % | | | 1,680 | |
Total GS Equity Long Custom Basket | | | | | | $ | 1,277,101 | |
| | | | | | | | | |
20 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
GS EQUITY SHORT CUSTOM BASKET | | | | | | | | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
Avista Corp. | | | 2,192 | | | | (0.54 | )% | | $ | 16,892 | |
Portland General Electric Co. | | | 4,483 | | | | (1.31 | )% | | | 13,110 | |
AES Corp. | | | 10,501 | | | | (1.36 | )% | | | 12,596 | |
California Water Service Group | | | 3,628 | | | | (1.27 | )% | | | 6,894 | |
Exelon Corp. | | | 981 | | | | (0.24 | )% | | | 3,730 | |
Alliant Energy Corp. | | | 1,863 | | | | (0.64 | )% | | | 226 | |
Spire, Inc. | | | 1,309 | | | | (0.55 | )% | | | (5,383 | ) |
PG&E Corp. | | | 10,646 | | | | (1.29 | )% | | | (7,453 | ) |
Southwest Gas Holdings, Inc. | | | 3,108 | | | | (1.33 | )% | | | (11,523 | ) |
UGI Corp. | | | 7,560 | | | | (1.25 | )% | | | (15,506 | ) |
Eversource Energy | | | 3,082 | | | | (1.28 | )% | | | (20,512 | ) |
Total Utilities | | | | | | | | | | | (6,929 | ) |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
TreeHouse Foods, Inc. | | | 3,934 | | | | (1.10 | )% | | | 17,164 | |
Avis Budget Group, Inc. | | | 355 | | | | (0.42 | )% | | | 6,510 | |
Grocery Outlet Holding Corp. | | | 2,711 | | | | (0.49 | )% | | | 6,304 | |
ManpowerGroup, Inc. | | | 1,125 | | | | (0.60 | )% | | | 2,326 | |
Clorox Co. | | | 1,005 | | | | (0.97 | )% | | | 1,159 | |
Church & Dwight Company, Inc. | | | 874 | | | | (0.56 | )% | | | 529 | |
Booz Allen Hamilton Holding Corp. | | | 497 | | | | (0.43 | )% | | | (2,131 | ) |
RB Global, Inc. | | | 1,551 | | | | (0.70 | )% | | | (5,366 | ) |
Insmed, Inc. | | | 1,427 | | | | (0.30 | )% | | | (6,074 | ) |
Utz Brands, Inc. | | | 7,867 | | | | (0.86 | )% | | | (6,144 | ) |
ICF International, Inc. | | | 379 | | | | (0.34 | )% | | | (8,065 | ) |
CBIZ, Inc. | | | 1,049 | | | | (0.44 | )% | | | (9,555 | ) |
U-Haul Holding Co. | | | 1,006 | | | | (0.49 | )% | | | (13,297 | ) |
TransUnion | | | 1,537 | | | | (0.71 | )% | | | (13,351 | ) |
Cintas Corp. | | | 335 | | | | (1.36 | )% | | | (16,407 | ) |
Neogen Corp. | | | 7,523 | | | | (1.02 | )% | | | (18,908 | ) |
Affirm Holdings, Inc. | | | 833 | | | | (0.28 | )% | | | (20,406 | ) |
Pilgrim’s Pride Corp. | | | 5,813 | | | | (1.08 | )% | | | (20,827 | ) |
Rollins, Inc. | | | 3,768 | | | | (1.11 | )% | | | (22,202 | ) |
Equifax, Inc. | | | 839 | | | | (1.40 | )% | | | (40,964 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | (169,705 | ) |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Kennedy-Wilson Holdings, Inc. | | | 15,724 | | | | (1.31 | )% | | | 54,895 | |
Sun Communities, Inc. | | | 1,252 | | | | (1.13 | )% | | | 36,591 | |
Americold Realty Trust, Inc. | | | 5,707 | | | | (1.17 | )% | | | 19,327 | |
American Tower Corp. — Class A | | | 608 | | | | (0.89 | )% | | | 8,501 | |
Rexford Industrial Realty, Inc. | | | 2,992 | | | | (1.13 | )% | | | 6,653 | |
Raymond James Financial, Inc. | | | 1,281 | | | | (0.96 | )% | | | 4,637 | |
New York Mortgage Trust, Inc. | | | 13,508 | | | | (0.78 | )% | | | 4,054 | |
Ellington Financial, Inc. | | | 9,433 | | | | (0.81 | )% | | | 2,289 | |
UMH Properties, Inc. | | | 9,626 | | | | (0.99 | )% | | | 872 | |
Equinix, Inc. | | | 203 | | | | (1.10 | )% | | | 830 | |
COPT Defense Properties | | | 1,942 | | | | (0.34 | )% | | | (174 | ) |
Alexander & Baldwin, Inc. | | | 7,293 | | | | (0.94 | )% | | | (2,809 | ) |
Digital Realty Trust, Inc. | | | 948 | | | | (0.86 | )% | | | (4,416 | ) |
Brighthouse Financial, Inc. | | | 3,563 | | | | (1.27 | )% | | | (5,284 | ) |
Invitation Homes, Inc. | | | 2,098 | | | | (0.48 | )% | | | (6,812 | ) |
Rayonier, Inc. | | | 3,868 | | | | (0.87 | )% | | | (8,657 | ) |
PotlatchDeltic Corp. | | | 3,021 | | | | (1.00 | )% | | | (9,379 | ) |
Macerich Co. | | | 3,108 | | | | (0.32 | )% | | | (9,754 | ) |
Apartment Investment and Management Co. — Class A | | | 15,571 | | | | (0.82 | )% | | | (9,783 | ) |
Capitol Federal Financial, Inc. | | | 15,905 | | | | (0.69 | )% | | | (10,090 | ) |
Veris Residential, Inc. | | | 6,818 | | | | (0.72 | )% | | | (12,440 | ) |
Citigroup, Inc. | | | 3,735 | | | | (1.30 | )% | | | (15,459 | ) |
Ventas, Inc. | | | 2,107 | | | | (0.71 | )% | | | (16,617 | ) |
Carlyle Group, Inc. | | | 3,210 | | | | (0.88 | )% | | | (17,382 | ) |
Air Lease Corp. — Class A | | | 2,981 | | | | (0.84 | )% | | | (17,633 | ) |
BOK Financial Corp. | | | 2,497 | | | | (1.44 | )% | | | (18,373 | ) |
Welltower, Inc. | | | 1,788 | | | | (1.09 | )% | | | (20,383 | ) |
TFS Financial Corp. | | | 14,184 | | | | (1.41 | )% | | | (24,363 | ) |
Marcus & Millichap, Inc. | | | 3,629 | | | | (1.07 | )% | | | (28,844 | ) |
Howard Hughes Holdings, Inc. | | | 2,185 | | | | (1.26 | )% | | | (36,227 | ) |
Jones Lang LaSalle, Inc. | | | 991 | | | | (1.26 | )% | | | (37,638 | ) |
Popular, Inc. | | | 2,469 | | | | (1.37 | )% | | | (38,163 | ) |
Merchants Bancorp | | | 3,168 | | | | (0.91 | )% | | | (38,564 | ) |
PennyMac Financial Services, Inc. | | | 1,770 | | | | (1.06 | )% | | | (41,575 | ) |
CBRE Group, Inc. — Class A | | | 2,295 | | | | (1.44 | )% | | | (49,316 | ) |
KKR & Company, Inc. — Class A | | | 2,526 | | | | (1.41 | )% | | | (65,154 | ) |
Total Financial | | | | | | | | | | | (406,640 | ) |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Piedmont Lithium, Inc. | | | 3,345 | | | | (0.64 | )% | | | 32,097 | |
Hecla Mining Co. | | | 16,236 | | | | (0.53 | )% | | | 13,957 | |
Kaiser Aluminum Corp. | | | 1,495 | | | | (0.72 | )% | | | 9,062 | |
Novagold Resources, Inc. | | | 19,161 | | | | (0.48 | )% | | | 7,372 | |
Ashland, Inc. | | | 951 | | | | (0.54 | )% | | | (2,186 | ) |
Compass Minerals International, Inc. | | | 2,831 | | | | (0.48 | )% | | | (2,341 | ) |
Tronox Holdings plc — Class A | | | 5,474 | | | | (0.52 | )% | | | (4,636 | ) |
ATI, Inc. | | | 1,546 | | | | (0.47 | )% | | | (4,777 | ) |
Linde plc | | | 417 | | | | (1.16 | )% | | | (8,447 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
LONG SHORT EQUITY FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Schnitzer Steel Industries, Inc. — Class A | | | 2,639 | | | | (0.54 | )% | | $ | (9,871 | ) |
Element Solutions, Inc. | | | 6,200 | | | | (0.97 | )% | | | (13,607 | ) |
Celanese Corp. — Class A | | | 1,059 | | | | (1.11 | )% | | | (14,555 | ) |
Chemours Co. | | | 3,220 | | | | (0.69 | )% | | | (16,557 | ) |
Ecolab, Inc. | | | 749 | | | | (1.00 | )% | | | (20,820 | ) |
Carpenter Technology Corp. | | | 1,101 | | | | (0.53 | )% | | | (23,768 | ) |
Stepan Co. | | | 2,204 | | | | (1.41 | )% | | | (44,524 | ) |
Century Aluminum Co. | | | 10,632 | | | | (0.87 | )% | | | (53,765 | ) |
Total Basic Materials | | | | | | | | | | | (157,366 | ) |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Topgolf Callaway Brands Corp. | | | 9,869 | | | | (0.95 | )% | | | 3,574 | |
Walgreens Boots Alliance, Inc. | | | 6,558 | | | | (1.16 | )% | | | 283 | |
Allegiant Travel Co. — Class A | | | 709 | | | | (0.40 | )% | | | (6,713 | ) |
Shake Shack, Inc. — Class A | | | 1,253 | | | | (0.63 | )% | | | (11,543 | ) |
Floor & Decor Holdings, Inc. — Class A | | | 966 | | | | (0.73 | )% | | | (12,057 | ) |
Lithia Motors, Inc. — Class A | | | 312 | | | | (0.69 | )% | | | (14,082 | ) |
LGI Homes, Inc. | | | 810 | | | | (0.73 | )% | | | (14,468 | ) |
CarMax, Inc. | | | 1,985 | | | | (1.03 | )% | | | (23,259 | ) |
Total Consumer, Cyclical | | | | | | | | | | | (78,265 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Oceaneering International, Inc. | | | 3,782 | | | | (0.54 | )% | | | 6,875 | |
Dril-Quip, Inc. | | | 4,590 | | | | (0.72 | )% | | | 54 | |
Noble Corporation plc | | | 994 | | | | (0.32 | )% | | | (536 | ) |
Valaris Ltd. | | | 1,826 | | | | (0.84 | )% | | | (536 | ) |
Callon Petroleum Co. | | | 1,867 | | | | (0.41 | )% | | | (2,450 | ) |
TechnipFMC plc | | | 4,752 | | | | (0.65 | )% | | | (2,798 | ) |
Sitio Royalties Corp. — Class A | | | 2,714 | | | | (0.43 | )% | | | (4,148 | ) |
Archrock, Inc. | | | 7,879 | | | | (0.82 | )% | | | (20,376 | ) |
Total Energy | | | | | | | | | | | (23,915 | ) |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
MSA Safety, Inc. | | | 368 | | | | (0.42 | )% | | | 3,487 | |
Tetra Tech, Inc. | | | 453 | | | | (0.51 | )% | | | (717 | ) |
Knight-Swift Transportation Holdings, Inc. | | | 1,409 | | | | (0.55 | )% | | | (1,024 | ) |
Norfolk Southern Corp. | | | 193 | | | | (0.31 | )% | | | (1,655 | ) |
Union Pacific Corp. | | | 165 | | | | (0.27 | )% | | | (1,907 | ) |
Werner Enterprises, Inc. | | | 2,935 | | | | (0.84 | )% | | | (3,746 | ) |
RXO, Inc. | | | 3,690 | | | | (0.58 | )% | | | (5,305 | ) |
Stericycle, Inc. | | | 1,450 | | | | (0.48 | )% | | | (7,679 | ) |
GATX Corp. | | | 1,381 | | | | (1.12 | )% | | | (10,139 | ) |
Vulcan Materials Co. | | | 644 | | | | (0.99 | )% | | | (11,466 | ) |
Trinity Industries, Inc. | | | 6,334 | | | | (1.14 | )% | | | (20,794 | ) |
Casella Waste Systems, Inc. — Class A | | | 1,944 | | | | (1.12 | )% | | | (21,418 | ) |
Boeing Co. | | | 559 | | | | (0.98 | )% | | | (38,001 | ) |
Total Industrial | | | | | | | | | | | (120,364 | ) |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
KBR, Inc. | | | 1,517 | | | | (0.57 | )% | | | 8,950 | |
Paycor HCM, Inc. | | | 5,545 | | | | (0.81 | )% | | | 4,883 | |
Ceridian HCM Holding, Inc. | | | 1,466 | | | | (0.66 | )% | | | 1,335 | |
Parsons Corp. | | | 1,560 | | | | (0.66 | )% | | | (11,989 | ) |
Evolent Health, Inc. — Class A | | | 3,428 | | | | (0.76 | )% | | | (16,148 | ) |
HashiCorp, Inc. — Class A | | | 4,385 | | | | (0.70 | )% | | | (20,230 | ) |
Braze, Inc. — Class A | | | 2,102 | | | | (0.75 | )% | | | (20,784 | ) |
Total Technology | | | | | | | | | | | (53,983 | ) |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
DoorDash, Inc. — Class A | | | 260 | | | | (0.17 | )% | | | (2,675 | ) |
Roku, Inc. | | | 242 | | | | (0.15 | )% | | | (3,335 | ) |
Total Communications | | | | | | | | | | | (6,010 | ) |
Total GS Equity Short Custom Basket | | | | | | $ | (1,023,177 | ) |
* | 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 custom basket swap collateral at December 31, 2023. |
2 | Rate indicated is the 7-day yield as of December 31, 2023. |
| | 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. |
22 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
LONG SHORT EQUITY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 25,220,806 | | | $ | — | | | $ | — | | | $ | 25,220,806 | |
Money Market Fund | | | 539,490 | | | | — | | | | — | | | | 539,490 | |
Equity Custom Basket Swap Agreements** | | | — | | | | 2,563,894 | | | | — | | | | 2,563,894 | |
Total Assets | | $ | 25,760,296 | | | $ | 2,563,894 | | | $ | — | | | $ | 28,324,190 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Custom Basket Swap Agreements** | | $ | — | | | $ | 2,037,886 | | | $ | — | | | $ | 2,037,886 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 23 |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $23,130,193) | | $ | 25,760,296 | |
Cash | | | 899 | |
Unrealized appreciation on OTC swap agreements | | | 2,563,894 | |
Receivables: |
Dividends | | | 23,201 | |
Fund shares sold | | | 1,456 | |
Securities lending income | | | 5 | |
Total assets | | | 28,349,751 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 2,037,886 | |
Payable for: |
Swap settlement | | | 576,905 | |
Fund shares redeemed | | | 67,072 | |
Management fees | | | 19,504 | |
Transfer agent fees | | | 9,331 | |
Investor service fees | | | 5,418 | |
Portfolio accounting and administration fees | | | 3,359 | |
Trustees’ fees* | | | 324 | |
Miscellaneous | | | 67,549 | |
Total liabilities | | | 2,787,348 | |
Net assets | | $ | 25,562,403 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 23,307,648 | |
Total distributable earnings (loss) | | | 2,254,755 | |
Net assets | | $ | 25,562,403 | |
Capital shares outstanding | | | 1,506,221 | |
Net asset value per share | | $ | 16.97 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $167) | | $ | 484,904 | |
Income from securities lending, net | | | 156 | |
Total investment income | | | 485,060 | |
| | | | | |
Expenses: |
Management fees | | | 212,310 | |
Investor service fees | | | 58,975 | |
Transfer agent fees | | | 73,630 | |
Professional fees | | | 46,438 | |
Portfolio accounting and administration fees | | | 36,564 | |
Trustees’ fees* | | | 3,991 | |
Custodian fees | | | 3,593 | |
Line of credit fees | | | 41 | |
Miscellaneous | | | 18,161 | |
Total expenses | | | 453,703 | |
Net investment income | | | 31,357 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 901,026 | |
Swap agreements | | | 609,322 | |
Net realized gain | | | 1,510,348 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 2,279,767 | |
Swap agreements | | | (1,025,089 | ) |
Net change in unrealized appreciation (depreciation) | | | 1,254,678 | |
Net realized and unrealized gain | | | 2,765,026 | |
Net increase in net assets resulting from operations | | $ | 2,796,383 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
24 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 31,357 | | | $ | 54,825 | |
Net realized gain (loss) on investments | | | 1,510,348 | | | | (1,078,275 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 1,254,678 | | | | (2,908,913 | ) |
Net increase (decrease) in net assets resulting from operations | | | 2,796,383 | | | | (3,932,363 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (60,036 | ) | | | (114,913 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | �� |
Proceeds from sale of shares | | | 9,301,718 | | | | 6,127,910 | |
Distributions reinvested | | | 60,036 | | | | 114,913 | |
Cost of shares redeemed | | | (8,913,039 | ) | | | (7,201,449 | ) |
Net increase (decrease) from capital share transactions | | | 448,715 | | | | (958,626 | ) |
Net increase (decrease) in net assets | | | 3,185,062 | | | | (5,005,902 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 22,377,341 | | | | 27,383,243 | |
End of year | | $ | 25,562,403 | | | $ | 22,377,341 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 573,241 | | | | 388,498 | |
Shares issued from reinvestment of distributions | | | 3,699 | | | | 7,428 | |
Shares redeemed | | | (553,184 | ) | | | (459,654 | ) |
Net increase (decrease) in shares | | | 23,756 | | | | (63,728 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 25 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 15.09 | | | $ | 17.71 | | | $ | 14.40 | | | $ | 13.84 | | | $ | 13.19 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .02 | | | | .04 | | | | .07 | | | | .08 | | | | .09 | |
Net gain (loss) on investments (realized and unrealized) | | | 1.90 | | | | (2.59 | ) | | | 3.35 | | | | .59 | | | | .64 | |
Total from investment operations | | | 1.92 | | | | (2.55 | ) | | | 3.42 | | | | .67 | | | | .73 | |
Less distributions from: |
Net investment income | | | (.04 | ) | | | (.07 | ) | | | (.11 | ) | | | (.11 | ) | | | (.08 | ) |
Total distributions | | | (.04 | ) | | | (.07 | ) | | | (.11 | ) | | | (.11 | ) | | | (.08 | ) |
Net asset value, end of period | | $ | 16.97 | | | $ | 15.09 | | | $ | 17.71 | | | $ | 14.40 | | | $ | 13.84 | |
|
Total Returnb | | | 12.75 | % | | | (14.39 | %) | | | 23.80 | % | | | 4.93 | % | | | 5.54 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 25,562 | | | $ | 22,377 | | | $ | 27,383 | | | $ | 22,969 | | | $ | 30,683 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.13 | % | | | 0.23 | % | | | 0.45 | % | | | 0.59 | % | | | 0.65 | % |
Total expensesc,d | | | 1.92 | % | | | 1.78 | % | | | 1.60 | % | | | 1.73 | % | | | 1.72 | % |
Portfolio turnover rate | | | 338 | % | | | 302 | % | | | 211 | % | | | 160 | % | | | 170 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Total expenses may include certain non-operating expenses. Excluding these non-operating expenses, the net expense ratios for the years presented would be: |
12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 |
1.92% | 1.78% | 1.60% | 1.73% | 1.72% |
26 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
GLOBAL MANAGED FUTURES STRATEGY FUND
OBJECTIVE: Seeks to generate positive total returns over time.
For the Reporting Period, Guggenheim Global Managed Futures Strategy Fund returned 3.80%, underperforming the ICE BofA 3-Month U.S. Treasury Bill Index, the Fund’s benchmark, which returned 5.05%. The Fund outperformed the SG (Societe Generale) CTA Index for the year, which returned -3.49%.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
The U.S. economy defied expectations in 2023 and provided a much-needed comeback for investors after a brutal 2022. While many forecasters had predicted a recession in 2023, the year was characterized by robust growth, strong consumer spending, steady job growth, and growing real wages. Bolstered by the combination of a solid economy, better-than-expected corporate earnings, and an apparent end to the Federal Reserve’s interest rate hikes, stocks rallied 25% in 2023. Furthermore, after peaking in 2022, inflation decelerated throughout the year due in large part to healing supply chains.
Although the economic news in 2023 was generally good, futures markets in all sectors were choppy and difficult to trend-follow, unlike the case in 2022. The CTA Index, an industry benchmark, was down -3.49% after a record 20.15% year in 2022 and most funds in the Morningstar Systematic Trend universe posted a negative return. As mentioned above, the Fund returned 3.80% and was one of the few funds that saw positive returns during the year.
Within the Fund, the core trend-following strategy detracted from the overall return while the alpha strategies benefited overall return. The short-term strategies, a subset of the alpha strategies, were particularly strong performers, contributing positive returns in each of the four quarters and boosting the Fund’s 2023 return into the black.
The core trend-following strategy saw gains from currencies, but these were overwhelmed by losses in commodities, equity indexes, and fixed income. The alpha strategies saw sufficient gains from equities to overcome losses in commodities, currencies, and fixed income. Overall, currencies and equities contributed positively to the Fund’s total return while commodities and fixed income detracted.
How did the Fund use derivatives during the Reporting Period?
The Fund’s performance is primarily derived from the trading of liquid futures. Futures are used to express investment views and hedge exposures across a wide range of global markets, including commodities, currencies, fixed income, and stock indexes. Positions held may be long or short depending on the investment view and/or nature of the hedge. The use of futures also enables the ready use of leverage, which actively facilitates portfolio diversification and risk management.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. For the Reporting Period, investment in the Short Term Investment Vehicles contributed to Fund performance.
How was the Fund positioned at the end of the Reporting Period?
At the end of 2023, the Fund was net long equities, short bond yields (long bond futures), short commodities, and short the U.S. dollar. The Fund’s gross leverage was approximately 310%, with 55% of its expected risk in equities, 27% in currencies, 11% in commodities, and 7% in fixed income. The Fund’s net leverage was approximately 175%.
Performance displayed represents past performance which is no guarantee of future results.
| | THE RYDEX FUNDS ANNUAL REPORT | 27 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | December 31, 2023 |
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 |
Largest Holdings | % of Total Net Assets |
Guggenheim Variable Insurance Strategy Fund III | 22.7% |
Guggenheim Strategy Fund III | 15.1% |
Guggenheim Strategy Fund II | 0.8% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 0.5% |
Total | 39.1% |
| | |
The Fund invests principally in derivative investments such as futures contracts.
“Largest Holdings” excludes any temporary cash or derivative investments. |
28 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Global Managed Futures Strategy Fund | 3.80% | 5.28% | 1.87% |
ICE BofA 3-Month U.S. Treasury Bill Index | 5.05% | 1.89% | 1.26% |
* | 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 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 29 |
CONSOLIDATED SCHEDULE OF INVESTMENTS | December 31, 2023 |
GLOBAL MANAGED FUTURES STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 39.1% |
Guggenheim Variable Insurance Strategy Fund III1 | | | 134,486 | | | $ | 3,298,932 | |
Guggenheim Strategy Fund III1 | | | 89,107 | | | | 2,187,574 | |
Guggenheim Strategy Fund II1 | | | 4,552 | | | | 111,528 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 7,274 | | | | 71,646 | |
Total Mutual Funds | | | | |
(Cost $5,738,109) | | | | | | | 5,669,680 | |
| | | | | | | | | |
| | Face
Amount | | | | |
U.S. TREASURY BILLS†† - 14.5% |
U.S. Treasury Bills |
5.17% due 01/09/242,3 | | $ | 2,100,000 | | | | 2,097,859 | |
Total U.S. Treasury Bills | | | | |
(Cost $2,097,543) | | | | | | | 2,097,859 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 44.9% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | | 3,605,433 | | | | 3,605,433 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 2,905,569 | | | | 2,905,569 | |
Total Repurchase Agreements | | | | |
(Cost $6,511,002) | | | | | | | 6,511,002 | |
| | | | | | | | | |
Total Investments - 98.5% | | | | |
(Cost $14,346,654) | | $ | 14,278,541 | |
Other Assets & Liabilities, net - 1.5% | | | 220,377 | |
Total Net Assets - 100.0% | | $ | 14,498,918 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation)** | |
Currency Futures Contracts Purchased† |
Mexican Peso Futures Contracts | | | 35 | | | | Mar 2024 | | | $ | 1,018,325 | | | $ | 28,710 | |
Canadian Dollar Futures Contracts | | | 27 | | | | Mar 2024 | | | | 2,040,120 | | | | 26,958 | |
New Zealand Dollar Futures Contracts | | | 16 | | | | Mar 2024 | | | | 1,011,840 | | | | 21,805 | |
Euro FX Futures Contracts | | | 20 | | | | Mar 2024 | | | | 2,768,750 | | | | 20,118 | |
British Pound Futures Contracts | | | 26 | | | | Mar 2024 | | | | 2,072,200 | | | | 13,188 | |
Australian Dollar Futures Contracts | | | 22 | | | | Mar 2024 | | | | 1,502,930 | | | | 9,083 | |
Japanese Yen Futures Contracts | | | 6 | | | | Mar 2024 | | | | 538,350 | | | | 4,698 | |
| | | | | | | | | | | $ | 10,952,515 | | | $ | 124,560 | |
Equity Futures Contracts Purchased† |
S&P/TSX 60 IX Index Futures Contracts | | | 6 | | | | Mar 2024 | | | $ | 1,151,468 | | | $ | 37,999 | |
NASDAQ-100 Index Mini Futures Contracts | | | 4 | | | | Mar 2024 | | | | 1,361,540 | | | | 31,207 | |
FTSE Taiwan Index Futures Contracts | | | 14 | | | | Jan 2024 | | | | 867,300 | | | | 13,375 | |
MSCI EAFE Index Futures Contracts | | | 3 | | | | Mar 2024 | | | | 337,860 | | | | 7,304 | |
Russell 2000 Index Mini Futures Contracts | | | 7 | | | | Mar 2024 | | | | 716,450 | | | | 6,996 | |
Dow Jones Industrial Average Index Mini Futures Contracts | | | 3 | | | | Mar 2024 | | | | 570,045 | | | | 5,229 | |
S&P 500 Index Mini Futures Contracts | | | 4 | | | | Mar 2024 | | | | 963,800 | | | | 4,407 | |
SPI 200 Index Futures Contracts†† | | | 2 | | | | Mar 2024 | | | | 257,400 | | | | 2,882 | |
CAC 40 10 Euro Index Futures Contracts | | | 7 | | | | Jan 2024 | | | | 585,446 | | | | 2,840 | |
Euro STOXX 50 Index Futures Contracts | | | 4 | | | | Mar 2024 | | | | 201,502 | | | | 836 | |
OMX Stockholm 30 Index Futures Contracts†† | | | 1 | | | | Jan 2024 | | | | 23,900 | | | | 245 | |
CBOE Volatility Index Futures Contracts | | | 17 | | | | May 2024 | | | | 295,800 | | | | (177 | ) |
FTSE 100 Index Futures Contracts†† | | | 11 | | | | Mar 2024 | | | | 1,082,475 | | | | (337 | ) |
CBOE Volatility Index Futures Contracts | | | 23 | | | | Jun 2024 | | | | 408,250 | | | | (612 | ) |
IBEX 35 Index Futures Contracts†† | | | 5 | | | | Jan 2024 | | | | 557,678 | | | | (1,950 | ) |
Tokyo Stock Price Index Futures Contracts | | | 4 | | | | Mar 2024 | | | | 668,875 | | | | (4,990 | ) |
S&P MidCap 400 Index Mini Futures Contracts | | | 3 | | | | Mar 2024 | | | | 842,430 | | | | (6,570 | ) |
| | | | | | | | | | | $ | 10,892,219 | | | $ | 98,684 | |
30 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
GLOBAL MANAGED FUTURES STRATEGY FUND | |
Futures Contracts (Continued) |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation)** | |
Commodity Futures Contracts Purchased† |
Gold 100 oz. Futures Contracts | | | 4 | | | | Feb 2024 | | | $ | 829,160 | | | $ | 30,618 | |
Cocoa Futures Contracts | | | 15 | | | | Mar 2024 | | | | 630,000 | | | | 22,044 | |
Natural Gas Futures Contracts | | | 7 | | | | Feb 2024 | | | | 162,610 | | | | 8,522 | |
Live Cattle Futures Contracts | | | 8 | | | | Jun 2024 | | | | 543,840 | | | | 5,641 | |
NY Harbor ULSD Futures Contracts | | | 3 | | | | Mar 2024 | | | | 311,321 | | | | 3,255 | |
Platinum Futures Contracts | | | 2 | | | | Apr 2024 | | | | 100,590 | | | | 1,813 | |
Cotton #2 Futures Contracts | | | 2 | | | | Mar 2024 | | | | 80,950 | | | | 565 | |
Lean Hogs Futures Contracts | | | 3 | | | | Feb 2024 | | | | 81,930 | | | | 347 | |
Low Sulphur Gas Oil Futures Contracts | | | 3 | | | | Feb 2024 | | | | 222,450 | | | | (222 | ) |
Soybean Futures Contracts | | | 4 | | | | Mar 2024 | | | | 259,500 | | | | (1,766 | ) |
Gasoline RBOB Futures Contracts | | | 5 | | | | Jan 2024 | | | | 442,932 | | | | (2,223 | ) |
Soybean Meal Futures Contracts | | | 4 | | | | Mar 2024 | | | | 154,440 | | | | (2,583 | ) |
Coffee ‘C’ Futures Contracts | | | 2 | | | | May 2024 | | | | 139,725 | | | | (6,794 | ) |
Coffee ‘C’ Futures Contracts | | | 3 | | | | Mar 2024 | | | | 211,725 | | | | (6,827 | ) |
Corn Futures Contracts | | | 34 | | | | Mar 2024 | | | | 800,275 | | | | (7,647 | ) |
| | | | | | | | | | | $ | 4,971,448 | | | $ | 44,743 | |
Interest Rate Futures Contracts Purchased† |
Euro - Schatz Futures Contracts | | | 36 | | | | Mar 2024 | | | $ | 4,235,247 | | | $ | 16,538 | |
Euro - BTP Italian Government Bond Futures Contracts†† | | | 4 | | | | Mar 2024 | | | | 526,678 | | | | 15,391 | |
Euro - OATS Futures Contracts | | | 3 | | | | Mar 2024 | | | | 435,358 | | | | 3,883 | |
Australian Government 10 Year Bond Futures Contracts | | | 4 | | | | Mar 2024 | | | | 317,710 | | | | 1,406 | |
Euro - Bobl Futures Contracts | | | 1 | | | | Mar 2024 | | | | 131,703 | | | | (35 | ) |
Euro - Bund Futures Contracts | | | 4 | | | | Mar 2024 | | | | 605,875 | | | | (658 | ) |
Euro - 30 year Bond Futures Contracts | | | 1 | | | | Mar 2024 | | | | 155,808 | | | | (2,618 | ) |
| | | | | | | | | | | $ | 6,408,379 | | | $ | 33,907 | |
Commodity Futures Contracts Sold Short† |
ICE Endex Dutch TTF Natural Gas Futures Contracts | | | 15 | | | | Feb 2024 | | | $ | 395,601 | | | $ | 46,144 | |
Red Spring Wheat Futures Contracts | | | 12 | | | | Mar 2024 | | | | 433,950 | | | | 14,763 | |
Gasoline RBOB Futures Contracts | | | 3 | | | | Mar 2024 | | | | 291,879 | | | | 11,610 | |
Live Cattle Futures Contracts | | | 7 | | | | Apr 2024 | | | | 482,020 | | | | 8,732 | |
Live Cattle Futures Contracts | | | 2 | | | | Feb 2024 | | | | 134,820 | | | | 7,404 | |
Coffee ‘C’ Futures Contracts | | | 2 | | | | Jul 2024 | | | | 139,837 | | | | 6,694 | |
Silver Futures Contracts | | | 3 | | | | Mar 2024 | | | | 360,525 | | | | 6,370 | |
Hard Red Winter Wheat Futures Contracts | | | 8 | | | | Mar 2024 | | | | 257,500 | | | | 3,271 | |
Sugar #11 Futures Contracts | | | 1 | | | | Feb 2024 | | | | 22,949 | | | | 2,250 | |
Natural Gas Futures Contracts | | | 23 | | | | Jan 2024 | | | | 576,840 | | | | 2,006 | |
Soybean Oil Futures Contracts | | | 12 | | | | Mar 2024 | | | | 346,680 | | | | 1,206 | |
Natural Gas Futures Contracts | | | 7 | | | | Mar 2024 | | | | 161,210 | | | | 547 | |
WTI Crude Futures Contracts | | | 1 | | | | Feb 2024 | | | | 71,380 | | | | 257 | |
LME Primary Aluminum Futures Contracts | | | 2 | | | | Feb 2024 | | | | 118,450 | | | | 156 | |
Copper Futures Contracts | | | 5 | | | | Mar 2024 | | | | 486,562 | | | | (43 | ) |
LME Lead Futures Contracts | | | 2 | | | | Feb 2024 | | | | 103,117 | | | | (1,019 | ) |
Brent Crude Futures Contracts | | | 1 | | | | Jan 2024 | | | | 77,080 | | | | (2,571 | ) |
Wheat Futures Contracts | | | 27 | | | | Mar 2024 | | | | 848,813 | | | | (3,731 | ) |
Cattle Feeder Futures Contracts | | | 2 | | | | Mar 2024 | | | | 223,125 | | | | (5,661 | ) |
Palladium Futures Contracts | | | 1 | | | | Mar 2024 | | | | 110,450 | | | | (6,243 | ) |
LME Nickel Futures Contracts | | | 5 | | | | Feb 2024 | | | | 495,615 | | | | (9,966 | ) |
LME Zinc Futures Contracts | | | 11 | | | | Feb 2024 | | | | 731,308 | | | | (53,628 | ) |
| | | | | | | | | | | $ | 6,869,711 | | | $ | 28,548 | |
Equity Futures Contracts Sold Short† |
CBOE Volatility Index Futures Contracts | | | 22 | | | | Jan 2024 | | | $ | 310,200 | | | $ | 15,951 | |
FTSE/JSE TOP 40 Index Futures Contracts†† | | | 11 | | | | Mar 2024 | | | | 425,238 | | | | (4,333 | ) |
| | | | | | | | | | | $ | 735,438 | | | $ | 11,618 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 31 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
GLOBAL MANAGED FUTURES STRATEGY FUND | |
Futures Contracts (Concluded) |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation)** | |
Interest Rate Futures Contracts Sold Short† |
U.S. Treasury 5 Year Note Futures Contracts | | | 5 | | | | Mar 2024 | | | $ | 543,437 | | | $ | (919 | ) |
U.S. Treasury 2 Year Note Futures Contracts | | | 20 | | | | Mar 2024 | | | | 4,117,656 | | | | (2,226 | ) |
Australian Government 3 Year Bond Futures Contracts | | | 27 | | | | Mar 2024 | | | | 1,967,853 | | | | (14,352 | ) |
Canadian Government 10 Year Bond Futures Contracts | | | 13 | | | | Mar 2024 | | | | 1,218,373 | | | | (21,804 | ) |
Long Gilt Futures Contracts†† | | | 7 | | | | Mar 2024 | | | | 918,270 | | | | (35,856 | ) |
| | | | | | | | | | | $ | 8,765,589 | | | $ | (75,157 | ) |
** | 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 December 31, 2023. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 6. |
| | ICE — Intercontinental Exchange |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 5,669,680 | | | $ | — | | | $ | — | | | $ | 5,669,680 | |
U.S. Treasury Bills | | | — | | | | 2,097,859 | | | | — | | | | 2,097,859 | |
Repurchase Agreements | | | — | | | | 6,511,002 | | | | — | | | | 6,511,002 | |
Commodity Futures Contracts** | | | 184,215 | | | | — | | | | — | | | | 184,215 | |
Equity Futures Contracts** | | | 126,144 | | | | 3,127 | | | | — | | | | 129,271 | |
Currency Futures Contracts** | | | 124,560 | | | | — | | | | — | | | | 124,560 | |
Interest Rate Futures Contracts** | | | 21,827 | | | | 15,391 | | | | — | | | | 37,218 | |
Total Assets | | $ | 6,126,426 | | | $ | 8,627,379 | | | $ | — | | | $ | 14,753,805 | |
32 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
GLOBAL MANAGED FUTURES STRATEGY FUND | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Commodity Futures Contracts** | | $ | 110,924 | | | $ | — | | | $ | — | | | $ | 110,924 | |
Interest Rate Futures Contracts** | | | 42,612 | | | | 35,856 | | | | — | | | | 78,468 | |
Equity Futures Contracts** | | | 12,349 | | | | 6,620 | | | | — | | | | 18,969 | |
Total Liabilities | | $ | 165,885 | | | $ | 42,476 | | | $ | — | | | $ | 208,361 | |
** | 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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/22 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
12/31/23 | | | Shares
12/31/23 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 109,435 | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,093 | | | $ | 111,528 | | | | 4,552 | | | $ | 5,967 | |
Guggenheim Strategy Fund III | | | 2,143,912 | | | | — | | | | — | | | | — | | | | 43,662 | | | | 2,187,574 | | | | 89,107 | | | | 115,452 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 70,118 | | | | — | | | | — | | | | — | | | | 1,528 | | | | 71,646 | | | | 7,274 | | | | 3,794 | |
Guggenheim Variable Insurance Strategy Fund III | | | 3,237,068 | | | | — | | | | — | | | | — | | | | 61,864 | | | | 3,298,932 | | | | 134,486 | | | | 173,577 | |
| | | $ | 5,560,533 | | | $ | — | | | $ | — | | | $ | — | | | $ | 109,147 | | | $ | 5,669,680 | | | | | | | $ | 298,790 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 33 |
GLOBAL MANAGED FUTURES STRATEGY FUND | |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments in unaffiliated issuers, at value (cost $2,097,543) | | $ | 2,097,859 | |
Investments in affiliated issuers, at value (cost $5,738,109) | | | 5,669,680 | |
Repurchase agreements, at value (cost $6,511,002) | | | 6,511,002 | |
Segregated cash with broker | | | 397,801 | |
Receivables: |
Dividends | | | 25,530 | |
Interest | | | 2,897 | |
Fund shares sold | | | 1,764 | |
Other assets | | | 1,609 | |
Total assets | | | 14,708,142 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 2,657 | |
Payable for: |
Variation margin on futures contracts | | | 106,257 | |
Fund shares redeemed | | | 34,877 | |
Management fees | | | 11,110 | |
Transfer agent fees | | | 6,583 | |
Investor service fees | | | 3,121 | |
Portfolio accounting and administration fees | | | 1,935 | |
Trustees’ fees* | | | 188 | |
Miscellaneous | | | 42,496 | |
Total liabilities | | | 209,224 | |
Net assets | | $ | 14,498,918 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 15,432,900 | |
Total distributable earnings (loss) | | | (933,982 | ) |
Net assets | | $ | 14,498,918 | |
Capital shares outstanding | | | 844,535 | |
Net asset value per share | | $ | 17.17 | |
CONSOLIDATED STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 298,790 | |
Interest | | | 576,204 | |
Total investment income | | | 874,994 | |
| | | | | |
Expenses: |
Management fees | | | 179,974 | |
Investor service fees | | | 43,063 | |
Transfer agent fees | | | 62,309 | |
Professional fees | | | 40,371 | |
Portfolio accounting and administration fees | | | 26,699 | |
Trustees’ fees* | | | 3,379 | |
Custodian fees | | | 2,630 | |
Miscellaneous | | | 10,787 | |
Total expenses | | | 369,212 | |
Less: |
Expenses waived by Adviser | | | (25,434 | ) |
Net expenses | | | 343,778 | |
Net investment income | | | 531,216 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 90 | |
Futures contracts | | | 387,760 | |
Foreign currency transactions | | | (11,753 | ) |
Net realized gain | | | 376,097 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (381 | ) |
Investments in affiliated issuers | | | 109,147 | |
Futures contracts | | | (460,863 | ) |
Foreign currency translations | | | (288 | ) |
Net change in unrealized appreciation (depreciation) | | | (352,385 | ) |
Net realized and unrealized gain | | | 23,712 | |
Net increase in net assets resulting from operations | | $ | 554,928 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
34 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
GLOBAL MANAGED FUTURES STRATEGY FUND | |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 531,216 | | | $ | 65,110 | |
Net realized gain on investments | | | 376,097 | | | | 19,298 | |
Net change in unrealized appreciation (depreciation) on investments | | | (352,385 | ) | | | 553,395 | |
Net increase in net assets resulting from operations | | | 554,928 | | | | 637,803 | |
| | | | | | | | | |
Distributions to shareholders | | | (996,811 | ) | | | (577,535 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 7,635,530 | | | | 28,635,105 | |
Distributions reinvested | | | 996,811 | | | | 577,535 | |
Cost of shares redeemed | | | (14,732,753 | ) | | | (18,902,324 | ) |
Net increase (decrease) from capital share transactions | | | (6,100,412 | ) | | | 10,310,316 | |
Net increase (decrease) in net assets | | | (6,542,295 | ) | | | 10,370,584 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 21,041,213 | | | | 10,670,629 | |
End of year | | $ | 14,498,918 | | | $ | 21,041,213 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 433,575 | | | | 1,564,274 | |
Shares issued from reinvestment of distributions | | | 58,498 | | | | 32,428 | |
Shares redeemed | | | (844,203 | ) | | | (1,057,017 | ) |
Net increase (decrease) in shares | | | (352,130 | ) | | | 539,685 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 35 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 17.58 | | | $ | 16.24 | | | $ | 16.32 | | | $ | 16.64 | | | $ | 15.50 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .54 | | | | .06 | | | | (.15 | ) | | | (.09 | ) | | | .14 | |
Net gain (loss) on investments (realized and unrealized) | | | .11 | | | | 1.80 | | | | .29 | | | | .51 | | | | 1.15 | |
Total from investment operations | | | .65 | | | | 1.86 | | | | .14 | | | | .42 | | | | 1.29 | |
Less distributions from: |
Net investment income | | | (.65 | ) | | | (.43 | ) | | | — | | | | (.65 | ) | | | (.15 | ) |
Net realized gains | | | (.41 | ) | | | (.09 | ) | | | (.22 | ) | | | (.09 | ) | | | — | |
Total distributions | | | (1.06 | ) | | | (.52 | ) | | | (.22 | ) | | | (.74 | ) | | | (.15 | ) |
Net asset value, end of period | | $ | 17.17 | | | $ | 17.58 | | | $ | 16.24 | | | $ | 16.32 | | | $ | 16.64 | |
|
Total Returnb | | | 3.80 | % | | | 11.28 | % | | | 0.82 | % | | | 2.60 | % | | | 8.35 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 14,499 | | | $ | 21,041 | | | $ | 10,671 | | | $ | 13,593 | | | $ | 14,282 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.08 | % | | | 0.36 | % | | | (0.87 | %) | | | (0.55 | %) | | | 0.82 | % |
Total expensesc | | | 2.14 | % | | | 1.96 | % | | | 1.81 | % | | | 1.80 | % | | | 1.81 | % |
Net expensesd | | | 2.00 | % | | | 1.85 | % | | | 1.69 | % | | | 1.72 | % | | | 1.74 | % |
Portfolio turnover rate | | | — | | | | — | | | | 2 | % | | | 2 | % | | | 13 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
36 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND
OBJECTIVE: Seeks to provide long-term capital appreciation with less risk than traditional equity funds.
For the Reporting Period, Guggenheim Multi-Hedge Strategies Fund returned 4.37%, outperforming the HFRX Global Hedge Fund Index, the Fund’s benchmark, which returned 3.10%.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
In 2023, the Federal Reserve (the “Fed”) announced four quarter point rate increases with the final increase in July raising the target upper bound lending rate to 5.50%. Higher lending rates helped to rein in inflation, yet we remain above the Fed’s 2% inflation target. Geopolitical tensions increased as the Ukraine/Russia war continued without any end in the foreseeable future, and the Israel/Hamas war began. Still, the markets proved resilient; with a strong labor market and growing hopes of future Fed rate cuts, we saw rebounds in both stocks and bonds in 2023. Large-cap growth equities (primarily in the Information Technology and Communication Services sectors) helped drive the market higher.
The S&P 500 Index ended the year up 26.29% and the Bloomberg U.S. Aggregate Bond Index was up 5.53%. Alternatives in general also saw a rebound in 2023. The HFRX Global Hedge Fund Index was up 3.10% while the mutual-fund-focused Wilshire Focused Liquid Alternative Index was up 4.42%. The Fund’s return of 4.37% for the reporting period was in line with the majority of its peers.
By providing exposure to a collection of uncorrelated alternative strategies, the Fund generally mitigates the impact of macroeconomic and market fluctuations. Even in such a volatile year as 2023, the Fund had just a 34% correlation to equities, -23% correlation to bonds, and an annualized standard deviation of only 5.5% in 2023.
Standard deviation is a measure of risk, a statistic of the historical volatility of an investment. More generally, it is a measure of the extent to which numbers are spread around their average. The higher the number, the more volatility is to be expected.
At the highest classification level, all our strategies were positive contributors with Merger Arbitrage leading the way. Long/Short Equity, Global Macro, and Market Neutral were also positive contributors. Within Global Macro, the Flow and Carry strategies were by far the strongest drivers of returns while the Momentum and Value strategies had a down year. Within Market Neutral, Closed-End Fund Arbitrage was a small positive contributor while Market Neutral Real Estate was a small detractor.
How did the Fund use derivatives during the Reporting Period?
Our equity-based strategies, primarily Long/Short Equity and Market Neutral, use total return swaps to gain exposure to both long and short positions. Our Global Macro strategies use exchange traded futures contracts covering a wide variety of equity indexes, fixed income, commodities, and currencies. In aggregate, while largely hedged, the derivatives had a net long exposure. The net performance impact of these derivatives was positive this fiscal year as the overall market had a large positive return.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. For the Reporting Period, investment in the Short Term Investment Vehicles contributed to Fund performance.
| | THE RYDEX FUNDS ANNUAL REPORT | 37 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (Continued) | December 31, 2023 |
How was the Fund positioned at the end of the Reporting Period?
As of the end of the Reporting Period, the Fund was long 271% and short 186%. This provides the Fund with a net exposure of 85% and a gross exposure of 457%. By providing exposure to a wide variety of uncorrelated alternative strategies, we expect the Fund will generally mitigate the impact of macroeconomic and market fluctuations while seeking capital appreciation with low correlations to both equity and bond markets.
Performance displayed represents past performance which is no guarantee of future results.
38 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | December 31, 2023 |
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 | 5.7% |
Guggenheim Variable Insurance Strategy Fund III | 5.0% |
Guggenheim Strategy Fund II | 3.8% |
Capri Holdings Ltd. | 3.4% |
Splunk, Inc. | 3.2% |
Sovos Brands, Inc. | 2.9% |
Textainer Group Holdings Ltd. | 2.6% |
Olink Holding AB ADR | 2.3% |
SP Plus Corp. | 2.1% |
Chico’s FAS, Inc. | 1.8% |
Top Ten Total | 32.8% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 39 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Multi-Hedge Strategies Fund | 4.37% | 4.21% | 2.52% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
HFRX Global Hedge Fund Index | 3.10% | 3.46% | 1.41% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the HFRX Global Hedge Fund 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. |
40 | THE RYDEX FUNDS ANNUAL REPORT | |
CONSOLIDATED SCHEDULE OF INVESTMENTS | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 43.1% |
| | | | | | | | | |
Consumer, Non-cyclical - 13.6% |
Textainer Group Holdings Ltd. | | | 22,898 | | | $ | 1,126,594 | |
Olink Holding AB ADR*,1 | | | 39,817 | | | | 1,001,398 | |
SP Plus Corp.* | | | 17,793 | | | | 911,891 | |
Amedisys, Inc.*,1 | | | 7,418 | | | | 705,155 | |
Mirati Therapeutics, Inc.* | | | 10,574 | | | | 621,222 | |
ImmunoGen, Inc.*,1 | | | 20,567 | | | | 609,812 | |
Cerevel Therapeutics Holdings, Inc.* | | | 10,189 | | | | 432,014 | |
Karuna Therapeutics, Inc.* | | | 1,163 | | | | 368,101 | |
Total Consumer, Non-cyclical | | | | | | | 5,776,187 | |
| | | | | | | | | |
Consumer, Cyclical - 11.1% |
Capri Holdings Ltd.*,1 | | | 28,602 | | | | 1,437,552 | |
Sovos Brands, Inc.*,1 | | | 55,530 | | | | 1,223,326 | |
Chico’s FAS, Inc.* | | | 101,425 | | | | 768,801 | |
Bluegreen Vacations Holding Corp.2 | | | 6,791 | | | | 510,140 | |
NEOGAMES S.A.* | | | 9,666 | | | | 276,738 | |
iRobot Corp.*,1 | | | 4,981 | | | | 192,765 | |
Spirit Airlines, Inc.1 | | | 10,305 | | | | 168,899 | |
Hawaiian Holdings, Inc.* | | | 10,628 | | | | 150,917 | |
Total Consumer, Cyclical | | | | | | | 4,729,138 | |
| | | | | | | | | |
Financial - 7.4% |
National Western Life Group, Inc. — Class A1 | | | 1,459 | | | | 704,726 | |
Spirit Realty Capital, Inc. REIT | | | 13,036 | | | | 569,543 | |
Physicians Realty Trust REIT | | | 40,928 | | | | 544,752 | |
RPT Realty REIT | | | 41,415 | | | | 531,354 | |
Cambridge Bancorp | | | 7,632 | | | | 529,661 | |
Lakeland Bancorp, Inc. | | | 19,007 | | | | 281,113 | |
Total Financial | | | | | | | 3,161,149 | |
| | | | | | | | | |
Technology - 5.5% |
Splunk, Inc.*,1 | | | 8,952 | | | | 1,363,837 | |
EngageSmart, Inc.* | | | 24,628 | | | | 563,981 | |
Alteryx, Inc. — Class A* | | | 8,549 | | | | 403,171 | |
Total Technology | | | | | | | 2,330,989 | |
| | | | | | | | | |
Energy - 2.8% |
Pioneer Natural Resources Co.1 | | | 2,668 | | | | 599,980 | |
Hess Corp. | | | 4,023 | | | | 579,956 | |
Total Energy | | | | | | | 1,179,936 | |
| | | | | | | | | |
Communications - 2.2% |
DISH Network Corp. — Class A* | | | 84,518 | | | | 487,669 | |
Rover Group, Inc.* | | | 41,326 | | | | 449,627 | |
Total Communications | | | | | | | 937,296 | |
| | | | | | | | | |
Utilities - 0.5% |
PNM Resources, Inc. | | | 5,374 | | | | 223,559 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $17,758,399) | | | | | | | 18,338,254 | |
| | | | | | | | | |
RIGHTS††† - 0.0% |
| | | | | | | | | |
Consumer, Non-cyclical - 0.0% |
Alexion Pharmaceuticals, Inc.* | | | 32,749 | | | | — | |
Johnson & Johnson* | | | 1,553 | | | | — | |
Novartis AG* | | | 4,974 | | | | — | |
Total Consumer, Non-cyclical | | | | | | | — | |
| | | | | | | | | |
Total Rights | | | | |
(Cost $1,940) | | | | | | | — | |
| | | | | | | | | |
MUTUAL FUNDS† - 15.8% |
Guggenheim Strategy Fund III3 | | | 99,249 | | | | 2,436,560 | |
Guggenheim Variable Insurance Strategy Fund III3 | | | 86,555 | | | | 2,123,195 | |
Guggenheim Strategy Fund II3 | | | 67,185 | | | | 1,646,028 | |
Guggenheim Ultra Short Duration Fund — Institutional Class3 | | | 54,685 | | | | 538,646 | |
Total Mutual Funds | | | | |
(Cost $6,865,317) | | | | | | | 6,744,429 | |
| | | | | | | | | |
CLOSED-END MUTUAL FUNDS† - 7.6% |
abrdn Life Sciences Investors | | | 7,053 | | | | 94,933 | |
abrdn Healthcare Investors | | | 5,652 | | | | 93,654 | |
BNY Mellon Strategic Municipal Bond Fund, Inc. | | | 15,766 | | | | 90,024 | |
Gabelli Dividend & Income Trust | | | 4,150 | | | | 89,806 | |
DWS Municipal Income Trust | | | 10,089 | | | | 89,691 | |
Pioneer Municipal High Income Fund Trust | | | 10,341 | | | | 89,243 | |
abrdn Healthcare Opportunities Fund | | | 4,908 | | | | 88,884 | |
SRH Total Return Fund, Inc. | | | 6,280 | | | | 87,104 | |
General American Investors Company, Inc. | | | 2,012 | | | | 86,415 | |
Neuberger Berman Municipal Fund, Inc.2 | | | 8,270 | | | | 85,595 | |
Nuveen Pennsylvania Quality Municipal Income Fund | | | 6,753 | | | | 78,200 | |
BNY Mellon Strategic Municipals, Inc. | | | 12,680 | | | | 74,305 | |
Clough Global Equity Fund | | | 10,399 | | | | 61,614 | |
AllianceBernstein National Municipal Income Fund, Inc. | | | 5,562 | | | | 60,292 | |
Duff & Phelps Utility and Infrastructure Fund, Inc. | | | 6,385 | | | | 58,550 | |
Gabelli Healthcare & WellnessRx Trust | | | 6,255 | | | | 58,359 | |
Nuveen New Jersey Quality Municipal Income Fund | | | 4,931 | | | | 58,087 | |
BlackRock MuniHoldings Quality Fund II, Inc. | | | 4,765 | | | | 47,745 | |
abrdn National Municipal Income Fund2 | | | 4,220 | | | | 43,088 | |
Invesco Dynamic Credit Opportunities Fund | | | 3,625 | | | | 42,454 | |
Invesco California Value Municipal Income Trust | | | 4,167 | | | | 40,837 | |
Mexico Fund, Inc. | | | 2,140 | | | | 40,831 | |
Nuveen California Quality Municipal Income Fund | | | 3,532 | | | | 39,170 | |
Western Asset Managed Municipals Fund, Inc. | | | 3,848 | | | | 39,134 | |
BlackRock MuniHoldings Fund, Inc. | | | 2,957 | | | | 35,218 | |
Virtus Total Return Fund, Inc. | | | 6,341 | | | | 34,939 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 41 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Value | |
BlackRock MuniYield Michigan Quality Fund, Inc. | | | 2,414 | | | $ | 27,423 | |
BlackRock Municipal Income Trust | | | 2,674 | | | | 26,927 | |
Invesco Trust for Investment Grade Municipals | | | 2,633 | | | | 26,040 | |
BlackRock Municipal Income Trust II | | | 2,369 | | | | 25,301 | |
Invesco Trust for Investment Grade New York Municipals | | | 2,368 | | | | 24,651 | |
Ellsworth Growth and Income Fund Ltd. | | | 2,599 | | | | 21,004 | |
BlackRock MuniHoldings California Quality Fund, Inc. | | | 1,862 | | | | 20,724 | |
Nuveen AMT-Free Municipal Credit Income Fund | | | 1,717 | | | | 20,295 | |
Swiss Helvetia Fund, Inc. | | | 2,447 | | | | 20,065 | |
First Trust Specialty Finance and Financial Opportunities Fund | | | 4,912 | | | | 17,585 | |
Herzfeld Caribbean Basin Fund, Inc. | | | 6,000 | | | | 16,679 | |
Nuveen Arizona Quality Municipal Income Fund | | | 1,462 | | | | 15,658 | |
Nuveen Massachusetts Quality Municipal Income Fund | | | 1,474 | | | | 15,492 | |
BNY Mellon Municipal Income, Inc. | | | 2,112 | | | | 13,728 | |
Tortoise Power and Energy Infrastructure Fund, Inc. | | | 904 | | | | 12,669 | |
Gabelli Global Small and Mid Capital Value Trust | | | 972 | | | | 11,402 | |
CBRE Global Real Estate Income Fund | | | 2,031 | | | | 11,028 | |
Cohen & Steers Quality Income Realty Fund, Inc.2 | | | 864 | | | | 10,575 | |
abrdn Japan Equity Fund, Inc. | | | 1,841 | | | | 10,567 | |
BlackRock MuniYield Quality Fund III, Inc. | | | 891 | | | | 10,371 | |
Nuveen Quality Municipal Income Fund | | | 897 | | | | 10,271 | |
Nuveen Floating Rate Income Fund | | | 1,244 | | | | 10,226 | |
Nuveen AMT-Free Quality Municipal Income Fund | | | 927 | | | | 10,197 | |
Nuveen Municipal Credit Income Fund | | | 860 | | | | 10,164 | |
Nuveen Municipal High Income Opportunity Fund | | | 1,020 | | | | 10,078 | |
BlackRock MuniYield Quality Fund, Inc.2 | | | 826 | | | | 10,069 | |
Nuveen Municipal Value Fund, Inc. | | | 1,167 | | | | 10,036 | |
Eaton Vance Tax-Advantaged Dividend Income Fund | | | 451 | | | | 10,035 | |
BlackRock Municipal 2030 Target Term Trust | | | 480 | | | | 9,984 | |
Eaton Vance Tax-Managed Global Diversified Equity Income Fund | | | 1,293 | | | | 9,982 | |
GAMCO Natural Resources Gold & Income Trust | | | 1,907 | | | | 9,802 | |
Nuveen Credit Strategies Income Fund | | | 1,841 | | | | 9,610 | |
New Germany Fund, Inc. | | | 1,096 | | | | 9,579 | |
BlackRock Municipal Income Fund, Inc. | | | 811 | | | | 9,440 | |
Nuveen New York AMT-Free Quality Municipal Income Fund | | | 866 | | | | 9,119 | |
Invesco Municipal Opportunity Trust | | | 928 | | | | 8,918 | |
Eaton Vance Tax Managed Global Buy Write Opportunities Fund | | | 1,129 | | | | 8,772 | |
PIMCO Municipal Income Fund II | | | 1,056 | | | | 8,765 | |
Eaton Vance Municipal Bond Fund | | | 860 | | | | 8,712 | |
Nuveen S&P 500 Buy-Write Income Fund | | | 659 | | | | 8,455 | |
Invesco Municipal Trust | | | 886 | | | | 8,444 | |
Virtus Convertible & Income Fund II | | | 2,830 | | | | 8,433 | |
Virtus Convertible & Income Fund | | | 2,466 | | | | 8,310 | |
abrdn Emerging Markets Equity Income Fund, Inc. | | | 1,626 | | | | 8,309 | |
Blackstone Strategic Credit Fund | | | 733 | | | | 8,297 | |
Western Asset Inflation-Linked Opportunities & Income Fund | | | 957 | | | | 8,297 | |
Flaherty & Crumrine Preferred and Income Securities Fund, Inc. | | | 594 | | | | 8,257 | |
Eaton Vance Tax-Advantaged Global Dividend Income Fund | | | 482 | | | | 8,242 | |
John Hancock Tax-Advantaged Dividend Income Fund | | | 417 | | | | 7,911 | |
Western Asset Emerging Markets Debt Fund, Inc. | | | 849 | | | | 7,819 | |
Invesco Quality Municipal Income Trust | | | 820 | | | | 7,798 | |
Invesco Value Municipal Income Trust | | | 664 | | | | 7,789 | |
Nuveen California AMT-Free Quality Municipal Income Fund | | | 667 | | | | 7,697 | |
BlackRock MuniHoldings New Jersey Quality Fund, Inc. | | | 673 | | | | 7,679 | |
PGIM Global High Yield Fund, Inc. | | | 667 | | | | 7,577 | |
Allspring Income Opportunities | | | 1,134 | | | | 7,394 | |
John Hancock Premium Dividend Fund | | | 693 | | | | 7,380 | |
PGIM High Yield Bond Fund, Inc. | | | 597 | | | | 7,355 | |
BlackRock MuniYield New York Quality Fund, Inc. | | | 711 | | | | 7,345 | |
Neuberger Berman High Yield Strategies Fund, Inc. | | | 936 | | | | 7,226 | |
Nuveen Dow 30sm Dynamic Overwrite Fund | | | 515 | | | | 7,210 | |
Apollo Senior Floating Rate Fund, Inc. | | | 543 | | | | 7,195 | |
BlackRock California Municipal Income Trust2 | | | 597 | | | | 7,182 | |
Putnam Municipal Opportunities Trust | | | 702 | | | | 7,181 | |
Nuveen California Municipal Value Fund, Inc. | | | 800 | | | | 7,168 | |
Nuveen New York Quality Municipal Income Fund | | | 647 | | | | 7,143 | |
Invesco Advantage Municipal Income Trust II | | | 844 | | | | 7,132 | |
BlackRock MuniVest Fund, Inc. | | | 1,001 | | | | 7,127 | |
Liberty All Star Growth Fund, Inc. | | | 1,340 | | | | 7,075 | |
Putnam Managed Municipal Income Trust | | | 1,155 | | | | 7,022 | |
Nuveen Real Estate Income Fund | | | 894 | | | | 6,991 | |
Nuveen Real Asset Income and Growth Fund | | | 593 | | | | 6,950 | |
Western Asset High Income Opportunity Fund, Inc. | | | 1,794 | | | | 6,925 | |
PIMCO California Municipal Income Fund | | | 743 | | | | 6,925 | |
John Hancock Tax-Advantaged Global Shareholder Yield Fund | | | 1,351 | | | | 6,904 | |
RiverNorth Opportunities Fund, Inc. | | | 628 | | | | 6,902 | |
Nuveen Global High Income Fund | | | 564 | | | | 6,881 | |
42 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Value | |
PIMCO California Municipal Income Fund II | | | 1,184 | | | $ | 6,867 | |
Eaton Vance California Municipal Bond Fund | | | 743 | | | | 6,798 | |
Eaton Vance Risk-Managed Diversified Equity Income Fund | | | 862 | | | | 6,758 | |
MFS Charter Income Trust | | | 1,045 | | | | 6,751 | |
MFS Intermediate Income Trust | | | 2,518 | | | | 6,748 | |
Nuveen S&P 500 Dynamic Overwrite Fund | | | 446 | | | | 6,708 | |
BlackRock New York Municipal Income Trust | | | 637 | | | | 6,708 | |
BlackRock MuniHoldings New York Quality Fund, Inc. | | | 631 | | | | 6,632 | |
Nuveen Virginia Quality Municipal Income Fund | | | 612 | | | | 6,597 | |
LMP Capital and Income Fund, Inc. | | | 469 | | | | 6,571 | |
Neuberger Berman Real Estate Securities Income Fund, Inc. | | | 2,058 | | | | 6,565 | |
MFS Municipal Income Trust | | | 1,264 | | | | 6,535 | |
Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund | | | 276 | | | | 6,525 | |
Eaton Vance Tax-Managed Buy-Write Income Fund | | | 499 | | | | 6,477 | |
Blackstone Long-Short Credit Income Fund | | | 562 | | | | 6,435 | |
Invesco Pennsylvania Value Municipal Income Trust | | | 643 | | | | 6,430 | |
Flaherty & Crumrine Total Return Fund, Inc. | | | 439 | | | | 6,387 | |
Federated Hermes Premier Municipal Income Fund | | | 577 | | | | 6,341 | |
BrandywineGLOBAL Global Income Opportunities Fund, Inc. | | | 756 | | | | 6,316 | |
Western Asset Municipal High Income Fund, Inc. | | | 983 | | | | 6,311 | |
Eaton Vance New York Municipal Bond Fund | | | 653 | | | | 6,301 | |
Nuveen New York Municipal Value Fund | | | 759 | | | | 6,285 | |
Allspring Global Dividend Opportunity Fund | | | 1,447 | | | | 6,280 | |
PIMCO New York Municipal Income Fund II | | | 824 | | | | 6,254 | |
Allspring Multi-Sector Income Fund | | | 662 | | | | 6,249 | |
MFS High Yield Municipal Trust | | | 1,886 | | | | 6,243 | |
Royce Micro-Capital Trust, Inc. | | | 675 | | | | 6,239 | |
BlackRock MuniYield Pennsylvania Quality Fund | | | 536 | | | | 6,234 | |
Royce Value Trust, Inc. | | | 428 | | | | 6,226 | |
MFS Multimarket Income Trust | | | 1,367 | | | | 6,220 | |
MFS High Income Municipal Trust | | | 1,752 | | | | 6,220 | |
Nuveen Municipal Income Fund, Inc. | | | 676 | | | | 6,219 | |
DTF Tax-Free Income 2028 Term Fund, Inc. | | | 578 | | | | 6,213 | |
DWS Strategic Municipal Income Trust | | | 717 | | | | 6,202 | |
Western Asset Inflation-Linked Income Fund | | | 763 | | | | 6,196 | |
MFS Investment Grade Municipal Trust | | | 818 | | | | 6,192 | |
Nuveen California Select Tax-Free Income Portfolio | | | 484 | | | | 6,190 | |
John Hancock Hedged Equity & Income Fund | | | 615 | | | | 6,181 | |
Flaherty & Crumrine Preferred & Income Fund, Inc. | | | 624 | | | | 6,165 | |
Eaton Vance Municipal Income 2028 Term Trust | | | 355 | | | | 6,156 | |
Source Capital, Inc. | | | 152 | | | | 6,137 | |
Cohen & Steers REIT and Preferred and Income Fund, Inc. | | | 303 | | | | 6,108 | |
Franklin Universal Trust | | | 916 | | | | 6,091 | |
Flaherty & Crumrine Preferred and Income Opportunity Fund, Inc. | | | 765 | | | | 6,089 | |
Miller/Howard High Dividend Fund | | | 573 | | | | 6,080 | |
BlackRock Corporate High Yield Fund, Inc. | | | 644 | | | | 6,073 | |
Western Asset Investment Grade Income Fund, Inc. | | | 503 | | | | 6,056 | |
John Hancock Investors Trust | | | 468 | | | | 6,056 | |
Nuveen Select Maturities Municipal Fund | | | 686 | | | | 6,051 | |
BlackRock Utilities Infrastructure & Power Opportunities Trust | | | 277 | | | | 6,044 | |
Nuveen New York Select Tax-Free Income Portfolio | | | 514 | | | | 6,040 | |
John Hancock Income Securities Trust | | | 554 | | | | 6,028 | |
abrdn Australia Equity Fund, Inc. | | | 1,391 | | | | 6,023 | |
Western Asset Intermediate Muni Fund, Inc. | | | 782 | | | | 6,021 | |
Invesco High Income Trust II | | | 579 | | | | 6,016 | |
Bancroft Fund Ltd. | | | 376 | | | | 6,008 | |
abrdn Global Premier Properties Fund | | | 1,544 | | | | 5,991 | |
BlackRock Long-Term Municipal Advantage Trust | | | 585 | | | | 5,985 | |
MFS Government Markets Income Trust | | | 1,880 | | | | 5,978 | |
Morgan Stanley Emerging Markets Debt Fund, Inc. | | | 860 | | | | 5,977 | |
Nuveen Minnesota Quality Municipal Income Fund | | | 544 | | | | 5,973 | |
First Trust High Income Long/Short Fund | | | 494 | | | | 5,972 | |
Voya Emerging Markets High Dividend Equity Fund | | | 1,128 | | | | 5,967 | |
Western Asset Global Corporate Defined Opportunity Fund, Inc. | | | 467 | | | | 5,964 | |
Principal Real Estate Income Fund | | | 631 | | | | 5,963 | |
Allspring Utilities and High Income Fund | | | 647 | | | | 5,959 | |
Pioneer Municipal High Income Advantage Fund, Inc. | | | 741 | | | | 5,943 | |
BlackRock Floating Rate Income Strategies Fund, Inc. | | | 468 | | | | 5,925 | |
Gabelli Convertible and Income Securities Fund, Inc. | | | 1,643 | | | | 5,915 | |
Lazard Global Total Return and Income Fund, Inc. | | | 386 | | | | 5,914 | |
Sprott Focus Trust, Inc. | | | 739 | | | | 5,912 | |
Templeton Emerging Markets Fund/United States | | | 506 | | | | 5,910 | |
BlackRock Health Sciences Trust | | | 146 | | | | 5,907 | |
Insight Select Income Fund | | | 369 | | | | 5,893 | |
MFS Intermediate High Income Fund | | | 3,426 | | | | 5,893 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 43 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Value | |
PIMCO California Municipal Income Fund III | | | 798 | | | $ | 5,881 | |
Adams Diversified Equity Fund, Inc. | | | 331 | | | | 5,862 | |
Credit Suisse High Yield Bond Fund | | | 2,957 | | | | 5,855 | |
Eaton Vance California Municipal Income Trust | | | 566 | | | | 5,852 | |
BlackRock MuniYield Quality Fund II, Inc. | | | 565 | | | | 5,848 | |
BlackRock Taxable Municipal Bond Trust | | | 359 | | | | 5,837 | |
BlackRock Municipal Income Quality Trust | | | 520 | | | | 5,829 | |
Tri-Continental Corp. | | | 202 | | | | 5,824 | |
Voya Asia Pacific High Dividend Equity Income Fund | | | 964 | | | | 5,794 | |
First Trust Senior Floating Rate Income Fund II | | | 574 | | | | 5,792 | |
First Trust Intermediate Duration Preferred & Income Fund2 | | | 355 | | | | 5,790 | |
abrdn Total Dynamic Dividend Fund | | | 718 | | | | 5,787 | |
Eaton Vance Municipal Income Trust | | | 589 | | | | 5,784 | |
abrdn Global Dynamic Dividend Fund | | | 618 | | | | 5,772 | |
Eaton Vance Senior Floating-Rate Trust | | | 455 | | | | 5,760 | |
Gabelli Global Utility & Income Trust | | | 437 | | | | 5,760 | |
Pioneer Diversified High Income Fund, Inc. | | | 536 | | | | 5,751 | |
BlackRock Enhanced International Dividend Trust | | | 1,091 | | | | 5,750 | |
BNY Mellon High Yield Strategies Fund | | | 2,508 | | | | 5,743 | |
Macquarie/First Trust Global Infrastructure/Utilities Dividend & Income Fund | | | 727 | | | | 5,721 | |
Eaton Vance Floating-Rate Income Trust | | | 455 | | | | 5,710 | |
Pioneer High Income Fund, Inc. | | | 796 | | | | 5,691 | |
Voya Global Advantage and Premium Opportunity Fund | | | 666 | | | | 5,674 | |
PIMCO Municipal Income Fund III | | | 763 | | | | 5,639 | |
BlackRock Enhanced Global Dividend Trust | | | 568 | | | | 5,635 | |
Royce Global Value Trust, Inc. | | | 575 | | | | 5,606 | |
BlackRock Resources & Commodities Strategy Trust | | | 631 | | | | 5,603 | |
BlackRock Enhanced Equity Dividend Trust | | | 720 | | | | 5,537 | |
TCW Strategic Income Fund, Inc. | | | 1,201 | | | | 5,513 | |
BlackRock Virginia Municipal Bond Trust | | | 463 | | | | 5,026 | |
Nuveen Multi-Market Income Fund | | | 770 | | | | 4,551 | |
European Equity Fund, Inc. | | | 522 | | | | 4,510 | |
Nuveen Preferred & Income Opportunities Fund | | | 648 | | | | 4,381 | |
Cohen & Steers Infrastructure Fund, Inc. | | | 204 | | | | 4,333 | |
Liberty All-Star Equity Fund | | | 675 | | | | 4,306 | |
Nuveen Missouri Quality Municipal Income Fund | | | 383 | | | | 3,843 | |
Nuveen NASDAQ 100 Dynamic Overwrite Fund | | | 161 | | | | 3,727 | |
Eaton Vance Tax-Managed Diversified Equity Income Fund | | | 264 | | | | 3,218 | |
Eaton Vance Tax-Managed Buy-Write Opportunities Fund | | | 243 | | | | 2,996 | |
Cohen & Steers Limited Duration Preferred and Income Fund, Inc. | | | 142 | | | | 2,617 | |
Highland Opportunities and Income Fund | | | 330 | | | | 2,538 | |
MainStay MacKay DefinedTerm Municipal Opportunities Fund | | | 136 | | | | 2,210 | |
KKR Income Opportunities Fund | | | 145 | | | | 1,823 | |
Eaton Vance Enhanced Equity Income Fund II | | | 93 | | | | 1,741 | |
First Trust Mortgage Income Fund | | | 142 | | | | 1,721 | |
Ares Dynamic Credit Allocation Fund, Inc. | | | 108 | | | | 1,485 | |
Saba Capital Income & Opportunities Fund II | | | 380 | | | | 1,440 | |
Flaherty & Crumrine Dynamic Preferred and Income Fund, Inc. | | | 76 | | | | 1,349 | |
Neuberger Berman Energy Infrastructure and Income Fund, Inc. | | | 177 | | | | 1,218 | |
Nuveen Multi-Asset Income Fund | | | 98 | | | | 1,205 | |
NXG Cushing Midstream Energy Fund | | | 35 | | | | 1,186 | |
Eaton Vance Enhanced Equity Income Fund | | | 68 | | | | 1,127 | |
Clough Global Opportunities Fund | | | 226 | | | | 1,062 | |
Saba Capital Income & Opportunities Fund | | | 135 | | | | 1,041 | |
Franklin Limited Duration Income Trust | | | 158 | | | | 983 | |
Templeton Emerging Markets Income Fund | | | 191 | | | | 974 | |
Barings Global Short Duration High Yield Fund | | | 67 | | | | 901 | |
Putnam Premier Income Trust | | | 193 | | | | 689 | |
New America High Income Fund, Inc. | | | 94 | | | | 662 | |
Highland Global Allocation Fund | | | 77 | | | | 605 | |
Invesco Bond Fund | | | 35 | | | | 532 | |
Western Asset Mortgage Opportunity Fund, Inc. | | | 45 | | | | 503 | |
Special Opportunities Fund, Inc. | | | 39 | | | | 463 | |
Eaton Vance Short Duration Diversified Income Fund | | | 37 | | | | 384 | |
High Income Securities Fund | | | 58 | | | | 372 | |
Clough Global Dividend and Income Fund | | | 59 | | | | 304 | |
PIMCO New York Municipal Income Fund | | | 36 | | | | 283 | |
Western Asset Premier Bond Fund | | | 23 | | | | 248 | |
Putnam Master Intermediate Income Trust | | | 70 | | | | 223 | |
First Trust Enhanced Equity Income Fund | | | 12 | | | | 219 | |
MFS Special Value Trust | | | 20 | | | | 82 | |
Nuveen Intermediate Duration Municipal Term Fund Liquidating Trust | | | 403 | | | | — | |
Total Closed-End Mutual Funds | | | | |
(Cost $2,978,882) | | | | | | | 3,241,510 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 21.8% |
U.S. Treasury Bills |
5.18% due 02/13/241,4 | | $ | 4,700,000 | | | | 4,671,056 | |
5.17% due 01/09/244,5 | | | 4,625,000 | | | | 4,620,284 | |
Total U.S. Treasury Bills | | | | |
(Cost $9,290,018) | | | | | | | 9,291,340 | |
| | | | | | | | | |
44 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Value | |
REPURCHASE AGREEMENTS††,6 - 8.3% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | | 1,966,526 | | | $ | 1,966,526 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 1,584,797 | | | | 1,584,797 | |
Total Repurchase Agreements | | | | |
(Cost $3,551,323) | | | | | | | 3,551,323 | |
| | | | | | | | | |
SECURITIES LENDING COLLATERAL†,7 - 1.0% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund - Class X, 5.29%8 | | | 440,588 | | | | 440,588 | |
Total Securities Lending Collateral | | | | |
(Cost $440,588) | | | | | | | 440,588 | |
| | | | | | | | | |
Total Investments - 97.6% | | | | |
(Cost $40,886,467) | | | 41,607,444 | |
| | | | | | | | | |
COMMON STOCKS SOLD SHORT† - (9.9)% |
| | | | | | | | | |
Communications - (1.2)% |
EchoStar Corp. — Class A* | | | 29,655 | | | | (491,384 | ) |
| | | | | | | | | |
Energy - (2.9)% |
Chevron Corp. | | | 4,124 | | | | (615,136 | ) |
Exxon Mobil Corp. | | | 6,199 | | | | (619,776 | ) |
Total Energy | | | | | | | (1,234,912 | ) |
| | | | | | | | | |
Financial - (5.8)% |
Provident Financial Services, Inc. | | | 15,812 | | | | (285,090 | ) |
Kimco Realty Corp. | | | 25,052 | | | | (533,858 | ) |
Eastern Bankshares, Inc. | | | 37,824 | | | | (537,101 | ) |
Healthpeak Properties, Inc. | | | 27,585 | | | | (546,183 | ) |
Realty Income Corp. | | | 9,933 | | | | (570,353 | ) |
Total Financial | | | | | | | (2,472,585 | ) |
| | | | | | | | | |
Total Common Stocks Sold Short | | | | |
(Proceeds $3,652,640) | | | | | | | (4,198,881 | ) |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS SOLD SHORT† - (7.6)% |
iShares MBS ETF | | | 27 | | | | (2,540 | ) |
iShares Agency Bond ETF | | | 30 | | | | (3,253 | ) |
iShares Mortgage Real Estate ETF | | | 141 | | | | (3,326 | ) |
Materials Select Sector SPDR Fund | | | 44 | | | | (3,764 | ) |
VanEck Gold Miners ETF | | | 128 | | | | (3,969 | ) |
iShares MSCI All Country Asia ex Japan ETF | | | 61 | | | | (4,061 | ) |
Energy Select Sector SPDR Fund | | | 52 | | | | (4,360 | ) |
Financial Select Sector SPDR Fund | | | 157 | | | | (5,903 | ) |
SPDR Gold Shares — Class D | | | 34 | | | | (6,500 | ) |
iShares 7-10 Year Treasury Bond ETF | | | 86 | | | | (8,289 | ) |
iShares JP Morgan USD Emerging Markets Bond ETF | | | 117 | | | | (10,420 | ) |
iShares TIPS Bond ETF | | | 103 | | | | (11,072 | ) |
iShares MSCI Emerging Markets ETF | | | 345 | | | | (13,873 | ) |
iShares Latin America 40 ETF | | | 487 | | | | (14,152 | ) |
iShares Core High Dividend ETF | | | 185 | | | | (18,868 | ) |
iShares Floating Rate Bond ETF | | | 537 | | | | (27,183 | ) |
iShares Preferred & Income Securities ETF | | | 942 | | | | (29,381 | ) |
iShares iBoxx $ Investment Grade Corporate Bond ETF | | | 313 | | | | (34,637 | ) |
iShares U.S. Real Estate ETF | | | 394 | | | | (36,016 | ) |
iShares Russell 1000 Growth ETF | | | 124 | | | | (37,593 | ) |
Schwab U.S. Aggregate Bond ETF | | | 834 | | | | (38,881 | ) |
SPDR Bloomberg Convertible Securities ETF | | | 616 | | | | (44,444 | ) |
Utilities Select Sector SPDR Fund | | | 985 | | | | (62,380 | ) |
SPDR S&P Biotech ETF | | | 818 | | | | (73,039 | ) |
Invesco Senior Loan ETF | | | 3,629 | | | | (76,862 | ) |
iShares Russell 2000 Index ETF | | | 543 | | | | (108,985 | ) |
SPDR S&P 500 ETF Trust | | | 419 | | | | (199,155 | ) |
iShares MSCI EAFE ETF | | | 2,688 | | | | (202,541 | ) |
iShares Russell 1000 Value ETF | | | 1,226 | | | | (202,596 | ) |
Health Care Select Sector SPDR Fund | | | 1,586 | | | | (216,299 | ) |
SPDR Nuveen Bloomberg High Yield Municipal Bond ETF | | | 9,220 | | | | (233,266 | ) |
VanEck High Yield Muni ETF | | | 4,705 | | | | (242,919 | ) |
iShares National Muni Bond ETF | | | 2,570 | | | | (278,614 | ) |
SPDR Nuveen Bloomberg Municipal Bond ETF | | | 8,994 | | | | (422,718 | ) |
iShares iBoxx High Yield Corporate Bond ETF | | | 7,448 | | | | (576,401 | ) |
Total Exchange-Traded Funds Sold Short | | | | |
(Proceeds $3,289,033) | | | | | | | (3,258,260 | ) |
| | | | | | | | | |
Total Securities Sold Short - (17.5)% | | | | |
(Proceeds $6,941,673) | | $ | (7,457,141 | ) |
Other Assets & Liabilities, net - 19.9% | | | 8,488,616 | |
Total Net Assets - 100.0% | | $ | 42,638,919 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 45 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation)** | |
Interest Rate Futures Contracts Purchased† |
Euro - BTP Italian Government Bond Futures Contracts†† | | | 26 | | | | Mar 2024 | | | $ | 3,423,410 | | | $ | 119,196 | |
U.S. Treasury 10 Year Note Futures Contracts | | | 35 | | | | Mar 2024 | | | | 3,945,703 | | | | 63,296 | |
Euro - OATS Futures Contracts | | | 23 | | | | Mar 2024 | | | | 3,337,743 | | | | 28,959 | |
Euro - Bund Futures Contracts | | | 26 | | | | Mar 2024 | | | | 3,938,185 | | | | 15,140 | |
Australian Government 10 Year Bond Futures Contracts | | | 28 | | | | Mar 2024 | | | | 2,223,967 | | | | 12,436 | |
Canadian Government 10 Year Bond Futures Contracts | | | 5 | | | | Mar 2024 | | | | 468,605 | | | | (26 | ) |
Euro - 30 year Bond Futures Contracts | | | 3 | | | | Mar 2024 | | | | 467,425 | | | | (905 | ) |
| | | | | | | | | | | $ | 17,805,038 | | | $ | 238,096 | |
Currency Futures Contracts Purchased† |
British Pound Futures Contracts | | | 83 | | | | Mar 2024 | | | $ | 6,615,100 | | | $ | 68,841 | |
New Zealand Dollar Futures Contracts | | | 36 | | | | Mar 2024 | | | | 2,276,640 | | | | 62,635 | |
Japanese Yen Futures Contracts | | | 23 | | | | Mar 2024 | | | | 2,063,675 | | | | 42,359 | |
Euro FX Futures Contracts | | | 1 | | | | Mar 2024 | | | | 138,437 | | | | (321 | ) |
| | | | | | | | | | | $ | 11,093,852 | | | $ | 173,514 | |
Equity Futures Contracts Purchased† |
OMX Stockholm 30 Index Futures Contracts†† | | | 9 | | | | Jan 2024 | | | $ | 215,101 | | | $ | 2,203 | |
FTSE MIB Index Futures Contracts | | | 2 | | | | Mar 2024 | | | | 337,787 | | | | 1,886 | |
SPI 200 Index Futures Contracts†† | | | 4 | | | | Mar 2024 | | | | 514,800 | | | | 1,820 | |
DAX Index Futures Contracts | | | 1 | | | | Mar 2024 | | | | 467,314 | | | | 1,585 | |
Euro STOXX 50 Index Futures Contracts | | | 5 | | | | Mar 2024 | | | | 251,877 | | | | 1,045 | |
CBOE Volatility Index Futures Contracts | | | 116 | | | | May 2024 | | | | 2,018,400 | | | | 923 | |
S&P/TSX 60 IX Index Futures Contracts | | | 1 | | | | Mar 2024 | | | | 191,911 | | | | 345 | |
CAC 40 10 Euro Index Futures Contracts | | | 4 | | | | Jan 2024 | | | | 334,541 | | | | (579 | ) |
S&P 500 Index Mini Futures Contracts | | | 1 | | | | Mar 2024 | | | | 240,950 | | | | (638 | ) |
Nikkei 225 (OSE) Index Futures Contracts | | | 1 | | | | Mar 2024 | | | | 236,057 | | | | (978 | ) |
NASDAQ-100 Index Mini Futures Contracts | | | 1 | | | | Mar 2024 | | | | 340,385 | | | | (1,402 | ) |
Russell 2000 Index Mini Futures Contracts | | | 1 | | | | Mar 2024 | | | | 102,350 | | | | (1,606 | ) |
IBEX 35 Index Futures Contracts†† | | | 3 | | | | Jan 2024 | | | | 334,607 | | | | (2,488 | ) |
Tokyo Stock Price Index Futures Contracts | | | 2 | | | | Mar 2024 | | | | 334,438 | | | | (2,526 | ) |
CBOE Volatility Index Futures Contracts | | | 160 | | | | Jun 2024 | | | | 2,840,000 | | | | (4,464 | ) |
| | | | | | | | | | | $ | 8,760,518 | | | $ | (4,874 | ) |
Commodity Futures Contracts Purchased† |
Natural Gas Futures Contracts | | | 71 | | | | Feb 2024 | | | $ | 1,649,330 | | | $ | 86,439 | |
Coffee ‘C’ Futures Contracts | | | 9 | | | | Mar 2024 | | | | 635,175 | | | | 42,557 | |
Cocoa Futures Contracts | | | 14 | | | | Mar 2024 | | | | 588,000 | | | | 29,170 | |
NY Harbor ULSD Futures Contracts | | | 29 | | | | Mar 2024 | | | | 3,009,434 | | | | 28,218 | |
Low Sulphur Gas Oil Futures Contracts | | | 7 | | | | Feb 2024 | | | | 519,050 | | | | 9,520 | |
LME Lead Futures Contracts | | | 1 | | | | Feb 2024 | | | | 51,559 | | | | 1,153 | |
Gold 100 oz. Futures Contracts | | | 2 | | | | Feb 2024 | | | | 414,580 | | | | (387 | ) |
Sugar #11 Futures Contracts | | | 16 | | | | Feb 2024 | | | | 367,181 | | | | (7,756 | ) |
Silver Futures Contracts | | | 2 | | | | Mar 2024 | | | | 240,350 | | | | (9,833 | ) |
Soybean Meal Futures Contracts | | | 15 | | | | Mar 2024 | | | | 579,150 | | | | (11,597 | ) |
Brent Crude Futures Contracts | | | 6 | | | | Jan 2024 | | | | 462,480 | | | | (15,490 | ) |
WTI Crude Futures Contracts | | | 6 | | | | Jan 2024 | | | | 428,280 | | | | (16,090 | ) |
Soybean Futures Contracts | | | 15 | | | | Mar 2024 | | | | 973,125 | | | | (21,610 | ) |
Coffee ‘C’ Futures Contracts | | | 24 | | | | May 2024 | | | | 1,676,700 | | | | (81,526 | ) |
Gasoline RBOB Futures Contracts | | | 35 | | | | Jan 2024 | | | | 3,100,524 | | | | (89,738 | ) |
Live Cattle Futures Contracts | | | 81 | | | | Jun 2024 | | | | 5,506,380 | | | | (90,837 | ) |
| | | | | | | | | | | $ | 20,201,298 | | | $ | (147,807 | ) |
Commodity Futures Contracts Sold Short† |
Gasoline RBOB Futures Contracts | | | 31 | | | | Mar 2024 | | | $ | 3,016,083 | | | $ | 118,009 | |
Coffee ‘C’ Futures Contracts | | | 25 | | | | Jul 2024 | | | | 1,747,969 | | | | 83,623 | |
Live Cattle Futures Contracts | | | 73 | | | | Apr 2024 | | | | 5,026,780 | | | | 58,295 | |
46 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND | |
Futures Contracts (Concluded) |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation)** | |
Commodity Futures Contracts Sold Short† (continued) | | | | | | | | | | | | | | | | |
Corn Futures Contracts | | | 55 | | | | Mar 2024 | | | $ | 1,294,562 | | | $ | 48,639 | |
Natural Gas Futures Contracts | | | 25 | | | | Jan 2024 | | | | 627,000 | | | | 12,916 | |
Lean Hogs Futures Contracts | | | 8 | | | | Feb 2024 | | | | 218,480 | | | | 9,048 | |
Soybean Oil Futures Contracts | | | 23 | | | | Mar 2024 | | | | 664,470 | | | | 7,041 | |
Live Cattle Futures Contracts | | | 3 | | | | Feb 2024 | | | | 202,230 | | | | 5,931 | |
Hard Red Winter Wheat Futures Contracts | | | 24 | | | | Mar 2024 | | | | 772,500 | | | | 5,251 | |
Cotton #2 Futures Contracts | | | 12 | | | | Mar 2024 | | | | 485,700 | | | | 840 | |
Copper Futures Contracts | | | 1 | | | | Mar 2024 | | | | 97,313 | | | | (3,573 | ) |
LME Nickel Futures Contracts | | | 3 | | | | Feb 2024 | | | | 297,369 | | | | (5,980 | ) |
LME Zinc Futures Contracts | | | 2 | | | | Feb 2024 | | | | 132,965 | | | | (11,946 | ) |
NY Harbor ULSD Futures Contracts | | | 21 | | | | Jan 2024 | | | | 2,248,571 | | | | (16,299 | ) |
LME Primary Aluminum Futures Contracts | | | 5 | | | | Feb 2024 | | | | 296,125 | | | | (27,757 | ) |
Wheat Futures Contracts | | | 19 | | | | Mar 2024 | | | | 597,313 | | | | (33,597 | ) |
Cattle Feeder Futures Contracts | | | 11 | | | | Mar 2024 | | | | 1,227,187 | | | | (56,557 | ) |
Natural Gas Futures Contracts | | | 78 | | | | Mar 2024 | | | | 1,796,340 | | | | (62,273 | ) |
| | | | | | | | | | | $ | 20,748,957 | | | $ | 131,611 | |
Equity Futures Contracts Sold Short† |
CBOE Volatility Index Futures Contracts | | | 150 | | | | Jan 2024 | | | $ | 2,115,000 | | | $ | 115,475 | |
FTSE 100 Index Futures Contracts†† | | | 23 | | | | Mar 2024 | | | | 2,263,357 | | | | (21,095 | ) |
| | | | | | | | | | | $ | 4,378,357 | | | $ | 94,380 | |
Interest Rate Futures Contracts Sold Short† |
U.S. Treasury Ultra Long Bond Futures Contracts | | | 2 | | | | Mar 2024 | | | $ | 266,125 | | | $ | 1,006 | |
U.S. Treasury Long Bond Futures Contracts | | | 2 | | | | Mar 2024 | | | | 249,000 | | | | 877 | |
Long Gilt Futures Contracts†† | | | 48 | | | | Mar 2024 | | | | 6,296,707 | | | | (182,288 | ) |
| | | | | | | | | | | $ | 6,811,832 | | | $ | (180,405 | ) |
Currency Futures Contracts Sold Short† |
Canadian Dollar Futures Contracts | | | 9 | | | | Mar 2024 | | | $ | 680,040 | | | $ | (13,355 | ) |
Australian Dollar Futures Contracts | | | 26 | | | | Mar 2024 | | | | 1,776,190 | | | | (58,622 | ) |
Swiss Franc Futures Contracts | | | 43 | | | | Mar 2024 | | | | 6,441,131 | | | | (259,175 | ) |
| | | | | | | | | | | $ | 8,897,361 | | | $ | (331,152 | ) |
Custom Basket Swap Agreements |
Counterparty | Reference Obligation | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Custom Basket Swap Agreements†† |
Goldman Sachs International | GS Equity Market Neutral Custom Basket | Pay | 5.78% (Federal
Funds Rate +
0.45%) | | | At Maturity | | | | 05/06/24 | | | $ | 9,445,011 | | | $ | 1,233,322 | |
Morgan Stanley Capital Services LLC | MS Equity Market Neutral Custom Basket | Pay | 5.73% (Federal
Funds Rate +
0.40%) | | | At Maturity | | | | 08/31/28 | | | | 9,434,842 | | | | 1,075,636 | |
Goldman Sachs International | GS Long/Short Equity Custom Basket | Pay | 5.78% (Federal
Funds Rate +
0.45%) | | | At Maturity | | | | 05/06/24 | | | | 8,429,926 | | | | 879,108 | |
Morgan Stanley Capital Services LLC | MS Long/Short Equity Custom Basket | Pay | 5.73% (Federal
Funds Rate +
0.40%) | | | At Maturity | | | | 08/31/28 | | | | 8,735,343 | | | | 692,206 | |
| | | | | | | | | | | | | | $ | 36,045,122 | | | $ | 3,880,272 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 47 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND | |
Custom Basket Swap Agreements (Concluded) |
Counterparty | Reference Obligation | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Custom Basket Swap Agreements Sold Short†† |
Goldman Sachs International | GS Equity Market Neutral Custom Basket | Receive | 5.13% (Federal
Funds Rate -
0.20%) | | | At Maturity | | | | 05/06/24 | | | $ | 9,495,992 | | | $ | (38,896 | ) |
Goldman Sachs International | GS Long/Short Equity Custom Basket | Receive | 5.13% (Federal
Funds Rate -
0.20%) | | | At Maturity | | | | 05/06/24 | | | | 6,011,403 | | | | (389,540 | ) |
Morgan Stanley Capital Services LLC | MS Long/Short Equity Custom Basket | Receive | 5.03% (Federal
Funds Rate -
0.30%) | | | At Maturity | | | | 08/31/28 | | | | 6,011,418 | | | | (458,267 | ) |
Morgan Stanley Capital Services LLC | MS Equity Market Neutral Custom Basket | Receive | 5.01% (Federal
Funds Rate -
0.32%) | | | At Maturity | | | | 08/31/28 | | | | 9,495,992 | | | | (802,068 | ) |
| | | | | | | | | | | | | | $ | 31,014,805 | | | $ | (1,688,771 | ) |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
MS LONG/SHORT EQUITY LONG CUSTOM BASKET | | | | |
Industrial | | | | | | | | | | | | |
Acuity Brands, Inc. | | | 444 | | | | 1.04 | % | | $ | 19,089 | |
Boise Cascade Co. | | | 710 | | | | 1.05 | % | | | 16,922 | |
Mueller Industries, Inc. | | | 1,337 | | | | 0.72 | % | | | 12,396 | |
TD SYNNEX Corp. | | | 798 | | | | 0.98 | % | | | 10,537 | |
Terex Corp. | | | 1,211 | | | | 0.80 | % | | | 10,354 | |
Encore Wire Corp. | | | 202 | | | | 0.49 | % | | | 9,547 | |
Owens Corning | | | 291 | | | | 0.49 | % | | | 8,483 | |
UFP Industries, Inc. | | | 370 | | | | 0.53 | % | | | 8,119 | |
Middleby Corp. | | | 592 | | | | 1.00 | % | | | 8,009 | |
Snap-on, Inc. | | | 293 | | | | 0.97 | % | | | 7,559 | |
Teekay Corp. | | | 7,492 | | | | 0.61 | % | | | 6,985 | |
Scorpio Tankers, Inc. | | | 678 | | | | 0.47 | % | | | 6,788 | |
Builders FirstSource, Inc. | | | 146 | | | | 0.28 | % | | | 6,522 | |
Teekay Tankers Ltd. — Class A | | | 599 | | | | 0.34 | % | | | 6,405 | |
Atkore, Inc. | | | 212 | | | | 0.39 | % | | | 6,238 | |
Apogee Enterprises, Inc. | | | 1,495 | | | | 0.91 | % | | | 5,918 | |
Keysight Technologies, Inc. | | | 250 | | | | 0.46 | % | | | 5,431 | |
Carlisle Companies, Inc. | | | 212 | | | | 0.76 | % | | | 4,617 | |
Ardmore Shipping Corp. | | | 2,512 | | | | 0.41 | % | | | 4,095 | |
Griffon Corp. | | | 353 | | | | 0.25 | % | | | 4,048 | |
Argan, Inc. | | | 866 | | | | 0.46 | % | | | 3,865 | |
Donaldson Company, Inc. | | | 1,329 | | | | 0.99 | % | | | 3,787 | |
EnerSys | | | 340 | | | | 0.39 | % | | | 3,222 | |
Huntington Ingalls Industries, Inc. | | | 133 | | | | 0.40 | % | | | 2,516 | |
Insteel Industries, Inc. | | | 459 | | | | 0.20 | % | | | 2,472 | |
Garmin Ltd. | | | 498 | | | | 0.73 | % | | | 2,171 | |
Brady Corp. — Class A | | | 1,039 | | | | 0.70 | % | | | 1,765 | |
International Seaways, Inc. | | | 1,529 | | | | 0.80 | % | | | 1,583 | |
AGCO Corp. | | | 434 | | | | 0.60 | % | | | 1,567 | |
Lindsay Corp. | | | 193 | | | | 0.29 | % | | | 1,430 | |
A O Smith Corp. | | | 245 | | | | 0.23 | % | | | 1,325 | |
Vontier Corp. | | | 847 | | | | 0.34 | % | | | 247 | |
Total Industrial | | | | | | | | | | | 194,012 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
InterDigital, Inc. | | | 806 | | | | 1.00 | % | | | 21,558 | |
IDT Corp. — Class B | | | 1,556 | | | | 0.61 | % | | | 16,713 | |
AT&T, Inc. | | | 4,250 | | | | 0.82 | % | | | 9,265 | |
Yelp, Inc. — Class A | | | 1,808 | | | | 0.98 | % | | | 6,966 | |
T-Mobile US, Inc. | | | 463 | | | | 0.85 | % | | | 6,522 | |
Verizon Communications, Inc. | | | 1,853 | | | | 0.80 | % | | | 6,379 | |
Juniper Networks, Inc. | | | 2,551 | | | | 0.86 | % | | | 5,858 | |
Shutterstock, Inc. | | | 671 | | | | 0.37 | % | | | 4,796 | |
Meta Platforms, Inc. — Class A | | | 116 | | | | 0.47 | % | | | 4,729 | |
eBay, Inc. | | | 1,009 | | | | 0.50 | % | | | 4,646 | |
Cargurus, Inc. | | | 746 | | | | 0.21 | % | | | 1,673 | |
A10 Networks, Inc. | | | 1,287 | | | | 0.19 | % | | | 1,373 | |
VeriSign, Inc. | | | 359 | | | | 0.85 | % | | | 946 | |
TEGNA, Inc. | | | 4,072 | | | | 0.71 | % | | | 331 | |
Gogo, Inc. | | | 2,416 | | | | 0.28 | % | | | (1,025 | ) |
Ciena Corp. | | | 633 | | | | 0.33 | % | | | (1,149 | ) |
Spok Holdings, Inc. | | | 1,131 | | | | 0.20 | % | | | (1,226 | ) |
Fox Corp. — Class A | | | 2,709 | | | | 0.92 | % | | | (2,709 | ) |
Ooma, Inc. | | | 3,035 | | | | 0.37 | % | | | (3,598 | ) |
Cisco Systems, Inc. | | | 1,706 | | | | 0.99 | % | | | (6,552 | ) |
Total Communications | | | | | | | | | | | 75,496 | |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Ambac Financial Group, Inc. | | | 5,505 | | | | 1.04 | % | | | 19,641 | |
MGIC Investment Corp. | | | 4,588 | | | | 1.01 | % | | | 8,774 | |
48 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
International Bancshares Corp. | | | 866 | | | | 0.54 | % | | $ | 8,193 | |
Walker & Dunlop, Inc. | | | 387 | | | | 0.49 | % | | | 7,747 | |
Essent Group Ltd. | | | 1,656 | | | | 1.00 | % | | | 7,591 | |
Radian Group, Inc. | | | 3,023 | | | | 0.99 | % | | | 7,281 | |
SouthState Corp. | | | 495 | | | | 0.48 | % | | | 6,689 | |
Preferred Bank/Los Angeles CA | | | 250 | | | | 0.21 | % | | | 2,819 | |
Jackson Financial, Inc. — Class A | | | 898 | | | | 0.53 | % | | | 2,653 | |
Interactive Brokers Group, Inc. — Class A | | | 693 | | | | 0.66 | % | | | 2,627 | |
Affiliated Managers Group, Inc. | | | 144 | | | | 0.25 | % | | | 2,025 | |
Enact Holdings, Inc. | | | 1,460 | | | | 0.48 | % | | | 1,483 | |
Mr Cooper Group, Inc. | | | 552 | | | | 0.41 | % | | | 1,157 | |
Equity Commonwealth | | | 4,270 | | | | 0.94 | % | | | 121 | |
Total Financial | | | | | | | | | | | 78,801 | |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Innoviva, Inc. | | | 4,073 | | | | 0.75 | % | | | 13,486 | |
Viatris, Inc. | | | 8,543 | | | | 1.06 | % | | | 9,933 | |
Gilead Sciences, Inc. | | | 1,051 | | | | 0.97 | % | | | 5,808 | |
Premier, Inc. — Class A | | | 2,664 | | | | 0.68 | % | | | 5,664 | |
Merck & Company, Inc. | | | 776 | | | | 0.97 | % | | | 4,505 | |
Biogen, Inc. | | | 196 | | | | 0.58 | % | | | 4,466 | |
Exelixis, Inc. | | | 2,167 | | | | 0.60 | % | | | 3,588 | |
Perdoceo Education Corp. | | | 2,442 | | | | 0.49 | % | | | 2,432 | |
Incyte Corp. | | | 1,475 | | | | 1.06 | % | | | 2,225 | |
Neurocrine Biosciences, Inc. | | | 140 | | | | 0.21 | % | | | 2,164 | |
Alarm.com Holdings, Inc. | | | 289 | | | | 0.21 | % | | | 2,149 | |
Molina Healthcare, Inc. | | | 76 | | | | 0.31 | % | | | 1,932 | |
Ingredion, Inc. | | | 766 | | | | 0.95 | % | | | 1,855 | |
Centene Corp. | | | 327 | | | | 0.28 | % | | | 1,782 | |
Hologic, Inc. | | | 1,154 | | | | 0.94 | % | | | 1,255 | |
Alkermes plc | | | 631 | | | | 0.20 | % | | | 1,132 | |
Thermo Fisher Scientific, Inc. | | | 33 | | | | 0.20 | % | | | 1,113 | |
Baxter International, Inc. | | | 626 | | | | 0.28 | % | | | 1,108 | |
Supernus Pharmaceuticals, Inc. | | | 583 | | | | 0.19 | % | | | 516 | |
PayPal Holdings, Inc. | | | 457 | | | | 0.32 | % | | | 393 | |
Cross Country Healthcare, Inc. | | | 998 | | | | 0.26 | % | | | (399 | ) |
Humana, Inc. | | | 55 | | | | 0.29 | % | | | (516 | ) |
United Therapeutics Corp. | | | 228 | | | | 0.57 | % | | | (731 | ) |
Dynavax Technologies Corp. | | | 2,979 | | | | 0.48 | % | | | (746 | ) |
Johnson & Johnson | | | 512 | | | | 0.92 | % | | | (1,166 | ) |
Halozyme Therapeutics, Inc. | | | 404 | | | | 0.17 | % | | | (1,218 | ) |
Royalty Pharma plc — Class A | | | 1,474 | | | | 0.47 | % | | | (1,462 | ) |
Organon & Co. | | | 1,390 | | | | 0.23 | % | | | (2,378 | ) |
Pfizer, Inc. | | | 2,759 | | | | 0.91 | % | | | (4,581 | ) |
Bristol-Myers Squibb Co. | | | 1,612 | | | | 0.95 | % | | | (12,282 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | 42,027 | |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Toll Brothers, Inc. | | | 932 | | | | 1.10 | % | | | 28,999 | |
Meritage Homes Corp. | | | 481 | | | | 0.96 | % | | | 23,167 | |
M/I Homes, Inc. | | | 454 | | | | 0.72 | % | | | 22,144 | |
PulteGroup, Inc. | | | 791 | | | | 0.93 | % | | | 19,958 | |
DR Horton, Inc. | | | 551 | | | | 0.96 | % | | | 19,007 | |
Brunswick Corp. | | | 843 | | | | 0.93 | % | | | 15,166 | |
NVR, Inc. | | | 13 | | | | 1.04 | % | | | 14,340 | |
KB Home | | | 799 | | | | 0.57 | % | | | 10,693 | |
Lennar Corp. — Class A | | | 308 | | | | 0.53 | % | | | 10,338 | |
Taylor Morrison Home Corp. — Class A | | | 856 | | | | 0.52 | % | | | 9,672 | |
Standard Motor Products, Inc. | | | 1,446 | | | | 0.66 | % | | | 6,024 | |
PACCAR, Inc. | | | 425 | | | | 0.48 | % | | | 5,681 | |
Cummins, Inc. | | | 588 | | | | 1.61 | % | | | 5,678 | |
Tri Pointe Homes, Inc. | | | 817 | | | | 0.33 | % | | | 5,646 | |
Monarch Casino & Resort, Inc. | | | 927 | | | | 0.73 | % | | | 3,802 | |
Patrick Industries, Inc. | | | 234 | | | | 0.27 | % | | | 3,284 | |
AutoNation, Inc. | | | 282 | | | | 0.48 | % | | | 3,167 | |
General Motors Co. | | | 1,035 | | | | 0.43 | % | | | 2,747 | |
Home Depot, Inc. | | | 51 | | | | 0.20 | % | | | 2,745 | |
Malibu Boats, Inc. — Class A | | | 424 | | | | 0.27 | % | | | 2,665 | |
Gentex Corp. | | | 1,107 | | | | 0.41 | % | | | 1,873 | |
Golden Entertainment, Inc. | | | 524 | | | | 0.24 | % | | | 1,353 | |
MasterCraft Boat Holdings, Inc. | | | 1,065 | | | | 0.28 | % | | | 1,153 | |
BorgWarner, Inc. | | | 685 | | | | 0.28 | % | | | 980 | |
Ethan Allen Interiors, Inc. | | | 593 | | | | 0.22 | % | | | 785 | |
Allison Transmission Holdings, Inc. | | | 1,462 | | | | 0.97 | % | | | 554 | |
MSC Industrial Direct Company, Inc. — Class A | | | 835 | | | | 0.97 | % | | | 443 | |
Caleres, Inc. | | | 522 | | | | 0.18 | % | | | (454 | ) |
Starbucks Corp. | | | 839 | | | | 0.92 | % | | | (1,427 | ) |
Polaris, Inc. | | | 637 | | | | 0.69 | % | | | (4,656 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 215,527 | |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Photronics, Inc. | | | 1,568 | | | | 0.56 | % | | | 16,860 | |
QUALCOMM, Inc. | | | 634 | | | | 1.05 | % | | | 9,687 | |
International Business Machines Corp. | | | 508 | | | | 0.95 | % | | | 9,350 | |
Skyworks Solutions, Inc. | | | 352 | | | | 0.45 | % | | | 8,086 | |
Amdocs Ltd. | | | 960 | | | | 0.97 | % | | | 6,351 | |
Dropbox, Inc. — Class A | | | 2,382 | | | | 0.80 | % | | | 5,089 | |
Cirrus Logic, Inc. | | | 739 | | | | 0.70 | % | | | 4,684 | |
Microsoft Corp. | | | 137 | | | | 0.59 | % | | | 3,863 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 49 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Hewlett Packard Enterprise Co. | | | 2,720 | | | | 0.53 | % | | $ | 3,807 | |
Bandwidth, Inc. — Class A | | | 1,412 | | | | 0.23 | % | | | 3,763 | |
Amkor Technology, Inc. | | | 699 | | | | 0.27 | % | | | 3,420 | |
Insight Enterprises, Inc. | | | 227 | | | | 0.46 | % | | | 2,630 | |
Applied Materials, Inc. | | | 140 | | | | 0.26 | % | | | 2,034 | |
Immersion Corp. | | | 6,818 | | | | 0.55 | % | | | 1,546 | |
Genpact Ltd. | | | 1,701 | | | | 0.68 | % | | | (181 | ) |
NetApp, Inc. | | | 253 | | | | 0.26 | % | | | (496 | ) |
DXC Technology Co. | | | 690 | | | | 0.18 | % | | | (589 | ) |
Veradigm, Inc. | | | 2,042 | | | | 0.25 | % | | | (5,742 | ) |
Total Technology | | | | | | | | | | | 74,162 | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
Evergy, Inc. | | | 3,152 | | | | 1.88 | % | | | 4,558 | |
Public Service Enterprise Group, Inc. | | | 1,280 | | | | 0.90 | % | | | 3,304 | |
Atmos Energy Corp. | | | 713 | | | | 0.95 | % | | | 2,871 | |
PPL Corp. | | | 3,076 | | | | 0.95 | % | | | 1,930 | |
Xcel Energy, Inc. | | | 1,325 | | | | 0.94 | % | | | 852 | |
National Fuel Gas Co. | | | 1,587 | | | | 0.91 | % | | | (4,696 | ) |
Total Utilities | | | | | | | | | | | 8,819 | |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Cheniere Energy, Inc. | | | 414 | | | | 0.81 | % | | | 2,895 | |
SolarEdge Technologies, Inc. | | | 192 | | | | 0.21 | % | | | 1,645 | |
NOW, Inc. | | | 1,596 | | | | 0.21 | % | | | 1,233 | |
Valero Energy Corp. | | | 650 | | | | 0.97 | % | | | 878 | |
Marathon Petroleum Corp. | | | 544 | | | | 0.92 | % | | | (55 | ) |
EOG Resources, Inc. | | | 665 | | | | 0.92 | % | | | (1,357 | ) |
CVR Energy, Inc. | | | 1,193 | | | | 0.41 | % | | | (1,420 | ) |
PBF Energy, Inc. — Class A | | | 877 | | | | 0.44 | % | | | (2,027 | ) |
Liberty Energy, Inc. — Class A | | | 2,083 | | | | 0.43 | % | | | (3,986 | ) |
CNX Resources Corp. | | | 2,015 | | | | 0.46 | % | | | (4,310 | ) |
SandRidge Energy, Inc. | | | 2,214 | | | | 0.35 | % | | | (4,664 | ) |
Total Energy | | | | | | | | | | | (11,168 | ) |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
NewMarket Corp. | | | 153 | | | | 0.96 | % | | | 12,114 | |
Sylvamo Corp. | | | 654 | | | | 0.37 | % | | | (2,186 | ) |
Total Basic Materials | | | | | | | | | | | 9,928 | |
| | | | | | | | | | | | | |
Government | | | | | | | | | | | | |
Banco Latinoamericano de Comercio Exterior S.A. — Class E | | | 1,657 | | | | 0.47 | % | | | 4,602 | |
Total MS Long/Short Equity Long Custom Basket | | | | | | $ | 692,206 | |
| | | | | | | | | |
MS LONG/SHORT EQUITY SHORT CUSTOM BASKET | | | | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
Portland General Electric Co. | | | 1,924 | | | | (1.37 | )% | | $ | 899 | |
California Water Service Group | | | 1,557 | | | | (1.34 | )% | | | (1,644 | ) |
Southwest Gas Holdings, Inc. | | | 1,335 | | | | (1.41 | )% | | | (5,124 | ) |
Eversource Energy | | | 1,337 | | | | (1.37 | )% | | | (6,225 | ) |
AES Corp. | | | 4,534 | | | | (1.45 | )% | | | (6,408 | ) |
UGI Corp. | | | 3,580 | | | | (1.47 | )% | | | (6,899 | ) |
PG&E Corp. | | | 4,657 | | | | (1.40 | )% | | | (7,590 | ) |
Total Utilities | | | | | | | | | | | (32,991 | ) |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
TreeHouse Foods, Inc. | | | 1,689 | | | | (1.16 | )% | | | 7,418 | |
Avis Budget Group, Inc. | | | 172 | | | | (0.51 | )% | | | 3,048 | |
Grocery Outlet Holding Corp. | | | 1,015 | | | | (0.46 | )% | | | 2,302 | |
Clorox Co. | | | 406 | | | | (0.96 | )% | | | 519 | |
ICF International, Inc. | | | 193 | | | | (0.43 | )% | | | 187 | |
Booz Allen Hamilton Holding Corp. | | | 320 | | | | (0.68 | )% | | | (2,448 | ) |
RB Global, Inc. | | | 821 | | | | (0.91 | )% | | | (2,481 | ) |
Cintas Corp. | | | 104 | | | | (1.04 | )% | | | (5,134 | ) |
Utz Brands, Inc. | | | 3,669 | | | | (0.99 | )% | | | (5,278 | ) |
U-Haul Holding Co. | | | 450 | | | | (0.54 | )% | | | (5,916 | ) |
Insmed, Inc. | | | 1,398 | | | | (0.72 | )% | | | (5,919 | ) |
TransUnion | | | 712 | | | | (0.81 | )% | | | (6,155 | ) |
Neogen Corp. | | | 3,296 | | | | (1.10 | )% | | | (8,053 | ) |
Affirm Holdings, Inc. | | | 358 | | | | (0.29 | )% | | | (8,539 | ) |
Pilgrim’s Pride Corp. | | | 2,810 | | | | (1.29 | )% | | | (9,948 | ) |
Rollins, Inc. | | | 1,840 | | | | (1.34 | )% | | | (10,981 | ) |
Equifax, Inc. | | | 365 | | | | (1.50 | )% | | | (17,430 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | (74,808 | ) |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Kennedy-Wilson Holdings, Inc. | | | 6,803 | | | | (1.40 | )% | | | 19,761 | |
Americold Realty Trust, Inc. | | | 2,449 | | | | (1.23 | )% | | | 7,433 | |
New York Mortgage Trust, Inc. | | | 5,901 | | | | (0.84 | )% | | | 3,597 | |
Ellington Financial, Inc. | | | 3,954 | | | | (0.84 | )% | | | 964 | |
COPT Defense Properties | | | 644 | | | | (0.27 | )% | | | (69 | ) |
UMH Properties, Inc. | | | 3,156 | | | | (0.80 | )% | | | (1,168 | ) |
Veris Residential, Inc. | | | 2,103 | | | | (0.55 | )% | | | (1,203 | ) |
Digital Realty Trust, Inc. | | | 418 | | | | (0.94 | )% | | | (1,270 | ) |
Invitation Homes, Inc. | | | 922 | | | | (0.52 | )% | | | (1,814 | ) |
Equinix, Inc. | | | 84 | | | | (1.13 | )% | | | (2,017 | ) |
Rexford Industrial Realty, Inc. | | | 1,094 | | | | (1.02 | )% | | | (2,877 | ) |
Alexander & Baldwin, Inc. | | | 2,636 | | | | (0.83 | )% | | | (2,960 | ) |
Rayonier, Inc. | | | 1,386 | | | | (0.77 | )% | | | (3,011 | ) |
Raymond James Financial, Inc. | | | 517 | | | | (0.96 | )% | | | (3,505 | ) |
Apartment Investment and Management Co. — Class A | | | 5,843 | | | | (0.76 | )% | | | (3,612 | ) |
PotlatchDeltic Corp. | | | 1,210 | | | | (0.99 | )% | | | (3,653 | ) |
50 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Ventas, Inc. | | | 596 | | | | (0.49 | )% | | $ | (4,363 | ) |
Welltower, Inc. | | | 791 | | | | (1.19 | )% | | | (5,034 | ) |
Sun Communities, Inc. | | | 537 | | | | (1.19 | )% | | | (5,967 | ) |
Jones Lang LaSalle, Inc. | | | 394 | | | | (1.24 | )% | | | (6,332 | ) |
Brighthouse Financial, Inc. | | | 1,529 | | | | (1.35 | )% | | | (6,365 | ) |
TFS Financial Corp. | | | 5,918 | | | | (1.45 | )% | | | (6,510 | ) |
BOK Financial Corp. | | | 1,072 | | | | (1.53 | )% | | | (6,856 | ) |
Air Lease Corp. — Class A | | | 1,161 | | | | (0.81 | )% | | | (7,097 | ) |
Carlyle Group, Inc. | | | 1,516 | | | | (1.03 | )% | | | (8,010 | ) |
American Tower Corp. — Class A | | | 238 | | | | (0.85 | )% | | | (8,225 | ) |
Citigroup, Inc. | | | 1,320 | | | | (1.13 | )% | | | (9,174 | ) |
Marcus & Millichap, Inc. | | | 1,538 | | | | (1.12 | )% | | | (12,173 | ) |
PennyMac Financial Services, Inc. | | | 854 | | | | (1.26 | )% | | | (14,176 | ) |
Howard Hughes Holdings, Inc. | | | 938 | | | | (1.33 | )% | | | (15,488 | ) |
Popular, Inc. | | | 1,059 | | | | (1.45 | )% | | | (15,664 | ) |
CBRE Group, Inc. — Class A | | | 998 | | | | (1.55 | )% | | | (21,437 | ) |
KKR & Company, Inc. — Class A | | | 1,085 | | | | (1.50 | )% | | | (21,684 | ) |
Total Financial | | | | | | | | | | | (169,959 | ) |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Piedmont Lithium, Inc. | | | 1,841 | | | | (0.86 | )% | | | 15,791 | |
Novagold Resources, Inc. | | | 10,857 | | | | (0.68 | )% | | | 3,095 | |
Kaiser Aluminum Corp. | | | 690 | | | | (0.82 | )% | | | 2,703 | |
Compass Minerals International, Inc. | | | 1,029 | | | | (0.43 | )% | | | (702 | ) |
Tronox Holdings plc — Class A | | | 2,331 | | | | (0.55 | )% | | | (1,870 | ) |
ATI, Inc. | | | 652 | | | | (0.49 | )% | | | (2,079 | ) |
Schnitzer Steel Industries, Inc. — Class A | | | 896 | | | | (0.45 | )% | | | (3,349 | ) |
Hecla Mining Co. | | | 8,235 | | | | (0.66 | )% | | | (3,481 | ) |
Carpenter Technology Corp. | | | 534 | | | | (0.63 | )% | | | (3,957 | ) |
Linde plc | | | 200 | | | | (1.37 | )% | | | (4,198 | ) |
Element Solutions, Inc. | | | 2,510 | | | | (0.97 | )% | | | (5,506 | ) |
Celanese Corp. — Class A | | | 465 | | | | (1.20 | )% | | | (6,340 | ) |
Chemours Co. | | | 1,529 | | | | (0.80 | )% | | | (7,992 | ) |
Ecolab, Inc. | | | 347 | | | | (1.14 | )% | | | (9,599 | ) |
Stepan Co. | | | 952 | | | | (1.50 | )% | | | (17,590 | ) |
Century Aluminum Co. | | | 5,528 | | | | (1.12 | )% | | | (27,215 | ) |
Total Basic Materials | | | | | | | | | | | (72,289 | ) |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Life Time Group Holdings, Inc. | | | 1,974 | | | | (0.50 | )% | | | 2,938 | |
Topgolf Callaway Brands Corp. | | | 4,620 | | | | (1.10 | )% | | | 2,259 | |
Tesla, Inc. | | | 69 | | | | (0.29 | )% | | | 718 | |
Allegiant Travel Co. — Class A | | | 332 | | | | (0.46 | )% | | | (3,018 | ) |
Walgreens Boots Alliance, Inc. | | | 2,744 | | | | (1.19 | )% | | | (5,022 | ) |
Shake Shack, Inc. — Class A | | | 666 | | | | (0.82 | )% | | | (5,387 | ) |
Floor & Decor Holdings, Inc. — Class A | | | 428 | | | | (0.79 | )% | | | (5,662 | ) |
Lithia Motors, Inc. — Class A | | | 131 | | | | (0.72 | )% | | | (5,923 | ) |
CarMax, Inc. | | | 910 | | | | (1.16 | )% | | | (10,592 | ) |
Total Consumer, Cyclical | | | | | | | | | | | (29,689 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Valaris Ltd. | | | 1,042 | | | | (1.19 | )% | | | 3,658 | |
Noble Corporation plc | | | 625 | | | | (0.50 | )% | | | 2,790 | |
NOV, Inc. | | | 2,096 | | | | (0.71 | )% | | | 1,816 | |
TechnipFMC plc | | | 2,853 | | | | (0.96 | )% | | | (1,060 | ) |
Dril-Quip, Inc. | | | 1,274 | | | | (0.49 | )% | | | (1,146 | ) |
Sitio Royalties Corp. — Class A | | | 1,118 | | | | (0.44 | )% | | | (1,624 | ) |
Archrock, Inc. | | | 3,554 | | | | (0.91 | )% | | | (9,116 | ) |
Total Energy | | | | | | | | | | | (4,682 | ) |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Knight-Swift Transportation Holdings, Inc. | | | 596 | | | | (0.57 | )% | | | (424 | ) |
Werner Enterprises, Inc. | | | 724 | | | | (0.51 | )% | | | (947 | ) |
RXO, Inc. | | | 1,898 | | | | (0.73 | )% | | | (2,542 | ) |
Stericycle, Inc. | | | 611 | | | | (0.50 | )% | | | (2,811 | ) |
GATX Corp. | | | 498 | | | | (1.00 | )% | | | (3,583 | ) |
Vulcan Materials Co. | | | 291 | | | | (1.10 | )% | | | (5,290 | ) |
Casella Waste Systems, Inc. — Class A | | | 941 | | | | (1.34 | )% | | | (6,476 | ) |
Trinity Industries, Inc. | | | 2,996 | | | | (1.33 | )% | | | (9,513 | ) |
Boeing Co. | | | 270 | | | | (1.17 | )% | | | (18,393 | ) |
Total Industrial | | | | | | | | | | | (49,979 | ) |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Paycor HCM, Inc. | | | 3,087 | | | | (1.11 | )% | | | 5,627 | |
KBR, Inc. | | | 814 | | | | (0.75 | )% | | | 4,974 | |
Ceridian HCM Holding, Inc. | | | 917 | | | | (1.02 | )% | | | 4,864 | |
Parsons Corp. | | | 790 | | | | (0.82 | )% | | | (6,151 | ) |
Evolent Health, Inc. — Class A | | | 1,821 | | | | (1.00 | )% | | | (8,540 | ) |
HashiCorp, Inc. — Class A | | | 2,335 | | | | (0.92 | )% | | | (10,556 | ) |
Braze, Inc. — Class A | | | 1,161 | | | | (1.03 | )% | | | (11,515 | ) |
Total Technology | | | | | | | | | | | (21,297 | ) |
| | | | | | | | | | | | | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 51 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Communications | | | | | | | | | | | | |
DoorDash, Inc. — Class A | | | 112 | | | | (0.18 | )% | | $ | (1,162 | ) |
Roku, Inc. | | | 104 | | | | (0.16 | )% | | | (1,411 | ) |
Total Communications | | | | | | | | | | | (2,573 | ) |
Total MS Long/Short Equity Short Custom Basket | | $ | (458,267 | ) |
| | | | | | | | | | | | | |
GS LONG/SHORT EQUITY LONG CUSTOM BASKET | | | | |
Industrial | | | | | | | | | | | | |
Boise Cascade Co. | | | 710 | | | | 1.04 | % | | $ | 36,942 | |
Mueller Industries, Inc. | | | 1,337 | | | | 0.75 | % | | | 19,698 | |
Snap-on, Inc. | | | 293 | | | | 1.00 | % | | | 18,329 | |
Acuity Brands, Inc. | | | 444 | | | | 1.08 | % | | | 17,618 | |
UFP Industries, Inc. | | | 370 | | | | 0.55 | % | | | 15,302 | |
TD SYNNEX Corp. | | | 798 | | | | 1.02 | % | | | 10,733 | |
Terex Corp. | | | 1,211 | | | | 0.83 | % | | | 10,647 | |
Encore Wire Corp. | | | 202 | | | | 0.51 | % | | | 9,488 | |
Apogee Enterprises, Inc. | | | 1,495 | | | | 0.95 | % | | | 8,993 | |
Scorpio Tankers, Inc. | | | 678 | | | | 0.49 | % | | | 8,907 | |
Owens Corning | | | 291 | | | | 0.51 | % | | | 8,595 | |
Donaldson Company, Inc. | | | 1,329 | | | | 1.03 | % | | | 8,558 | |
Middleby Corp. | | | 592 | | | | 1.03 | % | | | 8,040 | |
Teekay Corp. | | | 7,492 | | | | 0.64 | % | | | 6,671 | |
Builders FirstSource, Inc. | | | 146 | | | | 0.29 | % | | | 6,564 | |
Teekay Tankers Ltd. — Class A | | | 599 | | | | 0.36 | % | | | 6,369 | |
Atkore, Inc. | | | 212 | | | | 0.40 | % | | | 6,230 | |
Argan, Inc. | | | 866 | | | | 0.48 | % | | | 5,601 | |
Keysight Technologies, Inc. | | | 250 | | | | 0.47 | % | | | 5,451 | |
International Seaways, Inc. | | | 1,529 | | | | 0.82 | % | | | 5,288 | |
Carlisle Companies, Inc. | | | 212 | | | | 0.79 | % | | | 4,701 | |
Ardmore Shipping Corp. | | | 2,512 | | | | 0.42 | % | | | 4,693 | |
Griffon Corp. | | | 353 | | | | 0.26 | % | | | 4,028 | |
EnerSys | | | 340 | | | | 0.41 | % | | | 3,229 | |
Huntington Ingalls Industries, Inc. | | | 133 | | | | 0.41 | % | | | 2,599 | |
Insteel Industries, Inc. | | | 459 | | | | 0.21 | % | | | 2,442 | |
Garmin Ltd. | | | 498 | | | | 0.76 | % | | | 2,229 | |
Brady Corp. — Class A | | | 1,039 | | | | 0.72 | % | | | 1,725 | |
AGCO Corp. | | | 434 | | | | 0.63 | % | | | 1,535 | |
A O Smith Corp. | | | 245 | | | | 0.24 | % | | | 1,329 | |
Vontier Corp. | | | 847 | | | | 0.35 | % | | | 258 | |
Lindsay Corp. | | | 193 | | | | 0.30 | % | | | (448 | ) |
Total Industrial | | | | | | | | | | | 252,344 | |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
InterDigital, Inc. | | | 806 | | | | 1.04 | % | | | 21,606 | |
IDT Corp. — Class B | | | 1,556 | | | | 0.63 | % | | | 16,685 | |
AT&T, Inc. | | | 4,250 | | | | 0.85 | % | | | 8,019 | |
Yelp, Inc. — Class A | | | 1,808 | | | | 1.02 | % | | | 6,884 | |
T-Mobile US, Inc. | | | 463 | | | | 0.88 | % | | | 6,490 | |
Juniper Networks, Inc. | | | 2,551 | | | | 0.89 | % | | | 6,015 | |
Verizon Communications, Inc. | | | 1,853 | | | | 0.83 | % | | | 5,230 | |
Shutterstock, Inc. | | | 671 | | | | 0.38 | % | | | 4,820 | |
Meta Platforms, Inc. — Class A | | | 116 | | | | 0.49 | % | | | 4,765 | |
eBay, Inc. | | | 1,009 | | | | 0.52 | % | | | 4,578 | |
Cargurus, Inc. | | | 746 | | | | 0.21 | % | | | 1,661 | |
A10 Networks, Inc. | | | 1,287 | | | | 0.20 | % | | | 1,425 | |
Cisco Systems, Inc. | | | 1,706 | | | | 1.02 | % | | | 1,058 | |
TEGNA, Inc. | | | 4,072 | | | | 0.74 | % | | | 452 | |
VeriSign, Inc. | | | 359 | | | | 0.88 | % | | | (145 | ) |
Gogo, Inc. | | | 2,416 | | | | 0.29 | % | | | (942 | ) |
Ciena Corp. | | | 633 | | | | 0.34 | % | | | (1,159 | ) |
Spok Holdings, Inc. | | | 1,131 | | | | 0.21 | % | | | (1,494 | ) |
Fox Corp. — Class A | | | 2,709 | | | | 0.95 | % | | | (2,736 | ) |
Ooma, Inc. | | | 3,035 | | | | 0.39 | % | | | (3,553 | ) |
Total Communications | | | | | | | | | | | 79,659 | |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
MGIC Investment Corp. | | | 4,588 | | | | 1.05 | % | | | 21,998 | |
Ambac Financial Group, Inc. | | | 5,505 | | | | 1.08 | % | | | 19,628 | |
Essent Group Ltd. | | | 1,656 | | | | 1.04 | % | | | 14,253 | |
SouthState Corp. | | | 495 | | | | 0.50 | % | | | 9,311 | |
International Bancshares Corp. | | | 866 | | | | 0.56 | % | | | 8,624 | |
Walker & Dunlop, Inc. | | | 387 | | | | 0.51 | % | | | 7,558 | |
Radian Group, Inc. | | | 3,023 | | | | 1.02 | % | | | 7,399 | |
Preferred Bank/Los Angeles CA | | | 250 | | | | 0.22 | % | | | 6,718 | |
Interactive Brokers Group, Inc. — Class A | | | 693 | | | | 0.68 | % | | | 2,702 | |
Jackson Financial, Inc. — Class A | | | 898 | | | | 0.55 | % | | | 2,537 | |
Affiliated Managers Group, Inc. | | | 144 | | | | 0.26 | % | | | 2,022 | |
Enact Holdings, Inc. | | | 1,460 | | | | 0.50 | % | | | 1,533 | |
Mr Cooper Group, Inc. | | | 552 | | | | 0.43 | % | | | 1,158 | |
Equity Commonwealth | | | 4,270 | | | | 0.97 | % | | | 62 | |
Total Financial | | | | | | | | | | | 105,503 | |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
Perdoceo Education Corp. | | | 2,442 | | | | 0.51 | % | | | 16,749 | |
Innoviva, Inc. | | | 4,073 | | | | 0.77 | % | | | 16,592 | |
Exelixis, Inc. | | | 2,167 | | | | 0.62 | % | | | 13,703 | |
Viatris, Inc. | | | 8,543 | | | | 1.10 | % | | | 10,260 | |
Dynavax Technologies Corp. | | | 2,979 | | | | 0.49 | % | | | 6,340 | |
Premier, Inc. — Class A | | | 2,664 | | | | 0.71 | % | | | 5,415 | |
Gilead Sciences, Inc. | | | 1,051 | | | | 1.01 | % | | | 5,345 | |
Biogen, Inc. | | | 196 | | | | 0.60 | % | | | 4,590 | |
Merck & Company, Inc. | | | 776 | | | | 1.00 | % | | | 4,538 | |
Alarm.com Holdings, Inc. | | | 289 | | | | 0.22 | % | | | 2,204 | |
Neurocrine Biosciences, Inc. | | | 140 | | | | 0.22 | % | | | 2,159 | |
Molina Healthcare, Inc. | | | 76 | | | | 0.33 | % | | | 2,038 | |
Centene Corp. | | | 327 | | | | 0.29 | % | | | 1,808 | |
Ingredion, Inc. | | | 766 | | | | 0.99 | % | | | 1,736 | |
Alkermes plc | | | 631 | | | | 0.21 | % | | | 1,712 | |
Hologic, Inc. | | | 1,154 | | | | 0.98 | % | | | 1,290 | |
Baxter International, Inc. | | | 626 | | | | 0.29 | % | | | 1,122 | |
Thermo Fisher Scientific, Inc. | | | 33 | | | | 0.21 | % | | | 1,113 | |
PayPal Holdings, Inc. | | | 457 | | | | 0.33 | % | | | 1,042 | |
Supernus Pharmaceuticals, Inc. | | | 583 | | | | 0.20 | % | | | 535 | |
Cross Country Healthcare, Inc. | | | 998 | | | | 0.27 | % | | | (626 | ) |
Humana, Inc. | | | 55 | | | | 0.30 | % | | | (657 | ) |
United Therapeutics Corp. | | | 228 | | | | 0.59 | % | | | (663 | ) |
Incyte Corp. | | | 1,475 | | | | 1.10 | % | | | (736 | ) |
Johnson & Johnson | | | 512 | | | | 0.95 | % | | | (1,158 | ) |
Halozyme Therapeutics, Inc. | | | 404 | | | | 0.18 | % | | | (1,264 | ) |
Royalty Pharma plc — Class A | | | 1,474 | | | | 0.49 | % | | | (2,195 | ) |
Organon & Co. | | | 1,390 | | | | 0.24 | % | | | (2,475 | ) |
Pfizer, Inc. | | | 2,759 | | | | 0.94 | % | | | (4,602 | ) |
Bristol-Myers Squibb Co. | | | 1,612 | | | | 0.98 | % | | | (13,009 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | 72,906 | |
52 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Consumer, Cyclical | | | | | | | | | | | | |
Toll Brothers, Inc. | | | 932 | | | | 1.14 | % | | $ | 29,181 | |
Meritage Homes Corp. | | | 481 | | | | 0.99 | % | | | 23,158 | |
M/I Homes, Inc. | | | 454 | | | | 0.74 | % | | | 22,586 | |
Allison Transmission Holdings, Inc. | | | 1,462 | | | | 1.01 | % | | | 20,214 | |
PulteGroup, Inc. | | | 791 | | | | 0.97 | % | | | 20,060 | |
DR Horton, Inc. | | | 551 | | | | 0.99 | % | | | 19,011 | |
Brunswick Corp. | | | 843 | | | | 0.97 | % | | | 17,475 | |
NVR, Inc. | | | 13 | | | | 1.08 | % | | | 14,266 | |
KB Home | | | 799 | | | | 0.59 | % | | | 11,295 | |
MSC Industrial Direct Company, Inc. — Class A | | | 835 | | | | 1.00 | % | | | 10,770 | |
Lennar Corp. — Class A | | | 308 | | | | 0.54 | % | | | 10,441 | |
Taylor Morrison Home Corp. — Class A | | | 856 | | | | 0.54 | % | | | 9,676 | |
Standard Motor Products, Inc. | | | 1,446 | | | | 0.68 | % | | | 5,980 | |
Tri Pointe Homes, Inc. | | | 817 | | | | 0.34 | % | | | 5,805 | |
PACCAR, Inc. | | | 425 | | | | 0.49 | % | | | 5,670 | |
Monarch Casino & Resort, Inc. | | | 927 | | | | 0.76 | % | | | 3,541 | |
Patrick Industries, Inc. | | | 234 | | | | 0.28 | % | | | 3,304 | |
AutoNation, Inc. | | | 282 | | | | 0.50 | % | | | 3,187 | |
Home Depot, Inc. | | | 51 | | | | 0.21 | % | | | 2,766 | |
General Motors Co. | | | 1,035 | | | | 0.44 | % | | | 2,756 | |
Ethan Allen Interiors, Inc. | | | 593 | | | | 0.22 | % | | | 2,146 | |
Gentex Corp. | | | 1,107 | | | | 0.43 | % | | | 1,841 | |
Golden Entertainment, Inc. | | | 524 | | | | 0.25 | % | | | 1,385 | |
BorgWarner, Inc. | | | 685 | | | | 0.29 | % | | | 967 | |
Malibu Boats, Inc. — Class A | | | 424 | | | | 0.28 | % | | | 640 | |
Caleres, Inc. | | | 522 | | | | 0.19 | % | | | (385 | ) |
MasterCraft Boat Holdings, Inc. | | | 1,065 | | | | 0.29 | % | | | (1,440 | ) |
Starbucks Corp. | | | 839 | | | | 0.96 | % | | | (1,458 | ) |
Polaris, Inc. | | | 637 | | | | 0.72 | % | | | (6,091 | ) |
Total Consumer, Cyclical | | | | | | | | | | | 238,747 | |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
Photronics, Inc. | | | 1,568 | | | | 0.58 | % | | | 17,630 | |
International Business Machines Corp. | | | 508 | | | | 0.99 | % | | | 10,007 | |
QUALCOMM, Inc. | | | 634 | | | | 1.09 | % | | | 9,623 | |
Skyworks Solutions, Inc. | | | 352 | | | | 0.47 | % | | | 8,147 | |
Amdocs Ltd. | | | 960 | | | | 1.00 | % | | | 6,342 | |
Dropbox, Inc. — Class A | | | 2,382 | | | | 0.83 | % | | | 5,047 | |
Cirrus Logic, Inc. | | | 739 | | | | 0.73 | % | | | 4,815 | |
Microsoft Corp. | | | 137 | | | | 0.61 | % | | | 3,868 | |
Hewlett Packard Enterprise Co. | | | 2,720 | | | | 0.55 | % | | | 3,844 | |
Bandwidth, Inc. — Class A | | | 1,412 | | | | 0.24 | % | | | 3,831 | |
Amkor Technology, Inc. | | | 699 | | | | 0.28 | % | | | 3,456 | |
Insight Enterprises, Inc. | | | 227 | | | | 0.48 | % | | | 2,607 | |
Applied Materials, Inc. | | | 140 | | | | 0.27 | % | | | 2,048 | |
Immersion Corp. | | | 6,818 | | | | 0.57 | % | | | 1,501 | |
Genpact Ltd. | | | 1,701 | | | | 0.70 | % | | | (420 | ) |
NetApp, Inc. | | | 253 | | | | 0.26 | % | | | (503 | ) |
DXC Technology Co. | | | 690 | | | | 0.19 | % | | | (594 | ) |
Veradigm, Inc. | | | 2,042 | | | | 0.25 | % | | | (4,203 | ) |
Total Technology | | | | | | | | | | | 77,046 | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
Public Service Enterprise Group, Inc. | | | 1,280 | | | | 0.93 | % | | | 3,416 | |
Atmos Energy Corp. | | | 713 | | | | 0.98 | % | | | 2,962 | |
PPL Corp. | | | 3,076 | | | | 0.99 | % | | | 1,832 | |
Xcel Energy, Inc. | | | 1,325 | | | | 0.97 | % | | | 813 | |
National Fuel Gas Co. | | | 1,587 | | | | 0.94 | % | | | (4,106 | ) |
Total Utilities | | | | | | | | | | | 4,917 | |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
Marathon Petroleum Corp. | | | 544 | | | | 0.96 | % | | | 10,126 | |
Cheniere Energy, Inc. | | | 414 | | | | 0.84 | % | | | 7,526 | |
Valero Energy Corp. | | | 650 | | | | 1.00 | % | | | 7,354 | |
PBF Energy, Inc. — Class A | | | 877 | | | | 0.46 | % | | | 2,637 | |
SolarEdge Technologies, Inc. | | | 192 | | | | 0.21 | % | | | 1,648 | |
NOW, Inc. | | | 1,596 | | | | 0.21 | % | | | 1,296 | |
EOG Resources, Inc. | | | 665 | | | | 0.95 | % | | | (1,419 | ) |
CVR Energy, Inc. | | | 1,193 | | | | 0.43 | % | | | (1,483 | ) |
Liberty Energy, Inc. — Class A | | | 2,083 | | | | 0.45 | % | | | (3,992 | ) |
CNX Resources Corp. | | | 2,015 | | | | 0.48 | % | | | (4,392 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 53 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
SandRidge Energy, Inc. | | | 2,214 | | | | 0.36 | % | | $ | (4,654 | ) |
Total Energy | | | | | | | | | | | 14,647 | |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
NewMarket Corp. | | | 153 | | | | 0.99 | % | | | 30,727 | |
Sylvamo Corp. | | | 654 | | | | 0.38 | % | | | (1,952 | ) |
Total Basic Materials | | | | | | | | | | | 28,775 | |
| | | | | | | | | | | | | |
Government | | | | | | | | | | | | |
Banco Latinoamericano de Comercio Exterior S.A. — Class E | | | 1,657 | | | | 0.49 | % | | | 4,564 | |
| | | | | | | | | | | | | |
Total GS Long/Short Equity Long Custom Basket | | $ | 879,108 | |
| | | | | | | | | |
GS LONG/SHORT EQUITY SHORT CUSTOM BASKET | | | | |
| | | | | | | | | | | | | |
Utilities | | | | | | | | | | | | |
AES Corp. | | | 4,534 | | | | (1.43 | )% | | $ | 6,493 | |
Portland General Electric Co. | | | 1,924 | | | | (1.39 | )% | | | 6,209 | |
California Water Service Group | | | 1,557 | | | | (1.34 | )% | | | (1,689 | ) |
PG&E Corp. | | | 4,657 | | | | (1.40 | )% | | | (3,130 | ) |
Southwest Gas Holdings, Inc. | | | 1,335 | | | | (1.41 | )% | | | (5,224 | ) |
Eversource Energy | | | 1,337 | | | | (1.37 | )% | | | (6,487 | ) |
UGI Corp. | | | 3,580 | | | | (1.47 | )% | | | (7,343 | ) |
Total Utilities | | | | | | | | | | | (11,171 | ) |
| | | | | | | | | | | | | |
Consumer, Non-cyclical | | | | | | | | | | | | |
TreeHouse Foods, Inc. | | | 1,689 | | | | (1.16 | )% | | | 9,745 | |
Avis Budget Group, Inc. | | | 172 | | | | (0.51 | )% | | | 3,154 | |
Grocery Outlet Holding Corp. | | | 1,015 | | | | (0.46 | )% | | | 2,360 | |
Clorox Co. | | | 406 | | | | (0.96 | )% | | | 468 | |
Utz Brands, Inc. | | | 3,669 | | | | (0.99 | )% | | | (2,302 | ) |
Booz Allen Hamilton Holding Corp. | | | 320 | | | | (0.68 | )% | | | (2,459 | ) |
ICF International, Inc. | | | 193 | | | | (0.43 | )% | | | (2,554 | ) |
RB Global, Inc. | | | 821 | | | | (0.91 | )% | | | (2,905 | ) |
Cintas Corp. | | | 104 | | | | (1.04 | )% | | | (5,094 | ) |
U-Haul Holding Co. | | | 450 | | | | (0.54 | )% | | | (5,906 | ) |
Insmed, Inc. | | | 1,398 | | | | (0.72 | )% | | | (5,951 | ) |
TransUnion | | | 712 | | | | (0.81 | )% | | | (6,185 | ) |
Neogen Corp. | | | 3,296 | | | | (1.10 | )% | | | (8,284 | ) |
Affirm Holdings, Inc. | | | 358 | | | | (0.29 | )% | | | (8,554 | ) |
Pilgrim’s Pride Corp. | | | 2,810 | | | | (1.29 | )% | | | (9,978 | ) |
Rollins, Inc. | | | 1,840 | | | | (1.34 | )% | | | (10,851 | ) |
Equifax, Inc. | | | 365 | | | | (1.50 | )% | | | (17,219 | ) |
Total Consumer, Non-cyclical | | | | | | | | | | | (72,515 | ) |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Kennedy-Wilson Holdings, Inc. | | | 6,803 | | | | (1.40 | )% | | | 25,051 | |
Sun Communities, Inc. | | | 537 | | | | (1.19 | )% | | | 14,495 | |
Americold Realty Trust, Inc. | | | 2,449 | | | | (1.23 | )% | | | 6,205 | |
Rexford Industrial Realty, Inc. | | | 1,094 | | | | (1.02 | )% | | | 5,153 | |
New York Mortgage Trust, Inc. | | | 5,901 | | | | (0.84 | )% | | | 3,557 | |
American Tower Corp. — Class A | | | 238 | | | | (0.85 | )% | | | 3,522 | |
Raymond James Financial, Inc. | | | 517 | | | | (0.96 | )% | | | 1,924 | |
UMH Properties, Inc. | | | 3,156 | | | | (0.80 | )% | | | 1,476 | |
Ellington Financial, Inc. | | | 3,954 | | | | (0.84 | )% | | | 960 | |
COPT Defense Properties | | | 644 | | | | (0.27 | )% | | | (58 | ) |
Alexander & Baldwin, Inc. | | | 2,636 | | | | (0.83 | )% | | | (841 | ) |
Equinix, Inc. | | | 84 | | | | (1.13 | )% | | | (932 | ) |
Veris Residential, Inc. | | | 2,103 | | | | (0.55 | )% | | | (1,280 | ) |
Invitation Homes, Inc. | | | 922 | | | | (0.52 | )% | | | (1,811 | ) |
Digital Realty Trust, Inc. | | | 418 | | | | (0.94 | )% | | | (1,865 | ) |
Rayonier, Inc. | | | 1,386 | | | | (0.77 | )% | | | (3,102 | ) |
PotlatchDeltic Corp. | | | 1,210 | | | | (0.99 | )% | | | (3,659 | ) |
Apartment Investment and Management Co. — Class A | | | 5,843 | | | | (0.76 | )% | | | (3,671 | ) |
Ventas, Inc. | | | 596 | | | | (0.49 | )% | | | (4,491 | ) |
Brighthouse Financial, Inc. | | | 1,529 | | | | (1.35 | )% | | | (5,940 | ) |
BOK Financial Corp. | | | 1,072 | | | | (1.53 | )% | | | (6,851 | ) |
Air Lease Corp. — Class A | | | 1,161 | | | | (0.81 | )% | | | (7,104 | ) |
Welltower, Inc. | | | 791 | | | | (1.19 | )% | | | (7,498 | ) |
Carlyle Group, Inc. | | | 1,516 | | | | (1.03 | )% | | | (8,209 | ) |
Citigroup, Inc. | | | 1,320 | | | | (1.13 | )% | | | (9,188 | ) |
TFS Financial Corp. | | | 5,918 | | | | (1.45 | )% | | | (9,785 | ) |
Marcus & Millichap, Inc. | | | 1,538 | | | | (1.12 | )% | | | (12,224 | ) |
Jones Lang LaSalle, Inc. | | | 394 | | | | (1.24 | )% | | | (12,639 | ) |
Howard Hughes Holdings, Inc. | | | 938 | | | | (1.33 | )% | | | (15,425 | ) |
Popular, Inc. | | | 1,059 | | | | (1.45 | )% | | | (15,826 | ) |
PennyMac Financial Services, Inc. | | | 854 | | | | (1.26 | )% | | | (20,310 | ) |
CBRE Group, Inc. — Class A | | | 998 | | | | (1.55 | )% | | | (21,445 | ) |
KKR & Company, Inc. — Class A | | | 1,085 | | | | (1.50 | )% | | | (27,416 | ) |
Total Financial | | | | | | | | | | | (139,227 | ) |
| | | | | | | | | | | | | |
Basic Materials | | | | | | | | | | | | |
Piedmont Lithium, Inc. | | | 1,841 | | | | (0.86 | )% | | | 24,107 | |
Hecla Mining Co. | | | 8,235 | | | | (0.66 | )% | | | 7,606 | |
Kaiser Aluminum Corp. | | | 690 | | | | (0.82 | )% | | | 4,200 | |
Novagold Resources, Inc. | | | 10,857 | | | | (0.68 | )% | | | 4,082 | |
Compass Minerals International, Inc. | | | 1,029 | | | | (0.43 | )% | | | (851 | ) |
Tronox Holdings plc — Class A | | | 2,331 | | | | (0.55 | )% | | | (1,974 | ) |
54 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
ATI, Inc. | | | 652 | | | | (0.49 | )% | | $ | (2,015 | ) |
Schnitzer Steel Industries, Inc. — Class A | | | 896 | | | | (0.45 | )% | | | (3,351 | ) |
Linde plc | | | 200 | | | | (1.37 | )% | | | (4,140 | ) |
Element Solutions, Inc. | | | 2,510 | | | | (0.97 | )% | | | (5,508 | ) |
Celanese Corp. — Class A | | | 465 | | | | (1.20 | )% | | | (6,391 | ) |
Carpenter Technology Corp. | | | 534 | | | | (0.63 | )% | | | (7,711 | ) |
Chemours Co. | | | 1,529 | | | | (0.80 | )% | | | (7,928 | ) |
Ecolab, Inc. | | | 347 | | | | (1.14 | )% | | | (9,646 | ) |
Stepan Co. | | | 952 | | | | (1.50 | )% | | | (17,597 | ) |
Century Aluminum Co. | | | 5,528 | | | | (1.12 | )% | | | (27,414 | ) |
Total Basic Materials | | | | | | | | | | | (54,531 | ) |
| | | | | | | | | | | | | |
Consumer, Cyclical | | | | | | | | | | | | |
Life Time Group Holdings, Inc. | | | 1,974 | | | | (0.50 | )% | | | 2,858 | |
Topgolf Callaway Brands Corp. | | | 4,620 | | | | (1.10 | )% | | | 1,995 | |
Walgreens Boots Alliance, Inc. | | | 2,744 | | | | (1.19 | )% | | | 1,291 | |
Tesla, Inc. | | | 69 | | | | (0.29 | )% | | | (442 | ) |
Allegiant Travel Co. — Class A | | | 332 | | | | (0.46 | )% | | | (3,144 | ) |
Floor & Decor Holdings, Inc. — Class A | | | 428 | | | | (0.79 | )% | | | (5,342 | ) |
Shake Shack, Inc. — Class A | | | 666 | | | | (0.82 | )% | | | (5,892 | ) |
Lithia Motors, Inc. — Class A | | | 131 | | | | (0.72 | )% | | | (5,912 | ) |
CarMax, Inc. | | | 910 | | | | (1.16 | )% | | | (10,657 | ) |
Total Consumer, Cyclical | | | | | | | | | | | (25,245 | ) |
| | | | | | | | | | | | | |
Energy | | | | | | | | | | | | |
NOV, Inc. | | | 2,096 | | | | (0.71 | )% | | | 4,031 | |
Noble Corporation plc | | | 625 | | | | (0.50 | )% | | | 1,237 | |
Valaris Ltd. | | | 1,042 | | | | (1.19 | )% | | | 993 | |
Dril-Quip, Inc. | | | 1,274 | | | | (0.49 | )% | | | (1,141 | ) |
TechnipFMC plc | | | 2,853 | | | | (0.96 | )% | | | (1,599 | ) |
Sitio Royalties Corp. — Class A | | | 1,118 | | | | (0.44 | )% | | | (1,709 | ) |
Archrock, Inc. | | | 3,554 | | | | (0.91 | )% | | | (9,215 | ) |
Total Energy | | | | | | | | | | | (7,403 | ) |
| | | | | | | | | | | | | |
Industrial | | | | | | | | | | | | |
Knight-Swift Transportation Holdings, Inc. | | | 596 | | | | (0.57 | )% | | | (437 | ) |
Werner Enterprises, Inc. | | | 724 | | | | (0.51 | )% | | | (924 | ) |
RXO, Inc. | | | 1,898 | | | | (0.73 | )% | | | (2,729 | ) |
Stericycle, Inc. | | | 611 | | | | (0.50 | )% | | | (2,900 | ) |
GATX Corp. | | | 498 | | | | (1.00 | )% | | | (3,656 | ) |
Vulcan Materials Co. | | | 291 | | | | (1.10 | )% | | | (5,181 | ) |
Casella Waste Systems, Inc. — Class A | | | 941 | | | | (1.34 | )% | | | (5,396 | ) |
Trinity Industries, Inc. | | | 2,996 | | | | (1.33 | )% | | | (9,445 | ) |
Boeing Co. | | | 270 | | | | (1.17 | )% | | | (18,355 | ) |
Total Industrial | | | | | | | | | | | (49,023 | ) |
| | | | | | | | | | | | | |
Technology | | | | | | | | | | | | |
KBR, Inc. | | | 814 | | | | (0.75 | )% | | | 4,802 | |
Paycor HCM, Inc. | | | 3,087 | | | | (1.11 | )% | | | 3,935 | |
Ceridian HCM Holding, Inc. | | | 917 | | | | (1.02 | )% | | | 353 | |
Parsons Corp. | | | 790 | | | | (0.82 | )% | | | (6,146 | ) |
Evolent Health, Inc. — Class A | | | 1,821 | | | | (1.00 | )% | | | (8,532 | ) |
HashiCorp, Inc. — Class A | | | 2,335 | | | | (0.92 | )% | | | (10,772 | ) |
Braze, Inc. — Class A | | | 1,161 | | | | (1.03 | )% | | | (11,480 | ) |
Total Technology | | | | | | | | | | | (27,840 | ) |
| | | | | | | | | | | | | |
Communications | | | | | | | | | | | | |
DoorDash, Inc. — Class A | | | 112 | | | | (0.18 | )% | | | (1,152 | ) |
Roku, Inc. | | | 104 | | | | (0.16 | )% | | | (1,433 | ) |
Total Communications | | | | | | | | | | | (2,585 | ) |
Total GS Long/Short Equity Short Custom Basket | | | | | | $ | (389,540 | ) |
| | | | | | | | | | | | | |
MS EQUITY MARKET NEUTRAL LONG CUSTOM BASKET | | | | |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Ryman Hospitality Properties, Inc. | | | 5,648 | | | | 6.59 | % | | $ | 144,277 | |
Boston Properties, Inc. | | | 8,507 | | | | 6.33 | % | | | 118,659 | |
Extra Space Storage, Inc. | | | 2,268 | | | | 3.85 | % | | | 80,648 | |
Simon Property Group, Inc. | | | 2,525 | | | | 3.82 | % | | | 77,284 | |
Host Hotels & Resorts, Inc. | | | 20,529 | | | | 4.24 | % | | | 69,388 | |
Ventas, Inc. | | | 9,701 | | | | 5.12 | % | | | 68,255 | |
Alexandria Real Estate Equities, Inc. | | | 3,481 | | | | 4.68 | % | | | 55,839 | |
Sun Communities, Inc. | | | 1,865 | | | | 2.64 | % | | | 53,746 | |
Kimco Realty Corp. | | | 11,727 | | | | 2.65 | % | | | 51,519 | |
VICI Properties, Inc. | | | 13,889 | | | | 4.69 | % | | | 49,076 | |
CareTrust REIT, Inc. | | | 18,422 | | | | 4.37 | % | | | 41,141 | |
Invitation Homes, Inc. | | | 20,776 | | | | 7.51 | % | | | 33,707 | |
Brixmor Property Group, Inc. | | | 19,708 | | | | 4.86 | % | | | 32,357 | |
Rexford Industrial Realty, Inc. | | | 9,634 | | | | 5.73 | % | | | 32,081 | |
Digital Realty Trust, Inc. | | | 1,688 | | | | 2.41 | % | | | 28,529 | |
Americold Realty Trust, Inc. | | | 7,286 | | | | 2.34 | % | | | 25,060 | |
Agree Realty Corp. | | | 7,176 | | | | 4.79 | % | | | 22,802 | |
InvenTrust Properties Corp. | | | 14,896 | | | | 4.00 | % | | | 22,330 | |
Gaming and Leisure Properties, Inc. | | | 8,696 | | | | 4.55 | % | | | 19,679 | |
American Homes 4 Rent — Class A | | | 5,864 | | | | 2.24 | % | | | 13,671 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 55 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Sabra Health Care REIT, Inc. | | | 28,651 | | | | 4.33 | % | | $ | 12,018 | |
Piedmont Office Realty Trust, Inc. — Class A | | | 7,217 | | | | 0.54 | % | | | 10,700 | |
AvalonBay Communities, Inc. | | | 1,171 | | | | 2.32 | % | | | 8,095 | |
Kite Realty Group Trust | | | 9,785 | | | | 2.37 | % | | | 5,435 | |
Highwoods Properties, Inc. | | | 981 | | | | 0.24 | % | | | 2,067 | |
Healthpeak Properties, Inc. | | | 13,305 | | | | 2.79 | % | | | (2,727 | ) |
Total Financial | | | | | | | | | | | 1,075,636 | |
Total MS Equity Market Neutral Long Custom Basket | | | | | | $ | 1,075,636 | |
| | | | | | | | | |
MS EQUITY MARKET NEUTRAL SHORT CUSTOM BASKET | | | | |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Mid-America Apartment Communities, Inc. | | | 2,054 | | | | (2.90 | )% | | $ | 22,109 | |
Camden Property Trust | | | 2,799 | | | | (2.93 | )% | | | 11,513 | |
Omega Healthcare Investors, Inc. | | | 7,964 | | | | (2.57 | )% | | | 10,327 | |
LTC Properties, Inc. | | | 10,076 | | | | (3.41 | )% | | | 1,229 | |
Service Properties Trust | | | 18,395 | | | | (1.65 | )% | | | (5,151 | ) |
Realty Income Corp. | | | 10,545 | | | | (6.38 | )% | | | (14,751 | ) |
Apartment Income REIT Corp. | | | 8,656 | | | | (3.17 | )% | | | (15,202 | ) |
Cousins Properties, Inc. | | | 6,052 | | | | (1.55 | )% | | | (15,479 | ) |
Essex Property Trust, Inc. | | | 1,871 | | | | (4.89 | )% | | | (17,868 | ) |
Broadstone Net Lease, Inc. | | | 13,837 | | | | (2.51 | )% | | | (18,560 | ) |
Welltower, Inc. | | | 3,177 | | | | (3.02 | )% | | | (22,915 | ) |
National Health Investors, Inc. | | | 6,285 | | | | (3.70 | )% | | | (26,202 | ) |
Pebblebrook Hotel Trust | | | 20,180 | | | | (3.40 | )% | | | (32,857 | ) |
EastGroup Properties, Inc. | | | 1,239 | | | | (2.39 | )% | | | (32,909 | ) |
Douglas Emmett, Inc. | | | 38,209 | | | | (5.83 | )% | | | (34,497 | ) |
STAG Industrial, Inc. | | | 13,552 | | | | (5.60 | )% | | | (36,956 | ) |
Federal Realty Investment Trust | | | 5,972 | | | | (6.48 | )% | | | (43,449 | ) |
Phillips Edison & Company, Inc. | | | 19,762 | | | | (7.59 | )% | | | (51,002 | ) |
JBG SMITH Properties | | | 32,923 | | | | (5.90 | )% | | | (55,305 | ) |
Sunstone Hotel Investors, Inc. | | | 41,923 | | | | (4.74 | )% | | | (68,979 | ) |
CubeSmart | | | 6,780 | | | | (3.31 | )% | | | (83,709 | ) |
Macerich Co. | | | 25,174 | | | | (4.09 | )% | | | (94,718 | ) |
NNN REIT, Inc. | | | 13,112 | | | | (5.95 | )% | | | (103,911 | ) |
Total Financial | | | | | | | | | | | (729,242 | ) |
| | | | | | | | | | | | | |
Exchange-Traded Fund | | | | | | | | | | | | |
Vanguard Real Estate ETF | | | 6,494 | | | | (6.04 | )% | | | (72,826 | ) |
Total MS Equity Market Neutral Short Custom Basket | | $ | (802,068 | ) |
| | | | | | | | | | | | | |
GS EQUITY MARKET NEUTRAL LONG CUSTOM BASKET | | | | |
Financial | | | | | | | | | | | | |
Ryman Hospitality Properties, Inc. | | | 5,648 | | | | 6.57 | % | | $ | 197,196 | |
Boston Properties, Inc. | | | 8,507 | | | | 6.32 | % | | | 123,801 | |
Ventas, Inc. | | | 9,701 | | | | 5.12 | % | | | 86,800 | |
CareTrust REIT, Inc. | | | 18,422 | | | | 4.37 | % | | | 82,643 | |
Extra Space Storage, Inc. | | | 2,268 | | | | 3.85 | % | | | 80,745 | |
Simon Property Group, Inc. | | | 2,525 | | | | 3.81 | % | | | 79,946 | |
Host Hotels & Resorts, Inc. | | | 20,529 | | | | 4.23 | % | | | 69,509 | |
Gaming and Leisure Properties, Inc. | | | 8,696 | | | | 4.54 | % | | | 62,628 | |
Brixmor Property Group, Inc. | | | 19,708 | | | | 4.86 | % | | | 56,109 | |
Sun Communities, Inc. | | | 1,865 | | | | 2.64 | % | | | 53,617 | |
Kimco Realty Corp. | | | 11,727 | | | | 2.65 | % | | | 52,055 | |
VICI Properties, Inc. | | | 13,889 | | | | 4.69 | % | | | 48,711 | |
InvenTrust Properties Corp. | | | 14,896 | | | | 4.00 | % | | | 35,269 | |
Invitation Homes, Inc. | | | 20,776 | | | | 7.50 | % | | | 33,190 | |
Rexford Industrial Realty, Inc. | | | 9,634 | | | | 5.72 | % | | | 30,399 | |
Digital Realty Trust, Inc. | | | 1,688 | | | | 2.41 | % | | | 28,637 | |
Americold Realty Trust, Inc. | | | 7,286 | | | | 2.34 | % | | | 26,443 | |
Kite Realty Group Trust | | | 9,785 | | | | 2.37 | % | | | 23,156 | |
AvalonBay Communities, Inc. | | | 1,171 | | | | 2.32 | % | | | 20,872 | |
American Homes 4 Rent — Class A | | | 5,864 | | | | 2.23 | % | | | 13,690 | |
Alexandria Real Estate Equities, Inc. | | | 3,481 | | | | 4.67 | % | | | 12,021 | |
Sabra Health Care REIT, Inc. | | | 28,651 | | | | 4.33 | % | | | 10,842 | |
Highwoods Properties, Inc. | | | 3,272 | | | | 0.80 | % | | | 6,867 | |
Agree Realty Corp. | | | 7,176 | | | | 4.78 | % | | | 6,037 | |
Piedmont Office Realty Trust, Inc. — Class A | | | 1,249 | | | | 0.09 | % | | | 2,374 | |
Healthpeak Properties, Inc. | | | 13,305 | | | | 2.79 | % | | | (10,235 | ) |
Total Financial | | | | | | | | | | | 1,233,322 | |
Total GS Equity Market Neutral Long Custom Basket | | | | | | $ | 1,233,322 | |
| | | | | | | | | |
GS EQUITY MARKET NEUTRAL SHORT CUSTOM BASKET | | | | |
| | | | | | | | | | | | | |
Financial | | | | | | | | | | | | |
Douglas Emmett, Inc. | | | 38,209 | | | | (5.82 | )% | | $ | 220,877 | |
Realty Income Corp. | | | 10,545 | | | | (6.38 | )% | | | 93,345 | |
Broadstone Net Lease, Inc. | | | 13,837 | | | | (2.51 | )% | | | 88,439 | |
Mid-America Apartment Communities, Inc. | | | 2,054 | | | | (2.91 | )% | | | 86,528 | |
Camden Property Trust | | | 2,799 | | | | (2.93 | )% | | | 69,538 | |
Apartment Income REIT Corp. | | | 8,656 | | | | (3.17 | )% | | | 43,353 | |
Essex Property Trust, Inc. | | | 1,871 | | | | (4.89 | )% | | | 27,332 | |
56 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND | |
| | Shares | | | Percentage
Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
Service Properties Trust | | | 18,395 | | | | (1.65 | )% | | $ | 10,355 | |
LTC Properties, Inc. | | | 10,076 | | | | (3.41 | )% | | | 5,145 | |
JBG SMITH Properties | | | 32,923 | | | | (5.90 | )% | | | (11,924 | ) |
Omega Healthcare Investors, Inc. | | | 7,964 | | | | (2.57 | )% | | | (14,386 | ) |
Cousins Properties, Inc. | | | 6,052 | | | | (1.55 | )% | | | (15,465 | ) |
National Health Investors, Inc. | | | 6,285 | | | | (3.70 | )% | | | (21,662 | ) |
EastGroup Properties, Inc. | | | 1,239 | | | | (2.39 | )% | | | (33,119 | ) |
Federal Realty Investment Trust | | | 5,972 | | | | (6.48 | )% | | | (35,197 | ) |
Pebblebrook Hotel Trust | | | 20,180 | | | | (3.40 | )% | | | (37,478 | ) |
Sunstone Hotel Investors, Inc. | | | 41,923 | | | | (4.74 | )% | | | (41,955 | ) |
STAG Industrial, Inc. | | | 13,552 | | | | (5.60 | )% | | | (48,358 | ) |
Welltower, Inc. | | | 3,177 | | | | (3.02 | )% | | | (57,921 | ) |
Phillips Edison & Company, Inc. | | | 19,762 | | | | (7.59 | )% | | | (72,116 | ) |
CubeSmart | | | 6,780 | | | | (3.31 | )% | | | (83,622 | ) |
NNN REIT, Inc. | | | 13,112 | | | | (5.95 | )% | | | (104,045 | ) |
Macerich Co. | | | 25,174 | | | | (4.09 | )% | | | (104,069 | ) |
Total Financial | | | | | | | | | | | (36,405 | ) |
| | | | | | | | | | | | | |
Exchange Traded Fund | | | | | | | | | | | | |
Vanguard Real Estate ETF | | | 6,494 | | | | (6.04 | )% | | | (2,491 | ) |
Total GS Equity Market Neutral Short Custom Basket | | $ | (38,896 | ) |
* | 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 and equity custom basket swap collateral at December 31, 2023. |
2 | All or a portion of this security is on loan at December 31, 2023 — See Note 7. |
3 | Affiliated issuer. |
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 December 31, 2023. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7-day yield as of December 31, 2023. |
| | 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 ANNUAL REPORT | 57 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MULTI-HEDGE STRATEGIES FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 18,338,254 | | | $ | — | | | $ | — | | | $ | 18,338,254 | |
Rights | | | — | | | | — | | | | — | * | | | — | |
Mutual Funds | | | 6,744,429 | | | | — | | | | — | | | | 6,744,429 | |
Closed-End Mutual Funds | | | 3,241,510 | | | | — | | | | — | | | | 3,241,510 | |
U.S. Treasury Bills | | | — | | | | 9,291,340 | | | | — | | | | 9,291,340 | |
Repurchase Agreements | | | — | | | | 3,551,323 | | | | — | | | | 3,551,323 | |
Securities Lending Collateral | | | 440,588 | | | | — | | | | — | | | | 440,588 | |
Commodity Futures Contracts** | | | 546,650 | | | | — | | | | — | | | | 546,650 | |
Interest Rate Futures Contracts** | | | 121,714 | | | | 119,196 | | | | — | | | | 240,910 | |
Currency Futures Contracts** | | | 173,835 | | | | — | | | | — | | | | 173,835 | |
Equity Futures Contracts** | | | 121,259 | | | | 4,023 | | | | — | | | | 125,282 | |
Equity Custom Basket Swap Agreements** | | | — | | | | 3,880,272 | | | | — | | | | 3,880,272 | |
Total Assets | | $ | 29,728,239 | | | $ | 16,846,154 | | | $ | — | | | $ | 46,574,393 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Common Stocks Sold Short | | $ | 4,198,881 | | | $ | — | | | $ | — | | | $ | 4,198,881 | |
Exchange-Traded Funds Sold Short | | | 3,258,260 | | | | — | | | | — | | | | 3,258,260 | |
Commodity Futures Contracts** | | | 562,846 | | | | — | | | | — | | | | 562,846 | |
Currency Futures Contracts** | | | 331,473 | | | | — | | | | — | | | | 331,473 | |
Interest Rate Futures Contracts** | | | 931 | | | | 182,288 | | | | — | | | | 183,219 | |
Equity Futures Contracts** | | | 12,193 | | | | 23,583 | | | | — | | | | 35,776 | |
Equity Custom Basket Swap Agreements** | | | — | | | | 1,688,771 | | | | — | | | | 1,688,771 | |
Total Liabilities | | $ | 8,364,584 | | | $ | 1,894,642 | | | $ | — | | | $ | 10,259,226 | |
* | Includes securities with a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
58 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/22 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
12/31/23 | | | Shares
12/31/23 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 2,596,348 | | | $ | — | | | $ | (1,000,000 | ) | | $ | (19,185 | ) | | $ | 68,865 | | | $ | 1,646,028 | | | | 67,185 | | | $ | 140,820 | |
Guggenheim Strategy Fund III | | | 2,387,928 | | | | — | | | | — | | | | — | | | | 48,632 | | | | 2,436,560 | | | | 99,249 | | | | 128,593 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 2,486,511 | | | | — | | | | (2,000,000 | ) | | | (22,254 | ) | | | 74,389 | | | | 538,646 | | | | 54,685 | | | | 131,370 | |
Guggenheim Variable Insurance Strategy Fund III | | | 2,083,380 | | | | — | | | | — | | | | — | | | | 39,815 | | | | 2,123,195 | | | | 86,555 | | | | 111,714 | |
| | | $ | 9,554,167 | | | $ | — | | | $ | (3,000,000 | ) | | $ | (41,439 | ) | | $ | 231,701 | | | $ | 6,744,429 | | | | | | | $ | 512,497 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 59 |
MULTI-HEDGE STRATEGIES FUND | |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments in unaffiliated issuers, at value - including $427,822 of securities loaned (cost $30,469,827) | | $ | 31,311,692 | |
Investments in affiliated issuers, at value (cost $6,865,317) | | | 6,744,429 | |
Repurchase agreements, at value (cost $3,551,323) | | | 3,551,323 | |
Cash | | | 7,482,600 | |
Segregated cash with broker | | | 432,308 | |
Unrealized appreciation on OTC swap agreements | | | 3,880,272 | |
Receivables: |
Dividends | | | 59,152 | |
Fund shares sold | | | 3,034 | |
Interest | | | 1,580 | |
Securities sold | | | 1,245 | |
Securities lending income | | | 563 | |
Other assets | | | 20,870 | |
Total assets | | | 53,489,068 | |
| | | | | |
Liabilities: |
Securities sold short, at value (proceeds $6,941,673) | | | 7,457,141 | |
Unrealized depreciation on OTC swap agreements | | | 1,688,771 | |
Payable for: |
Swap settlement | | | 681,780 | |
Return of securities lending collateral | | | 440,588 | |
Variation margin on futures contracts | | | 399,771 | |
Fund shares redeemed | | | 129,295 | |
Management fees | | | 45,270 | |
Trustees’ fees* | | | 603 | |
Miscellaneous | | | 6,930 | |
Total liabilities | | | 10,850,149 | |
Net assets | | $ | 42,638,919 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 44,512,664 | |
Total distributable earnings (loss) | | | (1,873,745 | ) |
Net assets | | $ | 42,638,919 | |
Capital shares outstanding | | | 1,645,470 | |
Net asset value per share | | $ | 25.91 | |
CONSOLIDATED STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $31) | | $ | 217,373 | |
Dividends from securities of affiliated issuers | | | 512,497 | |
Interest | | | 892,153 | |
Income from securities lending, net | | | 6,034 | |
Interest related to securities sold short | | | 125,883 | |
Total investment income | | | 1,753,940 | |
| | | | | |
Expenses: |
Management fees | | | 556,275 | |
Short sales dividend expense | | | 185,980 | |
Miscellaneous | | | 7,587 | |
Total expenses | | | 749,842 | |
Less: |
Expenses waived by Adviser | | | (28,881 | ) |
Net expenses | | | 720,961 | |
Net investment income | | | 1,032,979 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 691,044 | |
Investments in affiliated issuers | | | (41,439 | ) |
Investments in unaffiliated issuers sold short | | | (281,684 | ) |
Swap agreements | | | 727,200 | |
Futures contracts | | | (1,489 | ) |
Foreign currency transactions | | | 357 | |
Net realized gain | | | 1,093,989 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 845,573 | |
Investments in affiliated issuers | | | 231,701 | |
Investments in unaffiliated issuers sold short | | | (800,985 | ) |
Swap agreements | | | (320,713 | ) |
Futures contracts | | | (190,225 | ) |
Foreign currency translations | | | 1,243 | |
Net change in unrealized appreciation (depreciation) | | | (233,406 | ) |
Net realized and unrealized gain | | | 860,583 | |
Net increase in net assets resulting from operations | | $ | 1,893,562 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
60 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
MULTI-HEDGE STRATEGIES FUND | |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 1,032,979 | | | $ | 165,863 | |
Net realized gain (loss) on investments | | | 1,093,989 | | | | (2,047,631 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (233,406 | ) | | | 95,918 | |
Net increase (decrease) in net assets resulting from operations | | | 1,893,562 | | | | (1,785,850 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (1,289,467 | ) | | | (1,162,689 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 14,836,441 | | | | 25,458,108 | |
Distributions reinvested | | | 1,289,467 | | | | 1,162,689 | |
Cost of shares redeemed | | | (24,100,295 | ) | | | (17,511,929 | ) |
Net increase (decrease) from capital share transactions | | | (7,974,387 | ) | | | 9,108,868 | |
Net increase (decrease) in net assets | | | (7,370,292 | ) | | | 6,160,329 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 50,009,211 | | | | 43,848,882 | |
End of year | | $ | 42,638,919 | | | $ | 50,009,211 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 568,733 | | | | 953,181 | |
Shares issued from reinvestment of distributions | | | 50,786 | | | | 44,394 | |
Shares redeemed | | | (930,825 | ) | | | (663,986 | ) |
Net increase (decrease) in shares | | | (311,306 | ) | | | 333,589 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 61 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 25.56 | | | $ | 27.01 | | | $ | 25.62 | | | $ | 24.17 | | | $ | 23.55 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .57 | | | | .09 | | | | (.12 | ) | | | (.07 | ) | | | .23 | |
Net gain (loss) on investments (realized and unrealized) | | | .52 | | | | (.96 | ) | | | 2.18 | | | | 1.85 | | | | .97 | |
Total from investment operations | | | 1.09 | | | | (.87 | ) | | | 2.06 | | | | 1.78 | | | | 1.20 | |
Less distributions from: |
Net investment income | | | (.74 | ) | | | (.31 | ) | | | — | | | | (.33 | ) | | | (.58 | ) |
Net realized gains | | | — | | | | (.27 | ) | | | (.67 | ) | | | — | | | | — | |
Total distributions | | | (.74 | ) | | | (.58 | ) | | | (.67 | ) | | | (.33 | ) | | | (.58 | ) |
Net asset value, end of period | | $ | 25.91 | | | $ | 25.56 | | | $ | 27.01 | | | $ | 25.62 | | | $ | 24.17 | |
|
Total Returnb | | | 4.37 | % | | | (3.40 | %) | | | 8.10 | % | | | 7.39 | % | | | 5.15 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 42,639 | | | $ | 50,009 | | | $ | 43,849 | | | $ | 40,313 | | | $ | 34,610 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.23 | % | | | 0.33 | % | | | (0.45 | %) | | | (0.27 | %) | | | 0.94 | % |
Total expensesc | | | 1.62 | % | | | 1.58 | % | | | 1.92 | % | | | 1.68 | % | | | 1.72 | % |
Net expensesd,e | | | 1.55 | % | | | 1.53 | % | | | 1.87 | % | | | 1.63 | % | | | 1.69 | % |
Portfolio turnover rate | | | 194 | % | | | 187 | % | | | 180 | % | | | 207 | % | | | 163 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Excluding interest and dividend expense related to short sales, the net expense ratios for the years presented would be: |
12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 |
1.15% | 1.15% | 1.16% | 1.13% | 1.16% |
62 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
COMMODITIES STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a benchmark for commodities. The Fund’s current benchmark is the S&P Goldman Sachs Commodity Index (“GSCI” or “Index”).
For the Reporting Period, Rydex Commodities Strategy Fund returned -6.24%, underperforming the Fund’s benchmark, GSCI, which returned -4.27%.
What factors contributed or detracted from the Fund’s performance during the Reporting Period?
Supply and demand concerns affected a number of commodities throughout the year and the Index finished the year -4.27%. With the increase in interest rates and decline in the dollar throughout the year, Gold demand was high. Specific weather-related issues across the globe led to Cocoa, Coffee and Sugar supply concerns, resulting in increases in prices. Increased supply of Natural Gas, Nickel and Wheat resulted in sustained declines in prices in 2023.
Eleven of the twenty-four components of the GSCI Index had positive returns during the period. The best performing component was Cocoa with a return above 69%. Coffee, Sugar and Gold also saw strong performance for the year returning above 25%, 19% and 12% respectively. Natural Gas, Nickel and Wheat saw the strongest declines for the year, being down more than 62%, 44% and 26% respectively.
Two of the five GSCI Index sectors experienced positive performance during the period. Precious Metals and Livestock were the GSCI Index sectors with positive performance. Agriculture, Energy and Industrial Metals were the GSCI Index sectors with negative performance.
How did the Fund use derivatives during the Reporting Period?
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the most efficient manner, as well as to provide liquidity. Derivatives are the primary way in which the Fund gains exposure to the GSCI Index, and therefore most of the Fund’s performance is due to derivatives.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. For the Reporting Period, investment in the Short Term Investment Vehicles contributed to Fund performance.
Performance displayed represents past performance which is no guarantee of future results.
| | THE RYDEX FUNDS ANNUAL REPORT | 63 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | December 31, 2023 |
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 |
Largest Holdings | % of Total Net Assets |
Guggenheim Ultra Short Duration Fund — Institutional Class | 23.3% |
Guggenheim Strategy Fund II | 23.1% |
Total | 46.4% |
| | |
The Fund invests principally in derivative investments such as futures contracts
“Largest Holdings” excludes any temporary cash or derivative investments |
64 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Commodities Strategy Fund | (6.24%) | 7.44% | (4.79%) |
S&P Goldman Sachs Commodity Index | (4.27%) | 8.72% | (3.60%) |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 65 |
CONSOLIDATED SCHEDULE OF INVESTMENTS | December 31, 2023 |
COMMODITIES STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 46.4% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 153,331 | | | $ | 1,510,315 | |
Guggenheim Strategy Fund II1 | | | 61,113 | | | | 1,497,280 | |
Total Mutual Funds | | | | |
(Cost $3,048,635) | | | | | | | 3,007,595 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 19.2% |
Federal Home Loan Bank |
5.24% due 01/05/242 | | $ | 750,000 | | | | 749,563 | |
Farmer Mac |
4.59% due 01/05/242 | | | 500,000 | | | | 499,709 | |
Total Federal Agency Discount Notes | | | | |
(Cost $1,249,272) | | | | | | | 1,249,272 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 18.5% |
U.S. Treasury Bills |
5.21% due 01/04/242 | | | 1,000,000 | | | | 999,709 | |
5.17% due 01/09/242,3 | | | 200,000 | | | | 199,796 | |
Total U.S. Treasury Bills | | | | |
(Cost $1,199,332) | | | | | | | 1,199,505 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 8.4% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | | 301,948 | | | | 301,948 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 243,336 | | | | 243,336 | |
Total Repurchase Agreements | | | | |
(Cost $545,284) | | | | | | | 545,284 | |
| | | | | | | | | |
Total Investments - 92.5% | | | | |
(Cost $6,042,523) | | $ | 6,001,656 | |
Other Assets & Liabilities, net - 7.5% | | | 484,379 | |
Total Net Assets - 100.0% | | $ | 6,486,035 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Commodity Futures Contracts Purchased† |
Goldman Sachs Commodity Index Futures Contracts | | | 49 | | | | Jan 2024 | | | $ | 6,557,731 | | | $ | 95,184 | |
** | 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 December 31, 2023. |
4 | Repurchase Agreements — See Note 6. |
| | |
| | See Sector Classification in Other Information section. |
66 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
COMMODITIES STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 3,007,595 | | | $ | — | | | $ | — | | | $ | 3,007,595 | |
Federal Agency Discount Notes | | | — | | | | 1,249,272 | | | | — | | | | 1,249,272 | |
U.S. Treasury Bills | | | — | | | | 1,199,505 | | | | — | | | | 1,199,505 | |
Repurchase Agreements | | | — | | | | 545,284 | | | | — | | | | 545,284 | |
Commodity Futures Contracts** | | | 95,184 | | | | — | | | | — | | | | 95,184 | |
Total Assets | | $ | 3,102,779 | | | $ | 2,994,061 | | | $ | — | | | $ | 6,096,840 | |
** | 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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/22 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
12/31/23 | | | Shares
12/31/23 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 2,157,353 | | | $ | — | | | $ | (700,000 | ) | | $ | (15,094 | ) | | $ | 55,021 | | | $ | 1,497,280 | | | | 61,113 | | | $ | 116,393 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 2,164,689 | | | | — | | | | (700,000 | ) | | | (10,256 | ) | | | 55,882 | | | | 1,510,315 | | | | 153,331 | | | | 115,848 | |
| | | $ | 4,322,042 | | | $ | — | | | $ | (1,400,000 | ) | | $ | (25,350 | ) | | $ | 110,903 | | | $ | 3,007,595 | | | | | | | $ | 232,241 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 67 |
COMMODITIES STRATEGY FUND | |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments in unaffiliated issuers, at value (cost $2,448,604) | | $ | 2,448,777 | |
Investments in affiliated issuers, at value (cost $3,048,635) | | | 3,007,595 | |
Repurchase agreements, at value (cost $545,284) | | | 545,284 | |
Cash | | | 101 | |
Segregated cash with broker | | | 536,316 | |
Receivables: |
Dividends | | | 18,689 | |
Interest | | | 243 | |
Fund shares sold | | | 103 | |
Other assets | | | 1,979 | |
Total assets | | | 6,559,087 | |
| | | | | |
Liabilities: |
Payable for: |
Variation margin on futures contracts | | | 40,731 | |
Professional fees | | | 10,055 | |
Management fees | | | 4,188 | |
Transfer agent fees | | | 2,745 | |
Fund shares redeemed | | | 2,066 | |
Investor service fees | | | 1,446 | |
Portfolio accounting and administration fees | | | 607 | |
Trustees’ fees* | | | 89 | |
Miscellaneous | | | 11,125 | |
Total liabilities | | | 73,052 | |
Net assets | | $ | 6,486,035 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 13,481,783 | |
Total distributable earnings (loss) | | | (6,995,748 | ) |
Net assets | | $ | 6,486,035 | |
Capital shares outstanding | | | 75,892 | |
Net asset value per share | | $ | 85.46 | |
CONSOLIDATED STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 232,241 | |
Interest | | | 283,884 | |
Total investment income | | | 516,125 | |
| | | | | |
Expenses: |
Management fees | | | 88,772 | |
Investor service fees | | | 25,128 | |
Transfer agent fees | | | 25,778 | |
Portfolio accounting and administration fees | | | 15,579 | |
Professional fees | | | 14,794 | |
Trustees’ fees* | | | 1,910 | |
Custodian fees | | | 1,535 | |
Miscellaneous | | | 16,181 | |
Total expenses | | | 189,677 | |
Less: |
Expenses reimbursed by Adviser | | | (2,119 | ) |
Expenses waived by Adviser | | | (18,787 | ) |
Total waived/reimbursed expenses | | | (20,906 | ) |
Net expenses | | | 168,771 | |
Net investment income | | | 347,354 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 79 | |
Investments in affiliated issuers | | | (25,350 | ) |
Futures contracts | | | (885,495 | ) |
Net realized loss | | | (910,766 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 84 | |
Investments in affiliated issuers | | | 110,903 | |
Futures contracts | | | (567,329 | ) |
Net change in unrealized appreciation (depreciation) | | | (456,342 | ) |
Net realized and unrealized loss | | | (1,367,108 | ) |
Net decrease in net assets resulting from operations | | $ | (1,019,754 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
68 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
COMMODITIES STRATEGY FUND | |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | 347,354 | | | $ | (26,122 | ) |
Net realized gain (loss) on investments | | | (910,766 | ) | | | 2,396,693 | |
Net change in unrealized appreciation (depreciation) on investments | | | (456,342 | ) | | | 190,116 | |
Net increase (decrease) in net assets resulting from operations | | | (1,019,754 | ) | | | 2,560,687 | |
| | | | | | | | | |
Distributions to shareholders | | | (969,331 | ) | | | (868,839 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 14,164,116 | | | | 47,179,380 | |
Distributions reinvested | | | 969,331 | | | | 868,839 | |
Cost of shares redeemed | | | (19,109,028 | ) | | | (46,056,125 | ) |
Net increase (decrease) from capital share transactions | | | (3,975,581 | ) | | | 1,992,094 | |
Net increase (decrease) in net assets | | | (5,964,666 | ) | | | 3,683,942 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 12,450,701 | | | | 8,766,759 | |
End of year | | $ | 6,486,035 | | | $ | 12,450,701 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 149,059 | | | | 430,268 | |
Shares issued from reinvestment of distributions | | | 11,051 | | | | 8,045 | |
Shares redeemed | | | (206,874 | ) | | | (416,319 | ) |
Net increase (decrease) in shares | | | (46,764 | ) | | | 21,994 | |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 69 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 101.51 | | | $ | 87.09 | | | $ | 62.42 | | | $ | 81.37 | | | $ | 71.69 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 3.23 | | | | (.17 | ) | | | (.96 | ) | | | (.47 | ) | | | .61 | |
Net gain (loss) on investments (realized and unrealized) | | | (9.32 | ) | | | 20.44 | | | | 25.63 | | | | (18.06 | ) | | | 10.26 | |
Total from investment operations | | | (6.09 | ) | | | 20.27 | | | | 24.67 | | | | (18.53 | ) | | | 10.87 | |
Less distributions from: |
Net investment income | | | (9.96 | ) | | | (5.85 | ) | | | — | | | | (.42 | ) | | | (1.19 | ) |
Total distributions | | | (9.96 | ) | | | (5.85 | ) | | | — | | | | (.42 | ) | | | (1.19 | ) |
Net asset value, end of period | | $ | 85.46 | | | $ | 101.51 | | | $ | 87.09 | | | $ | 62.42 | | | $ | 81.37 | |
|
Total Returnb | | | (6.24 | %) | | | 22.88 | % | | | 39.52 | % | | | (22.72 | %) | | | 15.25 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 6,486 | | | $ | 12,451 | | | $ | 8,767 | | | $ | 3,505 | | | $ | 3,193 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.46 | % | | | (0.15 | %) | | | (1.20 | %) | | | (0.82 | %) | | | 0.77 | % |
Total expensesc | | | 1.89 | % | | | 1.88 | % | | | 1.86 | % | | | 1.88 | % | | | 1.98 | % |
Net expensesd | | | 1.68 | % | | | 1.71 | % | | | 1.67 | % | | | 1.69 | % | | | 1.78 | % |
Portfolio turnover rate | | | — | | | | — | | | | 92 | % | | | 123 | % | | | 128 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
70 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS |
Note 1 – Organization, Consolidation of Subsidiaries and Significant Accounting Policies
Organization
The Rydex Variable Trust (the “Trust”), a Delaware statutory trust, is registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940 (the “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 December 31, 2023, 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 | 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 (the “Adviser”), which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) serves as distributor of the Funds’ shares. GI and GFD are affiliated entities.
Consolidation of Subsidiaries
The consolidated financial statements of each of the Global Managed Futures Strategy Fund, Multi-Hedge Strategies Fund and Commodities Strategy Fund include the accounts of a wholly-owned and controlled Cayman Islands subsidiary (each, a “Subsidiary” and collectively, the “Subsidiaries”). Significant inter-company accounts and transactions have been eliminated in consolidation for the Funds.
Each of the Global Managed Futures Strategy Fund, Multi-Hedge Strategies Fund and Commodities Strategy Fund may invest up to 25% of its total assets in its respective Subsidiary, which acts as an investment vehicle in order to effect certain investments consistent with the Fund’s investment objective 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
December 31,
2023 | | | % of Net
Assets of the
Fund at
December 31,
2023 | |
Global Managed Futures Strategy Fund | | | 11/07/08 | | | $ | 2,178,798 | | | | 15.0 | % |
Multi-Hedge Strategies Fund | | | 04/15/09 | | | | 2,120,218 | | | | 5.0 | % |
Commodities Strategy Fund | | | 07/21/09 | | | | 1,130,391 | | | | 17.4 | % |
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 each Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, by the number of outstanding shares of the Fund on the specified date.
(a) Valuation of Investments
The Board of Trustees of the Trust (the “Board”) adopted policies and procedures for the valuation of the Funds’ investments (the “Fund Valuation Procedures”). The SEC adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.
Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Funds with respect to all Fund investments and other assets. As the Funds’ valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee
| | THE RYDEX FUNDS ANNUAL REPORT | 71 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
Procedures” and collectively with the Fund Valuation Procedures, the “Valuation Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Funds’ securities and other assets.
Valuations of the Funds’ securities and other assets are supplied primarily by pricing service providers appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing service providers.
If a pricing service provider cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.
Equity securities listed or traded on a recognized U.S. securities exchange or the Nasdaq Stock Market (“NASDAQ”) will 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.
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 generally valued at the last quoted sale price.
U.S. Government securities are valued by pricing service providers, using the last traded fill price, or at the reported bid price at the close of business on the valuation date.
Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from pricing service providers, 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. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service provider.
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.
Futures contracts are valued on the basis of the last sale price as of 4:00 p.m. 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 of the underlying securities would provide a more accurate valuation of the futures contract.
Swap agreements entered into by a Fund are generally valued using an evaluated price provided by a pricing service provider.
Investments for which market quotations are not readily available are fair valued as determined in good faith by the Adviser. 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.
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
72 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
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, geopolitical 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 (or Statement of Operations for the Guggenheim Long Short Equity Fund) 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 December 31, 2023, if any, are disclosed in the Funds’ Consolidated Statements of Assets and Liabilities (or Statement of Assets and Liabilities for the Guggenheim Long Short Equity Fund).
(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
| | THE RYDEX FUNDS ANNUAL REPORT | 73 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
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.
(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 5.33% at December 31, 2023.
(k) Indemnifications
Under the Trust’s organizational documents, the Trustees and Officers of the Trust 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 strategies, 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 Funds’ Consolidated Statements of Assets and Liabilities (and Statement of Assets and Liabilities for the Guggenheim Long Short Equity Fund). Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Consolidated Financial Statements (and Notes to Financial Statements for the Guggenheim Long Short Equity Fund).
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 for investment purposes (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 seek 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.
If a Fund’s 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. A Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if the Fund had not been leveraged.
74 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
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 Funds’ Consolidated Statements of Assets and Liabilities (and Statement of Assets and Liabilities for the Guggenheim Long Short Equity Fund); securities held as collateral are noted on the Consolidated Schedules of Investments (and the Schedule of Investments for the Guggenheim Long Short Equity Fund).
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 | | $ | 23,941,662 | | | $ | 39,073,604 | |
Multi-Hedge Strategies Fund | Duration, Hedge, Index exposure, Leverage, Liquidity, Speculation | | | 58,259,912 | | | | 37,836,081 | |
Commodities Strategy Fund | Index exposure, Liquidity | | | 9,950,567 | | | | — | |
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 | | $ | 21,481,935 | | | $ | 25,903,356 | |
Multi-Hedge Strategies Fund | Hedge, Index exposure, Leverage, Liquidity, Speculation | | | 30,269,085 | | | | 26,162,971 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 75 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
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 (and Statement of Assets and Liabilities for the Guggenheim Long Short Equity Fund) as of December 31, 2023:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Commodity/currency/equity/interest rate futures contracts | — | Variation margin on futures contracts |
Equity swap agreements | 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 December 31, 2023:
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
December 31,
2023 | |
Long Short Equity Fund | | $ | — | | | $ | 2,563,894 | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,563,894 | |
Global Managed Futures Strategy Fund | | | 129,271 | | | | — | | | | 124,560 | | | | 37,218 | | | | 184,215 | | | | 475,264 | |
Multi-Hedge Strategies Fund | | | 125,282 | | | | 3,880,272 | | | | 173,835 | | | | 240,910 | | | | 546,650 | | | | 4,966,949 | |
Commodities Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 95,184 | | | | 95,184 | |
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
December 31,
2023 | |
Long Short Equity Fund | | $ | — | | | $ | 2,037,886 | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,037,886 | |
Global Managed Futures Strategy Fund | | | 18,969 | | | | — | | | | — | | | | 78,468 | | | | 110,924 | | | | 208,361 | |
Multi-Hedge Strategies Fund | | | 35,776 | | | | 1,688,771 | | | | 331,473 | | | | 183,219 | | | | 562,846 | | | | 2,802,085 | |
* | Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Funds’ Consolidated Schedules of Investments (and Schedule of Investments for the Guggenheim Long Short Equity Fund). For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Funds’ Consolidated Statements of Assets and Liabilities (and Statement of Assets and Liabilities for the Guggenheim Long Short Equity Fund). |
The following is a summary of the location of derivative investments on the Funds’ Consolidated Statements of Operations (and Statement of Operations for the Guggenheim Long Short Equity Fund) for the year ended December 31, 2023:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Commodity/currency/equity/interest rate futures contracts | Net realized gain (loss) on futures contracts |
| Net change in unrealized appreciation (depreciation) on futures contracts |
Equity swap agreements | Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
76 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Funds’ Consolidated Statements of Operations (and Statement of Operations for the Guggenheim Long Short Equity Fund) categorized by primary risk exposure for the year ended December 31, 2023:
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 | | $ | — | | | $ | 609,322 | | | $ | — | | | $ | — | | | $ | — | | | $ | 609,322 | |
Global Managed Futures Strategy Fund | | | 919,021 | | | | — | | | | (17,830 | ) | | | (103,637 | ) | | | (409,794 | ) | | | 387,760 | |
Multi-Hedge Strategies Fund | | | 849,367 | | | | 727,200 | | | | (1,569,741 | ) | | | 177,935 | | | | 540,950 | | | | 725,711 | |
Commodities Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | (885,495 | ) | | | (885,495 | ) |
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 | | $ | — | | | $ | (1,025,089 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (1,025,089 | ) |
Global Managed Futures Strategy Fund | | | 176,029 | | | | — | | | | 126,080 | | | | (555,971 | ) | | | (207,001 | ) | | | (460,863 | ) |
Multi-Hedge Strategies Fund | | | 249,817 | | | | (320,713 | ) | | | (115,722 | ) | | | (28,594 | ) | | | (295,726 | ) | | | (510,938 | ) |
Commodities Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | (567,329 | ) | | | (567,329 | ) |
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 rated/identified as investment grade or better. The Trust monitors the counterparty credit risk associated with each such financial institution.
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 Funds’ Consolidated Statements of Assets and Liabilities (and the Statement of Assets and Liabilities for the Guggenheim Long Short Equity Fund) 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,
| | THE RYDEX FUNDS ANNUAL REPORT | 77 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
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 Funds’ Consolidated Statements of Assets and Liabilities (and Statement of Assets and Liabilities for the Guggenheim Long Short Equity Fund).
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 | | $ | 2,563,894 | | | $ | — | | | $ | 2,563,894 | | | $ | (2,037,886 | ) | | $ | — | | | $ | 526,008 | |
Multi-Hedge Strategies Fund | Custom basket swap agreements | | | 3,880,272 | | | | — | | | | 3,880,272 | | | | (1,688,771 | ) | | | — | | | | 2,191,501 | |
| | | | | | | | | | | | | | | | 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 | | $ | 2,037,886 | | | $ | — | | | $ | 2,037,886 | | | $ | (2,037,886 | ) | | $ | — | | | $ | — | |
Multi-Hedge Strategies Fund | Custom basket swap agreements | | | 1,688,771 | | | | — | | | | 1,688,771 | | | | (1,688,771 | ) | | | — | | | | — | |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
78 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (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 December 31, 2023.
Fund | Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
Global Managed Futures Strategy Fund | Goldman Sachs International | Futures contracts | | $ | 397,801 | | | $ | — | |
Multi-Hedge Strategies Fund | Goldman Sachs International | Futures contracts | | | 432,308 | | | | — | |
Commodities Strategy Fund | Goldman Sachs International | Futures contracts | | | 536,316 | | | | — | |
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 between market participants at the measurement date. 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 — | unadjusted 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. |
Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”
Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. 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 selected and applied for valuing securities or other assets are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed 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 | % |
| | THE RYDEX FUNDS ANNUAL REPORT | 79 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
For the Global Managed Futures Strategy Fund, Multi-Hedge Strategies Fund and Commodities Strategy Fund, 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 that Fund’s 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 year ended December 31, 2023, the Global Managed Futures Strategy Fund, Multi-Hedge Strategies Fund and Commodities Strategy Fund waived $25,257, $22,685 and $13,371, respectively, related to advisory fees in its respective 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 under 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 year ended December 31, 2023, the following Funds waived fees related to investments in affiliated funds:
Fund | | Amount Waived | |
Global Managed Futures Strategy Fund | | $ | 177 | |
Multi-Hedge Strategies Fund | | | 6,196 | |
Commodities Strategy Fund | | | 5,416 | |
On May 24, 2023, the Board approved a waiver and/or expense reimbursement arrangement whereby GI has agreed to wiave and/or reimburse expenses for the Commodities Strategy Fund in an amount equal to an annual percentage rate of 0.05% of the Fund’s average daily net assets. This arrangement went into effect on August 1, 2023 and the end of the initial term is August 1, 2024. 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 Board upon sixty days’ written notice to the Adviser. In addition, the agreement will terminate automatically if the Advisory Agreement, with respect to the Fund, is terminated, with such termination effective upon the effective date of the termination of the Advisory Agreement.
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.
80 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
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 December 31, 2023, the repurchase agreements in the joint account were as follows:
Counterparty and
Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
BofA Securities, Inc. | | | | | | | | | | U.S. Treasury Strip | | | | | | | | |
5.35% | | | | | | | | | | 0.00% | | | | | | | | |
Due 01/02/24 | | $ | 31,762,520 | | | $ | 31,776,681 | | | Due 11/15/26 | | $ | 36,401,131 | | | $ | 32,397,771 | |
| | | | | | | | | | | | | | | | | | | |
J.P. Morgan Securities LLC | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
5.33% | | | | | | | | | | 0.50% | | | | | | | | |
Due 01/02/24 | | | 39,413,155 | | | | 39,430,661 | | | Due 05/31/27 | | | 45,123,100 | | | | 40,201,441 | |
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. Securities lending income shown on the Funds’ Consolidated Statements of Operations (and Statement of Operations for the Guggenheim Long Short Equity Fund) 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 X. 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 December 31, 2023, the following 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 | | $ | 427,822 | | | $ | (427,822 | ) | | $ | — | | | | $ | 440,588 | | | $ | — | | | $ | 440,588 | |
(a) | Actual collateral received by the Fund is generally greater than the amount shown due to overcollateralization. |
| | THE RYDEX FUNDS ANNUAL REPORT | 81 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (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 of 1986, as amended (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 their respective Subidiaries 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 each Fund receives from its Subsidiary will constitute qualifying income for purposes of Subchapter M of the Internal Revenue Code. Each Subsidiary is classified as a corporation for U.S. federal income tax purposes. Foreign corporations, such as each Subsidiary, will generally not be subject to U.S. federal income taxation unless they are deemed to be engaged in a U.S. trade or business. If, during a taxable year, a Subsidiary’s taxable losses (and other deductible items) exceed its income and gains, the net loss will not pass through to the respective 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 tax character of distributions paid during the year ended December 31, 2023 was as follows:
Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
Long Short Equity Fund | | $ | 60,036 | | | $ | — | | | $ | 60,036 | |
Global Managed Futures Strategy Fund | | | 661,323 | | | | 335,488 | | | | 996,811 | |
Multi-Hedge Strategies Fund | | | 1,289,467 | | | | — | | | | 1,289,467 | |
Commodities Strategy Fund | | | 969,331 | | | | — | | | | 969,331 | |
The tax character of distributions paid during the year ended December 31, 2022 was as follows:
Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
Long Short Equity Fund | | $ | 114,913 | | | $ | — | | | $ | 114,913 | |
Global Managed Futures Strategy Fund | | | 577,535 | | | | — | | | | 577,535 | |
Multi-Hedge Strategies Fund | | | 622,161 | | | | 540,528 | | | | 1,162,689 | |
Commodities Strategy Fund | | | 868,839 | | | | — | | | | 868,839 | |
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
82 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
The tax components of distributable earnings/(loss) as of December 31, 2023 were as follows:
Fund | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital Gain | | | Net Unrealized
Appreciation
(Depreciation) | | | Accumulated
Capital and
Other Losses | | | Other
Temporary
Differences | | | Total | |
Long Short Equity Fund | | $ | 40,494 | | | $ | — | | | $ | 2,978,912 | | | $ | (764,651 | ) | | $ | — | | | $ | 2,254,755 | |
Global Managed Futures Strategy Fund | | | 584,520 | | | | — | | | | (2,319,148 | ) | | | — | | | | — | | | | (1,734,628 | ) |
Multi-Hedge Strategies Fund | | | 1,836,819 | | | | — | | | | (1,643,099 | ) | | | (1,130,140 | ) | | | — | | | | (936,420 | ) |
Commodities Strategy Fund | | | 280,887 | | | | — | | | | (6,839,474 | ) | | | (586,228 | ) | | | — | | | | (7,144,815 | ) |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of December 31, 2023, capital loss carryforwards for the Funds were as follows:
| | | Unlimited | | | | | |
Fund | | Short-Term | | | Long-Term | | | Total
Capital Loss
Carryforward | |
Long Short Equity Fund | | $ | (764,651 | ) | | $ | — | | | $ | (764,651 | ) |
Multi-Hedge Strategies Fund | | | (406,317 | ) | | | (676,280 | ) | | | (1,082,597 | ) |
Commodities Strategy Fund | | | (586,228 | ) | | | — | | | | (586,228 | ) |
For the year ended December 31, 2023, the following capital loss carryforward amounts were utilized:
Fund | | Utilized | |
Long Short Equity Fund | | $ | 1,518,532 | |
Multi-Hedge Strategies Fund | | | (1,109,655 | ) |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in subsidiaries and real estate investment trusts, the “mark-to-market” of certain derivatives, foreign currency gains and losses, losses deferred due to wash sales, investments in securities sold short and swap agreements, special dividends, distributions in connection with redemption of fund shares, and the “mark-to-market,” recharacterization, or disposition of certain Passive Foreign Investment Companies (PFICs). To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Funds’ Consolidated Statements of Assets and Liabilities as of December 31, 2023 for permanent book/tax differences:
Fund | | Paid In
Capital | | | Total
Distributable
Earnings/(Loss) | |
Global Managed Futures Strategy Fund | | $ | 64,994 | | | $ | (64,994 | ) |
Multi-Hedge Strategies Fund | | | 615,857 | | | | (615,857 | ) |
Commodities Strategy Fund | | | (819,058 | ) | | | 819,058 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 83 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued) |
At December 31, 2023, 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 | | $ | 23,307,392 | | | $ | 5,236,513 | | | $ | (2,257,601 | ) | | $ | 2,978,912 | |
Global Managed Futures Strategy Fund | | | 17,727,549 | | | | 1,060,060 | | | | (3,379,157 | ) | | | (2,319,097 | ) |
Multi-Hedge Strategies Fund | | | 35,252,957 | | | | 3,675,295 | | | | (5,318,442 | ) | | | (1,643,147 | ) |
Commodities Strategy Fund | | | 13,771,726 | | | | 898,138 | | | | (7,737,612 | ) | | | (6,839,474 | ) |
Note 9 – Securities Transactions
For the year ended December 31, 2023, 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 | | $ | 74,508,732 | | | $ | 72,979,104 | |
Global Managed Futures Strategy Fund | | | — | | | | — | |
Multi-Hedge Strategies Fund | | | 58,789,884 | | | | 61,209,208 | |
Commodities Strategy Fund | | | — | | | | 1,400,000 | |
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. For the year ended December 31, 2023, 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 $200,000,000 line of credit from U.S. Bank, N.A. On June 5, 2023, the line of credit agreement was renewed and expires on June 3, 2024. 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 6.15% for the year ended December 31, 2023. The Funds did not have any borrowings outstanding under this agreement at December 31, 2023.
The average daily balances borrowed for the year ended December 31, 2023, were as follows:
Fund | | Average Daily Balance | |
Long Short Equity Fund | | $ | 729 | |
Multi-Hedge Strategies Fund | | | 25,345 | |
Note 11 – Market Risks
The value of, or income generated by, the investments held by the Funds are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which may change at any time based on changes in monetary policies and various market and other economic conditions), changes in inflation rates or expectations about inflation rates, adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the ongoing Russia-Ukraine conflict and its collateral economic and other effects, including, but not limited to, sanctions and other international trade barriers) or ratings downgrades,
84 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (concluded) |
and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country, geographic region or industry could adversely affect the value, yield and return of the investments held by the Funds in a different country, geographic region, economy, industry or market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Funds’ investments and performance of the Funds.
Note 12 – Subsequent Events
The Funds evaluated subsequent events through the date the consolidated financial statements are issued and determined there were no material events that would require adjustment to or disclosure in the Funds’ consolidated financial statements.
| | THE RYDEX FUNDS ANNUAL REPORT | 85 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of Guggenheim Long Short Equity Fund, Guggenheim Global Managed Futures Strategy Fund, Guggenheim Multi-Hedge Strategies Fund and Rydex Commodities Strategy Fund and the Board of Trustees of Rydex Variable Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Guggenheim Long Short Equity Fund, Guggenheim Global Managed Futures Strategy Fund (consolidated), Guggenheim Multi-Hedge Strategies Fund (consolidated) and Rydex Commodities Strategy Fund (consolidated) (collectively referred to as the “Funds”), (four of the funds constituting Rydex Variable Trust (the “Trust”)), including the schedules of investments, as of December 31, 2023, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the consolidated, where applicable, financial position of each of the Funds (four of the funds constituting Rydex Variable Trust) at December 31, 2023, the consolidated, where applicable, results of their operations for the year then ended, the consolidated, where applicable, changes in their net assets for each of the two years in the period then ended and their consolidated, where applicable, financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2023, by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
February 27, 2024
86 | THE RYDEX FUNDS ANNUAL REPORT | |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2024, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2023.
The Funds’ investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ended December 31, 2023, the following Funds had the corresponding percentages qualify for the dividends received deduction for corporations.
Fund | | Dividend
Received
Deduction | |
Long Short Equity Fund | | | 100.00 | % |
Global Managed Futures Strategy Fund | | | 0.00 | % |
Multi-Hedge Strategies Fund | | | 24.71 | % |
Commodities Strategy Fund | | | 0.00 | % |
With respect to the taxable year ended December 31, 2023, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
Fund | | From
long-term
capital gain: | | | From long-term capital
gain, using proceeds
from shareholder
redemptions: | |
Global Managed Futures Strategy Fund | | $ | 335,488 | | | $ | 321,116 | |
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.
Tailored Shareholder Reports for Open-End Mutual Funds and Exchange-Traded Funds
Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and exchange-traded funds registered on Form N-1A to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.
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.
| | THE RYDEX FUNDS ANNUAL REPORT | 87 |
OTHER INFORMATION (Unaudited)(concluded) |
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.
88 | THE RYDEX FUNDS 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 Funds’ 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). | 153 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
Angela Brock-Kyle (1959) | Trustee | Since 2016 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Director, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 152 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Guggenheim Energy & Income Fund (2019-2023); Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018). |
| | THE RYDEX FUNDS ANNUAL REPORT | 89 |
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 - continued | | |
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 (registered investment adviser) (1996-present); Chief Executive Officer, Lydon Media (2016-present); Vice Chairman, VettaFi, a wholly owned subsidiary of The TMX Group (financial advisor content, research, index and digital distribution provider) (2022-present). Former: Chief Executive Officer, ETF Flows, LLC (financial advisor education and research provider) (2019-2023); Director, GDX Index Partners, LLC (index provider) (2021-2023). | 152 | Current: The 2023 ETF Series Trust (4) (2023-present); The 2023 ETF Series Trust II (1) (2023 - present); US Global Investors, Inc. (GROW) (1995-present). Former: Guggenheim Energy & Income Fund (2019-2023); Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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 (law firm) (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (law firm) (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 153 | Current: Advent Convertible and Income Fund (2003-present); PPM Funds (2) (2018-present); Endeavor Health (2012-present). Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
90 | THE RYDEX FUNDS 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*** |
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. (construction and real estate development company) (2007-2017). | 152 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Guggenheim Energy & Income Fund (2019-2023); Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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. (registered broker dealer) (1982-1999). | 152 | Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE RYDEX FUNDS ANNUAL REPORT | 91 |
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). | 152 | Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2018-2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves during the lifetime of the Trust or until he or she dies, resigns, has reached the mandatory retirement age, is declared incompetent by a court of appropriate jurisdiction, is removed or until his or her successor is duly elected and qualified, subject to the Trust’s Independent Trustees Retirement Policy and the Trust’s organizational documents. Time served may include time served in the respective position for certain predecessor entities of the Trust. |
*** | Each Trustee serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Active 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’ Adviser and/or the parent of the Adviser. |
92 | THE RYDEX FUNDS 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, Mutual Fund Boards, Guggenheim Investments (2022-present); President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Mutual Funds Boards, and Senior Managing Director, Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (2018-present); Board Member, Guggenheim Partners Investment Funds plc (2022-present); Board Member, Guggenheim Global Investments plc (2022-present); Board Member, Guggenheim Partners Fund Management (Europe) Limited (2018-present). Former: Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-2022); Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Chairman of North American Executive Committee and Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
James Howley (1972) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2022 | Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-2022); 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 Megaris (1984) | Assistant Secretary | Since 2018 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing 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); Senior Managing Director, 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 ANNUAL REPORT | 93 |
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). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Director, 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, or until his or her earlier death, inability to serve, resignation or removal. Time served may include time served in the respective position for certain predecessor entities of the Trust. |
94 | THE RYDEX FUNDS 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 ANNUAL REPORT | 95 |
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
96 | THE RYDEX FUNDS 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.
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12.31.2023
Rydex Variable Trust Funds 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-ANN-1223x1224 |
| | |
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 | 21 |
NASDAQ-100® FUND | 29 |
INVERSE NASDAQ-100® STRATEGY FUND | 38 |
S&P 500® 2x STRATEGY FUND | 45 |
NASDAQ-100® 2x STRATEGY FUND | 56 |
MID-CAP 1.5x STRATEGY FUND | 64 |
INVERSE MID-CAP STRATEGY FUND | 75 |
RUSSELL 2000® 2x STRATEGY FUND | 82 |
RUSSELL 2000® 1.5x STRATEGY FUND | 89 |
INVERSE RUSSELL 2000® STRATEGY FUND | 115 |
DOW 2x STRATEGY FUND | 122 |
INVERSE DOW 2x STRATEGY FUND | 129 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | 136 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | 143 |
HIGH YIELD STRATEGY FUND | 151 |
U.S. GOVERNMENT MONEY MARKET FUND | 159 |
NOTES TO FINANCIAL STATEMENTS | 165 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 184 |
OTHER INFORMATION | 185 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 187 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 193 |
| | THE RYDEX FUNDS ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for a selection of our Funds (each, a “Fund” and collectively, the “Funds”) that are part of the Rydex Variable Trust. This report covers the performance of the Funds for the 12-month period ended December 31, 2023 (the “Reporting Period”).
The Investment Adviser is 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, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
January 31, 2024
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.
The Domestic Equity Funds (except for the NASDAQ-100® Fund), Government Long Bond 1.2x Strategy Fund and Inverse Government Long Bond Strategy Fund are very different from most mutual funds in that they seek to provide leveraged, leveraged inverse or inverse investment results and are intended to be used as short-term trading vehicles. The Funds are not intended to be used by, and are not appropriate for, investors who do not intend to actively manage and monitor their portfolios. Certain of the Funds seek to provide such investment results on a daily basis. Each Inverse Fund pursues investment goals which are inverse to the performance of its underlying index and each Leveraged Inverse Fund pursues investment goals which are inverse to 200% of the performance of its underlying index, a result opposite of most other mutual funds. Investors should note that the pursuit of such leveraged, leveraged inverse and inverse investment goals has the following implications: ● The Leveraged Funds and Leveraged Inverse Funds are riskier than alternatives that do not use leverage because the performance of an investment in a Leveraged Fund or Leveraged Inverse Fund is magnified. ● The effect of leverage on a Fund will generally cause the Fund’s performance to not match the performance of the Fund’s benchmark (e.g., 200% of the performance of its underlying index) over a period of time greater than one day. This means that the return of a Fund for a period of longer than a single trading day will be the result of each day’s compounded returns over the period, which will very likely differ from the return of the Fund’s benchmark for that period. As a consequence,
2 | THE RYDEX FUNDS ANNUAL REPORT | |
especially during periods of market volatility, the path or trend of the benchmark during the longer period may be at least as important to the Fund’s cumulative return for the longer period as the cumulative return of the benchmark for the relevant longer period. Further, the return for investors who invest for a period longer than a single trading day will not be the product of the return of a Fund’s stated investment goal (e.g., 2x) and the cumulative performance of the Fund’s benchmark.
The Funds are not suitable for all investors. The Funds are designed to be utilized only by sophisticated investors, such as traders and active investors employing dynamic strategies. Investors in the Funds should: (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking daily leveraged investment results, (c) for each Inverse and Leveraged Inverse Fund, understand the risks of shorting, and (d) intend to actively manage and monitor their investments. Investors who do not understand the Funds or do not actively manage and monitor their investments should not buy shares of the Funds.
Each Leveraged Fund seeks daily exposure to its underlying index equal to or in excess of 120% of its net assets while each Leveraged Inverse Fund seeks daily exposure to its underlying index equal to -200% of its net assets. As a consequence, for each Fund the risk of total loss of your investment exists in the event of a movement of the Fund’s underlying index in excess of 50% in a direction adverse to the Fund (meaning a decline in the value of the underlying index of a Leveraged Fund and a gain in the value of the underlying index of a Leveraged Inverse Fund). In short, the risk of total loss of your investment exists.
There is no assurance that any Fund will achieve its investment objective and an investment in a Fund could lose money. No single Fund is a complete investment program.
The NASDAQ-100® Fund may not be suitable for all investors. ● Investing in the 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 the Fund will achieve its objective and/or strategy. The 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. ● The 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 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) the Fund 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 risk that may increase volatility and impact the Fund’s ability to achieve its investment objective. ● See the prospectus for more information on these and additional risks.
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 Investment Adviser, which is the Fund’s sponsor, and its affiliates have no legal obligation to provide financial support to the Fund, and you should not expect that the Investment Adviser or its affiliates will provide financial support to the Fund at any time. ● See the prospectus for more information on these and additional risks.
| | THE RYDEX FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | December 31, 2023 |
The U.S. economy has proved resilient to tight monetary policy by the Federal Reserve (the “Fed”), helped by falling inflation boosting real incomes and consumer sentiment, an expansion in the fiscal deficit over the past year, and a supply-side boost as labor force participation improves. We believe these tailwinds are likely to fade going forward which would pressure growth. Consumer spending also faces headwinds from dwindling excess savings buffers.
The Fed-induced easing of financial conditions, with interest rates falling and stock prices rising, has taken pressure off the economy and helped bring down recession risk. While it appears recession risk has come down, it is still materially higher than very optimistic market expectations would suggest. The 2024 election could add to volatility and uncertainty. We expect Treasury yields to decline more than the market currently anticipates in 2024, though they are unlikely to return to the lows of the last cycle.
We expect default rates to stay elevated as U.S. companies cope with rising borrowing costs and limited credit availability, but the stress will become increasingly bifurcated between large and small companies. High-quality corporate debt and structured credit yields should provide an income cushion that could reduce the impact if spreads should widen from here.
The two-year Treasury yield declined to 4.23% from 5.03% in the fourth quarter, while the 10-year Treasury yield dropped to 3.88% from 4.59%, a 9 basis point flattening in the 2s/10s yield curve. One basis point equals 0.01%. Investment-grade corporate bond issuance has been robust, predominantly split between financials and industrials. Investment-grade spreads, which peaked at 163 basis points in April, tightened to 103 basis points by the end of the year. Meanwhile, high-yield bond credit spreads narrowed to just 363 basis points by year-end, the tightest since April 2022, and marking a significant reduction from 491 basis points at the beginning of the year. Leveraged loan discount margins tightened from 652 basis points to 528 basis points, but 44% of the loan index is trading at spreads below 400 basis points and the median loan ended the year at 464 basis points. Structured credit spreads rallied into year-end, capping a strong year of outperformance for structured credit. In CLOs, we continue to expect range bound primary spreads and an increase in refinancings and resets in early 2024.
For the Reporting Period, the S&P 500® Index* returned 26.29%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 18.24%. The return of the MSCI Emerging Markets Index* was 9.83%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a 5.53% return for the Reporting Period, while the Bloomberg U.S. Corporate High Yield Index* returned 13.45%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 5.05% for the Reporting 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.
*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 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 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.
Bloomberg 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 U.S. Long Treasury Index is market capitalization weighted and the securities in the index are updated on the last business day of each month.
Bloomberg U.S. Treasury Bellwethers 30 Yr. Index is an unmanaged index representing the on-the-run (most recently auctioned) U.S. Treasury bond with 30 years’ maturity.
Dow Jones Industrial Average® is a price-weighted average of 30 significant stocks traded on the New York Stock Exchange and the Nasdaq.
ICE BofA 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.
4 | THE RYDEX FUNDS ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | December 31, 2023 |
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 segment of the U.S. equity universe.
S&P 500® Index 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 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 information 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 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 June 30, 2023 and ending December 31, 2023.
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 ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| | Expense
Ratio1 | | | Fund
Return | | | Beginning
Account Value
June 30, 2023 | | | Ending
Account Value
December 31, 2023 | | | Expenses
Paid During
Period2 | |
Table 1. Based on actual Fund return3 | | | | | | | | | | | | | | | | | | | | |
Nova Fund | | | 1.72 | % | | | 9.49 | % | | $ | 1,000.00 | | | $ | 1,094.90 | | | $ | 9.08 | |
Inverse S&P 500® Strategy Fund | | | 1.75 | % | | | (3.54 | %) | | | 1,000.00 | | | | 964.60 | | | | 8.67 | |
NASDAQ-100® Fund | | | 1.71 | % | | | 10.56 | % | | | 1,000.00 | | | | 1,105.60 | | | | 9.08 | |
Inverse NASDAQ-100® Strategy Fund | | | 1.76 | % | | | (6.93 | %) | | | 1,000.00 | | | | 930.70 | | | | 8.56 | |
S&P 500® 2x Strategy Fund | | | 1.87 | % | | | 11.27 | % | | | 1,000.00 | | | | 1,112.70 | | | | 9.96 | |
NASDAQ-100® 2x Strategy Fund | | | 1.95 | % | | | 17.70 | % | | | 1,000.00 | | | | 1,177.00 | | | | 10.70 | |
Mid-Cap 1.5x Strategy Fund | | | 1.82 | % | | | 7.62 | % | | | 1,000.00 | | | | 1,076.20 | | | | 9.52 | |
Inverse Mid-Cap Strategy Fund | | | 1.72 | % | | | (3.28 | %) | | | 1,000.00 | | | | 967.20 | | | | 8.53 | |
Russell 2000® 2x Strategy Fund | | | 2.16 | % | | | 10.63 | % | | | 1,000.00 | | | | 1,106.30 | | | | 11.47 | |
Russell 2000® 1.5x Strategy Fund | | | 1.82 | % | | | 9.53 | % | | | 1,000.00 | | | | 1,095.30 | | | | 9.61 | |
Inverse Russell 2000® Strategy Fund | | | 1.78 | % | | | (5.34 | %) | | | 1,000.00 | | | | 946.60 | | | | 8.73 | |
Dow 2x Strategy Fund | | | 1.90 | % | | | 17.27 | % | | | 1,000.00 | | | | 1,172.70 | | | | 10.41 | |
Inverse Dow 2x Strategy Fund | | | 1.83 | % | | | (13.49 | %) | | | 1,000.00 | | | | 865.10 | | | | 8.60 | |
Government Long Bond 1.2x Strategy Fund | | | 1.41 | % | | | (3.87 | %) | | | 1,000.00 | | | | 961.30 | | | | 6.97 | |
Inverse Government Long Bond Strategy Fund | | | 5.07 | % | | | 5.26 | % | | | 1,000.00 | | | | 1,052.60 | | | | 26.23 | |
High Yield Strategy Fund | | | 1.65 | % | | | 8.00 | % | | | 1,000.00 | | | | 1,080.00 | | | | 8.65 | |
U.S. Government Money Market Fund | | | 1.47 | % | | | 1.98 | % | | | 1,000.00 | | | | 1,019.80 | | | | 7.48 | |
|
Table 2. Based on hypothetical 5% return (before expenses) | | | | | | | | | | | | | | | | |
Nova Fund | | | 1.72 | % | | | 5.00 | % | | $ | 1,000.00 | | | $ | 1,016.53 | | | $ | 8.74 | |
Inverse S&P 500® Strategy Fund | | | 1.75 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.38 | | | | 8.89 | |
NASDAQ-100® Fund | | | 1.71 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.59 | | | | 8.69 | |
Inverse NASDAQ-100® Strategy Fund | | | 1.76 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.33 | | | | 8.94 | |
S&P 500® 2x Strategy Fund | | | 1.87 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.78 | | | | 9.50 | |
NASDAQ-100® 2x Strategy Fund | | | 1.95 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.38 | | | | 9.91 | |
Mid-Cap 1.5x Strategy Fund | | | 1.82 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.03 | | | | 9.25 | |
Inverse Mid-Cap Strategy Fund | | | 1.72 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.53 | | | | 8.74 | |
Russell 2000® 2x Strategy Fund | | | 2.16 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,014.32 | | | | 10.97 | |
Russell 2000® 1.5x Strategy Fund | | | 1.82 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.03 | | | | 9.25 | |
Inverse Russell 2000® Strategy Fund | | | 1.78 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.23 | | | | 9.05 | |
Dow 2x Strategy Fund | | | 1.90 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.63 | | | | 9.65 | |
Inverse Dow 2x Strategy Fund | | | 1.83 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.98 | | | | 9.30 | |
Government Long Bond 1.2x Strategy Fund | | | 1.41 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.10 | | | | 7.17 | |
Inverse Government Long Bond Strategy Fund | | | 5.07 | % | | | 5.00 | % | | | 1,000.00 | | | | 999.65 | | | | 25.55 | |
High Yield Strategy Fund | | | 1.65 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.89 | | | | 8.39 | |
U.S. Government Money Market Fund | | | 1.47 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.80 | | | | 7.48 | |
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 1.74%. 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 184/365 (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 June 30, 2023 to December 31, 2023. |
8 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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.
For the Reporting Period, the Nova Fund maintained a daily correlation of over 99% to its benchmark of 150% of the daily price movement of the S&P 500 Index. The Fund returned 35.06%, while the S&P 500 Index returned 26.29% over the same time period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Information Technology, Consumer Discretionary, and Communication Services. The sectors detracting the most from the return of the underlying index were Utilities and Energy.
The holdings contributing the most to the return of the underlying index were Microsoft Corp., Apple, Inc., and NVIDIA Corp. The holdings detracting the most were Pfizer, Inc., Chevron Corp., and Johnson & Johnson.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, the Fund’s 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 Fund holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. A significant contributor to the discrepancy between the leveraged and unleveraged indices is the effect of compounding on the leveraged index, which is discussed under “A Brief Note on the Compounding of Returns.”
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. For the Reporting Period, investment in the Short Term Investment Vehicles contributed to Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
| | THE RYDEX FUNDS ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
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.
Cumulative Fund Performance*,†
Inception Date: May 7, 1997 |
Ten Largest Holdings | % of Total Net Assets |
Guggenheim Ultra Short Duration Fund — Institutional Class | 5.5% |
Apple, Inc. | 5.4% |
Guggenheim Strategy Fund II | 5.4% |
Microsoft Corp. | 5.4% |
Amazon.com, Inc. | 2.7% |
NVIDIA Corp. | 2.3% |
Alphabet, Inc. — Class A | 1.6% |
Meta Platforms, Inc. — Class A | 1.5% |
Alphabet, Inc. — Class C | 1.4% |
Tesla, Inc. | 1.3% |
Top Ten Total | 32.5% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Nova Fund | 35.06% | 18.45% | 14.14% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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. |
10 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
NOVA FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 76.6% |
| | | | | | | | | |
Technology — 21.3% |
Apple, Inc. | | | 10,089 | | | $ | 1,942,435 | |
Microsoft Corp. | | | 5,129 | | | | 1,928,709 | |
NVIDIA Corp. | | | 1,704 | | | | 843,855 | |
Broadcom, Inc. | | | 303 | | | | 338,224 | |
Adobe, Inc.* | | | 314 | | | | 187,332 | |
Salesforce, Inc.* | | | 671 | | | | 176,567 | |
Advanced Micro Devices, Inc.* | | | 1,115 | | | | 164,362 | |
Accenture plc — Class A | | | 433 | | | | 151,944 | |
Intel Corp. | | | 2,909 | | | | 146,177 | |
Intuit, Inc. | | | 193 | | | | 120,631 | |
Oracle Corp. | | | 1,096 | | | | 115,551 | |
QUALCOMM, Inc. | | | 768 | | | | 111,076 | |
Texas Instruments, Inc. | | | 627 | | | | 106,878 | |
International Business Machines Corp. | | | 630 | | | | 103,036 | |
ServiceNow, Inc.* | | | 141 | | | | 99,615 | |
Applied Materials, Inc. | | | 577 | | | | 93,514 | |
Lam Research Corp. | | | 91 | | | | 71,277 | |
Analog Devices, Inc. | | | 344 | | | | 68,305 | |
Micron Technology, Inc. | | | 758 | | | | 64,688 | |
Fiserv, Inc.* | | | 414 | | | | 54,996 | |
KLA Corp. | | | 94 | | | | 54,642 | |
Synopsys, Inc.* | | | 105 | | | | 54,066 | |
Cadence Design Systems, Inc.* | | | 188 | | | | 51,206 | |
NXP Semiconductor N.V. | | | 178 | | | | 40,883 | |
Roper Technologies, Inc. | | | 74 | | | | 40,343 | |
Autodesk, Inc.* | | | 148 | | | | 36,035 | |
Microchip Technology, Inc. | | | 373 | | | | 33,637 | |
MSCI, Inc. — Class A | | | 55 | | | | 31,111 | |
Paychex, Inc. | | | 222 | | | | 26,442 | |
Cognizant Technology Solutions Corp. — Class A | | | 346 | | | | 26,133 | |
Fortinet, Inc.* | | | 440 | | | | 25,753 | |
ON Semiconductor Corp.* | | | 297 | | | | 24,808 | |
Fidelity National Information Services, Inc. | | | 409 | | | | 24,569 | |
Electronic Arts, Inc. | | | 169 | | | | 23,121 | |
ANSYS, Inc.* | | | 60 | | | | 21,773 | |
Monolithic Power Systems, Inc. | | | 33 | | | | 20,816 | |
Fair Isaac Corp.* | | | 17 | | | | 19,788 | |
HP, Inc. | | | 600 | | | | 18,054 | |
Take-Two Interactive Software, Inc.* | | | 109 | | | | 17,544 | |
Broadridge Financial Solutions, Inc. | | | 81 | | | | 16,666 | |
Hewlett Packard Enterprise Co. | | | 885 | | | | 15,027 | |
PTC, Inc.* | | | 82 | | | | 14,347 | |
NetApp, Inc. | | | 144 | | | | 12,695 | |
Skyworks Solutions, Inc. | | | 110 | | | | 12,366 | |
Akamai Technologies, Inc.* | | | 104 | | | | 12,308 | |
Tyler Technologies, Inc.* | | | 29 | | | | 12,125 | |
EPAM Systems, Inc.* | | | 40 | | | | 11,894 | |
Western Digital Corp.* | | | 224 | | | | 11,731 | |
Seagate Technology Holdings plc | | | 134 | | | | 11,440 | |
Teradyne, Inc. | | | 105 | | | | 11,395 | |
Leidos Holdings, Inc. | | | 95 | | | | 10,283 | |
Zebra Technologies Corp. — Class A* | | | 35 | | | | 9,567 | |
Jack Henry & Associates, Inc. | | | 50 | | | | 8,170 | |
Qorvo, Inc.* | | | 67 | | | | 7,545 | |
Ceridian HCM Holding, Inc.* | | | 108 | | | | 7,249 | |
Paycom Software, Inc. | | | 34 | | | | 7,028 | |
Total Technology | | | | | | | 7,671,732 | |
| | | | | | | | | |
Consumer, Non-cyclical — 14.5% |
UnitedHealth Group, Inc. | | | 638 | | | | 335,888 | |
Eli Lilly & Co. | | | 550 | | | | 320,606 | |
Johnson & Johnson | | | 1,661 | | | | 260,345 | |
Procter & Gamble Co. | | | 1,626 | | | | 238,274 | |
Merck & Company, Inc. | | | 1,749 | | | | 190,676 | |
AbbVie, Inc. | | | 1,218 | | | | 188,753 | |
PepsiCo, Inc. | | | 949 | | | | 161,178 | |
Coca-Cola Co. | | | 2,685 | | | | 158,227 | |
Thermo Fisher Scientific, Inc. | | | 267 | | | | 141,721 | |
Abbott Laboratories | | | 1,197 | | | | 131,754 | |
Pfizer, Inc. | | | 3,896 | | | | 112,166 | |
Amgen, Inc. | | | 369 | | | | 106,279 | |
Danaher Corp. | | | 454 | | | | 105,028 | |
Philip Morris International, Inc. | | | 1,071 | | | | 100,759 | |
S&P Global, Inc. | | | 224 | | | | 98,676 | |
Intuitive Surgical, Inc.* | | | 243 | | | | 81,979 | |
Elevance Health, Inc. | | | 162 | | | | 76,393 | |
Medtronic plc | | | 918 | | | | 75,625 | |
Bristol-Myers Squibb Co. | | | 1,404 | | | | 72,039 | |
Vertex Pharmaceuticals, Inc.* | | | 177 | | | | 72,020 | |
CVS Health Corp. | | | 886 | | | | 69,959 | |
Stryker Corp. | | | 233 | | | | 69,774 | |
Gilead Sciences, Inc. | | | 860 | | | | 69,669 | |
Mondelez International, Inc. — Class A | | | 939 | | | | 68,012 | |
Automatic Data Processing, Inc. | | | 284 | | | | 66,163 | |
Regeneron Pharmaceuticals, Inc.* | | | 74 | | | | 64,993 | |
Zoetis, Inc. | | | 317 | | | | 62,566 | |
Cigna Group | | | 202 | | | | 60,489 | |
Boston Scientific Corp.* | | | 1,010 | | | | 58,388 | |
Altria Group, Inc. | | | 1,220 | | | | 49,215 | |
Becton Dickinson & Co. | | | 200 | | | | 48,766 | |
PayPal Holdings, Inc.* | | | 744 | | | | 45,689 | |
Colgate-Palmolive Co. | | | 568 | | | | 45,276 | |
McKesson Corp. | | | 92 | | | | 42,594 | |
Moody’s Corp. | | | 109 | | | | 42,571 | |
Humana, Inc. | | | 85 | | | | 38,914 | |
HCA Healthcare, Inc. | | | 137 | | | | 37,083 | |
Cintas Corp. | | | 60 | | | | 36,160 | |
Dexcom, Inc.* | | | 267 | | | | 33,132 | |
Edwards Lifesciences Corp.* | | | 419 | | | | 31,949 | |
IDEXX Laboratories, Inc.* | | | 57 | | | | 31,638 | |
Monster Beverage Corp.* | | | 510 | | | | 29,381 | |
IQVIA Holdings, Inc.* | | | 126 | | | | 29,154 | |
Kimberly-Clark Corp. | | | 233 | | | | 28,312 | |
Agilent Technologies, Inc. | | | 202 | | | | 28,084 | |
Centene Corp.* | | | 369 | | | | 27,384 | |
Constellation Brands, Inc. — Class A | | | 112 | | | | 27,076 | |
Archer-Daniels-Midland Co. | | | 368 | | | | 26,577 | |
United Rentals, Inc. | | | 46 | | | | 26,377 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
NOVA FUND | |
| | Shares | | | Value | |
General Mills, Inc. | | | 401 | | | $ | 26,121 | |
Biogen, Inc.* | | | 100 | | | | 25,877 | |
Kenvue, Inc. | | | 1,189 | | | | 25,599 | |
Sysco Corp. | | | 348 | | | | 25,449 | |
CoStar Group, Inc.* | | | 282 | | | | 24,644 | |
Gartner, Inc.* | | | 54 | | | | 24,360 | |
Verisk Analytics, Inc. — Class A | | | 100 | | | | 23,886 | |
Cencora, Inc. — Class A | | | 115 | | | | 23,619 | |
Estee Lauder Companies, Inc. — Class A | | | 160 | | | | 23,400 | |
Corteva, Inc. | | | 486 | | | | 23,289 | |
Keurig Dr Pepper, Inc. | | | 695 | | | | 23,157 | |
Global Payments, Inc. | | | 180 | | | | 22,860 | |
Moderna, Inc.* | | | 229 | | | | 22,774 | |
Quanta Services, Inc. | | | 100 | | | | 21,580 | |
Equifax, Inc. | | | 85 | | | | 21,020 | |
Kroger Co. | | | 457 | | | | 20,889 | |
GE HealthCare Technologies, Inc. | | | 270 | | | | 20,876 | |
Kraft Heinz Co. | | | 550 | | | | 20,339 | |
Hershey Co. | | | 103 | | | | 19,203 | |
West Pharmaceutical Services, Inc. | | | 51 | | | | 17,958 | |
ResMed, Inc. | | | 102 | | | | 17,546 | |
Zimmer Biomet Holdings, Inc. | | | 144 | | | | 17,525 | |
Cardinal Health, Inc. | | | 170 | | | | 17,136 | |
Church & Dwight Company, Inc. | | | 170 | | | | 16,075 | |
Illumina, Inc.* | | | 110 | | | | 15,316 | |
STERIS plc | | | 68 | | | | 14,950 | |
Molina Healthcare, Inc.* | | | 40 | | | | 14,452 | |
FleetCor Technologies, Inc.* | | | 50 | | | | 14,131 | |
Baxter International, Inc. | | | 350 | | | | 13,531 | |
Waters Corp.* | | | 41 | | | | 13,498 | |
Align Technology, Inc.* | | | 49 | | | | 13,426 | |
Laboratory Corporation of America Holdings | | | 59 | | | | 13,410 | |
Cooper Companies, Inc. | | | 34 | | | | 12,867 | |
Clorox Co. | | | 86 | | | | 12,263 | |
Hologic, Inc.* | | | 169 | | | | 12,075 | |
McCormick & Company, Inc. | | | 173 | | | | 11,837 | |
Avery Dennison Corp. | | | 56 | | | | 11,321 | |
Lamb Weston Holdings, Inc. | | | 100 | | | | 10,809 | |
Quest Diagnostics, Inc. | | | 78 | | | | 10,755 | |
Tyson Foods, Inc. — Class A | | | 197 | | | | 10,589 | |
Insulet Corp.* | | | 48 | | | | 10,415 | |
Kellanova | | | 182 | | | | 10,176 | |
Bunge Global S.A. | | | 100 | | | | 10,095 | |
Conagra Brands, Inc. | | | 330 | | | | 9,458 | |
Revvity, Inc. | | | 85 | | | | 9,291 | |
J M Smucker Co. | | | 73 | | | | 9,226 | |
Viatris, Inc. | | | 828 | | | | 8,967 | |
Rollins, Inc. | | | 194 | | | | 8,472 | |
Bio-Techne Corp. | | | 109 | | | | 8,411 | |
Charles River Laboratories International, Inc.* | | | 35 | | | | 8,274 | |
Incyte Corp.* | | | 128 | | | | 8,037 | |
Teleflex, Inc. | | | 32 | | | | 7,979 | |
Molson Coors Beverage Co. — Class B | | | 128 | | | | 7,835 | |
MarketAxess Holdings, Inc. | | | 26 | | | | 7,614 | |
Brown-Forman Corp. — Class B | | | 126 | | | | 7,195 | |
Henry Schein, Inc.* | | | 90 | | | | 6,814 | |
Hormel Foods Corp. | | | 200 | | | | 6,422 | |
Robert Half, Inc. | | | 73 | | | | 6,418 | |
Universal Health Services, Inc. — Class B | | | 42 | | | | 6,402 | |
Campbell Soup Co. | | | 136 | | | | 5,879 | |
Catalent, Inc.* | | | 124 | | | | 5,571 | |
Dentsply Sirona, Inc. | | | 146 | | | | 5,196 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 14 | | | | 4,521 | |
DaVita, Inc.* | | | 37 | | | | 3,876 | |
Total Consumer, Non-cyclical | | | | | | | 5,236,687 | |
| | | | | | | | | |
Financial — 10.8% |
Berkshire Hathaway, Inc. — Class B* | | | 1,256 | | | | 447,965 | |
JPMorgan Chase & Co. | | | 1,995 | | | | 339,350 | |
Visa, Inc. — Class A | | | 1,100 | | | | 286,385 | |
Mastercard, Inc. — Class A | | | 571 | | | | 243,537 | |
Bank of America Corp. | | | 4,751 | | | | 159,966 | |
Wells Fargo & Co. | | | 2,506 | | | | 123,345 | |
Goldman Sachs Group, Inc. | | | 225 | | | | 86,798 | |
Prologis, Inc. REIT | | | 638 | | | | 85,045 | |
Morgan Stanley | | | 871 | | | | 81,221 | |
BlackRock, Inc. — Class A | | | 96 | | | | 77,933 | |
American Express Co. | | | 397 | | | | 74,374 | |
Charles Schwab Corp. | | | 1,027 | | | | 70,658 | |
American Tower Corp. — Class A REIT | | | 322 | | | | 69,513 | |
Citigroup, Inc. | | | 1,321 | | | | 67,952 | |
Marsh & McLennan Companies, Inc. | | | 340 | | | | 64,420 | |
Progressive Corp. | | | 404 | | | | 64,349 | |
Blackstone, Inc. — Class A | | | 490 | | | | 64,151 | |
Chubb Ltd. | | | 282 | | | | 63,732 | |
Equinix, Inc. REIT | | | 65 | | | | 52,350 | |
CME Group, Inc. — Class A | | | 248 | | | | 52,229 | |
Intercontinental Exchange, Inc. | | | 395 | | | | 50,730 | |
U.S. Bancorp | | | 1,074 | | | | 46,483 | |
PNC Financial Services Group, Inc. | | | 275 | | | | 42,584 | |
Aon plc — Class A | | | 138 | | | | 40,161 | |
Welltower, Inc. REIT | | | 382 | | | | 34,445 | |
Crown Castle, Inc. REIT | | | 299 | | | | 34,442 | |
Capital One Financial Corp. | | | 262 | | | | 34,354 | |
Truist Financial Corp. | | | 920 | | | | 33,966 | |
Arthur J Gallagher & Co. | | | 149 | | | | 33,507 | |
Public Storage REIT | | | 109 | | | | 33,245 | |
American International Group, Inc. | | | 484 | | | | 32,791 | |
Simon Property Group, Inc. REIT | | | 225 | | | | 32,094 | |
Aflac, Inc. | | | 367 | | | | 30,278 | |
Travelers Companies, Inc. | | | 158 | | | | 30,097 | |
Realty Income Corp. REIT | | | 500 | | | | 28,710 | |
MetLife, Inc. | | | 429 | | | | 28,370 | |
Digital Realty Trust, Inc. REIT | | | 209 | | | | 28,127 | |
Bank of New York Mellon Corp. | | | 531 | | | | 27,639 | |
Ameriprise Financial, Inc. | | | 70 | | | | 26,588 | |
Prudential Financial, Inc. | | | 249 | | | | 25,824 | |
Allstate Corp. | | | 181 | | | | 25,336 | |
Extra Space Storage, Inc. REIT | | | 146 | | | | 23,408 | |
VICI Properties, Inc. REIT | | | 714 | | | | 22,762 | |
12 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
NOVA FUND | |
| | Shares | | | Value | |
CBRE Group, Inc. — Class A* | | | 210 | | | $ | 19,549 | |
Discover Financial Services | | | 173 | | | | 19,445 | |
Arch Capital Group Ltd.* | | | 258 | | | | 19,162 | |
SBA Communications Corp. REIT | | | 74 | | | | 18,773 | |
AvalonBay Communities, Inc. REIT | | | 98 | | | | 18,348 | |
Weyerhaeuser Co. REIT | | | 504 | | | | 17,524 | |
Willis Towers Watson plc | | | 71 | | | | 17,125 | |
Hartford Financial Services Group, Inc. | | | 208 | | | | 16,719 | |
T. Rowe Price Group, Inc. | | | 154 | | | | 16,584 | |
State Street Corp. | | | 213 | | | | 16,499 | |
Fifth Third Bancorp | | | 470 | | | | 16,210 | |
M&T Bank Corp. | | | 115 | | | | 15,764 | |
Equity Residential REIT | | | 238 | | | | 14,556 | |
Raymond James Financial, Inc. | | | 130 | | | | 14,495 | |
Iron Mountain, Inc. REIT | | | 201 | | | | 14,066 | |
Ventas, Inc. REIT | | | 278 | | | | 13,856 | |
Alexandria Real Estate Equities, Inc. REIT | | | 108 | | | | 13,691 | |
Nasdaq, Inc. | | | 235 | | | | 13,663 | |
Invitation Homes, Inc. REIT | | | 397 | | | | 13,542 | |
Cboe Global Markets, Inc. | | | 73 | | | | 13,035 | |
Huntington Bancshares, Inc. | | | 999 | | | | 12,707 | |
Regions Financial Corp. | | | 642 | | | | 12,442 | |
Northern Trust Corp. | | | 143 | | | | 12,066 | |
Principal Financial Group, Inc. | | | 151 | | | | 11,879 | |
Brown & Brown, Inc. | | | 163 | | | | 11,591 | |
Cincinnati Financial Corp. | | | 108 | | | | 11,174 | |
Synchrony Financial | | | 286 | | | | 10,922 | |
Essex Property Trust, Inc. REIT | | | 44 | | | | 10,909 | |
Mid-America Apartment Communities, Inc. REIT | | | 81 | | | | 10,891 | |
Citizens Financial Group, Inc. | | | 322 | | | | 10,671 | |
Everest Group Ltd. | | | 30 | | | | 10,607 | |
W R Berkley Corp. | | | 141 | | | | 9,972 | |
Kimco Realty Corp. REIT | | | 459 | | | | 9,781 | |
Host Hotels & Resorts, Inc. REIT | | | 486 | | | | 9,463 | |
KeyCorp | | | 646 | | | | 9,302 | |
Loews Corp. | | | 126 | | | | 8,768 | |
UDR, Inc. REIT | | | 209 | | | | 8,003 | |
Regency Centers Corp. REIT | | | 113 | | | | 7,571 | |
Healthpeak Properties, Inc. REIT | | | 378 | | | | 7,484 | |
Camden Property Trust REIT | | | 74 | | | | 7,348 | |
Globe Life, Inc. | | | 59 | | | | 7,181 | |
Boston Properties, Inc. REIT | | | 100 | | | | 7,017 | |
Assurant, Inc. | | | 36 | | | | 6,066 | |
Franklin Resources, Inc. | | | 195 | | | | 5,809 | |
Invesco Ltd. | | | 310 | | | | 5,530 | |
Federal Realty Investment Trust REIT | | | 51 | | | | 5,256 | |
Comerica, Inc. | | | 91 | | | | 5,079 | |
Zions Bancorp North America | | | 102 | | | | 4,475 | |
Total Financial | | | | | | | 3,893,784 | |
| | | | | | | | | |
Communications — 10.8% |
Amazon.com, Inc.* | | | 6,275 | | | | 953,424 | |
Alphabet, Inc. — Class A* | | | 4,084 | | | | 570,494 | |
Meta Platforms, Inc. — Class A* | | | 1,532 | | | | 542,267 | |
Alphabet, Inc. — Class C* | | | 3,437 | | | | 484,376 | |
Netflix, Inc.* | | | 302 | | | | 147,038 | |
Cisco Systems, Inc. | | | 2,795 | | | | 141,203 | |
Comcast Corp. — Class A | | | 2,771 | | | | 121,508 | |
Walt Disney Co. | | | 1,263 | | | | 114,036 | |
Verizon Communications, Inc. | | | 2,901 | | | | 109,368 | |
Uber Technologies, Inc.* | | | 1,417 | | | | 87,245 | |
Booking Holdings, Inc.* | | | 24 | | | | 85,133 | |
AT&T, Inc. | | | 4,934 | | | | 82,793 | |
Palo Alto Networks, Inc.* | | | 214 | | | | 63,104 | |
T-Mobile US, Inc. | | | 351 | | | | 56,276 | |
Airbnb, Inc. — Class A* | | | 300 | | | | 40,842 | |
Arista Networks, Inc.* | | | 173 | | | | 40,743 | |
Motorola Solutions, Inc. | | | 114 | | | | 35,692 | |
Charter Communications, Inc. — Class A* | | | 69 | | | | 26,819 | |
CDW Corp. | | | 92 | | | | 20,913 | |
Warner Bros Discovery, Inc.* | | | 1,531 | | | | 17,423 | |
Corning, Inc. | | | 530 | | | | 16,138 | |
eBay, Inc. | | | 358 | | | | 15,616 | |
Expedia Group, Inc.* | | | 92 | | | | 13,965 | |
VeriSign, Inc.* | | | 61 | | | | 12,564 | |
FactSet Research Systems, Inc. | | | 26 | | | | 12,403 | |
Omnicom Group, Inc. | | | 137 | | | | 11,852 | |
Gen Digital, Inc. | | | 389 | | | | 8,877 | |
Interpublic Group of Companies, Inc. | | | 264 | | | | 8,617 | |
F5, Inc.* | | | 41 | | | | 7,338 | |
Match Group, Inc.* | | | 188 | | | | 6,862 | |
Etsy, Inc.* | | | 83 | | | | 6,727 | |
Juniper Networks, Inc. | | | 220 | | | | 6,486 | |
News Corp. — Class A | | | 263 | | | | 6,457 | |
Fox Corp. — Class A | | | 170 | | | | 5,044 | |
Paramount Global — Class B | | | 332 | | | | 4,910 | |
Fox Corp. — Class B | | | 91 | | | | 2,516 | |
News Corp. — Class B | | | 79 | | | | 2,032 | |
Total Communications | | | | | | | 3,889,101 | |
| | | | | | | | | |
Consumer, Cyclical — 7.0% |
Tesla, Inc.* | | | 1,909 | | | | 474,348 | |
Home Depot, Inc. | | | 690 | | | | 239,120 | |
Costco Wholesale Corp. | | | 306 | | | | 201,984 | |
Walmart, Inc. | | | 984 | | | | 155,128 | |
McDonald’s Corp. | | | 501 | | | | 148,552 | |
NIKE, Inc. — Class B | | | 845 | | | | 91,742 | |
Lowe’s Companies, Inc. | | | 398 | | | | 88,575 | |
Starbucks Corp. | | | 788 | | | | 75,656 | |
TJX Companies, Inc. | | | 789 | | | | 74,016 | |
Target Corp. | | | 319 | | | | 45,432 | |
Chipotle Mexican Grill, Inc. — Class A* | | | 19 | | | | 43,452 | |
Lululemon Athletica, Inc.* | | | 79 | | | | 40,392 | |
O’Reilly Automotive, Inc.* | | | 41 | | | | 38,953 | |
Marriott International, Inc. — Class A | | | 170 | | | | 38,337 | |
PACCAR, Inc. | | | 361 | | | | 35,252 | |
General Motors Co. | | | 945 | | | | 33,944 | |
Ford Motor Co. | | | 2,713 | | | | 33,072 | |
Ross Stores, Inc. | | | 234 | | | | 32,383 | |
Hilton Worldwide Holdings, Inc. | | | 177 | | | | 32,230 | |
DR Horton, Inc. | | | 208 | | | | 31,612 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
NOVA FUND | |
| | Shares | | | Value | |
AutoZone, Inc.* | | | 12 | | | $ | 31,027 | |
Copart, Inc.* | | | 603 | | | | 29,547 | |
Lennar Corp. — Class A | | | 173 | | | | 25,784 | |
Fastenal Co. | | | 394 | | | | 25,519 | |
Yum! Brands, Inc. | | | 193 | | | | 25,217 | |
WW Grainger, Inc. | | | 30 | | | | 24,861 | |
Cummins, Inc. | | | 98 | | | | 23,478 | |
Royal Caribbean Cruises Ltd.* | | | 163 | | | | 21,107 | |
Dollar General Corp. | | | 151 | | | | 20,528 | |
Dollar Tree, Inc.* | | | 144 | | | | 20,455 | |
Delta Air Lines, Inc. | | | 443 | | | | 17,822 | |
Aptiv plc* | | | 195 | | | | 17,495 | |
Ulta Beauty, Inc.* | | | 34 | | | | 16,660 | |
Tractor Supply Co. | | | 75 | | | | 16,127 | |
PulteGroup, Inc. | | | 149 | | | | 15,379 | |
NVR, Inc.* | | | 2 | | | | 14,001 | |
Darden Restaurants, Inc. | | | 83 | | | | 13,637 | |
Genuine Parts Co. | | | 97 | | | | 13,435 | |
Walgreens Boots Alliance, Inc. | | | 495 | | | | 12,924 | |
Carnival Corp.* | | | 695 | | | | 12,885 | |
Las Vegas Sands Corp. | | | 255 | | | | 12,548 | |
Southwest Airlines Co. | | | 411 | | | | 11,869 | |
Pool Corp. | | | 27 | | | | 10,765 | |
Best Buy Company, Inc. | | | 134 | | | | 10,490 | |
Domino’s Pizza, Inc. | | | 24 | | | | 9,894 | |
United Airlines Holdings, Inc.* | | | 226 | | | | 9,325 | |
Live Nation Entertainment, Inc.* | | | 98 | | | | 9,173 | |
LKQ Corp. | | | 185 | | | | 8,841 | |
MGM Resorts International* | | | 188 | | | | 8,400 | |
CarMax, Inc.* | | | 109 | | | | 8,365 | |
Caesars Entertainment, Inc.* | | | 149 | | | | 6,985 | |
Bath & Body Works, Inc. | | | 157 | | | | 6,776 | |
American Airlines Group, Inc.* | | | 451 | | | | 6,197 | |
Wynn Resorts Ltd. | | | 66 | | | | 6,013 | |
Norwegian Cruise Line Holdings Ltd.* | | | 294 | | | | 5,892 | |
Tapestry, Inc. | | | 158 | | | | 5,816 | |
BorgWarner, Inc. | | | 162 | | | | 5,808 | |
Whirlpool Corp. | | | 38 | | | | 4,627 | |
Hasbro, Inc. | | | 90 | | | | 4,595 | |
VF Corp. | | | 228 | | | | 4,286 | |
Ralph Lauren Corp. — Class A | | | 27 | | | | 3,894 | |
Total Consumer, Cyclical | | | | | | | 2,512,627 | |
| | | | | | | | | |
Industrial — 5.9% |
Caterpillar, Inc. | | | 352 | | | | 104,076 | |
Union Pacific Corp. | | | 421 | | | | 103,406 | |
Boeing Co.* | | | 392 | | | | 102,179 | |
General Electric Co. | | | 751 | | | | 95,850 | |
Honeywell International, Inc. | | | 455 | | | | 95,418 | |
RTX Corp. | | | 992 | | | | 83,467 | |
United Parcel Service, Inc. — Class B | | | 499 | | | | 78,458 | |
Deere & Co. | | | 185 | | | | 73,976 | |
Lockheed Martin Corp. | | | 152 | | | | 68,892 | |
Eaton Corporation plc | | | 276 | | | | 66,466 | |
Illinois Tool Works, Inc. | | | 189 | | | | 49,507 | |
CSX Corp. | | | 1,364 | | | | 47,290 | |
Northrop Grumman Corp. | | | 98 | | | | 45,878 | |
Waste Management, Inc. | | | 253 | | | | 45,312 | |
3M Co. | | | 381 | | | | 41,651 | |
Parker-Hannifin Corp. | | | 89 | | | | 41,002 | |
Amphenol Corp. — Class A | | | 413 | | | | 40,941 | |
General Dynamics Corp. | | | 156 | | | | 40,508 | |
FedEx Corp. | | | 159 | | | | 40,222 | |
Trane Technologies plc | | | 158 | | | | 38,536 | |
TransDigm Group, Inc. | | | 38 | | | | 38,441 | |
Emerson Electric Co. | | | 393 | | | | 38,251 | |
Norfolk Southern Corp. | | | 156 | | | | 36,875 | |
Carrier Global Corp. | | | 579 | | | | 33,264 | |
TE Connectivity Ltd. | | | 214 | | | | 30,067 | |
L3Harris Technologies, Inc. | | | 130 | | | | 27,381 | |
Johnson Controls International plc | | | 469 | | | | 27,033 | |
AMETEK, Inc. | | | 159 | | | | 26,217 | |
Otis Worldwide Corp. | | | 282 | | | | 25,230 | |
Old Dominion Freight Line, Inc. | | | 62 | | | | 25,131 | |
Rockwell Automation, Inc. | | | 79 | | | | 24,528 | |
Republic Services, Inc. — Class A | | | 141 | | | | 23,253 | |
Ingersoll Rand, Inc. | | | 279 | | | | 21,578 | |
Martin Marietta Materials, Inc. | | | 43 | | | | 21,453 | |
Vulcan Materials Co. | | | 92 | | | | 20,885 | |
Keysight Technologies, Inc.* | | | 123 | | | | 19,568 | |
Xylem, Inc. | | | 166 | | | | 18,984 | |
Fortive Corp. | | | 242 | | | | 17,819 | |
Mettler-Toledo International, Inc.* | | | 14 | | | | 16,982 | |
Westinghouse Air Brake Technologies Corp. | | | 124 | | | | 15,736 | |
Dover Corp. | | | 97 | | | | 14,919 | |
Teledyne Technologies, Inc.* | | | 33 | | | | 14,728 | |
Howmet Aerospace, Inc. | | | 270 | | | | 14,612 | |
Builders FirstSource, Inc.* | | | 85 | | | | 14,190 | |
Garmin Ltd. | | | 106 | | | | 13,625 | |
Expeditors International of Washington, Inc. | | | 100 | | | | 12,720 | |
Axon Enterprise, Inc.* | | | 49 | | | | 12,658 | |
Ball Corp. | | | 218 | | | | 12,539 | |
Veralto Corp. | | | 151 | | | | 12,421 | |
Hubbell, Inc. | | | 37 | | | | 12,170 | |
Jacobs Solutions, Inc. | | | 87 | | | | 11,293 | |
IDEX Corp. | | | 52 | | | | 11,290 | |
Jabil, Inc. | | | 88 | | | | 11,211 | |
J.B. Hunt Transport Services, Inc. | | | 56 | | | | 11,185 | |
Textron, Inc. | | | 135 | | | | 10,857 | |
Stanley Black & Decker, Inc. | | | 106 | | | | 10,399 | |
Snap-on, Inc. | | | 36 | | | | 10,398 | |
Masco Corp. | | | 155 | | | | 10,382 | |
Packaging Corporation of America | | | 62 | | | | 10,101 | |
Nordson Corp. | | | 37 | | | | 9,774 | |
Amcor plc | | | 997 | | | | 9,611 | |
Trimble, Inc.* | | | 172 | | | | 9,150 | |
Pentair plc | | | 114 | | | | 8,289 | |
Allegion plc | | | 61 | | | | 7,728 | |
Westrock Co. | | | 177 | | | | 7,349 | |
Huntington Ingalls Industries, Inc. | | | 27 | | | | 7,010 | |
A O Smith Corp. | | | 85 | | | | 7,007 | |
14 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
NOVA FUND | |
| | Shares | | | Value | |
CH Robinson Worldwide, Inc. | | | 80 | | | $ | 6,911 | |
Generac Holdings, Inc.* | | | 42 | | | | 5,428 | |
Mohawk Industries, Inc.* | | | 36 | | | | 3,726 | |
Total Industrial | | | | | | | 2,125,392 | |
| | | | | | | | | |
Energy — 3.0% |
Exxon Mobil Corp. | | | 2,764 | | | | 276,345 | |
Chevron Corp. | | | 1,211 | | | | 180,633 | |
ConocoPhillips | | | 819 | | | | 95,061 | |
Schlumberger N.V. | | | 986 | | | | 51,311 | |
EOG Resources, Inc. | | | 402 | | | | 48,622 | |
Phillips 66 | | | 304 | | | | 40,474 | |
Marathon Petroleum Corp. | | | 262 | | | | 38,870 | |
Pioneer Natural Resources Co. | | | 161 | | | | 36,206 | |
Valero Energy Corp. | | | 235 | | | | 30,550 | |
Williams Companies, Inc. | | | 839 | | | | 29,222 | |
ONEOK, Inc. | | | 402 | | | | 28,228 | |
Hess Corp. | | | 191 | | | | 27,534 | |
Occidental Petroleum Corp. | | | 456 | | | | 27,228 | |
Baker Hughes Co. | | | 694 | | | | 23,721 | |
Kinder Morgan, Inc. | | | 1,334 | | | | 23,532 | |
Halliburton Co. | | | 618 | | | | 22,341 | |
Devon Energy Corp. | | | 442 | | | | 20,023 | |
Diamondback Energy, Inc. | | | 124 | | | | 19,230 | |
Targa Resources Corp. | | | 153 | | | | 13,291 | |
Coterra Energy, Inc. — Class A | | | 519 | | | | 13,245 | |
First Solar, Inc.* | | | 74 | | | | 12,749 | |
Enphase Energy, Inc.* | | | 94 | | | | 12,421 | |
Equities Corp. | | | 284 | | | | 10,979 | |
Marathon Oil Corp. | | | 404 | | | | 9,761 | |
APA Corp. | | | 211 | | | | 7,571 | |
Total Energy | | | | | | | 1,099,148 | |
| | | | | | | | | |
Utilities — 1.8% |
NextEra Energy, Inc. | | | 1,416 | | | | 86,008 | |
Southern Co. | | | 753 | | | | 52,800 | |
Duke Energy Corp. | | | 532 | | | | 51,625 | |
Sempra | | | 434 | | | | 32,433 | |
American Electric Power Company, Inc. | | | 363 | | | | 29,483 | |
Dominion Energy, Inc. | | | 577 | | | | 27,119 | |
PG&E Corp. | | | 1,472 | | | | 26,540 | |
Constellation Energy Corp. | | | 220 | | | | 25,716 | |
Exelon Corp. | | | 687 | | | | 24,663 | |
Xcel Energy, Inc. | | | 381 | | | | 23,588 | |
Consolidated Edison, Inc. | | | 238 | | | | 21,651 | |
Public Service Enterprise Group, Inc. | | | 344 | | | | 21,036 | |
Edison International | | | 264 | | | | 18,873 | |
WEC Energy Group, Inc. | | | 218 | | | | 18,349 | |
American Water Works Company, Inc. | | | 134 | | | | 17,687 | |
DTE Energy Co. | | | 142 | | | | 15,657 | |
Eversource Energy | | | 241 | | | | 14,874 | |
Entergy Corp. | | | 146 | | | | 14,774 | |
PPL Corp. | | | 509 | | | | 13,794 | |
Ameren Corp. | | | 181 | | | | 13,094 | |
FirstEnergy Corp. | | | 356 | | | | 13,051 | |
CenterPoint Energy, Inc. | | | 436 | | | | 12,456 | |
Atmos Energy Corp. | | | 102 | | | | 11,822 | |
CMS Energy Corp. | | | 201 | | | | 11,672 | |
Alliant Energy Corp. | | | 176 | | | | 9,029 | |
AES Corp. | | | 462 | | | | 8,893 | |
Evergy, Inc. | | | 159 | | | | 8,300 | |
NRG Energy, Inc. | | | 156 | | | | 8,065 | |
NiSource, Inc. | | | 285 | | | | 7,566 | |
Pinnacle West Capital Corp. | | | 78 | | | | 5,604 | |
Total Utilities | | | | | | | 646,222 | |
| | | | | | | | | |
Basic Materials — 1.5% |
Linde plc | | | 335 | | | | 137,588 | |
Sherwin-Williams Co. | | | 163 | | | | 50,840 | |
Freeport-McMoRan, Inc. | | | 990 | | | | 42,145 | |
Air Products and Chemicals, Inc. | | | 153 | | | | 41,891 | |
Ecolab, Inc. | | | 175 | | | | 34,711 | |
Newmont Corp. | | | 795 | | | | 32,905 | |
Nucor Corp. | | | 170 | | | | 29,587 | |
Dow, Inc. | | | 484 | | | | 26,543 | |
PPG Industries, Inc. | | | 163 | | | | 24,377 | |
DuPont de Nemours, Inc. | | | 297 | | | | 22,848 | |
LyondellBasell Industries N.V. — Class A | | | 177 | | | | 16,829 | |
International Flavors & Fragrances, Inc. | | | 176 | | | | 14,251 | |
Steel Dynamics, Inc. | | | 105 | | | | 12,400 | |
Albemarle Corp. | | | 81 | | | | 11,703 | |
Celanese Corp. — Class A | | | 68 | | | | 10,565 | |
CF Industries Holdings, Inc. | | | 132 | | | | 10,494 | |
International Paper Co. | | | 239 | | | | 8,640 | |
Mosaic Co. | | | 226 | | | | 8,075 | |
Eastman Chemical Co. | | | 81 | | | | 7,275 | |
FMC Corp. | | | 86 | | | | 5,422 | |
Total Basic Materials | | | | | | | 549,089 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $21,039,713) | | | | | | | 27,623,782 | |
| | | | | | | | | |
MUTUAL FUNDS† - 10.9% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 202,415 | | | | 1,993,787 | |
Guggenheim Strategy Fund II1 | | | 78,932 | | | | 1,933,823 | |
Total Mutual Funds | | | | |
(Cost $3,941,469) | | | | | | | 3,927,610 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 3.2% |
U.S. Treasury Bills |
5.27% due 02/22/242,3 | | $ | 600,000 | | | | 595,540 | |
5.17% due 01/09/243,4 | | | 349,000 | | | | 348,644 | |
5.24% due 02/22/242,3 | | | 200,000 | | | | 198,513 | |
Total U.S. Treasury Bills | | | | |
(Cost $1,142,510) | | | | | | | 1,142,697 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
NOVA FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,5 - 10.7% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/242 | | $ | 2,146,256 | | | $ | 2,146,256 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/242 | | | 1,729,638 | | | | 1,729,638 | |
Total Repurchase Agreements | | | | |
(Cost $3,875,894) | | | | | | | 3,875,894 | |
| | | | | | | | | |
Total Investments — 101.4% | | | | |
(Cost $29,999,586) | | $ | 36,569,983 | |
Other Assets & Liabilities, net — (1.4)% | | | (497,086 | ) |
Total Net Assets — 100.0% | | $ | 36,072,897 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
S&P 500 Index Mini Futures Contracts | | | 2 | | | | Mar 2024 | | | $ | 481,900 | | | $ | 14,107 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Goldman Sachs International | S&P 500 Index | Pay | 5.83% (Federal Funds Rate + 0.50%) | | | At Maturity | | | | 03/21/24 | | | | 3,205 | | | $ | 15,289,390 | | | $ | 219,861 | |
BNP Paribas | S&P 500 Index | Pay | 5.93% (Federal Funds Rate + 0.60%) | | | At Maturity | | | | 03/21/24 | | | | 429 | | | | 2,045,155 | | | | 30,651 | |
Barclays Bank plc | S&P 500 Index | Pay | 5.85% (SOFR + 0.45%) | | | At Maturity | | | | 03/20/24 | | | | 1,823 | | | | 8,693,062 | | | | 2,659 | |
| | | | | | | | | | | | | | | | | | $ | 26,027,607 | | | $ | 253,171 | |
* | 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 December 31, 2023. |
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 December 31, 2023. |
5 | Repurchase Agreements — See Note 6. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | SOFR — Secured Overnight Financing Rate |
| | |
| | See Sector Classification in Other Information section. |
16 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
NOVA FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 27,623,782 | | | $ | — | | | $ | — | | | $ | 27,623,782 | |
Mutual Funds | | | 3,927,610 | | | | — | | | | — | | | | 3,927,610 | |
U.S. Treasury Bills | | | — | | | | 1,142,697 | | | | — | | | | 1,142,697 | |
Repurchase Agreements | | | — | | | | 3,875,894 | | | | — | | | | 3,875,894 | |
Equity Futures Contracts** | | | 14,107 | | | | — | | | | — | | | | 14,107 | |
Equity Index Swap Agreements** | | | — | | | | 253,171 | | | | — | | | | 253,171 | |
Total Assets | | $ | 31,565,499 | | | $ | 5,271,762 | | | $ | — | | | $ | 36,837,261 | |
** | 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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/22 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
12/31/23 | | | Shares
12/31/23 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 1,897,514 | | | $ | — | | | $ | — | | | $ | — | | | $ | 36,309 | | | $ | 1,933,823 | | | | 78,932 | | | $ | 103,460 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 1,951,280 | | | | — | | | | — | | | | — | | | | 42,507 | | | | 1,993,787 | | | | 202,415 | | | | 105,585 | |
| | | $ | 3,848,794 | | | $ | — | | | $ | — | | | $ | — | | | $ | 78,816 | | | $ | 3,927,610 | | | | | | | $ | 209,045 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 17 |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments in unaffiliated issuers, at value (cost $22,182,223) | | $ | 28,766,479 | |
Investments in affiliated issuers, at value (cost $3,941,469) | | | 3,927,610 | |
Repurchase agreements, at value (cost $3,875,894) | | | 3,875,894 | |
Cash | | | 210 | |
Segregated cash with broker | | | 85,097 | |
Unrealized appreciation on OTC swap agreements | | | 253,171 | |
Receivables: |
Dividends | | | 43,618 | |
Interest | | | 1,724 | |
Total assets | | | 36,953,803 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 260,000 | |
Payable for: |
Fund shares redeemed | | | 460,396 | |
Swap settlement | | | 27,283 | |
Management fees | | | 21,595 | |
Transfer agent fees | | | 9,593 | |
Investor service fees | | | 7,338 | |
Portfolio accounting and administration fees | | | 3,082 | |
Variation margin on futures contracts | | | 1,325 | |
Securities purchased | | | 661 | |
Trustees’ fees* | | | 422 | |
Miscellaneous | | | 89,211 | |
Total liabilities | | | 880,906 | |
Net assets | | $ | 36,072,897 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 40,533,243 | |
Total distributable earnings (loss) | | | (4,460,346 | ) |
Net assets | | $ | 36,072,897 | |
Capital shares outstanding | | | 224,924 | |
Net asset value per share | | $ | 160.38 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $100) | | $ | 360,816 | |
Dividends from securities of affiliated issuers | | | 209,045 | |
Interest | | | 170,482 | |
Income from securities lending, net | | | 193 | |
Total investment income | | | 740,536 | |
| | | | | |
Expenses: |
Management fees | | | 216,427 | |
Investor service fees | | | 72,142 | |
Transfer agent fees | | | 69,329 | |
Professional fees | | | 48,393 | |
Portfolio accounting and administration fees | | | 44,728 | |
Interest expense | | | 14,405 | |
Custodian fees | | | 4,218 | |
Trustees’ fees* | | | 4,186 | |
Line of credit fees | | | 62 | |
Miscellaneous | | | 33,158 | |
Total expenses | | | 507,048 | |
Less: |
Expenses reimbursed by Adviser | | | (6,320 | ) |
Expenses waived by Adviser | | | (4,927 | ) |
Total waived/reimbursed expenses | | | (11,247 | ) |
Net expenses | | | 495,801 | |
Net investment income | | | 244,735 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (578,034 | ) |
Swap agreements | | | 2,016,197 | |
Futures contracts | | | 484,775 | |
Net realized gain | | | 1,922,938 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 4,154,736 | |
Investments in affiliated issuers | | | 78,816 | |
Swap agreements | | | 653,769 | |
Futures contracts | | | 63,170 | |
Net change in unrealized appreciation (depreciation) | | | 4,950,491 | |
Net realized and unrealized gain | | | 6,873,429 | |
Net increase in net assets resulting from operations | | $ | 7,118,164 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
18 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 244,735 | | | $ | 30,402 | |
Net realized gain (loss) on investments | | | 1,922,938 | | | | (10,780,242 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 4,950,491 | | | | (6,568,464 | ) |
Net increase (decrease) in net assets resulting from operations | | | 7,118,164 | | | | (17,318,304 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (3,401,154 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 171,778,579 | | | | 258,422,284 | |
Distributions reinvested | | | — | | | | 3,401,154 | |
Cost of shares redeemed | | | (159,337,276 | ) | | | (288,174,715 | ) |
Net increase (decrease) from capital share transactions | | | 12,441,303 | | | | (26,351,277 | ) |
Net increase (decrease) in net assets | | | 19,559,467 | | | | (47,070,735 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 16,513,430 | | | | 63,584,165 | |
End of year | | $ | 36,072,897 | | | $ | 16,513,430 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 1,240,816 | | | | 1,691,174 | |
Shares issued from reinvestment of distributions | | | — | | | | 26,925 | |
Shares redeemed | | | (1,154,954 | ) | | | (1,902,255 | ) |
Net increase (decrease) in shares | | | 85,862 | | | | (184,156 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 19 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 118.75 | | | $ | 196.72 | | | $ | 144.74 | | | $ | 135.68 | | | $ | 94.55 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 1.17 | | | | .15 | | | | (.76 | ) | | | (.30 | ) | | | .90 | |
Net gain (loss) on investments (realized and unrealized) | | | 40.46 | | | | (58.50 | ) | | | 60.70 | | | | 24.12 | | | | 41.55 | |
Total from investment operations | | | 41.63 | | | | (58.35 | ) | | | 59.94 | | | | 23.82 | | | | 42.45 | |
Less distributions from: |
Net investment income | | | — | | | | (.67 | ) | | | (.61 | ) | | | (1.16 | ) | | | (1.32 | ) |
Net realized gains | | | — | | | | (18.95 | ) | | | (7.35 | ) | | | (13.60 | ) | | | — | |
Total distributions | | | — | | | | (19.62 | ) | | | (7.96 | ) | | | (14.76 | ) | | | (1.32 | ) |
Net asset value, end of period | | $ | 160.38 | | | $ | 118.75 | | | $ | 196.72 | | | $ | 144.74 | | | $ | 135.68 | |
|
Total Returnb | | | 35.06 | % | | | (30.26 | %) | | | 42.18 | % | | | 20.03 | % | | | 45.04 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 36,073 | | | $ | 16,513 | | | $ | 63,584 | | | $ | 45,692 | | | $ | 36,545 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.85 | % | | | 0.10 | % | | | (0.44 | %) | | | (0.24 | %) | | | 0.77 | % |
Total expensesc | | | 1.76 | % | | | 1.67 | % | | | 1.60 | % | | | 1.73 | % | | | 1.72 | % |
Net expensesd | | | 1.72 | % | | | 1.65 | % | | | 1.57 | % | | | 1.68 | % | | | 1.66 | % |
Portfolio turnover rate | | | 413 | % | | | 748 | % | | | 408 | % | | | 650 | % | | | 336 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
20 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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.
For the Reporting Period, the Inverse S&P 500 Strategy Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the S&P 500 Index. The Fund returned -14.95%, while the S&P 500 Index returned 26.29% over the same time period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Information Technology, Consumer Discretionary, and Communication Services. The sectors detracting the most from the return of the underlying index were Utilities and Energy.
The holdings contributing the most to the return of the underlying index were Microsoft Corp., Apple, Inc., and NVIDIA Corp. The holdings detracting the most were Pfizer, Inc., Chevron Corp., and Johnson & Johnson.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, the Fund’s 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 Fund holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. A significant contributor to the discrepancy between the leveraged and unleveraged indices is the effect of compounding on the leveraged index, which is discussed under “A Brief Note on the Compounding of Returns.”
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. For the Reporting Period, investment in the Short Term Investment Vehicles contributed to Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
| | THE RYDEX FUNDS ANNUAL REPORT | 21 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
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.
Cumulative Fund Performance*,†
Inception Date: June 9, 1997 |
Largest Holdings | % of Total Net Assets |
Guggenheim Ultra Short Duration Fund — Institutional Class | 18.1% |
Guggenheim Strategy Fund II | 18.1% |
Total | 36.2% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. The Fund invests principally in derivative investments such as swap agreements and futures contracts. |
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Inverse S&P 500® Strategy Fund | (14.95%) | (15.41%) | (12.35%) |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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. |
22 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
INVERSE S&P 500® STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 36.2% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 21,574 | | | $ | 212,500 | |
Guggenheim Strategy Fund II1 | | | 8,649 | | | | 211,890 | |
Total Mutual Funds | | | | |
(Cost $425,277) | | | | | | | 424,390 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 18.9% |
U.S. Treasury Bills |
5.21% due 01/04/242 | | $ | 200,000 | | | | 199,942 | |
5.17% due 01/09/242,3 | | | 22,000 | | | | 21,978 | |
Total U.S. Treasury Bills | | | | |
(Cost $221,888) | | | | | | | 221,920 | |
| | | | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 17.0% |
Farmer Mac |
4.59% due 01/05/242 | | | 100,000 | | | | 99,942 | |
Federal Home Loan Bank |
5.26% due 01/10/242 | | | 100,000 | | | | 99,868 | |
Total Federal Agency Discount Notes | | | | |
(Cost $199,810) | | | | | | | 199,810 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 25.2% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/245 | | | 163,419 | | | | 163,419 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/245 | | | 131,697 | | | | 131,697 | |
Total Repurchase Agreements | | | | |
(Cost $295,116) | | | | | | | 295,116 | |
| | | | | | | | | |
Total Investments — 97.3% | | | | |
(Cost $1,142,091) | | $ | 1,141,236 | |
Other Assets & Liabilities, net — 2.7% | | | 31,610 | |
Total Net Assets — 100.0% | | $ | 1,172,846 | |
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 | | | 2 | | | | Mar 2024 | | | $ | 481,900 | | | $ | (14,108 | ) |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Equity Index Swap Agreements Sold Short†† |
Barclays Bank plc | S&P 500 Index | Receive | 5.70% (SOFR + 0.30%) | | | At Maturity | | | | 03/20/24 | | | | 74 | | | $ | 353,033 | | | $ | 112 | |
Goldman Sachs International | S&P 500 Index | Receive | 5.63% (Federal Funds Rate + 0.30%) | | | At Maturity | | | | 03/21/24 | | | | 34 | | | | 164,491 | | | | (2,466 | ) |
BNP Paribas | S&P 500 Index | Receive | 5.53% (Federal Funds Rate + 0.20%) | | | At Maturity | | | | 03/21/24 | | | | 36 | | | | 172,452 | | | | (2,585 | ) |
| | | | | | | | | | | | | | | | | | $ | 689,976 | | | $ | (4,939 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
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 | 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 December 31, 2023. |
4 | Repurchase Agreements — See Note 6. |
5 | All or a portion of this security is pledged as equity index swap collateral at December 31, 2023. |
| | plc — Public Limited Company |
| | SOFR — Secured Overnight Financing Rate |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 424,390 | | | $ | — | | | $ | — | | | $ | 424,390 | |
U.S. Treasury Bills | | | — | | | | 221,920 | | | | — | | | | 221,920 | |
Federal Agency Discount Notes | | | — | | | | 199,810 | | | | — | | | | 199,810 | |
Repurchase Agreements | | | — | | | | 295,116 | | | | — | | | | 295,116 | |
Equity Index Swap Agreements** | | | — | | | | 112 | | | | — | | | | 112 | |
Total Assets | | $ | 424,390 | | | $ | 716,958 | | | $ | — | | | $ | 1,141,348 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Futures Contracts** | | $ | 14,108 | | | $ | — | | | $ | — | | | $ | 14,108 | |
Equity Index Swap Agreements** | | | — | | | | 5,051 | | | | — | | | | 5,051 | |
Total Liabilities | | $ | 14,108 | | | $ | 5,051 | | | $ | — | | | $ | 19,159 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
24 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/22 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
12/31/23 | | | Shares
12/31/23 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 345,744 | | | $ | — | | | $ | (140,000 | ) | | $ | (2,405 | ) | | $ | 8,551 | | | $ | 211,890 | | | | 8,649 | | | $ | 17,626 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 583,470 | | | | — | | | | (380,000 | ) | | | (6,441 | ) | | | 15,471 | | | | 212,500 | | | | 21,574 | | | | 23,092 | |
| | | $ | 929,214 | | | $ | — | | | $ | (520,000 | ) | | $ | (8,846 | ) | | $ | 24,022 | | | $ | 424,390 | | | | | | | $ | 40,718 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 25 |
INVERSE S&P 500® STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments in unaffiliated issuers, at value (cost $421,698) | | $ | 421,730 | |
Investments in affiliated issuers, at value (cost $425,277) | | | 424,390 | |
Repurchase agreements, at value (cost $295,116) | | | 295,116 | |
Segregated cash with broker | | | 34,745 | |
Unrealized appreciation on OTC swap agreements | | | 112 | |
Receivables: |
Fund shares sold | | | 4,853 | |
Dividends | | | 2,829 | |
Variation margin on futures contracts | | | 1,325 | |
Interest | | | 132 | |
Total assets | | | 1,185,232 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 5,051 | |
Payable for: |
Fund shares redeemed | | | 1,934 | |
Professional fees | | | 1,784 | |
Management fees | | | 861 | |
Transfer agent fees | | | 538 | |
Investor service fees | | | 257 | |
Swap settlement | | | 199 | |
Portfolio accounting and administration fees | | | 56 | |
Trustees’ fees* | | | 16 | |
Miscellaneous | | | 1,690 | |
Total liabilities | | | 12,386 | |
Net assets | | $ | 1,172,846 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 20,416,214 | |
Total distributable earnings (loss) | | | (19,243,368 | ) |
Net assets | | $ | 1,172,846 | |
Capital shares outstanding | | | 39,066 | |
Net asset value per share | | $ | 30.02 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 40,718 | |
Interest | | | 120,912 | |
Total investment income | | | 161,630 | |
| | | | | |
Expenses: |
Management fees | | | 28,737 | |
Investor service fees | | | 7,982 | |
Transfer agent fees | | | 9,039 | |
Portfolio accounting and administration fees | | | 4,949 | |
Professional fees | | | 2,808 | |
Trustees’ fees* | | | 811 | |
Custodian fees | | | 480 | |
Interest expense | | | 168 | |
Line of credit fees | | | 84 | |
Miscellaneous | | | 4,316 | |
Total expenses | | | 59,374 | |
Less: |
Expenses reimbursed by Adviser | | | (2,014 | ) |
Expenses waived by Adviser | | | (1,096 | ) |
Total waived/reimbursed expenses | | | (3,110 | ) |
Net expenses | | | 56,264 | |
Net investment income | | | 105,366 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 247 | |
Investments in affiliated issuers | | | (8,846 | ) |
Swap agreements | | | (555,304 | ) |
Futures contracts | | | 119,198 | |
Net realized loss | | | (444,705 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (219 | ) |
Investments in affiliated issuers | | | 24,022 | |
Swap agreements | | | (137,992 | ) |
Futures contracts | | | (63,177 | ) |
Net change in unrealized appreciation (depreciation) | | | (177,366 | ) |
Net realized and unrealized loss | | | (622,071 | ) |
Net decrease in net assets resulting from operations | | $ | (516,705 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
26 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE S&P 500® STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 105,366 | | | $ | 10,322 | |
Net realized loss on investments | | | (444,705 | ) | | | (976,297 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (177,366 | ) | | | 184,393 | |
Net decrease in net assets resulting from operations | | | (516,705 | ) | | | (781,582 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (45,498 | ) | | | — | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 93,249,805 | | | | 456,862,080 | |
Distributions reinvested | | | 45,498 | | | | — | |
Cost of shares redeemed | | | (97,716,195 | ) | | | (452,412,255 | ) |
Net increase (decrease) from capital share transactions | | | (4,420,892 | ) | | | 4,449,825 | |
Net increase (decrease) in net assets | | | (4,983,095 | ) | | | 3,668,243 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 6,155,941 | | | | 2,487,698 | |
End of year | | $ | 1,172,846 | | | $ | 6,155,941 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 2,800,795 | | | | 13,220,617 | |
Shares issued from reinvestment of distributions | | | 1,477 | | | | — | |
Shares redeemed | | | (2,933,004 | ) | | | (13,130,813 | ) |
Net increase (decrease) in shares | | | (130,732 | ) | | | 89,804 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 27 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 36.25 | | | $ | 31.10 | | | $ | 41.16 | | | $ | 55.29 | | | $ | 72.35 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 1.11 | | | | .05 | | | | (.53 | ) | | | (.48 | ) | | | .44 | |
Net gain (loss) on investments (realized and unrealized) | | | (6.51 | ) | | | 5.10 | e | | | (9.53 | ) | | | (13.31 | ) | | | (16.97 | ) |
Total from investment operations | | | (5.40 | ) | | | 5.15 | | | | (10.06 | ) | | | (13.79 | ) | | | (16.53 | ) |
Less distributions from: |
Net investment income | | | (.83 | ) | | | — | | | | — | | | | (.34 | ) | | | (.53 | ) |
Total distributions | | | (.83 | ) | | | — | | | | — | | | | (.34 | ) | | | (.53 | ) |
Net asset value, end of period | | $ | 30.02 | | | $ | 36.25 | | | $ | 31.10 | | | $ | 41.16 | | | $ | 55.29 | |
|
Total Returnb | | | (14.95 | %) | | | 16.56 | % | | | (24.44 | %) | | | (25.02 | %) | | | (22.91 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,173 | | | $ | 6,156 | | | $ | 2,488 | | | $ | 1,407 | | | $ | 1,759 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.30 | % | | | 0.13 | % | | | (1.48 | %) | | | (0.93 | %) | | | 0.71 | % |
Total expensesc | | | 1.86 | % | | | 1.82 | % | | | 1.74 | % | | | 1.88 | % | | | 1.88 | % |
Net expensesd | | | 1.76 | % | | | 1.75 | % | | | 1.69 | % | | | 1.83 | % | | | 1.82 | % |
Portfolio turnover rate | | | — | | | | — | | | | 1,675 | % | | | 1,417 | % | | | 442 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | 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. |
28 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
NASDAQ-100® FUND
OBJECTIVE: Seeks to provide investment results that correspond, before fees and expenses, to a benchmark for over-the-counter (“OTC”) securities on a daily basis. The Fund’s current benchmark is the NASDAQ-100® Index (the “underlying index”).
For the Reporting Period, the NASDAQ-100 Fund maintained a daily correlation of over 99% to its benchmark of 100% of the daily price movement of the NASDAQ-100® Index. The Fund returned 53.22%, while the NASDAQ-100 Index returned 55.13% over the same time period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Information Technology, Communication Services, and Consumer Discretionary. The only sector detracting from the return of the underlying index was Utilities.
The holdings contributing the most to the return of the underlying index were NVIDIA Corp., Microsoft Corp., and Apple, Inc. The holdings detracting the most were Moderna, Inc., Enphase Energy, Inc., and JD.com, Inc. ADR – Class A.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and not for hedging purposes. Derivatives performed as expected.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. For the Reporting Period, investment in the Short Term Investment Vehicles contributed to Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
| | THE RYDEX FUNDS ANNUAL REPORT | 29 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
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.
Cumulative Fund Performance*,†
Inception Date: May 7, 1997 |
Ten Largest Holdings | % of Total Net Assets |
Guggenheim Ultra Short Duration Fund — Institutional Class | 7.6% |
Apple, Inc. | 7.5% |
Guggenheim Strategy Fund II | 7.3% |
Microsoft Corp. | 7.0% |
Amazon.com, Inc. | 3.9% |
Broadcom, Inc. | 3.4% |
Meta Platforms, Inc. — Class A | 3.1% |
NVIDIA Corp. | 3.1% |
Tesla, Inc. | 3.0% |
Alphabet, Inc. — Class A | 2.1% |
Top Ten Total | 48.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
NASDAQ-100® Fund | 53.22% | 20.24% | 15.86% |
NASDAQ-100 Index | 55.13% | 22.66% | 17.91% |
* | 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. |
30 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
NASDAQ-100® FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 80.8% |
| | | | | | | | | |
Technology — 38.7% |
Apple, Inc. | | | 45,554 | | | $ | 8,770,512 | |
Microsoft Corp. | | | 21,769 | | | | 8,186,015 | |
Broadcom, Inc. | | | 3,534 | | | | 3,944,827 | |
NVIDIA Corp. | | | 7,235 | | | | 3,582,917 | |
Adobe, Inc.* | | | 3,444 | | | | 2,054,690 | |
Advanced Micro Devices, Inc.* | | | 12,221 | | | | 1,801,498 | |
Intel Corp. | | | 31,895 | | | | 1,602,724 | |
Intuit, Inc. | | | 2,118 | | | | 1,323,814 | |
QUALCOMM, Inc. | | | 8,420 | | | | 1,217,785 | |
Texas Instruments, Inc. | | | 6,871 | | | | 1,171,231 | |
Applied Materials, Inc. | | | 6,328 | | | | 1,025,579 | |
Lam Research Corp. | | | 997 | | | | 780,910 | |
Analog Devices, Inc. | | | 3,754 | | | | 745,394 | |
Micron Technology, Inc. | | | 8,350 | | | | 712,589 | |
KLA Corp. | | | 1,028 | | | | 597,576 | |
Synopsys, Inc.* | | | 1,151 | | | | 592,661 | |
Cadence Design Systems, Inc.* | | | 2,058 | | | | 560,537 | |
ASML Holding N.V. — Class G | | | 664 | | | | 502,595 | |
NXP Semiconductor N.V. | | | 1,950 | | | | 447,876 | |
Roper Technologies, Inc. | | | 808 | | | | 440,497 | |
Crowdstrike Holdings, Inc. — Class A* | | | 1,722 | | | | 439,661 | |
Workday, Inc. — Class A* | | | 1,581 | | | | 436,451 | |
Autodesk, Inc.* | | | 1,617 | | | | 393,707 | |
Marvell Technology, Inc. | | | 6,527 | | | | 393,643 | |
Microchip Technology, Inc. | | | 4,093 | | | | 369,107 | |
Fortinet, Inc.* | | | 5,809 | | | | 340,001 | |
Paychex, Inc. | | | 2,733 | | | | 325,528 | |
Cognizant Technology Solutions Corp. — Class A | | | 3,793 | | | | 286,485 | |
Atlassian Corp. — Class A* | | | 1,173 | | | | 279,010 | |
Electronic Arts, Inc. | | | 2,036 | | | | 278,545 | |
Datadog, Inc. — Class A* | | | 2,286 | | | | 277,475 | |
ON Semiconductor Corp.* | | | 3,258 | | | | 272,141 | |
GLOBALFOUNDRIES, Inc.*,1 | | | 4,144 | | | | 251,126 | |
Zscaler, Inc.* | | | 1,122 | | | | 248,590 | |
ANSYS, Inc.* | | | 657 | | | | 238,412 | |
MongoDB, Inc.* | | | 540 | | | | 220,779 | |
Take-Two Interactive Software, Inc.* | | | 1,287 | | | | 207,143 | |
Splunk, Inc.* | | | 1,275 | | | | 194,246 | |
Total Technology | | | | | | | 45,514,277 | |
| | | | | | | | | |
Communications — 20.3% |
Amazon.com, Inc.* | | | 30,268 | | | | 4,598,920 | |
Meta Platforms, Inc. — Class A* | | | 10,343 | | | | 3,661,008 | |
Alphabet, Inc. — Class A* | | | 17,334 | | | | 2,421,387 | |
Alphabet, Inc. — Class C* | | | 16,768 | | | | 2,363,114 | |
Netflix, Inc.* | | | 3,311 | | | | 1,612,060 | |
Cisco Systems, Inc. | | | 30,741 | | | | 1,553,036 | |
T-Mobile US, Inc. | | | 8,749 | | | | 1,402,727 | |
Comcast Corp. — Class A | | | 30,379 | | | | 1,332,119 | |
Booking Holdings, Inc.* | | | 264 | | | | 936,466 | |
PDD Holdings, Inc. ADR* | | | 5,053 | | | | 739,304 | |
Palo Alto Networks, Inc.* | | | 2,385 | | | | 703,289 | |
MercadoLibre, Inc.* | | | 382 | | | | 600,328 | |
Airbnb, Inc. — Class A* | | | 3,289 | | | | 447,765 | |
Charter Communications, Inc. — Class A* | | | 1,119 | | | | 434,933 | |
DoorDash, Inc. — Class A* | | | 2,805 | | | | 277,386 | |
Trade Desk, Inc. — Class A* | | | 3,376 | | | | 242,937 | |
CDW Corp. | | | 1,013 | | | | 230,275 | |
Warner Bros Discovery, Inc.* | | | 18,448 | | | | 209,938 | |
Sirius XM Holdings, Inc.1 | | | 29,042 | | | | 158,860 | |
Total Communications | | | | | | | 23,925,852 | |
| | | | | | | | | |
Consumer, Non-cyclical — 10.6% |
PepsiCo, Inc. | | | 10,401 | | | | 1,766,506 | |
Amgen, Inc. | | | 4,049 | | | | 1,166,193 | |
Intuitive Surgical, Inc.* | | | 2,663 | | | | 898,390 | |
Vertex Pharmaceuticals, Inc.* | | | 1,949 | | | | 793,029 | |
Gilead Sciences, Inc. | | | 9,426 | | | | 763,600 | |
Mondelez International, Inc. — Class A | | | 10,295 | | | | 745,667 | |
Automatic Data Processing, Inc. | | | 3,112 | | | | 725,002 | |
Regeneron Pharmaceuticals, Inc.* | | | 810 | | | | 711,415 | |
PayPal Holdings, Inc.* | | | 8,156 | | | | 500,860 | |
Cintas Corp. | | | 771 | | | | 464,651 | |
Monster Beverage Corp.* | | | 7,871 | | | | 453,448 | |
Dexcom, Inc.* | | | 2,923 | | | | 362,715 | |
Keurig Dr Pepper, Inc. | | | 10,579 | | | | 352,492 | |
IDEXX Laboratories, Inc.* | | | 628 | | | | 348,571 | |
Kraft Heinz Co. | | | 9,279 | | | | 343,137 | |
AstraZeneca plc ADR | | | 4,405 | | | | 296,677 | |
Moderna, Inc.* | | | 2,884 | | | | 286,814 | |
Biogen, Inc.* | | | 1,096 | | | | 283,612 | |
CoStar Group, Inc.* | | | 3,089 | | | | 269,948 | |
GE HealthCare Technologies, Inc. | | | 3,444 | | | | 266,290 | |
Verisk Analytics, Inc. — Class A | | | 1,097 | | | | 262,029 | |
Coca-Cola Europacific Partners plc | | | 3,456 | | | | 230,654 | |
Illumina, Inc.* | | | 1,201 | | | | 167,227 | |
Total Consumer, Non-cyclical | | | | | | | 12,458,927 | |
| | | | | | | | | |
Consumer, Cyclical — 8.2% |
Tesla, Inc.* | | | 14,094 | | | | 3,502,077 | |
Costco Wholesale Corp. | | | 3,349 | | | | 2,210,608 | |
Starbucks Corp. | | | 8,599 | | | | 825,590 | |
Marriott International, Inc. — Class A | | | 2,222 | | | | 501,083 | |
Lululemon Athletica, Inc.* | | | 919 | | | | 469,876 | |
O’Reilly Automotive, Inc.* | | | 448 | | | | 425,636 | |
PACCAR, Inc. | | | 3,957 | | | | 386,401 | |
Copart, Inc.* | | | 7,264 | | | | 355,936 | |
Ross Stores, Inc. | | | 2,562 | | | | 354,555 | |
Fastenal Co. | | | 4,323 | | | | 280,001 | |
Dollar Tree, Inc.* | | | 1,648 | | | | 234,098 | |
Walgreens Boots Alliance, Inc. | | | 6,536 | | | | 170,655 | |
Total Consumer, Cyclical | | | | | | | 9,716,516 | |
| | | | | | | | | |
Industrial — 1.6% |
Honeywell International, Inc. | | | 4,987 | | | | 1,045,824 | |
CSX Corp. | | | 14,950 | | | | 518,317 | |
Old Dominion Freight Line, Inc. | | | 825 | | | | 334,397 | |
Total Industrial | | | | | | | 1,898,538 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
NASDAQ-100® FUND | |
| | Shares | | | Value | |
Utilities — 1.0% |
American Electric Power Company, Inc. | | | 3,978 | | | $ | 323,093 | |
Constellation Energy Corp. | | | 2,416 | | | | 282,406 | |
Exelon Corp. | | | 7,531 | | | | 270,363 | |
Xcel Energy, Inc. | | | 4,175 | | | | 258,475 | |
Total Utilities | | | | | | | 1,134,337 | |
| | | | | | | | | |
Energy — 0.4% |
Baker Hughes Co. | | | 7,612 | | | | 260,178 | |
Diamondback Energy, Inc. | | | 1,354 | | | | 209,978 | |
Total Energy | | | | | | | 470,156 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $52,216,659) | | | | | | | 95,118,603 | |
| | | | | | | | | |
MUTUAL FUNDS† - 14.9% |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 909,569 | | | | 8,959,250 | |
Guggenheim Strategy Fund II2 | | | 347,696 | | | | 8,518,558 | |
Total Mutual Funds | | | | |
(Cost $17,605,877) | | | | | | | 17,477,808 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 1.0% |
U.S. Treasury Bills |
5.27% due 02/22/243,4 | | $ | 700,000 | | | | 694,796 | |
5.17% due 01/09/244,5 | | | 389,000 | | | | 388,603 | |
5.23% due 02/22/243,4 | | | 100,000 | | | | 99,257 | |
Total U.S. Treasury Bills | | | | |
(Cost $1,182,460) | | | | | | | 1,182,656 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,6 - 3.5% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/243 | | | 2,266,676 | | | | 2,266,676 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/243 | | | 1,826,683 | | | | 1,826,683 | |
Total Repurchase Agreements | | | | |
(Cost $4,093,359) | | | | | | | 4,093,359 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,7 - 0.3% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund - Class X, 5.29%8 | | | 322,836 | | | | 322,836 | |
Total Securities Lending Collateral | | | | |
(Cost $322,836) | | | | | | | 322,836 | |
| | | | | | | | | |
Total Investments — 100.5% | | | | |
(Cost $75,421,191) | | $ | 118,195,262 | |
Other Assets & Liabilities, net — (0.5)% | | | (531,794 | ) |
Total Net Assets — 100.0% | | $ | 117,663,468 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
NASDAQ-100 Index Mini Futures Contracts | | | 23 | | | | Mar 2024 | | | $ | 7,828,855 | | | $ | 262,234 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Goldman Sachs International | NASDAQ-100 Index | Pay | 5.83% (Federal Funds Rate + 0.50%) | | | At Maturity | | | | 03/21/24 | | | | 276 | | | $ | 4,641,505 | | | $ | 63,266 | |
BNP Paribas | NASDAQ-100 Index | Pay | 5.98% (Federal Funds Rate + 0.65%) | | | At Maturity | | | | 03/21/24 | | | | 78 | | | | 1,318,110 | | | | 21,300 | |
Barclays Bank plc | NASDAQ-100 Index | Pay | 5.90% (SOFR + 0.50%) | | | At Maturity | | | | 03/20/24 | | | | 517 | | | | 8,701,970 | | | | 7,284 | |
| | | | | | | | | | | | | | | | | | $ | 14,661,585 | | | $ | 91,850 | |
32 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
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 December 31, 2023 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at December 31, 2023. |
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 December 31, 2023. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7-day yield as of December 31, 2023. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | SOFR — Secured Overnight Financing Rate |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 95,118,603 | | | $ | — | | | $ | — | | | $ | 95,118,603 | |
Mutual Funds | | | 17,477,808 | | | | — | | | | — | | | | 17,477,808 | |
U.S. Treasury Bills | | | — | | | | 1,182,656 | | | | — | | | | 1,182,656 | |
Repurchase Agreements | | | — | | | | 4,093,359 | | | | — | | | | 4,093,359 | |
Securities Lending Collateral | | | 322,836 | | | | — | | | | — | | | | 322,836 | |
Equity Futures Contracts** | | | 262,234 | | | | — | | | | — | | | | 262,234 | |
Equity Index Swap Agreements** | | | — | | | | 91,850 | | | | — | | | | 91,850 | |
Total Assets | | $ | 113,181,481 | | | $ | 5,367,865 | | | $ | — | | | $ | 118,549,346 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/22 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
12/31/23 | | | Shares
12/31/23 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 10,341,915 | | | $ | — | | | $ | (2,000,000 | ) | | $ | (56,673 | ) | | $ | 233,316 | | | $ | 8,518,558 | | | | 347,696 | | | $ | 484,573 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 11,246,136 | | | | — | | | | (2,500,000 | ) | | | (57,588 | ) | | | 270,702 | | | | 8,959,250 | | | | 909,569 | | | | 513,987 | |
| | | $ | 21,588,051 | | | $ | — | | | $ | (4,500,000 | ) | | $ | (114,261 | ) | | $ | 504,018 | | | $ | 17,477,808 | | | | | | | $ | 998,560 | |
34 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments in unaffiliated issuers, at value - including $307,487 of securities loaned (cost $53,721,955) | | $ | 96,624,095 | |
Investments in affiliated issuers, at value (cost $17,605,877) | | | 17,477,808 | |
Repurchase agreements, at value (cost $4,093,359) | | | 4,093,359 | |
Segregated cash with broker | | | 103,661 | |
Unrealized appreciation on OTC swap agreements | | | 91,850 | |
Receivables: |
Fund shares sold | | | 209,761 | |
Dividends | | | 174,250 | |
Securities lending income | | | 3,375 | |
Interest | | | 1,821 | |
Total assets | | | 118,779,980 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 50,000 | |
Payable for: |
Return of securities lending collateral | | | 322,836 | |
Fund shares redeemed | | | 219,050 | |
Professional fees | | | 170,021 | |
Management fees | | | 71,447 | |
Transfer agent fees | | | 35,573 | |
Variation margin on futures contracts | | | 32,775 | |
Investor service fees | | | 24,446 | |
Swap settlement | | | 23,358 | |
Portfolio accounting and administration fees | | | 10,267 | |
Trustees’ fees* | | | 1,455 | |
Miscellaneous | | | 155,284 | |
Total liabilities | | | 1,116,512 | |
Net assets | | $ | 117,663,468 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 77,282,856 | |
Total distributable earnings (loss) | | | 40,380,612 | |
Net assets | | $ | 117,663,468 | |
Capital shares outstanding | | | 1,659,331 | |
Net asset value per share | | $ | 70.91 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $1,066) | | $ | 733,848 | |
Dividends from securities of affiliated issuers | | | 998,560 | |
Interest | | | 292,945 | |
Income from securities lending, net | | | 17,362 | |
Total investment income | | | 2,042,715 | |
| | | | | |
Expenses: |
Management fees | | | 763,604 | |
Investor service fees | | | 254,535 | |
Transfer agent fees | | | 242,971 | |
Professional fees | | | 180,003 | |
Portfolio accounting and administration fees | | | 157,809 | |
Interest expense | | | 34,290 | |
Custodian fees | | | 14,354 | |
Trustees’ fees* | | | 14,302 | |
Line of credit fees | | | 142 | |
Miscellaneous | | | 149,474 | |
Total expenses | | | 1,811,484 | |
Less: |
Expenses reimbursed by Adviser | | | (23,948 | ) |
Expenses waived by Adviser | | | (24,118 | ) |
Total waived/reimbursed expenses | | | (48,066 | ) |
Net expenses | | | 1,763,418 | |
Net investment income | | | 279,297 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 2,163,338 | |
Investments in affiliated issuers | | | (114,261 | ) |
Swap agreements | | | 5,781,563 | |
Futures contracts | | | 2,526,898 | |
Net realized gain | | | 10,357,538 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 27,484,998 | |
Investments in affiliated issuers | | | 504,018 | |
Swap agreements | | | 1,004,947 | |
Futures contracts | | | 1,025,100 | |
Net change in unrealized appreciation (depreciation) | | | 30,019,063 | |
Net realized and unrealized gain | | | 40,376,601 | |
Net increase in net assets resulting from operations | | $ | 40,655,898 | |
* | 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 ANNUAL REPORT | 35 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | 279,297 | | | $ | (270,589 | ) |
Net realized gain (loss) on investments | | | 10,357,538 | | | | (10,289,162 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 30,019,063 | | | | (35,956,099 | ) |
Net increase (decrease) in net assets resulting from operations | | | 40,655,898 | | | | (46,515,850 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (2,858,771 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 257,963,732 | | | | 205,400,530 | |
Distributions reinvested | | | — | | | | 2,858,771 | |
Cost of shares redeemed | | | (245,915,865 | ) | | | (233,329,698 | ) |
Net increase (decrease) from capital share transactions | | | 12,047,867 | | | | (25,070,397 | ) |
Net increase (decrease) in net assets | | | 52,703,765 | | | | (74,445,018 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 64,959,703 | | | | 139,404,721 | |
End of year | | $ | 117,663,468 | | | $ | 64,959,703 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 4,399,571 | | | | 3,593,298 | |
Shares issued from reinvestment of distributions | | | — | | | | 54,113 | |
Shares redeemed | | | (4,143,834 | ) | | | (4,156,462 | ) |
Net increase (decrease) in shares | | | 255,737 | | | | (509,051 | ) |
36 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 46.28 | | | $ | 72.89 | | | $ | 62.81 | | | $ | 48.86 | | | $ | 36.56 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .16 | | | | (.17 | ) | | | (.56 | ) | | | (.31 | ) | | | .18 | |
Net gain (loss) on investments (realized and unrealized) | | | 24.47 | | | | (24.48 | ) | | | 16.09 | | | | 21.04 | | | | 13.20 | |
Total from investment operations | | | 24.63 | | | | (24.65 | ) | | | 15.53 | | | | 20.73 | | | | 13.38 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | — | | | | (.17 | ) | | | (.05 | ) |
Net realized gains | | | — | | | | (1.96 | ) | | | (5.45 | ) | | | (6.61 | ) | | | (1.03 | ) |
Total distributions | | | — | | | | (1.96 | ) | | | (5.45 | ) | | | (6.78 | ) | | | (1.08 | ) |
Net asset value, end of period | | $ | 70.91 | | | $ | 46.28 | | | $ | 72.89 | | | $ | 62.81 | | | $ | 48.86 | |
|
Total Returnb | | | 53.22 | % | | | (34.14 | %) | | | 25.54 | % | | | 44.96 | % | | | 36.86 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 117,663 | | | $ | 64,960 | | | $ | 139,405 | | | $ | 112,787 | | | $ | 86,623 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.27 | % | | | (0.30 | %) | | | (0.83 | %) | | | (0.58 | %) | | | 0.41 | % |
Total expensesc | | | 1.78 | % | | | 1.71 | % | | | 1.63 | % | | | 1.76 | % | | | 1.76 | % |
Net expensesd | | | 1.73 | % | | | 1.68 | % | | | 1.61 | % | | | 1.72 | % | | | 1.70 | % |
Portfolio turnover rate | | | 151 | % | | | 168 | % | | | 57 | % | | | 142 | % | | | 61 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 37 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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.
For the Reporting Period, the Inverse NASDAQ-100 Strategy Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the NASDAQ-100 Index. The Fund returned -31.85%, while the NASDAQ-100 Index returned 55.13% over the same time period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Information Technology, Communication Services, and Consumer Discretionary. The only sector detracting from the return of the underlying index was Utilities.
The holdings contributing the most to the return of the underlying index were NVIDIA Corp., Microsoft Corp., and Apple, Inc. The holdings detracting the most were Moderna, Inc., Enphase Energy, Inc., and JD.com, Inc. ADR.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, the Fund’s 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 Fund holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. A significant contributor to the discrepancy between the leveraged and unleveraged indices is the effect of compounding on the leveraged index, which is discussed under “A Brief Note on the Compounding of Returns.”
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. For the Reporting Period, investment in the Short Term Investment Vehicles contributed to Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
38 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
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.
Cumulative Fund Performance*,†
Inception Date: May 21, 2001 |
Largest Holdings | % of Total Net Assets |
Guggenheim Ultra Short Duration Fund — Institutional Class | 18.1% |
Guggenheim Strategy Fund II | 17.8% |
Total | 35.9% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. The Fund invests principally in derivative investments such as swap agreements and futures contracts. |
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Inverse NASDAQ-100® Strategy Fund | (31.85%) | (21.10%) | (17.63%) |
NASDAQ-100 Index | 55.13% | 22.66% | 17.91% |
* | 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 39 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
INVERSE NASDAQ-100® STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 35.9% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 18,765 | | | $ | 184,832 | |
Guggenheim Strategy Fund II1 | | | 7,386 | | | | 180,958 | |
Total Mutual Funds | | | | |
(Cost $368,699) | | | | | | | 365,790 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 19.6% |
U.S. Treasury Bills |
5.21% due 01/04/242 | | $ | 200,000 | | | | 199,941 | |
Total U.S. Treasury Bills | | | | |
(Cost $199,913) | | | | | | | 199,941 | |
| | | | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 9.8% |
Federal Home Loan Bank |
5.26% due 01/10/242 | | | 100,000 | | | | 99,869 | |
Total Federal Agency Discount Notes | | | | |
(Cost $99,869) | | | | | | | 99,869 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,3 - 64.1% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/244 | | | 361,653 | | | | 361,653 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/244 | | | 291,451 | | | | 291,451 | |
Total Repurchase Agreements | | | | |
(Cost $653,104) | | | | | | | 653,104 | |
| | | | | | | | | |
Total Investments — 129.4% | | | | |
(Cost $1,321,585) | | $ | 1,318,704 | |
Other Assets & Liabilities, net — (29.4)% | | | (299,688 | ) |
Total Net Assets — 100.0% | | $ | 1,019,016 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Equity Index Swap Agreements Sold Short†† |
Goldman Sachs International | NASDAQ-100 Index | Receive | 5.63% (Federal Funds Rate + 0.30%) | | | At Maturity | | | | 03/21/24 | | | | 24 | | | $ | 408,354 | | | $ | 969 | |
Barclays Bank plc | NASDAQ-100 Index | Receive | 5.75% (SOFR + 0.35%) | | | At Maturity | | | | 03/20/24 | | | | 13 | | | | 219,794 | | | | (174 | ) |
BNP Paribas | NASDAQ-100 Index | Receive | 5.58% (Federal Funds Rate + 0.25%) | | | At Maturity | | | | 03/21/24 | | | | 22 | | | | 370,715 | | | | (5,984 | ) |
| | | | | | | | | | | | | | | | | | $ | 998,863 | | | $ | (5,189 | ) |
† | 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 | Repurchase Agreements — See Note 6. |
4 | All or a portion of this security is pledged as equity index swap collateral at December 31, 2023. |
| | plc — Public Limited Company |
| | SOFR — Secured Overnight Financing Rate |
| | |
| | See Sector Classification in Other Information section. |
40 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
INVERSE NASDAQ-100® STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 365,790 | | | $ | — | | | $ | — | | | $ | 365,790 | |
U.S. Treasury Bills | | | — | | | | 199,941 | | | | — | | | | 199,941 | |
Federal Agency Discount Notes | | | — | | | | 99,869 | | | | — | | | | 99,869 | |
Repurchase Agreements | | | — | | | | 653,104 | | | | — | | | | 653,104 | |
Equity Index Swap Agreements** | | | — | | | | 969 | | | | — | | | | 969 | |
Total Assets | | $ | 365,790 | | | $ | 953,883 | | | $ | — | | | $ | 1,319,673 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 6,158 | | | $ | — | | | $ | 6,158 | |
** | 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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/22 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
12/31/23 | | | Shares
12/31/23 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 261,546 | | | $ | — | | | $ | (85,000 | ) | | $ | (1,885 | ) | | $ | 6,297 | | | $ | 180,958 | | | | 7,386 | | | $ | 12,814 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 220,078 | | | | — | | | | (40,000 | ) | | | (325 | ) | | | 5,079 | | | | 184,832 | | | | 18,765 | | | | 11,874 | |
| | | $ | 481,624 | | | $ | — | | | $ | (125,000 | ) | | $ | (2,210 | ) | | $ | 11,376 | | | $ | 365,790 | | | | | | | $ | 24,688 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 41 |
INVERSE NASDAQ-100® STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments in unaffiliated issuers, at value (cost $299,782) | | $ | 299,810 | |
Investments in affiliated issuers, at value (cost $368,699) | | | 365,790 | |
Repurchase agreements, at value (cost $653,104) | | | 653,104 | |
Segregated cash with broker | | | 18,000 | |
Unrealized appreciation on OTC swap agreements | | | 969 | |
Receivables: |
Fund shares sold | | | 9,408 | |
Dividends | | | 2,056 | |
Interest | | | 291 | |
Total assets | | | 1,349,428 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 6,158 | |
Payable for: |
Fund shares redeemed | | | 315,188 | |
Swap settlement | | | 4,249 | |
Management fees | | | 788 | |
Transfer agent fees | | | 424 | |
Investor service fees | | | 232 | |
Portfolio accounting and administration fees | | | 51 | |
Trustees’ fees* | | | 14 | |
Miscellaneous | | | 3,308 | |
Total liabilities | | | 330,412 | |
Net assets | | $ | 1,019,016 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 10,522,148 | |
Total distributable earnings (loss) | | | (9,503,132 | ) |
Net assets | | $ | 1,019,016 | |
Capital shares outstanding | | | 59,260 | |
Net asset value per share | | $ | 17.20 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 24,688 | |
Interest | | | 117,445 | |
Total investment income | | | 142,133 | |
| | | | | |
Expenses: |
Management fees | | | 25,241 | |
Investor service fees | | | 7,011 | |
Transfer agent fees | | | 7,808 | |
Professional fees | | | 5,527 | |
Portfolio accounting and administration fees | | | 4,347 | |
Trustees’ fees* | | | 740 | |
Interest expense | | | 491 | |
Custodian fees | | | 425 | |
Miscellaneous | | | 1,593 | |
Total expenses | | | 53,183 | |
Less: |
Expenses reimbursed by Adviser | | | (1,749 | ) |
Expenses waived by Adviser | | | (555 | ) |
Total waived/reimbursed expenses | | | (2,304 | ) |
Net expenses | | | 50,879 | |
Net investment income | | | 91,254 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 73 | |
Investments in affiliated issuers | | | (2,210 | ) |
Swap agreements | | | (1,398,216 | ) |
Net realized loss | | | (1,400,353 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (365 | ) |
Investments in affiliated issuers | | | 11,376 | |
Swap agreements | | | (272,087 | ) |
Net change in unrealized appreciation (depreciation) | | | (261,076 | ) |
Net realized and unrealized loss | | | (1,661,429 | ) |
Net decrease in net assets resulting from operations | | $ | (1,570,175 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
42 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE NASDAQ-100® STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 91,254 | | | $ | 9,114 | |
Net realized gain (loss) on investments | | | (1,400,353 | ) | | | 49,541 | |
Net change in unrealized appreciation (depreciation) on investments | | | (261,076 | ) | | | 256,268 | |
Net increase (decrease) in net assets resulting from operations | | | (1,570,175 | ) | | | 314,923 | |
| | | | | | | | | |
Distributions to shareholders | | | (9,114 | ) | | | — | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 27,111,826 | | | | 106,230,169 | |
Distributions reinvested | | | 9,114 | | | | — | |
Cost of shares redeemed | | | (33,221,448 | ) | | | (99,499,765 | ) |
Net increase (decrease) from capital share transactions | | | (6,100,508 | ) | | | 6,730,404 | |
Net increase (decrease) in net assets | | | (7,679,797 | ) | | | 7,045,327 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 8,698,813 | | | | 1,653,486 | |
End of year | | $ | 1,019,016 | | | $ | 8,698,813 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 1,340,586 | | | | 4,706,278 | |
Shares issued from reinvestment of distributions | | | 505 | | | | — | |
Shares redeemed | | | (1,624,065 | ) | | | (4,451,724 | ) |
Net increase (decrease) in shares | | | (282,974 | ) | | | 254,554 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 43 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 25.42 | | | $ | 18.86 | | | $ | 25.30 | | | $ | 41.21 | | | $ | 57.64 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .69 | | | | .03 | | | | (.27 | ) | | | (.33 | ) | | | .34 | |
Net gain (loss) on investments (realized and unrealized) | | | (8.77 | ) | | | 6.53 | | | | (6.17 | ) | | | (15.28 | ) | | | (16.47 | ) |
Total from investment operations | | | (8.08 | ) | | | 6.56 | | | | (6.44 | ) | | | (15.61 | ) | | | (16.13 | ) |
Less distributions from: |
Net investment income | | | (.14 | ) | | | — | | | | — | | | | (.30 | ) | | | (.30 | ) |
Total distributions | | | (.14 | ) | | | — | | | | — | | | | (.30 | ) | | | (.30 | ) |
Net asset value, end of period | | $ | 17.20 | | | $ | 25.42 | | | $ | 18.86 | | | $ | 25.30 | | | $ | 41.21 | |
|
Total Returnb | | | (31.85 | %) | | | 34.78 | % | | | (25.45 | %) | | | (38.00 | %) | | | (28.01 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,019 | | | $ | 8,699 | | | $ | 1,653 | | | $ | 464 | | | $ | 592 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.25 | % | | | 0.12 | % | | | (1.23 | %) | | | (0.93 | %) | | | 0.70 | % |
Total expensesc | | | 1.90 | % | | | 1.94 | % | | | 1.78 | % | | | 1.92 | % | | | 1.92 | % |
Net expensesd | | | 1.81 | % | | | 1.88 | % | | | 1.71 | % | | | 1.87 | % | | | 1.84 | % |
Portfolio turnover rate | | | — | | | | 63 | % | | | 430 | % | | | 681 | % | | | 418 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
44 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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.
For the Reporting Period, the S&P 500 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the S&P 500 Index. The Fund returned 45.04%, while the S&P 500 Index returned 26.29% over the same time period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Information Technology, Consumer Discretionary, and Communication Services. The sectors detracting the most from the return of the underlying index were Utilities and Energy.
The holdings contributing the most to the return of the underlying index were Microsoft Corp., Apple, Inc., and NVIDIA Corp. The holdings detracting the most were Pfizer, Inc., Chevron Corp., and Johnson & Johnson.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, the Fund’s 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 Fund holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. A significant contributor to the discrepancy between the leveraged and unleveraged indices is the effect of compounding on the leveraged index, which is discussed under “A Brief Note on the Compounding of Returns.”
Performance displayed represents past performance, which is no guarantee of future results.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 45 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
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.
Cumulative Fund Performance*,†
Inception Date: October 1, 2001 |
Ten Largest Holdings | % of Total
Net Assets |
Apple, Inc. | 5.6% |
Microsoft Corp. | 5.6% |
Amazon.com, Inc. | 2.7% |
NVIDIA Corp. | 2.4% |
Alphabet, Inc. — Class A | 1.6% |
Meta Platforms, Inc. — Class A | 1.6% |
Alphabet, Inc. — Class C | 1.4% |
Tesla, Inc. | 1.4% |
Berkshire Hathaway, Inc. — Class B | 1.3% |
JPMorgan Chase & Co. | 1.0% |
Top Ten Total | 24.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
S&P 500® 2x Strategy Fund | 45.04% | 21.56% | 16.87% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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. |
46 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
S&P 500® 2x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 79.5% |
| | | | | | | | | |
Technology — 22.1% |
Apple, Inc. | | | 10,439 | | | $ | 2,009,821 | |
Microsoft Corp. | | | 5,307 | | | | 1,995,644 | |
NVIDIA Corp. | | | 1,763 | | | | 873,073 | |
Broadcom, Inc. | | | 313 | | | | 349,386 | |
Adobe, Inc.* | | | 326 | | | | 194,492 | |
Salesforce, Inc.* | | | 695 | | | | 182,882 | |
Advanced Micro Devices, Inc.* | | | 1,153 | | | | 169,964 | |
Accenture plc — Class A | | | 448 | | | | 157,208 | |
Intel Corp. | | | 3,011 | | | | 151,303 | |
Intuit, Inc. | | | 200 | | | | 125,006 | |
Oracle Corp. | | | 1,135 | | | | 119,663 | |
QUALCOMM, Inc. | | | 795 | | | | 114,981 | |
Texas Instruments, Inc. | | | 649 | | | | 110,628 | |
International Business Machines Corp. | | | 652 | | | | 106,634 | |
ServiceNow, Inc.* | | | 147 | | | | 103,854 | |
Applied Materials, Inc. | | | 598 | | | | 96,918 | |
Lam Research Corp. | | | 95 | | | | 74,410 | |
Analog Devices, Inc. | | | 356 | | | | 70,687 | |
Micron Technology, Inc. | | | 784 | | | | 66,907 | |
Fiserv, Inc.* | | | 429 | | | | 56,988 | |
KLA Corp. | | | 97 | | | | 56,386 | |
Synopsys, Inc.* | | | 109 | | | | 56,125 | |
Cadence Design Systems, Inc.* | | | 195 | | | | 53,112 | |
NXP Semiconductor N.V. | | | 184 | | | | 42,261 | |
Roper Technologies, Inc. | | | 76 | | | | 41,433 | |
Autodesk, Inc.* | | | 153 | | | | 37,253 | |
Microchip Technology, Inc. | | | 386 | | | | 34,809 | |
MSCI, Inc. — Class A | | | 56 | | | | 31,676 | |
Paychex, Inc. | | | 230 | | | | 27,395 | |
Cognizant Technology Solutions Corp. — Class A | | | 358 | | | | 27,040 | |
Fortinet, Inc.* | | | 455 | | | | 26,631 | |
ON Semiconductor Corp.* | | | 307 | | | | 25,644 | |
Fidelity National Information Services, Inc. | | | 423 | | | | 25,410 | |
Electronic Arts, Inc. | | | 175 | | | | 23,942 | |
ANSYS, Inc.* | | | 62 | | | | 22,499 | |
Monolithic Power Systems, Inc. | | | 34 | | | | 21,446 | |
Fair Isaac Corp.* | | | 18 | | | | 20,952 | |
HP, Inc. | | | 621 | | | | 18,686 | |
Take-Two Interactive Software, Inc.* | | | 113 | | | | 18,187 | |
Broadridge Financial Solutions, Inc. | | | 84 | | | | 17,283 | |
Hewlett Packard Enterprise Co. | | | 916 | | | | 15,554 | |
PTC, Inc.* | | | 85 | | | | 14,872 | |
NetApp, Inc. | | | 150 | | | | 13,224 | |
Skyworks Solutions, Inc. | | | 114 | | | | 12,816 | |
Akamai Technologies, Inc.* | | | 108 | | | | 12,782 | |
Tyler Technologies, Inc.* | | | 30 | | | | 12,544 | |
EPAM Systems, Inc.* | | | 41 | | | | 12,191 | |
Western Digital Corp.* | | | 232 | | | | 12,150 | |
Seagate Technology Holdings plc | | | 140 | | | | 11,952 | |
Teradyne, Inc. | | | 109 | | | | 11,829 | |
Leidos Holdings, Inc. | | | 98 | | | | 10,607 | |
Zebra Technologies Corp. — Class A* | | | 37 | | | | 10,113 | |
Jack Henry & Associates, Inc. | | | 52 | | | | 8,497 | |
Qorvo, Inc.* | | | 69 | | | | 7,770 | |
Ceridian HCM Holding, Inc.* | | | 111 | | | | 7,450 | |
Paycom Software, Inc. | | | 35 | | | | 7,235 | |
Total Technology | | | | | | | 7,940,205 | |
| | | | | | | | | |
Consumer, Non-cyclical — 15.1% |
UnitedHealth Group, Inc. | | | 660 | | | | 347,470 | |
Eli Lilly & Co. | | | 569 | | | | 331,682 | |
Johnson & Johnson | | | 1,718 | | | | 269,279 | |
Procter & Gamble Co. | | | 1,683 | | | | 246,627 | |
Merck & Company, Inc. | | | 1,810 | | | | 197,326 | |
AbbVie, Inc. | | | 1,261 | | | | 195,417 | |
PepsiCo, Inc. | | | 981 | | | | 166,613 | |
Coca-Cola Co. | | | 2,778 | | | | 163,708 | |
Thermo Fisher Scientific, Inc. | | | 276 | | | | 146,498 | |
Abbott Laboratories | | | 1,239 | | | | 136,377 | |
Pfizer, Inc. | | | 4,032 | | | | 116,081 | |
Amgen, Inc. | | | 382 | | | | 110,024 | |
Danaher Corp. | | | 469 | | | | 108,499 | |
Philip Morris International, Inc. | | | 1,108 | | | | 104,240 | |
S&P Global, Inc. | | | 231 | | | | 101,760 | |
Intuitive Surgical, Inc.* | | | 251 | | | | 84,677 | |
Elevance Health, Inc. | | | 168 | | | | 79,222 | |
Medtronic plc | | | 950 | | | | 78,261 | |
Vertex Pharmaceuticals, Inc.* | | | 184 | | | | 74,868 | |
Bristol-Myers Squibb Co. | | | 1,453 | | | | 74,554 | |
CVS Health Corp. | | | 917 | | | | 72,406 | |
Stryker Corp. | | | 241 | | | | 72,170 | |
Gilead Sciences, Inc. | | | 890 | | | | 72,099 | |
Mondelez International, Inc. — Class A | | | 972 | | | | 70,402 | |
Automatic Data Processing, Inc. | | | 294 | | | | 68,493 | |
Regeneron Pharmaceuticals, Inc.* | | | 77 | | | | 67,628 | |
Zoetis, Inc. | | | 328 | | | | 64,737 | |
Cigna Group | | | 209 | | | | 62,585 | |
Boston Scientific Corp.* | | | 1,045 | | | | 60,412 | |
Altria Group, Inc. | | | 1,262 | | | | 50,909 | |
Becton Dickinson & Co. | | | 207 | | | | 50,473 | |
PayPal Holdings, Inc.* | | | 770 | | | | 47,286 | |
Colgate-Palmolive Co. | | | 588 | | | | 46,869 | |
McKesson Corp. | | | 95 | | | | 43,983 | |
Moody’s Corp. | | | 112 | | | | 43,743 | |
Humana, Inc. | | | 88 | | | | 40,287 | |
HCA Healthcare, Inc. | | | 141 | | | | 38,166 | |
Cintas Corp. | | | 62 | | | | 37,365 | |
Dexcom, Inc.* | | | 276 | | | | 34,249 | |
Edwards Lifesciences Corp.* | | | 433 | | | | 33,016 | |
IDEXX Laboratories, Inc.* | | | 59 | | | | 32,748 | |
Monster Beverage Corp.* | | | 527 | | | | 30,360 | |
IQVIA Holdings, Inc.* | | | 131 | | | | 30,311 | |
Kimberly-Clark Corp. | | | 242 | | | | 29,405 | |
Agilent Technologies, Inc. | | | 210 | | | | 29,196 | |
Centene Corp.* | | | 381 | | | | 28,274 | |
United Rentals, Inc. | | | 49 | | | | 28,098 | |
Constellation Brands, Inc. — Class A | | | 115 | | | | 27,801 | |
Archer-Daniels-Midland Co. | | | 381 | | | | 27,516 | |
General Mills, Inc. | | | 415 | | | | 27,033 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 47 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
S&P 500® 2x STRATEGY FUND | |
| | Shares | | | Value | |
Biogen, Inc.* | | | 104 | | | $ | 26,912 | |
Kenvue, Inc. | | | 1,230 | | | | 26,482 | |
Sysco Corp. | | | 360 | | | | 26,327 | |
CoStar Group, Inc.* | | | 291 | | | | 25,430 | |
Gartner, Inc.* | | | 56 | | | | 25,262 | |
Verisk Analytics, Inc. — Class A | | | 104 | | | | 24,841 | |
Cencora, Inc. — Class A | | | 119 | | | | 24,440 | |
Estee Lauder Companies, Inc. — Class A | | | 166 | | | | 24,278 | |
Corteva, Inc. | | | 503 | | | | 24,104 | |
Keurig Dr Pepper, Inc. | | | 719 | | | | 23,957 | |
Global Payments, Inc. | | | 186 | | | | 23,622 | |
Moderna, Inc.* | | | 237 | | | | 23,570 | |
Quanta Services, Inc. | | | 104 | | | | 22,443 | |
Equifax, Inc. | | | 88 | | | | 21,761 | |
Kroger Co. | | | 472 | | | | 21,575 | |
GE HealthCare Technologies, Inc. | | | 279 | | | | 21,572 | |
Kraft Heinz Co. | | | 569 | | | | 21,042 | |
Hershey Co. | | | 108 | | | | 20,136 | |
West Pharmaceutical Services, Inc. | | | 53 | | | | 18,662 | |
Zimmer Biomet Holdings, Inc. | | | 149 | | | | 18,133 | |
ResMed, Inc. | | | 105 | | | | 18,062 | |
Cardinal Health, Inc. | | | 176 | | | | 17,741 | |
Church & Dwight Company, Inc. | | | 176 | | | | 16,643 | |
Illumina, Inc.* | | | 113 | | | | 15,734 | |
STERIS plc | | | 71 | | | | 15,609 | |
Molina Healthcare, Inc.* | | | 42 | | | | 15,175 | |
FleetCor Technologies, Inc.* | | | 52 | | | | 14,696 | |
Baxter International, Inc. | | | 363 | | | | 14,034 | |
Align Technology, Inc.* | | | 51 | | | | 13,974 | |
Laboratory Corporation of America Holdings | | | 61 | | | | 13,865 | |
Waters Corp.* | | | 42 | | | | 13,828 | |
Cooper Companies, Inc. | | | 35 | | | | 13,245 | |
Clorox Co. | | | 88 | | | | 12,548 | |
Hologic, Inc.* | | | 175 | | | | 12,504 | |
McCormick & Company, Inc. | | | 179 | | | | 12,247 | |
Avery Dennison Corp. | | | 57 | | | | 11,523 | |
Lamb Weston Holdings, Inc. | | | 104 | | | | 11,241 | |
Quest Diagnostics, Inc. | | | 80 | | | | 11,030 | |
Tyson Foods, Inc. — Class A | | | 204 | | | | 10,965 | |
Insulet Corp.* | | | 50 | | | | 10,849 | |
Kellanova | | | 188 | | | | 10,511 | |
Bunge Global S.A. | | | 104 | | | | 10,499 | |
Conagra Brands, Inc. | | | 341 | | | | 9,773 | |
Revvity, Inc. | | | 88 | | | | 9,619 | |
J M Smucker Co. | | | 76 | | | | 9,605 | |
Viatris, Inc. | | | 857 | | | | 9,281 | |
Charles River Laboratories International, Inc.* | | | 37 | | | | 8,747 | |
Rollins, Inc. | | | 200 | | | | 8,734 | |
Bio-Techne Corp. | | | 113 | | | | 8,719 | |
Teleflex, Inc. | | | 34 | | | | 8,478 | |
Incyte Corp.* | | | 133 | | | | 8,351 | |
Molson Coors Beverage Co. — Class B | | | 132 | | | | 8,080 | |
MarketAxess Holdings, Inc. | | | 27 | | | | 7,907 | |
Brown-Forman Corp. — Class B | | | 131 | | | | 7,480 | |
Henry Schein, Inc.* | | | 94 | | | | 7,117 | |
Universal Health Services, Inc. — Class B | | | 44 | | | | 6,707 | |
Robert Half, Inc. | | | 76 | | | | 6,682 | |
Hormel Foods Corp. | | | 207 | | | | 6,647 | |
Campbell Soup Co. | | | 140 | | | | 6,052 | |
Catalent, Inc.* | | | 129 | | | | 5,796 | |
Dentsply Sirona, Inc. | | | 152 | | | | 5,410 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 15 | | | | 4,843 | |
DaVita, Inc.* | | | 39 | | | | 4,086 | |
Total Consumer, Non-cyclical | | | | | | | 5,420,389 | |
| | | | | | | | | |
Financial — 11.2% |
Berkshire Hathaway, Inc. — Class B* | | | 1,299 | | | | 463,301 | |
JPMorgan Chase & Co. | | | 2,065 | | | | 351,257 | |
Visa, Inc. — Class A | | | 1,139 | | | | 296,539 | |
Mastercard, Inc. — Class A | | | 591 | | | | 252,067 | |
Bank of America Corp. | | | 4,916 | | | | 165,522 | |
Wells Fargo & Co. | | | 2,594 | | | | 127,677 | |
Goldman Sachs Group, Inc. | | | 233 | | | | 89,884 | |
Prologis, Inc. REIT | | | 660 | | | | 87,978 | |
Morgan Stanley | | | 903 | | | | 84,205 | |
BlackRock, Inc. — Class A | | | 100 | | | | 81,180 | |
American Express Co. | | | 411 | | | | 76,997 | |
Charles Schwab Corp. | | | 1,062 | | | | 73,065 | |
American Tower Corp. — Class A REIT | | | 333 | | | | 71,888 | |
Citigroup, Inc. | | | 1,367 | | | | 70,319 | |
Marsh & McLennan Companies, Inc. | | | 353 | | | | 66,883 | |
Progressive Corp. | | | 418 | | | | 66,579 | |
Blackstone, Inc. — Class A | | | 507 | | | | 66,376 | |
Chubb Ltd. | | | 292 | | | | 65,992 | |
CME Group, Inc. — Class A | | | 257 | | | | 54,124 | |
Equinix, Inc. REIT | | | 67 | | | | 53,961 | |
Intercontinental Exchange, Inc. | | | 409 | | | | 52,528 | |
U.S. Bancorp | | | 1,113 | | | | 48,171 | |
PNC Financial Services Group, Inc. | | | 284 | | | | 43,977 | |
Aon plc — Class A | | | 143 | | | | 41,616 | |
Crown Castle, Inc. REIT | | | 311 | | | | 35,824 | |
Capital One Financial Corp. | | | 272 | | | | 35,665 | |
Welltower, Inc. REIT | | | 395 | | | | 35,617 | |
Truist Financial Corp. | | | 952 | | | | 35,148 | |
Arthur J Gallagher & Co. | | | 154 | | | | 34,631 | |
Public Storage REIT | | | 113 | | | | 34,465 | |
American International Group, Inc. | | | 501 | | | | 33,943 | |
Simon Property Group, Inc. REIT | | | 233 | | | | 33,235 | |
Aflac, Inc. | | | 380 | | | | 31,350 | |
Travelers Companies, Inc. | | | 163 | | | | 31,050 | |
Realty Income Corp. REIT | | | 517 | | | | 29,686 | |
MetLife, Inc. | | | 444 | | | | 29,362 | |
Digital Realty Trust, Inc. REIT | | | 216 | | | | 29,069 | |
Bank of New York Mellon Corp. | | | 549 | | | | 28,575 | |
Ameriprise Financial, Inc. | | | 72 | | | | 27,348 | |
Prudential Financial, Inc. | | | 258 | | | | 26,757 | |
Allstate Corp. | | | 187 | | | | 26,176 | |
Extra Space Storage, Inc. REIT | | | 151 | | | | 24,210 | |
VICI Properties, Inc. REIT | | | 738 | | | | 23,527 | |
CBRE Group, Inc. — Class A* | | | 218 | | | | 20,294 | |
48 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
S&P 500® 2x STRATEGY FUND | |
| | Shares | | | Value | |
Discover Financial Services | | | 178 | | | $ | 20,007 | |
Arch Capital Group Ltd.* | | | 266 | | | | 19,756 | |
SBA Communications Corp. REIT | | | 77 | | | | 19,534 | |
AvalonBay Communities, Inc. REIT | | | 102 | | | | 19,097 | |
Weyerhaeuser Co. REIT | | | 521 | | | | 18,115 | |
Willis Towers Watson plc | | | 74 | | | | 17,849 | |
Hartford Financial Services Group, Inc. | | | 215 | | | | 17,282 | |
T. Rowe Price Group, Inc. | | | 160 | | | | 17,230 | |
State Street Corp. | | | 220 | | | | 17,041 | |
Fifth Third Bancorp | | | 486 | | | | 16,762 | |
M&T Bank Corp. | | | 118 | | | | 16,175 | |
Equity Residential REIT | | | 247 | | | | 15,107 | |
Raymond James Financial, Inc. | | | 134 | | | | 14,941 | |
Iron Mountain, Inc. REIT | | | 209 | | | | 14,626 | |
Ventas, Inc. REIT | | | 287 | | | | 14,304 | |
Alexandria Real Estate Equities, Inc. REIT | | | 112 | | | | 14,198 | |
Nasdaq, Inc. | | | 243 | | | | 14,128 | |
Invitation Homes, Inc. REIT | | | 411 | | | | 14,019 | |
Cboe Global Markets, Inc. | | | 75 | | | | 13,392 | |
Huntington Bancshares, Inc. | | | 1,034 | | | | 13,152 | |
Regions Financial Corp. | | | 665 | | | | 12,888 | |
Northern Trust Corp. | | | 148 | | | | 12,488 | |
Principal Financial Group, Inc. | | | 157 | | | | 12,351 | |
Brown & Brown, Inc. | | | 169 | | | | 12,018 | |
Cincinnati Financial Corp. | | | 112 | | | | 11,587 | |
Essex Property Trust, Inc. REIT | | | 46 | | | | 11,405 | |
Synchrony Financial | | | 296 | | | | 11,304 | |
Mid-America Apartment Communities, Inc. REIT | | | 83 | | | | 11,160 | |
Citizens Financial Group, Inc. | | | 333 | | | | 11,036 | |
Everest Group Ltd. | | | 31 | | | | 10,961 | |
W R Berkley Corp. | | | 145 | | | | 10,254 | |
Kimco Realty Corp. REIT | | | 475 | | | | 10,122 | |
Host Hotels & Resorts, Inc. REIT | | | 504 | | | | 9,813 | |
KeyCorp | | | 669 | | | | 9,634 | |
Loews Corp. | | | 131 | | | | 9,116 | |
UDR, Inc. REIT | | | 216 | | | | 8,271 | |
Regency Centers Corp. REIT | | | 118 | | | | 7,906 | |
Healthpeak Properties, Inc. REIT | | | 391 | | | | 7,742 | |
Camden Property Trust REIT | | | 76 | | | | 7,546 | |
Globe Life, Inc. | | | 61 | | | | 7,425 | |
Boston Properties, Inc. REIT | | | 103 | | | | 7,228 | |
Assurant, Inc. | | | 38 | | | | 6,403 | |
Franklin Resources, Inc. | | | 201 | | | | 5,988 | |
Invesco Ltd. | | | 321 | | | | 5,727 | |
Federal Realty Investment Trust REIT | | | 52 | | | | 5,359 | |
Comerica, Inc. | | | 94 | | | | 5,246 | |
Zions Bancorp North America | | | 106 | | | | 4,650 | |
Total Financial | | | | | | | 4,030,361 | |
| | | | | | | | | |
Communications — 11.2% |
Amazon.com, Inc.* | | | 6,494 | | | | 986,698 | |
Alphabet, Inc. — Class A* | | | 4,226 | | | | 590,330 | |
Meta Platforms, Inc. — Class A* | | | 1,585 | | | | 561,027 | |
Alphabet, Inc. — Class C* | | | 3,556 | | | | 501,147 | |
Netflix, Inc.* | | | 313 | | | | 152,394 | |
Cisco Systems, Inc. | | | 2,893 | | | | 146,154 | |
Comcast Corp. — Class A | | | 2,868 | | | | 125,762 | |
Walt Disney Co. | | | 1,307 | | | | 118,009 | |
Verizon Communications, Inc. | | | 3,002 | | | | 113,175 | |
Uber Technologies, Inc.* | | | 1,469 | | | | 90,446 | |
Booking Holdings, Inc.* | | | 25 | | | | 88,681 | |
AT&T, Inc. | | | 5,106 | | | | 85,679 | |
Palo Alto Networks, Inc.* | | | 222 | | | | 65,463 | |
T-Mobile US, Inc. | | | 363 | | | | 58,200 | |
Arista Networks, Inc.* | | | 180 | | | | 42,392 | |
Airbnb, Inc. — Class A* | | | 310 | | | | 42,203 | |
Motorola Solutions, Inc. | | | 119 | | | | 37,258 | |
Charter Communications, Inc. — Class A* | | | 72 | | | | 27,985 | |
CDW Corp. | | | 96 | | | | 21,823 | |
Warner Bros Discovery, Inc.* | | | 1,584 | | | | 18,026 | |
Corning, Inc. | | | 549 | | | | 16,717 | |
eBay, Inc. | | | 371 | | | | 16,183 | |
Expedia Group, Inc.* | | | 95 | | | | 14,420 | |
VeriSign, Inc.* | | | 64 | | | | 13,181 | |
FactSet Research Systems, Inc. | | | 27 | | | | 12,880 | |
Omnicom Group, Inc. | | | 141 | | | | 12,198 | |
Gen Digital, Inc. | | | 402 | | | | 9,174 | |
Interpublic Group of Companies, Inc. | | | 274 | | | | 8,943 | |
F5, Inc.* | | | 43 | | | | 7,696 | |
Match Group, Inc.* | | | 195 | | | | 7,118 | |
Etsy, Inc.* | | | 85 | | | | 6,889 | |
Juniper Networks, Inc. | | | 228 | | | | 6,721 | |
News Corp. — Class A | | | 272 | | | | 6,678 | |
Fox Corp. — Class A | | | 176 | | | | 5,222 | |
Paramount Global — Class B | | | 345 | | | | 5,103 | |
Fox Corp. — Class B | | | 94 | | | | 2,599 | |
News Corp. — Class B | | | 82 | | | | 2,109 | |
Total Communications | | | | | | | 4,026,683 | |
| | | | | | | | | |
Consumer, Cyclical — 7.2% |
Tesla, Inc.* | | | 1,974 | | | | 490,500 | |
Home Depot, Inc. | | | 714 | | | | 247,437 | |
Costco Wholesale Corp. | | | 316 | | | | 208,585 | |
Walmart, Inc. | | | 1,019 | | | | 160,645 | |
McDonald’s Corp. | | | 518 | | | | 153,592 | |
NIKE, Inc. — Class B | | | 874 | | | | 94,890 | |
Lowe’s Companies, Inc. | | | 412 | | | | 91,691 | |
Starbucks Corp. | | | 816 | | | | 78,344 | |
TJX Companies, Inc. | | | 817 | | | | 76,643 | |
Target Corp. | | | 330 | | | | 46,999 | |
Chipotle Mexican Grill, Inc. — Class A* | | | 20 | | | | 45,739 | |
Lululemon Athletica, Inc.* | | | 82 | | | | 41,926 | |
O’Reilly Automotive, Inc.* | | | 42 | | | | 39,903 | |
Marriott International, Inc. — Class A | | | 176 | | | | 39,690 | |
PACCAR, Inc. | | | 373 | | | | 36,423 | |
General Motors Co. | | | 977 | | | | 35,094 | |
Ford Motor Co. | | | 2,807 | | | | 34,217 | |
AutoZone, Inc.* | | | 13 | | | | 33,613 | |
Ross Stores, Inc. | | | 242 | | | | 33,490 | |
Hilton Worldwide Holdings, Inc. | | | 183 | | | | 33,322 | |
DR Horton, Inc. | | | 215 | | | | 32,676 | |
Copart, Inc.* | | | 625 | | | | 30,625 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
S&P 500® 2x STRATEGY FUND | |
| | Shares | | | Value | |
Lennar Corp. — Class A | | | 179 | | | $ | 26,678 | |
WW Grainger, Inc. | | | 32 | | | | 26,518 | |
Fastenal Co. | | | 408 | | | | 26,426 | |
Yum! Brands, Inc. | | | 200 | | | | 26,132 | |
Cummins, Inc. | | | 101 | | | | 24,197 | |
Royal Caribbean Cruises Ltd.* | | | 168 | | | | 21,755 | |
Dollar General Corp. | | | 158 | | | | 21,480 | |
Dollar Tree, Inc.* | | | 149 | | | | 21,165 | |
Delta Air Lines, Inc. | | | 460 | | | | 18,505 | |
Aptiv plc* | | | 202 | | | | 18,123 | |
Ulta Beauty, Inc.* | | | 35 | | | | 17,150 | |
Tractor Supply Co. | | | 77 | | | | 16,557 | |
PulteGroup, Inc. | | | 154 | | | | 15,896 | |
Darden Restaurants, Inc. | | | 86 | | | | 14,130 | |
NVR, Inc.* | | | 2 | | | | 14,001 | |
Genuine Parts Co. | | | 100 | | | | 13,850 | |
Walgreens Boots Alliance, Inc. | | | 512 | | | | 13,368 | |
Carnival Corp.* | | | 719 | | | | 13,330 | |
Las Vegas Sands Corp. | | | 263 | | | | 12,942 | |
Southwest Airlines Co. | | | 425 | | | | 12,274 | |
Pool Corp. | | | 28 | | | | 11,164 | |
Best Buy Company, Inc. | | | 138 | | | | 10,803 | |
Domino’s Pizza, Inc. | | | 25 | | | | 10,306 | |
United Airlines Holdings, Inc.* | | | 234 | | | | 9,655 | |
Live Nation Entertainment, Inc.* | | | 101 | | | | 9,454 | |
LKQ Corp. | | | 191 | | | | 9,128 | |
MGM Resorts International* | | | 195 | | | | 8,713 | |
CarMax, Inc.* | | | 113 | | | | 8,672 | |
Caesars Entertainment, Inc.* | | | 154 | | | | 7,219 | |
Bath & Body Works, Inc. | | | 162 | | | | 6,992 | |
American Airlines Group, Inc.* | | | 466 | | | | 6,403 | |
Wynn Resorts Ltd. | | | 69 | | | | 6,287 | |
Norwegian Cruise Line Holdings Ltd.* | | | 304 | | | | 6,092 | |
Tapestry, Inc. | | | 164 | | | | 6,037 | |
BorgWarner, Inc. | | | 168 | | | | 6,023 | |
Whirlpool Corp. | | | 39 | | | | 4,749 | |
Hasbro, Inc. | | | 93 | | | | 4,748 | |
VF Corp. | | | 236 | | | | 4,437 | |
Ralph Lauren Corp. — Class A | | | 28 | | | | 4,037 | |
Total Consumer, Cyclical | | | | | | | 2,601,440 | |
| | | | | | | | | |
Industrial — 6.1% |
Caterpillar, Inc. | | | 364 | | | | 107,624 | |
Union Pacific Corp. | | | 436 | | | | 107,090 | |
Boeing Co.* | | | 406 | | | | 105,828 | |
General Electric Co. | | | 778 | | | | 99,296 | |
Honeywell International, Inc. | | | 472 | | | | 98,983 | |
RTX Corp. | | | 1,027 | | | | 86,412 | |
United Parcel Service, Inc. — Class B | | | 516 | | | | 81,131 | |
Deere & Co. | | | 192 | | | | 76,775 | |
Lockheed Martin Corp. | | | 158 | | | | 71,612 | |
Eaton Corporation plc | | | 286 | | | | 68,874 | |
Illinois Tool Works, Inc. | | | 196 | | | | 51,340 | |
CSX Corp. | | | 1,412 | | | | 48,954 | |
Northrop Grumman Corp. | | | 101 | | | | 47,282 | |
Waste Management, Inc. | | | 262 | | | | 46,924 | |
3M Co. | | | 394 | | | | 43,072 | |
Parker-Hannifin Corp. | | | 92 | | | | 42,384 | |
Amphenol Corp. — Class A | | | 427 | | | | 42,329 | |
General Dynamics Corp. | | | 162 | | | | 42,066 | |
FedEx Corp. | | | 165 | | | | 41,740 | |
TransDigm Group, Inc. | | | 40 | | | | 40,464 | |
Trane Technologies plc | | | 163 | | | | 39,756 | |
Emerson Electric Co. | | | 408 | | | | 39,711 | |
Norfolk Southern Corp. | | | 162 | | | | 38,294 | |
Carrier Global Corp. | | | 599 | | | | 34,412 | |
TE Connectivity Ltd. | | | 222 | | | | 31,191 | |
L3Harris Technologies, Inc. | | | 135 | | | | 28,434 | |
Johnson Controls International plc | | | 486 | | | | 28,013 | |
AMETEK, Inc. | | | 165 | | | | 27,207 | |
Otis Worldwide Corp. | | | 292 | | | | 26,125 | |
Old Dominion Freight Line, Inc. | | | 64 | | | | 25,941 | |
Rockwell Automation, Inc. | | | 83 | | | | 25,770 | |
Republic Services, Inc. — Class A | | | 146 | | | | 24,077 | |
Ingersoll Rand, Inc. | | | 289 | | | | 22,352 | |
Martin Marietta Materials, Inc. | | | 44 | | | | 21,952 | |
Vulcan Materials Co. | | | 96 | | | | 21,793 | |
Keysight Technologies, Inc.* | | | 127 | | | | 20,205 | |
Xylem, Inc. | | | 172 | | | | 19,670 | |
Mettler-Toledo International, Inc.* | | | 16 | | | | 19,407 | |
Fortive Corp. | | | 251 | | | | 18,481 | |
Westinghouse Air Brake Technologies Corp. | | | 128 | | | | 16,243 | |
Dover Corp. | | | 100 | | | | 15,381 | |
Teledyne Technologies, Inc.* | | | 34 | | | | 15,174 | |
Howmet Aerospace, Inc. | | | 280 | | | | 15,153 | |
Builders FirstSource, Inc.* | | | 88 | | | | 14,691 | |
Garmin Ltd. | | | 110 | | | | 14,139 | |
Expeditors International of Washington, Inc. | | | 104 | | | | 13,229 | |
Ball Corp. | | | 225 | | | | 12,942 | |
Axon Enterprise, Inc.* | | | 50 | | | | 12,917 | |
Veralto Corp. | | | 157 | | | | 12,914 | |
Hubbell, Inc. | | | 39 | | | | 12,828 | |
IDEX Corp. | | | 54 | | | | 11,724 | |
Jacobs Solutions, Inc. | | | 90 | | | | 11,682 | |
Jabil, Inc. | | | 91 | | | | 11,593 | |
J.B. Hunt Transport Services, Inc. | | | 58 | | | | 11,585 | |
Textron, Inc. | | | 140 | | | | 11,259 | |
Snap-on, Inc. | | | 38 | | | | 10,976 | |
Stanley Black & Decker, Inc. | | | 110 | | | | 10,791 | |
Masco Corp. | | | 160 | | | | 10,717 | |
Packaging Corporation of America | | | 64 | | | | 10,426 | |
Nordson Corp. | | | 39 | | | | 10,302 | |
Amcor plc | | | 1,032 | | | | 9,948 | |
Trimble, Inc.* | | | 178 | | | | 9,470 | |
Pentair plc | | | 118 | | | | 8,580 | |
Allegion plc | | | 63 | | | | 7,982 | |
Westrock Co. | | | 184 | | | | 7,640 | |
Huntington Ingalls Industries, Inc. | | | 28 | | | | 7,270 | |
A O Smith Corp. | | | 88 | | | | 7,255 | |
CH Robinson Worldwide, Inc. | | | 83 | | | | 7,170 | |
Generac Holdings, Inc.* | | | 44 | | | | 5,686 | |
Mohawk Industries, Inc.* | | | 38 | | | | 3,933 | |
Total Industrial | | | | | | | 2,204,571 | |
| | | | | | | | | |
50 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
S&P 500® 2x STRATEGY FUND | |
| | Shares | | | Value | |
Energy — 3.2% |
Exxon Mobil Corp. | | | 2,860 | | | $ | 285,943 | |
Chevron Corp. | | | 1,254 | | | | 187,047 | |
ConocoPhillips | | | 848 | | | | 98,427 | |
Schlumberger N.V. | | | 1,020 | | | | 53,081 | |
EOG Resources, Inc. | | | 417 | | | | 50,436 | |
Phillips 66 | | | 314 | | | | 41,806 | |
Marathon Petroleum Corp. | | | 272 | | | | 40,354 | |
Pioneer Natural Resources Co. | | | 167 | | | | 37,555 | |
Valero Energy Corp. | | | 243 | | | | 31,590 | |
Williams Companies, Inc. | | | 868 | | | | 30,232 | |
ONEOK, Inc. | | | 416 | | | | 29,212 | |
Hess Corp. | | | 197 | | | | 28,400 | |
Occidental Petroleum Corp. | | | 471 | | | | 28,123 | |
Baker Hughes Co. | | | 719 | | | | 24,575 | |
Kinder Morgan, Inc. | | | 1,381 | | | | 24,361 | |
Halliburton Co. | | | 639 | | | | 23,100 | |
Devon Energy Corp. | | | 457 | | | | 20,702 | |
Diamondback Energy, Inc. | | | 128 | | | | 19,850 | |
Targa Resources Corp. | | | 159 | | | | 13,812 | |
Coterra Energy, Inc. — Class A | | | 538 | | | | 13,730 | |
First Solar, Inc.* | | | 77 | | | | 13,265 | |
Enphase Energy, Inc.* | | | 98 | | | | 12,950 | |
Equities Corp. | | | 294 | | | | 11,366 | |
Marathon Oil Corp. | | | 418 | | | | 10,099 | |
APA Corp. | | | 219 | | | | 7,858 | |
Total Energy | | | | | | | 1,137,874 | |
| | | | | | | | | |
Utilities — 1.8% |
NextEra Energy, Inc. | | | 1,466 | | | | 89,045 | |
Southern Co. | | | 779 | | | | 54,623 | |
Duke Energy Corp. | | | 550 | | | | 53,372 | |
Sempra | | | 449 | | | | 33,554 | |
American Electric Power Company, Inc. | | | 376 | | | | 30,539 | |
Dominion Energy, Inc. | | | 597 | | | | 28,059 | |
PG&E Corp. | | | 1,523 | | | | 27,460 | |
Constellation Energy Corp. | | | 228 | | | | 26,651 | |
Exelon Corp. | | | 710 | | | | 25,489 | |
Xcel Energy, Inc. | | | 394 | | | | 24,392 | |
Consolidated Edison, Inc. | | | 246 | | | | 22,379 | |
Public Service Enterprise Group, Inc. | | | 356 | | | | 21,769 | |
Edison International | | | 274 | | | | 19,588 | |
WEC Energy Group, Inc. | | | 225 | | | | 18,938 | |
American Water Works Company, Inc. | | | 139 | | | | 18,347 | |
DTE Energy Co. | | | 148 | | | | 16,318 | |
Eversource Energy | | | 250 | | | | 15,430 | |
Entergy Corp. | | | 151 | | | | 15,280 | |
PPL Corp. | | | 527 | | | | 14,282 | |
Ameren Corp. | | | 188 | | | | 13,600 | |
FirstEnergy Corp. | | | 369 | | | | 13,527 | |
CenterPoint Energy, Inc. | | | 451 | | | | 12,885 | |
Atmos Energy Corp. | | | 106 | | | | 12,285 | |
CMS Energy Corp. | | | 208 | | | | 12,079 | |
Alliant Energy Corp. | | | 182 | | | | 9,337 | |
AES Corp. | | | 478 | | | | 9,201 | |
Evergy, Inc. | | | 164 | | | | 8,561 | |
NRG Energy, Inc. | | | 161 | | | | 8,324 | |
NiSource, Inc. | | | 296 | | | | 7,859 | |
Pinnacle West Capital Corp. | | | 81 | | | | 5,819 | |
Total Utilities | | | | | | | 668,992 | |
| | | | | | | | | |
Basic Materials — 1.6% |
Linde plc | | | 346 | | | | 142,106 | |
Sherwin-Williams Co. | | | 168 | | | | 52,399 | |
Freeport-McMoRan, Inc. | | | 1,024 | | | | 43,592 | |
Air Products and Chemicals, Inc. | | | 159 | | | | 43,534 | |
Ecolab, Inc. | | | 181 | | | | 35,901 | |
Newmont Corp. | | | 824 | | | | 34,105 | |
Nucor Corp. | | | 175 | | | | 30,457 | |
Dow, Inc. | | | 501 | | | | 27,475 | |
PPG Industries, Inc. | | | 168 | | | | 25,124 | |
DuPont de Nemours, Inc. | | | 308 | | | | 23,694 | |
LyondellBasell Industries N.V. — Class A | | | 183 | | | | 17,400 | |
International Flavors & Fragrances, Inc. | | | 183 | | | | 14,818 | |
Steel Dynamics, Inc. | | | 109 | | | | 12,873 | |
Albemarle Corp. | | | 84 | | | | 12,136 | |
Celanese Corp. — Class A | | | 72 | | | | 11,187 | |
CF Industries Holdings, Inc. | | | 137 | | | | 10,892 | |
International Paper Co. | | | 247 | | | | 8,929 | |
Mosaic Co. | | | 233 | | | | 8,325 | |
Eastman Chemical Co. | | | 85 | | | | 7,635 | |
FMC Corp. | | | 89 | | | | 5,611 | |
Total Basic Materials | | | | | | | 568,193 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $23,017,160) | | | | | | | 28,598,708 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 4.3% |
U.S. Treasury Bills |
5.27% due 02/22/241,2 | | $ | 1,300,000 | | | | 1,290,336 | |
5.17% due 01/09/242,3 | | | 270,000 | | | | 269,725 | |
Total U.S. Treasury Bills | | | | |
(Cost $1,559,788) | | | | | | | 1,560,061 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 12.2% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/241 | | | 2,426,055 | | | | 2,426,055 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/241 | | | 1,955,124 | | | | 1,955,124 | |
Total Repurchase Agreements | | | | |
(Cost $4,381,179) | | | | | | | 4,381,179 | |
| | | | | | | | | |
Total Investments — 96.0% | | | | |
(Cost $28,958,127) | | $ | 34,539,948 | |
Other Assets & Liabilities, net — 4.0% | | | 1,436,746 | |
Total Net Assets — 100.0% | | $ | 35,976,694 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
S&P 500® 2x STRATEGY FUND | |
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 | | | 5 | | | | Mar 2024 | | | $ | 1,204,750 | | | $ | (21 | ) |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Goldman Sachs International | S&P 500 Index | Pay | 5.83% (Federal Funds Rate + 0.50%) | | | At Maturity | | | | 03/21/24 | | | | 5,649 | | | $ | 26,945,505 | | | $ | 336,836 | |
BNP Paribas | S&P 500 Index | Pay | 5.93% (Federal Funds Rate + 0.60%) | | | At Maturity | | | | 03/21/24 | | | | 851 | | | | 4,059,888 | | | | 60,840 | |
Barclays Bank plc | S&P 500 Index | Pay | 5.85% (SOFR + 0.45%) | | | At Maturity | | | | 03/20/24 | | | | 2,327 | | | | 11,100,626 | | | | 3,398 | |
| | | | | | | | | | | | | | | | | | $ | 42,106,019 | | | $ | 401,074 | |
* | 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 pledged as equity index swap collateral at December 31, 2023. |
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 December 31, 2023. |
4 | Repurchase Agreements — See Note 6. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | SOFR — Secured Overnight Financing Rate |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 28,598,708 | | | $ | — | | �� | $ | — | | | $ | 28,598,708 | |
U.S. Treasury Bills | | | — | | | | 1,560,061 | | | | — | | | | 1,560,061 | |
Repurchase Agreements | | | — | | | | 4,381,179 | | | | — | | | | 4,381,179 | |
Equity Index Swap Agreements** | | | — | | | | 401,074 | | | | — | | | | 401,074 | |
Total Assets | | $ | 28,598,708 | | | $ | 6,342,314 | | | $ | — | | | $ | 34,941,022 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Futures Contracts** | | $ | 21 | | | $ | — | | | $ | — | | | $ | 21 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
52 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $24,576,948) | | $ | 30,158,769 | |
Repurchase agreements, at value (cost $4,381,179) | | | 4,381,179 | |
Cash | | | 232 | |
Unrealized appreciation on OTC swap agreements | | | 401,074 | |
Receivables: |
Securities sold | | | 1,976,439 | |
Dividends | | | 27,710 | |
Interest | | | 1,949 | |
Total assets | | | 36,947,352 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 630,000 | |
Payable for: |
Fund shares redeemed | | | 150,396 | |
Swap settlement | | | 49,924 | |
Management fees | | | 26,756 | |
Transfer agent fees | | | 9,379 | |
Investor service fees | | | 7,432 | |
Portfolio accounting and administration fees | | | 1,635 | |
Securities purchased | | | 725 | |
Trustees’ fees* | | | 433 | |
Variation margin on futures contracts | | | 20 | |
Miscellaneous | | | 93,958 | |
Total liabilities | | | 970,658 | |
Net assets | | $ | 35,976,694 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 56,694,551 | |
Total distributable earnings (loss) | | | (20,717,857 | ) |
Net assets | | $ | 35,976,694 | |
Capital shares outstanding | | | 105,150 | |
Net asset value per share | | $ | 342.15 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $88) | | $ | 329,261 | |
Interest | | | 340,931 | |
Income from securities lending, net | | | 184 | |
Total investment income | | | 670,376 | |
| | | | | |
Expenses: |
Management fees | | | 234,735 | |
Investor service fees | | | 65,204 | |
Transfer agent fees | | | 73,835 | |
Professional fees | | | 56,504 | |
Portfolio accounting and administration fees | | | 40,426 | |
Interest expense | | | 18,405 | |
Trustees’ fees* | | | 7,675 | |
Custodian fees | | | 4,187 | |
Line of credit fees | | | 144 | |
Miscellaneous | | | 1,428 | |
Total expenses | | | 502,543 | |
Less: |
Expenses reimbursed by Adviser | | | (18,637 | ) |
Net expenses | | | 483,906 | |
Net investment income | | | 186,470 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (451,660 | ) |
Swap agreements | | | 3,543,585 | |
Futures contracts | | | 1,490,995 | |
Net realized gain | | | 4,582,920 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 4,266,706 | |
Swap agreements | | | 673,238 | |
Futures contracts | | | 20,354 | |
Net change in unrealized appreciation (depreciation) | | | 4,960,298 | |
Net realized and unrealized gain | | | 9,543,218 | |
Net increase in net assets resulting from operations | | $ | 9,729,688 | |
* | 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 ANNUAL REPORT | 53 |
S&P 500® 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 186,470 | | | $ | 9,277 | |
Net realized gain (loss) on investments | | | 4,582,920 | | | | (28,777,108 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 4,960,298 | | | | (1,530,026 | ) |
Net increase (decrease) in net assets resulting from operations | | | 9,729,688 | | | | (30,297,857 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (22,232 | ) | | | (3,768,617 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 267,125,621 | | | | 961,517,884 | |
Distributions reinvested | | | 22,232 | | | | 3,768,617 | |
Cost of shares redeemed | | | (257,360,873 | ) | | | (1,005,586,879 | ) |
Net increase (decrease) from capital share transactions | | | 9,786,980 | | | | (40,300,378 | ) |
Net increase (decrease) in net assets | | | 19,494,436 | | | | (74,366,852 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 16,482,258 | | | | 90,849,110 | |
End of year | | $ | 35,976,694 | | | $ | 16,482,258 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 1,005,151 | | | | 2,982,448 | |
Shares issued from reinvestment of distributions | | | 71 | | | | 14,517 | |
Shares redeemed | | | (969,875 | ) | | | (3,109,135 | ) |
Net increase (decrease) in shares | | | 35,347 | | | | (112,170 | ) |
54 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 236.13 | | | $ | 499.24 | | | $ | 315.43 | | | $ | 313.21 | | | $ | 192.73 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 2.04 | | | | .07 | | | | (2.79 | ) | | | (1.21 | ) | | | 1.59 | |
Net gain (loss) on investments (realized and unrealized) | | | 104.22 | | | | (192.13 | ) | | | 186.60 | | | | 45.29 | e | | | 118.89 | |
Total from investment operations | | | 106.26 | | | | (192.06 | ) | | | 183.81 | | | | 44.08 | | | | 120.48 | |
Less distributions from: |
Net investment income | | | (.24 | ) | | | — | | | | — | | | | (1.68 | ) | | | — | |
Net realized gains | | | — | | | | (71.05 | ) | | | — | | | | (40.18 | ) | | | — | |
Total distributions | | | (.24 | ) | | | (71.05 | ) | | | — | | | | (41.86 | ) | | | — | |
Net asset value, end of period | | $ | 342.15 | | | $ | 236.13 | | | $ | 499.24 | | | $ | 315.43 | | | $ | 313.21 | |
|
Total Returnb | | | 45.04 | % | | | (39.77 | %) | | | 58.27 | % | | | 18.10 | % | | | 62.51 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 35,977 | | | $ | 16,482 | | | $ | 90,849 | | | $ | 36,688 | | | $ | 54,196 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.71 | % | | | 0.02 | % | | | (0.68 | %) | | | (0.44 | %) | | | 0.62 | % |
Total expensesc | | | 1.93 | % | | | 1.84 | % | | | 1.75 | % | | | 1.87 | % | | | 1.87 | % |
Net expensesd | | | 1.86 | % | | | 1.77 | % | | | 1.71 | % | | | 1.83 | % | | | 1.80 | % |
Portfolio turnover rate | | | 436 | % | | | 1,703 | % | | | 2,834 | % | | | 2,610 | % | | | 248 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | 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 ANNUAL REPORT | 55 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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.
For the Reporting Period, the NASDAQ-100® 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the NASDAQ-100 Index. The Fund returned 116.07%, while the NASDAQ-100 Index returned 55.13% over the same time period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Information Technology, Communication Services, and Consumer Discretionary. The only sector detracting from the return of the underlying index was Utilities.
The holdings contributing the most to the return of the underlying index were NVIDIA Corp., Microsoft Corp., and Apple, Inc. The holdings detracting the most were Moderna, Inc., Enphase Energy, Inc., and JD.com, Inc. ADR - Class A.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, the Fund’s 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 Fund holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. A significant contributor to the discrepancy between the leveraged and unleveraged indices is the effect of compounding on the leveraged index, which is discussed under “A Brief Note on the Compounding of Returns.”
Performance displayed represents past performance, which is no guarantee of future results.
56 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Cumulative Fund Performance*,†
Inception Date: October 1, 2001 |
Ten Largest Holdings | % of Total Net Assets |
Apple, Inc. | 7.6% |
Microsoft Corp. | 7.1% |
Amazon.com, Inc. | 4.0% |
Broadcom, Inc. | 3.4% |
Meta Platforms, Inc. — Class A | 3.2% |
NVIDIA Corp. | 3.1% |
Tesla, Inc. | 3.1% |
Alphabet, Inc. — Class A | 2.1% |
Alphabet, Inc. — Class C | 2.1% |
Costco Wholesale Corp. | 1.9% |
Top Ten Total | 37.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
NASDAQ-100® 2x Strategy Fund | 116.07% | 34.23% | 27.66% |
NASDAQ-100 Index | 55.13% | 22.66% | 17.91% |
* | 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
NASDAQ-100® 2x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† — 82.7% |
| | | | | | | | | |
Technology — 39.6% |
Apple, Inc. | | | 47,399 | | | $ | 9,125,729 | |
Microsoft Corp. | | | 22,650 | | | | 8,517,306 | |
Broadcom, Inc. | | | 3,677 | | | | 4,104,451 | |
NVIDIA Corp. | | | 7,528 | | | | 3,728,016 | |
Adobe, Inc.* | | | 3,584 | | | | 2,138,214 | |
Advanced Micro Devices, Inc.* | | | 12,717 | | | | 1,874,613 | |
Intel Corp. | | | 33,186 | | | | 1,667,596 | |
Intuit, Inc. | | | 2,203 | | | | 1,376,941 | |
QUALCOMM, Inc. | | | 8,761 | | | | 1,267,103 | |
Texas Instruments, Inc. | | | 7,149 | | | | 1,218,619 | |
Applied Materials, Inc. | | | 6,585 | | | | 1,067,231 | |
Lam Research Corp. | | | 1,037 | | | | 812,241 | |
Analog Devices, Inc. | | | 3,906 | | | | 775,575 | |
Micron Technology, Inc. | | | 8,688 | | | | 741,434 | |
KLA Corp. | | | 1,070 | | | | 621,991 | |
Synopsys, Inc.* | | | 1,197 | | | | 616,347 | |
Cadence Design Systems, Inc.* | | | 2,141 | | | | 583,144 | |
ASML Holding N.V. — Class G | | | 691 | | | | 523,032 | |
NXP Semiconductor N.V. | | | 2,029 | | | | 466,021 | |
Roper Technologies, Inc. | | | 841 | | | | 458,488 | |
Crowdstrike Holdings, Inc. — Class A* | | | 1,792 | | | | 457,533 | |
Workday, Inc. — Class A* | | | 1,645 | | | | 454,119 | |
Autodesk, Inc.* | | | 1,683 | | | | 409,777 | |
Marvell Technology, Inc. | | | 6,792 | | | | 409,625 | |
Microchip Technology, Inc. | | | 4,259 | | | | 384,077 | |
Fortinet, Inc.* | | | 6,045 | | | | 353,814 | |
Paychex, Inc. | | | 2,844 | | | | 338,749 | |
Cognizant Technology Solutions Corp. — Class A | | | 3,947 | | | | 298,117 | |
Atlassian Corp. — Class A* | | | 1,220 | | | | 290,189 | |
Electronic Arts, Inc. | | | 2,119 | | | | 289,900 | |
Datadog, Inc. — Class A* | | | 2,379 | | | | 288,763 | |
ON Semiconductor Corp.* | | | 3,390 | | | | 283,167 | |
GLOBALFOUNDRIES, Inc.*,1 | | | 4,311 | | | | 261,247 | |
Zscaler, Inc.* | | | 1,167 | | | | 258,561 | |
ANSYS, Inc.* | | | 684 | | | | 248,210 | |
MongoDB, Inc.* | | | 562 | | | | 229,774 | |
Take-Two Interactive Software, Inc.* | | | 1,339 | | | | 215,512 | |
Splunk, Inc.* | | | 1,325 | | | | 201,864 | |
Total Technology | | | | | | | 47,357,090 | |
| | | | | | | | | |
Communications — 20.8% |
Amazon.com, Inc.* | | | 31,494 | | | | 4,785,198 | |
Meta Platforms, Inc. — Class A* | | | 10,761 | | | | 3,808,964 | |
Alphabet, Inc. — Class A* | | | 18,036 | | | | 2,519,449 | |
Alphabet, Inc. — Class C* | | | 17,448 | | | | 2,458,947 | |
Netflix, Inc.* | | | 3,444 | | | | 1,676,815 | |
Cisco Systems, Inc. | | | 31,985 | | | | 1,615,882 | |
T-Mobile US, Inc. | | | 9,103 | | | | 1,459,484 | |
Comcast Corp. — Class A | | | 31,609 | | | | 1,386,055 | |
Booking Holdings, Inc.* | | | 274 | | | | 971,938 | |
PDD Holdings, Inc. ADR* | | | 5,258 | | | | 769,298 | |
Palo Alto Networks, Inc.* | | | 2,481 | | | | 731,597 | |
MercadoLibre, Inc.* | | | 398 | | | | 625,473 | |
Airbnb, Inc. — Class A* | | | 3,422 | | | | 465,871 | |
Charter Communications, Inc. — Class A* | | | 1,164 | | | | 452,424 | |
DoorDash, Inc. — Class A* | | | 2,918 | | | | 288,561 | |
Trade Desk, Inc. — Class A* | | | 3,513 | | | | 252,795 | |
CDW Corp. | | | 1,054 | | | | 239,595 | |
Warner Bros Discovery, Inc.* | | | 19,196 | | | | 218,450 | |
Sirius XM Holdings, Inc.1 | | | 30,217 | | | | 165,287 | |
Total Communications | | | | | | | 24,892,083 | |
| | | | | | | | | |
Consumer, Non-cyclical — 10.8% |
PepsiCo, Inc. | | | 10,822 | | | | 1,838,009 | |
Amgen, Inc. | | | 4,212 | | | | 1,213,140 | |
Intuitive Surgical, Inc.* | | | 2,771 | | | | 934,824 | |
Vertex Pharmaceuticals, Inc.* | | | 2,028 | | | | 825,173 | |
Gilead Sciences, Inc. | | | 9,809 | | | | 794,627 | |
Mondelez International, Inc. — Class A | | | 10,712 | | | | 775,870 | |
Automatic Data Processing, Inc. | | | 3,238 | | | | 754,357 | |
Regeneron Pharmaceuticals, Inc.* | | | 843 | | | | 740,399 | |
PayPal Holdings, Inc.* | | | 8,486 | | | | 521,125 | |
Cintas Corp. | | | 802 | | | | 483,333 | |
Monster Beverage Corp.* | | | 8,190 | | | | 471,826 | |
Dexcom, Inc.* | | | 3,041 | | | | 377,358 | |
Keurig Dr Pepper, Inc. | | | 11,007 | | | | 366,753 | |
IDEXX Laboratories, Inc.* | | | 654 | | | | 363,003 | |
Kraft Heinz Co. | | | 9,655 | | | | 357,042 | |
AstraZeneca plc ADR | | | 4,584 | | | | 308,732 | |
Moderna, Inc.* | | | 3,001 | | | | 298,449 | |
Biogen, Inc.* | | | 1,141 | | | | 295,257 | |
CoStar Group, Inc.* | | | 3,214 | | | | 280,872 | |
GE HealthCare Technologies, Inc. | | | 3,584 | | | | 277,115 | |
Verisk Analytics, Inc. — Class A | | | 1,141 | | | | 272,539 | |
Coca-Cola Europacific Partners plc | | | 3,596 | | | | 239,997 | |
Illumina, Inc.* | | | 1,249 | | | | 173,911 | |
Total Consumer, Non-cyclical | | | | | | | 12,963,711 | |
| | | | | | | | | |
Consumer, Cyclical — 8.4% |
Tesla, Inc.* | | | 14,664 | | | | 3,643,711 | |
Costco Wholesale Corp. | | | 3,485 | | | | 2,300,379 | |
Starbucks Corp. | | | 8,947 | | | | 859,002 | |
Marriott International, Inc. — Class A | | | 2,312 | | | | 521,379 | |
Lululemon Athletica, Inc.* | | | 955 | | | | 488,282 | |
O’Reilly Automotive, Inc.* | | | 465 | | | | 441,787 | |
PACCAR, Inc. | | | 4,118 | | | | 402,122 | |
Copart, Inc.* | | | 7,559 | | | | 370,391 | |
Ross Stores, Inc. | | | 2,665 | | | | 368,809 | |
Fastenal Co. | | | 4,498 | | | | 291,336 | |
Dollar Tree, Inc.* | | | 1,715 | | | | 243,616 | |
Walgreens Boots Alliance, Inc. | | | 6,801 | | | | 177,574 | |
Total Consumer, Cyclical | | | | | | | 10,108,388 | |
| | | | | | | | | |
Industrial — 1.7% |
Honeywell International, Inc. | | | 5,189 | | | | 1,088,185 | |
CSX Corp. | | | 15,555 | | | | 539,292 | |
Old Dominion Freight Line, Inc. | | | 859 | | | | 348,178 | |
Total Industrial | | | | | | | 1,975,655 | |
| | | | | | | | | |
58 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
NASDAQ-100® 2x STRATEGY FUND | |
| | Shares | | | Value | |
Utilities — 1.0% |
American Electric Power Company, Inc. | | | 4,140 | | | $ | 336,251 | |
Constellation Energy Corp. | | | 2,513 | | | | 293,745 | |
Exelon Corp. | | | 7,836 | | | | 281,312 | |
Xcel Energy, Inc. | | | 4,344 | | | | 268,937 | |
Total Utilities | | | | | | | 1,180,245 | |
| | | | | | | | | |
Energy — 0.4% |
Baker Hughes Co. | | | 7,921 | | | | 270,740 | |
Diamondback Energy, Inc. | | | 1,409 | | | | 218,507 | |
Total Energy | | | | | | | 489,247 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $71,703,831) | | | | | | | 98,966,419 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 9.7% |
U.S. Treasury Bills |
5.27% due 02/22/242,3 | | $ | 5,100,000 | | | | 5,062,088 | |
5.28% due 02/06/242,3 | | | 5,000,000 | | | | 4,974,336 | |
5.17% due 01/09/243,4 | | | 982,000 | | | | 980,999 | |
5.25% due 02/22/242,3 | | | 500,000 | | | | 496,283 | |
5.23% due 02/22/242,3 | | | 200,000 | | | | 198,513 | |
Total U.S. Treasury Bills | | | | |
(Cost $11,710,346) | | | | | | | 11,712,219 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,5 — 11.0% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/242 | | | 7,275,184 | | | | 7,275,184 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/242 | | | 5,862,970 | | | | 5,862,970 | |
Total Repurchase Agreements | | | | |
(Cost $13,138,154) | | | | | | | 13,138,154 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,6 — 0.3% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund - Class X, 5.29%7 | | | 301,978 | | | | 301,978 | |
Total Securities Lending Collateral | | | | |
(Cost $301,978) | | | | | | | 301,978 | |
| | | | | | | | | |
Total Investments — 103.7% | | | | |
(Cost $96,854,309) | | $ | 124,118,770 | |
Other Assets & Liabilities, net — (3.7)% | | | (4,451,613 | ) |
Total Net Assets — 100.0% | | $ | 119,667,157 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
NASDAQ-100 Index Mini Futures Contracts | | | 54 | | | | Mar 2024 | | | $ | 18,380,790 | | | $ | 197,293 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Goldman Sachs International | NASDAQ-100 Index | Pay | 5.83% (Federal Funds Rate + 0.50%) | | | At Maturity | | | | 03/21/24 | | | | 4,064 | | | $ | 68,373,221 | | | $ | 948,383 | |
BNP Paribas | NASDAQ-100 Index | Pay | 5.98% (Federal Funds Rate + 0.65%) | | | At Maturity | | | | 03/21/24 | | | | 473 | | | | 7,950,397 | | | | 128,404 | |
Barclays Bank plc | NASDAQ-100 Index | Pay | 5.90% (SOFR + 0.50%) | | | At Maturity | | | | 03/20/24 | | | | 2,728 | | | | 45,907,852 | | | | 38,402 | |
| | | | | | | | | | | | | | | | | | $ | 122,231,470 | | | $ | 1,115,189 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
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 December 31, 2023 — See Note 7. |
2 | All or a portion of this security is pledged as equity index swap collateral at December 31, 2023. |
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 December 31, 2023. |
5 | Repurchase Agreements — See Note 6. |
6 | Securities lending collateral — See Note 7. |
7 | Rate indicated is the 7-day yield as of December 31, 2023. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | SOFR — Secured Overnight Financing Rate |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 98,966,419 | | | $ | — | | | $ | — | | | $ | 98,966,419 | |
U.S. Treasury Bills | | | — | | | | 11,712,219 | | | | — | | | | 11,712,219 | |
Repurchase Agreements | | | — | | | | 13,138,154 | | | | — | | | | 13,138,154 | |
Securities Lending Collateral | | | 301,978 | | | | — | | | | ��� | | | | 301,978 | |
Equity Futures Contracts** | | | 197,293 | | | | — | | | | — | | | | 197,293 | |
Equity Index Swap Agreements** | | | — | | | | 1,115,189 | | | | — | | | | 1,115,189 | |
Total Assets | | $ | 99,465,690 | | | $ | 25,965,562 | | | $ | — | | | $ | 125,431,252 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
60 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NASDAQ-100® 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value - including $287,621 of securities loaned (cost $83,716,155) | | $ | 110,980,616 | |
Repurchase agreements, at value (cost $13,138,154) | | | 13,138,154 | |
Unrealized appreciation on OTC swap agreements | | | 1,115,189 | |
Receivables: |
Fund shares sold | | | 6,875,542 | |
Dividends | | | 87,612 | |
Interest | | | 5,846 | |
Securities lending income | | | 3,441 | |
Swap settlement | | | 3,420 | |
Total assets | | | 132,209,820 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 1,480,000 | |
Payable for: |
Securities purchased | | | 9,984,006 | |
Return of securities lending collateral | | | 301,978 | |
Fund shares redeemed | | | 183,370 | |
Management fees | | | 88,667 | |
Variation margin on futures contracts | | | 76,950 | |
Transfer agent fees | | | 35,720 | |
Investor service fees | | | 24,630 | |
Portfolio accounting and administration fees | | | 5,418 | |
Trustees’ fees* | | | 1,521 | |
Miscellaneous | | | 360,403 | |
Total liabilities | | | 12,542,663 | |
Net assets | | $ | 119,667,157 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 111,754,316 | |
Total distributable earnings (loss) | | | 7,912,841 | |
Net assets | | $ | 119,667,157 | |
Capital shares outstanding | | | 913,899 | |
Net asset value per share | | $ | 130.94 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $1,069) | | $ | 701,372 | |
Interest | | | 911,646 | |
Income from securities lending, net | | | 16,869 | |
Total investment income | | | 1,629,887 | |
| | | | | |
Expenses: |
Management fees | | | 832,323 | |
Investor service fees | | | 231,200 | |
Transfer agent fees | | | 211,802 | |
Professional fees | | | 171,930 | |
Interest expense | | | 171,588 | |
Portfolio accounting and administration fees | | | 143,342 | |
Custodian fees | | | 12,920 | |
Trustees’ fees* | | | 10,457 | |
Line of credit fees | | | 1,086 | |
Miscellaneous | | | 140,610 | |
Total expenses | | | 1,927,258 | |
Less: |
Expenses reimbursed by Adviser | | | (69,798 | ) |
Net expenses | | | 1,857,460 | |
Net investment loss | | | (227,573 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (507,392 | ) |
Swap agreements | | | 27,297,164 | |
Futures contracts | | | 2,058,530 | |
Net realized gain | | | 28,848,302 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 26,395,520 | |
Swap agreements | | | 2,809,401 | |
Futures contracts | | | 927,697 | |
Net change in unrealized appreciation (depreciation) | | | 30,132,618 | |
Net realized and unrealized gain | | | 58,980,920 | |
Net increase in net assets resulting from operations | | $ | 58,753,347 | |
* | 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 ANNUAL REPORT | 61 |
NASDAQ-100® 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (227,573 | ) | | $ | (287,664 | ) |
Net realized gain (loss) on investments | | | 28,848,302 | | | | (36,555,746 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 30,132,618 | | | | (39,854,307 | ) |
Net increase (decrease) in net assets resulting from operations | | | 58,753,347 | | | | (76,697,717 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (10,383,440 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 682,258,019 | | | | 598,677,754 | |
Distributions reinvested | | | — | | | | 10,383,440 | |
Cost of shares redeemed | | | (653,572,542 | ) | | | (640,820,556 | ) |
Net increase (decrease) from capital share transactions | | | 28,685,477 | | | | (31,759,362 | ) |
Net increase (decrease) in net assets | | | 87,438,824 | | | | (118,840,519 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 32,228,333 | | | | 151,068,852 | |
End of year | | $ | 119,667,157 | | | $ | 32,228,333 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 7,093,575 | | | | 5,634,677 | |
Shares issued from reinvestment of distributions | | | — | | | | 125,087 | |
Shares redeemed | | | (6,711,535 | ) | | | (6,014,789 | ) |
Net increase (decrease) in shares | | | 382,040 | | | | (255,025 | ) |
62 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 60.60 | | | $ | 191.98 | | | $ | 141.54 | | | $ | 91.34 | | | $ | 50.68 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.24 | ) | | | (.49 | ) | | | (1.74 | ) | | | (.88 | ) | | | .22 | |
Net gain (loss) on investments (realized and unrealized) | | | 70.58 | | | | (111.42 | ) | | | 73.37 | | | | 72.46 | | | | 40.55 | |
Total from investment operations | | | 70.34 | | | | (111.91 | ) | | | 71.63 | | | | 71.58 | | | | 40.77 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | — | | | | (.30 | ) | | | (.11 | ) |
Net realized gains | | | — | | | | (19.47 | ) | | | (21.19 | ) | | | (21.08 | ) | | | — | |
Total distributions | | | — | | | | (19.47 | ) | | | (21.19 | ) | | | (21.38 | ) | | | (.11 | ) |
Net asset value, end of period | | $ | 130.94 | | | $ | 60.60 | | | $ | 191.98 | | | $ | 141.54 | | | $ | 91.34 | |
|
Total Returnb | | | 116.07 | % | | | (61.04 | %) | | | 53.45 | % | | | 86.87 | % | | | 80.50 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 119,667 | | | $ | 32,228 | | | $ | 151,069 | | | $ | 131,049 | | | $ | 99,811 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.25 | %) | | | (0.47 | %) | | | (1.05 | %) | | | (0.83 | %) | | | 0.30 | % |
Total expensesc | | | 2.08 | % | | | 1.86 | % | | | 1.78 | % | | | 1.91 | % | | | 1.91 | % |
Net expensesd | | | 2.01 | % | | | 1.79 | % | | | 1.74 | % | | | 1.87 | % | | | 1.84 | % |
Portfolio turnover rate | | | 564 | % | | | 860 | % | | | 392 | % | | | 663 | % | | | 346 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 63 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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.
For the Reporting Period, the Mid-Cap 1.5x Strategy Fund maintained a correlation of more than 99% to its benchmark of 150% of the daily price movement of the S&P MidCap 400 Index. The Fund returned 18.83%, while the S&P MidCap 400 Index returned 16.44% over the same period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Industrials, Consumer Discretionary, and Information Technology. The sectors detracting the most from the return of the underlying index were Utilities, Communication Services, and Health Care.
The holdings contributing the most to the return of the underlying index were Builders FirstSource, Inc., Super Micro Computer, Inc., and Jabil, Inc. The holdings detracting the most were First Horizon Corp., Wolfspeed, Inc., and Medical Properties Trust, Inc.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, the Fund’s 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 Fund holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. A significant contributor to the discrepancy between the leveraged and unleveraged indices is the effect of compounding on the leveraged index, which is discussed under “A Brief Note on the Compounding of Returns.”
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. For the Reporting Period, investment in the Short Term Investment Vehicles contributed to Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
64 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
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.
Cumulative Fund Performance*,†
Inception Date: October 1, 2001 |
Ten Largest Holdings | % of Total Net Assets |
Guggenheim Ultra Short Duration Fund — Institutional Class | 3.6% |
Guggenheim Strategy Fund II | 1.8% |
Deckers Outdoor Corp. | 0.5% |
Reliance Steel & Aluminum Co. | 0.5% |
Carlisle Companies, Inc. | 0.5% |
GoDaddy, Inc. — Class A | 0.5% |
Watsco, Inc. | 0.4% |
Graco, Inc. | 0.4% |
RPM International, Inc. | 0.4% |
Lennox International, Inc. | 0.4% |
Top Ten Total | 9.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Mid-Cap 1.5x Strategy Fund | 18.83% | 13.21% | 9.67% |
S&P MidCap 400 Index | 16.44% | 12.62% | 9.27% |
* | 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
MID-CAP 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 74.4% |
| | | | | | | | | |
Financial — 17.3% |
WP Carey, Inc. REIT | | | 281 | | | $ | 18,212 | |
Fidelity National Financial, Inc. | | | 333 | | | | 16,990 | |
Equity LifeStyle Properties, Inc. REIT | | | 240 | | | | 16,930 | |
Gaming and Leisure Properties, Inc. REIT | | | 343 | | | | 16,927 | |
Rexford Industrial Realty, Inc. REIT | | | 271 | | | | 15,203 | |
Reinsurance Group of America, Inc. — Class A | | | 85 | | | | 13,751 | |
Equitable Holdings, Inc. | | | 408 | | | | 13,586 | |
CubeSmart REIT | | | 289 | | | | 13,395 | |
RenaissanceRe Holdings Ltd. | | | 68 | | | | 13,328 | |
East West Bancorp, Inc. | | | 181 | | | | 13,023 | |
Annaly Capital Management, Inc. REIT | | | 643 | | | | 12,455 | |
Ally Financial, Inc. | | | 349 | | | | 12,187 | |
Lamar Advertising Co. — Class A REIT | | | 113 | | | | 12,010 | |
Jones Lang LaSalle, Inc.* | | | 61 | | | | 11,521 | |
Interactive Brokers Group, Inc. — Class A | | | 138 | | | | 11,440 | |
Carlyle Group, Inc. | | | 278 | | | | 11,312 | |
Webster Financial Corp. | | | 221 | | | | 11,218 | |
EastGroup Properties, Inc. REIT | | | 60 | | | | 11,012 | |
Erie Indemnity Co. — Class A | | | 32 | | | | 10,717 | |
Unum Group | | | 236 | | | | 10,672 | |
First Horizon Corp. | | | 719 | | | | 10,181 | |
NNN REIT, Inc. | | | 235 | | | | 10,128 | |
American Financial Group, Inc. | | | 84 | | | | 9,987 | |
Old Republic International Corp. | | | 335 | | | | 9,849 | |
Voya Financial, Inc. | | | 134 | | | | 9,777 | |
Omega Healthcare Investors, Inc. REIT | | | 315 | | | | 9,658 | |
New York Community Bancorp, Inc. | | | 929 | | | | 9,504 | |
Kinsale Capital Group, Inc. | | | 28 | | | | 9,378 | |
Primerica, Inc. | | | 45 | | | | 9,259 | |
STAG Industrial, Inc. REIT | | | 234 | | | | 9,187 | |
Stifel Financial Corp. | | | 131 | | | | 9,059 | |
Brixmor Property Group, Inc. REIT | | | 387 | | | | 9,005 | |
First Industrial Realty Trust, Inc. REIT | | | 170 | | | | 8,954 | |
Cullen/Frost Bankers, Inc. | | | 82 | | | | 8,896 | |
Jefferies Financial Group, Inc. | | | 217 | | | | 8,769 | |
Pinnacle Financial Partners, Inc. | | | 99 | | | | 8,635 | |
First American Financial Corp. | | | 133 | | | | 8,571 | |
Healthcare Realty Trust, Inc. REIT | | | 490 | | | | 8,443 | |
SouthState Corp. | | | 98 | | | | 8,276 | |
SEI Investments Co. | | | 129 | | | | 8,198 | |
Prosperity Bancshares, Inc. | | | 121 | | | | 8,195 | |
Commerce Bancshares, Inc. | | | 153 | | | | 8,185 | |
Agree Realty Corp. REIT | | | 129 | | | | 8,121 | |
Starwood Property Trust, Inc. REIT | | | 383 | | | | 8,051 | |
Spirit Realty Capital, Inc. REIT | | | 182 | | | | 7,952 | |
Houlihan Lokey, Inc. | | | 66 | | | | 7,914 | |
Selective Insurance Group, Inc. | | | 78 | | | | 7,759 | |
Evercore, Inc. — Class A | | | 45 | | | | 7,697 | |
Wintrust Financial Corp. | | | 79 | | | | 7,327 | |
Essent Group Ltd. | | | 137 | | | | 7,225 | |
Columbia Banking System, Inc. | | | 268 | | | | 7,150 | |
Synovus Financial Corp. | | | 188 | | | | 7,078 | |
Cadence Bank | | | 235 | | | | 6,954 | |
RLI Corp. | | | 52 | | | | 6,922 | |
MGIC Investment Corp. | | | 357 | | | | 6,887 | |
Bank OZK | | | 135 | | | | 6,727 | |
Apartment Income REIT Corp. | | | 189 | | | | 6,564 | |
United Bankshares, Inc. | | | 174 | | | | 6,534 | |
Affiliated Managers Group, Inc. | | | 43 | | | | 6,511 | |
Kite Realty Group Trust REIT | | | 282 | | | | 6,446 | |
Old National Bancorp | | | 376 | | | | 6,351 | |
FNB Corp. | | | 461 | | | | 6,348 | |
Home BancShares, Inc. | | | 241 | | | | 6,105 | |
Valley National Bancorp | | | 548 | | | | 5,951 | |
Glacier Bancorp, Inc. | | | 143 | | | | 5,909 | |
Rayonier, Inc. REIT | | | 175 | | | | 5,847 | |
Vornado Realty Trust REIT | | | 206 | | | | 5,819 | |
Western Union Co. | | | 469 | | | | 5,590 | |
Hanover Insurance Group, Inc. | | | 46 | | | | 5,585 | |
SLM Corp. | | | 291 | | | | 5,564 | |
Kilroy Realty Corp. REIT | | | 137 | | | | 5,458 | |
Hancock Whitney Corp. | | | 111 | | | | 5,393 | |
Janus Henderson Group plc | | | 170 | | | | 5,126 | |
PotlatchDeltic Corp. REIT | | | 102 | | | | 5,008 | |
First Financial Bankshares, Inc. | | | 165 | | | | 5,000 | |
Cousins Properties, Inc. REIT | | | 195 | | | | 4,748 | |
EPR Properties REIT | | | 97 | | | | 4,700 | |
UMB Financial Corp. | | | 56 | | | | 4,679 | |
Independence Realty Trust, Inc. REIT | | | 289 | | | | 4,422 | |
Brighthouse Financial, Inc.* | | | 83 | | | | 4,392 | |
Sabra Health Care REIT, Inc. | | | 297 | | | | 4,238 | |
Park Hotels & Resorts, Inc. REIT | | | 270 | | | | 4,131 | |
National Storage Affiliates Trust REIT | | | 99 | | | | 4,105 | |
Physicians Realty Trust REIT | | | 307 | | | | 4,086 | |
Associated Banc-Corp. | | | 191 | | | | 4,085 | |
CNO Financial Group, Inc. | | | 144 | | | | 4,018 | |
Texas Capital Bancshares, Inc.* | | | 62 | | | | 4,007 | |
Medical Properties Trust, Inc. REIT1 | | | 770 | | | | 3,781 | |
Federated Hermes, Inc. — Class B | | | 111 | | | | 3,758 | |
International Bancshares Corp. | | | 69 | | | | 3,748 | |
Kemper Corp. | | | 77 | | | | 3,748 | |
COPT Defense Properties REIT | | | 145 | | | | 3,716 | |
Total Financial | | | | | | | 751,218 | |
| | | | | | | | | |
Industrial — 16.2% |
Carlisle Companies, Inc. | | | 63 | | | | 19,683 | |
Graco, Inc. | | | 217 | | | | 18,827 | |
Lennox International, Inc. | | | 41 | | | | 18,348 | |
Owens Corning | | | 114 | | | | 16,898 | |
AECOM | | | 178 | | | | 16,452 | |
Lincoln Electric Holdings, Inc. | | | 74 | | | | 16,092 | |
TopBuild Corp.* | | | 41 | | | | 15,345 | |
Saia, Inc.* | | | 34 | | | | 14,899 | |
Crown Holdings, Inc. | | | 155 | | | | 14,274 | |
EMCOR Group, Inc. | | | 61 | | | | 13,141 | |
XPO, Inc.* | | | 149 | | | | 13,051 | |
Toro Co. | | | 134 | | | | 12,863 | |
ITT, Inc. | | | 106 | | | | 12,648 | |
nVent Electric plc | | | 213 | | | | 12,586 | |
Regal Rexnord Corp. | | | 85 | | | | 12,582 | |
66 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MID-CAP 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Advanced Drainage Systems, Inc. | | | 88 | | | $ | 12,376 | |
Fortune Brands Innovations, Inc. | | | 162 | | | | 12,335 | |
Knight-Swift Transportation Holdings, Inc. | | | 207 | | | | 11,934 | |
Trex Company, Inc.* | | | 140 | | | | 11,591 | |
Tetra Tech, Inc. | | | 68 | | | | 11,351 | |
Clean Harbors, Inc.* | | | 65 | | | | 11,343 | |
Curtiss-Wright Corp. | | | 49 | | | | 10,917 | |
Simpson Manufacturing Company, Inc. | | | 55 | | | | 10,889 | |
Universal Display Corp. | | | 56 | | | | 10,711 | |
Woodward, Inc. | | | 78 | | | | 10,618 | |
RBC Bearings, Inc.* | | | 37 | | | | 10,541 | |
AptarGroup, Inc. | | | 85 | | | | 10,508 | |
Berry Global Group, Inc. | | | 152 | | | | 10,243 | |
Middleby Corp.* | | | 69 | | | | 10,155 | |
Donaldson Company, Inc. | | | 155 | | | | 10,129 | |
UFP Industries, Inc. | | | 79 | | | | 9,918 | |
AGCO Corp. | | | 80 | | | | 9,713 | |
Graphic Packaging Holding Co. | | | 394 | | | | 9,712 | |
Comfort Systems USA, Inc. | | | 46 | | | | 9,461 | |
Cognex Corp. | | | 221 | | | | 9,224 | |
Eagle Materials, Inc. | | | 45 | | | | 9,128 | |
Oshkosh Corp. | | | 84 | | | | 9,107 | |
BWX Technologies, Inc. | | | 118 | | | | 9,054 | |
Landstar System, Inc. | | | 46 | | | | 8,908 | |
Fluor Corp.* | | | 219 | | | | 8,578 | |
Littelfuse, Inc. | | | 32 | | | | 8,562 | |
Arrow Electronics, Inc.* | | | 70 | | | | 8,558 | |
Acuity Brands, Inc. | | | 40 | | | | 8,193 | |
MSA Safety, Inc. | | | 48 | | | | 8,104 | |
Hexcel Corp. | | | 108 | | | | 7,965 | |
Novanta, Inc.* | | | 46 | | | | 7,747 | |
Crane Co. | | | 63 | | | | 7,443 | |
Chart Industries, Inc.* | | | 54 | | | | 7,362 | |
Coherent Corp.* | | | 169 | | | | 7,357 | |
Sensata Technologies Holding plc | | | 195 | | | | 7,326 | |
Watts Water Technologies, Inc. — Class A | | | 35 | | | | 7,292 | |
TD SYNNEX Corp. | | | 66 | | | | 7,102 | |
Sonoco Products Co. | | | 126 | | | | 7,040 | |
Flowserve Corp. | | | 169 | | | | 6,966 | |
Vontier Corp. | | | 198 | | | | 6,841 | |
Timken Co. | | | 83 | | | | 6,652 | |
Ryder System, Inc. | | | 57 | | | | 6,558 | |
Esab Corp. | | | 73 | | | | 6,323 | |
Valmont Industries, Inc. | | | 27 | | | | 6,305 | |
Kirby Corp.* | | | 76 | | | | 5,965 | |
MasTec, Inc.* | | | 78 | | | | 5,906 | |
Stericycle, Inc.* | | | 119 | | | | 5,898 | |
Louisiana-Pacific Corp. | | | 83 | | | | 5,879 | |
Avnet, Inc. | | | 116 | | | | 5,846 | |
Exponent, Inc. | | | 65 | | | | 5,723 | |
GATX Corp. | | | 46 | | | | 5,530 | |
EnerSys | | | 52 | | | | 5,250 | |
MDU Resources Group, Inc. | | | 262 | | | | 5,188 | |
Terex Corp. | | | 87 | | | | 4,999 | |
Knife River Corp.* | | | 73 | | | | 4,831 | |
Silgan Holdings, Inc. | | | 104 | | | | 4,706 | |
Belden, Inc. | | | 54 | | | | 4,171 | |
Vishay Intertechnology, Inc. | | | 162 | | | | 3,883 | |
Werner Enterprises, Inc. | | | 82 | | | | 3,474 | |
Greif, Inc. — Class A | | | 33 | | | | 2,164 | |
Total Industrial | | | | | | | 705,242 | |
| | | | | | | | | |
Consumer, Cyclical — 12.5% |
Deckers Outdoor Corp.* | | | 33 | | | | 22,058 | |
Watsco, Inc. | | | 44 | | | | 18,853 | |
Williams-Sonoma, Inc. | | | 82 | | | | 16,546 | |
Burlington Stores, Inc.* | | | 83 | | | | 16,142 | |
Five Below, Inc.* | | | 72 | | | | 15,347 | |
Floor & Decor Holdings, Inc. — Class A* | | | 137 | | | | 15,284 | |
Toll Brothers, Inc. | | | 138 | | | | 14,185 | |
Casey’s General Stores, Inc. | | | 48 | | | | 13,187 | |
Churchill Downs, Inc. | | | 87 | | | | 11,739 | |
Dick’s Sporting Goods, Inc. | | | 79 | | | | 11,609 | |
Lithia Motors, Inc. — Class A | | | 35 | | | | 11,525 | |
BJ’s Wholesale Club Holdings, Inc.* | | | 172 | | | | 11,465 | |
Tempur Sealy International, Inc. | | | 222 | | | | 11,315 | |
Skechers USA, Inc. — Class A* | | | 172 | | | | 10,722 | |
Lear Corp. | | | 75 | | | | 10,591 | |
Autoliv, Inc. | | | 96 | | | | 10,578 | |
Texas Roadhouse, Inc. — Class A | | | 86 | | | | 10,512 | |
Vail Resorts, Inc. | | | 49 | | | | 10,460 | |
Gentex Corp. | | | 300 | | | | 9,798 | |
Wingstop, Inc. | | | 38 | | | | 9,750 | |
WESCO International, Inc. | | | 56 | | | | 9,737 | |
PVH Corp. | | | 78 | | | | 9,525 | |
Light & Wonder, Inc. — Class A* | | | 116 | | | | 9,525 | |
Aramark | | | 336 | | | | 9,442 | |
Murphy USA, Inc. | | | 25 | | | | 8,914 | |
Wyndham Hotels & Resorts, Inc. | | | 107 | | | | 8,604 | |
Mattel, Inc.* | | | 454 | | | | 8,571 | |
Brunswick Corp. | | | 88 | | | | 8,514 | |
Thor Industries, Inc. | | | 69 | | | | 8,159 | |
Planet Fitness, Inc. — Class A* | | | 110 | | | | 8,030 | |
Capri Holdings Ltd.* | | | 149 | | | | 7,486 | |
Hyatt Hotels Corp. — Class A | | | 57 | | | | 7,433 | |
Taylor Morrison Home Corp. — Class A* | | | 138 | | | | 7,363 | |
Crocs, Inc.* | | | 78 | | | | 7,286 | |
Core & Main, Inc. — Class A* | | | 176 | | | | 7,112 | |
Macy’s, Inc. | | | 352 | | | | 7,082 | |
Dolby Laboratories, Inc. — Class A | | | 77 | | | | 6,636 | |
Polaris, Inc. | | | 68 | | | | 6,445 | |
TKO Group Holdings, Inc. | | | 77 | | | | 6,282 | |
KB Home | | | 98 | | | | 6,121 | |
MSC Industrial Direct Company, Inc. — Class A | | | 60 | | | | 6,076 | |
GameStop Corp. — Class A* | | | 345 | | | | 6,048 | |
Harley-Davidson, Inc. | | | 163 | | | | 6,005 | |
Ollie’s Bargain Outlet Holdings, Inc.* | | | 79 | | | | 5,995 | |
RH* | | | 20 | | | | 5,830 | |
YETI Holdings, Inc.* | | | 112 | | | | 5,799 | |
Gap, Inc. | | | 276 | | | | 5,771 | |
Boyd Gaming Corp. | | | 89 | | | | 5,572 | |
Goodyear Tire & Rubber Co.* | | | 365 | | | | 5,227 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 67 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MID-CAP 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
FirstCash Holdings, Inc. | | | 48 | | | $ | 5,203 | |
Penn Entertainment, Inc.* | | | 195 | | | | 5,074 | |
AutoNation, Inc.* | | | 33 | | | | 4,956 | |
Visteon Corp.* | | | 36 | | | | 4,496 | |
Leggett & Platt, Inc. | | | 171 | | | | 4,475 | |
Adient plc* | | | 120 | | | | 4,363 | |
Wendy’s Co. | | | 215 | | | | 4,188 | |
Penske Automotive Group, Inc. | | | 25 | | | | 4,013 | |
Fox Factory Holding Corp.* | | | 55 | | | | 3,712 | |
Hilton Grand Vacations, Inc.* | | | 92 | | | | 3,697 | |
Travel + Leisure Co. | | | 93 | | | | 3,635 | |
Choice Hotels International, Inc. | | | 32 | | | | 3,626 | |
Marriott Vacations Worldwide Corp. | | | 42 | | | | 3,565 | |
Carter’s, Inc. | | | 47 | | | | 3,520 | |
Columbia Sportswear Co. | | | 44 | | | | 3,500 | |
Scotts Miracle-Gro Co. — Class A | | | 53 | | | | 3,379 | |
Nordstrom, Inc. | | | 125 | | | | 2,306 | |
Under Armour, Inc. — Class A* | | | 243 | | | | 2,136 | |
Under Armour, Inc. — Class C* | | | 249 | | | | 2,079 | |
Total Consumer, Cyclical | | | | | | | 544,179 | |
| | | | | | | | | |
Consumer, Non-cyclical — 10.7% |
Neurocrine Biosciences, Inc.* | | | 126 | | | | 16,602 | |
Performance Food Group Co.* | | | 200 | | | | 13,830 | |
US Foods Holding Corp.* | | | 291 | | | | 13,214 | |
United Therapeutics Corp.* | | | 60 | | | | 13,193 | |
Service Corporation International | | | 190 | | | | 13,006 | |
Penumbra, Inc.* | | | 50 | | | | 12,577 | |
Repligen Corp.* | | | 67 | | | | 12,047 | |
Chemed Corp. | | | 19 | | | | 11,110 | |
WEX, Inc.* | | | 55 | | | | 10,700 | |
Celsius Holdings, Inc.* | | | 191 | | | | 10,413 | |
Darling Ingredients, Inc.* | | | 205 | | | | 10,217 | |
Jazz Pharmaceuticals plc* | | | 81 | | | | 9,963 | |
Tenet Healthcare Corp.* | | | 131 | | | | 9,900 | |
Exelixis, Inc.* | | | 400 | | | | 9,596 | |
Morningstar, Inc. | | | 33 | | | | 9,446 | |
BellRing Brands, Inc.* | | | 169 | | | | 9,368 | |
GXO Logistics, Inc.* | | | 153 | | | | 9,358 | |
Acadia Healthcare Company, Inc.* | | | 119 | | | | 9,253 | |
Paylocity Holding Corp.* | | | 56 | | | | 9,232 | |
Medpace Holdings, Inc.* | | | 30 | | | | 9,196 | |
FTI Consulting, Inc.* | | | 46 | | | | 9,161 | |
Ingredion, Inc. | | | 84 | | | | 9,117 | |
Shockwave Medical, Inc.* | | | 47 | | | | 8,956 | |
H&R Block, Inc. | | | 185 | | | | 8,948 | |
Bruker Corp. | | | 119 | | | | 8,744 | |
Encompass Health Corp. | | | 129 | | | | 8,607 | |
Globus Medical, Inc. — Class A* | | | 148 | | | | 7,887 | |
Option Care Health, Inc.* | | | 228 | | | | 7,681 | |
HealthEquity, Inc.* | | | 110 | | | | 7,293 | |
Masimo Corp.* | | | 57 | | | | 6,681 | |
Sprouts Farmers Market, Inc.* | | | 131 | | | | 6,302 | |
Halozyme Therapeutics, Inc.* | | | 170 | | | | 6,283 | |
Coty, Inc. — Class A* | | | 482 | | | | 5,986 | |
Post Holdings, Inc.* | | | 65 | | | | 5,724 | |
Euronet Worldwide, Inc.* | | | 56 | | | | 5,683 | |
Perrigo Company plc | | | 174 | | | | 5,599 | |
Coca-Cola Consolidated, Inc. | | | 6 | | | | 5,571 | |
Flowers Foods, Inc. | | | 247 | | | | 5,560 | |
Haemonetics Corp.* | | | 65 | | | | 5,558 | |
Lantheus Holdings, Inc.* | | | 88 | | | | 5,456 | |
Insperity, Inc. | | | 46 | | | | 5,392 | |
Envista Holdings Corp.* | | | 220 | | | | 5,293 | |
Brink’s Co. | | | 58 | | | | 5,101 | |
Neogen Corp.* | | | 253 | | | | 5,088 | |
Grand Canyon Education, Inc.* | | | 38 | | | | 5,018 | |
Azenta, Inc.* | | | 77 | | | | 5,016 | |
ManpowerGroup, Inc. | | | 63 | | | | 5,007 | |
QuidelOrtho Corp.* | | | 64 | | | | 4,717 | |
Lancaster Colony Corp. | | | 26 | | | | 4,326 | |
Inari Medical, Inc.* | | | 66 | | | | 4,285 | |
Avis Budget Group, Inc. | | | 24 | | | | 4,254 | |
Arrowhead Pharmaceuticals, Inc.* | | | 138 | | | | 4,223 | |
Boston Beer Company, Inc. — Class A* | | | 12 | | | | 4,147 | |
Amedisys, Inc.* | | | 42 | | | | 3,993 | |
Progyny, Inc.* | | | 107 | | | | 3,978 | |
Integra LifeSciences Holdings Corp.* | | | 87 | | | | 3,789 | |
Helen of Troy Ltd.* | | | 31 | | | | 3,745 | |
Enovis Corp.* | | | 64 | | | | 3,585 | |
LivaNova plc* | | | 69 | | | | 3,570 | |
Graham Holdings Co. — Class B | | | 5 | | | | 3,483 | |
Grocery Outlet Holding Corp.* | | | 128 | | | | 3,451 | |
Patterson Companies, Inc. | | | 109 | | | | 3,101 | |
R1 RCM, Inc.* | | | 253 | | | | 2,674 | |
Sotera Health Co.* | | | 127 | | | | 2,140 | |
Hertz Global Holdings, Inc.* | | | 170 | | | | 1,766 | |
Pilgrim’s Pride Corp.* | | | 52 | | | | 1,438 | |
Total Consumer, Non-cyclical | | | | | | | 465,598 | |
| | | | | | | | | |
Technology — 6.1% |
Super Micro Computer, Inc.* | | | 60 | | | | 17,056 | |
Manhattan Associates, Inc.* | | | 79 | | | | 17,010 | |
Dynatrace, Inc.* | | | 307 | | | | 16,790 | |
Lattice Semiconductor Corp.* | | | 178 | | | | 12,280 | |
Dropbox, Inc. — Class A* | | | 329 | | | | 9,699 | |
KBR, Inc. | | | 174 | | | | 9,641 | |
Onto Innovation, Inc.* | | | 63 | | | | 9,633 | |
Rambus, Inc.* | | | 138 | | | | 9,419 | |
CACI International, Inc. — Class A* | | | 29 | | | | 9,392 | |
Qualys, Inc.* | | | 47 | | | | 9,225 | |
Science Applications International Corp. | | | 68 | | | | 8,454 | |
MKS Instruments, Inc. | | | 81 | | | | 8,332 | |
Aspen Technology, Inc.* | | | 36 | | | | 7,925 | |
Genpact Ltd. | | | 215 | | | | 7,463 | |
ZoomInfo Technologies, Inc. — Class A* | | | 381 | | | | 7,045 | |
Wolfspeed, Inc.* | | | 161 | | | | 7,005 | |
Maximus, Inc. | | | 78 | | | | 6,541 | |
ExlService Holdings, Inc.* | | | 212 | | | | 6,540 | |
MACOM Technology Solutions Holdings, Inc.* | | | 70 | | | | 6,506 | |
Kyndryl Holdings, Inc.* | | | 295 | | | | 6,130 | |
Power Integrations, Inc. | | | 73 | | | | 5,994 | |
Concentrix Corp. | | | 61 | | | | 5,991 | |
68 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MID-CAP 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
ASGN, Inc.* | | | 61 | | | $ | 5,866 | |
Cirrus Logic, Inc.* | | | 69 | | | | 5,740 | |
Synaptics, Inc.* | | | 50 | | | | 5,704 | |
Teradata Corp.* | | | 126 | | | | 5,482 | |
Silicon Laboratories, Inc.* | | | 41 | | | | 5,423 | |
Blackbaud, Inc.* | | | 55 | | | | 4,768 | |
Lumentum Holdings, Inc.* | | | 86 | | | | 4,508 | |
CommVault Systems, Inc.* | | | 56 | | | | 4,472 | |
Amkor Technology, Inc. | | | 133 | | | | 4,425 | |
Doximity, Inc. — Class A* | | | 152 | | | | 4,262 | |
IPG Photonics Corp.* | | | 38 | | | | 4,125 | |
Crane NXT Co. | | | 62 | | | | 3,526 | |
Allegro MicroSystems, Inc.* | | | 92 | | | | 2,785 | |
Total Technology | | | | | | | 265,157 | |
| | | | | | | | | |
Energy — 3.9% |
Ovintiv, Inc. | | | 326 | | | | 14,318 | |
HF Sinclair Corp. | | | 201 | | | | 11,170 | |
Chesapeake Energy Corp. | | | 143 | | | | 11,003 | |
NOV, Inc. | | | 507 | | | | 10,282 | |
Range Resources Corp. | | | 310 | | | | 9,436 | |
Southwestern Energy Co.* | | | 1,417 | | | | 9,281 | |
Weatherford International plc* | | | 93 | | | | 9,098 | |
Chord Energy Corp. | | | 53 | | | | 8,810 | |
Antero Resources Corp.* | | | 363 | | | | 8,233 | |
Matador Resources Co. | | | 142 | | | | 8,074 | |
Murphy Oil Corp. | | | 189 | | | | 8,063 | |
Civitas Resources, Inc. | | | 110 | | | | 7,522 | |
ChampionX Corp. | | | 251 | | | | 7,332 | |
Permian Resources Corp. | | | 535 | | | | 7,276 | |
DT Midstream, Inc. | | | 125 | | | | 6,850 | |
PBF Energy, Inc. — Class A | | | 140 | | | | 6,154 | |
Equitrans Midstream Corp. | | | 557 | | | | 5,670 | |
Valaris Ltd.* | | | 81 | | | | 5,554 | |
Antero Midstream Corp. | | | 438 | | | | 5,488 | |
Sunrun, Inc.* | | | 279 | | | | 5,477 | |
CNX Resources Corp.* | | | 204 | | | | 4,080 | |
Total Energy | | | | | | | 169,171 | |
| | | | | | | | | |
Basic Materials — 3.6% |
Reliance Steel & Aluminum Co. | | | 74 | | | | 20,696 | |
RPM International, Inc. | | | 166 | | | | 18,531 | |
United States Steel Corp. | | | 287 | | | | 13,963 | |
Cleveland-Cliffs, Inc.* | | | 649 | | | | 13,253 | |
Royal Gold, Inc. | | | 84 | | | | 10,161 | |
Axalta Coating Systems Ltd.* | | | 283 | | | | 9,614 | |
Olin Corp. | | | 158 | | | | 8,524 | |
Alcoa Corp. | | | 230 | | | | 7,820 | |
Commercial Metals Co. | | | 150 | | | | 7,506 | |
Valvoline, Inc.* | | | 178 | | | | 6,689 | |
Chemours Co. | | | 191 | | | | 6,024 | |
Cabot Corp. | | | 71 | | | | 5,929 | |
Westlake Corp. | | | 41 | | | | 5,738 | |
Ashland, Inc. | | | 66 | | | | 5,564 | |
NewMarket Corp. | | | 9 | | | | 4,912 | |
Avient Corp. | | | 117 | | | | 4,864 | |
Livent Corp.* | | | 231 | | | | 4,153 | |
MP Materials Corp.* | | | 185 | | | | 3,672 | |
Total Basic Materials | | | | | | | 157,613 | |
| | | | | | | | | |
Utilities — 2.4% |
Vistra Corp. | | | 432 | | | | 16,641 | |
Essential Utilities, Inc. | | | 323 | | | | 12,064 | |
OGE Energy Corp. | | | 258 | | | | 9,012 | |
UGI Corp. | | | 269 | | | | 6,617 | |
IDACORP, Inc. | | | 65 | | | | 6,391 | |
National Fuel Gas Co. | | | 118 | | | | 5,920 | |
Portland General Electric Co. | | | 130 | | | | 5,634 | |
New Jersey Resources Corp. | | | 125 | | | | 5,573 | |
Ormat Technologies, Inc. | | | 69 | | | | 5,229 | |
Southwest Gas Holdings, Inc. | | | 77 | | | | 4,878 | |
Black Hills Corp. | | | 87 | | | | 4,694 | |
PNM Resources, Inc. | | | 110 | | | | 4,576 | |
ALLETE, Inc. | | | 74 | | | | 4,526 | |
ONE Gas, Inc. | | | 71 | | | | 4,524 | |
Spire, Inc. | | | 68 | | | | 4,239 | |
Northwestern Energy Group, Inc. | | | 79 | | | | 4,020 | |
Total Utilities | | | | | | | 104,538 | |
| | | | | | | | | |
Communications — 1.7% |
GoDaddy, Inc. — Class A* | | | 181 | | | | 19,215 | |
New York Times Co. — Class A | | | 210 | | | | 10,288 | |
Ciena Corp.* | | | 190 | | | | 8,552 | |
Frontier Communications Parent, Inc.* | | | 284 | | | | 7,197 | |
Iridium Communications, Inc. | | | 159 | | | | 6,544 | |
Nexstar Media Group, Inc. — Class A | | | 41 | | | | 6,427 | |
Ziff Davis, Inc.* | | | 59 | | | | 3,964 | |
TEGNA, Inc. | | | 253 | | | | 3,871 | |
Cable One, Inc. | | | 6 | | | | 3,339 | |
Calix, Inc.* | | | 75 | | | | 3,277 | |
Total Communications | | | | | | | 72,674 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $2,347,391) | | | | | | | 3,235,390 | |
| | | | | | | | | |
MUTUAL FUNDS† - 5.4% |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 15,965 | | | | 157,257 | |
Guggenheim Strategy Fund II2 | | | 3,259 | | | | 79,834 | |
Total Mutual Funds | | | | |
(Cost $231,938) | | | | | | | 237,091 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,3 - 21.4% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/244 | | $ | 514,572 | | | | 514,572 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/244 | | | 414,686 | | | | 414,686 | |
Total Repurchase Agreements | | | | |
(Cost $929,258) | | | | | | | 929,258 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 69 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
MID-CAP 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,5 - 0.1% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund - Class X, 5.29%6 | | | 3,054 | | | $ | 3,054 | |
Total Securities Lending Collateral | | | | |
(Cost $3,054) | | | | | | | 3,054 | |
| | | | | | | | | |
Total Investments — 101.3% | | | | |
(Cost $3,511,641) | | $ | 4,404,793 | |
Other Assets & Liabilities, net — (1.3)% | | | (56,500 | ) |
Total Net Assets — 100.0% | | $ | 4,348,293 | |
Total Return Swap Agreements |
Counterparty | Index | | Type | Financing
Rate | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Equity Index Swap Agreements†† |
Goldman Sachs International | S&P MidCap 400 Index | | Pay | 5.58% (Federal Funds Rate + 0.25%) | | At Maturity | | 03/21/24 | | 1,012 | | | $ | 2,815,401 | | | $ | 40,039 | |
BNP Paribas | S&P MidCap 400 Index | | Pay | 5.78% (Federal Funds Rate + 0.45%) | | At Maturity | | 03/21/24 | | 71 | | | | 196,301 | | | | 2,824 | |
Barclays Bank plc | S&P MidCap 400 Index | | Pay | 5.75% (SOFR + 0.35%) | | At Maturity | | 03/20/24 | | 117 | | | | 325,144 | | | | (376 | ) |
| | | | | | | | | | | | | | $ | 3,336,846 | | | $ | 42,487 | |
* | 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 December 31, 2023 — See Note 7. |
2 | Affiliated issuer. |
3 | Repurchase Agreements — See Note 6. |
4 | All or a portion of this security is pledged as equity index swap collateral at December 31, 2023. |
5 | Securities lending collateral — See Note 7. |
6 | Rate indicated is the 7-day yield as of December 31, 2023. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | SOFR — Secured Overnight Financing Rate |
| | |
| | See Sector Classification in Other Information section. |
70 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
MID-CAP 1.5x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 3,235,390 | | | $ | — | | | $ | — | | | $ | 3,235,390 | |
Mutual Funds | | | 237,091 | | | | — | | | | — | | | | 237,091 | |
Repurchase Agreements | | | — | | | | 929,258 | | | | — | | | | 929,258 | |
Securities Lending Collateral | | | 3,054 | | | | — | | | | — | | | | 3,054 | |
Equity Index Swap Agreements** | | | — | | | | 42,863 | | | | — | | | | 42,863 | |
Total Assets | | $ | 3,475,535 | | | $ | 972,121 | | | $ | — | | | $ | 4,447,656 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 376 | | | $ | — | | | $ | 376 | |
** | 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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/22 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
12/31/23 | | | Shares
12/31/23 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 78,335 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,499 | | | $ | 79,834 | | | | 3,259 | | | $ | 4,271 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 153,904 | | | | — | | | | — | | | | — | | | | 3,353 | | | | 157,257 | | | | 15,965 | | | | 8,328 | |
| | | $ | 232,239 | | | $ | — | | | $ | — | | | $ | — | | | $ | 4,852 | | | $ | 237,091 | | | | | | | $ | 12,599 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 71 |
MID-CAP 1.5x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments in unaffiliated issuers, at value - including $2,833 of securities loaned (cost $2,350,445) | | $ | 3,238,444 | |
Investments in affiliated issuers, at value (cost $231,938) | | | 237,091 | |
Repurchase agreements, at value (cost $929,258) | | | 929,258 | |
Cash | | | 50 | |
Segregated cash with broker | | | 28,000 | |
Unrealized appreciation on OTC swap agreements | | | 42,863 | |
Receivables: |
Dividends | | | 5,363 | |
Securities sold | | | 2,923 | |
Interest | | | 413 | |
Securities lending income | | | 11 | |
Total assets | | | 4,484,416 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 110,000 | |
Unrealized depreciation on OTC swap agreements | | | 376 | |
Payable for: |
Securities purchased | | | 4,156 | |
Management fees | | | 3,103 | |
Return of securities lending collateral | | | 3,054 | |
Swap settlement | | | 2,074 | |
Transfer agent fees | | | 1,208 | |
Investor service fees | | | 871 | |
Fund shares redeemed | | | 292 | |
Portfolio accounting and administration fees | | | 192 | |
Trustees’ fees* | | | 50 | |
Miscellaneous | | | 10,747 | |
Total liabilities | | | 136,123 | |
Net assets | | $ | 4,348,293 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 4,217,113 | |
Total distributable earnings (loss) | | | 131,180 | |
Net assets | | $ | 4,348,293 | |
Capital shares outstanding | | | 21,040 | |
Net asset value per share | | $ | 206.67 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 43,850 | |
Dividends from securities of affiliated issuers | | | 12,599 | |
Interest | | | 35,926 | |
Income from securities lending, net | | | 284 | |
Total investment income | | | 92,659 | |
| | | | | |
Expenses: |
Management fees | | | 35,116 | |
Investor service fees | | | 9,754 | |
Transfer agent fees | | | 9,840 | |
Professional fees | | | 7,133 | |
Portfolio accounting and administration fees | | | 6,048 | |
Interest expense | | | 1,284 | |
Custodian fees | | | 744 | |
Trustees’ fees* | | | 709 | |
Miscellaneous | | | 3,258 | |
Total expenses | | | 73,886 | |
Less: |
Expenses reimbursed by Adviser | | | (2,749 | ) |
Expenses waived by Adviser | | | (389 | ) |
Total waived/reimbursed expenses | | | (3,138 | ) |
Net expenses | | | 70,748 | |
Net investment income | | | 21,911 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 40,570 | |
Swap agreements | | | 166,872 | |
Futures contracts | | | (35,530 | ) |
Net realized gain | | | 171,912 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 374,549 | |
Investments in affiliated issuers | | | 4,852 | |
Swap agreements | | | 146,360 | |
Net change in unrealized appreciation (depreciation) | | | 525,761 | |
Net realized and unrealized gain | | | 697,673 | |
Net increase in net assets resulting from operations | | $ | 719,584 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
72 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MID-CAP 1.5x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | 21,911 | | | $ | (5,250 | ) |
Net realized gain (loss) on investments | | | 171,912 | | | | (609,949 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 525,761 | | | | (763,994 | ) |
Net increase (decrease) in net assets resulting from operations | | | 719,584 | | | | (1,379,193 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (281,786 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 2,708,618 | | | | 3,206,486 | |
Distributions reinvested | | | — | | | | 281,786 | |
Cost of shares redeemed | | | (3,595,618 | ) | | | (3,350,065 | ) |
Net increase (decrease) from capital share transactions | | | (887,000 | ) | | | 138,207 | |
Net decrease in net assets | | | (167,416 | ) | | | (1,522,772 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 4,515,709 | | | | 6,038,481 | |
End of year | | $ | 4,348,293 | | | $ | 4,515,709 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 13,907 | | | | 17,683 | |
Shares issued from reinvestment of distributions | | | — | | | | 1,630 | |
Shares redeemed | | | (18,832 | ) | | | (18,208 | ) |
Net increase (decrease) in shares | | | (4,925 | ) | | | 1,105 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 73 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019e | |
Per Share Data |
Net asset value, beginning of period | | $ | 173.92 | | | $ | 242.90 | | | $ | 205.26 | | | $ | 193.99 | | | $ | 144.00 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 1.04 | | | | (.22 | ) | | | (1.55 | ) | | | (.12 | ) | | | 1.10 | |
Net gain (loss) on investments (realized and unrealized) | | | 31.71 | | | | (56.21 | ) | | | 70.95 | | | | 12.09 | | | | 50.79 | |
Total from investment operations | | | 32.75 | | | | (56.43 | ) | | | 69.40 | | | | 11.97 | | | | 51.89 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | — | | | | (.15 | ) | | | (1.90 | ) |
Net realized gains | | | — | | | | (12.55 | ) | | | (31.76 | ) | | | (.55 | ) | | | — | |
Total distributions | | | — | | | | (12.55 | ) | | | (31.76 | ) | | | (.70 | ) | | | (1.90 | ) |
Net asset value, end of period | | $ | 206.67 | | | $ | 173.92 | | | $ | 242.90 | | | $ | 205.26 | | | $ | 193.99 | |
|
Total Returnb | | | 18.83 | % | | | (23.20 | %) | | | 35.25 | % | | | 10.69 | % | | | 36.11 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,348 | | | $ | 4,516 | | | $ | 6,038 | | | $ | 4,756 | | | $ | 5,444 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.56 | % | | | (0.11 | %) | | | (0.65 | %) | | | (0.47 | %) | | | 0.60 | % |
Total expensesc | | | 1.89 | % | | | 1.83 | % | | | 1.75 | % | | | 1.87 | % | | | 1.87 | % |
Net expensesd | | | 1.81 | % | | | 1.77 | % | | | 1.69 | % | | | 1.81 | % | | | 1.80 | % |
Portfolio turnover rate | | | 18 | % | | | 154 | % | | | 56 | % | | | 472 | % | | | 274 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | 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. |
74 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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.
For the Reporting Period, the Inverse Mid-Cap Strategy Fund maintained a daily correlation of 99% to its benchmark of -100% of the daily price movement of the S&P MidCap 400 Index. The Fund returned -9.04%, while the S&P MidCap 400 Index returned 16.44% over the same period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Industrials, Consumer Discretionary, and Information Technology. The sectors detracting the most from the return of the underlying index were Utilities, Communication Services, and Health Care.
The holdings contributing the most to the return of the underlying index were Builders FirstSource, Inc., Super Micro Computer, Inc., and Jabil, Inc. The holdings detracting the most were First Horizon Corp., Wolfspeed, Inc., and Medical Properties Trust, Inc.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, the Fund’s 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 Fund holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. A significant contributor to the discrepancy between the leveraged and unleveraged indices is the effect of compounding on the leveraged index, which is discussed under “A Brief Note on the Compounding of Returns.”
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. For the Reporting Period, investment in the Short Term Investment Vehicles contributed to Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
| | THE RYDEX FUNDS ANNUAL REPORT | 75 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
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.
Cumulative Fund Performance*,†
Inception Date: May 3, 2004 |
The Fund invests principally in derivative investments such as swap agreements.
Largest Holdings | % of Total Net Assets |
Guggenheim Ultra Short Duration Fund — Institutional Class | 18.9% |
Guggenheim Strategy Fund II | 15.6% |
Total | 34.5% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Inverse Mid-Cap Strategy Fund | (9.04%) | (14.54%) | (11.08%) |
S&P MidCap 400 Index | 16.44% | 12.62% | 9.27% |
* | 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. |
76 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
INVERSE MID-CAP STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 34.5% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 2,464 | | | $ | 24,268 | |
Guggenheim Strategy Fund II1 | | | 822 | | | | 20,132 | |
Total Mutual Funds | | | | |
(Cost $43,902) | | | | | | | 44,400 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 19.4% |
U.S. Treasury Bills |
5.22% due 01/04/242 | | $ | 25,000 | | | | 24,993 | |
Total U.S. Treasury Bills | | | | |
(Cost $24,989) | | | | | | | 24,993 | |
| | | | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 15.5% |
Farmer Mac |
4.59% due 01/05/242 | | | 20,000 | | | | 19,988 | |
Total Federal Agency Discount Notes | | | | |
(Cost $19,988) | | | | | | | 19,988 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,3 - 24.8% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/244 | | | 17,679 | | | | 17,679 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/244 | | | 14,247 | | | | 14,247 | |
Total Repurchase Agreements | | | | |
(Cost $31,926) | | | | | | | 31,926 | |
| | | | | | | | | |
Total Investments — 94.2% | | | | |
(Cost $120,805) | | $ | 121,307 | |
Other Assets & Liabilities, net — 5.8% | | | 7,478 | |
Total Net Assets — 100.0% | | $ | 128,785 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation) | |
OTC Equity Index Swap Agreements Sold Short†† |
Barclays Bank plc | S&P MidCap 400 Index | Receive | 5.60% (SOFR + 0.20%) | | | At Maturity | | | | 03/20/24 | | | | 19 | | | $ | 53,605 | | | $ | 56 | |
Goldman Sachs International | S&P MidCap 400 Index | Receive | 5.28% (Federal Funds Rate — 0.05%) | | | At Maturity | | | | 03/21/24 | | | | 11 | | | | 30,737 | | | | (442 | ) |
BNP Paribas | S&P MidCap 400 Index | Receive | 5.38% (Federal Funds Rate + 0.05%) | | | At Maturity | | | | 03/21/24 | | | | 15 | | | | 41,907 | | | | (604 | ) |
| | | | | | | | | | | | | | | | | | $ | 126,249 | | | $ | (990 | ) |
† | 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 | Repurchase Agreements — See Note 6. |
4 | All or a portion of this security is pledged as equity index swap collateral at December 31, 2023. |
| | plc — Public Limited Company |
| | SOFR — Secured Overnight Financing Rate |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 77 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
INVERSE MID-CAP STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 44,400 | | | $ | — | | | $ | — | | | $ | 44,400 | |
U.S. Treasury Bills | | | — | | | | 24,993 | | | | — | | | | 24,993 | |
Federal Agency Discount Notes | | | — | | | | 19,988 | | | | — | | | | 19,988 | |
Repurchase Agreements | | | — | | | | 31,926 | | | | — | | | | 31,926 | |
Equity Index Swap Agreements** | | | — | | | | 56 | | | | — | | | | 56 | |
Total Assets | | $ | 44,400 | | | $ | 76,963 | | | $ | — | | | $ | 121,363 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 1,046 | | | $ | — | | | $ | 1,046 | |
** | 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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/22 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
12/31/23 | | | Shares
12/31/23 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 19,755 | | | $ | — | | | $ | — | | | $ | — | | | $ | 377 | | | $ | 20,132 | | | | 822 | | | $ | 1,077 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 31,618 | | | | — | | | | (8,000 | ) | | | (122 | ) | | | 772 | | | | 24,268 | | | | 2,464 | | | | 1,622 | |
| | | $ | 51,373 | | | $ | — | | | $ | (8,000 | ) | | $ | (122 | ) | | $ | 1,149 | | | $ | 44,400 | | | | | | | $ | 2,699 | |
78 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE MID-CAP STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments in unaffiliated issuers, at value (cost $44,977) | | $ | 44,981 | |
Investments in affiliated issuers, at value (cost $43,902) | | | 44,400 | |
Repurchase agreements, at value (cost $31,926) | | | 31,926 | |
Cash | | | 146 | |
Segregated cash with broker | | | 10,000 | |
Unrealized appreciation on OTC swap agreements | | | 56 | |
Receivables: |
Dividends | | | 235 | |
Swap settlement | | | 101 | |
Variation margin on futures contracts | | | 56 | |
Interest | | | 14 | |
Total assets | | | 131,915 | |
| | | | | |
Liabilities: |
Line of credit | | | 1,000 | |
Unrealized depreciation on OTC swap agreements | | | 1,046 | |
Payable for: |
Fund shares redeemed | | | 535 | |
Management fees | | | 95 | |
Transfer agent fees | | | 56 | |
Investor service fees | | | 28 | |
Portfolio accounting and administration fees | | | 6 | |
Trustees’ fees* | | | 2 | |
Miscellaneous | | | 362 | |
Total liabilities | | | 3,130 | |
Net assets | | $ | 128,785 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 2,160,155 | |
Total distributable earnings (loss) | | | (2,031,370 | ) |
Net assets | | $ | 128,785 | |
Capital shares outstanding | | | 3,805 | |
Net asset value per share | | $ | 33.85 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 2,699 | |
Interest | | | 7,308 | |
Total investment income | | | 10,007 | |
| | | | | |
Expenses: |
Management fees | | | 1,821 | |
Investor service fees | | | 506 | |
Transfer agent fees | | | 528 | |
Portfolio accounting and administration fees | | | 314 | |
Professional fees | | | 337 | |
Trustees’ fees* | | | 37 | |
Custodian fees | | | 29 | |
Miscellaneous | | | 177 | |
Total expenses | | | 3,749 | |
Less: |
Expenses reimbursed by Adviser | | | (135 | ) |
Expenses waived by Adviser | | | (76 | ) |
Total waived/reimbursed expenses | | | (211 | ) |
Net expenses | | | 3,538 | |
Net investment income | | | 6,469 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 25 | |
Investments in affiliated issuers | | | (122 | ) |
Swap agreements | | | (30,161 | ) |
Net realized loss | | | (30,258 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 7 | |
Investments in affiliated issuers | | | 1,149 | |
Swap agreements | | | (6,945 | ) |
Net change in unrealized appreciation (depreciation) | | | (5,789 | ) |
Net realized and unrealized loss | | | (36,047 | ) |
Net decrease in net assets resulting from operations | | $ | (29,578 | ) |
* | 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 ANNUAL REPORT | 79 |
INVERSE MID-CAP STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 6,469 | | | $ | 747 | |
Net realized loss on investments | | | (30,258 | ) | | | (78,316 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (5,789 | ) | | | 7,062 | |
Net decrease in net assets resulting from operations | | | (29,578 | ) | | | (70,507 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (747 | ) | | | — | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 1,423,581 | | | | 4,129,492 | |
Distributions reinvested | | | 747 | | | | — | |
Cost of shares redeemed | | | (1,504,824 | ) | | | (3,908,202 | ) |
Net increase (decrease) from capital share transactions | | | (80,496 | ) | | | 221,290 | |
Net increase (decrease) in net assets | | | (110,821 | ) | | | 150,783 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 239,606 | | | | 88,823 | |
End of year | | $ | 128,785 | | | $ | 239,606 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 38,721 | | | | 107,340 | |
Shares issued from reinvestment of distributions | | | 22 | | | | — | |
Shares redeemed | | | (41,345 | ) | | | (103,522 | ) |
Net increase (decrease) in shares | | | (2,602 | ) | | | 3,818 | |
80 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 37.40 | | | $ | 34.31 | | | $ | 44.68 | | | $ | 60.05 | | | $ | 75.67 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 1.16 | | | | .08 | | | | (.44 | ) | | | (.61 | ) | | | .51 | |
Net gain (loss) on investments (realized and unrealized) | | | (4.53 | ) | | | 3.01 | e | | | (9.93 | ) | | | (14.22 | ) | | | (15.87 | ) |
Total from investment operations | | | (3.37 | ) | | | 3.09 | | | | (10.37 | ) | | | (14.83 | ) | | | (15.36 | ) |
Less distributions from: |
Net investment income | | | (.18 | ) | | | — | | | | — | | | | (.54 | ) | | | (.26 | ) |
Total distributions | | | (.18 | ) | | | — | | | | — | | | | (.54 | ) | | | (.26 | ) |
Net asset value, end of period | | $ | 33.85 | | | $ | 37.40 | | | $ | 34.31 | | | $ | 44.68 | | | $ | 60.05 | |
|
Total Returnb | | | (9.04 | %) | | | 9.01 | % | | | (23.21 | %) | | | (24.89 | %) | | | (20.31 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 129 | | | $ | 240 | | | $ | 89 | | | $ | 137 | | | $ | 265 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.20 | % | | | 0.21 | % | | | (1.18 | %) | | | (1.01 | %) | | | 0.78 | % |
Total expensesc | | | 1.85 | % | | | 1.78 | % | | | 1.74 | % | | | 1.88 | % | | | 1.88 | % |
Net expensesd | | | 1.75 | % | | | 1.71 | % | | | 1.67 | % | | | 1.83 | % | | | 1.81 | % |
Portfolio turnover rate | | | — | | | | 9 | % | | | 29 | % | | | 281 | % | | | 185 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | 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 in the Fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 81 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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.
For the Reporting Period, the Russell 2000® 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the Russell 2000 Index. The Fund returned 22.00%, while the Russell 2000 Index returned 16.93% over the same time period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Industrials, Information Technology, and Consumer Discretionary. The only sector detracting from the return of the underlying index was Utilities.
Super Micro Computer, Inc., ImmunoGen, Inc., and MicroStrategy, Inc. - Class A contributed the most to performance of the underlying index for 2023. Halozyme Therapeutics, Inc., Patterson-UTI Energy, Inc., and Chegg, Inc. detracted the most from performance of the underlying index.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, the Fund’s 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 Fund holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. A significant contributor to the discrepancy between the leveraged and unleveraged indices is the effect of compounding on the leveraged index, which is discussed under “A Brief Note on the Compounding of Returns.”
Performance displayed represents past performance, which is no guarantee of future results.
82 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Cumulative Fund Performance*,†
Inception Date: October 27, 2006 |
Largest Holdings | % of Total Net Assets |
Vanguard Russell 2000 ETF | 1.6% |
iShares Russell 2000 Index ETF | 1.5% |
Total | 3.1% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Russell 2000® 2x Strategy Fund | 22.00% | 8.56% | 5.89% |
Russell 2000 Index | 16.93% | 9.97% | 8.80% |
* | 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 83 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
RUSSELL 2000® 2x STRATEGY FUND | |
| | Shares | | | Value | |
RIGHTS††† - 0.0% |
| | | | | | | | | |
Consumer, Non-cyclical — 0.0% |
Tobira Therapeutics, Inc.* | | | 7 | | | $ | — | |
Total Rights | | | | |
(Cost $—) | | | | | | | — | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 3.1% |
Vanguard Russell 2000 ETF1 | | | 2,308 | | | | 187,179 | |
iShares Russell 2000 Index ETF | | | 932 | | | | 187,061 | |
Total Exchange-Traded Funds | | | | |
(Cost $408,358) | | | | | | | 374,240 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 12.8% |
U.S. Treasury Bills |
5.23% due 02/22/242,3 | | $ | 1,000,000 | | | | 992,566 | |
5.25% due 02/22/242,3 | | | 400,000 | | | | 397,027 | |
5.27% due 02/22/242,3 | | | 100,000 | | | | 99,257 | |
5.17% due 01/09/243,4 | | | 37,000 | | | | 36,962 | |
Total U.S. Treasury Bills | | | | |
(Cost $1,525,601) | | | | | | | 1,525,812 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,5 - 87.9% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/242 | | | 5,839,070 | | | | 5,839,070 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/242 | | | 4,705,626 | | | | 4,705,626 | |
Total Repurchase Agreements | | | | |
(Cost $10,544,696) | | | | | | | 10,544,696 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,6 - 1.2% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund - Class X, 5.29%7 | | | 146,242 | | | | 146,242 | |
Total Securities Lending Collateral | | | | |
(Cost $146,242) | | | | | | | 146,242 | |
| | | | | | | | | |
Total Investments — 105.0% | | | | |
(Cost $12,624,897) | | $ | 12,590,990 | |
Other Assets & Liabilities, net — (5.0)% | | | (598,230 | ) |
Total Net Assets — 100.0% | | $ | 11,992,760 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
Russell 2000 Index Mini Futures Contracts | | | 12 | | | | Mar 2024 | | | $ | 1,228,200 | | | $ | 3,471 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Goldman Sachs International | Russell 2000 Index | Pay | 5.43% (Federal Funds Rate + 0.10%) | | | At Maturity | | | | 03/21/24 | | | | 5,618 | | | $ | 11,387,652 | | | $ | 184,404 | |
Barclays Bank plc | Russell 2000 Index | Pay | 5.40% (SOFR) | | | At Maturity | | | | 03/20/24 | | | | 4,885 | | | | 9,902,220 | | | | 26,653 | |
BNP Paribas | Russell 2000 Index | Pay | 5.53% (Federal Funds Rate + 0.20%) | | | At Maturity | | | | 03/21/24 | | | | 522 | | | | 1,058,662 | | | | 23,105 | |
| | | | | | | | | | | | | | | | | | $ | 22,348,534 | | | $ | 234,162 | |
84 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
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 December 31, 2023 — See Note 7. |
2 | All or a portion of this security is pledged as equity index swap collateral at December 31, 2023. |
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 December 31, 2023. |
5 | Repurchase Agreements — See Note 6. |
6 | Securities lending collateral — See Note 7. |
7 | Rate indicated is the 7-day yield as of December 31, 2023. |
| | plc — Public Limited Company |
| | SOFR — Secured Overnight Financing Rate |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | | 374,240 | | | | — | | | | — | | | | 374,240 | |
U.S. Treasury Bills | | | — | | | | 1,525,812 | | | | — | | | | 1,525,812 | |
Repurchase Agreements | | | — | | | | 10,544,696 | | | | — | | | | 10,544,696 | |
Securities Lending Collateral | | | 146,242 | | | | — | | | | — | | | | 146,242 | |
Equity Futures Contracts** | | | 3,471 | | | | — | | | | — | | | | 3,471 | |
Equity Index Swap Agreements** | | | — | | | | 234,162 | | | | — | | | | 234,162 | |
Total Assets | | $ | 523,953 | | | $ | 12,304,670 | | | $ | — | | | $ | 12,828,623 | |
* | 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 ANNUAL REPORT | 85 |
RUSSELL 2000® 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value - including $139,654 of securities loaned (cost $2,080,201) | | $ | 2,046,294 | |
Repurchase agreements, at value (cost $10,544,696) | | | 10,544,696 | |
Cash | | | 684 | |
Segregated cash with broker | | | 41,244 | |
Unrealized appreciation on OTC swap agreements | | | 234,162 | |
Receivables: |
Interest | | | 4,691 | |
Fund shares sold | | | 852 | |
Securities lending income | | | 164 | |
Total assets | | | 12,872,787 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 360,000 | |
Payable for: |
Fund shares redeemed | | | 289,476 | |
Return of securities lending collateral | | | 146,242 | |
Swap settlement | | | 31,495 | |
Variation margin on futures contracts | | | 19,380 | |
Management fees | | | 6,875 | |
Transfer agent fees | | | 2,001 | |
Investor service fees | | | 1,910 | |
Portfolio accounting and administration fees | | | 420 | |
Trustees’ fees* | | | 97 | |
Miscellaneous | | | 22,131 | |
Total liabilities | | | 880,027 | |
Net assets | | $ | 11,992,760 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 11,481,157 | |
Total distributable earnings (loss) | | | 511,603 | |
Net assets | | $ | 11,992,760 | |
Capital shares outstanding | | | 80,366 | |
Net asset value per share | | $ | 149.23 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends | | $ | 5,157 | |
Interest | | | 208,042 | |
Income from securities lending, net | | | 976 | |
Total investment income | | | 214,175 | |
| | | | | |
Expenses: |
Management fees | | | 39,535 | |
Investor service fees | | | 10,982 | |
Transfer agent fees | | | 10,079 | |
Professional fees | | | 10,900 | |
Interest expense | | | 10,149 | |
Portfolio accounting and administration fees | | | 6,809 | |
Custodian fees | | | 1,007 | |
Trustees’ fees* | | | 591 | |
Miscellaneous | | | 2,705 | |
Total expenses | | | 92,757 | |
Less: |
Expenses reimbursed by Adviser | | | (3,143 | ) |
Net expenses | | | 89,614 | |
Net investment income | | | 124,561 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 398 | |
Swap agreements | | | 543,634 | |
Futures contracts | | | 15,645 | |
Net realized gain | | | 559,677 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 49,356 | |
Swap agreements | | | 302,418 | |
Futures contracts | | | 12,961 | |
Net change in unrealized appreciation (depreciation) | | | 364,735 | |
Net realized and unrealized gain | | | 924,412 | |
Net increase in net assets resulting from operations | | $ | 1,048,973 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
86 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 124,561 | | | $ | 9,275 | |
Net realized gain (loss) on investments | | | 559,677 | | | | (297,572 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 364,735 | | | | (472,126 | ) |
Net increase (decrease) in net assets resulting from operations | | | 1,048,973 | | | | (760,423 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (8,798 | ) | | | — | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 41,542,129 | | | | 59,710,191 | |
Distributions reinvested | | | 8,798 | | | | — | |
Cost of shares redeemed | | | (31,621,866 | ) | | | (60,447,045 | ) |
Net increase (decrease) from capital share transactions | | | 9,929,061 | | | | (736,854 | ) |
Net increase (decrease) in net assets | | | 10,969,236 | | | | (1,497,277 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 1,023,524 | | | | 2,520,801 | |
End of year | | $ | 11,992,760 | | | $ | 1,023,524 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 317,069 | | | | 369,483 | |
Shares issued from reinvestment of distributions | | | 61 | | | | — | |
Shares redeemed | | | (245,121 | ) | | | (372,859 | ) |
Net increase (decrease) in shares | | | 72,009 | | | | (3,376 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 87 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 122.48 | | | $ | 214.85 | | | $ | 273.59 | | | $ | 234.99 | | | $ | 160.46 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 3.71 | | | | .58 | | | | (3.44 | ) | | | (2.35 | ) | | | 1.27 | |
Net gain (loss) on investments (realized and unrealized) | | | 23.17 | | | | (92.95 | ) | | | 72.57 | | | | 42.01 | | | | 74.31 | |
Total from investment operations | | | 26.88 | | | | (92.37 | ) | | | 69.13 | | | | 39.66 | | | | 75.58 | |
Less distributions from: |
Net investment income | | | (.13 | ) | | | — | | | | — | | | | (1.06 | ) | | | (1.05 | ) |
Net realized gains | | | — | | | | — | | | | (127.87 | ) | | | — | | | | — | |
Total distributions | | | (.13 | ) | | | — | | | | (127.87 | ) | | | (1.06 | ) | | | (1.05 | ) |
Net asset value, end of period | | $ | 149.23 | | | $ | 122.48 | | | $ | 214.85 | | | $ | 273.59 | | | $ | 234.99 | |
|
Total Returnb | | | 22.00 | % | | | (42.99 | %) | | | 25.77 | % | | | 17.21 | % | | | 47.15 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 11,993 | | | $ | 1,024 | | | $ | 2,521 | | | $ | 16,514 | | | $ | 3,875 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.83 | % | | | 0.40 | % | | | (1.23 | %) | | | (1.23 | %) | | | 0.61 | % |
Total expensesc | | | 2.11 | % | | | 1.88 | % | | | 1.80 | % | | | 1.92 | % | | | 1.92 | % |
Net expensesd | | | 2.04 | % | | | 1.83 | % | | | 1.74 | % | | | 1.86 | % | | | 1.86 | % |
Portfolio turnover rate | | | — | | | | 598 | % | | | 701 | % | | | 463 | % | | | 510 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
88 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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 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.
For the Reporting Period, the Russell 2000 1.5x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 150% of the daily price movement of the Russell 2000 Index. The Fund returned 19.76%, while the Russell 2000 Index returned 16.93% over the same time period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Industrials, Information Technology, and Consumer Discretionary. The only sector detracting from the return of the underlying index was Utilities.
Super Micro Computer, Inc., ImmunoGen, Inc., and MicroStrategy, Inc. - Class A contributed the most to performance of the underlying index for 2023. Halozyme Therapeutics, Inc., Patterson-UTI Energy, Inc., and Chegg, Inc. detracted the most from performance of the underlying index.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, the Fund’s 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 Fund holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. A significant contributor to the discrepancy between the leveraged and unleveraged indices is the effect of compounding on the leveraged index, which is discussed under “A Brief Note on the Compounding of Returns.”
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. For the Reporting Period, investment in the Short Term Investment Vehicles contributed to Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
| | THE RYDEX FUNDS ANNUAL REPORT | 89 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
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.
Cumulative Fund Performance*,†
Inception Date: October 1, 2001 |
Ten Largest Holdings | % of Total Net Assets |
Vanguard Russell 2000 ETF | 8.9% |
iShares Russell 2000 Index ETF | 8.8% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 8.7% |
Guggenheim Strategy Fund II | 5.6% |
Super Micro Computer, Inc. | 0.2% |
Simpson Manufacturing Company, Inc. | 0.1% |
Cytokinetics, Inc. | 0.1% |
elf Beauty, Inc. | 0.1% |
UFP Industries, Inc. | 0.1% |
Light & Wonder, Inc. — Class A | 0.1% |
Top Ten Total | 32.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Russell 2000® 1.5x Strategy Fund | 19.76% | 9.04% | 6.29% |
Russell 2000 Index | 16.93% | 9.97% | 8.80% |
* | 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. |
90 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 35.0% |
| | | | | | | | | |
Consumer, Non-cyclical — 8.1% |
Cytokinetics, Inc.* | | | 56 | | | $ | 4,675 | |
elf Beauty, Inc.* | | | 32 | | | | 4,619 | |
API Group Corp.* | | | 125 | | | | 4,325 | |
BellRing Brands, Inc.* | | | 78 | | | | 4,324 | |
ImmunoGen, Inc.* | | | 142 | | | | 4,210 | |
Intra-Cellular Therapies, Inc.* | | | 56 | | | | 4,011 | |
Ensign Group, Inc. | | | 33 | | | | 3,703 | |
Vaxcyte, Inc.* | | | 55 | | | | 3,454 | |
Option Care Health, Inc.* | | | 99 | | | | 3,335 | |
Blueprint Medicines Corp.* | | | 36 | | | | 3,321 | |
HealthEquity, Inc.* | | | 50 | | | | 3,315 | |
StoneCo Ltd. — Class A* | | | 174 | | | | 3,137 | |
Sprouts Farmers Market, Inc.* | | | 62 | | | | 2,983 | |
Marathon Digital Holdings, Inc.* | | | 126 | | | | 2,960 | |
Halozyme Therapeutics, Inc.* | | | 77 | | | | 2,846 | |
Coca-Cola Consolidated, Inc. | | | 3 | | | | 2,785 | |
Alkermes plc* | | | 99 | | | | 2,746 | |
Bridgebio Pharma, Inc.* | | | 68 | | | | 2,745 | |
Neogen Corp.* | | | 130 | | | | 2,614 | |
Merit Medical Systems, Inc.* | | | 34 | | | | 2,583 | |
Haemonetics Corp.* | | | 30 | | | | 2,565 | |
Lantheus Holdings, Inc.* | | | 41 | | | | 2,542 | |
Herc Holdings, Inc. | | | 17 | | | | 2,531 | |
Brink’s Co. | | | 28 | | | | 2,463 | |
Insperity, Inc. | | | 21 | | | | 2,462 | |
Insmed, Inc.* | | | 79 | | | | 2,448 | |
Amicus Therapeutics, Inc.* | | | 167 | | | | 2,370 | |
REVOLUTION Medicines, Inc.* | | | 82 | | | | 2,352 | |
TriNet Group, Inc.* | | | 19 | | | | 2,260 | |
ACADIA Pharmaceuticals, Inc.* | | | 72 | | | | 2,254 | |
Glaukos Corp.* | | | 28 | | | | 2,226 | |
Simply Good Foods Co.* | | | 54 | | | | 2,138 | |
Alight, Inc. — Class A* | | | 246 | | | | 2,098 | |
Madrigal Pharmaceuticals, Inc.* | | | 9 | | | | 2,082 | |
Inari Medical, Inc.* | | | 31 | | | | 2,013 | |
Lancaster Colony Corp. | | | 12 | | | | 1,997 | |
Marqeta, Inc. — Class A* | | | 285 | | | | 1,989 | |
Integer Holdings Corp.* | | | 20 | | | | 1,982 | |
CONMED Corp. | | | 18 | | | | 1,971 | |
iRhythm Technologies, Inc.* | | | 18 | | | | 1,927 | |
WD-40 Co. | | | 8 | | | | 1,913 | |
Alarm.com Holdings, Inc.* | | | 29 | | | | 1,874 | |
Arrowhead Pharmaceuticals, Inc.* | | | 61 | | | | 1,867 | |
Korn Ferry | | | 31 | | | | 1,840 | |
Prestige Consumer Healthcare, Inc.* | | | 30 | | | | 1,837 | |
CBIZ, Inc.* | | | 29 | | | | 1,815 | |
Axonics, Inc.* | | | 29 | | | | 1,805 | |
ABM Industries, Inc. | | | 40 | | | | 1,793 | |
Guardant Health, Inc.* | | | 66 | | | | 1,785 | |
Biohaven Ltd.* | | | 41 | | | | 1,755 | |
Riot Platforms, Inc.* | | | 113 | | | | 1,748 | |
Progyny, Inc.* | | | 47 | | | | 1,747 | |
Cerevel Therapeutics Holdings, Inc.* | | | 41 | | | | 1,738 | |
AMN Healthcare Services, Inc.* | | | 23 | | | | 1,722 | |
Helen of Troy Ltd.* | | | 14 | | | | 1,691 | |
LivaNova plc* | | | 32 | | | | 1,656 | |
Intellia Therapeutics, Inc.* | | | 53 | | | | 1,616 | |
Krystal Biotech, Inc.* | | | 13 | | | | 1,613 | |
EVERTEC, Inc. | | | 39 | | | | 1,597 | |
Axsome Therapeutics, Inc.* | | | 20 | | | | 1,592 | |
Inter Parfums, Inc. | | | 11 | | | | 1,584 | |
Cymabay Therapeutics, Inc.* | | | 67 | | | | 1,583 | |
Corcept Therapeutics, Inc.* | | | 48 | | | | 1,559 | |
Denali Therapeutics, Inc.* | | | 71 | | | | 1,524 | |
Remitly Global, Inc.* | | | 78 | | | | 1,515 | |
Coursera, Inc.* | | | 78 | | | | 1,511 | |
J & J Snack Foods Corp. | | | 9 | | | | 1,504 | |
TransMedics Group, Inc.* | | | 19 | | | | 1,500 | |
Stride, Inc.* | | | 25 | | | | 1,484 | |
ICF International, Inc. | | | 11 | | | | 1,475 | |
Pacific Biosciences of California, Inc.* | | | 150 | | | | 1,471 | |
SpringWorks Therapeutics, Inc.* | | | 40 | | | | 1,460 | |
Flywire Corp.* | | | 63 | | | | 1,458 | |
Select Medical Holdings Corp. | | | 62 | | | | 1,457 | |
Patterson Companies, Inc. | | | 51 | | | | 1,451 | |
Surgery Partners, Inc.* | | | 45 | | | | 1,440 | |
LiveRamp Holdings, Inc.* | | | 38 | | | | 1,439 | |
Rhythm Pharmaceuticals, Inc.* | | | 31 | | | | 1,425 | |
Amphastar Pharmaceuticals, Inc.* | | | 23 | | | | 1,423 | |
Adtalem Global Education, Inc.* | | | 24 | | | | 1,415 | |
TG Therapeutics, Inc.* | | | 82 | | | | 1,401 | |
Primo Water Corp. | | | 93 | | | | 1,400 | |
Graham Holdings Co. — Class B | | | 2 | | | | 1,393 | |
Crinetics Pharmaceuticals, Inc.* | | | 38 | | | | 1,352 | |
Immunovant, Inc.* | | | 32 | | | | 1,348 | |
Cal-Maine Foods, Inc. | | | 23 | | | | 1,320 | |
Strategic Education, Inc. | | | 14 | | | | 1,293 | |
TreeHouse Foods, Inc.* | | | 31 | | | | 1,285 | |
Ideaya Biosciences, Inc.* | | | 36 | | | | 1,281 | |
Arcellx, Inc.* | | | 23 | | | | 1,276 | |
Twist Bioscience Corp.* | | | 34 | | | | 1,253 | |
CorVel Corp.* | | | 5 | | | | 1,236 | |
NeoGenomics, Inc.* | | | 76 | | | | 1,230 | |
RadNet, Inc.* | | | 35 | | | | 1,217 | |
Arvinas, Inc.* | | | 29 | | | | 1,194 | |
Veracyte, Inc.* | | | 43 | | | | 1,183 | |
Textainer Group Holdings Ltd. | | | 24 | | | | 1,181 | |
Nuvalent, Inc. — Class A* | | | 16 | | | | 1,177 | |
PTC Therapeutics, Inc.* | | | 42 | | | | 1,158 | |
Edgewell Personal Care Co. | | | 31 | | | | 1,136 | |
Huron Consulting Group, Inc.* | | | 11 | | | | 1,131 | |
Upbound Group, Inc. | | | 33 | | | | 1,121 | |
Beam Therapeutics, Inc.* | | | 41 | | | | 1,116 | |
Celldex Therapeutics, Inc.* | | | 28 | | | | 1,110 | |
Rocket Pharmaceuticals, Inc.* | | | 37 | | | | 1,109 | |
Iovance Biotherapeutics, Inc.* | | | 136 | | | | 1,106 | |
Andersons, Inc. | | | 19 | | | | 1,093 | |
Dynavax Technologies Corp.* | | | 77 | | | | 1,076 | |
Laureate Education, Inc. — Class A | | | 78 | | | | 1,069 | |
Viking Therapeutics, Inc.* | | | 57 | | | | 1,061 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 91 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Central Garden & Pet Co. — Class A* | | | 24 | | | $ | 1,057 | |
Inmode Ltd.* | | | 46 | | | | 1,023 | |
Omnicell, Inc.* | | | 27 | | | | 1,016 | |
AtriCure, Inc.* | | | 28 | | | | 999 | |
Vericel Corp.* | | | 28 | | | | 997 | |
Apollo Medical Holdings, Inc.* | | | 26 | | | | 996 | |
CoreCivic, Inc.* | | | 68 | | | | 988 | |
Cleanspark, Inc.* | | | 89 | | | | 982 | |
Vector Group Ltd. | | | 87 | | | | 981 | |
Catalyst Pharmaceuticals, Inc.* | | | 58 | | | | 975 | |
Ironwood Pharmaceuticals, Inc. — Class A* | | | 83 | | | | 950 | |
Universal Corp. | | | 14 | | | | 943 | |
PROCEPT BioRobotics Corp.* | | | 22 | | | | 922 | |
Myriad Genetics, Inc.* | | | 48 | | | | 919 | |
Pacira BioSciences, Inc.* | | | 27 | | | | 911 | |
Prothena Corporation plc* | | | 25 | | | | 909 | |
STAAR Surgical Co.* | | | 29 | | | | 905 | |
Herbalife Ltd.* | | | 59 | | | | 900 | |
MGP Ingredients, Inc. | | | 9 | | | | 887 | |
Cimpress plc* | | | 11 | | | | 881 | |
PROG Holdings, Inc.* | | | 28 | | | | 866 | |
Sabre Corp.* | | | 196 | | | | 862 | |
Owens & Minor, Inc.* | | | 44 | | | | 848 | |
Syndax Pharmaceuticals, Inc.* | | | 39 | | | | 843 | |
Oscar Health, Inc. — Class A* | | | 92 | | | | 842 | |
Supernus Pharmaceuticals, Inc.* | | | 29 | | | | 839 | |
Addus HomeCare Corp.* | | | 9 | | | | 836 | |
Alphatec Holdings, Inc.* | | | 55 | | | | 831 | |
Payoneer Global, Inc.* | | | 158 | | | | 823 | |
Kforce, Inc. | | | 12 | | | | 811 | |
Recursion Pharmaceuticals, Inc. — Class A* | | | 81 | | | | 799 | |
Legalzoom.com, Inc.* | | | 70 | | | | 791 | |
Ardelyx, Inc.* | | | 127 | | | | 787 | |
Krispy Kreme, Inc. | | | 52 | | | | 785 | |
Chegg, Inc.* | | | 68 | | | | 773 | |
GEO Group, Inc.* | | | 71 | | | | 769 | |
Inhibrx, Inc.* | | | 20 | | | | 760 | |
Udemy, Inc.* | | | 51 | | | | 751 | |
RayzeBio, Inc.* | | | 12 | | | | 746 | |
US Physical Therapy, Inc. | | | 8 | | | | 745 | |
Xencor, Inc.* | | | 35 | | | | 743 | |
Agios Pharmaceuticals, Inc.* | | | 33 | | | | 735 | |
Protagonist Therapeutics, Inc.* | | | 32 | | | | 734 | |
Aurinia Pharmaceuticals, Inc.* | | | 81 | | | | 728 | |
Ligand Pharmaceuticals, Inc. — Class B* | | | 10 | | | | 714 | |
Perdoceo Education Corp. | | | 40 | | | | 702 | |
Akero Therapeutics, Inc.* | | | 30 | | | | 700 | |
Utz Brands, Inc. | | | 43 | | | | 698 | |
John Wiley & Sons, Inc. — Class A | | | 22 | | | | 698 | |
National Beverage Corp.* | | | 14 | | | | 696 | |
Sage Therapeutics, Inc.* | | | 32 | | | | 693 | |
Ingles Markets, Inc. — Class A | | | 8 | | | | 691 | |
UFP Technologies, Inc.* | | | 4 | | | | 688 | |
LeMaitre Vascular, Inc. | | | 12 | | | | 681 | |
BioCryst Pharmaceuticals, Inc.* | | | 113 | | | | 677 | |
Matthews International Corp. — Class A | | | 18 | | | | 660 | |
Cytek Biosciences, Inc.* | | | 72 | | | | 657 | |
National Healthcare Corp. | | | 7 | | | | 647 | |
Collegium Pharmaceutical, Inc.* | | | 21 | | | | 646 | |
Harmony Biosciences Holdings, Inc.* | | | 20 | | | | 646 | |
RxSight, Inc.* | | | 16 | | | | 645 | |
Embecta Corp. | | | 34 | | | | 644 | |
Weis Markets, Inc. | | | 10 | | | | 640 | |
Avanos Medical, Inc.* | | | 28 | | | | 628 | |
Geron Corp.* | | | 297 | | | | 627 | |
Scholar Rock Holding Corp.* | | | 33 | | | | 620 | |
Chefs’ Warehouse, Inc.* | | | 21 | | | | 618 | |
Pliant Therapeutics, Inc.* | | | 34 | | | | 616 | |
SP Plus Corp.* | | | 12 | | | | 615 | |
Quanex Building Products Corp. | | | 20 | | | | 611 | |
MiMedx Group, Inc.* | | | 68 | | | | 596 | |
Relay Therapeutics, Inc.* | | | 54 | | | | 595 | |
Brookdale Senior Living, Inc. — Class A* | | | 102 | | | | 594 | |
Arcus Biosciences, Inc.* | | | 31 | | | | 592 | |
Kymera Therapeutics, Inc.* | | | 23 | | | | 586 | |
ZipRecruiter, Inc. — Class A* | | | 42 | | | | 584 | |
Hain Celestial Group, Inc.* | | | 53 | | | | 580 | |
Morphic Holding, Inc.* | | | 20 | | | | 578 | |
Quanterix Corp.* | | | 21 | | | | 574 | |
ADMA Biologics, Inc.* | | | 126 | | | | 570 | |
United Natural Foods, Inc.* | | | 35 | | | | 568 | |
Innoviva, Inc.* | | | 35 | | | | 561 | |
Kura Oncology, Inc.* | | | 39 | | | | 561 | |
Deluxe Corp. | | | 26 | | | | 558 | |
Monro, Inc. | | | 19 | | | | 558 | |
MannKind Corp.* | | | 153 | | | | 557 | |
First Advantage Corp. | | | 33 | | | | 547 | |
Transcat, Inc.* | | | 5 | | | | 547 | |
Viridian Therapeutics, Inc.* | | | 25 | | | | 545 | |
Cassava Sciences, Inc.* | | | 24 | | | | 540 | |
Day One Biopharmaceuticals, Inc.* | | | 37 | | | | 540 | |
Zentalis Pharmaceuticals, Inc.* | | | 35 | | | | 530 | |
Dole plc | | | 43 | | | | 529 | |
Fresh Del Monte Produce, Inc. | | | 20 | | | | 525 | |
Keros Therapeutics, Inc.* | | | 13 | | | | 517 | |
John B Sanfilippo & Son, Inc. | | | 5 | | | | 515 | |
Vir Biotechnology, Inc.* | | | 50 | | | | 503 | |
Deciphera Pharmaceuticals, Inc.* | | | 31 | | | | 500 | |
Arlo Technologies, Inc.* | | | 52 | | | | 495 | |
LifeStance Health Group, Inc.* | | | 63 | | | | 493 | |
SpartanNash Co. | | | 21 | | | | 482 | |
Cross Country Healthcare, Inc.* | | | 21 | | | | 475 | |
Mirum Pharmaceuticals, Inc.* | | | 16 | | | | 472 | |
Varex Imaging Corp.* | | | 23 | | | | 471 | |
Accolade, Inc.* | | | 39 | | | | 468 | |
Pediatrix Medical Group, Inc.* | | | 50 | | | | 465 | |
Barrett Business Services, Inc. | | | 4 | | | | 463 | |
Healthcare Services Group, Inc.* | | | 44 | | | | 456 | |
Cabaletta Bio, Inc.* | | | 20 | | | | 454 | |
Nevro Corp.* | | | 21 | | | | 452 | |
92 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
RAPT Therapeutics, Inc.* | | | 18 | | | $ | 447 | |
Amneal Pharmaceuticals, Inc.* | | | 73 | | | | 443 | |
Amylyx Pharmaceuticals, Inc.* | | | 30 | | | | 442 | |
Arcturus Therapeutics Holdings, Inc.* | | | 14 | | | | 441 | |
ANI Pharmaceuticals, Inc.* | | | 8 | | | | 441 | |
B&G Foods, Inc. | | | 42 | | | | 441 | |
SI-BONE, Inc.* | | | 21 | | | | 441 | |
Revance Therapeutics, Inc.* | | | 50 | | | | 439 | |
Vita Coco Company, Inc.* | | | 17 | | | | 436 | |
Viad Corp.* | | | 12 | | | | 434 | |
Kelly Services, Inc. — Class A | | | 20 | | | | 432 | |
REGENXBIO, Inc.* | | | 24 | | | | 431 | |
Artivion, Inc.* | | | 24 | | | | 429 | |
Editas Medicine, Inc.* | | | 42 | | | | 425 | |
Verve Therapeutics, Inc.* | | | 30 | | | | 418 | |
AdaptHealth Corp.* | | | 57 | | | | 416 | |
89bio, Inc.* | | | 37 | | | | 413 | |
Repay Holdings Corp.* | | | 48 | | | | 410 | |
Medifast, Inc. | | | 6 | | | | 403 | |
CRA International, Inc. | | | 4 | | | | 395 | |
Anavex Life Sciences Corp.* | | | 42 | | | | 391 | |
Travere Therapeutics, Inc.* | | | 43 | | | | 387 | |
4D Molecular Therapeutics, Inc.* | | | 19 | | | | 385 | |
Avidity Biosciences, Inc.* | | | 42 | | | | 380 | |
Atrion Corp. | | | 1 | | | | 379 | |
USANA Health Sciences, Inc.* | | | 7 | | | | 375 | |
CareDx, Inc.* | | | 31 | | | | 372 | |
Theravance Biopharma, Inc.* | | | 33 | | | | 371 | |
EyePoint Pharmaceuticals, Inc.* | | | 16 | | | | 370 | |
Alpine Immune Sciences, Inc.* | | | 19 | | | | 362 | |
OPKO Health, Inc.* | | | 239 | | | | 361 | |
Cass Information Systems, Inc. | | | 8 | | | | 360 | |
National Research Corp. — Class A | | | 9 | | | | 356 | |
Heidrick & Struggles International, Inc. | | | 12 | | | | 354 | |
OraSure Technologies, Inc.* | | | 43 | | | | 353 | |
ModivCare, Inc.* | | | 8 | | | | 352 | |
Fulgent Genetics, Inc.* | | | 12 | | | | 347 | |
MacroGenics, Inc.* | | | 36 | | | | 346 | |
OmniAb, Inc.* | | | 56 | | | | 346 | |
Treace Medical Concepts, Inc.* | | | 27 | | | | 344 | |
Hackett Group, Inc. | | | 15 | | | | 342 | |
BioLife Solutions, Inc.* | | | 21 | | | | 341 | |
Liquidia Corp.* | | | 28 | | | | 337 | |
Apogee Therapeutics, Inc.* | | | 12 | | | | 335 | |
ACCO Brands Corp. | | | 55 | | | | 334 | |
Kiniksa Pharmaceuticals Ltd. — Class A* | | | 19 | | | | 333 | |
Adaptive Biotechnologies Corp.* | | | 68 | | | | 333 | |
Dyne Therapeutics, Inc.* | | | 25 | | | | 332 | |
Zymeworks, Inc.* | | | 32 | | | | 332 | |
ImmunityBio, Inc.* | | | 66 | | | | 331 | |
Ennis, Inc. | | | 15 | | | | 329 | |
Altimmune, Inc.* | | | 29 | | | | 326 | |
Marinus Pharmaceuticals, Inc.* | | | 30 | | | | 326 | |
Multiplan Corp.* | | | 226 | | | | 325 | |
V2X, Inc.* | | | 7 | | | | 325 | |
Castle Biosciences, Inc.* | | | 15 | | | | 324 | |
Paragon 28, Inc.* | | | 26 | | | | 323 | |
PetIQ, Inc.* | | | 16 | | | | 316 | |
Beyond Meat, Inc.* | | | 35 | | | | 312 | |
Enhabit, Inc.* | | | 30 | | | | 310 | |
Vera Therapeutics, Inc.* | | | 20 | | | | 308 | |
Franklin Covey Co.* | | | 7 | | | | 305 | |
Alector, Inc.* | | | 38 | | | | 303 | |
Central Garden & Pet Co.* | | | 6 | | | | 301 | |
SunOpta, Inc.* | | | 54 | | | | 295 | |
Calavo Growers, Inc. | | | 10 | | | | 294 | |
Mission Produce, Inc.* | | | 29 | | | | 293 | |
OrthoPediatrics Corp.* | | | 9 | | | | 293 | |
Surmodics, Inc.* | | | 8 | | | | 291 | |
Nurix Therapeutics, Inc.* | | | 28 | | | | 289 | |
Disc Medicine, Inc.* | | | 5 | | | | 289 | |
WW International, Inc.* | | | 33 | | | | 289 | |
Edgewise Therapeutics, Inc.* | | | 26 | | | | 284 | |
Tarsus Pharmaceuticals, Inc.* | | | 14 | | | | 284 | |
Orthofix Medical, Inc.* | | | 21 | | | | 283 | |
Vital Farms, Inc.* | | | 18 | | | | 283 | |
Cogent Biosciences, Inc.* | | | 48 | | | | 282 | |
Silk Road Medical, Inc.* | | | 23 | | | | 282 | |
Caribou Biosciences, Inc.* | | | 49 | | | | 281 | |
Pulmonx Corp.* | | | 22 | | | | 280 | |
Green Dot Corp. — Class A* | | | 28 | | | | 277 | |
TrueBlue, Inc.* | | | 18 | | | | 276 | |
I3 Verticals, Inc. — Class A* | | | 13 | | | | 275 | |
European Wax Center, Inc. — Class A* | | | 20 | | | | 272 | |
Resources Connection, Inc. | | | 19 | | | | 269 | |
Tango Therapeutics, Inc.* | | | 27 | | | | 267 | |
Zimvie, Inc.* | | | 15 | | | | 266 | |
Evolus, Inc.* | | | 25 | | | | 263 | |
Turning Point Brands, Inc. | | | 10 | | | | 263 | |
DocGo, Inc.* | | | 46 | | | | 257 | |
Duckhorn Portfolio, Inc.* | | | 26 | | | | 256 | |
Icosavax, Inc.* | | | 16 | | | | 252 | |
Universal Technical Institute, Inc.* | | | 20 | | | | 250 | |
Novavax, Inc.* | | | 52 | | | | 250 | |
MaxCyte, Inc.* | | | 52 | | | | 244 | |
Paysafe Ltd.* | | | 19 | | | | 243 | |
Avid Bioservices, Inc.* | | | 37 | | | | 240 | |
Pennant Group, Inc.* | | | 17 | | | | 237 | |
AnaptysBio, Inc.* | | | 11 | | | | 236 | |
Community Health Systems, Inc.* | | | 75 | | | | 235 | |
Waldencast plc — Class A* | | | 21 | | | | 230 | |
Cerus Corp.* | | | 106 | | | | 229 | |
Sana Biotechnology, Inc.* | | | 56 | | | | 228 | |
SomaLogic, Inc.* | | | 90 | | | | 228 | |
Olema Pharmaceuticals, Inc.* | | | 16 | | | | 224 | |
Tejon Ranch Co.* | | | 13 | | | | 224 | |
CVRx, Inc.* | | | 7 | | | | 220 | |
American Well Corp. — Class A* | | | 146 | | | | 217 | |
Prime Medicine, Inc.* | | | 24 | | | | 213 | |
ORIC Pharmaceuticals, Inc.* | | | 23 | | | | 212 | |
Savara, Inc.* | | | 45 | | | | 212 | |
BrightView Holdings, Inc.* | | | 25 | | | | 211 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 93 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Custom Truck One Source, Inc.* | | | 34 | | | $ | 210 | |
Ocular Therapeutix, Inc.* | | | 47 | | | | 210 | |
Taro Pharmaceutical Industries Ltd.* | | | 5 | | | | 209 | |
HilleVax, Inc.* | | | 13 | | | | 209 | |
Aaron’s Company, Inc. | | | 19 | | | | 207 | |
Limoneira Co. | | | 10 | | | | 206 | |
Avita Medical, Inc.* | | | 15 | | | | 206 | |
Anika Therapeutics, Inc.* | | | 9 | | | | 204 | |
Replimune Group, Inc.* | | | 24 | | | | 202 | |
Lyell Immunopharma, Inc.* | | | 104 | | | | 202 | |
Tactile Systems Technology, Inc.* | | | 14 | | | | 200 | |
Carriage Services, Inc. — Class A | | | 8 | | | | 200 | |
Entrada Therapeutics, Inc.* | | | 13 | | | | 196 | |
Sterling Check Corp.* | | | 14 | | | | 195 | |
Enliven Therapeutics, Inc.* | | | 14 | | | | 194 | |
ALX Oncology Holdings, Inc.* | | | 13 | | | | 194 | |
Terawulf, Inc.* | | | 80 | | | | 192 | |
Fate Therapeutics, Inc.* | | | 51 | | | | 191 | |
iRadimed Corp. | | | 4 | | | | 190 | |
Distribution Solutions Group, Inc.* | | | 6 | | | | 189 | |
Forrester Research, Inc.* | | | 7 | | | | 188 | |
Xeris Biopharma Holdings, Inc.* | | | 79 | | | | 186 | |
Arbutus Biopharma Corp.* | | | 74 | | | | 185 | |
Target Hospitality Corp.* | | | 19 | | | | 185 | |
KalVista Pharmaceuticals, Inc.* | | | 15 | | | | 184 | |
AngioDynamics, Inc.* | | | 23 | | | | 180 | |
Summit Therapeutics, Inc.* | | | 69 | | | | 180 | |
UroGen Pharma Ltd.* | | | 12 | | | | 180 | |
Harrow, Inc.* | | | 16 | | | | 179 | |
WaVe Life Sciences Ltd.* | | | 35 | | | | 177 | |
Biomea Fusion, Inc.* | | | 12 | | | | 174 | |
Westrock Coffee Co.* | | | 17 | | | | 173 | |
Nano-X Imaging Ltd.* | | | 27 | | | | 172 | |
Organogenesis Holdings, Inc.* | | | 42 | | | | 172 | |
Agenus, Inc.* | | | 205 | | | | 170 | |
Terns Pharmaceuticals, Inc.* | | | 26 | | | | 169 | |
Utah Medical Products, Inc. | | | 2 | | | | 168 | |
iTeos Therapeutics, Inc.* | | | 15 | | | | 164 | |
Axogen, Inc.* | | | 24 | | | | 164 | |
Voyager Therapeutics, Inc.* | | | 19 | | | | 160 | |
Accuray, Inc.* | | | 56 | | | | 158 | |
Seneca Foods Corp. — Class A* | | | 3 | | | | 157 | |
Allogene Therapeutics, Inc.* | | | 49 | | | | 157 | |
Viemed Healthcare, Inc.* | | | 20 | | | | 157 | |
Nathan’s Famous, Inc. | | | 2 | | | | 156 | |
Sutro Biopharma, Inc.* | | | 36 | | | | 154 | |
Genelux Corp.* | | | 11 | | | | 154 | |
Neumora Therapeutics, Inc.* | | | 9 | | | | 153 | |
Coherus Biosciences, Inc.* | | | 46 | | | | 153 | |
Beauty Health Co.* | | | 49 | | | | 152 | |
SIGA Technologies, Inc. | | | 27 | | | | 151 | |
Willdan Group, Inc.* | | | 7 | | | | 151 | |
Y-mAbs Therapeutics, Inc.* | | | 22 | | | | 150 | |
ACELYRIN, Inc.* | | | 20 | | | | 149 | |
Rigel Pharmaceuticals, Inc.* | | | 102 | | | | 148 | |
Celcuity, Inc.* | | | 10 | | | | 146 | |
Vanda Pharmaceuticals, Inc.* | | | 34 | | | | 143 | |
Cullinan Oncology, Inc.* | | | 14 | | | | 143 | |
Agiliti, Inc.* | | | 18 | | | | 143 | |
Aura Biosciences, Inc.* | | | 16 | | | | 142 | |
23andMe Holding Co. — Class A* | | | 155 | | | | 142 | |
Lincoln Educational Services Corp.* | | | 14 | | | | 141 | |
Atea Pharmaceuticals, Inc.* | | | 46 | | | | 140 | |
Mersana Therapeutics, Inc.* | | | 60 | | | | 139 | |
Phibro Animal Health Corp. — Class A | | | 12 | | | | 139 | |
Nature’s Sunshine Products, Inc.* | | | 8 | | | | 138 | |
Poseida Therapeutics, Inc.* | | | 41 | | | | 138 | |
Zevra Therapeutics, Inc.* | | | 21 | | | | 138 | |
Phathom Pharmaceuticals, Inc.* | | | 15 | | | | 137 | |
Alta Equipment Group, Inc. | | | 11 | | | | 136 | |
Aerovate Therapeutics, Inc.* | | | 6 | | | | 136 | |
MeiraGTx Holdings plc* | | | 19 | | | | 133 | |
Semler Scientific, Inc.* | | | 3 | | | | 133 | |
Third Harmonic Bio, Inc.* | | | 12 | | | | 132 | |
Nuvation Bio, Inc.* | | | 87 | | | | 131 | |
Village Super Market, Inc. — Class A | | | 5 | | | | 131 | |
Zynex, Inc.* | | | 12 | | | | 131 | |
HF Foods Group, Inc.* | | | 24 | | | | 128 | |
2seventy bio, Inc.* | | | 30 | | | | 128 | |
SoundThinking, Inc.* | | | 5 | | | | 128 | |
Performant Financial Corp.* | | | 40 | | | | 125 | |
Fennec Pharmaceuticals, Inc.* | | | 11 | | | | 123 | |
Harvard Bioscience, Inc.* | | | 23 | | | | 123 | |
Annexon, Inc.* | | | 27 | | | | 123 | |
Pulse Biosciences, Inc.* | | | 10 | | | | 122 | |
Quipt Home Medical Corp.* | | | 24 | | | | 122 | |
Quantum-Si, Inc.* | | | 60 | | | | 121 | |
Nkarta, Inc.* | | | 18 | | | | 119 | |
Omeros Corp.*,1 | | | 36 | | | | 118 | |
Alico, Inc. | | | 4 | | | | 116 | |
InfuSystem Holdings, Inc.* | | | 11 | | | | 116 | |
Ovid therapeutics, Inc.* | | | 36 | | | | 116 | |
Astria Therapeutics, Inc.* | | | 15 | | | | 115 | |
Enanta Pharmaceuticals, Inc.* | | | 12 | | | | 113 | |
Tyra Biosciences, Inc.* | | | 8 | | | | 111 | |
Allakos, Inc.* | | | 40 | | | | 109 | |
Precigen, Inc.* | | | 81 | | | | 109 | |
Janux Therapeutics, Inc.* | | | 10 | | | | 107 | |
scPharmaceuticals, Inc.* | | | 17 | | | | 107 | |
Gritstone bio, Inc.* | | | 52 | | | | 106 | |
Heron Therapeutics, Inc.* | | | 62 | | | | 105 | |
Humacyte, Inc.* | | | 37 | | | | 105 | |
Cipher Mining, Inc.* | | | 25 | | | | 103 | |
Quad/Graphics, Inc.* | | | 19 | | | | 103 | |
Erasca, Inc.* | | | 48 | | | | 102 | |
Monte Rosa Therapeutics, Inc.* | | | 18 | | | | 102 | |
CorMedix, Inc.* | | | 27 | | | | 102 | |
Arcutis Biotherapeutics, Inc.* | | | 31 | | | | 100 | |
Information Services Group, Inc. | | | 21 | | | | 99 | |
Invitae Corp.* | | | 157 | | | | 98 | |
Aldeyra Therapeutics, Inc.* | | | 28 | | | | 98 | |
Natural Grocers by Vitamin Cottage, Inc. | | | 6 | | | | 96 | |
94 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
ClearPoint Neuro, Inc.* | | | 14 | | | $ | 95 | |
Bakkt Holdings, Inc.* | | | 42 | | | | 94 | |
Acacia Research Corp.* | | | 23 | | | | 90 | |
Nautilus Biotechnology, Inc.* | | | 30 | | | | 90 | |
Butterfly Network, Inc.* | | | 83 | | | | 90 | |
Bluebird Bio, Inc.* | | | 64 | | | | 88 | |
Immuneering Corp. — Class A* | | | 12 | | | | 88 | |
Verrica Pharmaceuticals, Inc.* | | | 12 | | | | 88 | |
Tenaya Therapeutics, Inc.* | | | 27 | | | | 87 | |
Inozyme Pharma, Inc.* | | | 20 | | | | 85 | |
PDS Biotechnology Corp.* | | | 17 | | | | 84 | |
Compass Therapeutics, Inc.* | | | 54 | | | | 84 | |
Stoke Therapeutics, Inc.* | | | 16 | | | | 84 | |
Lexicon Pharmaceuticals, Inc.* | | | 55 | | | | 84 | |
Lineage Cell Therapeutics, Inc.* | | | 77 | | | | 84 | |
Sanara Medtech, Inc.* | | | 2 | | | | 82 | |
Actinium Pharmaceuticals, Inc.* | | | 16 | | | | 81 | |
Seres Therapeutics, Inc.* | | | 58 | | | | 81 | |
Merrimack Pharmaceuticals, Inc.* | | | 6 | | | | 80 | |
Aveanna Healthcare Holdings, Inc.* | | | 30 | | | | 80 | |
BRC, Inc. — Class A* | | | 22 | | | | 80 | |
Foghorn Therapeutics, Inc.* | | | 12 | | | | 77 | |
Joint Corp.* | | | 8 | | | | 77 | |
Inogen, Inc.* | | | 14 | | | | 77 | |
ARS Pharmaceuticals, Inc.* | | | 14 | | | | 77 | |
XOMA Corp.* | | | 4 | | | | 74 | |
Emergent BioSolutions, Inc.* | | | 30 | | | | 72 | |
PMV Pharmaceuticals, Inc.* | | | 23 | | | | 71 | |
Ventyx Biosciences, Inc.* | | | 28 | | | | 69 | |
Mineralys Therapeutics, Inc.* | | | 8 | | | | 69 | |
Larimar Therapeutics, Inc.* | | | 15 | | | | 68 | |
Seer, Inc.* | | | 35 | | | | 68 | |
Cadiz, Inc.* | | | 24 | | | | 67 | |
Scilex Holding Co.* | | | 32 | | | | 66 | |
Innovage Holding Corp.* | | | 11 | | | | 66 | |
BioAtla, Inc.* | | | 26 | | | | 64 | |
X4 Pharmaceuticals, Inc.* | | | 73 | | | | 61 | |
Protalix BioTherapeutics, Inc.* | | | 34 | | | | 61 | |
Tela Bio, Inc.* | | | 9 | | | | 60 | |
Karyopharm Therapeutics, Inc.* | | | 68 | | | | 59 | |
IGM Biosciences, Inc.* | | | 7 | | | | 58 | |
2U, Inc.* | | | 47 | | | | 58 | |
Kodiak Sciences, Inc.* | | | 19 | | | | 58 | |
CPI Card Group, Inc.* | | | 3 | | | | 58 | |
Optinose, Inc.* | | | 44 | | | | 57 | |
Assertio Holdings, Inc.* | | | 53 | | | | 57 | |
Cue Biopharma, Inc.* | | | 21 | | | | 55 | |
Citius Pharmaceuticals, Inc.* | | | 73 | | | | 55 | |
Longboard Pharmaceuticals, Inc.* | | | 9 | | | | 54 | |
CompoSecure, Inc.* | | | 10 | | | | 54 | |
Emerald Holding, Inc.* | | | 9 | | | | 54 | |
Akoya Biosciences, Inc.* | | | 11 | | | | 54 | |
Mural Oncology plc* | | | 9 | | | | 53 | |
Design Therapeutics, Inc.* | | | 20 | | | | 53 | |
AirSculpt Technologies, Inc.* | | | 7 | | | | 52 | |
MarketWise, Inc. | | | 19 | | | | 52 | |
KORU Medical Systems, Inc.* | | | 21 | | | | 52 | |
Vor BioPharma, Inc.* | | | 22 | | | | 50 | |
Theseus Pharmaceuticals, Inc.* | | | 12 | | | | 49 | |
ProKidney Corp.* | | | 27 | | | | 48 | |
FibroGen, Inc.* | | | 54 | | | | 48 | |
Cartesian Therapeutics, Inc.* | | | 69 | | | | 48 | |
Carisma Therapeutics, Inc. | | | 16 | | | | 47 | |
Sangamo Therapeutics, Inc.* | | | 86 | | | | 47 | |
Century Therapeutics, Inc.* | | | 14 | | | | 46 | |
HireQuest, Inc. | | | 3 | | | | 46 | |
Omega Therapeutics, Inc.* | | | 15 | | | | 45 | |
Generation Bio Co.* | | | 27 | | | | 45 | |
Graphite Bio, Inc.* | | | 17 | | | | 45 | |
Aclaris Therapeutics, Inc.* | | | 41 | | | | 43 | |
Rallybio Corp.* | | | 18 | | | | 43 | |
FiscalNote Holdings, Inc.* | | | 37 | | | | 42 | |
PepGen, Inc.* | | | 6 | | | | 41 | |
Kezar Life Sciences, Inc.* | | | 43 | | | | 41 | |
Biote Corp. — Class A* | | | 8 | | | | 40 | |
Priority Technology Holdings, Inc.* | | | 11 | | | | 39 | |
Outlook Therapeutics, Inc.* | | | 93 | | | | 37 | |
Eyenovia, Inc.* | | | 17 | | | | 35 | |
Cutera, Inc.* | | | 10 | | | | 35 | |
Adicet Bio, Inc.* | | | 18 | | | | 34 | |
P3 Health Partners, Inc.* | | | 24 | | | | 34 | |
Vigil Neuroscience, Inc.* | | | 10 | | | | 34 | |
Trevi Therapeutics, Inc.* | | | 25 | | | | 34 | |
Nuvectis Pharma, Inc.* | | | 4 | | | | 33 | |
Bioxcel Therapeutics, Inc.* | | | 11 | | | | 32 | |
Forafric Global plc* | | | 3 | | | | 32 | |
Eagle Pharmaceuticals, Inc.* | | | 6 | | | | 31 | |
Zevia PBC — Class A* | | | 15 | | | | 30 | |
Beyond Air, Inc.* | | | 15 | | | | 29 | |
Atara Biotherapeutics, Inc.* | | | 57 | | | | 29 | |
Prelude Therapeutics, Inc.* | | | 6 | | | | 26 | |
Ikena Oncology, Inc.* | | | 13 | | | | 26 | |
Acrivon Therapeutics, Inc.* | | | 5 | | | | 25 | |
Ispire Technology, Inc.* | | | 2 | | | | 24 | |
Zura Bio Ltd.* | | | 5 | | | | 23 | |
CareMax, Inc.* | | | 45 | | | | 22 | |
NGM Biopharmaceuticals, Inc.* | | | 26 | | | | 22 | |
Vaxxinity, Inc. — Class A* | | | 25 | | | | 21 | |
NanoString Technologies, Inc.* | | | 28 | | | | 21 | |
Cara Therapeutics, Inc.* | | | 28 | | | | 21 | |
Aadi Bioscience, Inc.* | | | 10 | | | | 20 | |
Orchestra BioMed Holdings, Inc.* | | | 2 | | | | 18 | |
Benson Hill, Inc.* | | | 103 | | | | 18 | |
Allovir, Inc.* | | | 25 | | | | 17 | |
Vicarious Surgical, Inc.* | | | 42 | | | | 15 | |
Rent the Runway, Inc. — Class A* | | | 29 | | | | 15 | |
Rain Oncology, Inc.* | | | 10 | | | | 12 | |
Bright Green Corp.* | | | 36 | | | | 12 | |
Reneo Pharmaceuticals, Inc.* | | | 6 | | | | 10 | |
ATI Physical Therapy, Inc.* | | | 1 | | | | 6 | |
Cano Health, Inc.* | | | 1 | | | | 6 | |
Ocean Biomedical, Inc.* | | | 5 | | | | 3 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 95 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
BioVie, Inc.* | | | 2 | | | $ | 3 | |
Ligand Pharmaceuticals, Inc.*, †† | | | 3 | | | | — | |
Ligand Pharmaceuticals, Inc.*, †† | | | 3 | | | | — | |
Total Consumer, Non-cyclical | | | | | | | 349,410 | |
| | | | | | | | | |
Financial — 7.7% |
Ryman Hospitality Properties, Inc. REIT | | | 35 | | | | 3,852 | |
SouthState Corp. | | | 45 | | | | 3,800 | |
Selective Insurance Group, Inc. | | | 36 | | | | 3,581 | |
Essent Group Ltd. | | | 63 | | | | 3,323 | |
Cadence Bank | | | 109 | | | | 3,225 | |
Terreno Realty Corp. REIT | | | 49 | | | | 3,071 | |
Kite Realty Group Trust REIT | | | 130 | | | | 2,972 | |
Old National Bancorp | | | 175 | | | | 2,956 | |
United Bankshares, Inc. | | | 78 | | | | 2,929 | |
Home BancShares, Inc. | | | 114 | | | | 2,888 | |
Valley National Bancorp | | | 256 | | | | 2,780 | |
Glacier Bancorp, Inc. | | | 67 | | | | 2,768 | |
FTAI Aviation Ltd. | | | 59 | | | | 2,738 | |
Radian Group, Inc. | | | 94 | | | | 2,684 | |
American Equity Investment Life Holding Co.* | | | 46 | | | | 2,567 | |
Phillips Edison & Company, Inc. REIT | | | 70 | | | | 2,554 | |
Hancock Whitney Corp. | | | 52 | | | | 2,527 | |
Jackson Financial, Inc. — Class A | | | 49 | | | | 2,509 | |
Hamilton Lane, Inc. — Class A | | | 22 | | | | 2,496 | |
Mr Cooper Group, Inc.* | | | 38 | | | | 2,475 | |
Essential Properties Realty Trust, Inc. REIT | | | 93 | | | | 2,377 | |
First Financial Bankshares, Inc. | | | 78 | | | | 2,363 | |
PotlatchDeltic Corp. REIT | | | 47 | | | | 2,308 | |
Moelis & Co. — Class A | | | 40 | | | | 2,245 | |
Blackstone Mortgage Trust, Inc. — Class A REIT | | | 103 | | | | 2,191 | |
UMB Financial Corp. | | | 26 | | | | 2,172 | |
Apple Hospitality REIT, Inc. | | | 129 | | | | 2,143 | |
Ameris Bancorp | | | 40 | | | | 2,122 | |
Walker & Dunlop, Inc. | | | 19 | | | | 2,109 | |
Independence Realty Trust, Inc. REIT | | | 135 | | | | 2,065 | |
Enstar Group Ltd.* | | | 7 | | | | 2,060 | |
United Community Banks, Inc. | | | 69 | | | | 2,019 | |
ServisFirst Bancshares, Inc. | | | 30 | | | | 1,999 | |
Macerich Co. REIT | | | 129 | | | | 1,990 | |
Sabra Health Care REIT, Inc. | | | 138 | | | | 1,969 | |
Broadstone Net Lease, Inc. REIT | | | 112 | | | | 1,929 | |
Associated Banc-Corp. | | | 90 | | | | 1,925 | |
CNO Financial Group, Inc. | | | 68 | | | | 1,897 | |
Physicians Realty Trust REIT | | | 142 | | | | 1,890 | |
Texas Capital Bancshares, Inc.* | | | 29 | | | | 1,874 | |
Cathay General Bancorp | | | 42 | | | | 1,872 | |
Axos Financial, Inc.* | | | 34 | | | | 1,856 | |
Genworth Financial, Inc. — Class A* | | | 274 | | | | 1,830 | |
McGrath RentCorp | | | 15 | | | | 1,794 | |
SL Green Realty Corp. REIT | | | 39 | | | | 1,762 | |
Upstart Holdings, Inc.* | | | 43 | | | | 1,757 | |
Piper Sandler Cos. | | | 10 | | | | 1,749 | |
International Bancshares Corp. | | | 32 | | | | 1,738 | |
COPT Defense Properties REIT | | | 67 | | | | 1,717 | |
LXP Industrial Trust REIT | | | 173 | | | | 1,716 | |
Innovative Industrial Properties, Inc. REIT | | | 17 | | | | 1,714 | |
Independent Bank Corp. | | | 26 | | | | 1,711 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT | | | 62 | | | | 1,710 | |
WSFS Financial Corp. | | | 37 | | | | 1,699 | |
Tanger, Inc. REIT | | | 61 | | | | 1,691 | |
First BanCorp | | | 102 | | | | 1,678 | |
Community Bank System, Inc. | | | 32 | | | | 1,668 | |
Bank of Hawaii Corp. | | | 23 | | | | 1,667 | |
Pacific Premier Bancorp, Inc. | | | 57 | | | | 1,659 | |
Atlantic Union Bankshares Corp. | | | 45 | | | | 1,644 | |
Artisan Partners Asset Management, Inc. — Class A | | | 37 | | | | 1,635 | |
Arbor Realty Trust, Inc. REIT | | | 107 | | | | 1,624 | |
Fulton Financial Corp. | | | 97 | | | | 1,597 | |
CVB Financial Corp. | | | 79 | | | | 1,595 | |
SITE Centers Corp. REIT | | | 114 | | | | 1,554 | |
BGC Group, Inc. — Class A | | | 212 | | | | 1,531 | |
First Interstate BancSystem, Inc. — Class A | | | 49 | | | | 1,507 | |
Simmons First National Corp. — Class A | | | 75 | | | | 1,488 | |
Pagseguro Digital Ltd. — Class A* | | | 119 | | | | 1,484 | |
NMI Holdings, Inc. — Class A* | | | 49 | | | | 1,454 | |
BankUnited, Inc. | | | 44 | | | | 1,427 | |
PJT Partners, Inc. — Class A | | | 14 | | | | 1,426 | |
Seacoast Banking Corporation of Florida | | | 50 | | | | 1,423 | |
Douglas Emmett, Inc. REIT | | | 98 | | | | 1,421 | |
National Health Investors, Inc. REIT | | | 25 | | | | 1,396 | |
CareTrust REIT, Inc | | | 60 | | | | 1,343 | |
Sunstone Hotel Investors, Inc. REIT | | | 124 | | | | 1,330 | |
First Financial Bancorp | | | 56 | | | | 1,330 | |
PennyMac Financial Services, Inc. | | | 15 | | | | 1,326 | |
Eastern Bankshares, Inc. | | | 93 | | | | 1,321 | |
Four Corners Property Trust, Inc. REIT | | | 52 | | | | 1,316 | |
First Merchants Corp. | | | 35 | | | | 1,298 | |
WaFd, Inc. | | | 39 | | | | 1,286 | |
BancFirst Corp. | | | 13 | | | | 1,265 | |
St. Joe Co. | | | 21 | | | | 1,264 | |
Urban Edge Properties REIT | | | 69 | | | | 1,263 | |
TowneBank | | | 42 | | | | 1,250 | |
Bancorp, Inc.* | | | 32 | | | | 1,234 | |
Outfront Media, Inc. REIT | | | 88 | | | | 1,228 | |
Cohen & Steers, Inc. | | | 16 | | | | 1,212 | |
Equity Commonwealth REIT | | | 63 | | | | 1,210 | |
Park National Corp. | | | 9 | | | | 1,196 | |
DiamondRock Hospitality Co. REIT | | | 126 | | | | 1,183 | |
StoneX Group, Inc.* | | | 16 | | | | 1,181 | |
Pebblebrook Hotel Trust REIT | | | 73 | | | | 1,167 | |
Global Net Lease, Inc. REIT | | | 116 | | | | 1,154 | |
NBT Bancorp, Inc. | | | 27 | | | | 1,132 | |
Independent Bank Group, Inc. | | | 22 | | | | 1,119 | |
Renasant Corp. | | | 33 | | | | 1,111 | |
RLJ Lodging Trust REIT | | | 93 | | | | 1,090 | |
Banner Corp. | | | 20 | | | | 1,071 | |
Cushman & Wakefield plc* | | | 99 | | | | 1,069 | |
96 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
WesBanco, Inc. | | | 34 | | | $ | 1,067 | |
Banc of California, Inc. | | | 79 | | | | 1,061 | |
OFG Bancorp | | | 28 | | | | 1,049 | |
Triumph Financial, Inc.* | | | 13 | | | | 1,042 | |
InvenTrust Properties Corp. REIT | | | 41 | | | | 1,039 | |
Retail Opportunity Investments Corp. REIT | | | 74 | | | | 1,038 | |
JBG SMITH Properties REIT | | | 60 | | | | 1,021 | |
StepStone Group, Inc. — Class A | | | 32 | | | | 1,019 | |
Trustmark Corp. | | | 36 | | | | 1,004 | |
Apollo Commercial Real Estate Finance, Inc. REIT | | | 85 | | | | 998 | |
Enova International, Inc.* | | | 18 | | | | 996 | |
City Holding Co. | | | 9 | | | | 992 | |
Bread Financial Holdings, Inc. | | | 30 | | | | 988 | |
Navient Corp. | | | 53 | | | | 987 | |
Hilltop Holdings, Inc. | | | 28 | | | | 986 | |
Goosehead Insurance, Inc. — Class A* | | | 13 | | | | 985 | |
Ready Capital Corp. REIT | | | 96 | | | | 984 | |
Enterprise Financial Services Corp. | | | 22 | | | | 982 | |
Customers Bancorp, Inc.* | | | 17 | | | | 980 | |
Lakeland Financial Corp. | | | 15 | | | | 977 | |
Virtus Investment Partners, Inc. | | | 4 | | | | 967 | |
Bank of NT Butterfield & Son Ltd. | | | 30 | | | | 960 | |
Farmer Mac — Class C | | | 5 | | | | 956 | |
Acadia Realty Trust REIT | | | 56 | | | | 951 | |
Northwest Bancshares, Inc. | | | 76 | | | | 949 | |
First Commonwealth Financial Corp. | | | 61 | | | | 942 | |
Heartland Financial USA, Inc. | | | 25 | | | | 940 | |
Stewart Information Services Corp. | | | 16 | | | | 940 | |
Live Oak Bancshares, Inc. | | | 20 | | | | 910 | |
Westamerica BanCorp | | | 16 | | | | 903 | |
First Bancorp | | | 24 | | | | 888 | |
Xenia Hotels & Resorts, Inc. REIT | | | 65 | | | | 885 | |
Kennedy-Wilson Holdings, Inc. | | | 71 | | | | 879 | |
Newmark Group, Inc. — Class A | | | 80 | | | | 877 | |
Compass Diversified Holdings | | | 38 | | | | 853 | |
Pathward Financial, Inc. | | | 16 | | | | 847 | |
BRP Group, Inc. — Class A* | | | 35 | | | | 841 | |
Cannae Holdings, Inc.* | | | 43 | | | | 839 | |
Service Properties Trust REIT | | | 98 | | | | 837 | |
FB Financial Corp. | | | 21 | | | | 837 | |
Hope Bancorp, Inc. | | | 69 | | | | 834 | |
Palomar Holdings, Inc.* | | | 15 | | | | 833 | |
Stock Yards Bancorp, Inc. | | | 16 | | | | 824 | |
Uniti Group, Inc. REIT | | | 142 | | | | 821 | |
National Bank Holdings Corp. — Class A | | | 22 | | | | 818 | |
Alexander & Baldwin, Inc. REIT | | | 43 | | | | 818 | |
Horace Mann Educators Corp. | | | 25 | | | | 817 | |
TriCo Bancshares | | | 19 | | | | 816 | |
Two Harbors Investment Corp. REIT | | | 58 | | | | 808 | |
Stellar Bancorp, Inc. | | | 29 | | | | 807 | |
Provident Financial Services, Inc. | | | 44 | | | | 793 | |
PennyMac Mortgage Investment Trust REIT | | | 53 | | | | 792 | |
Getty Realty Corp. REIT | | | 27 | | | | 789 | |
Ladder Capital Corp. — Class A REIT | | | 68 | | | | 783 | |
LTC Properties, Inc. REIT | | | 24 | | | | 771 | |
First Busey Corp. | | | 31 | | | | 769 | |
S&T Bancorp, Inc. | | | 23 | | | | 769 | |
Empire State Realty Trust, Inc. — Class A REIT | | | 79 | | | | 765 | |
Hudson Pacific Properties, Inc. REIT | | | 82 | | | | 763 | |
Elme Communities REIT | | | 52 | | | | 759 | |
Veris Residential, Inc. REIT | | | 47 | | | | 739 | |
Easterly Government Properties, Inc. REIT | | | 55 | | | | 739 | |
Claros Mortgage Trust, Inc. | | | 54 | | | | 736 | |
Trupanion, Inc.* | | | 24 | | | | 732 | |
Veritex Holdings, Inc. | | | 31 | | | | 721 | |
Encore Capital Group, Inc.* | | | 14 | | | | 711 | |
Sandy Spring Bancorp, Inc. | | | 26 | | | | 708 | |
Nelnet, Inc. — Class A | | | 8 | | | | 706 | |
Apartment Investment and Management Co. — Class A REIT* | | | 89 | | | | 697 | |
MFA Financial, Inc. REIT | | | 61 | | | | 687 | |
Safety Insurance Group, Inc. | | | 9 | | | | 684 | |
Franklin BSP Realty Trust, Inc. REIT | | | 50 | | | | 675 | |
Peoples Bancorp, Inc. | | | 20 | | | | 675 | |
Chimera Investment Corp. REIT | | | 135 | | | | 674 | |
NETSTREIT Corp. | | | 37 | | | | 660 | |
American Assets Trust, Inc. REIT | | | 29 | | | | 653 | |
Redfin Corp.* | | | 63 | | | | 650 | |
Berkshire Hills Bancorp, Inc. | | | 26 | | | | 646 | |
Nicolet Bankshares, Inc. | | | 8 | | | | 644 | |
eXp World Holdings, Inc. | | | 41 | | | | 636 | |
Compass, Inc. — Class A* | | | 169 | | | | 635 | |
Employers Holdings, Inc. | | | 16 | | | | 630 | |
Plymouth Industrial REIT, Inc. | | | 26 | | | | 626 | |
Marcus & Millichap, Inc. | | | 14 | | | | 612 | |
Safehold, Inc. REIT | | | 26 | | | | 608 | |
OceanFirst Financial Corp. | | | 35 | | | | 608 | |
Origin Bancorp, Inc. | | | 17 | | | | 605 | |
PRA Group, Inc.* | | | 23 | | | | 603 | |
Mercury General Corp. | | | 16 | | | | 597 | |
Victory Capital Holdings, Inc. — Class A | | | 17 | | | | 585 | |
Preferred Bank/Los Angeles CA | | | 8 | | | | 584 | |
QCR Holdings, Inc. | | | 10 | | | | 584 | |
BrightSpire Capital, Inc. REIT | | | 77 | | | | 573 | |
Ellington Financial, Inc. REIT | | | 45 | | | | 572 | |
Paramount Group, Inc. REIT | | | 110 | | | | 569 | |
WisdomTree, Inc. | | | 82 | | | | 568 | |
Brookline Bancorp, Inc. | | | 52 | | | | 567 | |
Dime Community Bancshares, Inc. | | | 21 | | | | 566 | |
Southside Bancshares, Inc. | | | 18 | | | | 564 | |
LendingClub Corp.* | | | 64 | | | | 559 | |
German American Bancorp, Inc. | | | 17 | | | | 551 | |
Brandywine Realty Trust REIT | | | 102 | | | | 551 | |
1st Source Corp. | | | 10 | | | | 550 | |
Lakeland Bancorp, Inc. | | | 37 | | | | 547 | |
Eagle Bancorp, Inc. | | | 18 | | | | 543 | |
Diversified Healthcare Trust REIT | | | 143 | | | | 535 | |
First Bancshares, Inc. | | | 18 | | | | 528 | |
Piedmont Office Realty Trust, Inc. — Class A REIT | | | 74 | | | | 526 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 97 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Centerspace REIT | | | 9 | | | $ | 524 | |
ARMOUR Residential REIT, Inc.1 | | | 27 | | | | 522 | |
Enact Holdings, Inc. | | | 18 | | | | 520 | |
Bank First Corp. | | | 6 | | | | 520 | |
Anywhere Real Estate, Inc.* | | | 64 | | | | 519 | |
AMERISAFE, Inc. | | | 11 | | | | 515 | |
Premier Financial Corp. | | | 21 | | | | 506 | |
F&G Annuities & Life, Inc. | | | 11 | | | | 506 | |
UMH Properties, Inc. REIT | | | 33 | | | | 506 | |
ConnectOne Bancorp, Inc. | | | 22 | | | | 504 | |
Redwood Trust, Inc. REIT | | | 68 | | | | 504 | |
Patria Investments Ltd. — Class A | | | 32 | | | | 496 | |
Armada Hoffler Properties, Inc. REIT | | | 40 | | | | 495 | |
Capitol Federal Financial, Inc. | | | 76 | | | | 490 | |
Lemonade, Inc.*,1 | | | 30 | | | | 484 | |
National Western Life Group, Inc. — Class A | | | 1 | | | | 483 | |
Tompkins Financial Corp. | | | 8 | | | | 482 | |
SiriusPoint Ltd.* | | | 41 | | | | 476 | |
Skyward Specialty Insurance Group, Inc.* | | | 14 | | | | 474 | |
KKR Real Estate Finance Trust, Inc. REIT | | | 35 | | | | 463 | |
New York Mortgage Trust, Inc. REIT | | | 54 | | | | 461 | |
Heritage Financial Corp. | | | 21 | | | | 449 | |
NexPoint Residential Trust, Inc. REIT | | | 13 | | | | 448 | |
ProAssurance Corp. | | | 32 | | | | 441 | |
Ambac Financial Group, Inc.* | | | 26 | | | | 428 | |
Summit Hotel Properties, Inc. REIT | | | 63 | | | | 423 | |
Peakstone Realty Trust REIT | | | 21 | | | | 419 | |
First Community Bankshares, Inc. | | | 11 | | | | 408 | |
Old Second Bancorp, Inc. | | | 26 | | | | 401 | |
Dynex Capital, Inc. REIT | | | 32 | | | | 401 | |
Community Healthcare Trust, Inc. REIT | | | 15 | | | | 400 | |
Global Medical REIT, Inc. | | | 36 | | | | 400 | |
International Money Express, Inc.* | | | 18 | | | | 398 | |
Community Trust Bancorp, Inc. | | | 9 | | | | 395 | |
CBL & Associates Properties, Inc. REIT | | | 16 | | | | 391 | |
AssetMark Financial Holdings, Inc.* | | | 13 | | | | 389 | |
Merchants Bancorp | | | 9 | | | | 383 | |
First Mid Bancshares, Inc. | | | 11 | | | | 381 | |
Univest Financial Corp. | | | 17 | | | | 375 | |
Brookfield Business Corp. — Class A | | | 16 | | | | 372 | |
Horizon Bancorp, Inc. | | | 26 | | | | 372 | |
Amerant Bancorp, Inc. | | | 15 | | | | 369 | |
CrossFirst Bankshares, Inc.* | | | 27 | | | | 367 | |
Brightsphere Investment Group, Inc. | | | 19 | | | | 364 | |
Mercantile Bank Corp. | | | 9 | | | | 363 | |
Midland States Bancorp, Inc. | | | 13 | | | | 358 | |
Whitestone REIT — Class B | | | 29 | | | | 356 | |
Byline Bancorp, Inc. | | | 15 | | | | 353 | |
HCI Group, Inc. | | | 4 | | | | 350 | |
Hanmi Financial Corp. | | | 18 | | | | 349 | |
Heritage Commerce Corp. | | | 35 | | | | 347 | |
Columbia Financial, Inc.* | | | 18 | | | | 347 | |
Cambridge Bancorp | | | 5 | | | | 347 | |
Universal Health Realty Income Trust REIT | | | 8 | | | | 346 | |
Business First Bancshares, Inc. | | | 14 | | | | 345 | |
TrustCo Bank Corporation NY | | | 11 | | | | 342 | |
Camden National Corp. | | | 9 | | | | 339 | |
Farmland Partners, Inc. REIT | | | 27 | | | | 337 | |
Metropolitan Bank Holding Corp.* | | | 6 | | | | 332 | |
Diamond Hill Investment Group, Inc. | | | 2 | | | | 331 | |
Washington Trust Bancorp, Inc. | | | 10 | | | | 324 | |
Ares Commercial Real Estate Corp. REIT | | | 31 | | | | 321 | |
Farmers National Banc Corp. | | | 22 | | | | 318 | |
Gladstone Commercial Corp. REIT | | | 24 | | | | 318 | |
Central Pacific Financial Corp. | | | 16 | | | | 315 | |
Northfield Bancorp, Inc. | | | 25 | | | | 315 | |
Independent Bank Corp. | | | 12 | | | | 312 | |
Chatham Lodging Trust REIT | | | 29 | | | | 311 | |
Perella Weinberg Partners | | | 25 | | | | 306 | |
Equity Bancshares, Inc. — Class A | | | 9 | | | | 305 | |
Kearny Financial Corp. | | | 34 | | | | 305 | |
First Financial Corp. | | | 7 | | | | 301 | |
First Foundation, Inc. | | | 31 | | | | 300 | |
HarborOne Bancorp, Inc. | | | 25 | | | | 300 | |
Peapack-Gladstone Financial Corp. | | | 10 | | | | 298 | |
Great Southern Bancorp, Inc. | | | 5 | | | | 297 | |
Amalgamated Financial Corp. | | | 11 | | | | 296 | |
NerdWallet, Inc. — Class A* | | | 20 | | | | 294 | |
American National Bankshares, Inc. | | | 6 | | | | 293 | |
Gladstone Land Corp. REIT | | | 20 | | | | 289 | |
Flushing Financial Corp. | | | 17 | | | | 280 | |
Northeast Bank | | | 5 | | | | 276 | |
Republic Bancorp, Inc. — Class A | | | 5 | | | | 276 | |
Saul Centers, Inc. REIT | | | 7 | | | | 275 | |
CNB Financial Corp. | | | 12 | | | | 271 | |
Southern Missouri Bancorp, Inc. | | | 5 | | | | 267 | |
TPG RE Finance Trust, Inc. REIT | | | 41 | | | | 266 | |
Coastal Financial Corp.* | | | 6 | | | | 266 | |
P10, Inc. — Class A | | | 26 | | | | 266 | |
Tiptree, Inc. — Class A | | | 14 | | | | 265 | |
Bar Harbor Bankshares | | | 9 | | | | 264 | |
Metrocity Bankshares, Inc. | | | 11 | | | | 264 | |
United Fire Group, Inc. | | | 13 | | | | 262 | |
World Acceptance Corp.* | | | 2 | | | | 261 | |
RMR Group, Inc. — Class A | | | 9 | | | | 254 | |
Burke & Herbert Financial Services Corp. | | | 4 | | | | 252 | |
FRP Holdings, Inc.* | | | 4 | | | | 252 | |
Arrow Financial Corp. | | | 9 | | | | 251 | |
Alerus Financial Corp. | | | 11 | | | | 246 | |
HomeTrust Bancshares, Inc. | | | 9 | | | | 242 | |
Shore Bancshares, Inc. | | | 17 | | | | 242 | |
Universal Insurance Holdings, Inc. | | | 15 | | | | 240 | |
Capital City Bank Group, Inc. | | | 8 | | | | 235 | |
B Riley Financial, Inc.1 | | | 11 | | | | 231 | |
FTAI Infrastructure, Inc. | | | 59 | | | | 229 | |
Forge Global Holdings, Inc.* | | | 66 | | | | 226 | |
CTO Realty Growth, Inc. REIT | | | 13 | | | | 225 | |
Capstar Financial Holdings, Inc. | | | 12 | | | | 225 | |
GCM Grosvenor, Inc. — Class A | | | 25 | | | | 224 | |
ACNB Corp. | | | 5 | | | | 224 | |
Invesco Mortgage Capital, Inc. REIT | | | 25 | | | | 221 | |
98 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
SmartFinancial, Inc. | | | 9 | | | $ | 220 | |
One Liberty Properties, Inc. REIT | | | 10 | | | | 219 | |
MidWestOne Financial Group, Inc. | | | 8 | | | | 215 | |
Summit Financial Group, Inc. | | | 7 | | | | 215 | |
Alexander’s, Inc. REIT | | | 1 | | | | 214 | |
Office Properties Income Trust REIT | | | 29 | | | | 212 | |
West BanCorp, Inc. | | | 10 | | | | 212 | |
Carter Bankshares, Inc.* | | | 14 | | | | 210 | |
Five Star Bancorp | | | 8 | | | | 209 | |
James River Group Holdings Ltd. | | | 22 | | | | 203 | |
South Plains Financial, Inc. | | | 7 | | | | 203 | |
Citizens & Northern Corp. | | | 9 | | | | 202 | |
First Business Financial Services, Inc. | | | 5 | | | | 201 | |
Esquire Financial Holdings, Inc. | | | 4 | | | | 200 | |
Farmers & Merchants Bancorp Incorporated/Archbold OH | | | 8 | | | | 198 | |
Bank of Marin Bancorp | | | 9 | | | | 198 | |
Peoples Financial Services Corp. | | | 4 | | | | 195 | |
Orion Office REIT, Inc. | | | 34 | | | | 194 | |
Hingham Institution For Savings | | | 1 | | | | 194 | |
Mid Penn Bancorp, Inc. | | | 8 | | | | 194 | |
Citizens Financial Services, Inc. | | | 3 | | | | 194 | |
Orchid Island Capital, Inc. REIT | | | 23 | | | | 194 | |
Enterprise Bancorp, Inc. | | | 6 | | | | 194 | |
NewtekOne, Inc. | | | 14 | | | | 193 | |
Financial Institutions, Inc. | | | 9 | | | | 192 | |
RBB Bancorp | | | 10 | | | | 190 | |
Southern First Bancshares, Inc.* | | | 5 | | | | 186 | |
Granite Point Mortgage Trust, Inc. REIT | | | 31 | | | | 184 | |
LendingTree, Inc.* | | | 6 | | | | 182 | |
Bit Digital, Inc.* | | | 43 | | | | 182 | |
Orange County Bancorp, Inc. | | | 3 | | | | 181 | |
Macatawa Bank Corp. | | | 16 | | | | 181 | |
Sierra Bancorp | | | 8 | | | | 180 | |
MBIA, Inc.* | | | 29 | | | | 177 | |
Orrstown Financial Services, Inc. | | | 6 | | | | 177 | |
Fidelity D&D Bancorp, Inc. | | | 3 | | | | 174 | |
First of Long Island Corp. | | | 13 | | | | 172 | |
Northrim BanCorp, Inc. | | | 3 | | | | 172 | |
Greenlight Capital Re Ltd. — Class A* | | | 15 | | | | 171 | |
First Bancorp, Inc. | | | 6 | | | | 169 | |
HBT Financial, Inc. | | | 8 | | | | 169 | |
Red River Bancshares, Inc. | | | 3 | | | | 168 | |
Guaranty Bancshares, Inc. | | | 5 | | | | 168 | |
Home Bancorp, Inc. | | | 4 | | | | 168 | |
Civista Bancshares, Inc. | | | 9 | | | | 166 | |
BayCom Corp. | | | 7 | | | | 165 | |
Bridgewater Bancshares, Inc.* | | | 12 | | | | 162 | |
Investors Title Co. | | | 1 | | | | 162 | |
Middlefield Banc Corp. | | | 5 | | | | 162 | |
Chicago Atlantic Real Estate Finance, Inc. REIT | | | 10 | | | | 162 | |
Postal Realty Trust, Inc. — Class A REIT | | | 11 | | | | 160 | |
Third Coast Bancshares, Inc.* | | | 8 | | | | 159 | |
John Marshall Bancorp, Inc. | | | 7 | | | | 158 | |
MVB Financial Corp. | | | 7 | | | | 158 | |
Timberland Bancorp, Inc. | | | 5 | | | | 157 | |
Waterstone Financial, Inc. | | | 11 | | | | 156 | |
Codorus Valley Bancorp, Inc. | | | 6 | | | | 154 | |
Primis Financial Corp. | | | 12 | | | | 152 | |
Legacy Housing Corp.* | | | 6 | | | | 151 | |
FS Bancorp, Inc. | | | 4 | | | | 148 | |
First Bank/Hamilton NJ | | | 10 | | | | 147 | |
Capital Bancorp, Inc. | | | 6 | | | | 145 | |
Blue Foundry Bancorp* | | | 15 | | | | 145 | |
NexPoint Diversified Real Estate Trust REIT | | | 18 | | | | 143 | |
FVCBankcorp, Inc.* | | | 10 | | | | 142 | |
Northeast Community Bancorp, Inc. | | | 8 | | | | 142 | |
Douglas Elliman, Inc. | | | 48 | | | | 142 | |
City Office REIT, Inc. | | | 23 | | | | 141 | |
C&F Financial Corp. | | | 2 | | | | 136 | |
Alpine Income Property Trust, Inc. REIT | | | 8 | | | | 135 | |
Central Valley Community Bancorp | | | 6 | | | | 134 | |
RE/MAX Holdings, Inc. — Class A | | | 10 | | | | 133 | |
Colony Bankcorp, Inc. | | | 10 | | | | 133 | |
Norwood Financial Corp. | | | 4 | | | | 132 | |
eHealth, Inc.* | | | 15 | | | | 131 | |
BRT Apartments Corp. REIT | | | 7 | | | | 130 | |
PCB Bancorp | | | 7 | | | | 129 | |
Donegal Group, Inc. — Class A | | | 9 | | | | 126 | |
Regional Management Corp. | | | 5 | | | | 125 | |
Plumas Bancorp | | | 3 | | | | 124 | |
Maiden Holdings Ltd.* | | | 54 | | | | 124 | |
Ocwen Financial Corp.* | | | 4 | | | | 123 | |
Parke Bancorp, Inc. | | | 6 | | | | 122 | |
Bankwell Financial Group, Inc. | | | 4 | | | | 121 | |
AFC Gamma, Inc. REIT | | | 10 | | | | 120 | |
Star Holdings* | | | 8 | | | | 120 | |
Oak Valley Bancorp | | | 4 | | | | 120 | |
Crawford & Co. — Class A | | | 9 | | | | 119 | |
Unity Bancorp, Inc. | | | 4 | | | | 118 | |
ChoiceOne Financial Services, Inc. | | | 4 | | | | 117 | |
Ponce Financial Group, Inc.* | | | 12 | | | | 117 | |
Southern States Bancshares, Inc. | | | 4 | | | | 117 | |
Atlanticus Holdings Corp.* | | | 3 | | | | 116 | |
BCB Bancorp, Inc. | | | 9 | | | | 116 | |
Fidelis Insurance Holdings Ltd.* | | | 9 | | | | 114 | |
AlTi Global, Inc.* | | | 13 | | | | 114 | |
American Coastal Insurance Corp.* | | | 12 | | | | 114 | |
HomeStreet, Inc. | | | 11 | | | | 113 | |
Greene County Bancorp, Inc. | | | 4 | | | | 113 | |
Selectquote, Inc.* | | | 81 | | | | 111 | |
Princeton Bancorp, Inc. | | | 3 | | | | 108 | |
Ames National Corp. | | | 5 | | | | 107 | |
Virginia National Bankshares Corp. | | | 3 | | | | 103 | |
Silvercrest Asset Management Group, Inc. — Class A | | | 6 | | | | 102 | |
ESSA Bancorp, Inc. | | | 5 | | | | 100 | |
Chemung Financial Corp. | | | 2 | | | | 100 | |
MainStreet Bancshares, Inc. | | | 4 | | | | 99 | |
First Western Financial, Inc.* | | | 5 | | | | 99 | |
Braemar Hotels & Resorts, Inc. REIT | | | 39 | | | | 97 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 99 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
National Bankshares, Inc. | | | 3 | | | $ | 97 | |
LCNB Corp. | | | 6 | | | | 95 | |
Evans Bancorp, Inc. | | | 3 | | | | 95 | |
Penns Woods Bancorp, Inc. | | | 4 | | | | 90 | |
Stratus Properties, Inc.* | | | 3 | | | | 87 | |
First Community Corp. | | | 4 | | | | 86 | |
Velocity Financial, Inc.* | | | 5 | | | | 86 | |
Maui Land & Pineapple Company, Inc.* | | | 5 | | | | 80 | |
Nexpoint Real Estate Finance, Inc. REIT | | | 5 | | | | 79 | |
Sterling Bancorp, Inc.* | | | 13 | | | | 75 | |
Angel Oak Mortgage REIT, Inc. | | | 7 | | | | 74 | |
USCB Financial Holdings, Inc.* | | | 6 | | | | 74 | |
Pioneer Bancorp, Inc.* | | | 7 | | | | 70 | |
Security National Financial Corp. — Class A* | | | 7 | | | | 66 | |
NI Holdings, Inc.* | | | 5 | | | | 65 | |
Luther Burbank Corp.* | | | 6 | | | | 64 | |
Consumer Portfolio Services, Inc.* | | | 6 | | | | 56 | |
Hippo Holdings, Inc.* | | | 6 | | | | 55 | |
Bank7 Corp. | | | 2 | | | | 55 | |
Paysign, Inc.* | | | 19 | | | | 53 | |
Kingsway Financial Services, Inc.* | | | 6 | | | | 50 | |
Clipper Realty, Inc. REIT | | | 8 | | | | 43 | |
Finance of America Companies, Inc. — Class A* | | | 32 | | | | 35 | |
SWK Holdings Corp.* | | | 2 | | | | 35 | |
Transcontinental Realty Investors, Inc.* | | | 1 | | | | 35 | |
Blue Ridge Bankshares, Inc. | | | 11 | | | | 33 | |
OppFi, Inc.* | | | 6 | | | | 31 | |
GoHealth, Inc. — Class A* | | | 2 | | | | 27 | |
American Realty Investors, Inc.* | | | 1 | | | | 17 | |
Total Financial | | | | | | | 332,356 | |
| | | | | | | | | |
Industrial — 5.3% |
Simpson Manufacturing Company, Inc. | | | 25 | | | | 4,950 | |
UFP Industries, Inc. | | | 36 | | | | 4,520 | |
Comfort Systems USA, Inc. | | | 21 | | | | 4,319 | |
Fabrinet* | | | 22 | | | | 4,187 | |
Applied Industrial Technologies, Inc. | | | 23 | | | | 3,972 | |
Chart Industries, Inc.* | | | 26 | | | | 3,545 | |
Novanta, Inc.* | | | 21 | | | | 3,537 | |
Atkore, Inc.* | | | 22 | | | | 3,520 | |
Watts Water Technologies, Inc. — Class A | | | 16 | | | | 3,333 | |
Fluor Corp.* | | | 85 | | | | 3,329 | |
Mueller Industries, Inc. | | | 66 | | | | 3,112 | |
Boise Cascade Co. | | | 24 | | | | 3,105 | |
AAON, Inc. | | | 40 | | | | 2,955 | |
Casella Waste Systems, Inc. — Class A* | | | 33 | | | | 2,820 | |
Federal Signal Corp. | | | 36 | | | | 2,763 | |
Summit Materials, Inc. — Class A* | | | 71 | | | | 2,731 | |
Franklin Electric Company, Inc. | | | 28 | | | | 2,706 | |
Exponent, Inc. | | | 30 | | | | 2,641 | |
SPX Technologies, Inc.* | | | 26 | | | | 2,626 | |
Badger Meter, Inc. | | | 17 | | | | 2,624 | |
Zurn Elkay Water Solutions Corp. | | | 88 | | | | 2,588 | |
GATX Corp. | | | 21 | | | | 2,525 | |
EnerSys | | | 25 | | | | 2,524 | |
Moog, Inc. — Class A | | | 17 | | | | 2,461 | |
Arcosa, Inc. | | | 29 | | | | 2,397 | |
Advanced Energy Industries, Inc. | | | 22 | | | | 2,396 | |
Matson, Inc. | | | 21 | | | | 2,302 | |
Terex Corp. | | | 40 | | | | 2,299 | |
Knife River Corp.* | | | 34 | | | | 2,250 | |
Itron, Inc.* | | | 27 | | | | 2,039 | |
Kadant, Inc. | | | 7 | | | | 1,962 | |
Hillenbrand, Inc. | | | 41 | | | | 1,962 | |
Dycom Industries, Inc.* | | | 17 | | | | 1,957 | |
Belden, Inc. | | | 25 | | | | 1,931 | |
Encore Wire Corp. | | | 9 | | | | 1,922 | |
AeroVironment, Inc.* | | | 15 | | | | 1,891 | |
John Bean Technologies Corp. | | | 19 | | | | 1,890 | |
Enpro, Inc. | | | 12 | | | | 1,881 | |
CSW Industrials, Inc. | | | 9 | | | | 1,867 | |
Albany International Corp. — Class A | | | 19 | | | | 1,866 | |
Modine Manufacturing Co.* | | | 31 | | | | 1,851 | |
Vishay Intertechnology, Inc. | | | 77 | | | | 1,846 | |
Cactus, Inc. — Class A | | | 39 | | | | 1,771 | |
Scorpio Tankers, Inc. | | | 29 | | | | 1,763 | |
ESCO Technologies, Inc. | | | 15 | | | | 1,756 | |
Hub Group, Inc. — Class A* | | | 19 | | | | 1,747 | |
Sanmina Corp.* | | | 34 | | | | 1,747 | |
Plexus Corp.* | | | 16 | | | | 1,730 | |
Frontdoor, Inc.* | | | 49 | | | | 1,726 | |
Bloom Energy Corp. — Class A* | | | 115 | | | | 1,702 | |
ArcBest Corp. | | | 14 | | | | 1,683 | |
Werner Enterprises, Inc. | | | 38 | | | | 1,610 | |
RXO, Inc.* | | | 69 | | | | 1,605 | |
Griffon Corp. | | | 26 | | | | 1,585 | |
Sterling Infrastructure, Inc.* | | | 18 | | | | 1,583 | |
Materion Corp. | | | 12 | | | | 1,562 | |
O-I Glass, Inc.* | | | 93 | | | | 1,524 | |
Kratos Defense & Security Solutions, Inc.* | | | 75 | | | | 1,522 | |
Gibraltar Industries, Inc.* | | | 19 | | | | 1,501 | |
MYR Group, Inc.* | | | 10 | | | | 1,446 | |
PGT Innovations, Inc.* | | | 35 | | | | 1,424 | |
Golar LNG Ltd. | | | 61 | | | | 1,402 | |
Energizer Holdings, Inc. | | | 43 | | | | 1,362 | |
NEXTracker, Inc. — Class A* | | | 29 | | | | 1,359 | |
Mueller Water Products, Inc. — Class A | | | 93 | | | | 1,339 | |
Granite Construction, Inc. | | | 26 | | | | 1,322 | |
AAR Corp.* | | | 21 | | | | 1,310 | |
Trinity Industries, Inc. | | | 48 | | | | 1,276 | |
Alamo Group, Inc. | | | 6 | | | | 1,261 | |
Kennametal, Inc. | | | 48 | | | | 1,238 | |
Mirion Technologies, Inc.* | | | 120 | | | | 1,230 | |
OSI Systems, Inc.* | | | 9 | | | | 1,162 | |
Masterbrand, Inc.* | | | 77 | | | | 1,143 | |
Standex International Corp. | | | 7 | | | | 1,109 | |
Joby Aviation, Inc.* | | | 166 | | | | 1,104 | |
Masonite International Corp.* | | | 13 | | | | 1,101 | |
International Seaways, Inc. | | | 24 | | | | 1,091 | |
Hillman Solutions Corp.* | | | 116 | | | | 1,068 | |
Primoris Services Corp. | | | 32 | | | | 1,063 | |
100 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Enerpac Tool Group Corp. | | | 34 | | | $ | 1,057 | |
Construction Partners, Inc. — Class A* | | | 24 | | | | 1,044 | |
Worthington Enterprises, Inc. | | | 18 | | | | 1,036 | |
Enovix Corp.* | | | 82 | | | | 1,027 | |
Tennant Co. | | | 11 | | | | 1,020 | |
Forward Air Corp. | | | 16 | | | | 1,006 | |
Greif, Inc. — Class A | | | 15 | | | | 984 | |
Knowles Corp.* | | | 54 | | | | 967 | |
TTM Technologies, Inc.* | | | 61 | | | | 964 | |
JELD-WEN Holding, Inc.* | | | 51 | | | | 963 | |
Barnes Group, Inc. | | | 29 | | | | 946 | |
American Woodmark Corp.* | | | 10 | | | | 928 | |
Rocket Lab USA, Inc.* | | | 166 | | | | 918 | |
Helios Technologies, Inc. | | | 20 | | | | 907 | |
Lindsay Corp. | | | 7 | | | | 904 | |
NV5 Global, Inc.* | | | 8 | | | | 889 | |
AZZ, Inc. | | | 15 | | | | 871 | |
World Kinect Corp. | | | 37 | | | | 843 | |
Greenbrier Companies, Inc. | | | 19 | | | | 839 | |
Dorian LPG Ltd. | | | 19 | | | | 834 | |
CTS Corp. | | | 19 | | | | 831 | |
Leonardo DRS, Inc.* | | | 41 | | | | 822 | |
DHT Holdings, Inc. | | | 82 | | | | 804 | |
SFL Corporation Ltd. | | | 69 | | | | 778 | |
Marten Transport Ltd. | | | 35 | | | | 734 | |
Xometry, Inc. — Class A* | | | 20 | | | | 718 | |
Golden Ocean Group Ltd. | | | 73 | | | | 712 | |
Teekay Tankers Ltd. — Class A | | | 14 | | | | 700 | |
Apogee Enterprises, Inc. | | | 13 | | | | 694 | |
Janus International Group, Inc.* | | | 51 | | | | 665 | |
Columbus McKinnon Corp. | | | 17 | | | | 663 | |
Thermon Group Holdings, Inc.* | | | 20 | | | | 651 | |
Napco Security Technologies, Inc. | | | 19 | | | | 651 | |
TriMas Corp. | | | 25 | | | | 633 | |
Triumph Group, Inc.* | | | 38 | | | | 630 | |
Proto Labs, Inc.* | | | 16 | | | | 623 | |
Energy Recovery, Inc.* | | | 33 | | | | 622 | |
TimkenSteel Corp.* | | | 26 | | | | 610 | |
Air Transport Services Group, Inc.* | | | 34 | | | | 599 | |
Ryerson Holding Corp. | | | 17 | | | | 590 | |
Vicor Corp.* | | | 13 | | | | 584 | |
Benchmark Electronics, Inc. | | | 21 | | | | 580 | |
Ichor Holdings Ltd.* | | | 17 | | | | 572 | |
Archer Aviation, Inc. — Class A* | | | 91 | | | | 559 | |
Montrose Environmental Group, Inc.* | | | 17 | | | | 546 | |
FLEX LNG Ltd. | | | 18 | | | | 523 | |
Astec Industries, Inc. | | | 14 | | | | 521 | |
Nordic American Tankers Ltd. | | | 123 | | | | 517 | |
Gorman-Rupp Co. | | | 14 | | | | 497 | |
Aspen Aerogels, Inc.* | | | 30 | | | | 473 | |
Sturm Ruger & Company, Inc. | | | 10 | | | | 455 | |
Powell Industries, Inc. | | | 5 | | | | 442 | |
Myers Industries, Inc. | | | 22 | | | | 430 | |
Enviri Corp.* | | | 47 | | | | 423 | |
Insteel Industries, Inc. | | | 11 | | | | 421 | |
Genco Shipping & Trading Ltd. | | | 25 | | | | 415 | |
Kaman Corp. | | | 17 | | | | 407 | |
Bel Fuse, Inc. — Class B | | | 6 | | | | 401 | |
Olympic Steel, Inc. | | | 6 | | | | 400 | |
Heartland Express, Inc. | | | 28 | | | | 399 | |
IES Holdings, Inc.* | | | 5 | | | | 396 | |
Cadre Holdings, Inc. | | | 12 | | | | 395 | |
Kimball Electronics, Inc.* | | | 14 | | | | 377 | |
Argan, Inc. | | | 8 | | | | 374 | |
Hyster-Yale Materials Handling, Inc. | | | 6 | | | | 373 | |
CryoPort, Inc.* | | | 24 | | | | 372 | |
Smith & Wesson Brands, Inc. | | | 27 | | | | 366 | |
CECO Environmental Corp.* | | | 18 | | | | 365 | |
Ducommun, Inc.* | | | 7 | | | | 364 | |
Clearwater Paper Corp.* | | | 10 | | | | 361 | |
Ardmore Shipping Corp. | | | 25 | | | | 352 | |
nLight, Inc.* | | | 26 | | | | 351 | |
SmartRent, Inc.* | | | 110 | | | | 351 | |
Manitowoc Company, Inc.* | | | 21 | | | | 351 | |
Pactiv Evergreen, Inc. | | | 24 | | | | 329 | |
Evolv Technologies Holdings, Inc.* | | | 67 | | | | 316 | |
Mesa Laboratories, Inc. | | | 3 | | | | 314 | |
Stoneridge, Inc.* | | | 16 | | | | 313 | |
LSB Industries, Inc.* | | | 33 | | | | 307 | |
DXP Enterprises, Inc.* | | | 9 | | | | 303 | |
Costamare, Inc. | | | 29 | | | | 302 | |
Great Lakes Dredge & Dock Corp.* | | | 39 | | | | 300 | |
MicroVision, Inc.* | | | 106 | | | | 282 | |
PureCycle Technologies, Inc.* | | | 69 | | | | 279 | |
Astronics Corp.* | | | 16 | | | | 279 | |
Eagle Bulk Shipping, Inc. | | | 5 | | | | 277 | |
FARO Technologies, Inc.* | | | 12 | | | | 270 | |
GoPro, Inc. — Class A* | | | 77 | | | | 267 | |
Teekay Corp.* | | | 37 | | | | 265 | |
GrafTech International Ltd. | | | 116 | | | | 254 | |
Allient, Inc. | | | 8 | | | | 242 | |
National Presto Industries, Inc. | | | 3 | | | | 241 | |
NVE Corp. | | | 3 | | | | 235 | |
Atmus Filtration Technologies, Inc.* | | | 10 | | | | 235 | |
Covenant Logistics Group, Inc. — Class A | | | 5 | | | | 230 | |
Tutor Perini Corp.* | | | 25 | | | | 228 | |
Limbach Holdings, Inc.* | | | 5 | | | | 227 | |
LSI Industries, Inc. | | | 16 | | | | 225 | |
Cadeler A/S ADR* | | | 12 | | | | 221 | |
Bowman Consulting Group Ltd.* | | | 6 | | | | 213 | |
Greif, Inc. — Class B | | | 3 | | | | 198 | |
Daseke, Inc.* | | | 24 | | | | 194 | |
AerSale Corp.* | | | 15 | | | | 190 | |
Northwest Pipe Co.* | | | 6 | | | | 182 | |
Pangaea Logistics Solutions Ltd. | | | 22 | | | | 181 | |
Overseas Shipholding Group, Inc. — Class A | | | 34 | | | | 179 | |
Park Aerospace Corp. | | | 12 | | | | 176 | |
Safe Bulkers, Inc. | | | 40 | | | | 157 | |
Ranpak Holdings Corp.* | | | 26 | | | | 151 | |
Radiant Logistics, Inc.* | | | 22 | | | | 146 | |
908 Devices, Inc.* | | | 13 | | | | 146 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 101 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Luxfer Holdings plc | | | 16 | | | $ | 143 | |
Omega Flex, Inc. | | | 2 | | | | 141 | |
Comtech Telecommunications Corp. | | | 16 | | | | 135 | |
Park-Ohio Holdings Corp. | | | 5 | | | | 135 | |
Eastman Kodak Co.* | | | 34 | | | | 133 | |
Iteris, Inc.* | | | 25 | | | | 130 | |
Pure Cycle Corp.* | | | 12 | | | | 126 | |
Concrete Pumping Holdings, Inc.* | | | 15 | | | | 123 | |
AMMO, Inc.* | | | 54 | | | | 113 | |
Universal Logistics Holdings, Inc. | | | 4 | | | | 112 | |
NuScale Power Corp.* | | | 32 | | | | 105 | |
Mayville Engineering Company, Inc.* | | | 7 | | | | 101 | |
Turtle Beach Corp.* | | | 9 | | | | 99 | |
Willis Lease Finance Corp.* | | | 2 | | | | 98 | |
Gencor Industries, Inc.* | | | 6 | | | | 97 | |
Blink Charging Co.* | | | 28 | | | | 95 | |
Core Molding Technologies, Inc.* | | | 5 | | | | 93 | |
Mistras Group, Inc.* | | | 12 | | | | 88 | |
Tredegar Corp. | | | 16 | | | | 87 | |
PAM Transportation Services, Inc.* | | | 4 | | | | 83 | |
Eve Holding, Inc.* | | | 11 | | | | 81 | |
Karat Packaging, Inc. | | | 3 | | | | 75 | |
Sight Sciences, Inc.* | | | 13 | | | | 67 | |
Intevac, Inc.* | | | 15 | | | | 65 | |
ESS Tech, Inc.* | | | 54 | | | | 62 | |
Latham Group, Inc.* | | | 23 | | | | 60 | |
LanzaTech Global, Inc.* | | | 12 | | | | 60 | |
Transphorm, Inc.* | | | 16 | | | | 58 | |
SKYX Platforms Corp.* | | | 34 | | | | 54 | |
Babcock & Wilcox Enterprises, Inc.* | | | 35 | | | | 51 | |
374Water, Inc.* | | | 35 | | | | 50 | |
Li-Cycle Holdings Corp.* | | | 82 | | | | 48 | |
Akoustis Technologies, Inc.* | | | 41 | | | | 34 | |
Himalaya Shipping Ltd.* | | | 5 | | | | 34 | |
INNOVATE Corp.* | | | 27 | | | | 33 | |
NL Industries, Inc. | | | 5 | | | | 28 | |
Amprius Technologies, Inc.* | | | 3 | | | | 16 | |
Redwire Corp.* | | | 5 | | | | 14 | |
Southland Holdings, Inc.* | | | 2 | | | | 10 | |
Charge Enterprises, Inc.* | | | 80 | | | | 9 | |
Total Industrial | | | | | | | 226,219 | |
| | | | | | | | | |
Consumer, Cyclical — 4.1% |
Light & Wonder, Inc. — Class A* | | | 55 | | | | 4,516 | |
Meritage Homes Corp. | | | 22 | | | | 3,832 | |
Taylor Morrison Home Corp. — Class A* | | | 61 | | | | 3,254 | |
Carvana Co.* | | | 57 | | | | 3,018 | |
Beacon Roofing Supply, Inc.* | | | 34 | | | | 2,959 | |
Signet Jewelers Ltd. | | | 27 | | | | 2,896 | |
Academy Sports & Outdoors, Inc. | | | 43 | | | | 2,838 | |
Asbury Automotive Group, Inc.* | | | 12 | | | | 2,700 | |
KB Home | | | 42 | | | | 2,623 | |
Installed Building Products, Inc. | | | 14 | | | | 2,560 | |
Abercrombie & Fitch Co. — Class A* | | | 29 | | | | 2,558 | |
Group 1 Automotive, Inc. | | | 8 | | | | 2,438 | |
Goodyear Tire & Rubber Co.* | | | 168 | | | | 2,406 | |
FirstCash Holdings, Inc. | | | 22 | | | | 2,385 | |
Skyline Champion Corp.* | | | 32 | | | | 2,376 | |
American Eagle Outfitters, Inc. | | | 109 | | | | 2,306 | |
M/I Homes, Inc.* | | | 16 | | | | 2,204 | |
Tri Pointe Homes, Inc.* | | | 59 | | | | 2,089 | |
Adient plc* | | | 57 | | | | 2,073 | |
GMS, Inc.* | | | 25 | | | | 2,061 | |
Kontoor Brands, Inc. | | | 33 | | | | 2,060 | |
Visteon Corp.* | | | 16 | | | | 1,998 | |
Hilton Grand Vacations, Inc.* | | | 49 | | | | 1,969 | |
MDC Holdings, Inc. | | | 35 | | | | 1,934 | |
Steven Madden Ltd. | | | 45 | | | | 1,890 | |
LCI Industries | | | 15 | | | | 1,886 | |
Rush Enterprises, Inc. — Class A | | | 37 | | | | 1,861 | |
International Game Technology plc | | | 65 | | | | 1,782 | |
Cavco Industries, Inc.* | | | 5 | | | | 1,733 | |
Shake Shack, Inc. — Class A* | | | 23 | | | | 1,705 | |
Fox Factory Holding Corp.* | | | 25 | | | | 1,687 | |
UniFirst Corp. | | | 9 | | | | 1,646 | |
Resideo Technologies, Inc.* | | | 87 | | | | 1,637 | |
LGI Homes, Inc.* | | | 12 | | | | 1,598 | |
Century Communities, Inc. | | | 17 | | | | 1,549 | |
Foot Locker, Inc. | | | 49 | | | | 1,526 | |
Papa John’s International, Inc. | | | 20 | | | | 1,525 | |
Red Rock Resorts, Inc. — Class A | | | 28 | | | | 1,493 | |
Bloomin’ Brands, Inc. | | | 52 | | | | 1,464 | |
Boot Barn Holdings, Inc.* | | | 18 | | | | 1,382 | |
Urban Outfitters, Inc.* | | | 38 | | | | 1,356 | |
Dorman Products, Inc.* | | | 16 | | | | 1,335 | |
Winnebago Industries, Inc. | | | 18 | | | | 1,312 | |
Patrick Industries, Inc. | | | 13 | | | | 1,305 | |
Sonos, Inc.* | | | 76 | | | | 1,303 | |
SkyWest, Inc.* | | | 24 | | | | 1,253 | |
Topgolf Callaway Brands Corp.* | | | 86 | | | | 1,233 | |
MillerKnoll, Inc. | | | 45 | | | | 1,201 | |
Acushnet Holdings Corp. | | | 19 | | | | 1,200 | |
HNI Corp. | | | 28 | | | | 1,171 | |
SeaWorld Entertainment, Inc.* | | | 22 | | | | 1,162 | |
Dana, Inc. | | | 78 | | | | 1,140 | |
PriceSmart, Inc. | | | 15 | | | | 1,137 | |
Dave & Buster’s Entertainment, Inc.* | | | 21 | | | | 1,131 | |
ODP Corp.* | | | 20 | | | | 1,126 | |
Brinker International, Inc.* | | | 26 | | | | 1,123 | |
JetBlue Airways Corp.* | | | 197 | | | | 1,093 | |
Spirit Airlines, Inc. | | | 66 | | | | 1,082 | |
Six Flags Entertainment Corp.* | | | 43 | | | | 1,078 | |
Gentherm, Inc.* | | | 20 | | | | 1,047 | |
Atlanta Braves Holdings, Inc. — Class C* | | | 26 | | | | 1,029 | |
Cheesecake Factory, Inc. | | | 29 | | | | 1,015 | |
Vista Outdoor, Inc.* | | | 34 | | | | 1,005 | |
Cracker Barrel Old Country Store, Inc. | | | 13 | | | | 1,002 | |
H&E Equipment Services, Inc. | | | 19 | | | | 994 | |
Jack in the Box, Inc. | | | 12 | | | | 980 | |
National Vision Holdings, Inc.* | | | 46 | | | | 963 | |
La-Z-Boy, Inc. | | | 26 | | | | 960 | |
OPENLANE, Inc.* | | | 64 | | | | 948 | |
Hanesbrands, Inc.* | | | 210 | | | | 937 | |
102 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Cinemark Holdings, Inc.* | | | 66 | | | $ | 930 | |
Oxford Industries, Inc. | | | 9 | | | | 900 | |
Buckle, Inc. | | | 18 | | | | 855 | |
Sally Beauty Holdings, Inc.* | | | 64 | | | | 850 | |
G-III Apparel Group Ltd.* | | | 25 | | | | 849 | |
Winmark Corp. | | | 2 | | | | 835 | |
Green Brick Partners, Inc.* | | | 16 | | | | 831 | |
Dillard’s, Inc. — Class A | | | 2 | | | | 807 | |
Aurora Innovation, Inc.* | | | 182 | | | | 795 | |
Madison Square Garden Entertainment Corp.* | | | 24 | | | | 763 | |
XPEL, Inc.* | | | 14 | | | | 754 | |
Allegiant Travel Co. — Class A | | | 9 | | | | 743 | |
Leslie’s, Inc.* | | | 106 | | | | 732 | |
Warby Parker, Inc. — Class A* | | | 51 | | | | 719 | |
Wabash National Corp. | | | 28 | | | | 717 | |
Steelcase, Inc. — Class A | | | 53 | | | | 717 | |
Lions Gate Entertainment Corp. — Class B* | | | 69 | | | | 703 | |
indie Semiconductor, Inc. — Class A* | | | 82 | | | | 665 | |
Sovos Brands, Inc.* | | | 30 | | | | 661 | |
Malibu Boats, Inc. — Class A* | | | 12 | | | | 658 | |
Camping World Holdings, Inc. — Class A | | | 25 | | | | 657 | |
Sweetgreen, Inc. — Class A* | | | 58 | | | | 655 | |
Caleres, Inc. | | | 21 | | | | 645 | |
OneSpaWorld Holdings Ltd.* | | | 44 | | | | 620 | |
iRobot Corp.* | | | 16 | | | | 619 | |
Beazer Homes USA, Inc.* | | | 18 | | | | 608 | |
American Axle & Manufacturing Holdings, Inc.* | | | 68 | | | | 599 | |
ScanSource, Inc.* | | | 15 | | | | 594 | |
Nu Skin Enterprises, Inc. — Class A | | | 30 | | | | 583 | |
Hibbett, Inc. | | | 8 | | | | 576 | |
BlueLinx Holdings, Inc.* | | | 5 | | | | 567 | |
Everi Holdings, Inc.* | | | 50 | | | | 563 | |
Monarch Casino & Resort, Inc. | | | 8 | | | | 553 | |
MRC Global, Inc.* | | | 50 | | | | 550 | |
Luminar Technologies, Inc.*,1 | | | 163 | | | | 549 | |
Chico’s FAS, Inc.* | | | 71 | | | | 538 | |
Standard Motor Products, Inc. | | | 13 | | | | 518 | |
VSE Corp. | | | 8 | | | | 517 | |
Sonic Automotive, Inc. — Class A | | | 9 | | | | 506 | |
MarineMax, Inc.* | | | 13 | | | | 506 | |
BJ’s Restaurants, Inc.* | | | 14 | | | | 504 | |
Dream Finders Homes, Inc. — Class A* | | | 14 | | | | 497 | |
Golden Entertainment, Inc. | | | 12 | | | | 479 | |
Virgin Galactic Holdings, Inc.* | | | 195 | | | | 478 | |
Methode Electronics, Inc. | | | 21 | | | | 477 | |
PC Connection, Inc. | | | 7 | | | | 470 | |
Hovnanian Enterprises, Inc. — Class A* | | | 3 | | | | 467 | |
Titan International, Inc.* | | | 31 | | | | 461 | |
Bluegreen Vacations Holding Corp. | | | 6 | | | | 451 | |
Ethan Allen Interiors, Inc. | | | 14 | | | | 447 | |
Dine Brands Global, Inc. | | | 9 | | | | 447 | |
Interface, Inc. — Class A | | | 34 | | | | 429 | |
Hawaiian Holdings, Inc.* | | | 30 | | | | 426 | |
Chuy’s Holdings, Inc.* | | | 11 | | | | 421 | |
Wolverine World Wide, Inc. | | | 46 | | | | 409 | |
Life Time Group Holdings, Inc.* | | | 27 | | | | 407 | |
IMAX Corp.* | | | 27 | | | | 406 | |
Blue Bird Corp.* | | | 15 | | | | 404 | |
Arko Corp. | | | 49 | | | | 404 | |
Portillo’s, Inc. — Class A* | | | 25 | | | | 398 | |
Guess?, Inc. | | | 17 | | | | 392 | |
Clean Energy Fuels Corp.* | | | 101 | | | | 387 | |
Douglas Dynamics, Inc. | | | 13 | | | | 386 | |
Lions Gate Entertainment Corp. — Class A* | | | 35 | | | | 381 | |
Forestar Group, Inc.* | | | 11 | | | | 364 | |
Sun Country Airlines Holdings, Inc.* | | | 23 | | | | 362 | |
Hudson Technologies, Inc.* | | | 26 | | | | 351 | |
Titan Machinery, Inc.* | | | 12 | | | | 347 | |
Vizio Holding Corp. — Class A* | | | 45 | | | | 346 | |
REV Group, Inc. | | | 19 | | | | 345 | |
A-Mark Precious Metals, Inc. | | | 11 | | | | 333 | |
RCI Hospitality Holdings, Inc. | | | 5 | | | | 331 | |
Accel Entertainment, Inc.* | | | 32 | | | | 329 | |
Denny’s Corp.* | | | 30 | | | | 326 | |
Haverty Furniture Companies, Inc. | | | 9 | | | | 319 | |
Rush Enterprises, Inc. — Class B | | | 6 | | | | 318 | |
Global Industrial Co. | | | 8 | | | | 311 | |
Nikola Corp.*,1 | | | 354 | | | | 310 | |
Shoe Carnival, Inc. | | | 10 | | | | 302 | |
Miller Industries, Inc. | | | 7 | | | | 296 | |
Xperi, Inc.* | | | 25 | | | | 276 | |
Movado Group, Inc. | | | 9 | | | | 271 | |
First Watch Restaurant Group, Inc.* | | | 13 | | | | 261 | |
Savers Value Village, Inc.* | | | 15 | | | | 261 | |
Super Group SGHC Ltd.* | | | 81 | | | | 257 | |
Atlanta Braves Holdings, Inc. — Class A* | | | 6 | | | | 257 | |
Shyft Group, Inc. | | | 21 | | | | 257 | |
Bally’s Corp.* | | | 18 | | | | 251 | |
Genesco, Inc.* | | | 7 | | | | 246 | |
Lindblad Expeditions Holdings, Inc.* | | | 21 | | | | 237 | |
OneWater Marine, Inc. — Class A* | | | 7 | | | | 237 | |
Designer Brands, Inc. — Class A | | | 26 | | | | 230 | |
Kura Sushi USA, Inc. — Class A* | | | 3 | | | | 228 | |
America’s Car-Mart, Inc.* | | | 3 | | | | 227 | |
MasterCraft Boat Holdings, Inc.* | | | 10 | | | | 226 | |
Fisker, Inc.* | | | 117 | | | | 205 | |
Lovesac Co.* | | | 8 | | | | 204 | |
Marcus Corp. | | | 14 | | | | 204 | |
Zumiez, Inc.* | | | 10 | | | | 203 | |
Cooper-Standard Holdings, Inc.* | | | 10 | | | | 195 | |
Daktronics, Inc.* | | | 23 | | | | 195 | |
Xponential Fitness, Inc. — Class A* | | | 15 | | | | 193 | |
Sleep Number Corp.* | | | 13 | | | | 193 | |
Build-A-Bear Workshop, Inc. — Class A | | | 8 | | | | 184 | |
Hooker Furnishings Corp. | | | 7 | | | | 183 | |
Microvast Holdings, Inc.* | | | 127 | | | | 178 | |
Carrols Restaurant Group, Inc. | | | 22 | | | | 173 | |
Rush Street Interactive, Inc.* | | | 38 | | | | 171 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 103 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Potbelly Corp.* | | | 16 | | | $ | 167 | |
Children’s Place, Inc.* | | | 7 | | | | 163 | |
Funko, Inc. — Class A* | | | 21 | | | | 163 | |
Johnson Outdoors, Inc. — Class A | | | 3 | | | | 160 | |
Holley, Inc.* | | | 32 | | | | 156 | |
Destination XL Group, Inc.* | | | 35 | | | | 154 | |
EVgo, Inc.* | | | 43 | | | | 154 | |
El Pollo Loco Holdings, Inc.* | | | 17 | | | | 150 | |
JAKKS Pacific, Inc.* | | | 4 | | | | 142 | |
Bowlero Corp. — Class A* | | | 10 | | | | 142 | |
SES AI Corp.* | | | 75 | | | | 137 | |
Solid Power, Inc.* | | | 92 | | | | 133 | |
Commercial Vehicle Group, Inc.* | | | 19 | | | | 133 | |
Big Lots, Inc. | | | 17 | | | | 132 | |
Frontier Group Holdings, Inc.* | | | 23 | | | | 126 | |
Weyco Group, Inc. | | | 4 | | | | 125 | |
Tile Shop Holdings, Inc.* | | | 17 | | | | 125 | |
Vera Bradley, Inc.* | | | 16 | | | | 123 | |
Global Business Travel Group I* | | | 19 | | | | 123 | |
Rocky Brands, Inc. | | | 4 | | | | 121 | |
Escalade, Inc. | | | 6 | | | | 121 | |
Clarus Corp. | | | 17 | | | | 117 | |
Red Robin Gourmet Burgers, Inc.* | | | 9 | | | | 112 | |
Full House Resorts, Inc.* | | | 20 | | | | 107 | |
Landsea Homes Corp.* | | | 8 | | | | 105 | |
Tilly’s, Inc. — Class A* | | | 13 | | | | 98 | |
Snap One Holdings Corp.* | | | 11 | | | | 98 | |
Sportsman’s Warehouse Holdings, Inc.* | | | 23 | | | | 98 | |
ThredUp, Inc. — Class A* | | | 43 | | | | 97 | |
PetMed Express, Inc. | | | 12 | | | | 91 | |
GrowGeneration Corp.* | | | 35 | | | | 88 | |
TuSimple Holdings, Inc. — Class A* | | | 99 | | | | 87 | |
Reservoir Media, Inc.* | | | 12 | | | | 86 | |
VOXX International Corp. — Class A* | | | 8 | | | | 85 | |
Big 5 Sporting Goods Corp. | | | 13 | | | | 82 | |
ONE Group Hospitality, Inc.* | | | 13 | | | | 80 | |
Livewire Group, Inc.* | | | 7 | | | | 79 | |
Century Casinos, Inc.* | | | 16 | | | | 78 | |
J Jill, Inc.* | | | 3 | | | | 77 | |
Noodles & Co.* | | | 24 | | | | 76 | |
Hyliion Holdings Corp.* | | | 88 | | | | 72 | |
Cato Corp. — Class A | | | 10 | | | | 71 | |
EVI Industries, Inc. | | | 3 | | | | 71 | |
Traeger, Inc.* | | | 21 | | | | 57 | |
Marine Products Corp. | | | 5 | | | | 57 | |
Duluth Holdings, Inc. — Class B* | | | 8 | | | | 43 | |
Fossil Group, Inc.* | | | 28 | | | | 41 | |
Torrid Holdings, Inc.* | | | 7 | | | | 40 | |
Workhorse Group, Inc.* | | | 99 | | | | 36 | |
Aeva Technologies, Inc.* | | | 47 | | | | 36 | |
Lazydays Holdings, Inc.* | | | 5 | | | | 35 | |
Purple Innovation, Inc. | | | 33 | | | | 34 | |
United Homes Group, Inc.* | | | 4 | | | | 34 | |
CompX International, Inc. | | | 1 | | | | 25 | |
Envela Corp.* | | | 5 | | | | 24 | |
Loop Media, Inc.* | | | 22 | | | | 22 | |
Qurate Retail, Inc. — Class B* | | | 1 | | | | 7 | |
Dragonfly Energy Holdings Corp.* | | | 9 | | | | 5 | |
Total Consumer, Cyclical | | | | | | | 176,367 | |
| | | | | | | | | |
Technology — 4.0% |
Super Micro Computer, Inc.* | | | 29 | | | | 7,960 | |
Rambus, Inc.* | | | 65 | | | | 4,436 | |
Onto Innovation, Inc.* | | | 29 | | | | 4,434 | |
MicroStrategy, Inc. — Class A* | | | 7 | | | | 4,421 | |
Qualys, Inc.* | | | 22 | | | | 4,318 | |
SPS Commerce, Inc.* | | | 22 | | | | 4,264 | |
Duolingo, Inc.* | | | 17 | | | | 3,856 | |
Tenable Holdings, Inc.* | | | 68 | | | | 3,132 | |
Maximus, Inc. | | | 36 | | | | 3,019 | |
Insight Enterprises, Inc.* | | | 17 | | | | 3,012 | |
MACOM Technology Solutions Holdings, Inc.* | | | 32 | | | | 2,974 | |
Workiva, Inc.* | | | 29 | | | | 2,944 | |
Varonis Systems, Inc.* | | | 65 | | | | 2,943 | |
ExlService Holdings, Inc.* | | | 95 | | | | 2,931 | |
Power Integrations, Inc. | | | 34 | | | | 2,792 | |
Synaptics, Inc.* | | | 24 | | | | 2,738 | |
Altair Engineering, Inc. — Class A* | | | 32 | | | | 2,693 | |
ASGN, Inc.* | | | 28 | | | | 2,693 | |
Silicon Laboratories, Inc.* | | | 19 | | | | 2,513 | |
Axcelis Technologies, Inc.* | | | 19 | | | | 2,464 | |
Freshworks, Inc. — Class A* | | | 97 | | | | 2,279 | |
Blackbaud, Inc.* | | | 26 | | | | 2,254 | |
Amkor Technology, Inc. | | | 67 | | | | 2,229 | |
Evolent Health, Inc. — Class A* | | | 66 | | | | 2,180 | |
Diodes, Inc.* | | | 27 | | | | 2,174 | |
CommVault Systems, Inc.* | | | 27 | | | | 2,156 | |
Box, Inc. — Class A* | | | 84 | | | | 2,151 | |
BlackLine, Inc.* | | | 34 | | | | 2,123 | |
Rapid7, Inc.* | | | 36 | | | | 2,056 | |
ACI Worldwide, Inc.* | | | 65 | | | | 1,989 | |
FormFactor, Inc.* | | | 46 | | | | 1,919 | |
Verra Mobility Corp.* | | | 83 | | | | 1,911 | |
Appfolio, Inc. — Class A* | | | 11 | | | | 1,906 | |
Kulicke & Soffa Industries, Inc. | | | 33 | | | | 1,806 | |
Sprout Social, Inc. — Class A* | | | 29 | | | | 1,782 | |
Braze, Inc. — Class A* | | | 31 | | | | 1,647 | |
Parsons Corp.* | | | 25 | | | | 1,568 | |
Privia Health Group, Inc.* | | | 66 | | | | 1,520 | |
Envestnet, Inc.* | | | 30 | | | | 1,486 | |
Progress Software Corp. | | | 26 | | | | 1,412 | |
DigitalOcean Holdings, Inc.* | | | 38 | | | | 1,394 | |
C3.ai, Inc. — Class A*,1 | | | 48 | | | | 1,378 | |
Ambarella, Inc.* | | | 22 | | | | 1,348 | |
Xerox Holdings Corp. | | | 69 | | | | 1,265 | |
Fastly, Inc. — Class A* | | | 71 | | | | 1,264 | |
Impinj, Inc.* | | | 14 | | | | 1,260 | |
SiTime Corp.* | | | 10 | | | | 1,221 | |
IonQ, Inc.* | | | 96 | | | | 1,189 | |
Schrodinger Incorporated/United States* | | | 33 | | | | 1,181 | |
PagerDuty, Inc.* | | | 51 | | | | 1,181 | |
ACV Auctions, Inc. — Class A* | | | 76 | | | | 1,151 | |
104 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Photronics, Inc.* | | | 36 | | | $ | 1,129 | |
AvidXchange Holdings, Inc.* | | | 89 | | | | 1,103 | |
MaxLinear, Inc. — Class A* | | | 45 | | | | 1,070 | |
PROS Holdings, Inc.* | | | 27 | | | | 1,047 | |
Clear Secure, Inc. — Class A | | | 50 | | | | 1,032 | |
Verint Systems, Inc.* | | | 38 | | | | 1,027 | |
Agilysys, Inc.* | | | 12 | | | | 1,018 | |
CSG Systems International, Inc. | | | 19 | | | | 1,011 | |
Cohu, Inc.* | | | 28 | | | | 991 | |
Donnelley Financial Solutions, Inc.* | | | 15 | | | | 936 | |
Veeco Instruments, Inc.* | | | 30 | | | | 931 | |
Ultra Clean Holdings, Inc.* | | | 27 | | | | 922 | |
Appian Corp. — Class A* | | | 24 | | | | 904 | |
NetScout Systems, Inc.* | | | 41 | | | | 900 | |
Asana, Inc. — Class A* | | | 47 | | | | 893 | |
Semtech Corp.* | | | 38 | | | | 833 | |
Adeia, Inc. | | | 64 | | | | 793 | |
PowerSchool Holdings, Inc. — Class A* | | | 33 | | | | 777 | |
Jamf Holding Corp.* | | | 42 | | | | 759 | |
AvePoint, Inc.* | | | 88 | | | | 722 | |
Zeta Global Holdings Corp. — Class A* | | | 80 | | | | 706 | |
PAR Technology Corp.* | | | 16 | | | | 697 | |
Zuora, Inc. — Class A* | | | 74 | | | | 696 | |
Phreesia, Inc.* | | | 30 | | | | 695 | |
Veradigm, Inc.* | | | 64 | | | | 671 | |
EngageSmart, Inc.* | | | 29 | | | | 664 | |
Intapp, Inc.* | | | 16 | | | | 608 | |
Model N, Inc.* | | | 22 | | | | 592 | |
Everbridge, Inc.* | | | 24 | | | | 583 | |
Alkami Technology, Inc.* | | | 24 | | | | 582 | |
PDF Solutions, Inc.* | | | 18 | | | | 579 | |
ACM Research, Inc. — Class A* | | | 29 | | | | 567 | |
N-able, Inc.* | | | 42 | | | | 557 | |
SMART Global Holdings, Inc.* | | | 29 | | | | 549 | |
Digi International, Inc.* | | | 21 | | | | 546 | |
Sapiens International Corporation N.V. | | | 18 | | | | 521 | |
Amplitude, Inc. — Class A* | | | 40 | | | | 509 | |
Navitas Semiconductor Corp.* | | | 61 | | | | 492 | |
3D Systems Corp.* | | | 76 | | | | 483 | |
Cerence, Inc.* | | | 24 | | | | 472 | |
Pitney Bowes, Inc. | | | 105 | | | | 462 | |
E2open Parent Holdings, Inc.* | | | 101 | | | | 443 | |
Grid Dynamics Holdings, Inc.* | | | 33 | | | | 440 | |
Alignment Healthcare, Inc.* | | | 51 | | | | 439 | |
PubMatic, Inc. — Class A* | | | 26 | | | | 424 | |
Matterport, Inc.* | | | 150 | | | | 404 | |
Simulations Plus, Inc. | | | 9 | | | | 403 | |
Aehr Test Systems* | | | 15 | | | | 398 | |
MeridianLink, Inc.* | | | 16 | | | | 396 | |
Digital Turbine, Inc.* | | | 57 | | | | 391 | |
BigCommerce Holdings, Inc.* | | | 40 | | | | 389 | |
Yext, Inc.* | | | 64 | | | | 377 | |
Conduent, Inc.* | | | 103 | | | | 376 | |
SolarWinds Corp.* | | | 30 | | | | 375 | |
Alpha & Omega Semiconductor Ltd.* | | | 14 | | | | 365 | |
Vimeo, Inc.* | | | 91 | | | | 357 | |
Olo, Inc. — Class A* | | | 62 | | | | 355 | |
Daily Journal Corp.* | | | 1 | | | | 341 | |
Integral Ad Science Holding Corp.* | | | 23 | | | | 331 | |
Mitek Systems, Inc.* | | | 25 | | | | 326 | |
Instructure Holdings, Inc.* | | | 12 | | | | 324 | |
CEVA, Inc.* | | | 14 | | | | 318 | |
Consensus Cloud Solutions, Inc.* | | | 12 | | | | 315 | |
Corsair Gaming, Inc.* | | | 22 | | | | 310 | |
Health Catalyst, Inc.* | | | 33 | | | | 306 | |
Digimarc Corp.* | | | 8 | | | | 289 | |
Definitive Healthcare Corp.* | | | 27 | | | | 268 | |
Thoughtworks Holding, Inc.* | | | 55 | | | | 265 | |
TTEC Holdings, Inc. | | | 12 | | | | 260 | |
SEMrush Holdings, Inc. — Class A* | | | 19 | | | | 260 | |
OneSpan, Inc.* | | | 24 | | | | 257 | |
8x8, Inc.* | | | 68 | | | | 257 | |
Cantaloupe, Inc.* | | | 34 | | | | 252 | |
Planet Labs PBC* | | | 100 | | | | 247 | |
Vishay Precision Group, Inc.* | | | 7 | | | | 238 | |
Weave Communications, Inc.* | | | 20 | | | | 229 | |
Unisys Corp.* | | | 40 | | | | 225 | |
American Software, Inc. — Class A | | | 19 | | | | 215 | |
Bandwidth, Inc. — Class A* | | | 14 | | | | 203 | |
Sharecare, Inc.* | | | 184 | | | | 199 | |
Cricut, Inc. — Class A | | | 29 | | | | 191 | |
PlayAGS, Inc.* | | | 22 | | | | 185 | |
Domo, Inc. — Class B* | | | 18 | | | | 185 | |
Cardlytics, Inc.* | | | 20 | | | | 184 | |
SoundHound AI, Inc. — Class A* | | | 82 | | | | 174 | |
ON24, Inc. | | | 20 | | | | 158 | |
Outset Medical, Inc.* | | | 29 | | | | 157 | |
EverCommerce, Inc.* | | | 14 | | | | 154 | |
Enfusion, Inc. — Class A* | | | 15 | | | | 145 | |
LivePerson, Inc.* | | | 38 | | | | 144 | |
NextNav, Inc.* | | | 32 | | | | 142 | |
Red Violet, Inc.* | | | 7 | | | | 140 | |
Playstudios, Inc.* | | | 51 | | | | 138 | |
Immersion Corp. | | | 19 | | | | 134 | |
IBEX Holdings Ltd.* | | | 7 | | | | 133 | |
Inspired Entertainment, Inc.* | | | 13 | | | | 128 | |
Desktop Metal, Inc. — Class A* | | | 167 | | | | 125 | |
Innodata, Inc.* | | | 15 | | | | 122 | |
HireRight Holdings Corp.* | | | 9 | | | | 121 | |
Climb Global Solutions, Inc. | | | 2 | | | | 110 | |
eGain Corp.* | | | 13 | | | | 108 | |
SkyWater Technology, Inc.* | | | 11 | | | | 106 | |
Outbrain, Inc.* | | | 24 | | | | 105 | |
Asure Software, Inc.* | | | 11 | | | | 105 | |
Computer Programs and Systems, Inc.* | | | 9 | | | | 101 | |
CS Disco, Inc.* | | | 13 | | | | 99 | |
Kaltura, Inc.* | | | 50 | | | | 98 | |
Rimini Street, Inc.* | | | 29 | | | | 95 | |
Richardson Electronics Ltd. | | | 7 | | | | 93 | |
Atomera, Inc.* | | | 13 | | | | 91 | |
inTEST Corp.* | | | 6 | | | | 82 | |
Expensify, Inc. — Class A* | | | 33 | | | | 82 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 105 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Rackspace Technology, Inc.* | | | 38 | | | $ | 76 | |
Vuzix Corp.* | | | 35 | | | | 73 | |
Brightcove, Inc.* | | | 26 | | | | 67 | |
Viant Technology, Inc. — Class A* | | | 9 | | | | 62 | |
CoreCard Corp.* | | | 4 | | | | 55 | |
Tingo Group, Inc.* | | | 73 | | | | 50 | |
Skillsoft Corp.* | | | 2 | | | | 35 | |
BigBear.ai Holdings, Inc.* | | | 16 | | | | 34 | |
System1, Inc.* | | | 15 | | | | 33 | |
Veritone, Inc.* | | | 16 | | | | 29 | |
Velo3D, Inc.* | | | 53 | | | | 21 | |
CXApp, Inc.* | | | 1 | | | | 1 | |
Presto Automation, Inc.* | | | 2 | | | | 1 | |
Total Technology | | | | | | | 171,185 | |
| | | | | | | | | |
Energy — 2.4% |
Weatherford International plc* | | | 43 | | | | 4,207 | |
Chord Energy Corp. | | | 25 | | | | 4,156 | |
Matador Resources Co. | | | 68 | | | | 3,867 | |
Murphy Oil Corp. | | | 89 | | | | 3,797 | |
ChampionX Corp. | | | 116 | | | | 3,388 | |
Civitas Resources, Inc. | | | 48 | | | | 3,282 | |
Noble Corporation plc | | | 66 | | | | 3,179 | |
Permian Resources Corp. | | | 232 | | | | 3,155 | |
PBF Energy, Inc. — Class A | | | 68 | | | | 2,989 | |
SM Energy Co. | | | 72 | | | | 2,788 | |
Equitrans Midstream Corp. | | | 259 | | | | 2,637 | |
Valaris Ltd.* | | | 37 | | | | 2,537 | |
Alpha Metallurgical Resources, Inc. | | | 7 | | | | 2,372 | |
Patterson-UTI Energy, Inc. | | | 211 | | | | 2,279 | |
Magnolia Oil & Gas Corp. — Class A | | | 106 | | | | 2,257 | |
California Resources Corp. | | | 41 | | | | 2,242 | |
Helmerich & Payne, Inc. | | | 58 | | | | 2,101 | |
Tidewater, Inc.* | | | 28 | | | | 2,019 | |
Northern Oil and Gas, Inc. | | | 52 | | | | 1,928 | |
CNX Resources Corp.* | | | 95 | | | | 1,900 | |
Warrior Met Coal, Inc. | | | 31 | | | | 1,890 | |
Arch Resources, Inc. | | | 11 | | | | 1,825 | |
Kosmos Energy Ltd.* | | | 271 | | | | 1,818 | |
CONSOL Energy, Inc. | | | 18 | | | | 1,810 | |
Liberty Energy, Inc. — Class A | | | 99 | | | | 1,796 | |
Peabody Energy Corp. | | | 68 | | | | 1,654 | |
Shoals Technologies Group, Inc. — Class A* | | | 102 | | | | 1,585 | |
Array Technologies, Inc.* | | | 90 | | | | 1,512 | |
Seadrill Ltd.* | | | 30 | | | | 1,418 | |
Archrock, Inc. | | | 83 | | | | 1,278 | |
Oceaneering International, Inc.* | | | 60 | | | | 1,277 | |
Par Pacific Holdings, Inc.* | | | 33 | | | | 1,200 | |
Callon Petroleum Co.* | | | 37 | | | | 1,199 | |
Sitio Royalties Corp. — Class A | | | 48 | | | | 1,129 | |
Delek US Holdings, Inc. | | | 40 | | | | 1,032 | |
Borr Drilling Ltd.* | | | 131 | | | | 964 | |
Talos Energy, Inc.* | | | 65 | | | | 925 | |
Sunnova Energy International, Inc.* | | | 60 | | | | 915 | |
Helix Energy Solutions Group, Inc.* | | | 86 | | | | 884 | |
Green Plains, Inc.* | | | 35 | | | | 883 | |
Expro Group Holdings N.V.* | | | 53 | | | | 844 | |
Fluence Energy, Inc.* | | | 34 | | | | 811 | |
Gulfport Energy Corp.* | | | 6 | | | | 799 | |
Diamond Offshore Drilling, Inc.* | | | 61 | | | | 793 | |
NOW, Inc.* | | | 63 | | | | 713 | |
Vital Energy, Inc.* | | | 14 | | | | 637 | |
Crescent Energy Co. — Class A | | | 46 | | | | 608 | |
CVR Energy, Inc. | | | 18 | | | | 545 | |
SunCoke Energy, Inc. | | | 50 | | | | 537 | |
US Silica Holdings, Inc.* | | | 45 | | | | 509 | |
Core Laboratories, Inc. | | | 28 | | | | 495 | |
ProPetro Holding Corp.* | | | 59 | | | | 494 | |
Comstock Resources, Inc. | | | 55 | | | | 487 | |
Dril-Quip, Inc.* | | | 20 | | | | 465 | |
REX American Resources Corp.* | | | 9 | | | | 426 | |
Nabors Industries Ltd.* | | | 5 | | | | 408 | |
Bristow Group, Inc.* | | | 14 | | | | 396 | |
FuelCell Energy, Inc.* | | | 244 | | | | 390 | |
RPC, Inc. | | | 51 | | | | 371 | |
Select Water Solutions, Inc. — Class A | | | 48 | | | | 364 | |
Montauk Renewables, Inc.* | | | 40 | | | | 356 | |
TETRA Technologies, Inc.* | | | 75 | | | | 339 | |
Kinetik Holdings, Inc. — Class A | | | 10 | | | | 334 | |
Stem, Inc.* | | | 85 | | | | 330 | |
Vitesse Energy, Inc. | | | 15 | | | | 328 | |
Berry Corp. | | | 46 | | | | 323 | |
SilverBow Resources, Inc.* | | | 11 | | | | 320 | |
Newpark Resources, Inc.* | | | 45 | | | | 299 | |
VAALCO Energy, Inc. | | | 64 | | | | 287 | |
SandRidge Energy, Inc. | | | 19 | | | | 260 | |
Oil States International, Inc.* | | | 38 | | | | 258 | |
SunPower Corp. — Class A* | | | 52 | | | | 251 | |
Tellurian, Inc.* | | | 318 | | | | 240 | |
DMC Global, Inc.* | | | 12 | | | | 226 | |
Ramaco Resources, Inc. — Class A | | | 13 | | | | 223 | |
NextDecade Corp.* | | | 46 | | | | 219 | |
W&T Offshore, Inc. | | | 59 | | | | 192 | |
Kodiak Gas Services, Inc. | | | 9 | | | | 181 | |
SEACOR Marine Holdings, Inc.* | | | 14 | | | | 176 | |
Atlas Energy Solutions, Inc. | | | 10 | | | | 172 | |
Excelerate Energy, Inc. — Class A | | | 11 | | | | 170 | |
Gevo, Inc.* | | | 140 | | | | 162 | |
Solaris Oilfield Infrastructure, Inc. — Class A | | | 19 | | | | 151 | |
Aris Water Solutions, Inc. — Class A | | | 18 | | | | 151 | |
Energy Vault Holdings, Inc.* | | | 59 | | | | 137 | |
Riley Exploration Permian, Inc. | | | 5 | | | | 136 | |
Vertex Energy, Inc.* | | | 40 | | | | 136 | |
Forum Energy Technologies, Inc.* | | | 6 | | | | 133 | |
Amplify Energy Corp.* | | | 22 | | | | 131 | |
Hallador Energy Co.* | | | 14 | | | | 124 | |
ProFrac Holding Corp. — Class A* | | | 14 | | | | 119 | |
Evolution Petroleum Corp. | | | 19 | | | | 110 | |
NACCO Industries, Inc. — Class A | | | 3 | | | | 110 | |
Maxeon Solar Technologies Ltd.* | | | 15 | | | | 108 | |
Ring Energy, Inc.* | | | 72 | | | | 105 | |
106 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
TPI Composites, Inc.* | | | 25 | | | $ | 104 | |
FutureFuel Corp. | | | 16 | | | | 97 | |
Granite Ridge Resources, Inc. | | | 16 | | | | 96 | |
Ranger Energy Services, Inc. | | | 9 | | | | 92 | |
KLX Energy Services Holdings, Inc.* | | | 8 | | | | 90 | |
HighPeak Energy, Inc. | | | 6 | | | | 85 | |
Eos Energy Enterprises, Inc.* | | | 64 | | | | 70 | |
Empire Petroleum Corp.* | | | 6 | | | | 66 | |
Mammoth Energy Services, Inc.* | | | 14 | | | | 63 | |
Ramaco Resources, Inc. — Class B | | | 3 | | | | 40 | |
Enviva, Inc. | | | 19 | | | | 19 | |
Total Energy | | | | | | | 103,285 | |
| | | | | | | | | |
Communications — 1.3% |
Cogent Communications Holdings, Inc. | | | 26 | | | | 1,978 | |
Yelp, Inc. — Class A* | | | 40 | | | | 1,894 | |
Ziff Davis, Inc.* | | | 28 | | | | 1,881 | |
TEGNA, Inc. | | | 120 | | | | 1,836 | |
InterDigital, Inc. | | | 16 | | | | 1,737 | |
DigitalBridge Group, Inc. | | | 97 | | | | 1,701 | |
Calix, Inc.* | | | 35 | | | | 1,529 | |
Q2 Holdings, Inc.* | | | 34 | | | | 1,476 | |
Opendoor Technologies, Inc.* | | | 324 | | | | 1,452 | |
Cargurus, Inc.* | | | 58 | | | | 1,401 | |
Credo Technology Group Holding Ltd.* | | | 68 | | | | 1,324 | |
Extreme Networks, Inc.* | | | 75 | | | | 1,323 | |
Viavi Solutions, Inc.* | | | 131 | | | | 1,319 | |
Perficient, Inc.* | | | 20 | | | | 1,316 | |
ePlus, Inc.* | | | 16 | | | | 1,278 | |
EchoStar Corp. — Class A* | | | 72 | | | | 1,193 | |
Upwork, Inc.* | | | 74 | | | | 1,100 | |
Lumen Technologies, Inc.* | | | 599 | | | | 1,096 | |
Telephone & Data Systems, Inc. | | | 59 | | | | 1,083 | |
Squarespace, Inc. — Class A* | | | 27 | | | | 891 | |
Bumble, Inc. — Class A* | | | 60 | | | | 884 | |
Harmonic, Inc.* | | | 66 | | | | 861 | |
Globalstar, Inc.* | | | 410 | | | | 795 | |
Cars.com, Inc.* | | | 40 | | | | 759 | |
Beyond, Inc.* | | | 27 | | | | 748 | |
Magnite, Inc.* | | | 80 | | | | 747 | |
Sprinklr, Inc. — Class A* | | | 61 | | | | 734 | |
Shutterstock, Inc. | | | 15 | | | | 724 | |
Hims & Hers Health, Inc.* | | | 73 | | | | 650 | |
Scholastic Corp. | | | 17 | | | | 641 | |
Shenandoah Telecommunications Co. | | | 29 | | | | 627 | |
Liberty Latin America Ltd. — Class C* | | | 82 | | | | 602 | |
Rover Group, Inc.* | | | 55 | | | | 598 | |
Infinera Corp.* | | | 119 | | | | 565 | |
TechTarget, Inc.* | | | 16 | | | | 558 | |
A10 Networks, Inc. | | | 42 | | | | 553 | |
Sphere Entertainment Co.* | | | 16 | | | | 543 | |
fuboTV, Inc.* | | | 168 | | | | 534 | |
Figs, Inc. — Class A* | | | 76 | | | | 528 | |
Open Lending Corp. — Class A* | | | 59 | | | | 502 | |
Couchbase, Inc.* | | | 20 | | | | 450 | |
Gray Television, Inc. | | | 49 | | | | 439 | |
HealthStream, Inc. | | | 15 | | | | 406 | |
Gogo, Inc.* | | | 40 | | | | 405 | |
Clear Channel Outdoor Holdings, Inc.* | | | 221 | | | | 402 | |
Revolve Group, Inc.* | | | 24 | | | | 398 | |
QuinStreet, Inc.* | | | 31 | | | | 397 | |
Thryv Holdings, Inc.* | | | 19 | | | | 387 | |
Eventbrite, Inc. — Class A* | | | 46 | | | | 385 | |
CommScope Holding Company, Inc.* | | | 124 | | | | 350 | |
ADTRAN Holdings, Inc. | | | 47 | | | | 345 | |
AMC Networks, Inc. — Class A* | | | 18 | | | | 338 | |
Stagwell, Inc.* | | | 47 | | | | 312 | |
IDT Corp. — Class B* | | | 9 | | | | 307 | |
EW Scripps Co. — Class A* | | | 36 | | | | 288 | |
Applied Digital Corp.* | | | 41 | | | | 276 | |
ATN International, Inc. | | | 7 | | | | 273 | |
Anterix, Inc.* | | | 8 | | | | 267 | |
NETGEAR, Inc.* | | | 17 | | | | 248 | |
Sinclair, Inc. | | | 19 | | | | 247 | |
Liquidity Services, Inc.* | | | 14 | | | | 241 | |
Clearfield, Inc.* | | | 8 | | | | 233 | |
Aviat Networks, Inc.* | | | 7 | | | | 229 | |
Boston Omaha Corp. — Class A* | | | 14 | | | | 220 | |
AST SpaceMobile, Inc.* | | | 36 | | | | 217 | |
Grindr, Inc.* | | | 24 | | | | 211 | |
Gannett Company, Inc.* | | | 86 | | | | 198 | |
Consolidated Communications Holdings, Inc.* | | | 44 | | | | 191 | |
Advantage Solutions, Inc.* | | | 52 | | | | 188 | |
Stitch Fix, Inc. — Class A* | | | 50 | | | | 179 | |
1-800-Flowers.com, Inc. — Class A* | | | 16 | | | | 173 | |
Spok Holdings, Inc. | | | 11 | | | | 170 | |
Nextdoor Holdings, Inc.* | | | 87 | | | | 164 | |
iHeartMedia, Inc. — Class A* | | | 61 | | | | 163 | |
Tucows, Inc. — Class A* | | | 6 | | | | 162 | |
Liberty Latin America Ltd. — Class A* | | | 22 | | | | 161 | |
EverQuote, Inc. — Class A* | | | 13 | | | | 159 | |
Ribbon Communications, Inc.* | | | 52 | | | | 151 | |
Ooma, Inc.* | | | 14 | | | | 150 | |
Entravision Communications Corp. — Class A | | | 36 | | | | 150 | |
MediaAlpha, Inc. — Class A* | | | 13 | | | | 145 | |
OptimizeRx Corp.* | | | 10 | | | | 143 | |
Preformed Line Products Co. | | | 1 | | | | 134 | |
Luna Innovations, Inc.* | | | 19 | | | | 126 | |
WideOpenWest, Inc.* | | | 31 | | | | 125 | |
Blade Air Mobility, Inc.* | | | 35 | | | | 124 | |
Nerdy, Inc.* | | | 35 | | | | 120 | |
CarParts.com, Inc.* | | | 32 | | | | 101 | |
BlackSky Technology, Inc.* | | | 71 | | | | 99 | |
Vivid Seats, Inc. — Class A* | | | 15 | | | | 95 | |
Lands’ End, Inc.* | | | 9 | | | | 86 | |
Solo Brands, Inc. — Class A* | | | 13 | | | | 80 | |
ContextLogic, Inc. — Class A* | | | 13 | | | | 77 | |
Mondee Holdings, Inc.* | | | 27 | | | | 75 | |
Townsquare Media, Inc. — Class A | | | 7 | | | | 74 | |
Allbirds, Inc. — Class A* | | | 57 | | | | 70 | |
DHI Group, Inc.* | | | 26 | | | | 67 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 107 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
Gambling.com Group Ltd.* | | | 6 | | | $ | 59 | |
Terran Orbital Corp.* | | | 51 | | | | 58 | |
KVH Industries, Inc.* | | | 11 | | | | 58 | |
BARK, Inc.* | | | 65 | | | | 52 | |
Value Line, Inc. | | | 1 | | | | 49 | |
Cambium Networks Corp.* | | | 7 | | | | 42 | |
DZS, Inc.* | | | 13 | | | | 26 | |
Urban One, Inc.* | | | 7 | | | | 25 | |
Urban One, Inc.* | | | 5 | | | | 20 | |
Total Communications | | | | | | | 54,721 | |
| | | | | | | | | |
Basic Materials — 1.2% |
Commercial Metals Co. | | | 70 | | | | 3,503 | |
ATI, Inc.* | | | 77 | | | | 3,501 | |
Balchem Corp. | | | 19 | | | | 2,826 | |
Cabot Corp. | | | 33 | | | | 2,755 | |
HB Fuller Co. | | | 32 | | | | 2,605 | |
Avient Corp. | | | 54 | | | | 2,245 | |
Carpenter Technology Corp. | | | 29 | | | | 2,053 | |
Livent Corp.* | | | 108 | | | | 1,942 | |
Innospec, Inc. | | | 15 | | | | 1,849 | |
Hecla Mining Co. | | | 359 | | | | 1,727 | |
Quaker Chemical Corp. | | | 8 | | | | 1,707 | |
Sensient Technologies Corp. | | | 25 | | | | 1,650 | |
Constellium SE* | | | 76 | | | | 1,517 | |
Uranium Energy Corp.* | | | 220 | | | | 1,408 | |
Minerals Technologies, Inc. | | | 19 | | | | 1,355 | |
Rogers Corp.* | | | 10 | | | | 1,321 | |
Stepan Co. | | | 13 | | | | 1,229 | |
Sylvamo Corp. | | | 22 | | | | 1,080 | |
Ingevity Corp.* | | | 22 | | | | 1,039 | |
Tronox Holdings plc — Class A | | | 70 | | | | 991 | |
Orion S.A. | | | 33 | | | | 915 | |
Hawkins, Inc. | | | 12 | | | | 845 | |
Kaiser Aluminum Corp. | | | 10 | | | | 712 | |
Energy Fuels, Inc.* | | | 94 | | | | 676 | |
Coeur Mining, Inc.* | | | 191 | | | | 623 | |
Koppers Holdings, Inc. | | | 12 | | | | 615 | |
Ecovyst, Inc.* | | | 57 | | | | 557 | |
Novagold Resources, Inc.* | | | 144 | | | | 539 | |
Compass Minerals International, Inc. | | | 20 | | | | 506 | |
Worthington Steel, Inc. | | | 18 | | | | 506 | |
Mativ Holdings, Inc. | | | 33 | | | | 505 | |
AdvanSix, Inc. | | | 16 | | | | 479 | |
Schnitzer Steel Industries, Inc. — Class A | | | 15 | | | | 453 | |
Perimeter Solutions S.A.* | | | 92 | | | | 423 | |
Haynes International, Inc. | | | 7 | | | | 399 | |
Centrus Energy Corp. — Class A* | | | 7 | | | | 381 | |
Century Aluminum Co.* | | | 31 | | | | 376 | |
Lightwave Logic, Inc.* | | | 68 | | | | 339 | |
Encore Energy Corp.* | | | 85 | | | | 334 | |
Ivanhoe Electric Incorporated / US* | | | 33 | | | | 333 | |
Piedmont Lithium, Inc.* | | | 11 | | | | 311 | |
United States Lime & Minerals, Inc. | | | 1 | | | | 230 | |
i-80 Gold Corp.* | | | 115 | | | | 202 | |
Oil-Dri Corporation of America | | | 3 | | | | 201 | |
Trinseo plc | | | 21 | | | | 176 | |
American Vanguard Corp. | | | 16 | | | | 176 | |
Rayonier Advanced Materials, Inc.* | | | 38 | | | | 154 | |
Intrepid Potash, Inc.* | | | 6 | | | | 143 | |
Kronos Worldwide, Inc. | | | 13 | | | | 129 | |
Codexis, Inc.* | | | 40 | | | | 122 | |
Caledonia Mining Corporation plc | | | 10 | | | | 122 | |
Dakota Gold Corp.* | | | 32 | | | | 84 | |
Perpetua Resources Corp.* | | | 23 | | | | 73 | |
Danimer Scientific, Inc.* | | | 52 | | | | 53 | |
Origin Materials, Inc.* | | | 63 | | | | 53 | |
Glatfelter Corp.* | | | 26 | | | | 51 | |
Contango ORE, Inc.* | | | 2 | | | | 36 | |
5E Advanced Materials, Inc.* | | | 23 | | | | 32 | |
Valhi, Inc. | | | 1 | | | | 15 | |
NioCorp Developments Ltd.* | | | 1 | | | | 3 | |
Total Basic Materials | | | | | | | 51,185 | |
| | | | | | | | | |
Utilities — 0.9% |
Portland General Electric Co. | | | 60 | | | | 2,600 | |
New Jersey Resources Corp. | | | 58 | | | | 2,585 | |
Brookfield Infrastructure Corp. — Class A | | | 71 | | | | 2,505 | |
Ormat Technologies, Inc. | | | 32 | | | | 2,425 | |
Southwest Gas Holdings, Inc. | | | 37 | | | | 2,344 | |
Black Hills Corp. | | | 40 | | | | 2,158 | |
ALLETE, Inc. | | | 35 | | | | 2,141 | |
Otter Tail Corp. | | | 25 | | | | 2,124 | |
PNM Resources, Inc. | | | 51 | | | | 2,122 | |
ONE Gas, Inc. | | | 33 | | | | 2,103 | |
Spire, Inc. | | | 31 | | | | 1,932 | |
Northwestern Energy Group, Inc. | | | 36 | | | | 1,832 | |
American States Water Co. | | | 22 | | | | 1,769 | |
California Water Service Group | | | 33 | | | | 1,712 | |
Avista Corp. | | | 45 | | | | 1,608 | |
MGE Energy, Inc. | | | 22 | | | | 1,591 | |
Chesapeake Utilities Corp. | | | 13 | | | | 1,373 | |
SJW Group | | | 19 | | | | 1,242 | |
Northwest Natural Holding Co. | | | 21 | | | | 818 | |
Middlesex Water Co. | | | 10 | | | | 656 | |
Ameresco, Inc. — Class A* | | | 19 | | | | 602 | |
Unitil Corp. | | | 10 | | | | 526 | |
York Water Co. | | | 9 | | | | 348 | |
Genie Energy Ltd. — Class B | | | 12 | | | | 338 | |
Consolidated Water Company Ltd. | | | 9 | | | | 320 | |
Altus Power, Inc.* | | | 38 | | | | 259 | |
Artesian Resources Corp. — Class A | | | 5 | | | | 207 | |
RGC Resources, Inc. | | | 5 | | | | 102 | |
Global Water Resources, Inc. | | | 7 | | | | 92 | |
FTC Solar, Inc.* | | | 38 | | | | 26 | |
Total Utilities | | | | | | | 40,460 | |
| | | | | | | | | |
Government — 0.0% |
Banco Latinoamericano de Comercio Exterior S.A. — Class E | | | 16 | | | | 396 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $1,478,632) | | | | | | | 1,505,584 | |
| | | | | | | | | |
108 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | Shares | | | Value | |
WARRANTS† - 0.0% |
Cassava Sciences Inc | | | | | | | | |
Expiring 11/15/24 | | | 10 | | | $ | — | |
Total Warrants | | | | |
(Cost $—) | | | | | | | — | |
| | | | | | | | | |
RIGHTS† - 0.0% |
Consumer, Non-cyclical — 0.0% |
Cartesian Therapeutics Inc. | | | | | | | | |
Expires 09/15/24 | | | 69 | | | | — | |
Tobira Therapeutics, Inc. | | | | | | | | |
Expires 12/31/28*,††† | | | 8 | | | | — | |
Novartis AG | | | | | | | | |
Expires 12/31/29††† | | | 35 | | | | — | |
Total Consumer, Non-cyclical | | | | | | | — | |
| | | | | | | | | |
Total Rights | | | | |
(Cost $14) | | | | | | | — | |
| | | | | | | | | |
EXCHANGE-TRADED FUNDS† - 17.7% |
Vanguard Russell 2000 ETF1 | | | 4,679 | | | | 379,467 | |
iShares Russell 2000 Index ETF | | | 1,889 | | | | 379,141 | |
Total Exchange-Traded Funds | | | | |
(Cost $827,474) | | | | | | | 758,608 | |
| | | | | | | | | |
MUTUAL FUNDS† - 14.3% |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 38,037 | | | | 374,667 | |
Guggenheim Strategy Fund II2 | | | 9,842 | | | | 241,140 | |
Total Mutual Funds | | | | | | | | |
(Cost $616,793) | | | | | | | 615,807 | |
| | Face
Amount | | | | |
U.S. TREASURY BILLS†† - 5.4% |
U.S. Treasury Bills |
5.27% due 02/22/243,4 | | $ | 100,000 | | | | 99,256 | |
5.25% due 02/22/243,4 | | | 100,000 | | | | 99,257 | |
5.17% due 01/09/244,5 | | | 31,000 | | | | 30,969 | |
Total U.S. Treasury Bills | | | | |
(Cost $229,444) | | | | | | | 229,482 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,6 - 35.2% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/243 | | | 837,723 | | | | 837,723 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/243 | | | 675,110 | | | | 675,110 | |
Total Repurchase Agreements | | | | |
(Cost $1,512,833) | | | | | | | 1,512,833 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,7 - 7.0% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund - Class X, 5.29%8 | | | 300,341 | | | | 300,341 | |
Total Securities Lending Collateral | | | | |
(Cost $300,341) | | | | | | | 300,341 | |
| | | | | | | | | |
Total Investments — 114.6% | | | | |
(Cost $4,965,531) | | $ | 4,922,655 | |
Other Assets & Liabilities, net - (14.6)% | | | (625,960 | ) |
Total Net Assets — 100.0% | | $ | 4,296,695 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
Russell 2000 Index Mini Futures Contracts | | | 5 | | | | Mar 2024 | | | $ | 511,750 | | | $ | 18,505 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Goldman Sachs International | Russell 2000 Index | Pay | 5.43% (Federal Funds Rate + 0.10%) | | | At Maturity | | | | 03/21/24 | | | | 952 | | | $ | 1,929,251 | | | $ | 40,743 | |
BNP Paribas | Russell 2000 Index | Pay | 5.53% (Federal Funds Rate + 0.20%) | | | At Maturity | | | | 03/21/24 | | | | 148 | | | | 301,010 | | | | 6,570 | |
Barclays Bank plc | Russell 2000 Index | Pay | 5.40% (SOFR) | | | At Maturity | | | | 03/20/24 | | | | 709 | | | | 1,437,422 | | | | 4,339 | |
| | | | | | | | | | | | | | | | | | $ | 3,667,683 | | | $ | 51,652 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 109 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
RUSSELL 2000® 1.5x 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, 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 on loan at December 31, 2023 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at December 31, 2023. |
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 December 31, 2023. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7-day yield as of December 31, 2023. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | SOFR — Secured Overnight Financing Rate |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 1,505,584 | | | $ | — | * | | $ | — | | | $ | 1,505,584 | |
Warrants | | | — | * | | | — | | | | — | | | | — | |
Rights | | | — | * | | | — | | | | — | * | | | — | |
Exchange-Traded Funds | | | 758,608 | | | | — | | | | — | | | | 758,608 | |
Mutual Funds | | | 615,807 | | | | — | | | | — | | | | 615,807 | |
U.S. Treasury Bills | | | — | | | | 229,482 | | | | — | | | | 229,482 | |
Repurchase Agreements | | | — | | | | 1,512,833 | | | | — | | | | 1,512,833 | |
Securities Lending Collateral | | | 300,341 | | | | — | | | | — | | | | 300,341 | |
Equity Futures Contracts** | | | 18,505 | | | | — | | | | — | | | | 18,505 | |
Equity Index Swap Agreements** | | | — | | | | 51,652 | | | | — | | | | 51,652 | |
Total Assets | | $ | 3,198,845 | | | $ | 1,793,967 | | | $ | — | | | $ | 4,992,812 | |
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
110 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/22 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
12/31/23 | | | Shares
12/31/23 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 236,612 | | | $ | — | | | $ | — | | | $ | — | | | $ | 4,528 | | | $ | 241,140 | | | | 9,842 | | | $ | 12,901 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 416,065 | | | | — | | | | (50,000 | ) | | | (752 | ) | | | 9,354 | | | | 374,667 | | | | 38,037 | | | | 22,054 | |
| | | $ | 652,677 | | | $ | — | | | $ | (50,000 | ) | | $ | (752 | ) | | $ | 13,882 | | | $ | 615,807 | | | | | | | $ | 34,955 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 111 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments in unaffiliated issuers, at value - including $286,719 of securities loaned (cost $2,835,905) | | $ | 2,794,015 | |
Investments in affiliated issuers, at value (cost $616,793) | | | 615,807 | |
Repurchase agreements, at value (cost $1,512,833) | | | 1,512,833 | |
Cash | | | 51 | |
Segregated cash with broker | | | 1,704 | |
Unrealized appreciation on OTC swap agreements | | | 51,652 | |
Receivables: |
Dividends | | | 5,976 | |
Interest | | | 673 | |
Securities sold | | | 654 | |
Securities lending income | | | 376 | |
Total assets | | | 4,983,741 | |
| | | | | |
Liabilities: |
Segregated cash due to broker | | | 120,000 | |
Payable for: |
Return of securities lending collateral | | | 300,341 | |
Fund shares redeemed | | | 233,854 | |
Swap settlement | | | 8,879 | |
Variation margin on futures contracts | | | 8,075 | |
Management fees | | | 2,830 | |
Transfer agent fees | | | 1,112 | |
Securities purchased | | | 862 | |
Investor service fees | | | 808 | |
Portfolio accounting and administration fees | | | 178 | |
Trustees’ fees | | | 44 | |
Miscellaneous | | | 10,063 | |
Total liabilities | | | 687,046 | |
Net assets | | $ | 4,296,695 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 5,441,986 | |
Total distributable earnings (loss) | | | (1,145,291 | ) |
Net assets | | $ | 4,296,695 | |
Capital shares outstanding | | | 61,589 | |
Net asset value per share | | $ | 69.76 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $29) | | $ | 31,390 | |
Dividends from securities of affiliated issuers | | | 34,955 | |
Interest | | | 34,443 | |
Income from securities lending, net | | | 3,211 | |
Total investment income | | | 103,999 | |
| | | | | |
Expenses: |
Management fees | | | 30,919 | |
Investor service fees | | | 8,589 | |
Transfer agent fees | | | 8,610 | |
Professional fees | | | 6,435 | |
Portfolio accounting and administration fees | | | 5,325 | |
Interest expense | | | 834 | |
Custodian fees | | | 676 | |
Trustees’ fees* | | | 611 | |
Miscellaneous | | | 3,632 | |
Total expenses | | | 65,631 | |
Less: |
Expenses reimbursed by Adviser | | | (2,441 | ) |
Expenses waived by Adviser | | | (1,032 | ) |
Total waived/reimbursed expenses | | | (3,473 | ) |
Net expenses | | | 62,158 | |
Net investment income | | | 41,841 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 11,281 | |
Investments in affiliated issuers | | | (752 | ) |
Swap agreements | | | 140,501 | |
Futures contracts | | | 84,347 | |
Net realized gain | | | 235,377 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 289,747 | |
Investments in affiliated issuers | | | 13,882 | |
Swap agreements | | | 179,123 | |
Futures contracts | | | 40,534 | |
Net change in unrealized appreciation (depreciation) | | | 523,286 | |
Net realized and unrealized gain | | | 758,663 | |
Net increase in net assets resulting from operations | | $ | 800,504 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
112 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 1.5x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | 41,841 | | | $ | (6,812 | ) |
Net realized gain (loss) on investments | | | 235,377 | | | | (1,448,194 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 523,286 | | | | (764,230 | ) |
Net increase (decrease) in net assets resulting from operations | | | 800,504 | | | | (2,219,236 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 6,886,877 | | | | 6,721,718 | |
Cost of shares redeemed | | | (6,755,167 | ) | | | (9,123,001 | ) |
Net increase (decrease) from capital share transactions | | | 131,710 | | | | (2,401,283 | ) |
Net increase (decrease) in net assets | | | 932,214 | | | | (4,620,519 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 3,364,481 | | | | 7,985,000 | |
End of year | | $ | 4,296,695 | | | $ | 3,364,481 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 116,338 | | | | 98,521 | |
Shares redeemed | | | (112,512 | ) | | | (131,987 | ) |
Net increase (decrease) in shares | | | 3,826 | | | | (33,466 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 113 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 58.25 | | | $ | 87.53 | | | $ | 89.86 | | | $ | 77.94 | | | $ | 57.58 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .75 | | | | (.11 | ) | | | (.96 | ) | | | (.67 | ) | | | .41 | |
Net gain (loss) on investments (realized and unrealized) | | | 10.76 | | | | (29.17 | ) | | | 18.02 | | | | 15.02 | | | | 19.95 | |
Total from investment operations | | | 11.51 | | | | (29.28 | ) | | | 17.06 | | | | 14.35 | | | | 20.36 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.07 | ) | | | — | | | | — | |
Net realized gains | | | — | | | | — | | | | (19.32 | ) | | | (2.43 | ) | | | — | |
Total distributions | | | — | | | | — | | | | (19.39 | ) | | | (2.43 | ) | | | — | |
Net asset value, end of period | | $ | 69.76 | | | $ | 58.25 | | | $ | 87.53 | | | $ | 89.86 | | | $ | 77.94 | |
|
Total Returnb | | | 19.76 | % | | | (33.45 | %) | | | 19.00 | % | | | 20.04 | % | | | 35.36 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,297 | | | $ | 3,364 | | | $ | 7,985 | | | $ | 11,284 | | | $ | 5,345 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.22 | % | | | (0.17 | %) | | | (0.96 | %) | | | (1.01 | %) | | | 0.58 | % |
Total expensesc | | | 1.91 | % | | | 1.87 | % | | | 1.79 | % | | | 1.92 | % | | | 1.92 | % |
Net expensesd | | | 1.81 | % | | | 1.79 | % | | | 1.71 | % | | | 1.85 | % | | | 1.85 | % |
Portfolio turnover rate | | | 5 | % | | | 88 | % | | | 99 | % | | | 148 | % | | | 127 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
114 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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.
For the Reporting Period, the Inverse Russell 2000 Strategy Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the Russell 2000 Index. The Fund returned -11.23%, while the Russell 2000 Index returned 16.93% over the same time period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Industrials, Information Technology, and Consumer Discretionary. The only sector detracting from the return of the underlying index was Utilities.
Super Micro Computer, Inc., ImmunoGen, Inc., and MicroStrategy, Inc. - Class A contributed the most to performance of the underlying index for 2023. Halozyme Therapeutics, Inc., Patterson-UTI Energy, Inc., and Chegg, Inc. detracted the most from performance of the underlying index.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, the Fund’s 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 Fund holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. A significant contributor to the discrepancy between the leveraged and unleveraged indices is the effect of compounding on the leveraged index, which is discussed under “A Brief Note on the Compounding of Returns.”
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. For the Reporting Period, investment in the Short Term Investment Vehicles contributed to Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
| | THE RYDEX FUNDS ANNUAL REPORT | 115 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
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.
Cumulative Fund Performance*,†
Inception Date: May 3, 2004 |
The Fund invests principally in derivative investments such as swap agreements.
Largest Holdings | % of Total Net Assets |
Guggenheim Ultra Short Duration Fund — Institutional Class | 10.4% |
Guggenheim Strategy Fund II | 9.8% |
Total | 20.2% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Inverse Russell 2000® Strategy Fund | (11.23%) | (14.14%) | (10.60%) |
Russell 2000 Index | 16.93% | 9.97% | 8.80% |
* | 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. |
116 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
INVERSE RUSSELL 2000® STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 20.2% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 6,762 | | | $ | 66,609 | |
Guggenheim Strategy Fund II1 | | | 2,575 | | | | 63,081 | |
Total Mutual Funds | | | | |
(Cost $128,417) | | | | | | | 129,690 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 23.4% |
Federal Home Loan Bank |
5.24% due 01/05/242 | | $ | 100,000 | | | | 99,942 | |
Farmer Mac |
4.59% due 01/05/242 | | | 50,000 | | | | 49,971 | |
Total Federal Agency Discount Notes | | | | |
(Cost $149,913) | | | | | | | 149,913 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 15.5% |
U.S. Treasury Bills |
5.21% due 01/04/242 | | | 100,000 | | | | 99,971 | |
Total U.S. Treasury Bills | | | | |
(Cost $99,956) | | | | | | | 99,971 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,3 - 38.6% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/244 | | | 137,046 | | | | 137,046 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/244 | | | 110,444 | | | | 110,444 | |
Total Repurchase Agreements | | | | |
(Cost $247,490) | | | | | | | 247,490 | |
| | | | | | | | | |
Total Investments — 97.7% | | | | |
(Cost $625,776) | | $ | 627,064 | |
Other Assets & Liabilities, net — 2.3% | | | 14,605 | |
Total Net Assets — 100.0% | | $ | 641,669 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Depreciation | |
OTC Equity Index Swap Agreements Sold Short†† |
Barclays Bank plc | Russell 2000 Index | Receive | 4.90% (SOFR — 0.50%) | | | At Maturity | | | | 03/20/24 | | | | 104 | | | $ | 209,909 | | | $ | (633 | ) |
Goldman Sachs International | Russell 2000 Index | Receive | 5.18% (Federal Funds Rate — 0.15%) | | | At Maturity | | | | 03/21/24 | | | | 107 | | | | 216,492 | | | | (1,360 | ) |
BNP Paribas | Russell 2000 Index | Receive | 5.13% (Federal Funds Rate — 0.20%) | | | At Maturity | | | | 03/21/24 | | | | 107 | | | | 216,162 | | | | (4,718 | ) |
| | | | | | | | | | | | | | | | | | $ | 642,563 | | | $ | (6,711 | ) |
† | 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 | Repurchase Agreements — See Note 6. |
4 | All or a portion of this security is pledged as equity index swap collateral at December 31, 2023. |
| | plc — Public Limited Company |
| | SOFR — Secured Overnight Financing Rate |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 117 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
INVERSE RUSSELL 2000® STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 129,690 | | | $ | — | | | $ | — | | | $ | 129,690 | |
Federal Agency Discount Notes | | | — | | | | 149,913 | | | | — | | | | 149,913 | |
U.S. Treasury Bills | | | — | | | | 99,971 | | | | — | | | | 99,971 | |
Repurchase Agreements | | | — | | | | 247,490 | | | | — | | | | 247,490 | |
Total Assets | | $ | 129,690 | | | $ | 497,374 | | | $ | — | | | $ | 627,064 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 6,711 | | | $ | — | | | $ | 6,711 | |
** | 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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/22 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
12/31/23 | | | Shares
12/31/23 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 61,898 | | | $ | 1 | | | $ | — | | | $ | — | | | $ | 1,182 | | | $ | 63,081 | | | | 2,575 | | | $ | 3,375 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 65,189 | | | | — | | | | — | | | | — | | | | 1,420 | | | | 66,609 | | | | 6,762 | | | | 3,527 | |
| | | $ | 127,087 | | | $ | 1 | | | $ | — | | | $ | — | | | $ | 2,602 | | | $ | 129,690 | | | | | | | $ | 6,902 | |
118 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE RUSSELL 2000® STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments in unaffiliated issuers, at value (cost $249,869) | | $ | 249,884 | |
Investments in affiliated issuers, at value (cost $128,417) | | | 129,690 | |
Repurchase agreements, at value (cost $247,490) | | | 247,490 | |
Segregated cash with broker | | | 30,000 | |
Receivables: |
Fund shares sold | | | 3,250 | |
Dividends | | | 624 | |
Interest | | | 111 | |
Total assets | | | 661,049 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 6,711 | |
Payable for: |
Swap settlement | | | 8,649 | |
Management fees | | | 620 | |
Transfer agent fees | | | 346 | |
Investor service fees | | | 176 | |
Fund shares redeemed | | | 93 | |
Portfolio accounting and administration fees | | | 39 | |
Trustees’ fees* | | | 11 | |
Miscellaneous | | | 2,735 | |
Total liabilities | | | 19,380 | |
Net assets | | $ | 641,669 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 8,975,453 | |
Total distributable earnings (loss) | | | (8,333,784 | ) |
Net assets | | $ | 641,669 | |
Capital shares outstanding | | | 20,452 | |
Net asset value per share | | $ | 31.37 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 6,902 | |
Interest | | | 52,173 | |
Total investment income | | | 59,075 | |
| | | | | |
Expenses: |
Management fees | | | 10,610 | |
Investor service fees | | | 2,947 | |
Transfer agent fees | | | 3,118 | |
Portfolio accounting and administration fees | | | 1,827 | |
Professional fees | | | 1,787 | |
Trustees’ fees* | | | 252 | |
Custodian fees | | | 173 | |
Miscellaneous | | | 1,356 | |
Total expenses | | | 22,070 | |
Less: |
Expenses reimbursed by Adviser | | | (813 | ) |
Expenses waived by Adviser | | | (164 | ) |
Total waived/reimbursed expenses | | | (977 | ) |
Net expenses | | | 21,093 | |
Net investment income | | | 37,982 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 40 | |
Swap agreements | | | (225,129 | ) |
Futures contracts | | | 1,084 | |
Net realized loss | | | (224,005 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 23 | |
Investments in affiliated issuers | | | 2,602 | |
Swap agreements | | | (85,324 | ) |
Net change in unrealized appreciation (depreciation) | | | (82,699 | ) |
Net realized and unrealized loss | | | (306,704 | ) |
Net decrease in net assets resulting from operations | | $ | (268,722 | ) |
* | 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 ANNUAL REPORT | 119 |
INVERSE RUSSELL 2000® STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | 37,982 | | | $ | (6,883 | ) |
Net realized loss on investments | | | (224,005 | ) | | | (330,721 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (82,699 | ) | | | 80,367 | |
Net decrease in net assets resulting from operations | | | (268,722 | ) | | | (257,237 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 12,519,304 | | | | 29,715,097 | |
Cost of shares redeemed | | | (13,691,212 | ) | | | (27,719,896 | ) |
Net increase (decrease) from capital share transactions | | | (1,171,908 | ) | | | 1,995,201 | |
Net increase (decrease) in net assets | | | (1,440,630 | ) | | | 1,737,964 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 2,082,299 | | | | 344,335 | |
End of year | | $ | 641,669 | | | $ | 2,082,299 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 359,183 | | | | 854,303 | |
Shares redeemed | | | (397,653 | ) | | | (806,814 | ) |
Net increase (decrease) in shares | | | (38,470 | ) | | | 47,489 | |
120 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 35.34 | | | $ | 30.12 | | | $ | 36.96 | | | $ | 53.82 | | | $ | 68.28 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 1.11 | | | | (.09 | ) | | | (.39 | ) | | | (.57 | ) | | | .46 | |
Net gain (loss) on investments (realized and unrealized) | | | (5.08 | ) | | | 5.31 | e | | | (6.45 | ) | | | (15.89 | ) | | | (14.50 | ) |
Total from investment operations | | | (3.97 | ) | | | 5.22 | | | | (6.84 | ) | | | (16.46 | ) | | | (14.04 | ) |
Less distributions from: |
Net investment income | | | — | | | | — | | | | — | | | | (.40 | ) | | | (.42 | ) |
Total distributions | | | — | | | | — | | | | — | | | | (.40 | ) | | | (.42 | ) |
Net asset value, end of period | | $ | 31.37 | | | $ | 35.34 | | | $ | 30.12 | | | $ | 36.96 | | | $ | 53.82 | |
|
Total Returnb | | | (11.23 | %) | | | 17.33 | % | | | (18.51 | %) | | | (30.81 | %) | | | (20.62 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 642 | | | $ | 2,082 | | | $ | 344 | | | $ | 374 | | | $ | 612 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.22 | % | | | (0.27 | %) | | | (1.25 | %) | | | (1.05 | %) | | | 0.76 | % |
Total expensesc | | | 1.87 | % | | | 1.88 | % | | | 1.79 | % | | | 1.93 | % | | | 1.93 | % |
Net expensesd | | | 1.79 | % | | | 1.82 | % | | | 1.71 | % | | | 1.87 | % | | | 1.85 | % |
Portfolio turnover rate | | | — | | | | — | | | | 250 | % | | | 275 | % | | | 164 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | 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 ANNUAL REPORT | 121 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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.
For the Reporting Period, the Dow 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the Dow Jones Industrial Average. The Fund returned 23.57% while the Dow Jones Industrial Average returned 16.18% over the same time period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Information Technology, Financials, and Industrials. The only sector detracting from the return of the underlying index was Energy.
Microsoft Corp., Salesforce, Inc., and Apple, Inc. contributed the most to performance of the underlying index for 2023. Chevron Corp., Johnson & Johnson, and Walgreens Boots Alliance, Inc. detracted the most from performance of the underlying index.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, the Fund’s 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 Fund holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. A significant contributor to the discrepancy between the leveraged and unleveraged indices is the effect of compounding on the leveraged index, which is discussed under “A Brief Note on the Compounding of Returns.”
Performance displayed represents past performance, which is no guarantee of future results.
122 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Cumulative Fund Performance*,†
Inception Date: May 3, 2004 |
Ten Largest Holdings | % of Total Net Assets |
UnitedHealth Group, Inc. | 7.9% |
Goldman Sachs Group, Inc. | 5.8% |
Microsoft Corp. | 5.6% |
Home Depot, Inc. | 5.2% |
McDonald’s Corp. | 4.4% |
Caterpillar, Inc. | 4.4% |
Amgen, Inc. | 4.3% |
Salesforce, Inc. | 3.9% |
Boeing Co. | 3.9% |
Visa, Inc. — Class A | 3.9% |
Top Ten Total | 49.3% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Dow 2x Strategy Fund | 23.57% | 15.69% | 15.21% |
Dow Jones Industrial Average | 16.18% | 12.47% | 11.08% |
* | 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 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 123 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
DOW 2x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 85.8% |
| | | | | | | | | |
Consumer, Non-cyclical — 19.3% |
UnitedHealth Group, Inc. | | | 2,696 | | | $ | 1,419,363 | |
Amgen, Inc. | | | 2,696 | | | | 776,502 | |
Johnson & Johnson | | | 2,696 | | | | 422,571 | |
Procter & Gamble Co. | | | 2,696 | | | | 395,072 | |
Merck & Company, Inc. | | | 2,696 | | | | 293,918 | |
Coca-Cola Co. | | | 2,696 | | | | 158,875 | |
Total Consumer, Non-cyclical | | | | | | | 3,466,301 | |
| | | | | | | | | |
Financial — 17.9% |
Goldman Sachs Group, Inc. | | | 2,696 | | | | 1,040,036 | |
Visa, Inc. — Class A | | | 2,696 | | | | 701,903 | |
Travelers Companies, Inc. | | | 2,696 | | | | 513,561 | |
American Express Co. | | | 2,696 | | | | 505,069 | |
JPMorgan Chase & Co. | | | 2,696 | | | | 458,590 | |
Total Financial | | | | | | | 3,219,159 | |
| | | | | | | | | |
Technology — 15.7% |
Microsoft Corp. | | | 2,696 | | | | 1,013,804 | |
Salesforce, Inc.* | | | 2,696 | | | | 709,425 | |
Apple, Inc. | | | 2,696 | | | | 519,061 | |
International Business Machines Corp. | | | 2,696 | | | | 440,931 | |
Intel Corp. | | | 2,696 | | | | 135,474 | |
Total Technology | | | | | | | 2,818,695 | |
| | | | | | | | | |
Consumer, Cyclical — 14.1% |
Home Depot, Inc. | | | 2,696 | | | | 934,299 | |
McDonald’s Corp. | | | 2,696 | | | | 799,391 | |
Walmart, Inc. | | | 2,696 | | | | 425,024 | |
NIKE, Inc. — Class B | | | 2,696 | | | | 292,705 | |
Walgreens Boots Alliance, Inc. | | | 2,696 | | | | 70,392 | |
Total Consumer, Cyclical | | | | | | | 2,521,811 | |
| | | | | | | | | |
Industrial — 13.1% |
Caterpillar, Inc. | | | 2,696 | | | | 797,126 | |
Boeing Co.* | | | 2,696 | | | | 702,740 | |
Honeywell International, Inc. | | | 2,696 | | | | 565,378 | |
3M Co. | | | 2,696 | | | | 294,727 | |
Total Industrial | | | | | | | 2,359,971 | |
| | | | | | | | | |
Communications — 2.7% |
Walt Disney Co. | | | 2,696 | | | | 243,422 | |
Cisco Systems, Inc. | | | 2,696 | | | | 136,202 | |
Verizon Communications, Inc. | | | 2,696 | | | | 101,639 | |
Total Communications | | | | | | | 481,263 | |
| | | | | | | | | |
Energy — 2.2% |
Chevron Corp. | | | 2,696 | | | | 402,135 | |
| | | | | | | | | |
Basic Materials — 0.8% |
Dow, Inc. | | | 2,696 | | | | 147,849 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $12,389,796) | | | | | | | 15,417,184 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 10.2% |
U.S. Treasury Bills |
5.27% due 02/22/241,2 | | $ | 1,300,000 | | | | 1,290,336 | |
5.23% due 02/22/241,2 | | | 500,000 | | | | 496,283 | |
5.17% due 01/09/242,3 | | | 40,000 | | | | 39,959 | |
Total U.S. Treasury Bills | | | | |
(Cost $1,826,283) | | | | | | | 1,826,578 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 4.5% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/241 | | | 446,227 | | | | 446,227 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/241 | | | 359,609 | | | | 359,609 | |
Total Repurchase Agreements | | | | |
(Cost $805,836) | | | | | | | 805,836 | |
| | | | | | | | | |
Total Investments — 100.5% | | | | |
(Cost $15,021,915) | | $ | 18,049,598 | |
Other Assets & Liabilities, net - (0.5)% | | | (93,994 | ) |
Total Net Assets — 100.0% | | $ | 17,955,604 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Equity Futures Contracts Purchased† |
Dow Jones Industrial Average Mini Futures Contracts | | | 6 | | | | Mar 2024 | | | $ | 1,140,090 | | | $ | 53 | |
124 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
DOW 2x STRATEGY FUND | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Equity Index Swap Agreements†† |
Barclays Bank plc | Dow Jones Industrial Average | Pay | 5.90% (SOFR + 0.50%) | | | At Maturity | | | | 03/20/24 | | | | 439 | | | $ | 16,535,705 | | | $ | 57,726 | |
BNP Paribas | Dow Jones Industrial Average | Pay | 5.88% (Federal Funds Rate + 0.55%) | | | At Maturity | | | | 03/21/24 | | | | 76 | | | | 2,869,380 | | | | 46,234 | |
| | | | | | | | | | | | | | | | | | $ | 19,405,085 | | | $ | 103,960 | |
* | 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 pledged as equity index swap collateral at December 31, 2023. |
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 December 31, 2023. |
4 | Repurchase Agreements — See Note 6. |
| | plc — Public Limited Company |
| | SOFR — Secured Overnight Financing Rate |
| | |
| | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 15,417,184 | | | $ | — | | | $ | — | | | $ | 15,417,184 | |
U.S. Treasury Bills | | | — | | | | 1,826,578 | | | | — | | | | 1,826,578 | |
Repurchase Agreements | | | — | | | | 805,836 | | | | — | | | | 805,836 | |
Equity Futures Contracts** | | | 53 | | | | — | | | | — | | | | 53 | |
Equity Index Swap Agreements** | | | — | | | | 103,960 | | | | — | | | | 103,960 | |
Total Assets | | $ | 15,417,237 | | | $ | 2,736,374 | | | $ | — | | | $ | 18,153,611 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 125 |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $14,216,079) | | $ | 17,243,762 | |
Repurchase agreements, at value (cost $805,836) | | | 805,836 | |
Unrealized appreciation on OTC swap agreements | | | 103,960 | |
Receivables: |
Fund shares sold | | | 1,927,153 | |
Dividends | | | 4,305 | |
Interest | | | 359 | |
Variation margin on futures contracts | | | 53 | |
Total assets | | | 20,085,428 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 2,002,207 | |
Swap settlement | | | 50,891 | |
Management fees | | | 12,973 | |
Transfer agent fees | | | 4,405 | |
Investor service fees | | | 3,604 | |
Portfolio accounting and administration fees | | | 793 | |
Fund shares redeemed | | | 297 | |
Trustees’ fees* | | | 225 | |
Miscellaneous | | | 54,429 | |
Total liabilities | | | 2,129,824 | |
Net assets | | $ | 17,955,604 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 17,096,721 | |
Total distributable earnings (loss) | | | 858,883 | |
Net assets | | $ | 17,955,604 | |
Capital shares outstanding | | | 93,292 | |
Net asset value per share | | $ | 192.47 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends | | $ | 219,041 | |
Interest | | | 120,743 | |
Total investment income | | | 339,784 | |
| | | | | |
Expenses: |
Management fees | | | 115,698 | |
Investor service fees | | | 32,138 | |
Transfer agent fees | | | 32,704 | |
Professional fees | | | 33,502 | |
Portfolio accounting and administration fees | | | 19,925 | |
Interest expense | | | 7,050 | |
Trustees’ fees* | | | 2,459 | |
Custodian fees | | | 2,038 | |
Line of credit fees | | | 92 | |
Miscellaneous | | | 7,154 | |
Total expenses | | | 252,760 | |
Less: |
Expenses reimbursed by Adviser | | | (9,095 | ) |
Net expenses | | | 243,665 | |
Net investment income | | | 96,119 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (170,047 | ) |
Swap agreements | | | 1,174,122 | |
Futures contracts | | | 738 | |
Net realized gain | | | 1,004,813 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 1,317,003 | |
Swap agreements | | | 281,578 | |
Futures contracts | | | 18,954 | |
Net change in unrealized appreciation (depreciation) | | | 1,617,535 | |
Net realized and unrealized gain | | | 2,622,348 | |
Net increase in net assets resulting from operations | | $ | 2,718,467 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
126 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 96,119 | | | $ | 34,622 | |
Net realized gain (loss) on investments | | | 1,004,813 | | | | (2,821,233 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 1,617,535 | | | | (717,525 | ) |
Net increase (decrease) in net assets resulting from operations | | | 2,718,467 | | | | (3,504,136 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (34,622 | ) | | | (577,032 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 69,198,670 | | | | 95,949,497 | |
Distributions reinvested | | | 34,622 | | | | 577,032 | |
Cost of shares redeemed | | | (68,333,948 | ) | | | (97,954,549 | ) |
Net increase (decrease) from capital share transactions | | | 899,344 | | | | (1,428,020 | ) |
Net increase (decrease) in net assets | | | 3,583,189 | | | | (5,509,188 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 14,372,415 | | | | 19,881,603 | |
End of year | | $ | 17,955,604 | | | $ | 14,372,415 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 421,616 | | | | 573,452 | |
Shares issued from reinvestment of distributions | | | 211 | | | | 3,905 | |
Shares redeemed | | | (420,513 | ) | | | (581,034 | ) |
Net increase (decrease) in shares | | | 1,314 | | | | (3,677 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 156.26 | | | $ | 207.85 | | | $ | 147.84 | | | $ | 163.38 | | | $ | 111.50 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 1.21 | | | | .42 | | | | (.68 | ) | | | (.53 | ) | | | .91 | |
Net gain (loss) on investments (realized and unrealized) | | | 35.49 | | | | (43.46 | ) | | | 60.69 | | | | (.73 | ) | | | 51.94 | |
Total from investment operations | | | 36.70 | | | | (43.04 | ) | | | 60.01 | | | | (1.26 | ) | | | 52.85 | |
Less distributions from: |
Net investment income | | | (.49 | ) | | | — | | | | — | | | | (.92 | ) | | | (.97 | ) |
Net realized gains | | | — | | | | (8.55 | ) | | | — | | | | (13.36 | ) | | | — | |
Total distributions | | | (.49 | ) | | | (8.55 | ) | | | — | | | | (14.28 | ) | | | (.97 | ) |
Net asset value, end of period | | $ | 192.47 | | | $ | 156.26 | | | $ | 207.85 | | | $ | 147.84 | | | $ | 163.38 | |
|
Total Returnb | | | 23.57 | % | | | (20.49 | %) | | | 40.59 | % | | | 1.73 | % | | | 47.47 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 17,956 | | | $ | 14,372 | | | $ | 19,882 | | | $ | 14,253 | | | $ | 15,519 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.75 | % | | | 0.25 | % | | | (0.37 | %) | | | (0.42 | %) | | | 0.65 | % |
Total expensesc | | | 1.97 | % | | | 1.88 | % | | | 1.78 | % | | | 1.91 | % | | | 1.91 | % |
Net expensesd | | | 1.90 | % | | | 1.81 | % | | | 1.72 | % | | | 1.85 | % | | | 1.84 | % |
Portfolio turnover rate | | | 316 | % | | | 458 | % | | | 489 | % | | | 607 | % | | | 256 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
128 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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.
For the Reporting Period, the Inverse Dow 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of -200% of the daily price movement of the Dow Jones Industrial Average. The Fund returned -18.26% while the Dow Jones Industrial Average returned 16.18% over the same time period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Information Technology, Financials, and Industrials. The only sector detracting from the return of the underlying index was Energy.
Microsoft Corp., Salesforce, Inc., and Apple, Inc. contributed the most to performance of the underlying index for 2023. Chevron Corp., Johnson & Johnson, and Walgreens Boots Alliance, Inc. detracted the most from performance of the underlying index.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, the Fund’s 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 Fund holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. A significant contributor to the discrepancy between the leveraged and unleveraged indices is the effect of compounding on the leveraged index, which is discussed under “A Brief Note on the Compounding of Returns.”
Performance displayed represents past performance, which is no guarantee of future results.
| | THE RYDEX FUNDS ANNUAL REPORT | 129 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Cumulative Fund Performance*,†
Inception Date: May 3, 2004 |
The Fund invests principally in derivative investments such as swap agreements.
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Inverse Dow 2x Strategy Fund | (18.26%) | (28.07%) | (24.48%) |
Dow Jones Industrial Average | 16.18% | 12.47% | 11.08% |
* | 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 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. |
130 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
INVERSE DOW 2x STRATEGY FUND | |
| | Face
Amount | | | Value | |
FEDERAL AGENCY DISCOUNT NOTES†† - 37.2% |
Federal Home Loan Bank |
5.26% due 01/10/241 | | $ | 200,000 | | | $ | 199,737 | |
Farmer Mac |
4.59% due 01/05/241 | | | 100,000 | | | | 99,942 | |
Federal Farm Credit Bank |
5.25% due 01/08/241 | | | 100,000 | | | | 99,898 | |
Total Federal Agency Discount Notes | | | | |
(Cost $399,577) | | | | | | | 399,577 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 18.5% |
U.S. Treasury Bills |
5.21% due 01/04/241 | | | 100,000 | | | | 99,971 | |
5.27% due 02/22/241,2 | | | 100,000 | | | | 99,256 | |
Total U.S. Treasury Bills | | | | |
(Cost $199,195) | | | | | | | 199,227 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,3 - 48.6% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/242 | | | 289,008 | | | | 289,008 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/242 | | | 232,908 | | | | 232,908 | |
Total Repurchase Agreements | | | | |
(Cost $521,916) | | | | | | | 521,916 | |
| | | | | | | | | |
Total Investments — 104.3% | | | | |
(Cost $1,120,688) | | $ | 1,120,720 | |
Other Assets & Liabilities, net - (4.3)% | | | (46,470 | ) |
Total Net Assets — 100.0% | | $ | 1,074,250 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Depreciation | |
OTC Equity Index Swap Agreements Sold Short†† |
Barclays Bank plc | Dow Jones Industrial Average | Receive | 5.65% (SOFR + 0.25%) | | | At Maturity | | | | 03/20/24 | | | | 32 | | | $ | 1,216,264 | | | $ | (2,754 | ) |
BNP Paribas | Dow Jones Industrial Average | Receive | 5.48% (Federal Funds Rate + 0.15%) | | | At Maturity | | | | 03/21/24 | | | | 25 | | | | 928,942 | | | | (14,990 | ) |
| | | | | | | | | | | | | | | | | | $ | 2,145,206 | | | $ | (17,744 | ) |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Rate indicated is the effective yield at the time of purchase. |
2 | All or a portion of this security is pledged as equity index swap collateral at December 31, 2023. |
3 | Repurchase Agreements — See Note 6. |
| | plc — Public Limited Company |
| | SOFR — Secured Overnight Financing Rate |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 131 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
INVERSE DOW 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 Discount Notes | | $ | — | | | $ | 399,577 | | | $ | — | | | $ | 399,577 | |
U.S. Treasury Bills | | | — | | | | 199,227 | | | | — | | | | 199,227 | |
Repurchase Agreements | | | — | | | | 521,916 | | | | — | | | | 521,916 | |
Total Assets | | $ | — | | | $ | 1,120,720 | | | $ | — | | | $ | 1,120,720 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Index Swap Agreements** | | $ | — | | | $ | 17,744 | | | $ | — | | | $ | 17,744 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
132 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE DOW 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $598,772) | | $ | 598,804 | |
Repurchase agreements, at value (cost $521,916) | | | 521,916 | |
Segregated cash with broker | | | 37,000 | |
Receivables: |
Swap settlement | | | 2,440 | |
Interest | | | 232 | |
Total assets | | | 1,160,392 | |
| | | | | |
Liabilities: |
Unrealized depreciation on OTC swap agreements | | | 17,744 | |
Payable for: |
Fund shares redeemed | | | 62,575 | |
Management fees | | | 889 | |
Transfer agent fees | | | 443 | |
Investor service fees | | | 247 | |
Portfolio accounting and administration fees | | | 54 | |
Trustees’ fees* | | | 16 | |
Miscellaneous | | | 4,174 | |
Total liabilities | | | 86,142 | |
Net assets | | $ | 1,074,250 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 24,992,391 | |
Total distributable earnings (loss) | | | (23,918,141 | ) |
Net assets | | $ | 1,074,250 | |
Capital shares outstanding | | | 27,489 | |
Net asset value per share | | $ | 39.08 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Interest | | $ | 93,208 | |
Total investment income | | | 93,208 | |
| | | | | |
Expenses: |
Management fees | | | 16,724 | |
Investor service fees | | | 4,646 | |
Transfer agent fees | | | 4,883 | |
Portfolio accounting and administration fees | | | 2,880 | |
Professional fees | | | 2,140 | |
Trustees’ fees* | | | 380 | |
Custodian fees | | | 271 | |
Miscellaneous | | | 3,588 | |
Total expenses | | | 35,512 | |
Less: |
Expenses reimbursed by Adviser | | | (1,244 | ) |
Net expenses | | | 34,268 | |
Net investment income | | | 58,940 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 187 | |
Swap agreements | | | (333,918 | ) |
Futures contracts | | | (11,596 | ) |
Net realized loss | | | (345,327 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (31 | ) |
Swap agreements | | | (87,974 | ) |
Net change in unrealized appreciation (depreciation) | | | (88,005 | ) |
Net realized and unrealized loss | | | (433,332 | ) |
Net decrease in net assets resulting from operations | | $ | (374,392 | ) |
* | 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 ANNUAL REPORT | 133 |
INVERSE DOW 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 58,940 | | | $ | 4,186 | |
Net realized loss on investments | | | (345,327 | ) | | | (774,369 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (88,005 | ) | | | 176,424 | |
Net decrease in net assets resulting from operations | | | (374,392 | ) | | | (593,759 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (4,186 | ) | | | — | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 9,838,956 | | | | 29,976,510 | |
Distributions reinvested | | | 4,186 | | | | — | |
Cost of shares redeemed | | | (10,610,087 | ) | | | (30,445,843 | ) |
Net decrease from capital share transactions | | | (766,945 | ) | | | (469,333 | ) |
Net decrease in net assets | | | (1,145,523 | ) | | | (1,063,092 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 2,219,773 | | | | 3,282,865 | |
End of year | | $ | 1,074,250 | | | $ | 2,219,773 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 210,538 | | | | 555,807 | |
Shares issued from reinvestment of distributions | | | 92 | | | | — | |
Shares redeemed | | | (229,479 | ) | | | (581,432 | ) |
Net decrease in shares | | | (18,849 | ) | | | (25,625 | ) |
134 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019e | |
Per Share Data |
Net asset value, beginning of period | | $ | 47.90 | | | $ | 45.62 | | | $ | 70.54 | | | $ | 131.01 | | | $ | 204.97 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 1.47 | | | | .08 | | | | (.63 | ) | | | (.34 | ) | | | .90 | |
Net gain (loss) on investments (realized and unrealized) | | | (10.20 | ) | | | 2.20 | f | | | (24.29 | ) | | | (59.99 | ) | | | (74.86 | ) |
Total from investment operations | | | (8.73 | ) | | | 2.28 | | | | (24.92 | ) | | | (60.33 | ) | | | (73.96 | ) |
Less distributions from: |
Net investment income | | | (.09 | ) | | | — | | | | — | | | | (.14 | ) | | | — | |
Total distributions | | | (.09 | ) | | | — | | | | — | | | | (.14 | ) | | | — | |
Net asset value, end of period | | $ | 39.08 | | | $ | 47.90 | | | $ | 45.62 | | | $ | 70.54 | | | $ | 131.01 | |
|
Total Returnb | | | (18.26 | %) | | | 5.00 | % | | | (35.33 | %) | | | (45.76 | %) | | | (36.08 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,074 | | | $ | 2,220 | | | $ | 3,283 | | | $ | 3,431 | | | $ | 3,275 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.17 | % | | | 0.16 | % | | | (1.15 | %) | | | (1.04 | %) | | | 0.56 | % |
Total expensesc | | | 1.91 | % | | | 1.90 | % | | | 1.79 | % | | | 1.92 | % | | | 1.92 | % |
Net expensesd | | | 1.84 | % | | | 1.83 | % | | | 1.70 | % | | | 1.86 | % | | | 1.86 | % |
Portfolio turnover rate | | | — | | | | — | | | | 116 | % | | | 616 | % | | | 427 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | 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. |
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 purchases of fund shares in relation to fluctuating market value of the investments in the Fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 135 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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 30 Year U.S. Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the Reporting Period, the Government Long Bond 1.2x Strategy Fund returned -1.03%. The Price Movement of Long Treasury Bond was 7.55% for the period. The return of a comparison index, the Bloomberg U.S. Long Treasury Index was 3.06%. The return of a comparison index, the Bloomberg U.S. Treasury Bellwethers 30 Yr. Index was 1.93%.
Prices of long-term Treasury bonds were volatile over the period, even as yields ended the year about flat from the prior year, 3.97% to 4.03%. Yields of on-the-run U.S. Treasury 30 year bonds reached their 2023 low in April at 3.54% and their 2023 peak in October at 5.11%--the first time the 30-year government yield had risen above 5% since before the Great Financial Crisis. This performance was partly due to the U.S. Federal Reserve’s aggressive pace of interest rate hikes to fight inflation—11 times since March 2022; its last rate hike was 25 basis points in July, keeping the Fed funds rate at 5.25-5.50% through the rest of the year.
The hikes kept investors watchful for signs of economic weakness or even recession all year, but few materialized as the Fed was resolute in its campaign to keep inflation near its target of 2%. Indeed, core PCE fell from a peak rate of 5.6% in February to 3.2% in November. And the economy grew at a strong 3.3% pace in Q4 to end the full year at 3.1%.
By November, investors seemed certain that the Fed was done hiking for this cycle, which spurred a market rally that carried into the rest of the year. Helping was Fed Chair Powell’s admission that the outlook for further rate increases was now equally balanced with the possibility for rate cuts. The market penciled in as many as six 25 bps rate cuts in 2024; but at year end, the median outlook of the Fed dot plots suggested three cuts were more likely.
Derivatives in the Fund are used to provide additional exposure to composition of the benchmark in the most efficient manner possible and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, the Fund’s returns over periods other than one day will likely differ in amounts and possibly direction from the benchmark return for the same period. Investors should monitor their Fund holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. A significant contributor to the discrepancy between the leveraged and unleveraged indices is the effect of compounding on the leveraged index, which is discussed under “A Brief Note on the Compounding of Returns.”
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. For the Reporting Period, investment in the Short Term Investment Vehicles contributed to Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
136 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
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.
Cumulative Fund Performance*,†
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 | 49.1% |
Guggenheim Strategy Fund II | 6.4% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 6.0% |
Total | 61.5% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Government Long Bond 1.2x Strategy Fund | (1.03%) | (5.06%) | 0.20% |
Price Movement of Long Treasury Bond** | 7.55% | (2.94%) | 0.05% |
Bloomberg U.S. Long Treasury Index | 3.06% | (1.24%) | 2.28% |
Bloomberg U.S. Treasury Bellwethers 30 Yr. Index*** | 1.93% | (2.16%) | 1.86% |
* | 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 U.S. Long Treasury Index, the Price Movement of Long Treasury Bond and the Bloomberg U.S. Treasury Bellwethers 30 Yr. Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Does not reflect any interest. |
*** | Effective August 1, 2022, the Fund changed its comparative benchmark to the Bloomberg U.S. Treasury Bellwethers 30 Yr. Index. |
† | 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 137 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 12.4% |
Guggenheim Strategy Fund II1 | | | 19,093 | | | $ | 467,967 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 44,947 | | | | 442,732 | |
Total Mutual Funds | | | | |
(Cost $902,681) | | | | | | | 910,699 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. GOVERNMENT SECURITIES†† - 49.1% |
U.S. Treasury Bonds |
4.75% due 11/15/53 | | $ | 3,200,000 | | | | 3,605,000 | |
Total U.S. Government Securities | | | | |
(Cost $3,264,875) | | | | | | | 3,605,000 | |
| | | | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 23.2% |
Farmer Mac |
4.59% due 01/05/242 | | | 1,000,000 | | | | 999,418 | |
Federal Home Loan Bank |
5.24% due 01/05/242 | | | 500,000 | | | | 499,709 | |
Federal Farm Credit Bank |
5.27% due 01/17/242 | | | 200,000 | | | | 199,531 | |
Total Federal Agency Discount Notes | | | | |
(Cost $1,698,658) | | | | | | | 1,698,658 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 2.3% |
U.S. Treasury Bills |
5.17% due 01/09/242,3 | | | 169,000 | | | | 168,828 | |
Total U.S. Treasury Bills | | | | |
(Cost $168,802) | | | | | | | 168,828 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 15.8% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | | 641,154 | | | | 641,154 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 516,697 | | | | 516,697 | |
Total Repurchase Agreements | | | | |
(Cost $1,157,851) | | | | | | | 1,157,851 | |
| | | | | | | | | |
Total Investments — 102.8% | | | | |
(Cost $7,192,867) | | $ | 7,541,036 | |
Other Assets & Liabilities, net - (2.8)% | | | (208,203 | ) |
Total Net Assets — 100.0% | | $ | 7,332,833 | |
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 | | | 39 | | | | Mar 2024 | | | $ | 5,207,719 | | | $ | 273,775 | |
** | 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 December 31, 2023. |
4 | Repurchase Agreements — See Note 6. |
| | |
| | See Sector Classification in Other Information section. |
138 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 910,699 | | | $ | — | | | $ | — | | | $ | 910,699 | |
U.S. Government Securities | | | — | | | | 3,605,000 | | | | — | | | | 3,605,000 | |
Federal Agency Discount Notes | | | — | | | | 1,698,658 | | | | — | | | | 1,698,658 | |
U.S. Treasury Bills | | | — | | | | 168,828 | | | | — | | | | 168,828 | |
Repurchase Agreements | | | — | | | | 1,157,851 | | | | — | | | | 1,157,851 | |
Interest Rate Futures Contracts** | | | 273,775 | | | | — | | | | — | | | | 273,775 | |
Total Assets | | $ | 1,184,474 | | | $ | 6,630,337 | | | $ | — | | | $ | 7,814,811 | |
** | 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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/22 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
12/31/23 | | | Shares
12/31/23 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 458,993 | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,974 | | | $ | 467,967 | | | | 19,093 | | | $ | 25,030 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 433,293 | | | | — | | | | — | | | | — | | | | 9,439 | | | | 442,732 | | | | 44,947 | | | | 23,418 | |
| | | $ | 892,286 | | | $ | — | | | $ | — | | | $ | — | | | $ | 18,413 | | | $ | 910,699 | | | | | | | $ | 48,448 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 139 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments in unaffiliated issuers, at value (cost $5,132,335) | | $ | 5,472,486 | |
Investments in affiliated issuers, at value (cost $902,681) | | | 910,699 | |
Repurchase agreements, at value (cost $1,157,851) | | | 1,157,851 | |
Cash | | | 3 | |
Segregated cash with broker | | | 95,500 | |
Receivables: |
Interest | | | 20,142 | |
Dividends | | | 4,349 | |
Total assets | | | 7,661,030 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 270,199 | |
Variation margin on futures contracts | | | 24,415 | |
Management fees | | | 3,661 | |
Transfer agent/maintenance fees | | | 2,551 | |
Investor service fees | | | 1,877 | |
Portfolio accounting/administration fees | | | 789 | |
Trustees’ fees* | | | 123 | |
Miscellaneous | | | 24,582 | |
Total liabilities | | | 328,197 | |
Net assets | | $ | 7,332,833 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 28,970,880 | |
Total distributable earnings (loss) | | | (21,638,047 | ) |
Net assets | | $ | 7,332,833 | |
Capital shares outstanding | | | 342,214 | |
Net asset value per share | | $ | 21.43 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 48,448 | |
Interest | | | 319,752 | |
Total investment income | | | 368,200 | |
| | | | | |
Expenses: |
Management fees | | | 42,597 | |
Investor service fees | | | 21,298 | |
Transfer agent fees | | | 21,564 | |
Professional fees | | | 14,401 | |
Portfolio accounting and administration fees | | | 13,205 | |
Trustees’ fees* | | | 1,509 | |
Custodian fees | | | 1,218 | |
Line of credit fees | | | 21 | |
Miscellaneous | | | 8,007 | |
Total expenses | | | 123,820 | |
Less: |
Expenses reimbursed by Adviser | | | (1,604 | ) |
Expenses waived by Adviser | | | (1,094 | ) |
Total waived/reimbursed expenses | | | (2,698 | ) |
Net expenses | | | 121,122 | |
Net investment income | | | 247,078 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (771,263 | ) |
Futures contracts | | | (738,058 | ) |
Net realized loss | | | (1,509,321 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 310,604 | |
Investments in affiliated issuers | | | 18,413 | |
Futures contracts | | | 508,306 | |
Net change in unrealized appreciation (depreciation) | | | 837,323 | |
Net realized and unrealized loss | | | (671,998 | ) |
Net decrease in net assets resulting from operations | | $ | (424,920 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
140 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 247,078 | | | $ | 137,581 | |
Net realized loss on investments | | | (1,509,321 | ) | | | (7,003,873 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 837,323 | | | | (468,344 | ) |
Net decrease in net assets resulting from operations | | | (424,920 | ) | | | (7,334,636 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (247,608 | ) | | | (153,140 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 54,719,566 | | | | 151,092,344 | |
Distributions reinvested | | | 247,608 | | | | 153,140 | |
Cost of shares redeemed | | | (54,918,737 | ) | | | (148,173,588 | ) |
Net increase from capital share transactions | | | 48,437 | | | | 3,071,896 | |
Net decrease in net assets | | | (624,091 | ) | | | (4,415,880 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 7,956,924 | | | | 12,372,804 | |
End of year | | $ | 7,332,833 | | | $ | 7,956,924 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 2,497,559 | | | | 5,177,215 | |
Shares issued from reinvestment of distributions | | | 11,558 | | | | 5,873 | |
Shares redeemed | | | (2,523,625 | ) | | | (5,149,199 | ) |
Net increase (decrease) in shares | | | (14,508 | ) | | | 33,889 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 141 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 22.31 | | | $ | 38.33 | | | $ | 41.59 | | | $ | 34.15 | | | $ | 29.60 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .63 | | | | .38 | | | | .17 | | | | .02 | | | | .39 | |
Net gain (loss) on investments (realized and unrealized) | | | (.88 | ) | | | (15.96 | ) | | | (3.29 | ) | | | 7.48 | e | | | 4.55 | |
Total from investment operations | | | (.25 | ) | | | (15.58 | ) | | | (3.12 | ) | | | 7.50 | | | | 4.94 | |
Less distributions from: |
Net investment income | | | (.63 | ) | | | (.44 | ) | | | (.14 | ) | | | (.03 | ) | | | (.39 | ) |
Return of capital | | | — | | | | — | | | | — | | | | (.03 | ) | | | — | |
Total distributions | | | (.63 | ) | | | (.44 | ) | | | (.14 | ) | | | (.06 | ) | | | (.39 | ) |
Net asset value, end of period | | $ | 21.43 | | | $ | 22.31 | | | $ | 38.33 | | | $ | 41.59 | | | $ | 34.15 | |
|
Total Returnb | | | (1.03 | %) | | | (40.83 | %) | | | (7.49 | %) | | | 21.96 | % | | | 16.78 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,333 | | | $ | 7,957 | | | $ | 12,373 | | | $ | 15,472 | | | $ | 10,353 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.90 | % | | | 1.33 | % | | | 0.47 | % | | | 0.06 | % | | | 1.19 | % |
Total expensesc | | | 1.45 | % | | | 1.39 | % | | | 1.30 | % | | | 1.43 | % | | | 1.41 | % |
Net expensesd | | | 1.42 | % | | | 1.37 | % | | | 1.28 | % | | | 1.40 | % | | | 1.38 | % |
Portfolio turnover rate | | | 1,170 | % | | | 1,890 | % | | | 1,382 | % | | | 1,887 | % | | | 2,060 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | 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 sales and purchases for fund shares in relation to fluctuating market value of the investments of the Fund. |
142 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
OBJECTIVE: Seeks to provide total returns that inversely correlate, before fees and expenses, to the price movement of a benchmark for U.S. Treasury debt instruments or futures contract 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. U.S. Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued 30 Year U.S. Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the Reporting Period, the Inverse Government Long Bond Strategy Fund returned 4.22%. The Price Movement of Long Treasury Bond was 7.55% for the period. The return of a comparison index, the Bloomberg U.S. Long Treasury Index was 3.06%. The return of a comparison index, the Bloomberg U.S. Treasury Bellwethers 30 Yr. Index was 1.93%.
Prices of long-term Treasury bonds were volatile over the period, even as yields ended the year about flat from the prior year, 3.97% to 4.03%. Yields of on-the-run U.S. Treasury 30 year bonds reached their 2023 low in April at 3.54% and their 2023 peak in October at 5.11%--the first time the 30-year government yield had risen above 5% since before the Great Financial Crisis. This performance was partly due to the U.S. Federal Reserve’s aggressive pace of interest rate hikes to fight inflation—11 times since March 2022; its last rate hike was 25 basis points in July, keeping the Fed funds rate at 5.25-5.50% through the rest of the year.
The hikes kept investors watchful for signs of economic weakness or even recession all year, but few materialized as the Fed was resolute in its campaign to keep inflation near its target of 2%. Indeed, core PCE fell from a peak rate of 5.6% in February to 3.2% in November. And the economy grew at a strong 3.3% pace in Q4 to end the full year at 3.1%.
By November, investors seemed certain that the Fed was done hiking for this cycle, which spurred a market rally that carried into the rest of the year. Helping was Fed Chair Powell’s admission that the outlook for further rate increases was now equally balanced with the possibility for rate cuts. The market penciled in as many as six 25 bps rate cuts in 2024; but at year end, the median outlook of the Fed dot plots suggested three cuts were more likely.
Derivatives in the Fund are used to provide additional exposure to composition of the benchmark in the most efficient manner possible and to provide leverage and not for hedging purposes. Derivatives performed as expected.
Due to the compounding of daily returns, the Fund’s returns over periods other than one day will likely differ in amounts and possibly direction from the benchmark return for the same period. Investors should monitor their Fund holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. A significant contributor to the discrepancy between the leveraged and unleveraged indices is the effect of compounding on the leveraged index, which is discussed under “A Brief Note on the Compounding of Returns.”
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. For the Reporting Period, investment in the Short Term Investment Vehicles contributed to Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
| | THE RYDEX FUNDS ANNUAL REPORT | 143 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
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.
Cumulative Fund Performance*,†
Inception Date: May 1, 2003 |
The Fund invests principally in short sales and derivative investments such as futures contracts. |
Largest Holdings | % of Total Net Assets |
Guggenheim Strategy Fund II | 23.2% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 20.8% |
Total | 44.0% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Inverse Government Long Bond Strategy Fund | 4.22% | 1.03% | (3.28%) |
Price Movement of Long Treasury Bond** | 7.55% | (2.94%) | 0.05% |
Bloomberg U.S. Long Treasury Index | 3.06% | (1.24%) | 2.28% |
Bloomberg U.S. Treasury Bellwethers 30 Yr. Index*** | 1.93% | (2.16%) | 1.86% |
* | 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 U.S. Long Treasury Index, the Price Movement of Long Treasury Bond and the Bloomberg U.S. Treasury Bellwethers 30 Yr. Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Does not reflect any interest. |
*** | Effective August 1, 2022, the Fund changed its comparative benchmark to the Bloomberg U.S. Treasury Bellwethers 30 Yr. Index. |
† | 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. |
144 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
| | Shares | | | Value | |
MUTUAL FUNDS† - 44.0% |
Guggenheim Strategy Fund II1 | | | 20,730 | | | $ | 508,089 | |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 46,499 | | | | 458,015 | |
Total Mutual Funds | | | | |
(Cost $971,295) | | | | | | | 966,104 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 23.2% |
Federal Farm Credit Bank |
5.27% due 01/17/242 | | $ | 211,000 | | | | 210,506 | |
5.25% due 01/08/242 | | | 100,000 | | | | 99,898 | |
Federal Home Loan Bank |
5.26% due 01/10/242 | | | 200,000 | | | | 199,737 | |
Total Federal Agency Discount Notes | | | | |
(Cost $510,141) | | | | | | | 510,141 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 1.9% |
U.S. Treasury Bills |
5.17% due 01/09/242,3 | | | 42,000 | | | | 41,957 | |
Total U.S. Treasury Bills | | | | |
(Cost $41,951) | | | | | | | 41,957 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS†† - 83.1% |
Individual Repurchase Agreements4 |
Barclays Capital, Inc.
issued 12/29/23 at 5.00%
due 01/02/24(secured by a U.S. Treasury Bond, at a rate of 4.75% and maturing 11/15/53 as collateral, with a value of $796,293) to be repurchased at $780,825 | | | 780,500 | | | | 780,500 | |
Mizuho Securities USA LLC
issued 12/29/23 at 5.25%
due 01/02/24(secured by a U.S. Treasury Bond, at a rate of 3.625% and maturing 5/15/2053 as collateral, with a value of $682,914) to be repurchased at $669,663 | | | 669,370 | | | | 669,370 | |
Joint Repurchase Agreements5 J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | | 209,525 | | | | 209,525 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 168,853 | | | | 168,853 | |
Total Repurchase Agreements | | | | |
(Cost $1,828,248) | | | | | | | 1,828,248 | |
| | | | | | | | | |
Total Investments - 152.2% | | | | |
(Cost $3,351,635) | | | 3,346,450 | |
| | | | | | | | | |
U.S. Government Securities Sold Short†† - (61.5)% |
U.S. Treasury Bonds |
4.75% due 11/15/53†† | | | 1,200,000 | | | | (1,351,875 | ) |
Total U.S. Government Securities Sold Short | | | | |
(Proceeds $1,250,334) | | $ | (1,351,875 | ) |
Other Assets & Liabilities, net - 9.3% | | | 204,277 | |
Total Net Assets — 100.0% | | $ | 2,198,852 | |
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 | | | 6 | | | | Mar 2024 | | | $ | 801,188 | | | $ | (27,329 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 145 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
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 December 31, 2023. |
4 | All or a portion of this security is pledged as short security collateral at December 31, 2023. |
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 December 31, 2023 (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 | | $ | 966,104 | | | $ | — | | | $ | — | | | $ | 966,104 | |
Federal Agency Discount Notes | | | — | | | | 510,141 | | | | — | | | | 510,141 | |
U.S. Treasury Bills | | | — | | | | 41,957 | | | | — | | | | 41,957 | |
Repurchase Agreements | | | — | | | | 1,828,248 | | | | — | | | | 1,828,248 | |
Total Assets | | $ | 966,104 | | | $ | 2,380,346 | | | $ | — | | | $ | 3,346,450 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
U.S. Government Securities Sold Short | | $ | — | | | $ | 1,351,875 | | | $ | — | | | $ | 1,351,875 | |
Interest Rate Futures Contracts** | | | 27,329 | | | | — | | | | — | | | | 27,329 | |
Total Liabilities | | $ | 27,329 | | | $ | 1,351,875 | | | $ | — | | | $ | 1,379,204 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
146 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/22 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
12/31/23 | | | Shares
12/31/23 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 596,469 | | | $ | — | | | $ | (100,000 | ) | | $ | (205 | ) | | $ | 11,825 | | | $ | 508,089 | | | | 20,730 | | | $ | 32,452 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 497,184 | | | | — | | | | (50,000 | ) | | | (558 | ) | | | 11,389 | | | | 458,015 | | | | 46,499 | | | | 26,840 | |
| | | $ | 1,093,653 | | | $ | — | | | $ | (150,000 | ) | | $ | (763 | ) | | $ | 23,214 | | | $ | 966,104 | | | | | | | $ | 59,292 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 147 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments in unaffiliated issuers, at value (cost $552,092) | | $ | 552,098 | |
Investments in affiliated issuers, at value (cost $971,295) | | | 966,104 | |
Repurchase agreements, at value (cost $1,828,248) | | | 1,828,248 | |
Receivables: |
Fund shares sold | | | 326,789 | |
Dividends | | | 5,217 | |
Variation margin on futures contracts | | | 1,674 | |
Interest | | | 1,417 | |
Total assets | | | 3,681,547 | |
| | | | | |
Liabilities: |
Securities sold short, at value (proceeds $1,250,334) | | | 1,351,875 | |
Payable for: |
Securities purchased | | | 112,656 | |
Management fees | | | 1,603 | |
Transfer agent fees | | | 959 | |
Investor service fees | | | 475 | |
Portfolio accounting and administration fees | | | 105 | |
Fund shares redeemed | | | 17 | |
Trustees’ fees* | | | 31 | |
Miscellaneous | | | 14,974 | |
Total liabilities | | | 1,482,695 | |
Net assets | | $ | 2,198,852 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 8,324,714 | |
Total distributable earnings (loss) | | | (6,125,862 | ) |
Net assets | | $ | 2,198,852 | |
Capital shares outstanding | | | 21,310 | |
Net asset value per share | | $ | 103.18 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends from securities of affiliated issuers | | $ | 59,292 | |
Interest | | | 266,977 | |
Total investment income | | | 326,269 | |
| | | | | |
Expenses: |
Management fees | | | 32,676 | |
Investor service fees | | | 9,076 | |
Transfer agent fees | | | 9,301 | |
Interest expense | | | 118,832 | |
Professional fees | | | 7,207 | |
Portfolio accounting and administration fees | | | 5,628 | |
Trustees’ fees* | | | 667 | |
Custodian fees | | | 522 | |
Miscellaneous | | | 2,257 | |
Total expenses | | | 186,166 | |
Less: |
Expenses reimbursed by Adviser | | | (2,533 | ) |
Expenses waived by Adviser | | | (1,254 | ) |
Total waived/reimbursed expenses | | | (3,787 | ) |
Net expenses | | | 182,379 | |
Net investment income | | | 143,890 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | 99 | |
Investments in affiliated issuers | | | (763 | ) |
Investments in unaffiliated issuers sold short | | | 115,557 | |
Futures contracts | | | 4,080 | |
Net realized gain | | | 118,973 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | (19 | ) |
Investments in affiliated issuers | | | 23,214 | |
Investments unaffiliated issuers sold short | | | (164,767 | ) |
Futures contracts | | | (50,825 | ) |
Net change in unrealized appreciation (depreciation) | | | (192,397 | ) |
Net realized and unrealized loss | | | (73,424 | ) |
Net increase in net assets resulting from operations | | $ | 70,466 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
148 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | 143,890 | | | $ | (102,714 | ) |
Net realized gain on investments | | | 118,973 | | | | 1,186,474 | |
Net change in unrealized appreciation (depreciation) on investments | | | (192,397 | ) | | | 105,019 | |
Net increase in net assets resulting from operations | | | 70,466 | | | | 1,188,779 | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 27,584,996 | | | | 156,688,377 | |
Cost of shares redeemed | | | (29,380,362 | ) | | | (157,301,837 | ) |
Net decrease from capital share transactions | | | (1,795,366 | ) | | | (613,460 | ) |
Net increase (decrease) in net assets | | | (1,724,900 | ) | | | 575,319 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 3,923,752 | | | | 3,348,433 | |
End of year | | $ | 2,198,852 | | | $ | 3,923,752 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 272,149 | | | | 1,895,649 | |
Shares redeemed | | | (290,472 | ) | | | (1,905,451 | ) |
Net decrease in shares | | | (18,323 | ) | | | (9,802 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 149 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 99.00 | | | $ | 67.73 | | | $ | 67.08 | | | $ | 85.27 | | | $ | 98.33 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 4.04 | | | | (1.24 | ) | | | (2.10 | ) | | | (1.48 | ) | | | .26 | |
Net gain (loss) on investments (realized and unrealized) | | | .14 | | | | 32.51 | | | | 2.75 | | | | (16.51 | ) | | | (13.32 | ) |
Total from investment operations | | | 4.18 | | | | 31.27 | | | | .65 | | | | (17.99 | ) | | | (13.06 | ) |
Less distributions from: |
Net investment income | | | — | | | | — | | | | — | | | | (.20 | ) | | | — | |
Total distributions | | | — | | | | — | | | | — | | | | (.20 | ) | | | — | |
Net asset value, end of period | | $ | 103.18 | | | $ | 99.00 | | | $ | 67.73 | | | $ | 67.08 | | | $ | 85.27 | |
|
Total Returnb | | | 4.22 | % | | | 46.17 | % | | | 0.97 | % | | | (21.09 | %) | | | (13.28 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,199 | | | $ | 3,924 | | | $ | 3,348 | | | $ | 2,648 | | | $ | 2,382 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.96 | % | | | (1.46 | %) | | | (2.89 | %) | | | (2.23 | %) | | | 0.29 | % |
Total expensesc | | | 5.13 | % | | | 4.47 | % | | | 3.46 | % | | | 3.01 | % | | | 3.58 | % |
Net expensesd,e | | | 5.02 | % | | | 4.38 | % | | | 3.38 | % | | | 2.97 | % | | | 3.49 | % |
Portfolio turnover rate | | | 861 | % | | | 1,849 | % | | | 1,451 | % | | | 2,529 | % | | | 966 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Net expense may include expenses related to short sales. Excluding these expenses, the net expense ratios for the years presented would be: |
| | 12/31/23 | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 |
| | 1.75% | 1.73% | 1.65% | 1.83% | 1.79% |
150 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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.
For the Reporting Period, the High Yield Strategy Fund returned 12.69%. For comparison, the Bloomberg U.S. Corporate High Yield Index returned 13.45% for the same period.
The Fund primarily invests in credit default swaps, swaps on ETFs, and bond futures to gain exposure similar to the high yield bond market. 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. The Fund will normally be a seller of credit protection (assuming credit risk) as it seeks to gain exposure to the high yield bond market, but also may buy credit protection from time to time in order to maintain the appropriate level of exposure to the high yield bond market, such as during times of heavy redemption activity. The Fund’s investments in bond futures are expected to provide exposure to interest rate risk comparable to that experienced in the high yield bond market, and will complement the Fund’s swaps investments exposure to produce investment exposure that in the aggregate is similar to that of the high yield bond market.
The high yield sector rallied in 2023. Spreads tightened in response to better inflation reports, continued strong corporate earnings, and expectations of rate cuts in 2024. The spread of high yield over Treasurys fell 469 basis points over 2023, from 792 to 323. The average yield of the index at the end of the Reporting Period was 7.59%.
Issuance was $176 billion in 2023, compared with just $107 billion the prior year. Low new issuance has helped support the technical backdrop for high yield, in addition to an increase in the number of rising stars and a growing number of issuers using the private credit markets. The sector also had $7.9 billion in outflows, after strong inflows in the fourth quarter of 2023, considerably less that the $33 billion in outflows during 2022.
For 2023, lower-rated credit outperformed. Issues in housing, automotive, gaming/lodging, and diversified media had the strongest returns, while those in broadcasting, metals/mining and telecom were lower. High yield fundamentals remain on solid footing with corporate earnings and liquidity measures strong and leverage below the long-term average. However, in the third quarter, company revenues declined year over year for the second straight quarter and EBITDA margins were at a six-quarter low. However, the high yield default rate at 2.8%, while up from the prior year, remains below its long-term average of 4 percent.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the most efficient manner possible and not for hedging purposes. Derivatives performed as expected.
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. For the Reporting Period, investment in the Short Term Investment Vehicles contributed to Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
| | THE RYDEX FUNDS ANNUAL REPORT | 151 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
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 | 6.0% |
Guggenheim Strategy Fund II | 6.0% |
iShares iBoxx High Yield Corporate Bond ETF | 1.3% |
SPDR Bloomberg High Yield Bond ETF | 1.3% |
Total | 14.6% |
| | |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | Since
Inception
(10/15/14) |
High Yield Strategy Fund | 12.69% | 2.82% | 3.47% |
Bloomberg U.S. Corporate High Yield Index | 13.45% | 5.37% | 4.73% |
* | 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 Bloomberg 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. |
152 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
HIGH YIELD STRATEGY FUND | |
| | Shares | | | Value | |
EXCHANGE-TRADED FUNDS† - 2.6% |
iShares iBoxx High Yield Corporate Bond ETF | | | 1,556 | | | $ | 120,746 | |
SPDR Bloomberg High Yield Bond ETF | | | 1,245 | | | | 118,262 | |
Total Exchange-Traded Funds | | | | |
(Cost $263,173) | | | | | | | 239,008 | |
| | | | | | | | | |
MUTUAL FUNDS† - 12.0% |
Guggenheim Ultra Short Duration Fund — Institutional Class1 | | | 57,301 | | | | 564,412 | |
Guggenheim Strategy Fund II1 | | | 23,000 | | | | 563,721 | |
Total Mutual Funds | | | | |
(Cost $1,124,043) | | | | | | | 1,128,133 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 26.6% |
Farmer Mac |
4.59% due 01/05/242 | | $ | 1,000,000 | | | | 999,418 | |
Federal Farm Credit Bank |
5.25% due 01/08/242 | | | 1,000,000 | | | | 998,979 | |
Federal Home Loan Bank |
5.26% due 01/10/242 | | | 500,000 | | | | 499,342 | |
Total Federal Agency Discount Notes | | | | |
(Cost $2,497,739) | | | | | | | 2,497,739 | |
U.S. TREASURY BILLS†† - 11.7% |
U.S. Treasury Bills |
5.21% due 01/04/242 | | | 1,000,000 | | | | 999,709 | |
5.17% due 01/09/242,3 | | | 102,000 | | | | 101,896 | |
Total U.S. Treasury Bills | | | | |
(Cost $1,101,447) | | | | | | | 1,101,605 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,4 - 33.1% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | | 1,720,118 | | | | 1,720,118 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 1,386,220 | | | | 1,386,220 | |
Total Repurchase Agreements | | | | |
(Cost $3,106,338) | | | | | | | 3,106,338 | |
| | | | | | | | | |
Total Investments — 86.0% | | | | |
(Cost $8,092,740) | | $ | 8,072,823 | |
Other Assets & Liabilities, net — 14.0% | | | 1,316,294 | |
Total Net Assets — 100.0% | | $ | 9,389,117 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Interest Rate Futures Contracts Purchased† |
U.S. Treasury 5 Year Note Futures Contracts | | | 81 | | | | Mar 2024 | | | $ | 8,810,648 | | | $ | 160,861 | |
Centrally Cleared Credit Default Swap Agreements Protection Sold†† |
Counterparty | Exchange | Index | Protection
Premium Rate | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid | | | Value and
Unrealized
Appreciation** | |
Barclays Bank plc | ICE | CDX.NA.HY.41.V2 | 5.00% | | | Quarterly | | | | 12/20/28 | | | $ | 8,613,000 | | | $ | 508,167 | | | $ | 211,921 | | | $ | 296,246 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 153 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
HIGH YIELD STRATEGY FUND | |
Total Return Swap Agreements |
Counterparty | Index | | Type | Financing
Rate | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Credit Index Swap Agreements†† |
Goldman Sachs International | iShares iBoxx $ High Yield Corporate Bond ETF | | Pay | 5.73% (Federal Funds Rate + 0.40%) | | At Maturity | | 01/05/24 | | 86 | | | $ | 6,674 | | | $ | 186 | |
BNP Paribas | iShares iBoxx $ High Yield Corporate Bond ETF | | Pay | 5.73% (Federal Funds Rate + 0.40%) | | At Maturity | | 03/21/24 | | 364 | | | | 28,232 | | | | 142 | |
BNP Paribas | SPDR Bloomberg High Yield Bond ETF | | Pay | 5.78% (Federal Funds Rate + 0.45%) | | At Maturity | | 03/21/24 | | 192 | | | | 18,249 | | | | 100 | |
| | | | | | | | | | | | | | $ | 53,155 | | | $ | 428 | |
** | 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 December 31, 2023. |
4 | Repurchase Agreements — See Note 6. |
| | CDX.NA.HY.41.V2 — Credit Default Swap North American High Yield Series 41 Index Version 2 |
| | ICE — Intercontinental Exchange |
| | 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 December 31, 2023 (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 | | $ | 239,008 | | | $ | — | | | $ | — | | | $ | 239,008 | |
Mutual Funds | | | 1,128,133 | | | | — | | | | — | | | | 1,128,133 | |
Federal Agency Discount Notes | | | — | | | | 2,497,739 | | | | — | | | | 2,497,739 | |
U.S. Treasury Bills | | | — | | | | 1,101,605 | | | | — | | | | 1,101,605 | |
Repurchase Agreements | | | — | | | | 3,106,338 | | | | — | | | | 3,106,338 | |
Interest Rate Futures Contracts** | | | 160,861 | | | | — | | | | — | | | | 160,861 | |
Credit Default Swap Agreements** | | | — | | | | 296,246 | | | | — | | | | 296,246 | |
Credit Index Swap Agreements** | | | — | | | | 428 | | | | — | | | | 428 | |
Total Assets | | $ | 1,528,002 | | | $ | 7,002,356 | | | $ | — | | | $ | 8,530,358 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
154 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
HIGH YIELD 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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/22 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
12/31/23 | | | Shares
12/31/23 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 552,911 | | | $ | — | | | $ | — | | | $ | — | | | $ | 10,810 | | | $ | 563,721 | | | | 23,000 | | | $ | 30,152 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 552,379 | | | | — | | | | — | | | | — | | | | 12,033 | | | | 564,412 | | | | 57,301 | | | | 29,854 | |
| | | $ | 1,105,290 | | | $ | — | | | $ | — | | | $ | — | | | $ | 22,843 | | | $ | 1,128,133 | | | | | | | $ | 60,006 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 155 |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments in unaffiliated issuers, at value (cost $3,862,359) | | $ | 3,838,352 | |
Investments in affiliated issuers, at value (cost $1,124,043) | | | 1,128,133 | |
Repurchase agreements, at value (cost $3,106,338) | | | 3,106,338 | |
Segregated cash with broker | | | 485,054 | |
Unamortized upfront premiums paid on credit default swap agreements | | | 211,921 | |
Unrealized appreciation on OTC swap agreements | | | 428 | |
Receivables: |
Fund shares sold | | | 654,942 | |
Protection fees on credit default swap agreements | | | 14,355 | |
Variation margin on futures contracts | | | 6,363 | |
Dividends | | | 5,391 | |
Interest | | | 1,382 | |
Variation margin on credit default swap agreements | | | 117 | |
Securities lending income | | | 23 | |
Total assets | | | 9,452,799 | |
| | | | | |
Liabilities: |
Payable for: |
Management fees | | | 4,773 | |
Professional fess | | | 11,337 | |
Transfer agent fees | | | 2,195 | |
Investor service fees | | | 1,631 | |
Swap settlement | | | 35,948 | |
Portfolio accounting and administration fees | | | 685 | |
Fund shares redeemed | | | 11 | |
Trustees’ fees* | | | 89 | |
Miscellaneous | | | 7,013 | |
Total liabilities | | | 63,682 | |
Net assets | | $ | 9,389,117 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 9,597,273 | |
Total distributable earnings (loss) | | | (208,156 | ) |
Net assets | | $ | 9,389,117 | |
Capital shares outstanding | | | 119,169 | |
Net asset value per share | | $ | 78.79 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends from securities of unaffiliated issuers | | $ | 14,445 | |
Dividends from securities of affiliated issuers | | | 60,006 | |
Interest | | | 200,893 | |
Income from securities lending, net | | | 1,093 | |
Total investment income | | | 276,437 | |
| | | | | |
Expenses: |
Management fees | | | 43,576 | |
Investor service fees | | | 14,526 | |
Transfer agent fees | | | 14,164 | |
Professional fees | | | 14,688 | |
Portfolio accounting and administration fees | | | 9,006 | |
Trustees’ fees* | | | 904 | |
Custodian fees | | | 818 | |
Miscellaneous | | | 1,230 | |
Total expenses | | | 98,912 | |
Less: |
Expenses reimbursed by Adviser | | | (1,180 | ) |
Expenses waived by Adviser | | | (1,394 | ) |
Total waived/reimbursed expenses | | | (2,574 | ) |
Net expenses | | | 96,338 | |
Net investment income | | | 180,099 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 34 | |
Swap agreements | | | 390,869 | |
Futures contracts | | | (214,652 | ) |
Net realized gain | | | 176,251 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 12,510 | |
Investments in affiliated issuers | | | 22,843 | |
Swap agreements | | | 167,909 | |
Futures contracts | | | 167,887 | |
Net change in unrealized appreciation (depreciation) | | | 371,149 | |
Net realized and unrealized gain | | | 547,400 | |
Net increase in net assets resulting from operations | | $ | 727,499 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
156 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 180,099 | | | $ | 30,301 | |
Net realized gain (loss) on investments | | | 176,251 | | | | (818,876 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 371,149 | | | | 50,654 | |
Net increase (decrease) in net assets resulting from operations | | | 727,499 | | | | (737,921 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (188,051 | ) | | | (58,130 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 41,145,986 | | | | 16,051,078 | |
Distributions reinvested | | | 188,051 | | | | 58,130 | |
Cost of shares redeemed | | | (36,906,153 | ) | | | (16,176,936 | ) |
Net increase (decrease) from capital share transactions | | | 4,427,884 | | | | (67,728 | ) |
Net increase (decrease) in net assets | | | 4,967,332 | | | | (863,779 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 4,421,785 | | | | 5,285,564 | |
End of year | | $ | 9,389,117 | | | $ | 4,421,785 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 556,228 | | | | 217,639 | |
Shares issued from reinvestment of distributions | | | 2,541 | | | | 831 | |
Shares redeemed | | | (501,754 | ) | | | (220,898 | ) |
Net increase (decrease) in shares | | | 57,015 | | | | (2,428 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 157 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 71.14 | | | $ | 81.84 | | | $ | 80.49 | | | $ | 86.60 | | | $ | 77.95 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 2.29 | | | | .51 | | | | (.35 | ) | | | (.20 | ) | | | .64 | |
Net gain (loss) on investments (realized and unrealized) | | | 6.68 | | | | (9.94 | ) | | | 1.70 | | | | (.60 | ) | | | 10.08 | |
Total from investment operations | | | 8.97 | | | | (9.43 | ) | | | 1.35 | | | | (.80 | ) | | | 10.72 | |
Less distributions from: |
Net investment income | | | (1.32 | ) | | | (1.27 | ) | | | — | | | | (4.92 | ) | | | (2.07 | ) |
Net realized gains | | | — | | | | — | | | | — | | | | (.39 | ) | | | — | |
Total distributions | | | (1.32 | ) | | | (1.27 | ) | | | — | | | | (5.31 | ) | | | (2.07 | ) |
Net asset value, end of period | | $ | 78.79 | | | $ | 71.14 | | | $ | 81.84 | | | $ | 80.49 | | | $ | 86.60 | |
|
Total Returnb | | | 12.69 | % | | | (11.48 | %) | | | 1.68 | % | | | (0.47 | %) | | | 13.84 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 9,389 | | | $ | 4,422 | | | $ | 5,286 | | | $ | 10,775 | | | $ | 10,508 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.10 | % | | | 0.70 | % | | | (0.44 | %) | | | (0.25 | %) | | | 0.76 | % |
Total expensesc | | | 1.70 | % | | | 1.66 | % | | | 1.60 | % | | | 1.72 | % | | | 1.72 | % |
Net expensesd | | | 1.66 | % | | | 1.61 | % | | | 1.54 | % | | | 1.67 | % | | | 1.65 | % |
Portfolio turnover rate | | | — | | | | 111 | % | | | 117 | % | | | 460 | % | | | 299 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
158 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
U.S. GOVERNMENT MONEY MARKET FUND
OBJECTIVE: Seeks to provide security of principal, high current income, and liquidity.
For the Reporting Period, the U.S. Government Money Market Fund returned 3.71%.
The U.S. Federal Reserve (the “Fed”) raised its benchmark federal funds rate four times in 2023, for a total of 11 times since March 2022; its last rate hike was 25 basis points in July, keeping the Fed funds rate at 5.25-5.50% through the rest of the year. A year ago, the range was 4.25-4.50%.
The hikes kept investors watchful for signs of economic weakness or even recession all year, but few materialized as the Fed was resolute in its campaign to keep inflation near its target of 2%. Indeed, core PCE fell from a peak rate of 5.6% in February to 3.2% in November. And the economy grew at a strong 3.3% pace in Q4 to end the full year at 3.1%.
By November, investors seemed certain that the Fed was done hiking for this cycle, which spurred a market rally that carried into the rest of the year. Helping was Fed Chair Powell’s admission that the outlook for further rate increases was now equally balanced with the possibility for rate cuts. The market penciled in as many as six 25 bps rate cuts in 2024; but at year end, the median outlook of the Fed dot plots suggested three cuts were more likely.
Performance displayed represents past performance, which is no guarantee of future results.
An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
FAND - 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 December 31, 2023
| 1 Year | 5 Year | 10 Year |
U.S. Government Money Market Fund | 3.71% | 1.07% | 0.59% |
* | 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 159 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
U.S. GOVERNMENT MONEY MARKET FUND | |
| | Face
Amount | | | Value | |
FEDERAL AGENCY NOTES†† - 40.1% |
Federal Home Loan Bank |
5.45% (SOFR + 0.05%, Rate Floor: 0.00%) due 03/25/24◊ | | $ | 3,200,000 | | | $ | 3,200,000 | |
5.47% (SOFR + 0.07%, Rate Floor: 0.00%) due 06/17/24◊ | | | 3,100,000 | | | | 3,100,000 | |
5.44% (SOFR + 0.04%, Rate Floor: 0.00%) due 01/19/24◊ | | | 3,000,000 | | | | 3,000,000 | |
5.44% (SOFR + 0.04%, Rate Floor: 0.00%) due 02/27/24◊ | | | 2,500,000 | | | | 2,500,000 | |
Federal Farm Credit Bank |
5.29% (3 Month U.S. Treasury Bill Rate — 0.04%, Rate Floor: 0.00%) due 03/04/24◊ | | | 2,500,000 | | | | 2,499,899 | |
5.45% (SOFR + 0.05%, Rate Floor: 0.00%) due 02/20/24◊ | | | 2,000,000 | | | | 2,000,010 | |
Total Federal Agency Notes | | | | |
(Cost $16,299,909) | | | | | | | 16,299,909 | |
| | | | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 23.2% |
Federal Home Loan Bank |
5.35% due 01/03/241 | | | 2,500,000 | | | | 2,499,257 | |
5.30% due 01/19/241 | | | 1,000,000 | | | | 997,350 | |
5.35% due 01/02/241 | | | 962,000 | | | | 961,857 | |
5.34% due 03/01/241 | | | 970,000 | | | | 961,367 | |
5.30% due 01/12/241 | | | 500,000 | | | | 499,190 | |
Farmer Mac |
5.20% due 01/02/241 | | | 3,500,000 | | | | 3,499,495 | |
Total Federal Agency Discount Notes | | | | |
(Cost $9,418,516) | | | | | | | 9,418,516 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 9.5% |
U.S. Treasury Bills |
5.28% due 01/25/241 | | | 3,000,000 | | | | 2,989,439 | |
5.21% due 01/04/241 | | | 875,000 | | | | 874,620 | |
Total U.S. Treasury Bills | | | | |
(Cost $3,864,059) | | | | | | | 3,864,059 | |
| | | | | | | | | |
U.S. GOVERNMENT SECURITIES†† - 6.2% |
United States Treasury Floating Rate Note |
5.32% (3 Month U.S. Treasury Bill Rate — 0.02%, Rate Floor: 0.00%) due 01/31/24◊ | | | 2,500,000 | | | | 2,500,056 | |
Total U.S. Government Securities | | | | |
(Cost $2,500,056) | | | | | | | 2,500,056 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,2 - 21.3% |
J.P. Morgan Securities LLC issued 12/29/23 at 5.33% due 01/02/24 | | | 4,788,458 | | | | 4,788,458 | |
BofA Securities, Inc. issued 12/29/23 at 5.35% due 01/02/24 | | | 3,858,953 | | | | 3,858,953 | |
Total Repurchase Agreements | | | | |
(Cost $8,647,411) | | | | | | | 8,647,411 | |
| | | | | | | | | |
Total Investments — 100.3% | | | | |
(Cost $40,729,951) | | $ | 40,729,951 | |
Other Assets & Liabilities, net - (0.3)% | | | (104,450 | ) |
Total Net Assets — 100.0% | | $ | 40,625,501 | |
†† | Value determined based on Level 2 inputs — See Note 4. |
◊ | Variable rate security. Rate indicated is the rate effective at December 31, 2023. 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. |
1 | Rate indicated is the effective yield at the time of purchase. |
2 | Repurchase Agreements — See Note 6. |
| | SOFR — Secured Overnight Financing Rate |
| | |
| | See Sector Classification in Other Information section. |
160 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
U.S. GOVERNMENT MONEY MARKET FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | — | | | $ | 16,299,909 | | | $ | — | | | $ | 16,299,909 | |
Federal Agency Discount Notes | | | — | | | | 9,418,516 | | | | — | | | | 9,418,516 | |
U.S. Treasury Bills | | | — | | | | 3,864,059 | | | | — | | | | 3,864,059 | |
U.S. Government Securities | | | — | | | | 2,500,056 | | | | — | | | �� | 2,500,056 | |
Repurchase Agreements | | | — | | | | 8,647,411 | | | | — | | | | 8,647,411 | |
Total Assets | | $ | — | | | $ | 40,729,951 | | | $ | — | | | $ | 40,729,951 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 161 |
U.S. GOVERNMENT MONEY MARKET FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $32,082,540) | | $ | 32,082,540 | |
Repurchase agreements, at value (cost $8,647,411) | | | 8,647,411 | |
Receivables: |
Interest | | | 106,080 | |
Total assets | | | 40,836,031 | |
| | | | | |
Liabilities: |
Payable for: |
Professional fees | | | 61,562 | |
Fund shares redeemed | | | 55,812 | |
Management fees | | | 17,708 | |
Printing fees | | | 14,842 | |
Transfer agent fees | | | 15,150 | |
Investor service fees | | | 8,854 | |
Portfolio accounting and administration fees | | | 5,489 | |
Trustees’ fees* | | | 539 | |
Miscellaneous | | | 30,574 | |
Total liabilities | | | 210,530 | |
Net assets | | $ | 40,625,501 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 40,615,125 | |
Total distributable earnings (loss) | | | 10,376 | |
Net assets | | $ | 40,625,501 | |
Capital shares outstanding | | | 40,602,488 | |
Net asset value per share | | $ | 1.00 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Interest | | $ | 2,886,997 | |
Total investment income | | | 2,886,997 | |
| | | | | |
Expenses: |
Management fees | | | 286,538 | |
Investor service fees | | | 143,269 | |
Transfer agent fees | | | 151,454 | |
Professional fees | | | 101,602 | |
Portfolio accounting and administration fees | | | 88,825 | |
Trustees’ fees* | | | 12,193 | |
Custodian fees | | | 8,384 | |
Miscellaneous | | | 40,202 | |
Total expenses | | | 832,467 | |
Net investment income | | | 2,054,530 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 10,376 | |
Net realized gain | | | 10,376 | |
Net increase in net assets resulting from operations | | $ | 2,064,906 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
162 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
U.S. GOVERNMENT MONEY MARKET FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 2,054,530 | | | $ | 493,081 | |
Net realized gain on investments | | | 10,376 | | | | 691 | |
Net change in unrealized appreciation (depreciation) on investments | | | — | | | | — | |
Net increase in net assets resulting from operations | | | 2,064,906 | | | | 493,772 | |
| | | | | | | | | |
Distributions to shareholders | | | (2,055,214 | ) | | | (495,519 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 63,584,054 | | | | 163,567,812 | |
Distributions reinvested | | | 2,055,214 | | | | 495,519 | |
Cost of shares redeemed | | | (112,425,885 | ) | | | (130,391,075 | ) |
Net increase (decrease) from capital share transactions | | | (46,786,617 | ) | | | 33,672,256 | |
Net increase (decrease) in net assets | | | (46,776,925 | ) | | | 33,670,509 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 87,402,426 | | | | 53,731,917 | |
End of year | | $ | 40,625,501 | | | $ | 87,402,426 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 63,593,369 | | | | 163,567,812 | |
Shares issued from reinvestment of distributions | | | 2,045,900 | | | | 495,541 | |
Shares redeemed | | | (112,425,887 | ) | | | (130,391,075 | ) |
Net increase (decrease) in shares | | | (46,786,618 | ) | | | 33,672,278 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 163 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .04 | | | | .01 | | | | — | b | | | — | b | | | .01 | |
Net gain (loss) on investments (realized and unrealized) | | | — | | | | — | | | | — | b | | | — | b | | | — | |
Total from investment operations | | | .04 | | | | .01 | | | | — | | | | — | | | | .01 | |
Less distributions from: |
Net investment income | | | (.04 | ) | | | (.01 | ) | | | (— | )b | | | (— | )b | | | (.01 | ) |
Net realized gains | | | (— | )b | | | (— | )b | | | (— | )b | | | (— | )b | | | (— | )b |
Total distributions | | | (.04 | ) | | | (.01 | ) | | | (— | )b | | | (— | )b | | | (.01 | ) |
Net asset value, end of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
|
Total Returnc | | | 3.71 | % | | | 0.73 | % | | | 0.00 | %c | | | 0.07 | % | | | 0.87 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 40,626 | | | $ | 87,402 | | | $ | 53,732 | | | $ | 54,657 | | | $ | 49,233 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.59 | % | | | 0.70 | % | | | — | e | | | 0.05 | % | | | 0.88 | % |
Total expenses | | | 1.45 | % | | | 1.39 | % | | | 1.29 | % | | | 1.42 | % | | | 1.42 | % |
Net expensesd | | | 1.45 | % | | | 0.91 | % | | | 0.08 | % | | | 0.41 | % | | | 1.42 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period |
b | Less than $0.01 per share. |
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 | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | Less than 0.01%. |
164 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Variable Trust (the “Trust”), a Delaware statutory trust, is registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940 (the “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 December 31, 2023, 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 (the “Adviser”), which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) serves as distributor of the Funds’ shares. 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 each fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, by the number of outstanding shares of the Fund on the specified date.
(a) Valuation of Investments
The Board of Trustees of the Trust (the “Board”) adopted policies and procedures for the valuation of the Funds’ investments (the “Fund Valuation Procedures”). The SEC adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.
Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Funds with respect to all Fund investments and other assets. As the Funds’ valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures” and collectively with the Fund Valuation Procedures, the “Valuation Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Funds’ securities and other assets.
Valuations of the Funds’ securities and other assets are supplied primarily by pricing service providers appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing service providers.
| | THE RYDEX FUNDS ANNUAL REPORT | 165 |
NOTES TO FINANCIAL STATEMENTS (continued) |
If a pricing service provider cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.
Equity securities listed or traded on a recognized U.S. securities exchange or the NASDAQ Stock Market (“NASDAQ”) will 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.
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 generally 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 on the valuation date.
U.S. Government securities are valued by pricing service providers, using the last traded fill price, or at the reported bid price at the close of business on the valuation date.
Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from pricing service providers, 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. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service provider.
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.
Futures contracts are valued on the basis of the last sale price as of 4:00 p.m. 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 of the underlying securities would provide a more accurate valuation of the futures contract.
Swap agreements entered into by a Fund are generally valued using an evaluated price provided by a pricing service provider.
Investments for which market quotations are not readily available are fair valued as determined in good faith by the Adviser. 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 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.
166 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
(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.
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 December 31, 2023, 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 for 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 5.33% at December 31, 2023.
(j) Indemnifications
Under the Trust’s organizational documents, the Trustees and Officers of the Trust 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
| | THE RYDEX FUNDS ANNUAL REPORT | 167 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 strategies, 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 Funds’ 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 for investment purposes (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 seek 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.
If a Fund’s 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 the Fund 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 Funds’ Statements of Assets and Liabilities; securities held as collateral are noted on the Funds’ Schedules of Investments.
168 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (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 | | $ | 6,339,042 | | | $ | — | |
Inverse S&P 500® Strategy Fund | Index exposure, Liquidity | | | — | | | | 429,794 | |
NASDAQ-100® Fund | Index exposure, Liquidity | | | 7,448,818 | | | | — | |
S&P 500® 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 6,782,303 | | | | — | |
NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 12,269,343 | | | | — | |
Mid-Cap 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | | | 251,033 | | | | — | |
Russell 2000® 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 408,681 | | | | — | |
Russell 2000® 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | | | 548,553 | | | | — | |
Inverse Russell 2000® Strategy Fund | Index exposure, Liquidity | | | — | | | | 70,568 | |
Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 1,585,294 | | | | — | |
Inverse Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | — | | | | 43,562 | |
Government Long Bond 1.2x Strategy Fund | Duration, Index exposure, Leverage, Liquidity | | | 4,634,083 | | | | — | |
Inverse Government Long Bond Strategy Fund | Duration, Index exposure, Liquidity | | | — | | | | 690,661 | |
High Yield Strategy Fund | Duration, Index exposure, Liquidity | | | 5,119,080 | | | | — | |
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 | | $ | 17,144,940 | | | $ | — | |
Inverse S&P 500® Strategy Fund | Index exposure, Liquidity | | | — | | | | 2,833,642 | |
NASDAQ-100® Fund | Index exposure, Liquidity | | | 16,974,296 | | | | — | |
Inverse NASDAQ-100® Strategy Fund | Index exposure, Liquidity | | | — | | | | 2,336,737 | |
S&P 500® 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 26,459,228 | | | | — | |
NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 96,874,855 | | | | — | |
Mid-Cap 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | | | 2,722,899 | | | | — | |
Inverse Mid-Cap Strategy Fund | Index exposure, Liquidity | | | — | | | | 205,535 | |
Russell 2000® 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 7,646,717 | | | | — | |
Russell 2000® 1.5x Strategy Fund | Index Exposure, Leverage, Liquidity | | | 2,617,541 | | | | — | |
Inverse Russell 2000® Strategy Fund | Index Exposure, Liquidity | | | — | | | | 1,048,993 | |
Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 13,307,458 | | | | — | |
Inverse Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | — | | | | 3,646,204 | |
High Yield Strategy Fund | Duration, Index exposure, Liquidity | | | 51,483 | | | | — | |
| | THE RYDEX FUNDS ANNUAL REPORT | 169 |
NOTES TO FINANCIAL STATEMENTS (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 Funds’ 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 | | $ | 5,361,042 | | | $ | — | |
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 December 31, 2023:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/interest rate futures contracts | Variation margin on futures contracts | Variation margin on futures contracts |
Credit/equity swap agreements | Unamortized upfront premiums paid on credit default swap agreements | Unrealized depreciation on OTC swap agreements |
| | Unrealized appreciation on OTC swap agreements | |
| Variation margin on credit default swap agreements | |
170 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at December 31, 2023:
Asset Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Futures
Interest Rate
Risk* | | | Swaps
Credit
Risk* | | | Total Value at
December 31,
2023 | |
Nova Fund | | $ | 14,107 | | | $ | 253,171 | | | $ | — | | | $ | — | | | $ | 267,278 | |
Inverse S&P 500® Strategy Fund | | | — | | | | 112 | | | | — | | | | — | | | | 112 | |
NASDAQ-100® Fund | | | 262,234 | | | | 91,850 | | | | — | | | | — | | | | 354,084 | |
Inverse NASDAQ-100® Strategy Fund | | | — | | | | 969 | | | | — | | | | — | | | | 969 | |
S&P 500® 2x Strategy Fund | | | — | | | | 401,074 | | | | — | | | | — | | | | 401,074 | |
NASDAQ-100® 2x Strategy Fund | | | 197,293 | | | | 1,115,189 | | | | — | | | | — | | | | 1,312,482 | |
Mid-Cap 1.5x Strategy Fund | | | — | | | | 42,863 | | | | — | | | | — | | | | 42,863 | |
Inverse Mid-Cap Strategy Fund | | | — | | | | 56 | | | | — | | | | — | | | | 56 | |
Russell 2000® 2x Strategy Fund | | | 3,471 | | | | 234,162 | | | | — | | | | — | | | | 237,633 | |
Russell 2000® 1.5x Strategy Fund | | | 18,505 | | | | 51,652 | | | | — | | | | — | | | | 70,157 | |
Dow 2x Strategy Fund | | | 53 | | | | 103,960 | | | | — | | | | — | | | | 104,013 | |
Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | 273,775 | | | | — | | | | 273,775 | |
High Yield Strategy Fund | | | — | | | | — | | | | 160,861 | | | | 296,674 | | | | 457,535 | |
Liability Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Futures
Interest Rate
Risk* | | | Swaps
Credit
Risk* | | | Total Value at
December 31,
2023 | |
Inverse S&P 500® Strategy Fund | | $ | 14,108 | | | $ | 5,051 | | | $ | — | | | $ | — | | | $ | 19,159 | |
Inverse NASDAQ-100® Strategy Fund | | | — | | | | 6,158 | | | | — | | | | — | | | | 6,158 | |
S&P 500® 2x Strategy Fund | | | 21 | | | | — | | | | — | | | | — | | | | 21 | |
Mid-Cap 1.5x Strategy Fund | | | — | | | | 376 | | | | — | | | | — | | | | 376 | |
Inverse Mid-Cap Strategy Fund | | | — | | | | 1,046 | | | | — | | | | — | | | | 1,046 | |
Inverse Russell 2000® Strategy Fund | | | — | | | | 6,711 | | | | — | | | | — | | | | 6,711 | |
Inverse Dow 2x Strategy Fund | | | — | | | | 17,744 | | | | — | | | | — | | | | 17,744 | |
Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | 27,329 | | | | — | | | | 27,329 | |
* | Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Funds’ Schedules of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Funds’ Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended December 31, 2023:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/interest rate futures contracts | Net realized gain (loss) on futures contracts Net change in unrealized appreciation (depreciation) on futures contracts |
Credit/equity swap agreements | Net realized gain (loss) on swap agreements Net change in unrealized appreciation (depreciation) on swap agreements |
| | THE RYDEX FUNDS ANNUAL REPORT | 171 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Funds’ Statements of Operations categorized by primary risk exposure for the year ended December 31, 2023:
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 | | $ | 484,775 | | | $ | 2,016,197 | | | $ | – | | | $ | – | | | $ | 2,500,972 | |
Inverse S&P 500® Strategy Fund | | | 119,198 | | | | (555,304 | ) | | | – | | | | – | | | | (436,106 | ) |
NASDAQ-100® Fund | | | 2,526,898 | | | | 5,781,563 | | | | – | | | | – | | | | 8,308,461 | |
Inverse NASDAQ-100® Strategy Fund | | | – | | | | (1,398,216 | ) | | | – | | | | – | | | | (1,398,216 | ) |
S&P 500® 2x Strategy Fund | | | 1,490,995 | | | | 3,543,585 | | | | — | | | | — | | | | 5,034,580 | |
NASDAQ-100® 2x Strategy Fund | | | 2,058,530 | | | | 27,297,164 | | | | — | | | | — | | | | 29,355,694 | |
Mid-Cap 1.5x Strategy Fund | | | (35,530 | ) | | | 166,872 | | | | — | | | | — | | | | 131,342 | |
Inverse Mid-Cap Strategy Fund | | | — | | | | (30,161 | ) | | | — | | | | — | | | | (30,161 | ) |
Russell 2000® 2x Strategy Fund | | | 15,645 | | | | 543,634 | | | | — | | | | — | | | | 559,279 | |
Russell 2000® 1.5x Strategy Fund | | | 84,347 | | | | 140,501 | | | | — | | | | — | | | | 224,848 | |
Inverse Russell 2000® Strategy Fund | | | 1,084 | | | | (225,129 | ) | | | — | | | | — | | | | (224,045 | ) |
Dow 2x Strategy Fund | | | 738 | | | | 1,174,122 | | | | — | | | | — | | | | 1,174,860 | |
Inverse Dow 2x Strategy Fund | | | (11,596 | ) | | | (333,918 | ) | | | — | | | | — | | | | (345,514 | ) |
Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | (738,058 | ) | | | — | | | | (738,058 | ) |
Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | 4,080 | | | | — | | | | 4,080 | |
High Yield Strategy Fund | | | — | | | | — | | | | (214,652 | ) | | | 390,869 | | | | 176,217 | |
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 | | $ | 63,170 | | | $ | 653,769 | | | $ | — | | | $ | — | | | $ | 716,939 | |
Inverse S&P 500® Strategy Fund | | | (63,177 | ) | | | (137,992 | ) | | | — | | | | — | | | | (201,169 | ) |
NASDAQ-100® Fund | | | 1,025,100 | | | | 1,004,947 | | | | — | | | | — | | | | 2,030,047 | |
Inverse NASDAQ-100® Strategy Fund | | | — | | | | (272,087 | ) | | | — | | | | — | | | | (272,087 | ) |
S&P 500® 2x Strategy Fund | | | 20,355 | | | | 673,237 | | | | — | | | | — | | | | 693,592 | |
NASDAQ-100® 2x Strategy Fund | | | 927,697 | | | | 2,809,401 | | | | — | | | | — | | | | 3,737,098 | |
Mid-Cap 1.5x Strategy Fund | | | — | | | | 146,360 | | | | — | | | | — | | | | 146,360 | |
Inverse Mid-Cap Strategy Fund | | | — | | | | (6,945 | ) | | | — | | | | — | | | | (6,945 | ) |
Russell 2000® 2x Strategy Fund | | | 12,961 | | | | 302,418 | | | | — | | | | — | | | | 315,379 | |
Russell 2000® 1.5x Strategy Fund | | | 40,534 | | | | 179,123 | | | | — | | | | — | | | | 219,657 | |
Inverse Russell 2000® Strategy Fund | | | — | | | | (85,324 | ) | | | — | | | | — | | | | (85,324 | ) |
Dow 2x Strategy Fund | | | 18,954 | | | | 281,578 | | | | — | | | | — | | | | 300,532 | |
Inverse Dow 2x Strategy Fund | | | — | | | | (87,974 | ) | | | — | | | | — | | | | (87,974 | ) |
Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | 508,306 | | | | — | | | | 508,306 | |
Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | (50,825 | ) | | | — | | | | (50,825 | ) |
High Yield Strategy Fund | | | — | | | | — | | | | 167,887 | | | | 167,909 | | | | 335,796 | |
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 rated/identified as investment grade or better. The Trust monitors the counterparty credit risk associated with each such financial institution.
172 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (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 Funds’ 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 Funds’ 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 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 agreements | | $ | 253,171 | | | $ | — | | | | 253,171 | | | $ | — | | | $ | (219,861 | ) | | $ | 33,310 | |
Inverse S&P 500® Strategy Fund | Swap equity agreements | | | 112 | | | | — | | | | 112 | | | | — | | | | — | | | | 112 | |
NASDAQ-100® Fund | Swap equity agreements | | | 91,850 | | | | — | | | | 91,850 | | | | — | | | | (50,000 | ) | | | 41,850 | |
Inverse NASDAQ-100® Strategy Fund | Swap equity agreements | | | 969 | | | | — | | | | 969 | | | | — | | | | — | | | | 969 | |
S&P 500® 2x Strategy Fund | Swap equity agreements | | | 401,074 | | | | — | | | | 401,074 | | | | — | | | | (397,676 | ) | | | 3,398 | |
NASDAQ-100® 2x Strategy Fund | Swap equity agreements | | | 1,115,189 | | | | — | | | | 1,115,189 | | | | — | | | | (1,038,383 | ) | | | 76,806 | |
Mid-Cap 1.5x Strategy Fund | Swap equity agreements | | | 42,863 | | | | — | | | | 42,863 | | | | — | | | | (40,039 | ) | | | 2,824 | |
Inverse Mid-Cap Strategy Fund | Swap equity agreements | | | 56 | | | | — | | | | 56 | | | | — | | | | — | | | | 56 | |
Russell 2000® 2x Strategy Fund | Swap equity agreements | | | 234,162 | | | | — | | | | 234,162 | | | | — | | | | (184,404 | ) | | | 49,758 | |
Russell 2000® 1.5x Strategy Fund | Swap equity agreements | | | 51,652 | | | | — | | | | 51,652 | | | | — | | | | (40,743 | ) | | | 10,909 | |
Dow 2x Strategy Fund | Swap equity agreements | | | 103,960 | | | | — | | | | 103,960 | | | | — | | | | — | | | | 103,960 | |
High Yield Strategy Fund | Swap index agreements | | | 428 | | | | — | | | | 428 | | | | — | | | | — | | | | 428 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 173 |
NOTES TO FINANCIAL STATEMENTS (continued) |
| | | | | | | | | | | | | | | | 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 Amounts
of Assets
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments | | | Cash
Collateral
Pledged | | | Net Amount | |
Inverse S&P 500® Strategy Fund | Swap equity agreements | | $ | 5,051 | | | $ | — | | | $ | 5,051 | | | $ | (5,051 | ) | | $ | — | | | $ | — | |
Inverse NASDAQ-100® Strategy Fund | Swap equity agreements | | | 6,158 | | | | — | | | | 6,158 | | | | (5,984 | ) | | | (174 | ) | | | — | |
Mid-Cap 1.5x Strategy Fund | Swap equity agreements | | | 376 | | | | — | | | | 376 | | | | — | | | | (376 | ) | | | — | |
Inverse Mid-Cap Strategy Fund | Swap equity agreements | | | 1,046 | | | | — | | | | 1,046 | | | | (1,046 | ) | | | — | | | | — | |
Inverse Russell 2000® Strategy Fund | Swap equity agreements | | | 6,711 | | | | — | | | | 6,711 | | | | (6,078 | ) | | | (633 | ) | | | — | |
Inverse Dow 2x Strategy Fund | Swap equity agreements | | | 17,744 | | | | — | | | | 17,744 | | | | (14,990 | ) | | | (2,754 | ) | | | — | |
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 December 31, 2023.
Fund | Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
Nova Fund | Barclays Bank plc | Total Return Swap Agreements | | $ | 85,097 | | | $ | — | |
| Goldman Sachs International | Total Return Swap Agreements | | | — | | | | 260,000 | |
| | | | | 85,097 | | | | 260,000 | |
Inverse S&P 500® Strategy Fund | Barclays Bank plc | Total Return Swap Agreements | | | 33,000 | | | | — | |
| Goldman Sachs International | Futures Contracts | | | 1,745 | | | | — | |
| | | | | 34,745 | | | | — | |
NASDAQ-100® Fund | Barclays Bank plc | Total Return Swap Agreements | | | 83,000 | | | | — | |
| | Goldman Sachs International | Futures Contracts | | | 20,661 | | | | — | |
| Goldman Sachs International | Total Return Swap Agreements | | | — | | | | 50,000 | |
| | | | | 103,661 | | | | 50,000 | |
Inverse NASDAQ-100® Strategy Fund | Barclays Bank plc | Total Return Swap Agreements | | | 18,000 | | | | — | |
S&P 500® 2x Strategy Fund | BNP Paribas | Total Return Swap Agreements | | | — | | | | 280,000 | |
| Goldman Sachs International | Total Return Swap Agreements | | | — | | | | 350,000 | |
| | | | | — | | | | 630,000 | |
NASDAQ-100® 2x Strategy Fund | BNP Paribas | Total Return Swap Agreements | | | — | | | | 90,000 | |
| Goldman Sachs International | Total Return Swap Agreements | | | — | | | | 1,390,000 | |
| | | | | — | | | | 1,480,000 | |
Mid-Cap 1.5x Strategy Fund | Barclays Bank plc | Total Return Swap Agreements | | | 28,000 | | | | — | |
| Goldman Sachs International | Total Return Swap Agreements | | | — | | | | 110,000 | |
| | | | | 28,000 | | | | 110,000 | |
Inverse Mid-Cap Strategy Fund | Barclays Bank plc | Total Return Swap Agreements | | | 10,000 | | | | — | |
Russell 2000® 2x Strategy Fund | Goldman Sachs International | Futures Contracts | | | 41,244 | | | | — | |
| Goldman Sachs International | Total Return Swap Agreements | | | — | | | | 360,000 | |
| | | | | 41,244 | | | | 360,000 | |
Russell 2000® 1.5x Strategy Fund | Goldman Sachs International | Futures Contracts | | | 1,704 | | | | — | |
| Goldman Sachs International | Total Return Swap Agreements | | | — | | | | 120,000 | |
| | | | | 1,704 | | | | 120,000 | |
174 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
Fund | Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
Inverse Russell 2000® Strategy Fund | Barclays Bank plc | Total Return Swap Agreements | | $ | 30,000 | | | $ | — | |
Inverse Dow 2x Strategy Fund | Barclays Bank plc | Total Return Swap Agreements | | | 37,000 | | | | — | |
Government Long Bond 1.2x Strategy Fund | Goldman Sachs International | Futures Contracts | | | 95,500 | | | | — | |
High Yield Strategy Fund | Barclays Bank plc | Credit Default Swap Agreements | | | 480,470 | | | | — | |
| | BNP Paribas | Total Return Swap Agreements | | | 2,312 | | | | — | |
| Goldman Sachs International | Futures Contracts | | | 2,272 | | | | — | |
| | | | | 485,054 | | | | — | |
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 between market participants at the measurement date. 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 — | unadjusted 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. |
Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”
Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. 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 selected and applied for valuing securities or other assets are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.
| | THE RYDEX FUNDS ANNUAL REPORT | 175 |
NOTES TO FINANCIAL STATEMENTS (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.
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 year ended December 31, 2023, the following Funds waived fees related to investments in affiliated funds:
Fund | | Amount Waived | |
Nova Fund | | $ | 4,927 | |
Inverse S&P 500® Strategy Fund | | | 1,096 | |
NASDAQ-100® Fund | | | 24,118 | |
Inverse NASDAQ-100® Strategy Fund | | | 555 | |
Mid-Cap 1.5x Strategy Fund | | | 389 | |
Inverse Mid-Cap Strategy Fund | | | 76 | |
Russell 2000® 1.5x Strategy Fund | | | 1,032 | |
Inverse Russell 2000® Strategy Fund | | | 164 | |
Government Long Bond 1.2x Strategy Fund | | | 1,094 | |
Inverse Government Long Bond Strategy Fund | | | 1,254 | |
High Yield Strategy Fund | | | 1,394 | |
176 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
Effective June 1, 2021, GI has contractually agreed to waive and/or reimburse expenses for the 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 shall automatically renew for one-year terms, unless GI provides written notice to the Funds 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 upon sixty days’ written notice to the Adviser. In addition, the agreement will terminate automatically if the Advisory Agreement, with respect to a Fund, is terminated, with such termination effective upon the effective date of the termination of the Advisory Agreement.
On May 24, 2023, the Board approved a waiver and/or expense reimbursement arrangement whereby GI has agreed to waive and/or reimburse expenses for 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 Fund, Inverse Russell 2000 Strategy Fund, Dow 2x Strategy Fund, Inverse Dow 2x Strategy Fund, Government Long Bond 1.2x Strategy Fund, Inverse Government Long Bond Strategy Fund and High Yield Strategy Fund in an amount equal to an annual percentage rate of 0.05% of each Fund’s average daily net assets. This arrangement went into effect on August 1, 2023 and the end of the initial term is August 1, 2024. 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 upon sixty days’ written notice to the Adviser. In addition, the agreement will terminate automatically if the Advisory Agreement, with respect to a Fund, is terminated, with such termination effective upon the effective date of the termination of the Advisory Agreement.
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 December 31, 2023, 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 | | | 25 | % |
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 ANNUAL REPORT | 177 |
NOTES TO FINANCIAL STATEMENTS (continued) |
At December 31, 2023, the repurchase agreements in the joint account were as follows:
Counterparty and
Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
BofA Securities, Inc. | | | | | | | | | | U.S. Treasury Strip | | | | | | | | |
5.35% | | | | | | | | | | 0.00% | | | | | | | | |
Due 01/02/24 | | $ | 31,762,520 | | | $ | 31,776,681 | | | Due 11/15/26 | | $ | 36,401,131 | | | $ | 32,397,771 | |
| | | | | | | | | | | | | | | | | | | |
J.P. Morgan Securities LLC | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
5.33% | | | | | | | | | | 0.50% | | | | | | | | |
Due 01/02/24 | | | 39,413,155 | | | | 39,430,661 | | | Due 05/31/27 | | | 45,123,100 | | | | 40,201,441 | |
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. Securities lending income shown on the Funds’ 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 X. 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 December 31, 2023, the following 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 | |
NASDAQ-100® Fund | | $ | 307,487 | | | $ | (307,487 | ) | | $ | — | | | | $ | 322,836 | | | $ | — | | | $ | 322,836 | |
NASDAQ-100® 2x Strategy Fund | | | 287,621 | | | | (287,621 | ) | | | — | | | | | 301,978 | | | | — | | | | 301,978 | |
Mid-Cap 1.5x Strategy Fund | | | 2,833 | | | | (2,833 | ) | | | — | | | | | 3,054 | | | | — | | | | 3,054 | |
Russell 2000® 2x Strategy Fund | | | 139,654 | | | | (139,654 | ) | | | — | | | | | 146,242 | | | | — | | | | 146,242 | |
Russell 2000® 1.5x Strategy Fund | | | 286,719 | | | | (286,719 | ) | | | — | | | | | 300,341 | | | | — | | | | 300,341 | |
(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.
178 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 8 – Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (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.
The tax character of distributions paid during the year ended December 31, 2023 was as follows:
Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
Inverse S&P 500® Strategy Fund | | $ | 45,498 | | | $ | — | | | $ | 45,498 | |
Inverse NASDAQ-100® Strategy Fund | | | 9,114 | | | | — | | | | 9,114 | |
S&P 500® 2x Strategy Fund | | | 22,232 | | | | — | | | | 22,232 | |
Inverse Mid-Cap Strategy Fund | | | 747 | | | | — | | | | 747 | |
Russell 2000® 2x Strategy Fund | | | 8,798 | | | | — | | | | 8,798 | |
Dow 2x Strategy Fund | | | 34,622 | | | | — | | | | 34,622 | |
Inverse Dow 2x Strategy Fund | | | 4,186 | | | | — | | | | 4,186 | |
Government Long Bond 1.2x Strategy Fund | | | 247,608 | | | | — | | | | 247,608 | |
High Yield Strategy Fund | | | 188,051 | | | | — | | | | 188,051 | |
U.S. Government Money Market Fund | | | 2,055,214 | | | | — | | | | 2,055,214 | |
The tax character of distributions paid during the year ended December 31, 2022 was as follows:
Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
Nova Fund | | $ | 3,401,154 | | | $ | — | | | $ | 3,401,154 | |
NASDAQ-100® Fund | | | 2,858,771 | | | | — | | | | 2,858,771 | |
S&P 500® 2x Strategy Fund | | | 3,768,617 | | | | — | | | | 3,768,617 | |
NASDAQ-100® 2x Strategy Fund | | | 10,383,440 | | | | — | | | | 10,383,440 | |
Mid-Cap 1.5x Strategy Fund | | | 281,786 | | | | — | | | | 281,786 | |
Dow 2x Strategy Fund | | | 577,032 | | | | — | | | | 577,032 | |
Government Long Bond 1.2x Strategy Fund | | | 153,140 | | | | — | | | | 153,140 | |
High Yield Strategy Fund | | | 58,130 | | | | — | | | | 58,130 | |
U.S. Government Money Market Fund | | | 495,519 | | | | — | | | | 495,519 | |
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
| | THE RYDEX FUNDS ANNUAL REPORT | 179 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The tax components of distributable earnings/(loss) as of December 31, 2023 were as follows:
Fund | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital Gain | | | Net Unrealized
Appreciation
(Depreciation) | | | Accumulated
Capital and
Other Losses | | | Other
Temporary
Differences | | | Total | |
Nova Fund | | $ | — | | | $ | — | | | $ | 4,247,993 | | | $ | (8,708,299 | ) | | $ | (40 | ) | | $ | (4,460,346 | ) |
Inverse S&P 500® Strategy Fund | | | 193,469 | | | | — | | | | (9,073 | ) | | | (19,427,764 | ) | | | — | | | | (19,243,368 | ) |
NASDAQ-100® Fund | | | 499,809 | | | | 2,364,693 | | | | 37,516,110 | | | | — | | | | — | | | | 40,380,612 | |
Inverse NASDAQ-100® Strategy Fund | | | 91,254 | | | | — | | | | (9,708 | ) | | | (9,584,678 | ) | | | — | | | | (9,503,132 | ) |
S&P 500® 2x Strategy Fund | | | 184,499 | | | | — | | | | 3,089,677 | | | | (23,991,980 | ) | | | (53 | ) | | | (20,717,857 | ) |
NASDAQ-100® 2x Strategy Fund | | | — | | | | — | | | | 8,706,264 | | | | (793,423 | ) | | | — | | | | 7,912,841 | |
Mid-Cap 1.5x Strategy Fund | | | 25,456 | | | | — | | | | 549,515 | | | | (443,850 | ) | | | 59 | | | | 131,180 | |
Inverse Mid-Cap Strategy Fund | | | 6,469 | | | | — | | | | (1,076 | ) | | | (2,036,763 | ) | | | — | | | | (2,031,370 | ) |
Russell 2000® 2x Strategy Fund | | | 306,807 | | | | 5,284 | | | | 199,512 | | | | — | | | | — | | | | 511,603 | |
Russell 2000® 1.5x Strategy Fund | | | 44,495 | | | | — | | | | (181,936 | ) | | | (1,007,908 | ) | | | 58 | | | | (1,145,291 | ) |
Inverse Russell 2000® Strategy Fund | | | 37,982 | | | | — | | | | (6,701 | ) | | | (8,365,065 | ) | | | — | | | | (8,333,784 | ) |
Dow 2x Strategy Fund | | | 96,119 | | | | — | | | | 2,109,383 | | | | (1,346,619 | ) | | | — | | | | 858,883 | |
Inverse Dow 2x Strategy Fund | | | 58,940 | | | | — | | | | (17,711 | ) | | | (23,959,370 | ) | | | — | | | | (23,918,141 | ) |
Government Long Bond 1.2x Strategy Fund | | | 2 | | | | — | | | | 310,433 | | | | (21,948,482 | ) | | | — | | | | (21,638,047 | ) |
Inverse Government Long Bond Strategy Fund | | | 143,890 | | | | — | | | | (182,285 | ) | | | (6,087,467 | ) | | | — | | | | (6,125,862 | ) |
High Yield Strategy Fund | | | 386,203 | | | | — | | | | 267,272 | | | | (861,631 | ) | | | — | | | | (208,156 | ) |
U.S. Government Money Market Fund | | | 218 | | | | 10,158 | | | | — | | | | — | | | | — | | | | 10,376 | |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of December 31, 2023, capital loss carryforwards for the Funds were as follows:
| | | Unlimited | | | | | |
Fund | | Short-Term | | | Long-Term | | | Total
Capital Loss
Carryforward | |
Nova Fund | | $ | (7,434,504 | ) | | $ | (1,273,795 | ) | | $ | (8,708,299 | ) |
Inverse S&P 500® Strategy Fund | | | (17,594,539 | ) | | | (1,833,225 | ) | | | (19,427,764 | ) |
Inverse NASDAQ-100® Strategy Fund | | | (8,740,247 | ) | | | (844,431 | ) | | | (9,584,678 | ) |
S&P 500® 2x Strategy Fund | | | (22,806,761 | ) | | | (1,185,219 | ) | | | (23,991,980 | ) |
NASDAQ-100® 2x Strategy Fund | | | (793,423 | ) | | | — | | | | (793,423 | ) |
Mid-Cap 1.5x Strategy Fund | | | (308,325 | ) | | | (135,525 | ) | | | (443,850 | ) |
Inverse Mid-Cap Strategy Fund | | | (1,907,596 | ) | | | (129,167 | ) | | | (2,036,763 | ) |
Russell 2000® 1.5x Strategy Fund | | | (872,092 | ) | | | (135,816 | ) | | | (1,007,908 | ) |
Inverse Russell 2000® Strategy Fund | | | (7,506,556 | ) | | | (858,509 | ) | | | (8,365,065 | ) |
Dow 2x Strategy Fund | | | (932,902 | ) | | | (413,717 | ) | | | (1,346,619 | ) |
Inverse Dow 2x Strategy Fund | | | (21,722,933 | ) | | | (2,236,437 | ) | | | (23,959,370 | ) |
Government Long Bond 1.2x Strategy Fund | | | (17,545,167 | ) | | | (4,403,315 | ) | | | (21,948,482 | ) |
Inverse Government Long Bond Strategy Fund | | | (4,164,205 | ) | | | (1,923,262 | ) | | | (6,087,467 | ) |
High Yield Strategy Fund | | | (544,873 | ) | | | (316,758 | ) | | | (861,631 | ) |
180 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
For the year ended December 31, 2023, the following capital loss carryforward amounts were utilized:
Fund | | Utilized | |
Nova Fund | | $ | 3,894,619 | |
NASDAQ-100® Fund | | | 10,819,130 | |
S&P 500® 2x Strategy Fund | | | 1,059,358 | |
NASDAQ-100® 2x Strategy Fund | | | 34,029,832 | |
Mid-Cap 1.5x Strategy Fund | | | 47,774 | |
Russell 2000® 2x Strategy Fund | | | 372,917 | |
Russell 2000® 1.5x Strategy Fund | | | 247,210 | |
Dow 2x Strategy Fund | | | 942,904 | |
High Yield Strategy Fund | | | 138,034 | |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in real estate investment trusts and swap agreements, losses deferred due to wash sales, distributions in connection with redemption of fund shares, the “mark-to-market” of certain derivatives, return of capital distributions received, and the “mark-to-market,” recharacterization, or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of net operating losses. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statements of Assets and Liabilities as of December 31, 2023 for permanent book/tax differences:
Fund | | Paid In
Capital | | | Total
Distributable
Earnings/(Loss) | |
Nova Fund | | $ | (360,027 | ) | | $ | 360,027 | |
NASDAQ-100® Fund | | | 16,438 | | | | (16,438 | ) |
S&P 500® 2x Strategy Fund | | | (41 | ) | | | 41 | |
NASDAQ-100® 2x Strategy Fund | | | (227,573 | ) | | | 227,573 | |
Mid-Cap 1.5x Strategy Fund | | | (3,647 | ) | | | 3,647 | |
Russell 2000® 2x Strategy Fund | | | 12,192 | | | | (12,192 | ) |
Russell 2000® 1.5x Strategy Fund | | | (2,628 | ) | | | 2,628 | |
At December 31, 2023, 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 | | $ | 32,575,161 | | | $ | 4,269,621 | | | $ | (21,628 | ) | | $ | 4,247,993 | |
Inverse S&P 500® Strategy Fund | | | 1,145,370 | | | | 124 | | | | (9,197 | ) | | | (9,073 | ) |
NASDAQ-100® Fund | | | 80,771,002 | | | | 37,715,515 | | | | (199,405 | ) | | | 37,516,110 | |
Inverse NASDAQ-100® Strategy Fund | | | 1,323,223 | | | | 981 | | | | (10,689 | ) | | | (9,708 | ) |
S&P 500® 2x Strategy Fund | | | 31,851,345 | | | | 3,153,984 | | | | (64,307 | ) | | | 3,089,677 | |
NASDAQ-100® 2x Strategy Fund | | | 116,527,695 | | | | 8,750,130 | | | | (43,866 | ) | | | 8,706,264 | |
Mid-Cap 1.5x Strategy Fund | | | 3,897,765 | | | | 701,605 | | | | (152,090 | ) | | | 549,515 | |
Inverse Mid-Cap Strategy Fund | | | 121,393 | | | | — | | | | (1,076 | ) | | | (1,076 | ) |
Russell 2000® 2x Strategy Fund | | | 12,625,640 | | | | 234,367 | | | | (34,855 | ) | | | 199,512 | |
Russell 2000® 1.5x Strategy Fund | | | 5,156,243 | | | | 258,097 | | | | (440,033 | ) | | | (181,936 | ) |
Inverse Russell 2000® Strategy Fund | | | 627,054 | | | | 10 | | | | (6,711 | ) | | | (6,701 | ) |
Dow 2x Strategy Fund | | | 16,044,175 | | | | 2,109,383 | | | | — | | | | 2,109,383 | |
Inverse Dow 2x Strategy Fund | | | 1,120,687 | | | | 33 | | | | (17,744 | ) | | | (17,711 | ) |
Government Long Bond 1.2x Strategy Fund | | | 7,230,603 | | | | 312,126 | | | | (1,693 | ) | | | 310,433 | |
Inverse Government Long Bond Strategy Fund | | | 2,176,860 | | | | 2 | | | | (182,287 | ) | | | (182,285 | ) |
| | THE RYDEX FUNDS ANNUAL REPORT | 181 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Fund | | Tax
Cost | | | Tax Unrealized
Appreciation | | �� | Tax Unrealized
Depreciation | | | Net Tax Unrealized
Appreciation/
(Depreciation) | |
High Yield Strategy Fund | | $ | 8,102,225 | | | $ | 299,504 | | | $ | (32,232 | ) | | $ | 267,272 | |
U.S. Government Money Market Fund | | | 40,729,951 | | | | — | | | | — | | | | — | |
Note 9 – Securities Transactions
For the year ended December 31, 2023, 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 | | $ | 126,454,629 | | | $ | 112,646,068 | |
Inverse S&P 500® Strategy Fund | | | — | | | | 520,000 | |
NASDAQ-100® Fund | | | 169,732,444 | | | | 147,213,987 | |
Inverse NASDAQ-100® Strategy Fund | | | — | | | | 125,000 | |
S&P 500® 2x Strategy Fund | | | 96,274,401 | | | | 84,149,069 | |
NASDAQ-100® 2x Strategy Fund | | | 460,209,695 | | | | 413,641,716 | |
Mid-Cap 1.5x Strategy Fund | | | 567,670 | | | | 1,021,415 | |
Inverse Mid-Cap Strategy Fund | | | — | | | | 8,000 | |
Russell 2000® 2x Strategy Fund | | | — | | | | 26 | |
Russell 2000® 1.5x Strategy Fund | | | 139,751 | | | | 249,449 | |
Inverse Russell 2000® Strategy Fund | | | — | | | | — | |
Dow 2x Strategy Fund | | | 37,201,582 | | | | 32,693,736 | |
Inverse Dow 2x Strategy Fund | | | — | | | | — | |
Government Long Bond 1.2x Strategy Fund | | | — | | | | — | |
Inverse Government Long Bond Strategy Fund | | | — | | | | 150,000 | |
High Yield Strategy Fund | | | — | | | | — | |
U.S. Government Money Market Fund | | | — | | | | — | |
For the year ended December 31, 2023, the cost of purchases and proceeds from sales of government securities were as follows:
Fund | | Purchases | | | Sales | |
Government Long Bond 1.2x Strategy Fund | | $ | 79,770,078 | | | $ | 79,247,156 | |
Inverse Government Long Bond Strategy Fund | | | 35,838,016 | | | | 33,903,047 | |
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. For the year ended December 31, 2023, 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 | | $ | 27,247,309 | | | $ | 35,831,560 | | | $ | (187,953 | ) |
NASDAQ-100® Fund | | | 109,636,553 | | | | 72,437,702 | | | | (627,913 | ) |
S&P 500® 2x Strategy Fund | | | 49,840,788 | | | | 42,228,055 | | | | (336,636 | ) |
NASDAQ-100® 2x Strategy Fund | | | 240,114,628 | | | | 202,034,875 | | | | 347,611 | |
Mid-Cap 1.5x Strategy Fund | | | 5,477 | | | | 543,944 | | | | 7,976 | |
Dow 2x Strategy Fund | | | 13,518,287 | | | | 13,338,118 | | | | (37,394 | ) |
182 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (concluded) |
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $200,000,000 line of credit from U.S. Bank, N.A. On June 5, 2023, the line of credit agreement was renewed and expires on June 3, 2024. 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 6.15% for the year ended December 31, 2023. On December 31, 2023, the Inverse Mid-Cap Strategy Fund borrowed $1,000 under this agreement. The remaining Funds did not have any borrowings outstanding under this agreement at December 31, 2023.
The average daily balances borrowed for the year ended December 31, 2023, were as follows:
Fund | | Average Daily Balance | |
Nova Fund | | $ | 992 | |
Inverse S&P 500® Strategy Fund | | | 1,274 | |
NASDAQ-100® Fund | | | 2,301 | |
Inverse NASDAQ-100® Strategy Fund | | | 52 | |
S&P 500® 2x Strategy Fund | | | 2,540 | |
NASDAQ-100® 2x Strategy Fund | | | 17,759 | |
Inverse Mid-Cap Strategy Fund | | | 11 | |
Russell 2000® 1.5x Strategy Fund | | | 96 | |
Dow 2x Strategy Fund | | | 1,444 | |
Government Long Bond 1.2x Strategy Fund | | | 329 | |
Note 11 – Market Risks
The value of, or income generated by, the investments held by the Funds are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which may change at any time based on changes in monetary policies and various market and other economic conditions), changes in inflation rates or expectations about inflation rates, adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the ongoing Russia-Ukraine conflict and its collateral economic and other effects, including, but not limited to, sanctions and other international trade barriers) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country, geographic region or industry could adversely affect the value, yield and return of the investments held by the Funds in a different country, geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Funds’ investments and performance of the Funds.
Note 12 – Subsequent Events
The Funds evaluated subsequent events through the date the financial statements are issued and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.
| | THE RYDEX FUNDS ANNUAL REPORT | 183 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of Nova Fund, Inverse S&P 500® Strategy Fund, NASDAQ-100® Fund, Inverse NASDAQ-100® Strategy Fund, S&P 500® 2x Strategy Fund, NASDAQ-100® 2x Strategy Fund, Mid-Cap 1.5x Strategy Fund, Inverse Mid-Cap Strategy Fund, Russell 2000® 2x Strategy Fund, Russell 2000® 1.5x Strategy Fund, Inverse Russell 2000® Strategy Fund, Dow 2x Strategy Fund, Inverse Dow 2x Strategy Fund, Government Long Bond 1.2x Strategy Fund, Inverse Government Long Bond Strategy Fund, High Yield Strategy Fund and U.S. Government Money Market Fund and the Board of Trustees of Rydex Variable Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Nova Fund, Inverse S&P 500® Strategy Fund, NASDAQ-100® Fund, Inverse NASDAQ-100® Strategy Fund, S&P 500® 2x Strategy Fund, NASDAQ-100® 2x Strategy Fund, Mid-Cap 1.5x Strategy Fund, Inverse Mid-Cap Strategy Fund, Russell 2000® 2x Strategy Fund, Russell 2000® 1.5x Strategy Fund, Inverse Russell 2000® Strategy Fund, Dow 2x Strategy Fund, Inverse Dow 2x Strategy Fund, Government Long Bond 1.2x Strategy Fund, Inverse Government Long Bond Strategy Fund, High Yield Strategy Fund and U.S. Government Money Market Fund (collectively referred to as the “Funds”), (seventeen of the funds constituting Rydex Variable Trust (the “Trust”)), including the schedules of investments, as of December 31, 2023, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (seventeen of the funds constituting Rydex Variable Trust) at December 31, 2023, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2023, by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
February 27, 2024
184 | THE RYDEX FUNDS ANNUAL REPORT | |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2024, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2023.
The Funds’ investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ended December 31, 2023, the following Funds had the corresponding percentages qualify for the dividends received deduction for corporations.
Fund | | Dividend
Received
Deduction | |
S&P 500® 2x Strategy Fund | | | 100.00 | % |
Russell 2000® 2x Strategy Fund | | | 54.47 | % |
Dow 2x Strategy Fund | | | 100.00 | % |
High Yield Strategy Fund | | | 5.00 | % |
With respect to the taxable year ended December 31, 2023, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
Fund | | From long-term
capital gain: | | | From long-term
capital gain,
using proceeds
from shareholder
redemptions: | |
NASDAQ-100® Fund | | $ | — | | | $ | 22,046 | |
Russell 2000® 2x Strategy Fund | | | — | | | | 12,192 | |
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.
Tailored Shareholder Reports for Open-End Mutual Funds and Exchange-Traded Funds
Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and exchange-traded funds registered on Form N-1A to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.
| | THE RYDEX FUNDS ANNUAL REPORT | 185 |
OTHER INFORMATION (Unaudited)(concluded) |
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.
186 | THE RYDEX FUNDS 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 Funds’ 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). | 153 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
Angela Brock-Kyle (1959) | Trustee | Since 2016 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Director, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 152 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Guggenheim Energy & Income Fund (2019-2023); Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018). |
| | THE RYDEX FUNDS ANNUAL REPORT | 187 |
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 - continued | | | |
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 (registered investment adviser) (1996-present); Chief Executive Officer, Lydon Media (2016-present); Vice Chairman, VettaFi, a wholly owned subsidiary of The TMX Group (financial advisor content, research, index and digital distribution provider) (2022-present). Former: Chief Executive Officer, ETF Flows, LLC (financial advisor education and research provider) (2019-2023); Director, GDX Index Partners, LLC (index provider) (2021-2023). | 152 | Current: The 2023 ETF Series Trust (4) (2023-present); The 2023 ETF Series Trust II (1)(2023-present); US Global Investors, Inc. (GROW) (1995-present). Former: Guggenheim Energy & Income Fund (2019-2023); Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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 (law firm) (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (law firm) (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 153 | Current: Advent Convertible and Income Fund (2003-present); PPM Funds (2) (2018-present); Endeavor Health (2012-present). Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
188 | THE RYDEX FUNDS 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*** |
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. (construction and real estate development company) (2007-2017). | 152 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Guggenheim Energy & Income Fund (2019-2023); Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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. (registered broker dealer) (1982-1999). | 152 | Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE RYDEX FUNDS ANNUAL REPORT | 189 |
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). | 152 | Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2018-2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves during the lifetime of the Trust or until he or she dies, resigns, has reached the mandatory retirement age, is declared incompetent by a court of appropriate jurisdiction, is removed or until his or her successor is duly elected and qualified, subject to the Trust’s Independent Trustees Retirement Policy and the Trust’s organizational documents. Time served may include time served in the respective position for certain predecessor entities of the Trust. |
*** | Each Trustee serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Active 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’ Adviser and/or the parent of the Adviser. |
190 | THE RYDEX FUNDS 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, Mutual Fund Boards, Guggenheim Investments (2022-present); President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Mutual Funds Boards, and Senior Managing Director, Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (2018-present); Board Member, Guggenheim Partners Investment Funds plc (2022-present); Board Member, Guggenheim Global Investments plc (2022-present); Board Member, Guggenheim Partners Fund Management (Europe) Limited (2018-present). Former: Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-2022); Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Chairman of North American Executive Committee and Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
James Howley (1972) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2022 | Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-2022); 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 Megaris (1984) | Assistant Secretary | Since 2018 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing 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); Senior Managing Director, 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 ANNUAL REPORT | 191 |
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). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Director, 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, or until his or her earlier death, inability to serve, resignation or removal. Time served may include time served in the respective position for certain predecessor entities of the Trust. |
192 | THE RYDEX FUNDS 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 ANNUAL REPORT | 193 |
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.
194 | THE RYDEX FUNDS ANNUAL REPORT | |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
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 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 ANNUAL REPORT | 195 |
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12.31.2023
Rydex Variable Trust Funds 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-ANN-2-1223x1224 |
| | |
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 | 16 |
S&P MIDCAP 400® PURE GROWTH FUND | 24 |
S&P MIDCAP 400® PURE VALUE FUND | 31 |
S&P SMALLCAP 600® PURE GROWTH FUND | 38 |
S&P SMALLCAP 600® PURE VALUE FUND | 46 |
EUROPE 1.25x STRATEGY FUND | 54 |
JAPAN 2x STRATEGY FUND | 62 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | 69 |
WEAKENING DOLLAR 2x STRATEGY FUND | 76 |
NOTES TO FINANCIAL STATEMENTS | 83 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 96 |
OTHER INFORMATION | 97 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 99 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 105 |
| | THE RYDEX FUNDS ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for ten funds that are part of the Rydex Variable Trust (each, a “Fund” and collectively, the “Funds”). This report covers the performance for the annual period ended December 31, 2023 (the “Reporting Period”).
The Investment Adviser is 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, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
January 31, 2024
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.
The Europe 1.25x Strategy Fund, Japan 2x Strategy Fund, Strengthening Dollar 2x Strategy Fund, and Weakening Dollar 2x Strategy Fund are very different from most mutual funds in that they seek to provide leveraged or leveraged inverse investment results and are intended to be used as short-term trading vehicles. The Funds are not intended to be used by, and are not appropriate for, investors who do not intend to actively manage and monitor their portfolios. The Strengthening Dollar 2x Strategy Fund and Weakening Dollar 2x Strategy Fund seek to provide such investment results on a daily basis. The Weakening Dollar 2x Strategy Fund pursues an investment goal which is inverse to 200% of the performance of its underlying index, a result opposite of most other mutual funds. Investors should note that the pursuit of such leveraged and leveraged inverse investment goals has the following implications: ● The Funds are riskier than alternatives that do not use leverage because the performance of an investment in a Fund is magnified. ● The effect of leverage on a Fund will generally cause the Fund’s performance to not match the performance of the Fund’s benchmark (e.g., 200% of the performance of its underlying index) over a period of time greater than one day. This means that the return of a Fund for a period of longer than a
2 | THE RYDEX FUNDS ANNUAL REPORT | |
single trading day will be the result of each day’s compounded returns over the period, which will very likely differ from the return of the Fund’s benchmark for that period. As a consequence, especially during periods of market volatility, the path or trend of the benchmark during the longer period may be at least as important to the Fund’s cumulative return for the longer period as the cumulative return of the benchmark for the relevant longer period. Further, the return for investors who invest for a period longer than a single trading day will not be the product of the return of a Fund’s stated investment goal (e.g., 2x) and the cumulative performance of the Fund’s benchmark.
The Funds are not suitable for all investors. The Funds are designed to be utilized only by sophisticated investors, such as traders and active investors employing dynamic strategies. Investors in the Funds should: (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking daily leveraged investment results, (c) for the Weakening Dollar 2x Strategy Fund, understand the risks of shorting, and (d) intend to actively manage and monitor their investments. Investors who do not understand the Funds or do not actively manage and monitor their investments should not buy shares of the Funds.
The Strengthening Dollar 2x Strategy Fund seeks daily exposure to its underlying index equal to 200% of its net assets while the Weakening Dollar 2x Strategy Fund seeks daily exposure to its underlying index equal to -200% of its net assets. As a consequence, for each Fund the risk of total loss of your investment exists in the event of a movement of the Fund’s underlying index in excess of 50% in a direction adverse to the Fund (meaning a decline in the value of the underlying index of the Strengthening Dollar 2x Strategy Fund and a gain in the value of the underlying index of the Weakening Dollar 2x Strategy Fund). In short, the risk of total loss of your investment exists.
The Europe 1.25x Strategy Fund and the Japan 2x Strategy Fund do not seek to provide investment results on a daily basis that match the performance of a specific benchmark, but rather seek to provide investment results that correlate to the performance of a specific benchmark over time. However, similar to the Strengthening Dollar 2x Strategy Fund and Weakening Dollar 2x Strategy Fund discussed above, each of the Europe 1.25x Strategy Fund and Japan 2x Strategy Fund seeks exposure to its underlying index equal to 125% and 200% of its net assets, respectively. As a consequence, for the Europe 1.25x Strategy Fund and Japan 2x Strategy Fund, the risk of total loss of your investment exists in the event of a movement of the Fund’s underlying index in excess of 50% in a direction adverse to the Fund (meaning a decline in the value of the underlying index of the Fund). In short, the risk of total loss of your investment exists.
There is no assurance that any Fund will achieve its investment objective and an investment in a Fund could lose money. No single Fund is a complete investment program.
The Pure Style Funds are subject to a number of risks and 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 their investment objectives and may decrease the Fund’s performance. ● Each 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. ●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. ● See the prospectus for more information on these and additional 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. ● See the prospectus for more information on these and additional risks.
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. ● See the prospectus for more information on these and additional risks.
| | THE RYDEX FUNDS ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | December 31, 2023 |
The U.S. economy has proved resilient to tight monetary policy by the Federal Reserve (the “Fed”), helped by falling inflation boosting real incomes and consumer sentiment, an expansion in the fiscal deficit over the past year, and a supply-side boost as labor force participation improves. We believe these tailwinds are likely to fade going forward which would pressure growth. Consumer spending also faces headwinds from dwindling excess savings buffers.
The Fed-induced easing of financial conditions, with interest rates falling and stock prices rising, has taken pressure off the economy and helped bring down recession risk. While it appears recession risk has come down, it is still materially higher than very optimistic market expectations would suggest. The 2024 election could add to volatility and uncertainty. We expect Treasury yields to decline more than the market currently anticipates in 2024, though they are unlikely to return to the lows of the last cycle.
We expect default rates to stay elevated as U.S. companies cope with rising borrowing costs and limited credit availability, but the stress will become increasingly bifurcated between large and small companies. High-quality corporate debt and structured credit yields should provide an income cushion that could reduce the impact if spreads should widen from here.
The two-year Treasury yield declined to 4.23% from 5.03% in the fourth quarter, while the 10-year Treasury yield dropped to 3.88% from 4.59%, a 9 basis point flattening in the 2s/10s yield curve. One basis point equals 0.01%. Investment-grade corporate bond issuance has been robust, predominantly split between financials and industrials. Investment-grade spreads, which peaked at 163 basis points in April, tightened to 103 basis points by the end of the year. Meanwhile, high-yield bond credit spreads narrowed to just 363 basis points by year-end, the tightest since April 2022, and marking a significant reduction from 491 basis points at the beginning of the year. Leveraged loan discount margins tightened from 652 basis points to 528 basis points, but 44% of the loan index is trading at spreads below 400 basis points and the median loan ended the year at 464 basis points. Structured credit spreads rallied into year-end, capping a strong year of outperformance for structured credit. In CLOs, we continue to expect range bound primary spreads and an increase in refinancings and resets in early 2024.
For the Reporting Period, the S&P 500® Index* returned 26.29%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 18.24%. The return of the MSCI Emerging Markets Index* was 9.83%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a 5.53% return for the Reporting Period, while the Bloomberg U.S. Corporate High Yield Index* returned 13.45%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 5.05% for the Reporting 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.
*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 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 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 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® Index 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).
4 | THE RYDEX FUNDS ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | December 31, 2023 |
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.
ICE 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 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 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 June 30, 2023 and ending December 31, 2023.
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 ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
June 30, 2023 | Ending
Account Value
December 31, 2023 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | | | |
S&P 500® Pure Growth Fund | 1.68% | 5.55% | $ 1,000.00 | $ 1,055.50 | $ 8.70 |
S&P 500® Pure Value Fund | 1.68% | 6.37% | 1,000.00 | 1,063.70 | 8.74 |
S&P MidCap 400® Pure Growth Fund | 1.68% | 5.42% | 1,000.00 | 1,054.20 | 8.70 |
S&P MidCap 400® Pure Value Fund | 1.68% | 12.31% | 1,000.00 | 1,123.10 | 8.99 |
S&P SmallCap 600® Pure Growth Fund | 1.68% | 7.55% | 1,000.00 | 1,075.50 | 8.79 |
S&P SmallCap 600® Pure Value Fund | 1.68% | 14.66% | 1,000.00 | 1,146.60 | 9.09 |
Europe 1.25x Strategy Fund | 1.78% | 3.18% | 1,000.00 | 1,031.80 | 9.12 |
Japan 2x Strategy Fund | 1.68% | (0.29%) | 1,000.00 | 997.10 | 8.46 |
Strengthening Dollar 2x Strategy Fund | 1.95% | (0.19%) | 1,000.00 | 998.10 | 9.82 |
Weakening Dollar 2x Strategy Fund | 1.94% | 2.49% | 1,000.00 | 1,024.90 | 9.90 |
|
Table 2. Based on hypothetical 5% return (before expenses) | | | | |
S&P 500® Pure Growth Fund | 1.68% | 5.00% | $ 1,000.00 | $ 1,016.74 | $ 8.54 |
S&P 500® Pure Value Fund | 1.68% | 5.00% | 1,000.00 | 1,016.74 | 8.54 |
S&P MidCap 400® Pure Growth Fund | 1.68% | 5.00% | 1,000.00 | 1,016.74 | 8.54 |
S&P MidCap 400® Pure Value Fund | 1.68% | 5.00% | 1,000.00 | 1,016.74 | 8.54 |
S&P SmallCap 600® Pure Growth Fund | 1.68% | 5.00% | 1,000.00 | 1,016.74 | 8.54 |
S&P SmallCap 600® Pure Value Fund | 1.68% | 5.00% | 1,000.00 | 1,016.74 | 8.54 |
Europe 1.25x Strategy Fund | 1.78% | 5.00% | 1,000.00 | 1,016.23 | 9.05 |
Japan 2x Strategy Fund | 1.68% | 5.00% | 1,000.00 | 1,016.74 | 8.54 |
Strengthening Dollar 2x Strategy Fund | 1.95% | 5.00% | 1,000.00 | 1,015.38 | 9.91 |
Weakening Dollar 2x Strategy Fund | 1.94% | 5.00% | 1,000.00 | 1,015.43 | 9.86 |
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 184/365 (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 June 30, 2023 to December 31, 2023. |
8 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, S&P 500® Pure Growth Fund returned 6.47%, compared with a return of 8.22% for the underlying index. The Fund maintained a daily correlation of over 99% to its benchmark for the period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Information Technology, Industrials, and Financials. The sectors detracting the most from the return of the underlying index were Health Care and Consumer Staples.
Lam Research Corp., Vertex Pharmaceuticals, Inc., and KLA Corp. added the most to return of the underlying index for the Reporting Period. Enphase Energy, Inc., Moderna, Inc., and SolarEdge Technologies, Inc. detracted the most from performance of the underlying index.
Performance displayed represents past performance, which is no guarantee of future results.
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 |
Royal Caribbean Cruises Ltd. | 2.9% |
Monolithic Power Systems, Inc. | 2.6% |
Booking Holdings, Inc. | 2.6% |
Arista Networks, Inc. | 2.6% |
NVIDIA Corp. | 2.6% |
Uber Technologies, Inc. | 2.5% |
Builders FirstSource, Inc. | 2.4% |
Celanese Corp. — Class A | 2.4% |
Advanced Micro Devices, Inc. | 2.3% |
PulteGroup, Inc. | 2.3% |
Top Ten Total | 25.2% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
S&P 500® Pure Growth Fund | 6.47% | 9.42% | 7.94% |
S&P 500 Pure Growth Index | 8.22% | 11.32% | 9.77% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The 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. |
10 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
S&P 500® PURE GROWTH FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Technology - 30.2% |
Monolithic Power Systems, Inc. | | | 934 | | | $ | 589,149 | |
NVIDIA Corp. | | | 1,158 | | | | 573,465 | |
Advanced Micro Devices, Inc.* | | | 3,530 | | | | 520,357 | |
KLA Corp. | | | 861 | | | | 500,499 | |
ServiceNow, Inc.* | | | 632 | | | | 446,502 | |
Intuit, Inc. | | | 634 | | | | 396,269 | |
Applied Materials, Inc. | | | 2,369 | | | | 383,944 | |
Lam Research Corp. | | | 424 | | | | 332,102 | |
Cadence Design Systems, Inc.* | | | 1,195 | | | | 325,482 | |
Broadcom, Inc. | | | 285 | | | | 318,131 | |
Adobe, Inc.* | | | 531 | | | | 316,794 | |
Fortinet, Inc.* | | | 5,026 | | | | 294,172 | |
Microsoft Corp. | | | 780 | | | | 293,311 | |
Salesforce, Inc.* | | | 1,093 | | | | 287,612 | |
Synopsys, Inc.* | | | 522 | | | | 268,783 | |
Oracle Corp. | | | 2,518 | | | | 265,473 | |
Tyler Technologies, Inc.* | | | 584 | | | | 244,182 | |
Fair Isaac Corp.* | | | 198 | | | | 230,474 | |
Apple, Inc. | | | 1,017 | | | | 195,803 | |
Total Technology | | | | | | | 6,782,504 | |
| | | | | | | | | |
Consumer, Cyclical - 26.7% |
Royal Caribbean Cruises Ltd.* | | | 5,047 | | | | 653,536 | |
PulteGroup, Inc. | | | 4,996 | | | | 515,687 | |
Live Nation Entertainment, Inc.* | | | 5,397 | | | | 505,159 | |
DR Horton, Inc. | | | 3,316 | | | | 503,966 | |
Marriott International, Inc. — Class A | | | 2,194 | | | | 494,769 | |
Tesla, Inc.* | | | 1,819 | | | | 451,985 | |
Hilton Worldwide Holdings, Inc. | | | 2,388 | | | | 434,831 | |
Lululemon Athletica, Inc.* | | | 842 | | | | 430,506 | |
Copart, Inc.* | | | 7,953 | | | | 389,697 | |
Norwegian Cruise Line Holdings Ltd.* | | | 18,133 | | | | 363,385 | |
Chipotle Mexican Grill, Inc. — Class A* | | | 150 | | | | 343,044 | |
NVR, Inc.* | | | 47 | | | | 329,021 | |
Wynn Resorts Ltd. | | | 3,260 | | | | 297,018 | |
Ross Stores, Inc. | | | 1,970 | | | | 272,629 | |
Total Consumer, Cyclical | | | | | | | 5,985,233 | |
| | | | | | | | | |
Communications - 17.9% |
Booking Holdings, Inc.* | | | 165 | | | | 585,291 | |
Arista Networks, Inc.* | | | 2,476 | | | | 583,123 | |
Uber Technologies, Inc.* | | | 9,208 | | | | 566,937 | |
Palo Alto Networks, Inc.* | | | 1,536 | | | | 452,936 | |
Meta Platforms, Inc. — Class A* | | | 1,213 | | | | 429,353 | |
Expedia Group, Inc.* | | | 2,748 | | | | 417,119 | |
Amazon.com, Inc.* | | | 2,058 | | | | 312,692 | |
Netflix, Inc.* | | | 509 | | | | 247,822 | |
Alphabet, Inc. — Class A* | | | 1,630 | | | | 227,695 | |
Alphabet, Inc. — Class C* | | | 1,373 | | | | 193,497 | |
Total Communications | | | | | | | 4,016,465 | |
| | | | | | | | | |
Industrial - 7.6% |
Builders FirstSource, Inc.* | | | 3,260 | | | | 544,225 | |
Axon Enterprise, Inc.* | | | 1,295 | | | | 334,537 | |
Fortive Corp. | | | 4,513 | | | | 332,292 | |
Old Dominion Freight Line, Inc. | | | 702 | | | | 284,542 | |
TransDigm Group, Inc. | | | 204 | | | | 206,366 | |
Total Industrial | | | | | | | 1,701,962 | |
| | | | | | | | | |
Energy - 6.8% |
Targa Resources Corp. | | | 4,909 | | | | 426,445 | |
APA Corp. | | | 11,797 | | | | 423,276 | |
Diamondback Energy, Inc. | | | 2,452 | | | | 380,256 | |
Hess Corp. | | | 2,147 | | | | 309,512 | |
Total Energy | | | | | | | 1,539,489 | |
| | | | | | | | | |
Consumer, Non-cyclical - 6.2% |
United Rentals, Inc. | | | 703 | | | | 403,114 | |
FleetCor Technologies, Inc.* | | | 1,040 | | | | 293,914 | |
West Pharmaceutical Services, Inc. | | | 740 | | | | 260,569 | |
Eli Lilly & Co. | | | 392 | | | | 228,505 | |
Gartner, Inc.* | | | 460 | | | | 207,511 | |
Total Consumer, Non-cyclical | | | | | | | 1,393,613 | |
| | | | | | | | | |
Basic Materials - 2.4% |
Celanese Corp. — Class A | | | 3,419 | | | | 531,210 | |
| | | | | | | | | |
Financial - 1.7% |
Arch Capital Group Ltd.* | | | 5,059 | | | | 375,732 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $20,086,454) | | | | | | | 22,326,208 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
S&P 500® PURE GROWTH FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,1 - 0.9% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 110,986 | | | $ | 110,986 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 89,442 | | | | 89,442 | |
Total Repurchase Agreements | | | | |
(Cost $200,428) | | | | | | | 200,428 | |
| | | | | | | | | |
Total Investments - 100.4% | | | | |
(Cost $20,286,882) | | $ | 22,526,636 | |
Other Assets & Liabilities, net - (0.4)% | | | (81,845 | ) |
Total Net Assets - 100.0% | | $ | 22,444,791 | |
* | 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 December 31, 2023 (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 | | $ | 22,326,208 | | | $ | — | | | $ | — | | | $ | 22,326,208 | |
Repurchase Agreements | | | — | | | | 200,428 | | | | — | | | | 200,428 | |
Total Assets | | $ | 22,326,208 | | | $ | 200,428 | | | $ | — | | | $ | 22,526,636 | |
12 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® PURE GROWTH FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $20,086,454) | | $ | 22,326,208 | |
Repurchase agreements, at value (cost $200,428) | | | 200,428 | |
Receivables: |
Dividends | | | 5,350 | |
Interest | | | 89 | |
Fund shares sold | | | 51 | |
Total assets | | | 22,532,126 | |
| | | | | |
Liabilities: |
Payable for: |
Professional fees | | | 40,193 | |
Management fees | | | 13,911 | |
Printing fees | | | 7,775 | |
Transfer agent fees | | | 7,140 | |
Investor service fees | | | 4,637 | |
Portfolio accounting and administration fees | | | 1,947 | |
Fund shares redeemed | | | 1,914 | |
Trustees’ fees* | | | 275 | |
Miscellaneous | | | 9,543 | |
Total liabilities | | | 87,335 | |
Net assets | | $ | 22,444,791 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 20,293,064 | |
Total distributable earnings (loss) | | | 2,151,727 | |
Net assets | | $ | 22,444,791 | |
Capital shares outstanding | | | 506,763 | |
Net asset value per share | | $ | 44.29 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends | | $ | 410,603 | |
Interest | | | 8,965 | |
Total investment income | | | 419,568 | |
| | | | | |
Expenses: |
Management fees | | | 179,666 | |
Transfer agent fees | | | 61,302 | |
Investor service fees | | | 59,888 | |
Professional fees | | | 40,536 | |
Portfolio accounting and administration fees | | | 37,130 | |
Trustees’ fees* | | | 4,566 | |
Custodian fees | | | 3,635 | |
Line of credit fees | | | 103 | |
Miscellaneous | | | 22,621 | |
Total expenses | | | 409,447 | |
Less: |
Expenses reimbursed by Adviser | | | (4,976 | ) |
Net expenses | | | 404,471 | |
Net investment income | | | 15,097 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 719,577 | |
Net realized gain | | | 719,577 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 334,743 | |
Net change in unrealized appreciation (depreciation) | | | 334,743 | |
Net realized and unrealized gain | | | 1,054,320 | |
Net increase in net assets resulting from operations | | $ | 1,069,417 | |
* | 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 ANNUAL REPORT | 13 |
S&P 500® PURE GROWTH FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | 15,097 | | | $ | (158,444 | ) |
Net realized gain on investments | | | 719,577 | | | | 42,455 | |
Net change in unrealized appreciation (depreciation) on investments | | | 334,743 | | | | (12,614,960 | ) |
Net increase (decrease) in net assets resulting from operations | | | 1,069,417 | | | | (12,730,949 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (4,366,989 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 32,175,733 | | | | 26,915,792 | |
Distributions reinvested | | | — | | | | 4,366,989 | |
Cost of shares redeemed | | | (34,207,558 | ) | | | (43,394,495 | ) |
Net decrease from capital share transactions | | | (2,031,825 | ) | | | (12,111,714 | ) |
Net decrease in net assets | | | (962,408 | ) | | | (29,209,652 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 23,407,199 | | | | 52,616,851 | |
End of year | | $ | 22,444,791 | | | $ | 23,407,199 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 767,091 | | | | 550,024 | |
Shares issued from reinvestment of distributions | | | — | | | | 100,023 | |
Shares redeemed | | | (822,996 | ) | | | (838,068 | ) |
Net decrease in shares | | | (55,905 | ) | | | (188,021 | ) |
14 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 41.60 | | | $ | 70.09 | | | $ | 55.17 | | | $ | 54.49 | | | $ | 43.97 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .03 | | | | (.27 | ) | | | (.84 | ) | | | (.48 | ) | | | (.22 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 2.66 | | | | (19.18 | ) | | | 16.03 | | | | 13.22 | | | | 11.87 | |
Total from investment operations | | | 2.69 | | | | (19.45 | ) | | | 15.19 | | | | 12.74 | | | | 11.65 | |
Less distributions from: |
Net realized gains | | | — | | | | (9.04 | ) | | | (.27 | ) | | | (12.06 | ) | | | (1.13 | ) |
Total distributions | | | — | | | | (9.04 | ) | | | (.27 | ) | | | (12.06 | ) | | | (1.13 | ) |
Net asset value, end of period | | $ | 44.29 | | | $ | 41.60 | | | $ | 70.09 | | | $ | 55.17 | | | $ | 54.49 | |
|
Total Returnb | | | 6.47 | % | | | (28.35 | %) | | | 27.59 | % | | | 27.32 | % | | | 26.60 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 22,445 | | | $ | 23,407 | | | $ | 52,617 | | | $ | 35,292 | | | $ | 42,057 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.06 | % | | | (0.53 | %) | | | (1.34 | %) | | | (0.94 | %) | | | (0.42 | %) |
Total expenses | | | 1.71 | % | | | 1.67 | % | | | 1.60 | % | | | 1.73 | % | | | 1.72 | % |
Net expensesc | | | 1.69 | % | | | 1.67 | % | | | 1.60 | % | | | 1.73 | % | | | 1.72 | % |
Portfolio turnover rate | | | 182 | % | | | 139 | % | | | 155 | % | | | 159 | % | | | 190 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 15 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, S&P 500® Pure Value Fund returned 6.29%, compared with a return of 8.25% for the underlying index. The Fund maintained a daily correlation of over 99% to its benchmark for the period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Consumer Discretionary, Information Technology, and Materials. The sectors detracting the most from the return of the underlying index were Communication Services, Consumer Staples, and Utilities.
PulteGroup, Inc., Lennar Corp. - Class A, and Western Digital Corp. added the most to return of the underlying index for the Reporting Period. Lumen Technologies, Inc., DISH Network Corp.- Class A, and SVB Financial Group detracted the most from performance of the underlying index.
Performance displayed represents past performance, which is no guarantee of future results.
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 |
General Motors Co. | 3.3% |
Berkshire Hathaway, Inc. — Class B | 3.1% |
Ford Motor Co. | 2.7% |
Paramount Global — Class B | 2.6% |
Walgreens Boots Alliance, Inc. | 2.6% |
CVS Health Corp. | 2.3% |
Viatris, Inc. | 2.1% |
Tyson Foods, Inc. — Class A | 2.0% |
Invesco Ltd. | 2.0% |
United Airlines Holdings, Inc. | 2.0% |
Top Ten Total | 24.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
16 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
S&P 500® Pure Value Fund | 6.29% | 8.61% | 6.00% |
S&P 500 Pure Value Index | 8.25% | 10.59% | 7.82% |
* | 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
S&P 500® PURE VALUE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Financial - 30.3% |
Berkshire Hathaway, Inc. — Class B* | | | 1,681 | | | $ | 599,545 | |
Invesco Ltd. | | | 21,770 | | | | 388,377 | |
Citigroup, Inc. | | | 6,742 | | | | 346,808 | |
Citizens Financial Group, Inc. | | | 9,640 | | | | 319,470 | |
Truist Financial Corp. | | | 6,260 | | | | 231,119 | |
Capital One Financial Corp. | | | 1,737 | | | | 227,756 | |
Synchrony Financial | | | 4,849 | | | | 185,183 | |
Loews Corp. | | | 2,619 | | | | 182,256 | |
Prudential Financial, Inc. | | | 1,756 | | | | 182,115 | |
M&T Bank Corp. | | | 1,304 | | | | 178,752 | |
Franklin Resources, Inc. | | | 5,914 | | | | 176,178 | |
American International Group, Inc. | | | 2,563 | | | | 173,643 | |
Bank of America Corp. | | | 5,062 | | | | 170,438 | |
Wells Fargo & Co. | | | 3,348 | | | | 164,789 | |
Zions Bancorp North America | | | 3,648 | | | | 160,038 | |
State Street Corp. | | | 2,010 | | | | 155,695 | |
Huntington Bancshares, Inc. | | | 12,026 | | | | 152,971 | |
KeyCorp | | | 10,354 | | | | 149,098 | |
Bank of New York Mellon Corp. | | | 2,858 | | | | 148,759 | |
Regions Financial Corp. | | | 7,643 | | | | 148,121 | |
Comerica, Inc. | | | 2,325 | | | | 129,758 | |
Goldman Sachs Group, Inc. | | | 311 | | | | 119,974 | |
MetLife, Inc. | | | 1,760 | | | | 116,389 | |
Assurant, Inc. | | | 655 | | | | 110,361 | |
PNC Financial Services Group, Inc. | | | 701 | | | | 108,550 | |
Hartford Financial Services Group, Inc. | | | 1,342 | | | | 107,870 | |
Fifth Third Bancorp | | | 3,074 | | | | 106,022 | |
Alexandria Real Estate Equities, Inc. REIT | | | 833 | | | | 105,599 | |
Everest Group Ltd. | | | 288 | | | | 101,831 | |
U.S. Bancorp | | | 2,341 | | | | 101,318 | |
Principal Financial Group, Inc. | | | 1,215 | | | | 95,584 | |
Cincinnati Financial Corp. | | | 870 | | | | 90,010 | |
Allstate Corp. | | | 622 | | | | 87,068 | |
Travelers Companies, Inc. | | | 446 | | | | 84,959 | |
Total Financial | | | | | | | 5,906,404 | |
| | | | | | | | | |
Consumer, Non-cyclical - 24.1% |
CVS Health Corp. | | | 5,574 | | | | 440,123 | |
Viatris, Inc. | | | 38,520 | | | | 417,172 | |
Tyson Foods, Inc. — Class A | | | 7,360 | | | | 395,600 | |
Bunge Global S.A. | | | 3,614 | | | | 364,833 | |
Centene Corp.* | | | 4,683 | | | | 347,526 | |
Kroger Co. | | | 6,795 | | | | 310,599 | |
Cigna Group | | | 826 | | | | 247,346 | |
Archer-Daniels-Midland Co. | | | 3,395 | | | | 245,187 | |
Cencora, Inc. — Class A | | | 1,179 | | | | 242,143 | |
McKesson Corp. | | | 523 | | | | 242,138 | |
Cardinal Health, Inc. | | | 2,167 | | | | 218,433 | |
Kraft Heinz Co. | | | 5,295 | | | | 195,809 | |
Universal Health Services, Inc. — Class B | | | 1,178 | | | | 179,574 | |
Molson Coors Beverage Co. — Class B | | | 2,787 | | | | 170,592 | |
Conagra Brands, Inc. | | | 3,713 | | | | 106,415 | |
Henry Schein, Inc.* | | | 1,370 | | | | 103,723 | |
Bio-Rad Laboratories, Inc. — Class A* | | | 310 | | | | 100,096 | |
Sysco Corp. | | | 1,347 | | | | 98,506 | |
Elevance Health, Inc. | | | 205 | | | | 96,670 | |
Corteva, Inc. | | | 1,870 | | | | 89,611 | |
Humana, Inc. | | | 190 | | | | 86,984 | |
Total Consumer, Non-cyclical | | | | | | | 4,699,080 | |
| | | | | | | | | |
Consumer, Cyclical - 19.6% |
General Motors Co. | | | 17,993 | | | | 646,309 | |
Ford Motor Co. | | | 43,195 | | | | 526,547 | |
Walgreens Boots Alliance, Inc. | | | 19,285 | | | | 503,531 | |
United Airlines Holdings, Inc.* | | | 9,313 | | | | 384,255 | |
CarMax, Inc.* | | | 4,092 | | | | 314,020 | |
BorgWarner, Inc. | | | 7,426 | | | | 266,222 | |
American Airlines Group, Inc.* | | | 18,538 | | | | 254,712 | |
Best Buy Company, Inc. | | | 2,722 | | | | 213,078 | |
Whirlpool Corp. | | | 1,739 | | | | 211,758 | |
Southwest Airlines Co. | | | 6,982 | | | | 201,640 | |
Target Corp. | | | 728 | | | | 103,682 | |
VF Corp. | | | 5,325 | | | | 100,110 | |
LKQ Corp. | | | 2,024 | | | | 96,727 | |
Total Consumer, Cyclical | | | | | | | 3,822,591 | |
| | | | | | | | | |
Communications - 6.8% |
Paramount Global — Class B | | | 34,354 | | | | 508,096 | |
Warner Bros Discovery, Inc.* | | | 31,152 | | | | 354,510 | |
AT&T, Inc. | | | 8,432 | | | | 141,489 | |
Verizon Communications, Inc. | | | 2,840 | | | | 107,068 | |
Fox Corp. — Class A | | | 2,747 | | | | 81,503 | |
News Corp. — Class A | | | 3,038 | | | | 74,583 | |
Fox Corp. — Class B | | | 1,469 | | | | 40,618 | |
News Corp. — Class B | | | 912 | | | | 23,456 | |
Total Communications | | | | | | | 1,331,323 | |
| | | | | | | | | |
Basic Materials - 5.0% |
Mosaic Co. | | | 6,211 | | | | 221,919 | |
International Paper Co. | | | 5,483 | | | | 198,210 | |
International Flavors & Fragrances, Inc. | | | 1,522 | | | | 123,236 | |
Dow, Inc. | | | 2,145 | | | | 117,632 | |
Albemarle Corp. | | | 785 | | | | 113,417 | |
LyondellBasell Industries N.V. — Class A | | | 1,043 | | | | 99,169 | |
Eastman Chemical Co. | | | 1,070 | | | | 96,107 | |
Total Basic Materials | | | | | | | 969,690 | |
| | | | | | | | | |
Energy - 4.8% |
Valero Energy Corp. | | | 2,650 | | | | 344,500 | |
Phillips 66 | | | 2,264 | | | | 301,429 | |
Equities Corp. | | | 2,946 | | | | 113,892 | |
Chevron Corp. | | | 597 | | | | 89,049 | |
Kinder Morgan, Inc. | | | 5,030 | | | | 88,729 | |
Total Energy | �� | | | | | | 937,599 | |
| | | | | | | | | |
Industrial - 4.8% |
Mohawk Industries, Inc.* | | | 3,502 | | | | 362,457 | |
Westrock Co. | | | 6,170 | | | | 256,178 | |
Stanley Black & Decker, Inc. | | | 1,276 | | | | 125,176 | |
FedEx Corp. | | | 366 | | | | 92,587 | |
CH Robinson Worldwide, Inc. | | | 1,048 | | | | 90,537 | |
Total Industrial | | | | | | | 926,935 | |
18 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
S&P 500® PURE VALUE FUND | |
| | Shares | | | Value | |
Utilities - 2.4% |
NRG Energy, Inc. | | | 3,212 | | | $ | 166,060 | |
Evergy, Inc. | | | 1,957 | | | | 102,155 | |
Eversource Energy | | | 1,605 | | | | 99,061 | |
Pinnacle West Capital Corp. | | | 1,290 | | | | 92,674 | |
Total Utilities | | | | | | | 459,950 | |
| | | | | | | | | |
Technology - 1.7% |
Hewlett Packard Enterprise Co. | | | 14,122 | | | | 239,791 | |
HP, Inc. | | | 2,923 | | | | 87,953 | |
Total Technology | | | | | | | 327,744 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $16,143,850) | | | | | | | 19,381,316 | |
| | Face
Amount | | | | |
REPURCHASE AGREEMENTS††,1 - 0.7% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 77,991 | | | | 77,991 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 62,852 | | | | 62,852 | |
Total Repurchase Agreements | | | | |
(Cost $140,843) | | | | | | | 140,843 | |
| | | | | | | | | |
Total Investments - 100.2% | | | | |
(Cost $16,284,693) | | $ | 19,522,159 | |
Other Assets & Liabilities, net - (0.2)% | | | (47,802 | ) |
Total Net Assets - 100.0% | | $ | 19,474,357 | |
* | 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. |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
S&P 500® PURE VALUE FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 19,381,316 | | | $ | — | | | $ | — | | | $ | 19,381,316 | |
Repurchase Agreements | | | — | | | | 140,843 | | | | — | | | | 140,843 | |
Total Assets | | $ | 19,381,316 | | | $ | 140,843 | | | $ | — | | | $ | 19,522,159 | |
20 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $16,143,850) | | $ | 19,381,316 | |
Repurchase agreements, at value (cost $140,843) | | | 140,843 | |
Receivables: |
Fund shares sold | | | 206,354 | |
Dividends | | | 22,212 | |
Interest | | | 63 | |
Securities lending income | | | 21 | |
Total assets | | | 19,750,809 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 202,154 | |
Management fees | | | 11,844 | |
Transfer agent/maintenance fees | | | 5,820 | |
Investor service fees | | | 3,948 | |
Fund shares redeemed | | | 2,399 | |
Portfolio accounting/administration fees | | | 1,658 | |
Trustees’ fees* | | | 231 | |
Miscellaneous | | | 48,398 | |
Total liabilities | | | 276,452 | |
Net assets | | $ | 19,474,357 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 19,319,489 | |
Total distributable earnings (loss) | | | 154,868 | |
Net assets | | $ | 19,474,357 | |
Capital shares outstanding | | | 352,146 | |
Net asset value per share | | $ | 55.30 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends | | $ | 631,836 | |
Interest | | | 7,429 | |
Income from securities lending, net | | | 222 | |
Total investment income | | | 639,487 | |
| | | | | |
Expenses: |
Management fees | | | 174,127 | |
Investor service fees | | | 58,042 | |
Transfer agent fees | | | 62,214 | |
Professional fees | | | 37,529 | |
Portfolio accounting and administration fees | | | 35,986 | |
Trustees’ fees* | | | 5,196 | |
Custodian fees | | | 3,607 | |
Line of credit fees | | | 68 | |
Miscellaneous | | | 18,977 | |
Total expenses | | | 395,746 | |
Less: |
Expenses reimbursed by Adviser | | | (3,950 | ) |
Net expenses | | | 391,796 | |
Net investment income | | | 247,691 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 148,636 | |
Net realized gain | | | 148,636 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (126,761 | ) |
Net change in unrealized appreciation (depreciation) | | | (126,761 | ) |
Net realized and unrealized gain | | | 21,875 | |
Net increase in net assets resulting from operations | | $ | 269,566 | |
* | 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 ANNUAL REPORT | 21 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 247,691 | | | $ | 300,439 | |
Net realized gain on investments | | | 148,636 | | | | 891,922 | |
Net change in unrealized appreciation (depreciation) on investments | | | (126,761 | ) | | | (4,314,470 | ) |
Net increase (decrease) in net assets resulting from operations | | | 269,566 | | | | (3,122,109 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (296,989 | ) | | | (3,237,052 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 17,519,101 | | | | 100,597,592 | |
Distributions reinvested | | | 296,989 | | | | 3,237,052 | |
Cost of shares redeemed | | | (31,512,852 | ) | | | (94,580,396 | ) |
Net increase (decrease) from capital share transactions | | | (13,696,762 | ) | | | 9,254,248 | |
Net increase (decrease) in net assets | | | (13,724,185 | ) | | | 2,895,087 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 33,198,542 | | | | 30,303,455 | |
End of year | | $ | 19,474,357 | | | $ | 33,198,542 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 328,298 | | | | 1,671,246 | |
Shares issued from reinvestment of distributions | | | 5,535 | | | | 62,916 | |
Shares redeemed | | | (610,428 | ) | | | (1,600,125 | ) |
Net increase (decrease) in shares | | | (276,595 | ) | | | 134,037 | |
22 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 52.80 | | | $ | 61.26 | | | $ | 46.76 | | | $ | 58.01 | | | $ | 48.02 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .56 | | | | .50 | | | | .50 | | | | .46 | | | | .59 | |
Net gain (loss) on investments (realized and unrealized) | | | 2.73 | | | | (2.25 | ) | | | 14.56 | | | | (7.59 | ) | | | 10.53 | |
Total from investment operations | | | 3.29 | | | | (1.75 | ) | | | 15.06 | | | | (7.13 | ) | | | 11.12 | |
Less distributions from: |
Net investment income | | | (.79 | ) | | | (.57 | ) | | | (.36 | ) | | | (.85 | ) | | | (.45 | ) |
Net realized gains | | | — | | | | (6.14 | ) | | | (.20 | ) | | | (3.27 | ) | | | (.68 | ) |
Total distributions | | | (.79 | ) | | | (6.71 | ) | | | (.56 | ) | | | (4.12 | ) | | | (1.13 | ) |
Net asset value, end of period | | $ | 55.30 | | | $ | 52.80 | | | $ | 61.26 | | | $ | 46.76 | | | $ | 58.01 | |
|
Total Returnb | | | 6.29 | % | | | (2.55 | %) | | | 32.32 | % | | | (10.56 | %) | | | 23.27 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 19,474 | | | $ | 33,199 | | | $ | 30,303 | | | $ | 25,999 | | | $ | 32,731 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.07 | % | | | 0.86 | % | | | 0.87 | % | | | 1.08 | % | | | 1.10 | % |
Total expenses | | | 1.70 | % | | | 1.67 | % | | | 1.59 | % | | | 1.73 | % | | | 1.72 | % |
Net expensesc | | | 1.69 | % | | | 1.67 | % | | | 1.59 | % | | | 1.73 | % | | | 1.72 | % |
Portfolio turnover rate | | | 88 | % | | | 280 | % | | | 184 | % | | | 157 | % | | | 144 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 23 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, S&P MidCap 400® Pure Growth Fund returned 14.67%, compared with a return of 16.67% for the underlying index. The Fund maintained a daily correlation of over 99% to its benchmark for the period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Industrials, Consumer Discretionary, and Materials. The only sector detracting from the return of the underlying index was Utilities.
Builders FirstSource, Inc., Celsius Holdings, Inc., and Simpson Manufacturing Company, Inc. added the most to return of the underlying index for the Reporting Period. Halozyme Therapeutics, Inc., Antero Resources Corp., and Valmont Industries, Inc. detracted the most from performance of the underlying index.
Performance displayed represents past performance, which is no guarantee of future results.
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 |
Southwestern Energy Co. | 2.5% |
CNX Resources Corp. | 2.3% |
Super Micro Computer, Inc. | 2.2% |
TopBuild Corp. | 2.2% |
Weatherford International plc | 2.1% |
Celsius Holdings, Inc. | 2.1% |
Permian Resources Corp. | 1.9% |
Rambus, Inc. | 1.8% |
Toll Brothers, Inc. | 1.8% |
Medpace Holdings, Inc. | 1.7% |
Top Ten Total | 20.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
24 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
S&P MidCap 400® Pure Growth Fund | 14.67% | 8.44% | 4.50% |
S&P MidCap 400 Pure Growth Index | 16.67% | 10.24% | 6.23% |
* | 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
S&P MIDCAP 400® PURE GROWTH FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Industrial - 24.0% |
TopBuild Corp.* | | | 529 | | | $ | 197,984 | |
Simpson Manufacturing Company, Inc. | | | 772 | | | | 152,840 | |
Comfort Systems USA, Inc. | | | 691 | | | | 142,118 | |
Owens Corning | | | 951 | | | | 140,967 | |
Clean Harbors, Inc.* | | | 706 | | | | 123,204 | |
UFP Industries, Inc. | | | 934 | | | | 117,264 | |
Eagle Materials, Inc. | | | 575 | | | | 116,633 | |
Saia, Inc.* | | | 248 | | | | 108,678 | |
nVent Electric plc | | | 1,737 | | | | 102,639 | |
Universal Display Corp. | | | 534 | | | | 102,133 | |
EMCOR Group, Inc. | | | 466 | | | | 100,390 | |
Lennox International, Inc. | | | 214 | | | | 95,769 | |
Chart Industries, Inc.* | | | 691 | | | | 94,204 | |
Trex Company, Inc.* | | | 1,125 | | | | 93,139 | |
Lincoln Electric Holdings, Inc. | | | 410 | | | | 89,159 | |
Esab Corp. | | | 980 | | | | 84,888 | |
RBC Bearings, Inc.* | | | 292 | | | | 83,188 | |
Advanced Drainage Systems, Inc. | | | 530 | | | | 74,539 | |
Crane Co. | | | 566 | | | | 66,867 | |
Vontier Corp. | | | 1,916 | | | | 66,198 | |
Total Industrial | | | | | | | 2,152,801 | |
| | | | | | | | | |
Consumer, Cyclical - 21.9% |
Toll Brothers, Inc. | | | 1,579 | | | | 162,305 | |
Hyatt Hotels Corp. — Class A | | | 1,180 | | | | 153,884 | |
Deckers Outdoor Corp.* | | | 209 | | | | 139,702 | |
Murphy USA, Inc. | | | 389 | | | | 138,702 | |
Wingstop, Inc. | | | 531 | | | | 136,244 | |
Churchill Downs, Inc. | | | 973 | | | | 131,287 | |
Floor & Decor Holdings, Inc. — Class A* | | | 1,008 | | | | 112,453 | |
Skechers USA, Inc. — Class A* | | | 1,681 | | | | 104,793 | |
Tempur Sealy International, Inc. | | | 1,998 | | | | 101,838 | |
Five Below, Inc.* | | | 438 | | | | 93,364 | |
Texas Roadhouse, Inc. — Class A | | | 741 | | | | 90,572 | |
Casey’s General Stores, Inc. | | | 311 | | | | 85,444 | |
Williams-Sonoma, Inc. | | | 412 | | | | 83,133 | |
Watsco, Inc. | | | 191 | | | | 81,838 | |
Crocs, Inc.* | | | 873 | | | | 81,547 | |
Planet Fitness, Inc. — Class A* | | | 1,095 | | | | 79,935 | |
FirstCash Holdings, Inc. | | | 622 | | | | 67,419 | |
Light & Wonder, Inc. — Class A* | | | 808 | | | | 66,345 | |
Boyd Gaming Corp. | | | 902 | | | | 56,474 | |
Total Consumer, Cyclical | | | | | | | 1,967,279 | |
| | | | | | | | | |
Energy - 17.0% |
Southwestern Energy Co.* | | | 33,817 | | | | 221,502 | |
CNX Resources Corp.* | | | 10,521 | | | | 210,420 | |
Weatherford International plc* | | | 1,912 | | | | 187,051 | |
Permian Resources Corp. | | | 12,436 | | | | 169,130 | |
Valaris Ltd.* | | | 2,091 | | | | 143,380 | |
Chord Energy Corp. | | | 823 | | | | 136,807 | |
Range Resources Corp. | | | 4,120 | | | | 125,413 | |
Ovintiv, Inc. | | | 2,849 | | | | 125,128 | |
Civitas Resources, Inc. | | | 1,693 | | | | 115,767 | |
Matador Resources Co. | | | 1,620 | | | | 92,113 | |
Total Energy | | | | | | | 1,526,711 | |
| | | | | | | | | |
Consumer, Non-cyclical - 15.5% |
Celsius Holdings, Inc.* | | | 3,372 | | | | 183,841 | |
Medpace Holdings, Inc.* | | | 510 | | | | 156,330 | |
Lantheus Holdings, Inc.* | | | 1,875 | | | | 116,250 | |
Exelixis, Inc.* | | | 3,969 | | | | 95,216 | |
Arrowhead Pharmaceuticals, Inc.* | | | 3,068 | | | | 93,881 | |
Grand Canyon Education, Inc.* | | | 684 | | | | 90,315 | |
Coca-Cola Consolidated, Inc. | | | 97 | | | | 90,055 | |
Progyny, Inc.* | | | 2,370 | | | | 88,117 | |
Avis Budget Group, Inc. | | | 497 | | | | 88,098 | |
Acadia Healthcare Company, Inc.* | | | 1,034 | | | | 80,404 | |
Penumbra, Inc.* | | | 311 | | | | 78,229 | |
Coty, Inc. — Class A* | | | 5,248 | | | | 65,180 | |
Brink’s Co. | | | 738 | | | | 64,907 | |
FTI Consulting, Inc.* | | | 253 | | | | 50,385 | |
Halozyme Therapeutics, Inc.* | | | 1,340 | | | | 49,527 | |
Total Consumer, Non-cyclical | | | | | | | 1,390,735 | |
| | | | | | | | | |
Technology - 10.1% |
Super Micro Computer, Inc.* | | | 704 | | | | 200,119 | |
Rambus, Inc.* | | | 2,380 | | | | 162,435 | |
Dynatrace, Inc.* | | | 2,717 | | | | 148,593 | |
Onto Innovation, Inc.* | | | 774 | | | | 118,345 | |
Qualys, Inc.* | | | 579 | | | | 113,646 | |
Manhattan Associates, Inc.* | | | 432 | | | | 93,018 | |
Dropbox, Inc. — Class A* | | | 2,409 | | | | 71,017 | |
Total Technology | | | | | | | 907,173 | |
| | | | | | | | | |
Basic Materials - 5.0% |
Reliance Steel & Aluminum Co. | | | 451 | | | | 126,136 | |
Valvoline, Inc.* | | | 3,021 | | | | 113,529 | |
NewMarket Corp. | | | 191 | | | | 104,253 | |
Westlake Corp. | | | 732 | | | | 102,451 | |
Total Basic Materials | | | | | | | 446,369 | |
| | | | | | | | | |
Financial - 3.9% |
Park Hotels & Resorts, Inc. REIT | | | 9,282 | | | | 142,015 | |
Kinsale Capital Group, Inc. | | | 385 | | | | 128,940 | |
Primerica, Inc. | | | 399 | | | | 82,098 | |
Total Financial | | | | | | | 353,053 | |
| | | | | | | | | |
Utilities - 1.5% |
Vistra Corp. | | | 3,426 | | | | 131,970 | |
| | | | | | | | | |
Communications - 0.6% |
GoDaddy, Inc. — Class A* | | | 552 | | | | 58,600 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $7,877,750) | | | | | | | 8,934,691 | |
| | | | | | | | | |
26 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
S&P MIDCAP 400® PURE GROWTH FUND | |
| | | Face
Amount | | | Value | |
| REPURCHASE AGREEMENTS††,1 - 1.1% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 55,374 | | | $ | 55,374 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 44,626 | | | | 44,626 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $100,000) | | | | | | | 100,000 | |
| | | | | | | | | |
| Total Investments - 100.6% | | | | | | | | |
| (Cost $7,977,750) | | | | | | $ | 9,034,691 | |
| Other Assets & Liabilities, net - (0.6)% | | | | | | | (56,030 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 8,978,661 | |
* | 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 December 31, 2023 (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 | | $ | 8,934,691 | | | $ | — | | | $ | — | | | $ | 8,934,691 | |
Repurchase Agreements | | | — | | | | 100,000 | | | | — | | | | 100,000 | |
Total Assets | | $ | 8,934,691 | | | $ | 100,000 | | | $ | — | | | $ | 9,034,691 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI ANNUAL REPORT | 27 |
S&P MIDCAP 400® PURE GROWTH FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $7,877,750) | | $ | 8,934,691 | |
Repurchase agreements, at value (cost $100,000) | | | 100,000 | |
Receivables: |
Securities sold | | | 45,284 | |
Dividends | | | 19,110 | |
Interest | | | 45 | |
Securities lending income | | | 5 | |
Total assets | | | 9,099,135 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 85,709 | |
Management fees | | | 5,673 | |
Transfer agent | | | 2,809 | |
Investor service fees | | | 1,891 | |
Portfolio accounting and administration fees | | | 794 | |
Trustees’ fees* | | | 112 | |
Miscellaneous | | | 23,486 | |
Total liabilities | | | 120,474 | |
Net assets | | $ | 8,978,661 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 8,079,762 | |
Total distributable earnings (loss) | | | 898,899 | |
Net assets | | $ | 8,978,661 | |
Capital shares outstanding | | | 272,941 | |
Net asset value per share | | $ | 32.90 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends | | $ | 111,793 | |
Interest | | | 3,697 | |
Income from securities lending, net | | | 40 | |
Total investment income | | | 115,530 | |
| | | | | |
Expenses: |
Management fees | | | 74,411 | |
Investor service fees | | | 24,804 | |
Transfer agent fees | | | 25,798 | |
Professional fees | | | 20,598 | |
Portfolio accounting and administration fees | | | 15,378 | |
Trustees’ fees* | | | 2,030 | |
Custodian fees | | | 1,627 | |
Line of credit fees | | | 10 | |
Miscellaneous | | | 4,745 | |
Total expenses | | | 169,401 | |
Less: |
Expenses reimbursed by Adviser | | | (1,956 | ) |
Net expenses | | | 167,445 | |
Net investment loss | | | (51,915 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 711,051 | |
Net realized gain | | | 711,051 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 343,457 | |
Net change in unrealized appreciation (depreciation) | | | 343,457 | |
Net realized and unrealized gain | | | 1,054,508 | |
Net increase in net assets resulting from operations | | $ | 1,002,593 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
28 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE GROWTH FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (51,915 | ) | | $ | (59,644 | ) |
Net realized gain (loss) on investments | | | 711,051 | | | | (498,943 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 343,457 | | | | (2,568,310 | ) |
Net increase (decrease) in net assets resulting from operations | | | 1,002,593 | | | | (3,126,897 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (1,815,529 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 15,193,565 | | | | 17,135,147 | |
Distributions reinvested | | | — | | | | 1,815,529 | |
Cost of shares redeemed | | | (19,179,213 | ) | | | (20,679,917 | ) |
Net decrease from capital share transactions | | | (3,985,648 | ) | | | (1,729,241 | ) |
Net decrease in net assets | | | (2,983,055 | ) | | | (6,671,667 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 11,961,716 | | | | 18,633,383 | |
End of year | | $ | 8,978,661 | | | $ | 11,961,716 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 486,679 | | | | 551,564 | |
Shares issued from reinvestment of distributions | | | — | | | | 63,748 | |
Shares redeemed | | | (630,714 | ) | | | (596,185 | ) |
Net increase (decrease) in shares | | | (144,035 | ) | | | 19,127 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 29 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 28.69 | | | $ | 46.84 | | | $ | 45.31 | | | $ | 36.17 | | | $ | 31.34 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.16 | ) | | | (.19 | ) | | | (.59 | ) | | | (.41 | ) | | | (.27 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 4.37 | | | | (10.46 | ) | | | 6.04 | | | | 11.04 | | | | 5.10 | |
Total from investment operations | | | 4.21 | | | | (10.65 | ) | | | 5.45 | | | | 10.63 | | | | 4.83 | |
Less distributions from: |
Net realized gains | | | — | | | | (7.50 | ) | | | (3.92 | ) | | | (1.49 | ) | | | — | |
Total distributions | | | — | | | | (7.50 | ) | | | (3.92 | ) | | | (1.49 | ) | | | — | |
Net asset value, end of period | | $ | 32.90 | | | $ | 28.69 | | | $ | 46.84 | | | $ | 45.31 | | | $ | 36.17 | |
|
Total Returnb | | | 14.67 | % | | | (22.62 | %) | | | 12.21 | % | | | 30.47 | % | | | 15.41 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 8,979 | | | $ | 11,962 | | | $ | 18,633 | | | $ | 20,870 | | | $ | 12,738 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.52 | %) | | | (0.55 | %) | | | (1.23 | %) | | | (1.13 | %) | | | (0.77 | %) |
Total expenses | | | 1.71 | % | | | 1.67 | % | | | 1.60 | % | | | 1.72 | % | | | 1.73 | % |
Net expensesc | | | 1.69 | % | | | 1.67 | % | | | 1.60 | % | | | 1.72 | % | | | 1.73 | % |
Portfolio turnover rate | | | 197 | % | | | 227 | % | | | 159 | % | | | 204 | % | | | 176 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
30 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, S&P MidCap 400® Pure Value Fund returned 27.83%, compared with a return of 30.43% for the underlying index. The Fund maintained a daily correlation of over 99% to its benchmark for the period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Consumer Discretionary, Information Technology, and Industrials. The only sectors detracting from the return of the underlying index were Utilities and Communication Services.
KB Home, XPO, Inc., and Unites States Steel Corp. added the most to return of the underlying index for the Reporting Period. Foot Locker, Inc., PacWest Bancorp, and Kohl’s Corp. detracted the most from performance of the underlying index.
Performance displayed represents past performance, which is no guarantee of future results.
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 |
Macy’s, Inc. | 2.7% |
United States Steel Corp. | 2.7% |
Hertz Global Holdings, Inc. | 2.6% |
PBF Energy, Inc. — Class A | 2.6% |
Avnet, Inc. | 2.5% |
Lithia Motors, Inc. — Class A | 2.4% |
TD SYNNEX Corp. | 2.3% |
Goodyear Tire & Rubber Co. | 2.2% |
Arrow Electronics, Inc. | 2.1% |
HF Sinclair Corp. | 2.1% |
Top Ten Total | 24.2% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 31 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
S&P MidCap 400® Pure Value Fund | 27.83% | 15.90% | 8.80% |
S&P MidCap 400 Pure Value Index | 30.43% | 18.08% | 10.76% |
* | 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. |
32 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
S&P MIDCAP 400® PURE VALUE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Consumer, Cyclical - 26.6% |
Macy’s, Inc. | | | 15,625 | | | $ | 314,375 | |
Lithia Motors, Inc. — Class A | | | 838 | | | | 275,937 | |
Goodyear Tire & Rubber Co.* | | | 17,916 | | | | 256,557 | |
Adient plc* | | | 6,357 | | | | 231,141 | |
AutoNation, Inc.* | | | 1,257 | | | | 188,776 | |
Nordstrom, Inc. | | | 10,090 | | | | 186,161 | |
WESCO International, Inc. | | | 987 | | | | 171,620 | |
Taylor Morrison Home Corp. — Class A* | | | 2,899 | | | | 154,661 | |
Lear Corp. | | | 1,090 | | | | 153,919 | |
PVH Corp. | | | 1,162 | | | | 141,904 | |
Penske Automotive Group, Inc. | | | 832 | | | | 133,544 | |
Thor Industries, Inc. | | | 1,087 | | | | 128,538 | |
Aramark | | | 4,485 | | | | 126,028 | |
Penn Entertainment, Inc.* | | | 4,750 | | | | 123,595 | |
Harley-Davidson, Inc. | | | 2,802 | | | | 103,226 | |
Marriott Vacations Worldwide Corp. | | | 1,005 | | | | 85,314 | |
Gap, Inc. | | | 3,543 | | | | 74,084 | |
BJ’s Wholesale Club Holdings, Inc.* | | | 852 | | | | 56,794 | |
Leggett & Platt, Inc. | | | 2,119 | | | | 55,454 | |
Under Armour, Inc. — Class A* | | | 5,229 | | | | 45,963 | |
Under Armour, Inc. — Class C* | | | 5,409 | | | | 45,165 | |
Total Consumer, Cyclical | | | | | | | 3,052,756 | |
| | | | | | | | | |
Financial - 21.4% |
Jones Lang LaSalle, Inc.* | | | 1,013 | | | | 191,325 | |
Unum Group | | | 3,279 | | | | 148,276 | |
Medical Properties Trust, Inc. REIT1 | | | 30,191 | | | | 148,238 | |
Ally Financial, Inc. | | | 4,015 | | | | 140,204 | |
New York Community Bancorp, Inc. | | | 13,609 | | | | 139,220 | |
Associated Banc-Corp. | | | 6,186 | | | | 132,318 | |
Valley National Bancorp | | | 11,293 | | | | 122,642 | |
Kilroy Realty Corp. REIT | | | 2,953 | | | | 117,647 | |
Cousins Properties, Inc. REIT | | | 4,660 | | | | 113,471 | |
Jefferies Financial Group, Inc. | | | 2,711 | | | | 109,552 | |
FNB Corp. | | | 7,862 | | | | 108,260 | |
Kemper Corp. | | | 2,209 | | | | 107,512 | |
Reinsurance Group of America, Inc. — Class A | | | 646 | | | | 104,510 | |
First Horizon Corp. | | | 5,956 | | | | 84,337 | |
Old National Bancorp | | | 4,755 | | | | 80,312 | |
Prosperity Bancshares, Inc. | | | 1,172 | | | | 79,380 | |
Texas Capital Bancshares, Inc.* | | | 1,199 | | | | 77,491 | |
Healthcare Realty Trust, Inc. REIT | | | 4,181 | | | | 72,039 | |
Janus Henderson Group plc | | | 2,350 | | | | 70,852 | |
Webster Financial Corp. | | | 1,320 | | | | 67,003 | |
Independence Realty Trust, Inc. REIT | | | 4,253 | | | | 65,071 | |
CNO Financial Group, Inc. | | | 2,205 | | | | 61,520 | |
First American Financial Corp. | | | 934 | | | | 60,187 | |
Old Republic International Corp. | | | 1,952 | | | | 57,389 | |
Total Financial | | | | | | | 2,458,756 | |
| | | | | | | | | |
Industrial - 15.9% |
Avnet, Inc. | | | 5,727 | | | | 288,641 | |
TD SYNNEX Corp. | | | 2,420 | | | | 260,416 | |
Arrow Electronics, Inc.* | | | 1,939 | | | | 237,043 | |
MasTec, Inc.* | | | 2,212 | | | | 167,493 | |
Ryder System, Inc. | | | 1,227 | | | | 141,179 | |
MDU Resources Group, Inc. | | | 5,890 | | | | 116,622 | |
Fluor Corp.* | | | 2,625 | | | | 102,821 | |
Greif, Inc. — Class A | | | 1,177 | | | | 77,200 | |
AGCO Corp. | | | 573 | | | | 69,568 | |
Oshkosh Corp. | | | 606 | | | | 65,696 | |
Werner Enterprises, Inc. | | | 1,465 | | | | 62,072 | |
Vishay Intertechnology, Inc. | | | 2,580 | | | | 61,842 | |
Coherent Corp.* | | | 1,328 | | | | 57,808 | |
Berry Global Group, Inc. | | | 854 | | | | 57,551 | |
Knight-Swift Transportation Holdings, Inc. | | | 996 | | | | 57,419 | |
Total Industrial | | | | | | | 1,823,371 | |
| | | | | | | | | |
Consumer, Non-cyclical - 15.6% |
Hertz Global Holdings, Inc.* | | | 29,031 | | | | 301,632 | |
ManpowerGroup, Inc. | | | 2,632 | | | | 209,165 | |
Performance Food Group Co.* | | | 2,544 | | | | 175,918 | |
US Foods Holding Corp.* | | | 3,677 | | | | 166,973 | |
Graham Holdings Co. — Class B | | | 237 | | | | 165,075 | |
Pilgrim’s Pride Corp.* | | | 4,558 | | | | 126,074 | |
Tenet Healthcare Corp.* | | | 1,616 | | | | 122,121 | |
Perrigo Company plc | | | 3,639 | | | | 117,103 | |
Enovis Corp.* | | | 1,598 | | | | 89,520 | |
QuidelOrtho Corp.* | | | 1,153 | | | | 84,976 | |
Post Holdings, Inc.* | | | 887 | | | | 78,109 | |
Patterson Companies, Inc. | | | 2,706 | | | | 76,986 | |
Envista Holdings Corp.* | | | 3,108 | | | | 74,778 | |
Total Consumer, Non-cyclical | | | | | | | 1,788,430 | |
| | | | | | | | | |
Energy - 7.7% |
PBF Energy, Inc. — Class A | | | 6,748 | | | | 296,642 | |
HF Sinclair Corp. | | | 4,248 | | | | 236,061 | |
Sunrun, Inc.* | | | 8,010 | | | | 157,236 | |
Chesapeake Energy Corp. | | | 957 | | | | 73,632 | |
NOV, Inc. | | | 3,051 | | | | 61,874 | |
Antero Resources Corp.* | | | 2,727 | | | | 61,849 | |
Total Energy | | | | | | | 887,294 | |
| | | | | | | | | |
Basic Materials - 6.8% |
United States Steel Corp. | | | 6,359 | | | | 309,365 | |
Cleveland-Cliffs, Inc.* | | | 9,406 | | | | 192,071 | |
Alcoa Corp. | | | 5,064 | | | | 172,176 | |
Commercial Metals Co. | | | 2,266 | | | | 113,391 | |
Total Basic Materials | | | | | | | 787,003 | |
| | | | | | | | | |
Utilities - 2.3% |
UGI Corp. | | | 3,571 | | | | 87,846 | |
Southwest Gas Holdings, Inc. | | | 982 | | | | 62,210 | |
Black Hills Corp. | | | 1,103 | | | | 59,507 | |
Spire, Inc. | | | 835 | | | | 52,054 | |
Total Utilities | | | | | | | 261,617 | |
| | | | | | | | | |
Technology - 1.6% |
Kyndryl Holdings, Inc.* | | | 5,889 | | | | 122,373 | |
Concentrix Corp. | | | 671 | | | | 65,899 | |
Total Technology | | | | | | | 188,272 | |
| | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
S&P MIDCAP 400® PURE VALUE FUND | |
| | Shares | | | Value | |
Communications - 1.6% |
Frontier Communications Parent, Inc.* | | | 4,141 | | | $ | 104,933 | |
TEGNA, Inc. | | | 5,373 | | | | 82,207 | |
Total Communications | | | | | | | 187,140 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $9,426,196) | | | | | | | 11,434,639 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.8% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 48,597 | | | | 48,597 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 39,164 | | | | 39,164 | |
Total Repurchase Agreements | | | | |
(Cost $87,761) | | | | | | | 87,761 | |
| | Shares | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.1% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund - Class X, 5.29%4 | | | 11,505 | | | | 11,505 | |
Total Securities Lending Collateral | | | | |
(Cost $11,505) | | | | | | | 11,505 | |
| | | | | | | | | |
Total Investments - 100.4% | | | | |
(Cost $9,525,462) | | $ | 11,533,905 | |
Other Assets & Liabilities, net - (0.4)% | | | (43,958 | ) |
Total Net Assets - 100.0% | | $ | 11,489,947 | |
* | 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 December 31, 2023 — 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 December 31, 2023. |
| | 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 December 31, 2023 (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 | | $ | 11,434,639 | | | $ | — | | | $ | — | | | $ | 11,434,639 | |
Repurchase Agreements | | | — | | | | 87,761 | | | | — | | | | 87,761 | |
Securities Lending Collateral | | | 11,505 | | | | — | | | | — | | | | 11,505 | |
Total Assets | | $ | 11,446,144 | | | $ | 87,761 | | | $ | — | | | $ | 11,533,905 | |
34 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE VALUE FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value - including $10,674 of securities loaned (cost $9,437,701) | | $ | 11,446,144 | |
Repurchase agreements, at value (cost $87,761) | | | 87,761 | |
Receivables: |
Fund shares sold | | | 468,340 | |
Securities sold | | | 179,239 | |
Dividends | | | 8,521 | |
Interest | | | 39 | |
Securities lending income | | | 17 | |
Total assets | | | 12,190,061 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 646,104 | |
Return of securities lending collateral | | | 11,505 | |
Management fees | | | 7,039 | |
Transfer agent | | | 3,427 | |
Investor service fees | | | 2,346 | |
Portfolio accounting and administration fees | | | 986 | |
Fund shares redeemed | | | 243 | |
Trustees’ fees* | | | 135 | |
Miscellaneous | | | 28,329 | |
Total liabilities | | | 700,114 | |
Net assets | | $ | 11,489,947 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 9,863,078 | |
Total distributable earnings (loss) | | | 1,626,869 | |
Net assets | | $ | 11,489,947 | |
Capital shares outstanding | | | 225,725 | |
Net asset value per share | | $ | 50.90 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends | | $ | 227,039 | |
Interest | | | 4,884 | |
Income from securities lending, net | | | 731 | |
Total investment income | | | 232,654 | |
| | | | | |
Expenses: |
Management fees | | | 102,242 | |
Investor service fees | | | 34,081 | |
Transfer agent | | | 34,688 | |
Professional fees | | | 24,942 | |
Portfolio accounting and administration fees | | | 21,130 | |
Trustees’ fees* | | | 2,431 | |
Custodian fees | | | 2,135 | |
Line of credit fees | | | 53 | |
Miscellaneous | | | 10,843 | |
Total expenses | | | 232,545 | |
Less: |
Expenses reimbursed by Adviser | | | (2,478 | ) |
Net expenses | | | 230,067 | |
Net investment income | | | 2,587 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 919,568 | |
Net realized gain | | | 919,568 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 883,705 | |
Net change in unrealized appreciation (depreciation) | | | 883,705 | |
Net realized and unrealized gain | | | 1,803,273 | |
Net increase in net assets resulting from operations | | $ | 1,805,860 | |
* | 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 ANNUAL REPORT | 35 |
S&P MIDCAP 400® PURE VALUE FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 2,587 | | | $ | 72,402 | |
Net realized gain on investments | | | 919,568 | | | | 765,784 | |
Net change in unrealized appreciation (depreciation) on investments | | | 883,705 | | | | (1,830,286 | ) |
Net increase (decrease) in net assets resulting from operations | | | 1,805,860 | | | | (992,100 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (2,170,124 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 26,885,845 | | | | 26,473,593 | |
Distributions reinvested | | | — | | | | 2,170,124 | |
Cost of shares redeemed | | | (29,228,691 | ) | | | (27,277,080 | ) |
Net increase (decrease) from capital share transactions | | | (2,342,846 | ) | | | 1,366,637 | |
Net decrease in net assets | | | (536,986 | ) | | | (1,795,587 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 12,026,933 | | | | 13,822,520 | |
End of year | | $ | 11,489,947 | | | $ | 12,026,933 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 605,586 | | | | 582,545 | |
Shares issued from reinvestment of distributions | | | — | | | | 57,335 | |
Shares redeemed | | | (681,889 | ) | | | (590,394 | ) |
Net increase (decrease) in shares | | | (76,303 | ) | | | 49,486 | |
36 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 39.82 | | | $ | 54.73 | | | $ | 43.24 | | | $ | 42.15 | | | $ | 34.42 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .01 | | | | .29 | | | | .26 | | | | .09 | | | | .14 | |
Net gain (loss) on investments (realized and unrealized) | | | 11.07 | | | | (3.74 | ) | | | 13.11 | | | | 2.49 | | | | 7.59 | |
Total from investment operations | | | 11.08 | | | | (3.45 | ) | | | 13.37 | | | | 2.58 | | | | 7.73 | |
Less distributions from: |
Net investment income | | | — | | | | (.55 | ) | | | (.04 | ) | | | (.15 | ) | | | — | |
Net realized gains | | | — | | | | (10.91 | ) | | | (1.84 | ) | | | (1.34 | ) | | | — | |
Total distributions | | | — | | | | (11.46 | ) | | | (1.88 | ) | | | (1.49 | ) | | | — | |
Net asset value, end of period | | $ | 50.90 | | | $ | 39.82 | | | $ | 54.73 | | | $ | 43.24 | | | $ | 42.15 | |
|
Total Returnb | | | 27.83 | % | | | (5.22 | %) | | | 31.25 | % | | | 7.42 | % | | | 22.46 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 11,490 | | | $ | 12,027 | | | $ | 13,823 | | | $ | 16,368 | | | $ | 9,418 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.02 | % | | | 0.63 | % | | | 0.49 | % | | | 0.27 | % | | | 0.35 | % |
Total expenses | | | 1.71 | % | | | 1.67 | % | | | 1.59 | % | | | 1.72 | % | | | 1.73 | % |
Net expensesc | | | 1.69 | % | | | 1.67 | % | | | 1.59 | % | | | 1.72 | % | | | 1.73 | % |
Portfolio turnover ratec | | | 238 | % | | | 257 | % | | | 216 | % | | | 320 | % | | | 188 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 37 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, S&P SmallCap 600® Pure Growth Fund return was 17.47%, compared with a return of 19.43% for the underlying index. The Fund maintained a daily correlation of over 99% to its benchmark for the period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Industrials, Information Technology, and Consumer Discretionary. The only sector detracting from the return of the underlying index was Health Care.
Dorian LPG Ltd., Green Brick Partners, Inc., and elf Beauty, Inc. added the most to return of the underlying index for the Reporting Period. iTeos Therapeutics, Inc., Clearfield, Inc., and Vir Biotechnology, Inc. detracted the most from performance of the underlying index.
Performance displayed represents past performance, which is no guarantee of future results.
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 |
Two Harbors Investment Corp. | 1.7% |
Alpha Metallurgical Resources, Inc. | 1.5% |
OraSure Technologies, Inc. | 1.3% |
PROG Holdings, Inc. | 1.3% |
elf Beauty, Inc. | 1.3% |
Ambac Financial Group, Inc. | 1.3% |
SiriusPoint Ltd. | 1.3% |
Northern Oil and Gas, Inc. | 1.3% |
St. Joe Co. | 1.3% |
Warrior Met Coal, Inc. | 1.2% |
Top Ten Total | 13.5% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
38 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
S&P SmallCap 600® Pure Growth Fund | 17.47% | 5.04% | 4.79% |
S&P SmallCap 600 Pure Growth Index | 19.43% | 6.96% | 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 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 39 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
S&P SMALLCAP 600® PURE GROWTH FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 100.0% |
| | | | | | | | | |
Consumer, Cyclical - 18.9% |
Group 1 Automotive, Inc. | | | 269 | | | $ | 81,975 | |
Green Brick Partners, Inc.* | | | 1,517 | | | | 78,793 | |
Cavco Industries, Inc.* | | | 199 | | | | 68,977 | |
Installed Building Products, Inc. | | | 368 | | | | 67,278 | |
Cinemark Holdings, Inc.* | | | 4,597 | | | | 64,772 | |
Patrick Industries, Inc. | | | 640 | | | | 64,224 | |
M/I Homes, Inc.* | | | 439 | | | | 60,468 | |
GMS, Inc.* | | | 732 | | | | 60,339 | |
Dave & Buster’s Entertainment, Inc.* | | | 1,109 | | | | 59,720 | |
Six Flags Entertainment Corp.* | | | 2,374 | | | | 59,540 | |
Meritage Homes Corp. | | | 336 | | | | 58,531 | |
Abercrombie & Fitch Co. — Class A* | | | 657 | | | | 57,960 | |
Boot Barn Holdings, Inc.* | | | 701 | | | | 53,809 | |
Signet Jewelers Ltd. | | | 501 | | | | 53,737 | |
Shake Shack, Inc. — Class A* | | | 688 | | | | 50,995 | |
Urban Outfitters, Inc.* | | | 1,324 | | | | 47,254 | |
Guess?, Inc. | | | 2,002 | | | | 46,166 | |
Oxford Industries, Inc. | | | 371 | | | | 37,100 | |
Monarch Casino & Resort, Inc. | | | 491 | | | | 33,952 | |
American Eagle Outfitters, Inc. | | | 1,557 | | | | 32,946 | |
Steven Madden Ltd. | | | 719 | | | | 30,198 | |
XPEL, Inc.* | | | 540 | | | | 29,079 | |
Madison Square Garden Sports Corp. — Class A* | | | 135 | | | | 24,547 | |
Kontoor Brands, Inc. | | | 376 | | | | 23,470 | |
Jack in the Box, Inc. | | | 248 | | | | 20,244 | |
Total Consumer, Cyclical | | | | | | | 1,266,074 | |
| | | | | | | | | |
Financial - 18.8% |
Two Harbors Investment Corp. REIT | | | 8,093 | | | | 112,735 | |
Ambac Financial Group, Inc.* | | | 5,209 | | | | 85,844 | |
SiriusPoint Ltd.* | | | 7,339 | | | | 85,132 | |
St. Joe Co. | | | 1,405 | | | | 84,553 | |
Redwood Trust, Inc. REIT | | | 9,549 | | | | 70,758 | |
Customers Bancorp, Inc.* | | | 1,151 | | | | 66,321 | |
Goosehead Insurance, Inc. — Class A* | | | 835 | | | | 63,293 | |
eXp World Holdings, Inc. | | | 3,596 | | | | 55,810 | |
Sunstone Hotel Investors, Inc. REIT | | | 5,035 | | | | 54,026 | |
HCI Group, Inc. | | | 606 | | | | 52,965 | |
Bancorp, Inc.* | | | 1,370 | | | | 52,827 | |
First BanCorp | | | 3,161 | | | | 51,998 | |
DiamondRock Hospitality Co. REIT | | | 5,342 | | | | 50,161 | |
Pathward Financial, Inc. | | | 906 | | | | 47,955 | |
Ellington Financial, Inc. REIT | | | 3,668 | | | | 46,620 | |
OFG Bancorp | | | 1,210 | | | | 45,351 | |
New York Mortgage Trust, Inc. REIT | | | 4,533 | | | | 38,667 | |
Preferred Bank/Los Angeles CA | | | 512 | | | | 37,402 | |
World Acceptance Corp.* | | | 277 | | | | 36,157 | |
Palomar Holdings, Inc.* | | | 626 | | | | 34,743 | |
Triumph Financial, Inc.* | | | 397 | | | | 31,831 | |
WisdomTree, Inc. | | | 4,566 | | | | 31,642 | |
Apple Hospitality REIT, Inc. | | | 1,721 | | | | 28,586 | |
Total Financial | | | | | | | 1,265,377 | |
| | | | | | | | | |
Consumer, Non-cyclical - 18.1% |
OraSure Technologies, Inc.* | | | 10,984 | | | | 90,069 | |
PROG Holdings, Inc.* | | | 2,843 | | | | 87,877 | |
elf Beauty, Inc.* | | | 599 | | | | 86,459 | |
Inter Parfums, Inc. | | | 569 | | | | 81,942 | |
UFP Technologies, Inc.* | | | 397 | | | | 68,300 | |
Amphastar Pharmaceuticals, Inc.* | | | 968 | | | | 59,871 | |
Viad Corp.* | | | 1,652 | | | | 59,802 | |
Cal-Maine Foods, Inc. | | | 925 | | | | 53,086 | |
Dynavax Technologies Corp.* | | | 3,752 | | | | 52,453 | |
LiveRamp Holdings, Inc.* | | | 1,306 | | | | 49,471 | |
Adtalem Global Education, Inc.* | | | 796 | | | | 46,924 | |
Stride, Inc.* | | | 764 | | | | 45,359 | |
Collegium Pharmaceutical, Inc.* | | | 1,449 | | | | 44,600 | |
Catalyst Pharmaceuticals, Inc.* | | | 2,651 | | | | 44,563 | |
Vericel Corp.* | | | 1,245 | | | | 44,335 | |
ANI Pharmaceuticals, Inc.* | | | 759 | | | | 41,851 | |
CorVel Corp.* | | | 166 | | | | 41,037 | |
Glaukos Corp.* | | | 343 | | | | 27,265 | |
RadNet, Inc.* | | | 776 | | | | 26,982 | |
Apollo Medical Holdings, Inc.* | | | 689 | | | | 26,389 | |
Arlo Technologies, Inc.* | | | 2,751 | | | | 26,190 | |
Integer Holdings Corp.* | | | 254 | | | | 25,166 | |
Ensign Group, Inc. | | | 211 | | | | 23,676 | |
WD-40 Co. | | | 97 | | | | 23,190 | |
NeoGenomics, Inc.* | | | 1,308 | | | | 21,163 | |
CONMED Corp. | | | 180 | | | | 19,712 | |
Ligand Pharmaceuticals, Inc.* †† | | | 169 | | | | — | |
Ligand Pharmaceuticals, Inc.* †† | | | 169 | | | | — | |
Total Consumer, Non-cyclical | | | | | | | 1,217,732 | |
| | | | | | | | | |
Industrial - 17.2% |
Dorian LPG Ltd. | | | 1,861 | | | | 81,642 | |
Encore Wire Corp. | | | 368 | | | | 78,605 | |
PGT Innovations, Inc.* | | | 1,853 | | | | 75,417 | |
ArcBest Corp. | | | 538 | | | | 64,673 | |
AAON, Inc. | | | 851 | | | | 62,863 | |
Matson, Inc. | | | 562 | | | | 61,595 | |
Materion Corp. | | | 389 | | | | 50,621 | |
Gibraltar Industries, Inc.* | | | 635 | | | | 50,152 | |
Fabrinet* | | | 255 | | | | 48,534 | |
Boise Cascade Co. | | | 335 | | | | 43,336 | |
AZZ, Inc. | | | 742 | | | | 43,103 | |
MYR Group, Inc.* | | | 284 | | | | 41,075 | |
Federal Signal Corp. | | | 530 | | | | 40,672 | |
Mueller Industries, Inc. | | | 840 | | | | 39,606 | |
Badger Meter, Inc. | | | 236 | | | | 36,432 | |
AeroVironment, Inc.* | | | 264 | | | | 33,275 | |
Powell Industries, Inc. | | | 366 | | | | 32,354 | |
Frontdoor, Inc.* | | | 909 | | | | 32,015 | |
Moog, Inc. — Class A | | | 209 | | | | 30,259 | |
Applied Industrial Technologies, Inc. | | | 173 | | | | 29,875 | |
Franklin Electric Company, Inc. | | | 302 | | | | 29,188 | |
Alamo Group, Inc. | | | 131 | | | | 27,535 | |
Standex International Corp. | | | 173 | | | | 27,399 | |
Tennant Co. | | | 276 | | | | 25,583 | |
SPX Technologies, Inc.* | | | 246 | | | | 24,849 | |
40 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
S&P SMALLCAP 600® PURE GROWTH FUND | |
| | Shares | | | Value | |
OSI Systems, Inc.* | | | 185 | | | $ | 23,874 | |
Armstrong World Industries, Inc. | | | 219 | | | | 21,532 | |
Total Industrial | | | | | | | 1,156,064 | |
| | | | | | | | | |
Energy - 13.0% |
Alpha Metallurgical Resources, Inc. | | | 293 | | | | 99,303 | |
Northern Oil and Gas, Inc. | | | 2,283 | | | | 84,631 | |
Warrior Met Coal, Inc. | | | 1,378 | | | | 84,017 | |
Par Pacific Holdings, Inc.* | | | 2,189 | | | | 79,614 | |
Callon Petroleum Co.* | | | 2,411 | | | | 78,116 | |
CONSOL Energy, Inc. | | | 769 | | | | 77,308 | |
Liberty Energy, Inc. — Class A | | | 3,580 | | | | 64,941 | |
REX American Resources Corp.* | | | 1,285 | | | | 60,781 | |
California Resources Corp. | | | 976 | | | | 53,368 | |
Helix Energy Solutions Group, Inc.* | | | 5,144 | | | | 52,880 | |
Oceaneering International, Inc.* | | | 1,950 | | | | 41,496 | |
RPC, Inc. | | | 5,641 | | | | 41,067 | |
SM Energy Co. | | | 910 | | | | 35,235 | |
Archrock, Inc. | | | 1,446 | | | | 22,268 | |
Total Energy | | | | | | | 875,025 | |
| | | | | | | | | |
Technology - 6.1% |
Axcelis Technologies, Inc.* | | | 625 | | | | 81,056 | |
Verra Mobility Corp.* | | | 2,926 | | | | 67,386 | |
DoubleVerify Holdings, Inc.* | | | 1,557 | | | | 57,266 | |
Veeco Instruments, Inc.* | | | 1,479 | | | | 45,893 | |
SPS Commerce, Inc.* | | | 231 | | | | 44,777 | |
Agilysys, Inc.* | | | 339 | | | | 28,754 | |
Donnelley Financial Solutions, Inc.* | | | 365 | | | | 22,765 | |
PDF Solutions, Inc.* | | | 657 | | | | 21,116 | |
Privia Health Group, Inc.* | | | 899 | | | | 20,704 | |
Progress Software Corp. | | | 362 | | | | 19,657 | |
Total Technology | | | | | | | 409,374 | |
| | | | | | | | | |
Communications - 5.1% |
Cargurus, Inc.* | | | 2,694 | | | | 65,087 | |
InterDigital, Inc. | | | 523 | | | | 56,767 | |
Cars.com, Inc.* | | | 2,980 | | | | 56,531 | |
TripAdvisor, Inc.* | | | 2,276 | | | | 49,002 | |
Yelp, Inc. — Class A* | | | 998 | | | | 47,245 | |
Cogent Communications Holdings, Inc. | | | 464 | | | | 35,292 | |
Liquidity Services, Inc.* | | | 1,849 | | | | 31,821 | |
Total Communications | | | | | | | 341,745 | |
| | | | | | | | | |
Basic Materials - 2.1% |
Hawkins, Inc. | | | 914 | | | | 64,364 | |
Carpenter Technology Corp. | | | 550 | | | | 38,940 | |
ATI, Inc.* | | | 844 | | | | 38,377 | |
Total Basic Materials | | | | | | | 141,681 | |
| | | | | | | | | |
Utilities - 0.7% |
Otter Tail Corp. | | | 556 | | | | 47,243 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $5,752,959) | | | | | | | 6,720,315 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,1 - 0.6% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 21,251 | | | | 21,251 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 17,126 | | | | 17,126 | |
Total Repurchase Agreements | | | | |
(Cost $38,377) | | | | | | | 38,377 | |
| | | | | | | | | |
Total Investments - 100.6% | | | | |
(Cost $5,791,336) | | $ | 6,758,692 | |
Other Assets & Liabilities, net - (0.6)% | | | (37,072 | ) |
Total Net Assets - 100.0% | | $ | 6,721,620 | |
* | 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. |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
S&P SMALLCAP 600® PURE GROWTH FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 6,720,315 | | | $ | — | | | $ | — | | | $ | 6,720,315 | |
Repurchase Agreements | | | — | | | | 38,377 | | | | — | | | | 38,377 | |
Total Assets | | $ | 6,720,315 | | | $ | 38,377 | | | $ | — | | | $ | 6,758,692 | |
42 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE GROWTH FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $5,752,959) | | $ | 6,720,315 | |
Repurchase agreements, at value (cost $38,377) | | | 38,377 | |
Receivables: |
Fund shares sold | | | 4,472 | |
Dividends | | | 3,734 | |
Interest | | | 17 | |
Securities lending income | | | 7 | |
Total assets | | | 6,766,922 | |
| | | | | |
Liabilities: |
Overdraft due to custodian bank | | | 41 | |
Payable for: |
Fund shares redeemed | | | 20,259 | |
Professional fees | | | 9,608 | |
Management fees | | | 4,142 | |
Printing fees | | | 2,316 | |
Transfer agent fees | | | 1,931 | |
Investor service fees | | | 1,381 | |
Portfolio accounting and administration fees | | | 580 | |
Trustees’ fees* | | | 81 | |
Miscellaneous | | | 4,963 | |
Total liabilities | | | 45,302 | |
Net assets | | $ | 6,721,620 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 7,033,292 | |
Total distributable earnings (loss) | | | (311,672 | ) |
Net assets | | $ | 6,721,620 | |
Capital shares outstanding | | | 137,596 | |
Net asset value per share | | $ | 48.85 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $322) | | $ | 98,628 | |
Interest | | | 2,194 | |
Income from securities lending, net | | | 206 | |
Total investment income | | | 101,028 | |
| | | | | |
Expenses: |
Management fees | | | 46,873 | |
Investor service fees | | | 15,624 | |
Transfer agent fees | | | 15,584 | |
Portfolio accounting and administration fees | | | 9,687 | |
Professional fees | | | 8,305 | |
Trustees’ fees* | | | 1,093 | |
Custodian fees | | | 1,076 | |
Line of credit fees | | | 30 | |
Miscellaneous | | | 8,594 | |
Total expenses | | | 106,866 | |
Less: |
Expenses reimbursed by Adviser | | | (1,276 | ) |
Net expenses | | | 105,590 | |
Net investment loss | | | (4,562 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 456,527 | |
Net realized gain | | | 456,527 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 556,041 | |
Net change in unrealized appreciation (depreciation) | | | 556,041 | |
Net realized and unrealized gain | | | 1,012,568 | |
Net increase in net assets resulting from operations | | $ | 1,008,006 | |
* | 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 ANNUAL REPORT | 43 |
S&P SMALLCAP 600® PURE GROWTH FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (4,562 | ) | | $ | 5,802 | |
Net realized gain (loss) on investments | | | 456,527 | | | | (1,474,709 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 556,041 | | | | (2,117,944 | ) |
Net increase (decrease) in net assets resulting from operations | | | 1,008,006 | | | | (3,586,851 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (5,759 | ) | | | (1,578,002 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 10,432,231 | | | | 12,105,143 | |
Distributions reinvested | | | 5,759 | | | | 1,578,002 | |
Cost of shares redeemed | | | (10,615,408 | ) | | | (15,578,031 | ) |
Net decrease from capital share transactions | | | (177,418 | ) | | | (1,894,886 | ) |
Net increase (decrease) in net assets | | | 824,829 | | | | (7,059,739 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 5,896,791 | | | | 12,956,530 | |
End of year | | $ | 6,721,620 | | | $ | 5,896,791 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 237,218 | | | | 255,654 | |
Shares issued from reinvestment of distributions | | | 125 | | | | 34,973 | |
Shares redeemed | | | (241,400 | ) | | | (328,599 | ) |
Net decrease in shares | | | (4,057 | ) | | | (37,972 | ) |
44 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 41.63 | | | $ | 72.13 | | | $ | 60.80 | | | $ | 55.24 | | | $ | 49.07 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.03 | ) | | | .03 | | | | (.76 | ) | | | (.45 | ) | | | (.36 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 7.29 | | | | (20.84 | ) | | | 12.40 | | | | 8.42 | | | | 6.53 | |
Total from investment operations | | | 7.26 | | | | (20.81 | ) | | | 11.64 | | | | 7.97 | | | | 6.17 | |
Less distributions from: |
Net investment income | | | (.04 | ) | | | — | | | | — | | | | — | | | | — | |
Net realized gains | | | — | | | | (9.69 | ) | | | (.31 | ) | | | (2.41 | ) | | | — | |
Total distributions | | | (.04 | ) | | | (9.69 | ) | | | (.31 | ) | | | (2.41 | ) | | | — | |
Net asset value, end of period | | $ | 48.85 | | | $ | 41.63 | | | $ | 72.13 | | | $ | 60.80 | | | $ | 55.24 | |
|
Total Returnb | | | 17.47 | % | | | (29.90 | %) | | | 19.16 | % | | | 15.76 | % | | | 12.57 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 6,722 | | | $ | 5,897 | | | $ | 12,957 | | | $ | 16,014 | | | $ | 12,323 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.07 | %) | | | 0.06 | % | | | (1.08 | %) | | | (0.93 | %) | | | (0.69 | %) |
Total expenses | | | 1.71 | % | | | 1.67 | % | | | 1.60 | % | | | 1.72 | % | | | 1.73 | % |
Net expensesc | | | 1.69 | % | | | 1.67 | % | | | 1.60 | % | | | 1.72 | % | | | 1.73 | % |
Portfolio turnover rate | | | 223 | % | | | 174 | % | | | 219 | % | | | 258 | % | | | 190 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 45 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, S&P SmallCap 600® Pure Value Fund returned 21.06%, compared with a return of 23.38% for the underlying index. The Fund maintained a daily correlation of over 99% to its benchmark for the period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Consumer Discretionary, Industrials, and Financials. The sectors detracting the most from the return of the underlying index were Health Care, Consumer Staples, and Real Estate.
SkyWest, Inc., M/I Homes, Inc., and G-III Apparel Group Ltd. added the most to return of the underlying index for the Reporting Period. Rayonier Advanced Materials, Inc., Emergent BioSolutions, Inc., and Lumen Technologies, Inc. detracted the most from performance of the underlying index.
Performance displayed represents past performance, which is no guarantee of future results.
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 |
Xerox Holdings Corp. | 1.7% |
Fresh Del Monte Produce, Inc. | 1.6% |
JetBlue Airways Corp. | 1.6% |
Green Dot Corp. — Class A | 1.5% |
United Natural Foods, Inc. | 1.5% |
World Kinect Corp. | 1.5% |
MarineMax, Inc. | 1.5% |
Foot Locker, Inc. | 1.5% |
EchoStar Corp. — Class A | 1.5% |
Kelly Services, Inc. — Class A | 1.5% |
Top Ten Total | 15.4% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
46 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Average Annual Returns*,†
Periods Ended December 31, 2023
Cumulative Fund Performance*,†
| 1 Year | 5 Year | 10 Year |
S&P SmallCap 600® Pure Value Fund | 21.06% | 12.57% | 5.15% |
S&P SmallCap 600 Pure Value Index | 23.38% | 14.81% | 7.07% |
* | 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 47 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
S&P SMALLCAP 600® PURE VALUE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Consumer, Cyclical - 27.4% |
JetBlue Airways Corp.* | | | 27,852 | | | $ | 154,579 | |
MarineMax, Inc.* | | | 3,800 | | | | 147,820 | |
Foot Locker, Inc. | | | 4,706 | | | | 146,592 | |
Kohl’s Corp. | | | 4,984 | | | | 142,941 | |
Phinia, Inc. | | | 4,307 | | | | 130,459 | |
ScanSource, Inc.* | | | 3,009 | | | | 119,186 | |
Topgolf Callaway Brands Corp.* | | | 7,430 | | | | 106,546 | |
Advance Auto Parts, Inc. | | | 1,678 | | | | 102,408 | |
ODP Corp.* | | | 1,737 | | | | 97,793 | |
Sally Beauty Holdings, Inc.* | | | 7,050 | | | | 93,624 | |
American Axle & Manufacturing Holdings, Inc.* | | | 10,465 | | | | 92,197 | |
Dana, Inc. | | | 6,045 | | | | 88,317 | |
America’s Car-Mart, Inc.* | | | 1,153 | | | | 87,363 | |
Designer Brands, Inc. — Class A | | | 9,820 | | | | 86,907 | |
Resideo Technologies, Inc.* | | | 4,218 | | | | 79,383 | |
Allegiant Travel Co. — Class A | | | 881 | | | | 72,779 | |
Sonic Automotive, Inc. — Class A | | | 1,236 | | | | 69,476 | |
G-III Apparel Group Ltd.* | | | 2,006 | | | | 68,164 | |
Caleres, Inc. | | | 1,986 | | | | 61,030 | |
Newell Brands, Inc. | | | 6,962 | | | | 60,430 | |
Nu Skin Enterprises, Inc. — Class A | | | 3,074 | | | | 59,697 | |
Alaska Air Group, Inc.* | | | 1,381 | | | | 53,956 | |
Hibbett, Inc. | | | 706 | | | | 50,846 | |
Victoria’s Secret & Co.* | | | 1,907 | | | | 50,612 | |
Shoe Carnival, Inc. | | | 1,601 | | | | 48,366 | |
MDC Holdings, Inc. | | | 813 | | | | 44,918 | |
Wabash National Corp. | | | 1,708 | | | | 43,759 | |
Standard Motor Products, Inc. | | | 974 | | | | 38,775 | |
Interface, Inc. — Class A | | | 3,004 | | | | 37,911 | |
Titan International, Inc.* | | | 2,523 | | | | 37,542 | |
Methode Electronics, Inc. | | | 1,616 | | | | 36,732 | |
MillerKnoll, Inc. | | | 1,349 | | | | 35,991 | |
Wolverine World Wide, Inc. | | | 3,902 | | | | 34,689 | |
Vista Outdoor, Inc.* | | | 1,113 | | | | 32,912 | |
Hanesbrands, Inc.* | | | 7,181 | | | | 32,027 | |
PriceSmart, Inc. | | | 379 | | | | 28,721 | |
Haverty Furniture Companies, Inc. | | | 799 | | | | 28,364 | |
Total Consumer, Cyclical | | | | | | | 2,703,812 | |
| | | | | | | | | |
Financial - 22.8% |
Genworth Financial, Inc. — Class A* | | | 19,521 | | | | 130,400 | |
Anywhere Real Estate, Inc.* | | | 15,871 | | | | 128,714 | |
Bread Financial Holdings, Inc. | | | 3,436 | | | | 113,182 | |
EZCORP, Inc. — Class A* | | | 11,845 | | | | 103,525 | |
Cushman & Wakefield plc* | | | 9,459 | | | | 102,157 | |
StoneX Group, Inc.* | | | 1,328 | | | | 98,046 | |
Jackson Financial, Inc. — Class A | | | 1,644 | | | | 84,173 | |
Hudson Pacific Properties, Inc. REIT | | | 8,824 | | | | 82,151 | |
PRA Group, Inc.* | | | 2,837 | | | | 74,329 | |
ProAssurance Corp. | | | 5,135 | | | | 70,812 | |
Pebblebrook Hotel Trust REIT | | | 4,337 | | | | 69,305 | |
United Fire Group, Inc. | | | 3,198 | | | | 64,344 | |
Brandywine Realty Trust REIT | | | 11,336 | | | | 61,214 | |
Eagle Bancorp, Inc. | | | 1,974 | | | | 59,497 | |
Hope Bancorp, Inc. | | | 4,917 | | | | 59,398 | |
Stewart Information Services Corp. | | | 967 | | | | 56,811 | |
Simmons First National Corp. — Class A | | | 2,593 | | | | 51,445 | |
JBG SMITH Properties REIT | | | 2,959 | | | | 50,333 | |
Chatham Lodging Trust REIT | | | 4,518 | | | | 48,433 | |
Navient Corp. | | | 2,513 | | | | 46,792 | |
Northfield Bancorp, Inc. | | | 3,627 | | | | 45,628 | |
Service Properties Trust REIT | | | 5,229 | | | | 44,656 | |
Safehold, Inc. REIT | | | 1,815 | | | | 42,471 | |
Encore Capital Group, Inc.* | | | 782 | | | | 39,687 | |
Lincoln National Corp. | | | 1,469 | | | | 39,619 | |
Dime Community Bancshares, Inc. | | | 1,467 | | | | 39,506 | |
Banc of California, Inc. | | | 2,828 | | | | 37,980 | |
Veritex Holdings, Inc. | | | 1,611 | | | | 37,488 | |
Independent Bank Group, Inc. | | | 733 | | | | 37,295 | |
Renasant Corp. | | | 1,090 | | | | 36,711 | |
Provident Financial Services, Inc. | | | 2,019 | | | | 36,403 | |
SL Green Realty Corp. REIT | | | 795 | | | | 35,910 | |
Ready Capital Corp. REIT | | | 3,360 | | | | 34,440 | |
Hanmi Financial Corp. | | | 1,712 | | | | 33,213 | |
Brookline Bancorp, Inc. | | | 2,942 | | | | 32,097 | |
Pacific Premier Bancorp, Inc. | | | 1,068 | | | | 31,089 | |
Heritage Financial Corp. | | | 1,444 | | | | 30,887 | |
Mercury General Corp. | | | 816 | | | | 30,445 | |
BankUnited, Inc. | | | 903 | | | | 29,284 | |
Total Financial | | | | | | | 2,249,870 | |
| | | | | | | | | |
Consumer, Non-cyclical - 19.2% |
Fresh Del Monte Produce, Inc. | | | 6,116 | | | | 160,545 | |
Green Dot Corp. — Class A* | | | 15,276 | | | | 151,232 | |
United Natural Foods, Inc.* | | | 9,246 | | | | 150,063 | |
Kelly Services, Inc. — Class A | | | 6,635 | | | | 143,449 | |
TrueBlue, Inc.* | | | 6,928 | | | | 106,276 | |
SpartanNash Co. | | | 4,350 | | | | 99,833 | |
Pediatrix Medical Group, Inc.* | | | 9,934 | | | | 92,386 | |
B&G Foods, Inc. | | | 8,382 | | | | 88,011 | |
Cross Country Healthcare, Inc.* | | | 3,152 | | | | 71,361 | |
AdaptHealth Corp.* | | | 9,276 | | | | 67,622 | |
GEO Group, Inc.* | | | 6,067 | | | | 65,706 | |
Deluxe Corp. | | | 2,970 | | | | 63,706 | |
ABM Industries, Inc. | | | 1,409 | | | | 63,165 | |
Universal Corp. | | | 933 | | | | 62,810 | |
Chefs’ Warehouse, Inc.* | | | 2,063 | | | | 60,714 | |
Owens & Minor, Inc.* | | | 3,056 | | | | 58,889 | |
Enhabit, Inc.* | | | 5,183 | | | | 53,644 | |
Heidrick & Struggles International, Inc. | | | 1,365 | | | | 40,308 | |
ModivCare, Inc.* | | | 826 | | | | 36,336 | |
Healthcare Services Group, Inc.* | | | 3,307 | | | | 34,294 | |
Hain Celestial Group, Inc.* | | | 3,102 | | | | 33,967 | |
Phibro Animal Health Corp. — Class A | | | 2,866 | | | | 33,188 | |
Resources Connection, Inc. | | | 2,328 | | | | 32,988 | |
Fulgent Genetics, Inc.* | | | 1,138 | | | | 32,900 | |
Avanos Medical, Inc.* | | | 1,361 | | | | 30,527 | |
Select Medical Holdings Corp. | | | 1,121 | | | | 26,343 | |
TreeHouse Foods, Inc.* | | | 621 | | | | 25,740 | |
Total Consumer, Non-cyclical | | | | | | | 1,886,003 | |
48 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
S&P SMALLCAP 600® PURE VALUE FUND | |
| | Shares | | | Value | |
Industrial - 10.2% |
World Kinect Corp. | | | 6,507 | | | $ | 148,229 | |
Enviri Corp.* | | | 14,856 | | | | 133,704 | |
Benchmark Electronics, Inc. | | | 3,858 | | | | 106,635 | |
Greenbrier Companies, Inc. | | | 2,376 | | | | 104,972 | |
Clearwater Paper Corp.* | | | 2,862 | | | | 103,376 | |
O-I Glass, Inc.* | | | 4,988 | | | | 81,703 | |
Sanmina Corp.* | | | 1,441 | | | | 74,024 | |
DXP Enterprises, Inc.* | | | 2,193 | | | | 73,904 | |
Astec Industries, Inc. | | | 1,142 | | | | 42,482 | |
Kaman Corp. | | | 1,646 | | | | 39,422 | |
TTM Technologies, Inc.* | | | 2,397 | | | | 37,897 | |
Hub Group, Inc. — Class A* | | | 371 | | | | 34,110 | |
Masterbrand, Inc.* | | | 1,801 | | | | 26,745 | |
Total Industrial | | | | | | | 1,007,203 | |
| | | | | | | | | |
Communications - 6.9% |
EchoStar Corp. — Class A* | | | 8,780 | | | | 145,485 | |
AMC Networks, Inc. — Class A* | | | 7,526 | | | | 141,414 | |
ADTRAN Holdings, Inc. | | | 15,937 | | | | 116,977 | |
EW Scripps Co. — Class A* | | | 9,881 | | | | 78,949 | |
Viasat, Inc.* | | | 2,555 | | | | 71,412 | |
ATN International, Inc. | | | 1,377 | | | | 53,662 | |
Lumen Technologies, Inc.* | | | 24,641 | | | | 45,093 | |
Consolidated Communications Holdings, Inc.* | | | 5,746 | | | | 24,995 | |
Total Communications | | | | | | | 677,987 | |
| | | | | | | | | |
Technology - 5.9% |
Xerox Holdings Corp. | | | 9,051 | | | | 165,905 | |
NCR Atleos Corp.* | | | 4,977 | | | | 120,891 | |
NCR Voyix Corp.* | | | 5,783 | | | | 97,791 | |
TTEC Holdings, Inc. | | | 2,830 | | | | 61,326 | |
Alpha & Omega Semiconductor Ltd.* | | | 2,129 | | | | 55,481 | |
DXC Technology Co.* | | | 2,013 | | | | 46,037 | |
NetScout Systems, Inc.* | | | 1,710 | | | | 37,535 | |
Total Technology | | | | | | | 584,966 | |
| | | | | | | | | |
Basic Materials - 3.6% |
Mercer International, Inc. | | | 9,225 | | | | 87,453 | |
Kaiser Aluminum Corp. | | | 1,079 | | | | 76,814 | |
AdvanSix, Inc. | | | 2,248 | | | | 67,350 | |
Mativ Holdings, Inc. | | | 4,385 | | | | 67,134 | |
Century Aluminum Co.* | | | 4,378 | | | | 53,149 | |
Total Basic Materials | | | | | | | 351,900 | |
| | | | | | | | | |
Energy - 3.5% |
SunCoke Energy, Inc. | | | 6,521 | | | | 70,036 | |
US Silica Holdings, Inc.* | | | 4,515 | | | | 51,065 | |
Nabors Industries Ltd.* | | | 616 | | | | 50,284 | |
NOW, Inc.* | | | 4,342 | | | | 49,151 | |
Bristow Group, Inc.* | | | 1,633 | | | | 46,165 | |
ProPetro Holding Corp.* | | | 4,943 | | | | 41,422 | |
Talos Energy, Inc.* | | | 2,320 | | | | 33,014 | |
Total Energy | | | | | | | 341,137 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $8,672,716) | | | | | | | 9,802,878 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,1 - 0.7% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 40,260 | | | | 40,260 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 32,445 | | | | 32,445 | |
Total Repurchase Agreements | | | | |
(Cost $72,705) | | | | | | | 72,705 | |
| | | | | | | | | |
Total Investments - 100.2% | | | | |
(Cost $8,745,421) | | $ | 9,875,583 | |
Other Assets & Liabilities, net - (0.2)% | | | (20,098 | ) |
Total Net Assets - 100.0% | | $ | 9,855,485 | |
* | 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. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
S&P SMALLCAP 600® PURE VALUE FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 9,802,878 | | | $ | — | | | $ | — | | | $ | 9,802,878 | |
Repurchase Agreements | | | — | | | | 72,705 | | | | — | | | | 72,705 | |
Total Assets | | $ | 9,802,878 | | | $ | 72,705 | | | $ | — | | | $ | 9,875,583 | |
50 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE VALUE FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $8,672,716) | | $ | 9,802,878 | |
Repurchase agreements, at value (cost $72,705) | | | 72,705 | |
Receivables: |
Securities sold | | | 209,923 | |
Fund shares sold | | | 99,848 | |
Dividends | | | 8,813 | |
Interest | | | 32 | |
Securities lending income | | | 22 | |
Total assets | | | 10,194,221 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 304,486 | |
Management fees | | | 5,759 | |
Transfer agent fees | | | 2,466 | |
Investor service fees | | | 1,919 | |
Portfolio accounting and administration fees | | | 806 | |
Fund shares redeemed | | | 148 | |
Trustees’ fees* | | | 111 | |
Miscellaneous | | | 23,041 | |
Total liabilities | | | 338,736 | |
Net assets | | $ | 9,855,485 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 9,696,237 | |
Total distributable earnings (loss) | | | 159,248 | |
Net assets | | $ | 9,855,485 | |
Capital shares outstanding | | | 120,580 | |
Net asset value per share | | $ | 81.73 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $14) | | $ | 117,488 | |
Interest | | | 3,017 | |
Income from securities lending, net | | | 651 | |
Total investment income | | | 121,156 | |
| | | | | |
Expenses: |
Management fees | | | 60,833 | |
Transfer agent fees | | | 20,768 | |
Investor service fees | | | 20,278 | |
Professional fees | | | 12,809 | |
Portfolio accounting and administration fees | | | 12,572 | |
Trustees’ fees* | | | 1,509 | |
Custodian fees | | | 1,352 | |
Line of credit fees | | | 12 | |
Miscellaneous | | | 8,183 | |
Total expenses | | | 138,316 | |
Less: |
Expenses reimbursed by Adviser | | | (1,493 | ) |
Net expenses | | | 136,823 | |
Net investment loss | | | (15,667 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 462,393 | |
Net realized gain | | | 462,393 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 304,560 | |
Net change in unrealized appreciation (depreciation) | | | 304,560 | |
Net realized and unrealized gain | | | 766,953 | |
Net increase in net assets resulting from operations | | $ | 751,286 | |
* | 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 ANNUAL REPORT | 51 |
S&P SMALLCAP 600® PURE VALUE FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (15,667 | ) | | $ | (220 | ) |
Net realized gain on investments | | | 462,393 | | | | 177,391 | |
Net change in unrealized appreciation (depreciation) on investments | | | 304,560 | | | | (1,658,200 | ) |
Net increase (decrease) in net assets resulting from operations | | | 751,286 | | | | (1,481,029 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (1,494,113 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 19,687,928 | | | | 27,122,715 | |
Distributions reinvested | | | — | | | | 1,494,113 | |
Cost of shares redeemed | | | (18,262,414 | ) | | | (34,124,104 | ) |
Net increase (decrease) from capital share transactions | | | 1,425,514 | | | | (5,507,276 | ) |
Net increase (decrease) in net assets | | | 2,176,800 | | | | (8,482,418 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 7,678,685 | | | | 16,161,103 | |
End of year | | $ | 9,855,485 | | | $ | 7,678,685 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 265,423 | | | | 355,894 | |
Shares issued from reinvestment of distributions | | | — | | | | 22,464 | |
Shares redeemed | | | (258,581 | ) | | | (453,341 | ) |
Net increase (decrease) in shares | | | 6,842 | | | | (74,983 | ) |
52 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 67.51 | | | $ | 85.63 | | | $ | 59.72 | | | $ | 63.51 | | | $ | 52.81 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.14 | ) | | | — | | | | (.28 | ) | | | (.31 | ) | | | (.17 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 14.36 | | | | (7.22 | ) | | | 26.19 | | | | (3.48 | ) | | | 11.06 | |
Total from investment operations | | | 14.22 | | | | (7.22 | ) | | | 25.91 | | | | (3.79 | ) | | | 10.89 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.19 | ) |
Net realized gains | | | — | | | | (10.90 | ) | | | — | | | | — | | | | — | |
Total distributions | | | — | | | | (10.90 | ) | | | — | | | | — | | | | (.19 | ) |
Net asset value, end of period | | $ | 81.73 | | | $ | 67.51 | | | $ | 85.63 | | | $ | 59.72 | | | $ | 63.51 | |
|
Total Returnb | | | 21.06 | % | | | (8.24 | %) | | | 43.39 | % | | | (5.97 | %) | | | 20.68 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 9,855 | | | $ | 7,679 | | | $ | 16,161 | | | $ | 8,130 | | | $ | 9,077 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.19 | %) | | | 0.00 | % | | | (0.34 | %) | | | (0.64 | %) | | | (0.28 | %) |
Total expenses | | | 1.71 | % | | | 1.67 | % | | | 1.59 | % | | | 1.72 | % | | | 1.73 | % |
Net expensesc | | | 1.69 | % | | | 1.67 | % | | | 1.59 | % | | | 1.72 | % | | | 1.73 | % |
Portfolio turnover rate | | | 287 | % | | | 252 | % | | | 383 | % | | | 305 | % | | | 248 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 53 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, Europe 1.25x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 125% of the daily price movement of the underlying index. Europe 1.25x Strategy Fund returned 20.09% while the underlying index returned 19.21% over the same period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Financials, Information Technology, and Industrials. No sector detracted from the return of the underlying index.
Stocks contributing the most to performance of the underlying index were ASML Holding N.V. - Class G, SAP SE ADR, and Siemens AG ADR. Those detracting the most from return of the underlying index were Bayer AG ADR, Nokia Oyj, and Kering SA.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations.
Due to the compounding of daily returns, the Fund’s 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 Fund holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. A significant contributor to the discrepancy between the leveraged and unleveraged indices is the effect of compounding on the leveraged index, which is discussed under “A Brief Note on the Compounding of Returns.”
The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee, but the Fund’s adviser has agreed to waive fees to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. For the Reporting Period, investment in the Short Term Investment Vehicles contributed to Fund performance.
Performance displayed represents past performance, which is no guarantee of future results.
54 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | December 31, 2023 |
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 | 10.5% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 8.3% |
Novo Nordisk A/S ADR | 2.7% |
Nestle S.A. ADR | 2.5% |
ASML Holding N.V. — Class G | 2.4% |
Shell plc ADR | 1.7% |
LVMH Moet Hennessy Louis Vuitton SE ADR | 1.7% |
AstraZeneca plc ADR | 1.7% |
Novartis AG ADR | 1.6% |
Roche Holding AG ADR | 1.6% |
Top Ten Total | 34.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Country Diversification
Country | % of Long-Term
Investments |
France | 24.5% |
Switzerland | 19.0% |
United Kingdom | 18.1% |
Germany | 13.5% |
Netherlands | 10.5% |
Denmark | 6.2% |
Spain | 2.7% |
Other | 5.5% |
Total Long–Term Investments | 100.0% |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Europe 1.25x Strategy Fund | 20.09% | 9.79% | 2.46% |
STOXX Europe 50 Index | 19.21% | 10.46% | 4.27% |
* | 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 55 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
EUROPE 1.25x STRATEGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 43.4% |
| | | | | | | | | |
Consumer, Non-cyclical - 17.0% |
Novo Nordisk A/S ADR | | | 559 | | | $ | 57,828 | |
Nestle S.A. ADR | | | 459 | | | | 53,074 | |
AstraZeneca plc ADR | | | 531 | | | | 35,763 | |
Novartis AG ADR | | | 352 | | | | 35,541 | |
Roche Holding AG ADR | | | 964 | | | | 34,926 | |
Unilever plc ADR | | | 433 | | | | 20,992 | |
L’Oreal S.A. ADR | | | 209 | | | | 20,777 | |
Sanofi S.A. ADR | | | 394 | | | | 19,594 | |
Diageo plc ADR | | | 96 | | | | 13,983 | |
RELX plc ADR | | | 333 | | | | 13,207 | |
GSK plc ADR | | | 352 | | | | 13,045 | |
EssilorLuxottica S.A. ADR | | | 105 | | | | 10,551 | |
British American Tobacco plc ADR | | | 348 | | | | 10,193 | |
Anheuser-Busch InBev S.A. ADR1 | | | 154 | | | | 9,952 | |
Reckitt Benckiser Group plc ADR | | | 635 | | | | 8,725 | |
Bayer AG ADR | | | 679 | | | | 6,267 | |
Total Consumer, Non-cyclical | | | | | | | 364,418 | |
| | | | | | | | | |
Financial - 6.0% |
HSBC Holdings plc ADR1 | | | 663 | | | | 26,878 | |
Allianz SE ADR | | | 694 | | | | 18,523 | |
UBS Group AG* | | | 524 | | | | 16,191 | |
Zurich Insurance Group AG ADR | | | 252 | | | | 13,176 | |
BNP Paribas S.A. ADR | | | 373 | | | | 12,958 | |
Banco Santander S.A. ADR | | | 2,799 | | | | 11,588 | |
AXA S.A. ADR1 | | | 327 | | | | 10,688 | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen ADR | | | 233 | | | | 9,800 | |
ING Groep N.V. ADR | | | 590 | | | | 8,862 | |
Total Financial | | | | | | | 128,664 | |
| | | | | | | | | |
Industrial - 4.8% |
Siemens AG ADR | | | 257 | | | | 24,040 | |
Schneider Electric SE ADR | | | 493 | | | | 19,833 | |
Airbus SE ADR | | | 403 | | | | 15,544 | |
Vinci S.A. ADR | | | 411 | | | | 12,963 | |
ABB Ltd. ADR | | | 277 | | | | 12,271 | |
Safran S.A. ADR | | | 261 | | | | 11,518 | |
Deutsche Post AG ADR | | | 159 | | | | 7,878 | |
Total Industrial | | | | | | | 104,047 | |
| | | | | | | | | |
Energy - 3.8% |
Shell plc ADR | | | 564 | | | | 37,111 | |
TotalEnergies SE ADR | | | 416 | | | | 28,030 | |
BP plc ADR | | | 485 | | | | 17,169 | |
Total Energy | | | | | | | 82,310 | |
| | | | | | | | | |
Technology - 3.7% |
ASML Holding N.V. — Class G | | | 69 | | | | 52,227 | |
SAP SE ADR | | | 176 | | | | 27,208 | |
Total Technology | | | | | | | 79,435 | |
| | | | | | | | | |
Consumer, Cyclical - 3.3% |
LVMH Moet Hennessy Louis Vuitton SE ADR | | | 222 | | | | 36,064 | |
Hermes International SCA ADR | | | 60 | | | | 12,756 | |
Cie Financiere Richemont S.A. ADR | | | 901 | | | | 12,411 | |
Mercedes-Benz Group AG ADR | | | 548 | | | | 9,448 | |
Total Consumer, Cyclical | | | | | | | 70,679 | |
| | | | | | | | | |
Basic Materials - 2.3% |
Air Liquide S.A. ADR | | | 451 | | | | 17,566 | |
Rio Tinto plc ADR | | | 183 | | | | 13,626 | |
Glencore plc ADR* | | | 860 | | | | 10,303 | |
BASF SE ADR | | | 614 | | | | 8,240 | |
Total Basic Materials | | | | | | | 49,735 | |
| | | | | | | | | |
Utilities - 1.5% |
Iberdrola S.A. ADR | | | 248 | | | | 13,020 | |
Enel SpA ADR1 | | | 1,346 | | | | 9,954 | |
National Grid plc ADR1 | | | 125 | | | | 8,499 | |
Total Utilities | | | | | | | 31,473 | |
| | | | | | | | | |
Communications - 1.0% |
Deutsche Telekom AG ADR | | | 595 | | | | 14,357 | |
Prosus N.V. ADR | | | 1,351 | | | | 8,039 | |
Total Communications | | | | | | | 22,396 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $701,853) | | | | | | | 933,157 | |
| | | | | | | | | |
MUTUAL FUNDS† - 18.9% |
Guggenheim Strategy Fund II2 | | | 9,255 | | | | 226,751 | |
Guggenheim Ultra Short Duration Fund — Institutional Class2 | | | 18,098 | | | | 178,266 | |
Total Mutual Funds | | | | |
(Cost $407,812) | | | | | | | 405,017 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
U.S. TREASURY BILLS†† - 6.8% |
U.S. Treasury Bills |
5.17% due 01/09/243,4 | | $ | 146,000 | | | | 145,851 | |
Total U.S. Treasury Bills | | | | |
(Cost $145,829) | | | | | | | 145,851 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,5 - 30.8% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | | 367,360 | | | | 367,360 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 296,051 | | | | 296,051 | |
Total Repurchase Agreements | | | | |
(Cost $663,411) | | | | | | | 663,411 | |
56 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
EUROPE 1.25x STRATEGY FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,6 - 2.1% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund - Class X, 5.29%7 | | | 45,662 | | | $ | 45,662 | |
Total Securities Lending Collateral | | | | |
(Cost $45,662) | | | | | | | 45,662 | |
| | | | | | | | | |
Total Investments - 102.0% | | | | |
(Cost $1,964,567) | | $ | 2,193,098 | |
Other Assets & Liabilities, net - (2.0)% | | | (42,563 | ) |
Total Net Assets - 100.0% | | $ | 2,150,535 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Currency Futures Contracts Purchased† |
Euro FX Futures Contracts | | | 13 | | | | Mar 2024 | | | $ | 1,799,688 | | | $ | 43,920 | |
Equity Futures Contracts Purchased† |
STOXX Europe 50 Index Futures Contracts | | | 39 | | | | Mar 2024 | | | | 1,767,618 | | | | 781 | |
* | 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 December 31, 2023 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as futures collateral at December 31, 2023. |
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 December 31, 2023. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
EUROPE 1.25x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 933,157 | | | $ | — | | | $ | — | | | $ | 933,157 | |
Mutual Funds | | | 405,017 | | | | — | | | | — | | | | 405,017 | |
U.S. Treasury Bills | | | — | | | | 145,851 | | | | — | | | | 145,851 | |
Repurchase Agreements | | | — | | | | 663,411 | | | | — | | | | 663,411 | |
Securities Lending Collateral | | | 45,662 | | | | — | | | | — | | | | 45,662 | |
Currency Futures Contracts** | | | 43,920 | | | | — | | | | — | | | | 43,920 | |
Equity Futures Contracts** | | | 781 | | | | — | | | | — | | | | 781 | |
Total Assets | | $ | 1,428,537 | | | $ | 809,262 | | | $ | — | | | $ | 2,237,799 | |
** | 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, 2023 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/1601445/000182126823000217/gug86449-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.
Transactions during the year ended December 31, 2023, in which the company is an affiliated issuer, were as follows:
Security Name | | Value
12/31/22 | | | Additions | | | Reductions | | | Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation
(Depreciation) | | | Value
12/31/23 | | | Shares
12/31/23 | | | Investment
Income | |
Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Guggenheim Strategy Fund II | | $ | 222,494 | | | $ | — | | | $ | — | | | $ | — | | | $ | 4,257 | | | $ | 226,751 | | | | 9,255 | | | $ | 12,131 | |
Guggenheim Ultra Short Duration Fund — Institutional Class | | | 224,002 | | | | — | | | | (50,000 | ) | | | (1,079 | ) | | | 5,343 | | | | 178,266 | | | | 18,098 | | | | 10,790 | |
| | | $ | 446,496 | | | $ | — | | | $ | (50,000 | ) | | $ | (1,079 | ) | | $ | 9,600 | | | $ | 405,017 | | | | | | | $ | 22,921 | |
58 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EUROPE 1.25x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments in unaffiliated issuers, at value - including $43,838 of securities loaned (cost $893,344) | | $ | 1,124,670 | |
Investments in affiliated issuers, at value (cost $407,812) | | | 405,017 | |
Repurchase agreements, at value (cost $663,411) | | | 663,411 | |
Cash | | | 35 | |
Segregated cash with broker | | | 2,202 | |
Receivables: |
Foreign tax reclaims | | | 8,640 | |
Dividends | | | 2,725 | |
Variation margin on futures contracts | | | 1,320 | |
Interest | | | 295 | |
Securities lending income | | | 238 | |
Total assets | | | 2,208,553 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 45,662 | |
Fund shares redeemed | | | 1,896 | |
Management fees | | | 1,588 | |
Transfer agent fees | | | 752 | |
Investor service fees | | | 452 | |
Portfolio accounting and administration fees | | | 99 | |
Trustees’ fees* | | | 27 | |
Miscellaneous | | | 7,542 | |
Total liabilities | | | 58,018 | |
Net assets | | $ | 2,150,535 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 2,581,081 | |
Total distributable earnings (loss) | | | (430,546 | ) |
Net assets | | $ | 2,150,535 | |
Capital shares outstanding | | | 16,493 | |
Net asset value per share | | $ | 130.39 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $6,091) | | $ | 66,085 | |
Dividends from securities of affiliated issuers | | �� | 22,921 | |
Interest from securities of unaffiliated issuers | | | 108,589 | |
Income from securities lending, net | | | 3,586 | |
Total investment income | | | 201,181 | |
| | | | | |
Expenses: |
Management fees | | | 40,224 | |
Investor service fees | | | 11,173 | |
Transfer agent fees | | | 11,410 | |
Professional fees | | | 7,125 | |
Portfolio accounting and administration fees | | | 6,927 | |
Custodian fees | | | 819 | |
Trustees’ fees* | | | 704 | |
Miscellaneous | | | 6,427 | |
Total expenses | | | 84,809 | |
Less: |
Expenses reimbursed by Adviser | | | (2,736 | ) |
Expenses waived by Adviser | | | (507 | ) |
Total waived/reimbursed expenses | | | (3,243 | ) |
Net expenses | | | 81,566 | |
Net investment income | | | 119,615 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments in unaffiliated issuers | | | (82,201 | ) |
Investments in affiliated issuers | | | (1,079 | ) |
Futures contracts | | | 290,003 | |
Foreign currency transactions | | | (110 | ) |
Net realized gain | | | 206,613 | |
Net change in unrealized appreciation (depreciation) on: |
Investments in unaffiliated issuers | | | 152,053 | |
Investments in affiliated issuers | | | 9,600 | |
Futures contracts | | | 104,890 | |
Foreign currency translations | | | 16 | |
Net change in unrealized appreciation (depreciation) | | | 266,559 | |
Net realized and unrealized gain | | | 473,172 | |
Net increase in net assets resulting from operations | | $ | 592,787 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 59 |
EUROPE 1.25x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 119,615 | | | $ | 8,717 | |
Net realized gain (loss) on investments | | | 206,613 | | | | (101,111 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 266,559 | | | | (125,639 | ) |
Net increase (decrease) in net assets resulting from operations | | | 592,787 | | | | (218,033 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (11,417 | ) | | | — | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 45,985,057 | | | | 8,482,222 | |
Distributions reinvested | | | 11,417 | | | | — | |
Cost of shares redeemed | | | (47,162,132 | ) | | | (7,503,489 | ) |
Net increase (decrease) from capital share transactions | | | (1,165,658 | ) | | | 978,733 | |
Net increase (decrease) in net assets | | | (584,288 | ) | | | 760,700 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 2,734,823 | | | | 1,974,123 | |
End of year | | $ | 2,150,535 | | | $ | 2,734,823 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 372,415 | | | | 80,125 | |
Shares issued from reinvestment of distributions | | | 89 | | | | — | |
Shares redeemed | | | (381,121 | ) | | | (70,769 | ) |
Net increase (decrease) in shares | | | (8,617 | ) | | | 9,356 | |
60 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 108.91 | | | $ | 125.31 | | | $ | 105.80 | | | $ | 107.35 | | | $ | 84.49 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 3.29 | | | | .57 | | | | (.92 | ) | | | (.63 | ) | | | .76 | |
Net gain (loss) on investments (realized and unrealized) | | | 18.59 | | | | (16.97 | ) | | | 20.70 | | | | .73 | e | | | 23.18 | |
Total from investment operations | | | 21.88 | | | | (16.40 | ) | | | 19.78 | | | | .10 | | | | 23.94 | |
Less distributions from: |
Net investment income | | | (.40 | ) | | | — | | | | (.27 | ) | | | (1.65 | ) | | | (1.08 | ) |
Total distributions | | | (.40 | ) | | | — | | | | (.27 | ) | | | (1.65 | ) | | | (1.08 | ) |
Net asset value, end of period | | $ | 130.39 | | | $ | 108.91 | | | $ | 125.31 | | | $ | 105.80 | | | $ | 107.35 | |
|
Total Returnb | | | 20.09 | % | | | (13.07 | %) | | | 18.71 | % | | | 0.24 | % | | | 28.43 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 2,151 | | | $ | 2,735 | | | $ | 1,974 | | | $ | 2,523 | | | $ | 3,990 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.68 | % | | | 0.53 | % | | | (0.78 | %) | | | (0.67 | %) | | | 0.77 | % |
Total expensesc | | | 1.90 | % | | | 1.88 | % | | | 1.80 | % | | | 1.91 | % | | | 1.88 | % |
Net expensesd | | | 1.83 | % | | | 1.78 | % | | | 1.71 | % | | | 1.86 | % | | | 1.80 | % |
Portfolio turnover rate | | | 725 | % | | | 70 | % | | | 374 | % | | | 212 | % | | | 391 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
e | 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 ANNUAL REPORT | 61 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, Japan 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the fair value of the underlying index. Japan 2x Strategy Fund returned 34.36%, while the underlying index returned 19.29% over the same time period.
The sectors contributing the most to the return of the underlying index for the Reporting Period were Information Technology, Consumer Discretionary, and Industrials. The only sector detracting from the return of the underlying index was Health Care.
Stocks contributing most to return of the underlying index were Tokyo Electron, Ltd., Advantest Corp., and Fast Retailing Co., Ltd. Those detracting most from performance of the underlying index were M3, Inc., Shiseido Co., Ltd., and Eisai Company, Ltd.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations.
Due to the compounding of daily returns, the Fund’s 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 Fund holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. A significant contributor to the discrepancy between the leveraged and unleveraged indices is the effect of compounding on the leveraged index, which is discussed under “A Brief Note on the Compounding of Returns.”
Performance displayed represents past performance, which is no guarantee of future results.
62 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Holdings Diversification (Market Exposure as % of Net Assets)
Inception Date: October 1, 2001 |
The Fund invests principally in derivative investments such as futures contracts.
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Japan 2x Strategy Fund | 34.46% | 5.16% | 4.39% |
Nikkei-225 Stock Average Index | 19.29% | 5.56% | 4.36% |
* | 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
JAPAN 2x STRATEGY FUND | |
| | Face
Amount | | | Value | |
U.S. TREASURY BILLS†† - 42.6% |
U.S. Treasury Bills |
5.17% due 01/09/241 | | $ | 436,000 | | | $ | 435,555 | |
5.21% due 01/04/241 | | | 200,000 | | | | 199,942 | |
Total U.S. Treasury Bills | | | | |
(Cost $635,403) | | | | | | | 635,497 | |
| | | | | | | | | |
FEDERAL AGENCY DISCOUNT NOTES†† - 26.9% |
Federal Farm Credit Bank |
5.25% due 01/08/241 | | | 200,000 | | | | 199,796 | |
Federal Home Loan Bank |
5.26% due 01/10/241 | | | 200,000 | | | | 199,737 | |
Total Federal Agency Discount Notes | | | | |
(Cost $399,533) | | | | | | | 399,533 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,2 - 30.4% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | | 250,030 | | | | 250,030 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 201,496 | | | | 201,496 | |
Total Repurchase Agreements | | | | |
(Cost $451,526) | | | | | | | 451,526 | |
| | | | | | | | | |
Total Investments - 99.9% | | | | |
(Cost $1,486,462) | | $ | 1,486,556 | |
Other Assets & Liabilities, net - 0.1% | | | 1,128 | |
Total Net Assets - 100.0% | | $ | 1,487,684 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation
(Depreciation)** | |
Currency Futures Contracts Purchased† |
Japanese Yen Futures Contracts | | | 33 | | | | Mar 2024 | | | $ | 2,960,925 | | | $ | 90,504 | |
Equity Futures Contracts Purchased† |
Nikkei 225 (CME) Index Equity Futures Contracts | | | 18 | | | | Mar 2024 | | | | 2,997,450 | | | | (4,373 | ) |
** | 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 | Rate indicated is the effective yield at the time of purchase. |
2 | Repurchase Agreements — See Note 6. |
| | CME — Chicago Mercantile Exchange |
| | |
| | See Sector Classification in Other Information section. |
64 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
JAPAN 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | |
U.S. Treasury Bills | | $ | — | | | $ | 635,497 | | | $ | — | | | $ | 635,497 | |
Federal Agency Discount Notes | | | — | | | | 399,533 | | | | — | | | | 399,533 | |
Repurchase Agreements | | | — | | | | 451,526 | | | | — | | | | 451,526 | |
Currency Futures Contracts** | | | 90,504 | | | | — | | | | — | | | | 90,504 | |
Total Assets | | $ | 90,504 | | | $ | 1,486,556 | | | $ | — | | | $ | 1,577,060 | |
Investments in Securities (Liabilities) | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
Equity Futures Contracts** | | $ | 4,373 | | | $ | — | | | $ | — | | | $ | 4,373 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 65 |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $1,034,936) | | $ | 1,035,030 | |
Repurchase agreements, at value (cost $451,526) | | | 451,526 | |
Receivables: |
Fund shares sold | | | 13,381 | |
Interest | | | 201 | |
Total assets | | | 1,500,138 | |
| | | | | |
Liabilities: |
Payable for: |
Variation margin on futures contracts | | | 6,285 | |
Professional fees | | | 2,216 | |
Management fees | | | 956 | |
Transfer agent fees | | | 500 | |
Investor service fees | | | 319 | |
Fund shares redeemed | | | 262 | |
Portfolio accounting and administration fees | | | 134 | |
Trustees’ fees* | | | 19 | |
Miscellaneous | | | 1,763 | |
Total liabilities | | | 12,454 | |
Net assets | | $ | 1,487,684 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 3,413,114 | |
Total distributable earnings (loss) | | | (1,925,430 | ) |
Net assets | | $ | 1,487,684 | |
Capital shares outstanding | | | 19,061 | |
Net asset value per share | | $ | 78.05 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Interest | | $ | 83,334 | |
Total investment income | | | 83,334 | |
| | | | | |
Expenses: |
Management fees | | | 12,327 | |
Investor service fees | | | 4,109 | |
Transfer agent fees | | | 3,918 | |
Professional fees | | | 2,563 | |
Portfolio accounting and administration fees | | | 2,548 | |
Trustees’ fees* | | | 233 | |
Custodian fees | | | 229 | |
Miscellaneous | | | 2,094 | |
Total expenses | | | 28,021 | |
Less: |
Expenses reimbursed by Adviser | | | (317 | ) |
Net expenses | | | 27,704 | |
Net investment income | | | 55,630 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 62 | |
Futures contracts | | | 112,750 | |
Net realized gain | | | 112,812 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 45 | |
Futures contracts | | | 131,495 | |
Net change in unrealized appreciation (depreciation) | | | 131,540 | |
Net realized and unrealized gain | | | 244,352 | |
Net increase in net assets resulting from operations | | $ | 299,982 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
66 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 55,630 | | | $ | 1,317 | |
Net realized gain (loss) on investments | | | 112,812 | | | | (845,977 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 131,540 | | | | (29,611 | ) |
Net increase (decrease) in net assets resulting from operations | | | 299,982 | | | | (874,271 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (1,317 | ) | | | — | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 9,093,882 | | | | 9,370,759 | |
Distributions reinvested | | | 1,317 | | | | — | |
Cost of shares redeemed | | | (8,835,567 | ) | | | (9,349,938 | ) |
Net increase from capital share transactions | | | 259,632 | | | | 20,821 | |
Net increase (decrease) in net assets | | | 558,297 | | | | (853,450 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 929,387 | | | | 1,782,837 | |
End of year | | $ | 1,487,684 | | | $ | 929,387 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 129,373 | | | | 136,206 | |
Shares issued from reinvestment of distributions | | | 16 | | | | — | |
Shares redeemed | | | (126,335 | ) | | | (137,701 | ) |
Net increase (decrease) in shares | | | 3,054 | | | | (1,495 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 67 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 58.06 | | | $ | 101.86 | | | $ | 118.59 | | | $ | 85.35 | | | $ | 62.30 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 2.39 | | | | .07 | | | | (1.11 | ) | | | (.65 | ) | | | .66 | |
Net gain (loss) on investments (realized and unrealized) | | | 17.63 | | | | (43.87 | ) | | | (15.62 | ) | | | 34.73 | | | | 23.49 | |
Total from investment operations | | | 20.02 | | | | (43.80 | ) | | | (16.73 | ) | | | 34.08 | | | | 24.15 | |
Less distributions from: |
Net investment income | | | (.03 | ) | | | — | | | | — | | | | (.84 | ) | | | (1.10 | ) |
Total distributions | | | (.03 | ) | | | — | | | | — | | | | (.84 | ) | | | (1.10 | ) |
Net asset value, end of period | | $ | 78.05 | | | $ | 58.06 | | | $ | 101.86 | | | $ | 118.59 | | | $ | 85.35 | |
|
Total Returnb | | | 34.46 | % | | | (43.00 | %) | | | (14.11 | %) | | | 40.46 | % | | | 39.03 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,488 | | | $ | 929 | | | $ | 1,783 | | | $ | 2,993 | | | $ | 2,037 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.38 | % | | | 0.10 | % | | | (0.97 | %) | | | (0.82 | %) | | | 0.89 | % |
Total expensesc | | | 1.70 | % | | | 1.67 | % | | | 1.59 | % | | | 1.72 | % | | | 1.72 | % |
Net expensesd | | | 1.69 | % | | | 1.63 | % | | | 1.53 | % | | | 1.67 | % | | | 1.64 | % |
Portfolio turnover rate | | | — | | | | — | | | | 41 | % | | | 199 | % | | | 153 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
68 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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.
For the Reporting Period, Strengthening Dollar 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the underlying index. Strengthening Dollar 2x Strategy Fund returned 1.18%, compared with a return of -2.12% for the underlying index.
The Japanese yen was the only contributor to the DXY during 2023. The euro, British pound, and Swiss franc detracted the most from the DXY during 2023.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations.
Due to the compounding of daily returns, the Fund’s 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 Fund holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. A significant contributor to the discrepancy between the leveraged and unleveraged indices is the effect of compounding on the leveraged index, which is discussed under “A Brief Note on the Compounding of Returns.”
Performance displayed represents past performance, which is no guarantee of future results.
| | THE RYDEX FUNDS ANNUAL REPORT | 69 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: September 30, 2005 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Strengthening Dollar 2x Strategy Fund | 1.18% | 3.18% | 4.85% |
U.S. Dollar Index | (2.12%) | 1.05% | 2.39% |
* | 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. |
70 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
| | Face
Amount | | | Value | |
FEDERAL AGENCY DISCOUNT NOTES†† - 92.1% |
Federal Farm Credit Bank |
5.25% due 01/08/241 | | $ | 600,000 | | | $ | 599,387 | |
Farmer Mac |
4.59% due 01/05/241 | | | 500,000 | | | | 499,709 | |
Federal Home Loan Bank |
5.26% due 01/10/241 | | | 200,000 | | | | 199,737 | |
Total Federal Agency Discount Notes | | | | |
(Cost $1,298,833) | | | | | | | 1,298,833 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 21.4% |
U.S. Treasury Bills |
5.21% due 01/04/241 | | | 200,000 | | | | 199,942 | |
5.17% due 01/09/241,2 | | | 102,000 | | | | 101,896 | |
Total U.S. Treasury Bills | | | | |
(Cost $301,794) | | | | | | | 301,838 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,3 - 173.8% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/244 | | | 1,357,601 | | | | 1,357,601 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/244 | | | 1,094,072 | | | | 1,094,072 | |
Total Repurchase Agreements | | | | |
(Cost $2,451,673) | | | | | | | 2,451,673 | |
| | | | | | | | | |
Total Investments - 287.3% | | | | |
(Cost $4,052,300) | | $ | 4,052,344 | |
Other Assets & Liabilities, net - (187.3)% | | | (2,641,882 | ) |
Total Net Assets - 100.0% | | $ | 1,410,462 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Currency Futures Contracts Purchased† |
U.S. Dollar Index Futures Contracts | | | 21 | | | | Mar 2024 | | | $ | 2,121,525 | | | $ | 2,603 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Currency Index Swap Agreements†† |
Goldman Sachs International | U.S. Dollar Index | Receive | N/A | | | At Maturity | | | | 03/22/24 | | | | 6,910 | | | $ | 698,578 | | | $ | 1,239 | |
** | 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 | Rate indicated is the effective yield at the time of purchase. |
2 | All or a portion of this security is pledged as futures collateral at December 31, 2023. |
3 | Repurchase Agreements — See Note 6. |
4 | All or a portion of this security is pledged as currency index swap collateral at December 31, 2023. |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 71 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 Discount Notes | | $ | — | | | $ | 1,298,833 | | | $ | — | | | $ | 1,298,833 | |
U.S. Treasury Bills | | | — | | | | 301,838 | | | | — | | | | 301,838 | |
Repurchase Agreements | | | — | | | | 2,451,673 | | | | — | | | | 2,451,673 | |
Currency Futures Contracts** | | | 2,603 | | | | — | | | | — | | | | 2,603 | |
Currency Index Swap Agreements** | | | — | | | | 1,239 | | | | — | | | | 1,239 | |
Total Assets | | $ | 2,603 | | | $ | 4,053,583 | | | $ | — | | | $ | 4,056,186 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
72 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $1,600,627) | | $ | 1,600,671 | |
Repurchase agreements, at value (cost $2,451,673) | | | 2,451,673 | |
Segregated cash with broker | | | 31,000 | |
Unrealized appreciation on OTC swap agreements | | | 1,239 | |
Receivables: |
Fund shares sold | | | 8,818 | |
Variation margin on futures contracts | | | 6,383 | |
Interest | | | 1,091 | |
Total assets | | | 4,100,875 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 2,675,146 | |
Swap settlement | | | 6,028 | |
Management fees | | | 1,437 | |
Transfer agent fees | | | 802 | |
Investor service fees | | | 399 | |
Portfolio accounting and administration fees | | | 88 | |
Trustees’ fees* | | | 21 | |
Miscellaneous | | | 6,492 | |
Total liabilities | | | 2,690,413 | |
Net assets | | $ | 1,410,462 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 2,296,157 | |
Total distributable earnings (loss) | | | (885,695 | ) |
Net assets | | $ | 1,410,462 | |
Capital shares outstanding | | | 30,955 | |
Net asset value per share | | $ | 45.56 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Interest | | $ | 152,411 | |
Total investment income | | | 152,411 | |
| | | | | |
Expenses: |
Management fees | | | 27,167 | |
Investor service fees | | | 7,546 | |
Transfer agent and administrative fees | | | 7,902 | |
Portfolio accounting and administration fees | | | 4,679 | |
Professional fees | | | 2,434 | |
Licensing fees | | | 4,115 | |
Trustees’ fees* | | | 611 | |
Custodian fees | | | 439 | |
Miscellaneous | | | 5,182 | |
Total expenses | | | 60,075 | |
Less: |
Expenses reimbursed by Adviser | | | (2,074 | ) |
Net expenses | | | 58,001 | |
Net investment income | | | 94,410 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 43 | |
Swap agreements | | | (13,749 | ) |
Futures contracts | | | (117,371 | ) |
Net realized loss | | | (131,077 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (189 | ) |
Swap agreements | | | 14,660 | |
Futures contracts | | | 6,837 | |
Net change in unrealized appreciation (depreciation) | | | 21,308 | |
Net realized and unrealized loss | | | (109,769 | ) |
Net decrease in net assets resulting from operations | | $ | (15,359 | ) |
* | 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 ANNUAL REPORT | 73 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 94,410 | | | $ | 6,475 | |
Net realized gain (loss) on investments | | | (131,077 | ) | | | 217,293 | |
Net change in unrealized appreciation (depreciation) on investments | | | 21,308 | | | | 25,982 | |
Net increase (decrease) in net assets resulting from operations | | | (15,359 | ) | | | 249,750 | |
| | | | | | | | | |
Distributions to shareholders | | | (6,475 | ) | | | — | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 19,309,766 | | | | 29,854,882 | |
Distributions reinvested | | | 6,475 | | | | — | |
Cost of shares redeemed | | | (21,456,980 | ) | | | (30,535,150 | ) |
Net decrease from capital share transactions | | | (2,140,739 | ) | | | (680,268 | ) |
Net decrease in net assets | | | (2,162,573 | ) | | | (430,518 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 3,573,035 | | | | 4,003,553 | |
End of year | | $ | 1,410,462 | | | $ | 3,573,035 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 419,238 | | | | 633,705 | |
Shares issued from reinvestment of distributions | | | 151 | | | | — | |
Shares redeemed | | | (467,545 | ) | | | (657,108 | ) |
Net decrease in shares | | | (48,156 | ) | | | (23,403 | ) |
74 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 45.16 | | | $ | 39.05 | | | $ | 35.15 | | | $ | 41.21 | | | $ | 39.73 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 1.44 | | | | .06 | | | | (.49 | ) | | | (.43 | ) | | | .21 | |
Net gain (loss) on investments (realized and unrealized) | | | (.92 | ) | | | 6.05 | | | | 4.39 | | | | (5.32 | ) | | | 1.63 | |
Total from investment operations | | | .52 | | | | 6.11 | | | | 3.90 | | | | (5.75 | ) | | | 1.84 | |
Less distributions from: |
Net investment income | | | (.12 | ) | | | — | | | | — | | | | (.31 | ) | | | (.36 | ) |
Total distributions | | | (.12 | ) | | | — | | | | — | | | | (.31 | ) | | | (.36 | ) |
Net asset value, end of period | | $ | 45.56 | | | $ | 45.16 | | | $ | 39.05 | | | $ | 35.15 | | | $ | 41.21 | |
|
Total Returnb | | | 1.18 | % | | | 15.65 | % | | | 11.10 | % | | | (14.03 | %) | | | 4.61 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,410 | | | $ | 3,573 | | | $ | 4,004 | | | $ | 1,556 | | | $ | 1,412 | |
Ratios to average net assets: |
Net investment income (loss) | | | 3.13 | % | | | 0.13 | % | | | (1.32 | %) | | | (1.05 | %) | | | 0.50 | % |
Total expensesc | | | 1.99 | % | | | 1.96 | % | | | 1.99 | % | | | 2.02 | % | | | 2.09 | % |
Net expensesd | | | 1.92 | % | | | 1.89 | % | | | 1.90 | % | | | 1.96 | % | | | 2.02 | % |
Portfolio turnover rate | | | — | | | | — | | | | 131 | % | | | 103 | % | | | 102 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 75 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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.
For the Reporting Period, Weakening Dollar 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of -200% of the daily price movement of the underlying index. Weakening Dollar 2x Strategy Fund returned 2.85%, compared with a return of -2.12% for the underlying index.
The Japanese yen was the only contributor to the DXY during 2023. The euro, British pound, and Swiss franc detracted the most from the DXY during 2023.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations.
Due to the compounding of daily returns, the Fund’s 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 Fund holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. A significant contributor to the discrepancy between the leveraged and unleveraged indices is the effect of compounding on the leveraged index, which is discussed under “A Brief Note on the Compounding of Returns.”
Performance displayed represents past performance, which is no guarantee of future results.
76 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: September 30, 2005 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Weakening Dollar 2x Strategy Fund | 2.85% | (5.51%) | (7.26%) |
U.S. Dollar Index | (2.12%) | 1.05% | 2.39% |
* | 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 77 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
WEAKENING DOLLAR 2x STRATEGY FUND | |
| | Face
Amount | | | Value | |
FEDERAL AGENCY DISCOUNT NOTES†† - 29.0% |
Federal Home Loan Bank |
5.26% due 01/10/241 | | $ | 100,000 | | | $ | 99,869 | |
Farmer Mac |
4.59% due 01/05/241 | | | 80,000 | | | | 79,953 | |
Total Federal Agency Discount Notes | | | | |
(Cost $179,822) | | | | | | | 179,822 | |
| | | | | | | | | |
U.S. TREASURY BILLS†† - 18.8% |
U.S. Treasury Bills |
5.21% due 01/04/241 | | | 100,000 | | | | 99,971 | |
5.17% due 01/09/241,2 | | | 17,000 | | | | 16,983 | |
Total U.S. Treasury Bills | | | | |
(Cost $116,937) | | | | | | | 116,954 | |
| | | | | | | | | |
REPURCHASE AGREEMENTS††,3 - 54.2% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/244 | | | 186,301 | | | | 186,301 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/244 | | | 150,138 | | | | 150,138 | |
Total Repurchase Agreements | | | | |
(Cost $336,439) | | | | | | | 336,439 | |
| | | | | | | | | |
Total Investments - 102.0% | | | | |
(Cost $633,198) | | $ | 633,215 | |
Other Assets & Liabilities, net - (2.0)% | | | (12,243 | ) |
Total Net Assets - 100.0% | | $ | 620,972 | |
Futures Contracts |
Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value and
Unrealized
Appreciation** | |
Currency Futures Contracts Sold Short† |
U.S. Dollar Index Futures Contracts | | | 9 | | | | Mar 2024 | | | $ | 909,225 | | | $ | 22,794 | |
Total Return Swap Agreements |
Counterparty | Index | Type | Financing
Rate | | Payment
Frequency | | | Maturity
Date | | | Units | | | Notional
Amount | | | Value and
Unrealized
Appreciation | |
OTC Currency Index Swap Agreements Sold Short†† |
Goldman Sachs International | U.S. Dollar Index | Pay | N/A | | | At Maturity | | | | 03/22/24 | | | | 3,270 | | | $ | 330,591 | | | $ | 1,441 | |
** | 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 | Rate indicated is the effective yield at the time of purchase. |
2 | All or a portion of this security is pledged as futures collateral at December 31, 2023. |
3 | Repurchase Agreements — See Note 6. |
4 | All or a portion of this security is pledged as currency index swap collateral at December 31, 2023. |
| | |
| | See Sector Classification in Other Information section. |
78 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
WEAKENING DOLLAR 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 Discount Notes | | $ | — | | | $ | 179,822 | | | $ | — | | | $ | 179,822 | |
U.S. Treasury Bills | | | — | | | | 116,954 | | | | — | | | | 116,954 | |
Repurchase Agreements | | | — | | | | 336,439 | | | | — | | | | 336,439 | |
Currency Futures Contracts** | | | 22,794 | | | | — | | | | — | | | | 22,794 | |
Currency Index Swap Agreements** | | | — | | | | 1,441 | | | | — | | | | 1,441 | |
Total Assets | | $ | 22,794 | | | $ | 634,656 | | | $ | — | | | $ | 657,450 | |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 79 |
WEAKENING DOLLAR 2x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $296,759) | | $ | 296,776 | |
Repurchase agreements, at value (cost $336,439) | | | 336,439 | |
Segregated cash with broker | | | 2,912 | |
Unrealized appreciation on OTC swap agreements | | | 1,441 | |
Receivables: |
Interest | | | 150 | |
Total assets | | | 637,718 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 12,487 | |
Variation margin on futures contracts | | | 1,008 | |
Management fees | | | 471 | |
Swap settlement | | | 245 | |
Transfer agent fees | | | 214 | |
Investor service fees | | | 131 | |
Portfolio accounting and administration fees | | | 29 | |
Trustees’ fees* | | | 7 | |
Miscellaneous | | | 2,154 | |
Total liabilities | | | 16,746 | |
Net assets | | $ | 620,972 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 2,285,873 | |
Total distributable earnings (loss) | | | (1,664,901 | ) |
Net assets | | $ | 620,972 | |
Capital shares outstanding | | | 14,041 | |
Net asset value per share | | $ | 44.23 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Interest | | $ | 59,180 | |
Total investment income | | | 59,180 | |
| | | | | |
Expenses: |
Management fees | | | 10,934 | |
Investor service fees | | | 3,037 | |
Transfer agent fees | | | 3,149 | |
Professional fees | | | 2,131 | |
Portfolio accounting and administration fees | | | 1,883 | |
Licensing fees | | | 1,522 | |
Trustees’ fees* | | | 211 | |
Custodian fees | | | 174 | |
Miscellaneous | | | 910 | |
Total expenses | | | 23,951 | |
Less: |
Expenses reimbursed by Adviser | | | (753 | ) |
Net expenses | | | 23,198 | |
Net investment income | | | 35,982 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 25 | |
Swap agreements | | | (802 | ) |
Futures contracts | | | (84,323 | ) |
Net realized loss | | | (85,100 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 18 | |
Swap agreements | | | (1,190 | ) |
Futures contracts | | | 21,004 | |
Net change in unrealized appreciation (depreciation) | | | 19,832 | |
Net realized and unrealized loss | | | (65,268 | ) |
Net decrease in net assets resulting from operations | | $ | (29,286 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
80 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
WEAKENING DOLLAR 2x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 35,982 | | | $ | 602 | |
Net realized loss on investments | | | (85,100 | ) | | | (139,000 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 19,832 | | | | (2,534 | ) |
Net decrease in net assets resulting from operations | | | (29,286 | ) | | | (140,932 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (602 | ) | | | — | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 7,045,169 | | | | 6,585,478 | |
Distributions reinvested | | | 602 | | | | — | |
Cost of shares redeemed | | | (7,801,393 | ) | | | (5,730,844 | ) |
Net increase (decrease) from capital share transactions | | | (755,622 | ) | | | 854,634 | |
Net increase (decrease) in net assets | | | (785,510 | ) | | | 713,702 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 1,406,482 | | | | 692,780 | |
End of year | | $ | 620,972 | | | $ | 1,406,482 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 161,195 | | | | 158,776 | |
Shares issued from reinvestment of distributions | | | 13 | | | | — | |
Shares redeemed | | | (179,853 | ) | | | (139,215 | ) |
Net increase (decrease) in shares | | | (18,645 | ) | | | 19,561 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 81 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 43.03 | | | $ | 52.78 | | | $ | 61.36 | | | $ | 56.17 | | | $ | 59.56 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 1.27 | | | | .05 | | | | (.83 | ) | | | (.76 | ) | | | .28 | |
Net gain (loss) on investments (realized and unrealized) | | | (.03 | ) | | | (9.80 | ) | | | (7.75 | ) | | | 6.19 | | | | (3.17 | ) |
Total from investment operations | | | 1.24 | | | | (9.75 | ) | | | (8.58 | ) | | | 5.43 | | | | (2.89 | ) |
Less distributions from: |
Net investment income | | �� | (.04 | ) | | | — | | | | — | | | | (.24 | ) | | | (.50 | ) |
Total distributions | | | (.04 | ) | | | — | | | | — | | | | (.24 | ) | | | (.50 | ) |
Net asset value, end of period | | $ | 44.23 | | | $ | 43.03 | | | $ | 52.78 | | | $ | 61.36 | | | $ | 56.17 | |
|
Total Returnb | | | 2.85 | % | | | (18.47 | %) | | | (13.98 | %) | | | 9.69 | % | | | (4.85 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 621 | | | $ | 1,406 | | | $ | 693 | | | $ | 2,332 | | | $ | 587 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.96 | % | | | 0.12 | % | | | (1.43 | %) | | | (1.35 | %) | | | 0.50 | % |
Total expensesc | | | 1.97 | % | | | 1.93 | % | | | 2.00 | % | | | 2.00 | % | | | 2.08 | % |
Net expensesd | | | 1.91 | % | | | 1.85 | % | | | 1.93 | % | | | 1.96 | % | | | 2.00 | % |
Portfolio turnover rate | | | — | | | | — | | | | 93 | % | | | 129 | % | | | 187 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Does not include expenses of the underlying funds in which the Fund invests. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
82 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Variable Trust (the “Trust”), a Delaware statutory trust, is registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940 (the “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 December 31, 2023, 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 (the “Adviser”), which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) serves as distributor of the Funds’ shares. 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 each Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, by the number of outstanding shares of the Fund on the specified date.
(a) Valuation of Investments
The Board of Trustees of the Trust (the “Board”) adopted policies and procedures for the valuation of the Funds’ investments (the “Fund Valuation Procedures”). The SEC adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.
Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Funds with respect to all Fund investments and other assets. As the Funds’ valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures” and collectively with the Fund Valuation Procedures, the “Valuation Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Funds’ securities and other assets.
Valuations of the Funds’ securities and other assets are supplied primarily by pricing service providers appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing service providers.
If a pricing service provider cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.
Equity securities listed or traded on a recognized U.S. securities exchange or the Nasdaq Stock Market (“NASDAQ”) will generally be valued on the basis of the last sale price on the primary U.S.
| | THE RYDEX FUNDS ANNUAL REPORT | 83 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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.
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 generally valued at the last quoted sale price.
U.S. Government securities are valued by pricing service providers, using the last traded fill price, or at the reported bid price at the close of business on the valuation date.
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.
Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from pricing service providers, 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. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service provider.
Futures contracts are valued on the basis of the last sale price as of 4:00 p.m. 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 of the underlying securities would provide a more accurate valuation of the futures contract.
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 the Adviser. 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, geopolitical or economic developments, all of which could affect the market and/or credit risk of the investments.
84 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
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.
(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 December 31, 2023, 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 5.33% at December 31, 2023.
(j) Indemnifications
Under the Trust’s organizational documents, the Trustees and Officers of the Trust 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 strategies, 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 Funds’ 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 for investment purposes (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 seek 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 RYDEX FUNDS ANNUAL REPORT | 85 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The Funds may utilize derivatives for the following purposes:
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.
Liquidity: the ability to buy or sell exposure with little price/market impact.
If a Fund’s 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 the Fund 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 Funds’ Statements of Assets and Liabilities; securities held as collateral are noted on the Funds’ 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 | | $ | 7,759,281 | | | $ | — | |
Japan 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 6,513,397 | | | | — | |
Strengthening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | 3,960,903 | | | | — | |
Weakening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | — | | | | 2,028,305 | |
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.
86 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 | | $ | 1,556,488 | | | $ | — | |
Weakening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | | | — | | | | 412,661 | |
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 December 31, 2023:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Currency/Equity futures contracts | Variation margin on futures contracts | Variation margin on futures contracts |
Currency swap contracts | Unrealized appreciation on OTC swap agreements | — |
The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at December 31, 2023:
Asset Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Futures
Foreign
Currency
Exchange
Risk* | | | Swaps
Currency
Risk | | | Total Value at
December 31,
2023 | |
Europe 1.25x Strategy Fund | | $ | 781 | | | $ | 43,920 | | | $ | — | | | $ | 44,701 | |
Japan 2x Strategy Fund | | | — | | | | 90,504 | | | | — | | | | 90,504 | |
Strengthening Dollar 2x Strategy Fund | | | — | | | | 2,603 | | | | 1,239 | | | | 3,842 | |
Weakening Dollar 2x Strategy Fund | | | — | | | | 22,794 | | | | 1,441 | | | | 24,235 | |
Liability Derivative Investments Value |
Fund | | Futures
Equity
Risk* | | | Futures
Foreign
Currency
Exchange
Risk* | | | Swaps
Currency
Risk | | | Total Value at
December 31,
2023 | |
Japan 2x Strategy Fund | | $ | 4,373 | | | $ | — | | | $ | — | | | $ | 4,373 | |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Funds’ Schedules of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Funds’ Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended December 31, 2023:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Currency/Equity futures contracts | Net realized gain (loss) on futures contracts |
| | Net change in unrealized appreciation (depreciation) on futures contracts |
Currency swap contracts | Net realized gain (loss) on swap agreements |
| | Net change in unrealized appreciation (depreciation) on swap agreements |
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NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Funds’ Statements of Operations categorized by primary risk exposure for the year ended December 31, 2023:
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 | | $ | 361,567 | | | $ | (71,564 | ) | | $ | — | | | $ | 290,003 | |
Japan 2x Strategy Fund | | | 682,951 | | | | (570,201 | ) | | | — | | | | 112,750 | |
Strengthening Dollar 2x Strategy Fund | | | — | | | | (117,371 | ) | | | (13,749 | ) | | | (131,120 | ) |
Weakening Dollar 2x Strategy Fund | | | — | | | | (84,323 | ) | | | (802 | ) | | | (85,125 | ) |
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 | | $ | 86,668 | | | $ | 18,222 | | | $ | — | | | $ | 104,890 | |
Japan 2x Strategy Fund | | | 117,125 | | | | 14,370 | | | | — | | | | 131,495 | |
Strengthening Dollar 2x Strategy Fund | | | — | | | | 6,837 | | | | 14,660 | | | | 21,497 | |
Weakening Dollar 2x Strategy Fund | | | — | | | | 21,004 | | | | (1,190 | ) | | | 19,814 | |
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 rated/identified as investment grade or better. The Trust monitors the counterparty credit risk associated with each such financial institution.
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 Funds’ 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
88 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 Funds’ 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 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 | Currency swap agreements | | $ | 1,239 | | | $ | — | | | | 1,239 | | | $ | — | | | $ | — | | | $ | 1,239 | |
Weakening Dollar 2x Strategy Fund | Currency swap agreements | | | 1,441 | | | | — | | | | 1,441 | | | | — | | | | — | | | | 1,441 | |
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 December 31, 2023.
Fund | Counterparty | Asset Type | | Cash Pledged | | | Cash Received | |
Europe 1.25x Strategy Fund | Goldman Sachs International | Futures contracts | | $ | 2,202 | | | $ | — | |
Strengthening Dollar 2x Strategy Fund | Goldman Sachs International | Futures contracts | | | 31,000 | | | | — | |
Weakening Dollar 2x Strategy Fund | Goldman Sachs International | Futures contracts | | | 2,912 | | | | — | |
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 between market participants at the measurement date. 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 — | unadjusted 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. |
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NOTES TO FINANCIAL STATEMENTS (continued) |
Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”
Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. 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 selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed 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 under 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 year ended December 31, 2023, the following Funds waived fees related to investments in affiliated funds:
Fund | | Amount Waived | |
Europe 1.25x Strategy Fund | | $ | 507 | |
Effective June 1, 2021, GI has contractually agreed to waive and/or reimburse expenses for the 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 shall automatically renew for one-year terms, unless GI provides written notice to the Fund of the termination at least
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NOTES TO FINANCIAL STATEMENTS (continued) |
thirty days prior to the end of the then-current term. This agreement may be terminated at any time by the Fund’s Board upon sixty days’ written notice to the Adviser. In addition, the agreement will terminate automatically if the Advisory Agreement, with respect to a Fund, is terminated, with such termination effective upon the effective date of the termination of the Advisory Agreement.
On May 24, 2023, the Board approved a waiver and/or expense reimbursement arrangement whereby GI has agreed to waive and/or reimburse expenses for each Fund in an amount equal to an annual percentage rate of 0.05% of each Fund’s average daily net assets. This arrangement went into effect on August 1, 2023 and the end of the initial term is August 1, 2024. 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 Board upon sixty days’ written notice to the Adviser. In addition, the agreement will terminate automatically if the Advisory Agreement, with respect to a Fund, is terminated, with such termination effective upon the effective date of the termination of the Advisory Agreement.
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 December 31, 2023, the repurchase agreements in the joint account were as follows:
Counterparty and
Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
BofA Securities, Inc. | | | | | | | | | | U.S. Treasury Strip | | | | | | | | |
5.35% | | | | | | | | | | 0.00% | | | | | | | | |
Due 01/02/24 | | $ | 31,762,520 | | | $ | 31,776,681 | | | Due 11/15/26 | | $ | 36,401,131 | | | $ | 32,397,771 | |
| | | | | | | | | | | | | | | | | | | |
J.P. Morgan Securities LLC | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
5.33% | | | | | | | | | | 0.50% | | | | | | | | |
Due 01/02/24 | | | 39,413,155 | | | | 39,430,661 | | | Due 05/31/27 | | | 45,123,100 | | | | 40,201,441 | |
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. Securities lending income shown on the Funds’ 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
| | THE RYDEX FUNDS ANNUAL REPORT | 91 |
NOTES TO FINANCIAL STATEMENTS (continued) |
lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund — Class X. 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 December 31, 2023, 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 MidCap 400® Pure Value Fund | | $ | 10,674 | | | $ | (10,674 | ) | | $ | — | | | | $ | 11,505 | | | $ | — | | | $ | 11,505 | |
Europe 1.25x Strategy Fund | | | 43,838 | | | | (43,838 | ) | | | — | | | | | 45,662 | | | | — | | | | 45,662 | |
(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 of 1986, as amended (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.
The tax character of distributions paid during the year ended December 31, 2023 was as follows:
Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
S&P 500® Pure Value Fund | | $ | 296,989 | | | $ | — | | | $ | 296,989 | |
S&P SmallCap 600® Pure Growth Fund | | | 5,759 | | | | — | | | | 5,759 | |
Europe 1.25x Strategy Fund | | | 11,417 | | | | — | | | | 11,417 | |
Japan 2x Strategy Fund | | | 1,317 | | | | — | | | | 1,317 | |
Strengthening Dollar 2x Strategy Fund | | | 6,475 | | | | — | | | | 6,475 | |
Weakening Dollar 2x Strategy Fund | | | 602 | | | | — | | | | 602 | |
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NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributions paid during the year ended December 31, 2022 was as follows:
Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
S&P 500® Pure Growth Fund | | $ | 576,892 | | | $ | 3,790,097 | | | $ | 4,366,989 | |
S&P 500® Pure Value Fund | | | 2,171,077 | | | | 1,065,975 | | | | 3,237,052 | |
S&P MidCap 400® Pure Growth Fund | | | — | | | | 1,815,529 | | | | 1,815,529 | |
S&P MidCap 400® Pure Value Fund | | | 1,701,006 | | | | 469,118 | | | | 2,170,124 | |
S&P SmallCap 600® Pure Growth Fund | | | 840,197 | | | | 737,805 | | | | 1,578,002 | |
S&P SmallCap 600® Pure Value Fund | | | 1,494,113 | | | | — | | | | 1,494,113 | |
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of December 31, 2023 were as follows:
Fund | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital Gain | | | Net
Unrealized
Appreciation
(Depreciation) | | | Accumulated
Capital and
Other Losses | | | Other
Temporary
Differences | | | Total | |
S&P 500® Pure Growth Fund | | $ | 16,085 | | | $ | 106,226 | | | $ | 2,029,416 | | | $ | — | | | $ | — | | | $ | 2,151,727 | |
S&P 500® Pure Value Fund | | | 247,455 | | | | — | | | | 1,407,304 | | | | (1,499,891 | ) | | | — | | | | 154,868 | |
S&P MidCap 400® Pure Growth Fund | | | — | | | | 981 | | | | 897,918 | | | | — | | | | — | | | | 898,899 | |
S&P MidCap 400® Pure Value Fund | | | 159,153 | | | | 203,820 | | | | 1,263,896 | | | | — | | | | — | | | | 1,626,869 | |
S&P SmallCap 600® Pure Growth Fund | | | — | | | | — | | | | 826,433 | | | | (1,138,105 | ) | | | — | | | | (311,672 | ) |
S&P SmallCap 600® Pure Value Fund | | | — | | | | — | | | | 343,905 | | | | (183,676 | ) | | | (981 | ) | | | 159,248 | |
Europe 1.25x Strategy Fund | | | 119,505 | | | | — | | | | 178,991 | | | | (729,042 | ) | | | — | | | | (430,546 | ) |
Japan 2x Strategy Fund | | | 55,630 | | | | — | | | | 94 | | | | (1,981,154 | ) | | | — | | | | (1,925,430 | ) |
Strengthening Dollar 2x Strategy Fund | | | 94,410 | | | | — | | | | 45 | | | | (980,150 | ) | | | — | | | | (885,695 | ) |
Weakening Dollar 2x Strategy Fund | | | 35,982 | | | | — | | | | 17 | | | | (1,700,900 | ) | | | — | | | | (1,664,901 | ) |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of December 31, 2023, capital loss carryforwards for the Funds were as follows:
| | | Unlimited | | | | | |
Fund | | Short-Term | | | Long-Term | | | Total
Capital Loss
Carryforward | |
S&P 500® Pure Value Fund | | $ | (1,114,780 | ) | | $ | (385,111 | ) | | $ | (1,499,891 | ) |
S&P SmallCap 600® Pure Growth Fund | | | (545,774 | ) | | | (592,331 | ) | | | (1,138,105 | ) |
S&P SmallCap 600® Pure Value Fund | | | (92,617 | ) | | | (91,059 | ) | | | (183,676 | ) |
Europe 1.25x Strategy Fund | | | (729,042 | ) | | | — | | | | (729,042 | ) |
Japan 2x Strategy Fund | | | (782,972 | ) | | | (1,198,182 | ) | | | (1,981,154 | ) |
Strengthening Dollar 2x Strategy Fund | | | (414,395 | ) | | | (565,755 | ) | | | (980,150 | ) |
Weakening Dollar 2x Strategy Fund | | | (698,512 | ) | | | (1,002,388 | ) | | | (1,700,900 | ) |
For the year ended December 31, 2023, the following capital loss carryforward amounts were utilized:
Fund | | Utilized | |
S&P 500® Pure Growth Fund | | $ | 258,537 | |
S&P MidCap 400® Pure Growth Fund | | | 472,390 | |
S&P SmallCap 600® Pure Growth Fund | | | 305,540 | |
Europe 1.25x Strategy Fund | | | 332,681 | |
Japan 2x Strategy Fund | | | 244,309 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 93 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in real estate investment trusts, foreign currency gains and losses, losses deferred due to wash sales, distributions in connection with redemption of fund shares, return of capital distributions received, and the “mark-to-market” of certain derivatives. Additional differences may result from the tax treatment of net operating losses. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statements of Assets and Liabilities as of December 31, 2023 for permanent book/tax differences:
Fund | | Paid In
Capital | | | Total
Distributable
Earnings/(Loss) | |
S&P 500® Pure Growth Fund | | $ | (988 | ) | | $ | 988 | |
S&P 500® Pure Value Fund | | | (1 | ) | | | 1 | |
S&P MidCap 400® Pure Growth Fund | | | (51,915 | ) | | | 51,915 | |
S&P MidCap 400® Pure Value Fund | | | 76,812 | | | | (76,812 | ) |
S&P SmallCap 600® Pure Growth Fund | | | (4,207 | ) | | | 4,207 | |
S&P SmallCap 600® Pure Value Fund | | | (8,982 | ) | | | 8,982 | |
At December 31, 2023, 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 | | $ | 20,497,220 | | | $ | 2,100,385 | | | $ | (70,969 | ) | | $ | 2,029,416 | |
S&P 500® Pure Value Fund | | | 18,114,855 | | | | 1,701,831 | | | | (294,527 | ) | | | 1,407,304 | |
S&P MidCap 400® Pure Growth Fund | | | 8,136,773 | | | | 964,207 | | | | (66,289 | ) | | | 897,918 | |
S&P MidCap 400® Pure Value Fund | | | 10,270,009 | | | | 1,308,833 | | | | (44,937 | ) | | | 1,263,896 | |
S&P SmallCap 600® Pure Growth Fund | | | 5,932,259 | | | | 871,337 | | | | (44,904 | ) | | | 826,433 | |
S&P SmallCap 600® Pure Value Fund | | | 9,531,678 | | | | 388,908 | | | | (45,003 | ) | | | 343,905 | |
Europe 1.25x Strategy Fund | | | 2,014,147 | | | | 186,560 | | | | (7,609 | ) | | | 178,951 | |
Japan 2x Strategy Fund | | | 1,486,462 | | | | 8,437 | | | | (8,343 | ) | | | 94 | |
Strengthening Dollar 2x Strategy Fund | | | 4,052,299 | | | | 45 | | | | — | | | | 45 | |
Weakening Dollar 2x Strategy Fund | | | 633,198 | | | | 17 | | | | — | | | | 17 | |
Note 9 – Securities Transactions
For the year ended December 31, 2023, 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 | | $ | 43,633,705 | | | $ | 45,650,183 | |
S&P 500® Pure Value Fund | | | 20,839,870 | | | | 34,426,503 | |
S&P MidCap 400® Pure Growth Fund | | | 19,941,998 | | | | 23,908,676 | |
S&P MidCap 400® Pure Value Fund | | | 32,119,590 | | | | 34,479,281 | |
S&P SmallCap 600® Pure Growth Fund | | | 13,697,271 | | | | 13,838,056 | |
S&P SmallCap 600® Pure Value Fund | | | 24,499,173 | | | | 23,079,063 | |
Europe 1.25x Strategy Fund | | | 16,754,276 | | | | 16,309,600 | |
Japan 2x Strategy Fund | | | — | | | | — | |
Strengthening Dollar 2x Strategy Fund | | | — | | | | — | |
Weakening Dollar 2x Strategy Fund | | | — | | | | — | |
94 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (concluded) |
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. For the year ended December 31, 2023, 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 | | $ | 10,221,373 | | | $ | 8,302,435 | | | $ | (265,584 | ) |
S&P 500® Pure Value Fund | | | 4,634,646 | | | | 7,500,531 | | | | 87,368 | |
S&P MidCap 400® Pure Growth Fund | | | 1,512,870 | | | | 2,111,828 | | | | 339,618 | |
S&P MidCap 400® Pure Value Fund | | | 2,518,946 | | | | 2,511,476 | | | | 21,884 | |
S&P SmallCap 600® Pure Growth Fund | | | 1,427,281 | | | | 1,384,619 | | | | 269,982 | |
S&P SmallCap 600® Pure Value Fund | | | 2,360,929 | | | | 1,801,196 | | | | 324,572 | |
Europe 1.25x Strategy Fund | | | 2,062,431 | | | | 1,268,948 | | | | 8,972 | |
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $200,000,000 line of credit from U.S. Bank, N.A. On June 5, 2023, the line of credit agreement was renewed and expires on June 3, 2024. 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 6.15% for the year ended December 31, 2023. The Funds did not have any borrowings outstanding under this agreement at December 31, 2023.
The average daily balances borrowed for the year ended December 31, 2023, were as follows:
Fund | | Average Daily Balance | |
S&P 500® Pure Growth Fund | | $ | 1,679 | |
S&P 500® Pure Value Fund | | | 1,077 | |
S&P MidCap 400® Pure Growth Fund | | | 151 | |
S&P MidCap 400® Pure Value Fund | | | 816 | |
S&P SmallCap 600® Pure Growth Fund | | | 468 | |
S&P SmallCap 600® Pure Value Fund | | | 184 | |
Note 11 – Market Risks
The value of, or income generated by, the investments held by the Funds are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which may change at any time based on changes in monetary policies and various market and other economic conditions), changes in inflation rates or expectations about inflation rates, adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the ongoing Russia-Ukraine conflict and its collateral economic and other effects, including, but not limited to, sanctions and other international trade barriers) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country, geographic region or industry could adversely affect the value, yield and return of the investments held by the Funds in a different country, geographic region, economy, industry or market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Funds’ investments and performance of the Funds.
Note 12 – Subsequent Events
The Funds evaluated subsequent events through the date the financial statements are issued and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.
| | THE RYDEX FUNDS ANNUAL REPORT | 95 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of S&P 500® Pure Growth Fund, S&P 500® Pure Value Fund, S&P MidCap 400® Pure Growth Fund, S&P MidCap 400® Pure Value Fund, S&P SmallCap 600® Pure Growth Fund, S&P SmallCap 600® Pure Value Fund, Europe 1.25x Strategy Fund, Japan 2x Strategy Fund, Strengthening Dollar 2x Strategy Fund and Weakening Dollar 2x Strategy Fund and the Board of Trustees of Rydex Variable Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of S&P 500® Pure Growth Fund, S&P 500® Pure Value Fund, S&P MidCap 400® Pure Growth Fund, S&P MidCap 400® Pure Value Fund, S&P SmallCap 600® Pure Growth Fund, S&P SmallCap 600® Pure Value Fund, Europe 1.25x Strategy Fund, Japan 2x Strategy Fund, Strengthening Dollar 2x Strategy Fund and Weakening Dollar 2x Strategy Fund (collectively referred to as the “Funds”), (ten of the funds constituting Rydex Variable Trust (the “Trust”)), including the schedules of investments, as of December 31, 2023, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (ten of the funds constituting Rydex Variable Trust) at December 31, 2023, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2023, by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
February 27, 2024
96 | THE RYDEX FUNDS ANNUAL REPORT | |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2024, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2023.
The Funds’ investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ended December 31, 2023, the following Funds had the corresponding percentages qualify for the dividends received deduction for corporations.
Fund | | Dividend
Received
Deduction | |
S&P 500® Pure Value Fund | | | 100.00 | % |
S&P SmallCap 600® Pure Growth Fund | | | 100.00 | % |
With respect to the taxable year ended December 31, 2023, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
Fund | | From long-term
capital gain: | | | From long-term capital gain, using proceeds from shareholder
redemptions: | |
S&P MidCap 400® Pure Value Fund | | $ | — | | | $ | 76,363 | |
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.
Tailored Shareholder Reports for Open-End Mutual Funds and Exchange-Traded Funds
Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and exchange-traded funds registered on Form N-1A to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.
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.
| | THE RYDEX FUNDS ANNUAL REPORT | 97 |
OTHER INFORMATION (Unaudited)(concluded) |
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.
98 | THE RYDEX FUNDS 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 Funds’ 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). | 153 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present).
Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
Angela Brock-Kyle (1959) | Trustee | Since 2016 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Director, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 152 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Guggenheim Energy & Income Fund (2019-2023); Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018). |
| | THE RYDEX FUNDS ANNUAL REPORT | 99 |
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 - continued | | |
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 (registered investment adviser) (1996-present); Chief Executive Officer, ETF Flows, LLC (financial advisor education and research provider) (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (index provider) (2021-present); Vice Chairman, VettaFi (financial advisor content, research and digital distribution provider) (2022-present). | 152 | Current: The 2023 ETF Series Trust (4) (2023-present); The 2023 ETF Series Trust II (1) (2023-present); US Global Investors, Inc. (GROW) (1995-present). Former: Guggenheim Energy & Income Fund (2019-2023); Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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 (law firm) (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (law firm) (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 153 | Current: Advent Convertible and Income Fund (2003-present); PPM Funds (2) (2018-present); Endeavor Health (2012-present). Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
100 | THE RYDEX FUNDS 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*** |
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. (construction and real estate development company) (2007-2017). | 152 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Guggenheim Energy & Income Fund (2019-2023); Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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. (registered broker dealer) (1982-1999). | 152 | Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE RYDEX FUNDS ANNUAL REPORT | 101 |
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). | 152 | Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2018-2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves during the lifetime of the Trust or until he or she dies, resigns, has reached the mandatory retirement age, is declared incompetent by a court of appropriate jurisdiction, is removed or until his or her successor is duly elected and qualified, subject to the Trust’s Independent Trustees Retirement Policy and the Trust’s organizational documents. Time served may include time served in the respective position for certain predecessor entities of the Trust. |
*** | Each Trustee serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Active 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’ Adviser and/or the parent of the Adviser. |
102 | THE RYDEX FUNDS 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, Mutual Fund Boards, Guggenheim Investments (2022-present); President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Mutual Funds Boards, Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (2018-present); Board Member, Guggenheim Partners Investment Funds plc (2022-present); Board Member, Guggenheim Global Investments plc (2022-present); Board Member, Guggenheim Partners Fund Management (Europe) Limited (2018-present). Former: Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-2022); Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Chairman of North American Executive Committee and Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
James Howley (1972) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2022 | Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (2022-present).
Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-2022); 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 Megaris (1984) | Assistant Secretary | Since 2018 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing 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); Senior Managing Director, 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). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Director, 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, or until his or her earlier death, inability to serve, resignation or removal. Time served may include time served in the respective position for certain predecessor entities of the Trust. |
104 | THE RYDEX FUNDS 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 ANNUAL REPORT | 105 |
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
106 | THE RYDEX FUNDS 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.
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12.31.2023
Rydex Variable Trust Funds 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-ANN-1223X1224 |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 5 |
BANKING FUND | 7 |
BASIC MATERIALS FUND | 14 |
BIOTECHNOLOGY FUND | 21 |
CONSUMER PRODUCTS FUND | 28 |
ELECTRONICS FUND | 35 |
ENERGY FUND | 42 |
ENERGY SERVICES FUND | 49 |
FINANCIAL SERVICES FUND | 56 |
HEALTH CARE FUND | 64 |
INTERNET FUND | 71 |
LEISURE FUND | 78 |
PRECIOUS METALS FUND | 85 |
REAL ESTATE FUND | 92 |
RETAILING FUND | 100 |
TECHNOLOGY FUND | 107 |
TELECOMMUNICATIONS FUND | 115 |
TRANSPORTATION FUND | 122 |
UTILITIES FUND | 129 |
NOTES TO FINANCIAL STATEMENTS | 136 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 147 |
OTHER INFORMATION | 148 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 150 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 156 |
| | THE RYDEX FUNDS ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for the Sector Funds that are part of the Rydex Variable Trust. This report covers the performance for the annual period ended December 31, 2023 (the “Reporting Period”).
The Investment Adviser is 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, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
January 31, 2024
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.
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 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 ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | December 31, 2023 |
The U.S. economy has proved resilient to tight monetary policy by the Federal Reserve (the “Fed”), helped by falling inflation boosting real incomes and consumer sentiment, an expansion in the fiscal deficit over the past year, and a supply-side boost as labor force participation improves. We believe these tailwinds are likely to fade going forward which would pressure growth. Consumer spending also faces headwinds from dwindling excess savings buffers.
The Fed-induced easing of financial conditions, with interest rates falling and stock prices rising, has taken pressure off the economy and helped bring down recession risk. While it appears recession risk has come down, it is still materially higher than very optimistic market expectations would suggest. The 2024 election could add to volatility and uncertainty. We expect Treasury yields to decline more than the market currently anticipates in 2024, though they are unlikely to return to the lows of the last cycle.
We expect default rates to stay elevated as U.S. companies cope with rising borrowing costs and limited credit availability, but the stress will become increasingly bifurcated between large and small companies. High-quality corporate debt and structured credit yields should provide an income cushion that could reduce the impact if spreads should widen from here.
The two-year Treasury yield declined to 4.23 percent from 5.03 percent in the fourth quarter, while the 10-year Treasury yield dropped to 3.88 percent from 4.59 percent, a 9 basis point flattening in the 2s/10s yield curve. One basis point equals 0.01%. Investment-grade corporate bond issuance has been robust, predominantly split between financials and industrials. Investment-grade spreads, which peaked at 163 basis points in April, tightened to 103 basis points by the end of the year. Meanwhile, high-yield bond credit spreads narrowed to just 363 basis points by year-end, the tightest since April 2022, and marking a significant reduction from 491 basis points at the beginning of the year. Leveraged loan discount margins tightened from 652 basis points to 528 basis points, but 44 percent of the loan index is trading at spreads below 400 basis points and the median loan ended the year at 464 basis points. Structured credit spreads rallied into year-end, capping a strong year of outperformance for structured credit. In CLOs, we continue to expect range bound primary spreads and an increase in refinancings and resets in early 2024.
For the Reporting Period, the S&P 500® Index* returned 26.29%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 18.24%. The return of the MSCI Emerging Markets Index* was 9.83%.
In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a 5.53% return for the Reporting Period, while the Bloomberg U.S. Corporate High Yield Index* returned 13.45%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 5.05% for the Reporting 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 ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | December 31, 2023 |
*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 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 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 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® Index 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 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 June 30, 2023 and ending December 31, 2023.
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 ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| | Expense
Ratio1 | | | Fund
Return | | | Beginning
Account Value
June 30, 2023 | | | Ending
Account Value
December 31, 2023 | | | Expenses
Paid During
Period2 | |
Table 1. Based on actual Fund return3 | | | | | | | | | | | | | | | | | | | | |
Banking Fund | | | 1.79 | % | | | 22.74 | % | | $ | 1,000.00 | | | $ | 1,227.40 | | | $ | 10.05 | |
Basic Materials Fund | | | 1.78 | % | | | 4.83 | % | | | 1,000.00 | | | | 1,048.30 | | | | 9.19 | |
Biotechnology Fund | | | 1.78 | % | | | 8.01 | % | | | 1,000.00 | | | | 1,080.10 | | | | 9.33 | |
Consumer Products Fund | | | 1.78 | % | | | (3.70 | %) | | | 1,000.00 | | | | 963.00 | | | | 8.81 | |
Electronics Fund | | | 1.77 | % | | | 10.02 | % | | | 1,000.00 | | | | 1,100.20 | | | | 9.37 | |
Energy Fund | | | 1.78 | % | | | 6.34 | % | | | 1,000.00 | | | | 1,063.40 | | | | 9.26 | |
Energy Services Fund | | | 1.78 | % | | | 10.44 | % | | | 1,000.00 | | | | 1,104.40 | | | | 9.44 | |
Financial Services Fund | | | 1.77 | % | | | 13.38 | % | | | 1,000.00 | | | | 1,133.80 | | | | 9.52 | |
Health Care Fund | | | 1.78 | % | | | 3.32 | % | | | 1,000.00 | | | | 1,033.20 | | | | 9.12 | |
Internet Fund | | | 1.78 | % | | | 12.74 | % | | | 1,000.00 | | | | 1,127.40 | | | | 9.54 | |
Leisure Fund | | | 1.78 | % | | | 3.62 | % | | | 1,000.00 | | | | 1,036.20 | | | | 9.14 | |
Precious Metals Fund | | | 1.67 | % | | | 3.94 | % | | | 1,000.00 | | | | 1,039.40 | | | | 8.58 | |
Real Estate Fund | | | 1.78 | % | | | 7.59 | % | | | 1,000.00 | | | | 1,075.90 | | | | 9.31 | |
Retailing Fund | | | 1.79 | % | | | 7.18 | % | | | 1,000.00 | | | | 1,071.80 | | | | 9.35 | |
Technology Fund | | | 1.77 | % | | | 11.49 | % | | | 1,000.00 | | | | 1,114.90 | | | | 9.44 | |
Telecommunications Fund | | | 1.79 | % | | | 3.75 | % | | | 1,000.00 | | | | 1,037.50 | | | | 9.19 | |
Transportation Fund | | | 1.78 | % | | | (0.68 | %) | | | 1,000.00 | | | | 993.20 | | | | 8.94 | |
Utilities Fund | | | 1.78 | % | | | (1.68 | %) | | | 1,000.00 | | | | 983.20 | | | | 8.90 | |
|
Table 2. Based on hypothetical 5% return (before expenses) |
Banking Fund | | | 1.79 | % | | | 5.00 | % | | $ | 1,000.00 | | | $ | 1,016.18 | | | $ | 9.10 | |
Basic Materials Fund | | | 1.78 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.23 | | | | 9.05 | |
Biotechnology Fund | | | 1.78 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.23 | | | | 9.05 | |
Consumer Products Fund | | | 1.78 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.23 | | | | 9.05 | |
Electronics Fund | | | 1.77 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.28 | | | | 9.00 | |
Energy Fund | | | 1.78 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.23 | | | | 9.05 | |
Energy Services Fund | | | 1.78 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.23 | | | | 9.05 | |
Financial Services Fund | | | 1.77 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.28 | | | | 9.00 | |
Health Care Fund | | | 1.78 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.23 | | | | 9.05 | |
Internet Fund | | | 1.78 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.23 | | | | 9.05 | |
Leisure Fund | | | 1.78 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.23 | | | | 9.05 | |
Precious Metals Fund | | | 1.67 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.79 | | | | 8.49 | |
Real Estate Fund | | | 1.78 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.23 | | | | 9.05 | |
Retailing Fund | | | 1.79 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.18 | | | | 9.10 | |
Technology Fund | | | 1.77 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.28 | | | | 9.00 | |
Telecommunications Fund | | | 1.79 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.18 | | | | 9.10 | |
Transportation Fund | | | 1.78 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.23 | | | | 9.05 | |
Utilities Fund | | | 1.78 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.23 | | | | 9.05 | |
1 | Annualized. |
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 184/365 (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 June 30, 2023 to December 31, 2023. |
6 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, Banking Fund returned 2.97%, compared with the S&P 500 Index, which returned 26.29%. The S&P 500 Financials Index returned 12.15%.
The industries that contributed the most to performance were diversified banks, consumer finance, and diversified capital markets. The industries that detracted the most from performance were regional banks and diversified financial services.
The holdings that contributed the most to performance were Capital One Financial Corp., Nu Holdings, Limited/Cayman Islands - Class A, and JPMorgan Chase & Co. The holdings that detracted the most from performance were First Republic Bank, SVB Financial Group, and Signature Bank.
Performance displayed represents past performance, which is no guarantee of future results.
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 |
Bank of America Corp. | 4.0% |
Wells Fargo & Co. | 4.0% |
JPMorgan Chase & Co. | 4.0% |
Citigroup, Inc. | 3.9% |
U.S. Bancorp | 3.4% |
PNC Financial Services Group, Inc. | 3.3% |
Capital One Financial Corp. | 2.9% |
Truist Financial Corp. | 2.9% |
Bank of New York Mellon Corp. | 2.6% |
Fifth Third Bancorp | 2.0% |
Top Ten Total | 33.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 7 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Banking Fund | 2.97% | 6.04% | 4.32% |
S&P 500 Financials Index | 12.15% | 11.97% | 10.05% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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. |
8 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
BANKING FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 98.5% |
| | | | | | | | | |
Banks - 92.6% |
Bank of America Corp. | | | 4,481 | | | $ | 150,881 | |
Wells Fargo & Co. | | | 3,062 | | | | 150,712 | |
JPMorgan Chase & Co. | | | 877 | | | | 149,178 | |
Citigroup, Inc. | | | 2,851 | | | | 146,655 | |
U.S. Bancorp | | | 2,926 | | | | 126,637 | |
PNC Financial Services Group, Inc. | | | 796 | | | | 123,261 | |
Truist Financial Corp. | | | 2,928 | | | | 108,102 | |
Bank of New York Mellon Corp. | | | 1,875 | | | | 97,594 | |
Fifth Third Bancorp | | | 2,220 | | | | 76,568 | |
State Street Corp. | | | 945 | | | | 73,200 | |
M&T Bank Corp. | | | 523 | | | | 71,693 | |
Regions Financial Corp. | | | 3,486 | | | | 67,559 | |
Huntington Bancshares, Inc. | | | 5,171 | | | | 65,775 | |
Northern Trust Corp. | | | 754 | | | | 63,622 | |
Citizens Financial Group, Inc. | | | 1,848 | | | | 61,243 | |
NU Holdings Limited/Cayman Islands — Class A* | | | 7,300 | | | | 60,809 | |
KeyCorp | | | 3,986 | | | | 57,398 | |
Toronto-Dominion Bank | | | 880 | | | | 56,866 | |
HDFC Bank Ltd. ADR | | | 770 | | | | 51,675 | |
East West Bancorp, Inc. | | | 680 | | | | 48,926 | |
ICICI Bank Ltd. ADR | | | 1,951 | | | | 46,512 | |
Webster Financial Corp. | | | 902 | | | | 45,786 | |
Bank of Nova Scotia | | | 931 | | | | 45,330 | |
Royal Bank of Canada | | | 446 | | | | 45,104 | |
Comerica, Inc. | | | 771 | | | | 43,029 | |
First Horizon Corp. | | | 3,026 | | | | 42,848 | |
Western Alliance Bancorporation | | | 646 | | | | 42,500 | |
Zions Bancorp North America | | | 918 | | | | 40,273 | |
Pinnacle Financial Partners, Inc. | | | 454 | | | | 39,598 | |
Cullen/Frost Bankers, Inc. | | | 360 | | | | 39,056 | |
SouthState Corp. | | | 457 | | | | 38,594 | |
Prosperity Bancshares, Inc. | | | 565 | | | | 38,267 | |
Commerce Bancshares, Inc. | | | 711 | | | | 37,969 | |
Popular, Inc. | | | 456 | | | | 37,424 | |
Canadian Imperial Bank of Commerce | | | 775 | | | | 37,308 | |
Bank OZK | | | 743 | | | | 37,024 | |
HSBC Holdings plc ADR1 | | | 906 | | | | 36,729 | |
Columbia Banking System, Inc. | | | 1,372 | | | | 36,605 | |
Bank of Montreal | | | 364 | | | | 36,014 | |
Wintrust Financial Corp. | | | 388 | | | | 35,987 | |
Cadence Bank | | | 1,203 | | | | 35,597 | |
Synovus Financial Corp. | | | 936 | | | | 35,240 | |
United Bankshares, Inc. | | | 922 | | | | 34,621 | |
FNB Corp. | | | 2,491 | | | | 34,301 | |
UBS Group AG* | | | 1,097 | | | | 33,897 | |
Old National Bancorp | | | 2,006 | | | | 33,881 | |
Valley National Bancorp | | | 3,095 | | | | 33,612 | |
Home BancShares, Inc. | | | 1,325 | | | | 33,562 | |
First Citizens BancShares, Inc. — Class A | | | 23 | | | | 32,636 | |
First Financial Bankshares, Inc. | | | 1,037 | | | | 31,421 | |
Hancock Whitney Corp. | | | 644 | | | | 31,292 | |
Ameris Bancorp | | | 557 | | | | 29,549 | |
United Community Banks, Inc. | | | 976 | | | | 28,558 | |
UMB Financial Corp. | | | 341 | | | | 28,491 | |
Barclays plc ADR | | | 3,598 | | | | 28,352 | |
Cathay General Bancorp | | | 628 | | | | 27,990 | |
Associated Banc-Corp. | | | 1,308 | | | | 27,978 | |
Texas Capital Bancshares, Inc.* | | | 430 | | | | 27,791 | |
Banco Bradesco S.A. ADR | | | 7,859 | | | | 27,506 | |
International Bancshares Corp. | | | 503 | | | | 27,323 | |
First Hawaiian, Inc. | | | 1,162 | | | | 26,563 | |
Bank of Hawaii Corp. | | | 362 | | | | 26,230 | |
First Interstate BancSystem, Inc. — Class A | | | 828 | | | | 25,461 | |
Fulton Financial Corp. | | | 1,534 | | | | 25,250 | |
CVB Financial Corp. | | | 1,222 | | | | 24,672 | |
Simmons First National Corp. — Class A | | | 1,239 | | | | 24,582 | |
Seacoast Banking Corporation of Florida | | | 847 | | | | 24,106 | |
Eastern Bankshares, Inc. | | | 1,639 | | | | 23,274 | |
BOK Financial Corp. | | | 255 | | | | 21,841 | |
Bancorp, Inc.* | | | 530 | | | | 20,437 | |
Independent Bank Corp. | | | 290 | | | | 19,085 | |
Total Banks | | | | | | | 3,495,410 | |
| | | | | | | | | |
Savings & Loans - 3.0% |
New York Community Bancorp, Inc. | | | 4,013 | | | | 41,053 | |
Pacific Premier Bancorp, Inc. | | | 895 | | | | 26,053 | |
WSFS Financial Corp. | | | 507 | | | | 23,287 | |
WaFd, Inc. | | | 682 | | | | 22,479 | |
Total Savings & Loans | | | | | | | 112,872 | |
| | | | | | | | | |
Diversified Financial Services - 2.9% |
Capital One Financial Corp. | | | 832 | | | | 109,092 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $2,298,643) | | | | | | | 3,717,374 | |
| | | | | | | | | |
PREFERRED STOCKS† - 1.0% |
| | | | | | | | | |
Financial - 1.0% |
Itau Unibanco Holding S.A. |
ADR | | | 5,708 | | | | 39,670 | |
| | | | | | | | | |
Total Preferred Stocks | | | | |
(Cost $27,512) | | | | | | | 39,670 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.4% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 9,323 | | | | 9,323 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 7,513 | | | | 7,513 | |
Total Repurchase Agreements | | | | |
(Cost $16,836) | | | | | | | 16,836 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
BANKING FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,3 - 0.7% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund - Class X, 5.29%4 | | | 24,767 | | | $ | 24,767 | |
Total Securities Lending Collateral | | | | |
(Cost $24,767) | | | | | | | 24,767 | |
| | | | | | | | | |
Total Investments - 100.6% | | | | |
(Cost $2,367,758) | | $ | 3,798,647 | |
Other Assets & Liabilities, net - (0.6)% | | | (23,858 | ) |
Total Net Assets - 100.0% | | $ | 3,774,789 | |
* | 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 December 31, 2023 — 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 December 31, 2023. |
| | 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 December 31, 2023 (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 | | $ | 3,717,374 | | | $ | — | | | $ | — | | | $ | 3,717,374 | |
Preferred Stocks | | | 39,670 | | | | — | | | | — | | | | 39,670 | |
Repurchase Agreements | | | — | | | | 16,836 | | | | — | | | | 16,836 | |
Securities Lending Collateral | | | 24,767 | | | | — | | | | — | | | | 24,767 | |
Total Assets | | $ | 3,781,811 | | | $ | 16,836 | | | $ | — | | | $ | 3,798,647 | |
10 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value - including $23,716 of securities loaned (cost $2,350,922) | | $ | 3,781,811 | |
Repurchase agreements, at value (cost $16,836) | | | 16,836 | |
Receivables: |
Fund shares sold | | | 410,227 | |
Securities sold | | | 108,914 | |
Dividends | | | 9,687 | |
Foreign tax reclaims | | | 502 | |
Securities lending income | | | 13 | |
Interest | | | 7 | |
Total assets | | | 4,327,997 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 516,808 | |
Return of securities lending collateral | | | 24,767 | |
Management fees | | | 2,219 | |
Transfer agent fees | | | 876 | |
Investor service fees | | | 653 | |
Portfolio accounting and administration fees | | | 274 | |
Fund shares redeemed | | | 23 | |
Trustees’ fees* | | | 37 | |
Miscellaneous | | | 7,551 | |
Total liabilities | | | 553,208 | |
Net assets | | $ | 3,774,789 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 3,306,880 | |
Total distributable earnings (loss) | | | 467,909 | |
Net assets | | $ | 3,774,789 | |
Capital shares outstanding | | | 38,955 | |
Net asset value per share | | $ | 96.90 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $1,830) | | $ | 116,908 | |
Interest | | | 932 | |
Income from securities lending, net | | | 875 | |
Total investment income | | | 118,715 | |
| | | | | |
Expenses: |
Management fees | | | 26,517 | |
Investor service fees | | | 7,799 | |
Transfer agent fees | | | 8,027 | |
Portfolio accounting and administration fees | | | 4,836 | |
Professional fees | | | 4,056 | |
Custodian fees | | | 639 | |
Trustees’ fees* | | | 638 | |
Miscellaneous | | | 3,849 | |
Total expenses | | | 56,361 | |
Less: |
Expenses reimbursed by Adviser | | | (574 | ) |
Net expenses | | | 55,787 | |
Net investment income | | | 62,928 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 245,224 | |
Net realized gain | | | 245,224 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (30,082 | ) |
Net change in unrealized appreciation (depreciation) | | | (30,082 | ) |
Net realized and unrealized gain | | | 215,142 | |
Net increase in net assets resulting from operations | | $ | 278,070 | |
* | 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 ANNUAL REPORT | 11 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 62,928 | | | $ | 51,206 | |
Net realized gain (loss) on investments | | | 245,224 | | | | (55,458 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (30,082 | ) | | | (1,610,204 | ) |
Net increase (decrease) in net assets resulting from operations | | | 278,070 | | | | (1,614,456 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (51,206 | ) | | | (65,582 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 6,793,120 | | | | 20,272,120 | |
Distributions reinvested | | | 51,206 | | | | 65,582 | |
Cost of shares redeemed | | | (6,946,582 | ) | | | (21,914,174 | ) |
Net decrease from capital share transactions | | | (102,256 | ) | | | (1,576,472 | ) |
Net increase (decrease) in net assets | | | 124,608 | | | | (3,256,510 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 3,650,181 | | | | 6,906,691 | |
End of year | | $ | 3,774,789 | | | $ | 3,650,181 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 78,992 | | | | 182,383 | |
Shares issued from reinvestment of distributions | | | 616 | | | | 678 | |
Shares redeemed | | | (79,012 | ) | | | (203,900 | ) |
Net increase (decrease) in shares | | | 596 | | | | (20,839 | ) |
12 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 95.16 | | | $ | 116.67 | | | $ | 88.04 | | | $ | 97.20 | | | $ | 76.46 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 1.71 | | | | 1.01 | | | | .82 | | | | 1.18 | | | | .94 | |
Net gain (loss) on investments (realized and unrealized) | | | .95 | | | | (20.83 | ) | | | 28.58 | | | | (9.63 | ) | | | 20.67 | |
Total from investment operations | | | 2.66 | | | | (19.82 | ) | | | 29.40 | | | | (8.45 | ) | | | 21.61 | |
Less distributions from: |
Net investment income | | | (.92 | ) | | | (1.69 | ) | | | (.77 | ) | | | (.71 | ) | | | (.87 | ) |
Total distributions | | | (.92 | ) | | | (1.69 | ) | | | (.77 | ) | | | (.71 | ) | | | (.87 | ) |
Net asset value, end of period | | $ | 96.90 | | | $ | 95.16 | | | $ | 116.67 | | | $ | 88.04 | | | $ | 97.20 | |
|
Total Returnb | | | 2.97 | % | | | (17.02 | %) | | | 33.49 | % | | | (8.46 | %) | | | 28.39 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,775 | | | $ | 3,650 | | | $ | 6,907 | | | $ | 4,234 | | | $ | 5,838 | |
Ratios to average net assets: |
Net investment income (loss) | | | 2.02 | % | | | 0.95 | % | | | 0.73 | % | | | 1.60 | % | | | 1.07 | % |
Total expenses | | | 1.81 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Net expensesc | | | 1.79 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Portfolio turnover rate | | | 228 | % | | | 375 | % | | | 351 | % | | | 529 | % | | | 246 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 13 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, Basic Materials Fund returned 8.97%, compared with the S&P 500 Index, which returned 26.29%. The S&P 500 Materials Index returned 12.55%.
The industries that contributed the most to performance were steel, specialty chemicals, and construction materials. The industries that detracted the most from performance were fertilizers & agricultural chemicals, silver, and precious metals & mining.
The holdings that contributed the most to performance were Linde plc, Sherwin-Williams Co., and Ecolab, Inc. The holdings that detracted the most from performance were FMC Corp., Albemarle Corp., and Corteva, Inc.
Performance displayed represents past performance, which is no guarantee of future results.
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 |
Linde plc | 4.5% |
Sherwin-Williams Co. | 2.8% |
Freeport-McMoRan, Inc. | 2.7% |
Air Products and Chemicals, Inc. | 2.5% |
Ecolab, Inc. | 2.3% |
Newmont Corp. | 2.3% |
Nucor Corp. | 2.2% |
Vale S.A. ADR | 2.1% |
Dow, Inc. | 2.0% |
PPG Industries, Inc. | 1.9% |
Top Ten Total | 25.3% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
14 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Basic Materials Fund | 8.97% | 11.97% | 6.49% |
S&P 500 Materials Index | 12.55% | 13.58% | 8.60% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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 an 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
BASIC MATERIALS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.4% |
| | | | | | | | | |
Chemicals - 36.9% |
Linde plc | | | 797 | | | $ | 327,336 | |
Sherwin-Williams Co. | | | 648 | | | | 202,111 | |
Air Products and Chemicals, Inc. | | | 667 | | | | 182,625 | |
Ecolab, Inc. | | | 833 | | | | 165,225 | |
Dow, Inc. | | | 2,686 | | | | 147,300 | |
PPG Industries, Inc. | | | 920 | | | | 137,586 | |
DuPont de Nemours, Inc. | | | 1,689 | | | | 129,935 | |
LyondellBasell Industries N.V. — Class A | | | 1,215 | | | | 115,522 | |
International Flavors & Fragrances, Inc. | | | 1,309 | | | | 105,990 | |
Albemarle Corp. | | | 689 | | | | 99,547 | |
Celanese Corp. — Class A | | | 634 | | | | 98,505 | |
Nutrien Ltd. | | | 1,675 | | | | 94,353 | |
CF Industries Holdings, Inc. | | | 1,107 | | | | 88,006 | |
RPM International, Inc. | | | 787 | | | | 87,853 | |
Eastman Chemical Co. | | | 851 | | | | 76,437 | |
Mosaic Co. | | | 2,134 | | | | 76,248 | |
FMC Corp. | | | 1,072 | | | | 67,590 | |
Axalta Coating Systems Ltd.* | | | 1,872 | | | | 63,592 | |
Olin Corp. | | | 1,136 | | | | 61,287 | |
Element Solutions, Inc. | | | 2,375 | | | | 54,957 | |
Westlake Corp. | | | 371 | | | | 51,925 | |
Chemours Co. | | | 1,642 | | | | 51,789 | |
Huntsman Corp. | | | 1,880 | | | | 47,244 | |
Ashland, Inc. | | | 541 | | | | 45,612 | |
Livent Corp.* | | | 2,501 | | | | 44,968 | |
Balchem Corp. | | | 198 | | | | 29,452 | |
Total Chemicals | | | | | | | 2,652,995 | |
| | | | | | | | | |
Mining - 22.7% |
Freeport-McMoRan, Inc. | | | 4,563 | | | | 194,247 | |
Newmont Corp. | | | 3,933 | | | | 162,787 | |
Barrick Gold Corp. | | | 7,147 | | | | 129,289 | |
Rio Tinto plc ADR | | | 1,357 | | | | 101,042 | |
BHP Group Ltd. ADR | | | 1,421 | | | | 97,069 | |
Agnico Eagle Mines Ltd. | | | 1,515 | | | | 83,098 | |
Wheaton Precious Metals Corp. | | | 1,413 | | | | 69,717 | |
Southern Copper Corp. | | | 792 | | | | 68,167 | |
Alcoa Corp. | | | 1,990 | | | | 67,660 | |
Royal Gold, Inc. | | | 536 | | | | 64,835 | |
Franco-Nevada Corp. | | | 552 | | | | 61,167 | |
Pan American Silver Corp. | | | 3,705 | | | | 60,503 | |
Kinross Gold Corp. | | | 9,691 | | | | 58,631 | |
Gold Fields Ltd. ADR | | | 3,926 | | | | 56,770 | |
Anglogold Ashanti plc | | | 3,027 | | | | 56,575 | |
Sibanye Stillwater Ltd. ADR | | | 9,261 | | | | 50,287 | |
Sigma Lithium Corp.*,1 | | | 1,529 | | | | 48,209 | |
Alamos Gold, Inc. — Class A | | | 3,415 | | | | 46,000 | |
B2Gold Corp. | | | 13,915 | | | | 43,971 | |
MP Materials Corp.* | | | 2,147 | | | | 42,618 | |
Hecla Mining Co. | | | 7,983 | | | | 38,398 | |
SSR Mining, Inc. | | | 3,040 | | | | 32,710 | |
Total Mining | | | | | | | 1,633,750 | |
| | | | | | | | | |
Iron & Steel - 12.4% |
Nucor Corp. | | | 893 | | | | 155,418 | |
Vale S.A. ADR | | | 9,644 | | | | 152,954 | |
Steel Dynamics, Inc. | | | 845 | | | | 99,794 | |
Reliance Steel & Aluminum Co. | | | 338 | | | | 94,532 | |
United States Steel Corp. | | | 1,704 | | | | 82,900 | |
Cleveland-Cliffs, Inc.* | | | 3,868 | | | | 78,984 | |
ArcelorMittal S.A. | | | 2,253 | | | | 63,963 | |
ATI, Inc.* | | | 1,295 | | | | 58,884 | |
Commercial Metals Co. | | | 1,147 | | | | 57,396 | |
Gerdau S.A. ADR | | | 10,044 | | | | 48,713 | |
Total Iron & Steel | | | | | | | 893,538 | |
| | | | | | | | | |
Packaging & Containers - 10.9% |
Ball Corp. | | | 1,704 | | | | 98,014 | |
Packaging Corporation of America | | | 534 | | | | 86,994 | |
Crown Holdings, Inc. | | | 837 | | | | 77,079 | |
Westrock Co. | | | 1,793 | | | | 74,445 | |
Amcor plc | | | 7,146 | | | | 68,888 | |
AptarGroup, Inc. | | | 523 | | | | 64,653 | |
Graphic Packaging Holding Co. | | | 2,617 | | | | 64,509 | |
Berry Global Group, Inc. | | | 948 | | | | 63,886 | |
Sonoco Products Co. | | | 967 | | | | 54,026 | |
Sealed Air Corp. | | | 1,465 | | | | 53,502 | |
Silgan Holdings, Inc. | | | 998 | | | | 45,160 | |
O-I Glass, Inc.* | | | 2,284 | | | | 37,412 | |
Total Packaging & Containers | | | | | | | 788,568 | |
| | | | | | | | | |
Building Materials - 8.0% |
Martin Marietta Materials, Inc. | | | 265 | | | | 132,211 | |
Vulcan Materials Co. | | | 569 | | | | 129,169 | |
CRH plc* | | | 1,253 | | | | 86,657 | |
Eagle Materials, Inc. | | | 311 | | | | 63,083 | |
Cemex SAB de CV ADR* | | | 7,757 | | | | 60,117 | |
Louisiana-Pacific Corp. | | | 727 | | | | 51,494 | |
Summit Materials, Inc. — Class A* | | | 1,331 | | | | 51,190 | |
Total Building Materials | | | | | | | 573,921 | |
| | | | | | | | | |
Coal - 3.2% |
Teck Resources Ltd. — Class B | | | 2,519 | | | | 106,478 | |
Alpha Metallurgical Resources, Inc. | | | 122 | | | | 41,348 | |
Warrior Met Coal, Inc. | | | 674 | | | | 41,094 | |
Arch Resources, Inc. | | | 232 | | | | 38,498 | |
Total Coal | | | | | | | 227,418 | |
| | | | | | | | | |
Biotechnology - 1.9% |
Corteva, Inc. | | | 2,871 | | | | 137,578 | |
| | | | | | | | | |
Household Products & Housewares - 1.3% |
Avery Dennison Corp. | | | 468 | | | | 94,611 | |
| | | | | | | | | |
Forest Products & Paper - 1.1% |
International Paper Co. | | | 2,223 | | | | 80,361 | |
| | | | | | | | | |
Housewares - 0.5% |
Scotts Miracle-Gro Co. — Class A | | | 598 | | | | 38,123 | |
16 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
BASIC MATERIALS FUND | |
| | Shares | | | Value | |
Healthcare-Services - 0.3% |
Ginkgo Bioworks Holdings, Inc.*,1 | | | 10,724 | | | $ | 18,124 | |
| | | | | | | | | |
Environmental Control - 0.2% |
PureCycle Technologies, Inc.*,1 | | | 3,886 | | | | 15,738 | |
| | | | | | | | | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $3,593,128) | | | | | | | 7,154,725 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 1.1% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 41,584 | | | | 41,584 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 33,512 | | | | 33,512 | |
Total Repurchase Agreements | | | | |
(Cost $75,096) | | | | | | | 75,096 | |
| | | | | | | | | |
| | | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.8% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund - Class X, 5.29%4 | | | 59,876 | | | | 59,876 | |
Total Securities Lending Collateral | | | | |
(Cost $59,876) | | | | | | | 59,876 | |
| | | | | | | | | |
Total Investments - 101.3% | | | | |
(Cost $3,728,100) | | $ | 7,289,697 | |
Other Assets & Liabilities, net - (1.3)% | | | (93,105 | ) |
Total Net Assets - 100.0% | | $ | 7,196,592 | |
* | 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 December 31, 2023 — 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 December 31, 2023. |
| | 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 December 31, 2023 (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 | | $ | 7,154,725 | | | $ | — | | | $ | — | | | $ | 7,154,725 | |
Repurchase Agreements | | | — | | | | 75,096 | | | | — | | | | 75,096 | |
Securities Lending Collateral | | | 59,876 | | | | — | | | | — | | | | 59,876 | |
Total Assets | | $ | 7,214,601 | | | $ | 75,096 | | | $ | — | | | $ | 7,289,697 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 17 |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value - including $55,064 of securities loaned (cost $3,653,004) | | $ | 7,214,601 | |
Repurchase agreements, at value (cost $75,096) | | | 75,096 | |
Cash | | | 191 | |
Receivables: |
Dividends | | | 8,227 | |
Fund shares sold | | | 4,409 | |
Securities lending income | | | 226 | |
Foreign tax reclaims | | | 160 | |
Interest | | | 33 | |
Total assets | | | 7,302,943 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 59,876 | |
Deferred foreign capital gain taxes | | | 19,017 | |
Management fees | | | 4,913 | |
Transfer agent fees | | | 2,092 | |
Investor service fees | | | 1,445 | |
Fund shares redeemed | | | 749 | |
Portfolio accounting and administration fees | | | 607 | |
Trustees’ fees* | | | 85 | |
Miscellaneous | | | 17,567 | |
Total liabilities | | | 106,351 | |
Net assets | | $ | 7,196,592 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 4,344,553 | |
Total distributable earnings (loss) | | | 2,852,039 | |
Net assets | | $ | 7,196,592 | |
Capital shares outstanding | | | 70,861 | |
Net asset value per share | | $ | 101.56 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $2,798) | | $ | 178,169 | |
Interest | | | 3,707 | |
Income from securities lending, net | | | 1,782 | |
Total investment income | | | 183,658 | |
| | | | | |
Expenses: |
Management fees | | | 67,989 | |
Investor service fees | | | 19,997 | |
Transfer agent fees | | | 20,727 | |
Professional fees | | | 13,443 | |
Portfolio accounting and administration fees | | | 12,398 | |
Trustees’ fees* | | | 1,544 | |
Custodian fees | | | 1,341 | |
Miscellaneous | | | 6,809 | |
Total expenses | | | 144,248 | |
Less: |
Expenses reimbursed by Adviser | | | (1,380 | ) |
Net expenses | | | 142,868 | |
Net investment income | | | 40,790 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 411,482 | |
Net realized gain | | | 411,482 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (126,545 | ) |
Net change in unrealized appreciation (depreciation) | | | (126,545 | ) |
Net realized and unrealized gain | | | 284,937 | |
Net increase in net assets resulting from operations | | $ | 325,727 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
18 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 40,790 | | | $ | 63,830 | |
Net realized gain (loss) on investments | | | 411,482 | | | | (233,063 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (126,545 | ) | | | (1,244,132 | ) |
Net increase (decrease) in net assets resulting from operations | | | 325,727 | | | | (1,413,365 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (211,818 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 9,555,855 | | | | 17,160,930 | |
Distributions reinvested | | | — | | | | 211,818 | |
Cost of shares redeemed | | | (10,679,600 | ) | | | (17,002,352 | ) |
Net increase (decrease) from capital share transactions | | | (1,123,745 | ) | | | 370,396 | |
Net decrease in net assets | | | (798,018 | ) | | | (1,254,787 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 7,994,610 | | | | 9,249,397 | |
End of year | | $ | 7,196,592 | | | $ | 7,994,610 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 95,957 | | | | 166,003 | |
Shares issued from reinvestment of distributions | | | — | | | | 2,382 | |
Shares redeemed | | | (110,875 | ) | | | (169,900 | ) |
Net decrease in shares | | | (14,918 | ) | | | (1,515 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 19 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 93.20 | | | $ | 105.96 | | | $ | 89.05 | | | $ | 75.99 | | | $ | 65.42 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .49 | | | | .67 | | | | .34 | | | | .22 | | | | .35 | |
Net gain (loss) on investments (realized and unrealized) | | | 7.87 | | | | (11.01 | ) | | | 19.78 | | | | 14.43 | | | | 13.55 | |
Total from investment operations | | | 8.36 | | | | (10.34 | ) | | | 20.12 | | | | 14.65 | | | | 13.90 | |
Less distributions from: |
Net investment income | | | — | | | | (.56 | ) | | | (.59 | ) | | | (.97 | ) | | | — | |
Net realized gains | | | — | | | | (1.86 | ) | | | (2.62 | ) | | | (.62 | ) | | | (3.33 | ) |
Total distributions | | | — | | | | (2.42 | ) | | | (3.21 | ) | | | (1.59 | ) | | | (3.33 | ) |
Net asset value, end of period | | $ | 101.56 | | | $ | 93.20 | | | $ | 105.96 | | | $ | 89.05 | | | $ | 75.99 | |
|
Total Returnb | | | 8.97 | % | | | (9.65 | %) | | | 22.94 | % | | | 19.75 | % | | | 21.43 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,197 | | | $ | 7,995 | | | $ | 9,249 | | | $ | 8,273 | | | $ | 6,550 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.51 | % | | | 0.68 | % | | | 0.33 | % | | | 0.31 | % | | | 0.49 | % |
Total expenses | | | 1.80 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Net expensesc | | | 1.79 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Portfolio turnover rate | | | 141 | % | | | 185 | % | | | 149 | % | | | 194 | % | | | 88 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
20 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, Biotechnology Fund returned 5.53%, compared with the S&P 500 Index, which returned 26.29%. The S&P 500 Health Care Index returned 2.06%.
The industries that contributed the most to performance were biotechnology and health care equipment. The industries that detracted the most from performance were fertilizers & agricultural chemicals, pharmaceuticals, and life sciences tools & services.
The holdings that contributed the most to performance were Seagen, Inc., Vertex Pharmaceuticals, Inc., and ImmunoGen, Inc. The holdings that detracted the most from performance were Moderna, Inc., Illumina, Inc., and Corteva, Inc.
Performance displayed represents past performance, which is no guarantee of future results.
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. | 7.8% |
Amgen, Inc. | 5.9% |
Vertex Pharmaceuticals, Inc. | 4.6% |
Gilead Sciences, Inc. | 4.4% |
Regeneron Pharmaceuticals, Inc. | 4.2% |
Moderna, Inc. | 3.0% |
Biogen, Inc. | 2.9% |
Corteva, Inc. | 2.8% |
AstraZeneca plc ADR | 2.6% |
Illumina, Inc. | 2.3% |
Top Ten Total | 40.5% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 21 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Biotechnology Fund | 5.53% | 7.01% | 6.64% |
S&P 500 Health Care Index | 2.06% | 11.59% | 11.35% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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. |
22 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
BIOTECHNOLOGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.8% |
| | | | | | | | | |
Biotechnology - 74.9% |
Amgen, Inc. | | | 2,495 | | | $ | 718,610 | |
Vertex Pharmaceuticals, Inc.* | | | 1,366 | | | | 555,812 | |
Gilead Sciences, Inc. | | | 6,576 | | | | 532,722 | |
Regeneron Pharmaceuticals, Inc.* | | | 590 | | | | 518,191 | |
Moderna, Inc.* | | | 3,691 | | | | 367,070 | |
Biogen, Inc.* | | | 1,383 | | | | 357,879 | |
Corteva, Inc. | | | 7,028 | | | | 336,782 | |
Illumina, Inc.* | | | 2,046 | | | | 284,885 | |
Alnylam Pharmaceuticals, Inc.* | | | 1,485 | | | | 284,244 | |
Cytokinetics, Inc.* | | | 2,971 | | | | 248,049 | |
BioMarin Pharmaceutical, Inc.* | | | 2,512 | | | | 242,207 | |
Royalty Pharma plc — Class A | | | 7,440 | | | | 208,990 | |
Incyte Corp.* | | | 3,283 | | | | 206,140 | |
Legend Biotech Corp. ADR* | | | 3,102 | | | | 186,647 | |
United Therapeutics Corp.* | | | 779 | | | | 171,294 | |
Sarepta Therapeutics, Inc.* | | | 1,768 | | | | 170,488 | |
ImmunoGen, Inc.* | | | 5,374 | | | | 159,339 | |
Exelixis, Inc.* | | | 6,619 | | | | 158,790 | |
Intra-Cellular Therapies, Inc.* | | | 2,154 | | | | 154,269 | |
Ionis Pharmaceuticals, Inc.* | | | 2,986 | | | | 151,062 | |
BioNTech SE ADR* | | | 1,348 | | | | 142,268 | |
Bridgebio Pharma, Inc.* | | | 3,465 | | | | 139,882 | |
Karuna Therapeutics, Inc.* | | | 438 | | | | 138,631 | |
Roivant Sciences Ltd.* | | | 11,977 | | | | 134,502 | |
ACADIA Pharmaceuticals, Inc.* | | | 4,182 | | | | 130,938 | |
Blueprint Medicines Corp.* | | | 1,418 | | | | 130,796 | |
Apellis Pharmaceuticals, Inc.* | | | 2,175 | | | | 130,195 | |
Argenx SE ADR* | | | 340 | | | | 129,346 | |
REVOLUTION Medicines, Inc.* | | | 4,469 | | | | 128,171 | |
CRISPR Therapeutics AG* | | | 2,033 | | | | 127,266 | |
Amicus Therapeutics, Inc.* | | | 8,963 | | | | 127,185 | |
Insmed, Inc.* | | | 4,040 | | | | 125,200 | |
Halozyme Therapeutics, Inc.* | | | 3,204 | | | | 118,420 | |
Ultragenyx Pharmaceutical, Inc.* | | | 2,446 | | | | 116,968 | |
Arrowhead Pharmaceuticals, Inc.* | | | 3,677 | | | | 112,516 | |
Mirati Therapeutics, Inc.* | | | 1,867 | | | | 109,686 | |
Guardant Health, Inc.* | | | 3,728 | | | | 100,842 | |
Immunovant, Inc.* | | | 2,214 | | | | 93,276 | |
Intellia Therapeutics, Inc.* | | | 3,023 | | | | 92,171 | |
Axsome Therapeutics, Inc.* | | | 1,100 | | | | 87,549 | |
TG Therapeutics, Inc.* | | | 5,115 | | | | 87,364 | |
Iovance Biotherapeutics, Inc.* | | | 10,383 | | | | 84,414 | |
PTC Therapeutics, Inc.* | | | 3,002 | | | | 82,735 | |
Prothena Corporation plc* | | | 2,243 | | | | 81,511 | |
Dynavax Technologies Corp.* | | | 5,524 | | | | 77,225 | |
Beam Therapeutics, Inc.*,1 | | | 2,671 | | | | 72,705 | |
Akero Therapeutics, Inc.* | | | 2,842 | | | | 66,361 | |
Krystal Biotech, Inc.* | | | 503 | | | | 62,402 | |
Sage Therapeutics, Inc.* | | | 2,835 | | | | 61,434 | |
Novavax, Inc.* | | | 8,116 | | | | 38,957 | |
Total Biotechnology | | | | | | | 9,144,386 | |
| | | | | | | | | |
Pharmaceuticals - 18.6% |
AbbVie, Inc. | | | 6,133 | | | | 950,431 | |
AstraZeneca plc ADR | | | 4,741 | | | | 319,306 | |
Viatris, Inc. | | | 19,614 | | | | 212,420 | |
Neurocrine Biosciences, Inc.* | | | 1,589 | | | | 209,367 | |
Alkermes plc* | | | 5,997 | | | | 166,357 | |
Jazz Pharmaceuticals plc* | | | 1,266 | | | | 155,718 | |
Vaxcyte, Inc.* | | | 2,021 | | | | 126,919 | |
Ironwood Pharmaceuticals, Inc. — Class A* | | | 6,440 | | | | 73,673 | |
Madrigal Pharmaceuticals, Inc.* | | | 266 | | | | 61,547 | |
Total Pharmaceuticals | | | | | | | 2,275,738 | |
| | | | | | | | | |
Healthcare-Products - 5.2% |
Exact Sciences Corp.* | | | 2,962 | | | | 219,129 | |
Natera, Inc.* | | | 2,486 | | | | 155,723 | |
Novocure Ltd.* | | | 10,423 | | | | 155,615 | |
Pacific Biosciences of California, Inc.* | | | 10,074 | | | | 98,826 | |
Total Healthcare-Products | | | | | | | 629,293 | |
| | | | | | | | | |
Healthcare-Services - 1.1% |
Medpace Holdings, Inc.* | | | 457 | | | | 140,084 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $6,033,988) | | | | | | | 12,189,501 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.5% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 31,002 | | | | 31,002 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 24,984 | | | | 24,984 | |
Total Repurchase Agreements | | | | |
(Cost $55,986) | | | | | | | 55,986 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.4% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class X, 5.29%4 | | | 51,045 | | | | 51,045 | |
Total Securities Lending Collateral | | | | |
(Cost $51,045) | | | | | | | 51,045 | |
| | | | | | | | | |
Total Investments - 100.7% | | | | |
(Cost $6,141,019) | | $ | 12,296,532 | |
Other Assets & Liabilities, net - (0.7)% | | | (86,619 | ) |
Total Net Assets - 100.0% | | $ | 12,209,913 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
BIOTECHNOLOGY 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 December 31, 2023 — 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 December 31, 2023. |
| | 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 December 31, 2023 (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 | | $ | 12,189,501 | | | $ | — | | | $ | — | | | $ | 12,189,501 | |
Repurchase Agreements | | | — | | | | 55,986 | | | | — | | | | 55,986 | |
Securities Lending Collateral | | | 51,045 | | | | — | | | | — | | | | 51,045 | |
Total Assets | | $ | 12,240,546 | | | $ | 55,986 | | | $ | — | | | $ | 12,296,532 | |
24 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value - including $45,566 of securities loaned (cost $6,085,033) | | $ | 12,240,546 | |
Repurchase agreements, at value (cost $55,986) | | | 55,986 | |
Receivables: |
Fund shares sold | | | 9,199 | |
Foreign tax reclaims | | | 476 | |
Securities lending income | | | 442 | |
Interest | | | 25 | |
Total assets | | | 12,306,674 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 51,045 | |
Professional fees | | | 17,107 | |
Management fees | | | 8,360 | |
Printing fees | | | 4,124 | |
Transfer agent fees | | | 3,565 | |
Investor service fees | | | 2,459 | |
Portfolio accounting and administration fees | | | 1,033 | |
Fund shares redeemed | | | 323 | |
Trustees’ fees* | | | 145 | |
Miscellaneous | | | 8,600 | |
Total liabilities | | | 96,761 | |
Net assets | | $ | 12,209,913 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 6,327,278 | |
Total distributable earnings (loss) | | | 5,882,635 | |
Net assets | | $ | 12,209,913 | |
Capital shares outstanding | | | 147,335 | |
Net asset value per share | | $ | 82.87 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $26) | | $ | 123,747 | |
Interest | | | 4,146 | |
Income from securities lending, net | | | 4,802 | |
Total investment income | | | 132,695 | |
| | | | | |
Expenses: |
Management fees | | | 109,274 | |
Investor service fees | | | 32,139 | |
Transfer agent fees | | | 33,617 | |
Professional fees | | | 24,789 | |
Portfolio accounting and administration fees | | | 19,926 | |
Trustees’ fees* | | | 2,698 | |
Custodian fees | | | 2,061 | |
Line of credit fees | | | 52 | |
Miscellaneous | | | 7,294 | |
Total expenses | | | 231,850 | |
Less: |
Expenses reimbursed by Adviser | | | (2,432 | ) |
Net expenses | | | 229,418 | |
Net investment loss | | | (96,723 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 2,449,943 | |
Net realized gain | | | 2,449,943 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (1,829,176 | ) |
Net change in unrealized appreciation (depreciation) | | | (1,829,176 | ) |
Net realized and unrealized gain | | | 620,767 | |
Net increase in net assets resulting from operations | | $ | 524,044 | |
* | 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 ANNUAL REPORT | 25 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (96,723 | ) | | $ | (114,010 | ) |
Net realized gain (loss) on investments | | | 2,449,943 | | | | (1,180,019 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (1,829,176 | ) | | | (1,632,959 | ) |
Net increase (decrease) in net assets resulting from operations | | | 524,044 | | | | (2,926,988 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (132,244 | ) | | | (1,396,614 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 4,806,984 | | | | 15,586,092 | |
Distributions reinvested | | | 132,244 | | | | 1,396,614 | |
Cost of shares redeemed | | | (9,651,956 | ) | | | (18,754,544 | ) |
Net decrease from capital share transactions | | | (4,712,728 | ) | | | (1,771,838 | ) |
Net decrease in net assets | | | (4,320,928 | ) | | | (6,095,440 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 16,530,841 | | | | 22,626,281 | |
End of year | | $ | 12,209,913 | | | $ | 16,530,841 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 61,602 | | | | 194,819 | |
Shares issued from reinvestment of distributions | | | 1,713 | | | | 17,860 | |
Shares redeemed | | | (124,262 | ) | | | (232,747 | ) |
Net decrease in shares | | | (60,947 | ) | | | (20,068 | ) |
26 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 79.37 | | | $ | 99.09 | | | $ | 107.01 | | | $ | 94.84 | | | $ | 78.16 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.58 | ) | | | (.57 | ) | | | (1.04 | ) | | | (.91 | ) | | | (.83 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 4.90 | | | | (12.71 | ) | | | 3.01 | | | | 20.68 | | | | 19.81 | |
Total from investment operations | | | 4.32 | | | | (13.28 | ) | | | 1.97 | | | | 19.77 | | | | 18.98 | |
Less distributions from: |
Net realized gains | | | (.82 | ) | | | (6.44 | ) | | | (9.89 | ) | | | (7.60 | ) | | | (2.30 | ) |
Total distributions | | | (.82 | ) | | | (6.44 | ) | | | (9.89 | ) | | | (7.60 | ) | | | (2.30 | ) |
Net asset value, end of period | | $ | 82.87 | | | $ | 79.37 | | | $ | 99.09 | | | $ | 107.01 | | | $ | 94.84 | |
|
Total Returnb | | | 5.53 | % | | | (13.31 | %) | | | 1.42 | % | | | 21.31 | % | | | 24.67 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 12,210 | | | $ | 16,531 | | | $ | 22,626 | | | $ | 24,622 | | | $ | 21,687 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.75 | %) | | | (0.70 | %) | | | (0.98 | %) | | | (0.94 | %) | | | (0.95 | %) |
Total expenses | | | 1.80 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Net expensesc | | | 1.78 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Portfolio turnover rate | | | 74 | % | | | 116 | % | | | 118 | % | | | 160 | % | | | 105 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 27 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, Consumer Products Fund returned -3.30%, compared with the S&P 500 Index, which returned 26.29%. The S&P 500 Consumer Staples Index returned 0.52%.
The industries that contributed the most to performance were soft drinks, food retail, and brewers. The industries that detracted the most from performance were packaged foods & meats, personal care products, and agricultural products & services.
The holdings that contributed the most to performance were Fomento Economico Mexicano SAB de CV ADR, Celsius Holdings, Inc., and Mondelez International, Inc. - Class A. The holdings that detracted the most from performance were Estee Lauder Companies, Inc. - Class A, Archer-Daniels-Midland Co., and General Mills, Inc.
Performance displayed represents past performance, which is no guarantee of future results.
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. | 6.6% |
PepsiCo, Inc. | 5.4% |
Coca-Cola Co. | 5.4% |
Philip Morris International, Inc. | 4.3% |
Mondelez International, Inc. — Class A | 3.5% |
Altria Group, Inc. | 2.9% |
Colgate-Palmolive Co. | 2.9% |
Estee Lauder Companies, Inc. — Class A | 2.6% |
Monster Beverage Corp. | 2.4% |
Kimberly-Clark Corp. | 2.3% |
Top Ten Total | 38.3% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
28 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Consumer Products Fund | (3.30%) | 6.88% | 5.60% |
S&P 500 Consumer Staples Index | 0.52% | 10.86% | 8.54% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
CONSUMER PRODUCTS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Food - 33.5% |
Mondelez International, Inc. — Class A | | | 4,178 | | | $ | 302,613 | |
Hershey Co. | | | 988 | | | | 184,203 | |
General Mills, Inc. | | | 2,822 | | | | 183,825 | |
Sysco Corp. | | | 2,474 | | | | 180,924 | |
Kroger Co. | | | 3,693 | | | | 168,807 | |
Kraft Heinz Co. | | | 4,447 | | | | 164,450 | |
Tyson Foods, Inc. — Class A | | | 2,475 | | | | 133,031 | |
McCormick & Company, Inc. | | | 1,893 | | | | 129,519 | |
Lamb Weston Holdings, Inc. | | | 1,140 | | | | 123,223 | |
Kellanova | | | 2,126 | | | | 118,865 | |
J M Smucker Co. | | | 875 | | | | 110,582 | |
Conagra Brands, Inc. | | | 3,825 | | | | 109,624 | |
Performance Food Group Co.* | | | 1,479 | | | | 102,273 | |
US Foods Holding Corp.* | | | 2,159 | | | | 98,040 | |
Hormel Foods Corp. | | | 2,878 | | | | 92,413 | |
Campbell Soup Co. | | | 2,036 | | | | 88,016 | |
Albertsons Companies, Inc. — Class A | | | 3,699 | | | | 85,077 | |
Ingredion, Inc. | | | 748 | | | | 81,180 | |
Sprouts Farmers Market, Inc.* | | | 1,418 | | | | 68,220 | |
Post Holdings, Inc.* | | | 713 | | | | 62,787 | |
Flowers Foods, Inc. | | | 2,698 | | | | 60,732 | |
Simply Good Foods Co.* | | | 1,431 | | | | 56,668 | |
Cal-Maine Foods, Inc. | | | 886 | | | | 50,847 | |
Grocery Outlet Holding Corp.* | | | 1,673 | | | | 45,104 | |
Lancaster Colony Corp. | | | 250 | | | | 41,597 | |
Pilgrim’s Pride Corp.* | | | 1,197 | | | | 33,109 | |
Total Food | | | | | | | 2,875,729 | |
| | | | | | | | | |
Beverages - 26.2% |
PepsiCo, Inc. | | | 2,747 | | | | 466,551 | |
Coca-Cola Co. | | | 7,805 | | | | 459,949 | |
Monster Beverage Corp.* | | | 3,579 | | | | 206,186 | |
Constellation Brands, Inc. — Class A | | | 798 | | | | 192,917 | |
Keurig Dr Pepper, Inc. | | | 5,332 | | | | 177,662 | |
Brown-Forman Corp. — Class B | | | 2,820 | | | | 161,022 | |
Coca-Cola Europacific Partners plc | | | 2,041 | | | | 136,216 | |
Anheuser-Busch InBev S.A. ADR1 | | | 1,866 | | | | 120,581 | |
Fomento Economico Mexicano SAB de CV ADR | | | 863 | | | | 112,492 | |
Molson Coors Beverage Co. — Class B | | | 1,717 | | | | 105,098 | |
Celsius Holdings, Inc.* | | | 1,631 | | | | 88,922 | |
Coca-Cola Consolidated, Inc. | | | 26 | | | | 24,138 | |
Total Beverages | | | | | | | 2,251,734 | |
| | | | | | | | | |
Cosmetics & Personal Care - 16.7% |
Procter & Gamble Co. | | | 3,864 | | | | 566,230 | |
Colgate-Palmolive Co. | | | 3,117 | | | | 248,456 | |
Estee Lauder Companies, Inc. — Class A | | | 1,503 | | | | 219,814 | |
Kenvue, Inc. | | | 8,703 | | | | 187,376 | |
Unilever plc ADR | | | 2,418 | | | | 117,225 | |
elf Beauty, Inc.* | | | 621 | | | | 89,635 | |
Total Cosmetics & Personal Care | | | | | | | 1,428,736 | |
| | | | | | | | | |
Agriculture - 13.2% |
Philip Morris International, Inc. | | | 3,961 | | | | 372,651 | |
Altria Group, Inc. | | | 6,266 | | | | 252,770 | |
Archer-Daniels-Midland Co. | | | 2,543 | | | | 183,656 | |
Bunge Global S.A. | | | 1,180 | | | | 119,121 | |
British American Tobacco plc ADR | | | 3,961 | | | | 116,018 | |
Darling Ingredients, Inc.* | | | 1,717 | | | | 85,575 | |
Total Agriculture | | | | | | | 1,129,791 | |
| | | | | | | | | |
Household Products & Housewares - 6.6% |
Kimberly-Clark Corp. | | | 1,603 | | | | 194,780 | |
Church & Dwight Company, Inc. | | | 1,555 | | | | 147,041 | |
Clorox Co. | | | 894 | | | | 127,475 | |
Spectrum Brands Holdings, Inc. | | | 662 | | | | 52,808 | |
WD-40 Co. | | | 194 | | | | 46,380 | |
Total Household Products & Housewares | | | | | | | 568,484 | |
| | | | | | | | | |
Retail - 1.9% |
Casey’s General Stores, Inc. | | | 353 | | | | 96,983 | |
Freshpet, Inc.* | | | 768 | | | | 66,632 | |
Total Retail | | | | | | | 163,615 | |
| | | | | | | | | |
Pharmaceuticals - 1.0% |
BellRing Brands, Inc.* | | | 1,489 | | | | 82,535 | |
| | | | | | | | | |
Food Service - 0.4% |
Sovos Brands, Inc.* | | | 1,441 | | | | 31,745 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $4,035,635) | | | | | | | 8,532,369 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.5% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 25,988 | | | | 25,988 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 20,944 | | | | 20,944 | |
Total Repurchase Agreements | | | | |
(Cost $46,932) | | | | | | | 46,932 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.3% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund — Class X, 5.29%4 | | | 23,418 | | | | 23,418 | |
Total Securities Lending Collateral | | | | |
(Cost $23,418) | | | | | | | 23,418 | |
| | | | | | | | | |
Total Investments - 100.3% | | | | |
(Cost $4,105,985) | | $ | 8,602,719 | |
Other Assets & Liabilities, net - (0.3)% | | | (25,098 | ) |
Total Net Assets - 100.0% | | $ | 8,577,621 | |
30 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
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 December 31, 2023 — 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 December 31, 2023. |
| | 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 December 31, 2023 (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 | | $ | 8,532,369 | | | $ | — | | | $ | — | | | $ | 8,532,369 | |
Repurchase Agreements | | | — | | | | 46,932 | | | | — | | | | 46,932 | |
Securities Lending Collateral | | | 23,418 | | | | — | | | | — | | | | 23,418 | |
Total Assets | | $ | 8,555,787 | | | $ | 46,932 | | | $ | — | | | $ | 8,602,719 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 31 |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value - including $22,746 of securities loaned (cost $4,059,053) | | $ | 8,555,787 | |
Repurchase agreements, at value (cost $46,932) | | | 46,932 | |
Receivables: |
Dividends | | | 23,358 | |
Fund shares sold | | | 9,693 | |
Securities lending income | | | 210 | |
Interest | | | 21 | |
Total assets | | | 8,636,001 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 23,418 | |
Professional fees | | | 12,604 | |
Management fees | | | 6,164 | |
Printing fees | | | 3,039 | |
Transfer agent fees | | | 2,895 | |
Investor service fees | | | 1,813 | |
Portfolio accounting and administration fees | | | 761 | |
Fund shares redeemed | | | 653 | |
Trustees’ fees* | | | 109 | |
Miscellaneous | | | 6,924 | |
Total liabilities | | | 58,380 | |
Net assets | | $ | 8,577,621 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 4,805,488 | |
Total distributable earnings (loss) | | | 3,772,133 | |
Net assets | | $ | 8,577,621 | |
Capital shares outstanding | | | 125,508 | |
Net asset value per share | | $ | 68.34 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends | | $ | 283,340 | |
Interest | | | 3,301 | |
Income from securities lending, net | | | 11,792 | |
Total investment income | | | 298,433 | |
| | | | | |
Expenses: |
Management fees | | | 93,666 | |
Investor service fees | | | 27,549 | |
Transfer agent fees | | | 28,740 | |
Professional fees | | | 18,621 | |
Portfolio accounting and administration fees | | | 17,080 | |
Trustees’ fees* | | | 2,235 | |
Custodian fees | | | 1,787 | |
Line of credit fees | | | 53 | |
Miscellaneous | | | 9,109 | |
Total expenses | | | 198,840 | |
Less: |
Expenses reimbursed by Adviser | | | (1,981 | ) |
Net expenses | | | 196,859 | |
Net investment income | | | 101,574 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 264,759 | |
Net realized gain | | | 264,759 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (1,027,320 | ) |
Net change in unrealized appreciation (depreciation) | | | (1,027,320 | ) |
Net realized and unrealized loss | | | (762,561 | ) |
Net decrease in net assets resulting from operations | | $ | (660,987 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
32 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 101,574 | | | $ | 145,745 | |
Net realized gain on investments | | | 264,759 | | | | 671,922 | |
Net change in unrealized appreciation (depreciation) on investments | | | (1,027,320 | ) | | | (1,400,905 | ) |
Net decrease in net assets resulting from operations | | | (660,987 | ) | | | (583,238 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (200,079 | ) | | | (830,901 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 13,174,001 | | | | 20,022,209 | |
Distributions reinvested | | | 200,079 | | | | 830,901 | |
Cost of shares redeemed | | | (16,767,946 | ) | | | (22,281,430 | ) |
Net decrease from capital share transactions | | | (3,393,866 | ) | | | (1,428,320 | ) |
Net decrease in net assets | | | (4,254,932 | ) | | | (2,842,459 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 12,832,553 | | | | 15,675,012 | |
End of year | | $ | 8,577,621 | | | $ | 12,832,553 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 183,263 | | | | 264,550 | |
Shares issued from reinvestment of distributions | | | 2,816 | | | | 11,885 | |
Shares redeemed | | | (238,899 | ) | | | (299,900 | ) |
Net decrease in shares | | | (52,820 | ) | | | (23,465 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 71.96 | | | $ | 77.68 | | | $ | 70.88 | | | $ | 67.43 | | | $ | 55.78 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .65 | | | | .81 | | | | .50 | | | | .51 | | | | .56 | |
Net gain (loss) on investments (realized and unrealized) | | | (2.99 | ) | | | (1.66 | ) | | | 7.00 | | | | 4.44 | | | | 11.84 | |
Total from investment operations | | | (2.34 | ) | | | (.85 | ) | | | 7.50 | | | | 4.95 | | | | 12.40 | |
Less distributions from: |
Net investment income | | | (.93 | ) | | | (.54 | ) | | | (.64 | ) | | | (.59 | ) | | | (.60 | ) |
Net realized gains | | | (.35 | ) | | | (4.33 | ) | | | (.06 | ) | | | (.91 | ) | | | (.15 | ) |
Total distributions | | | (1.28 | ) | | | (4.87 | ) | | | (.70 | ) | | | (1.50 | ) | | | (.75 | ) |
Net asset value, end of period | | $ | 68.34 | | | $ | 71.96 | | | $ | 77.68 | | | $ | 70.88 | | | $ | 67.43 | |
|
Total Returnb | | | (3.30 | %) | | | (0.91 | %) | | | 10.62 | % | | | 7.58 | % | | | 22.33 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 8,578 | | | $ | 12,833 | | | $ | 15,675 | | | $ | 15,787 | | | $ | 18,606 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.92 | % | | | 1.10 | % | | | 0.68 | % | | | 0.79 | % | | | 0.88 | % |
Total expenses | | | 1.80 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Net expensesc | | | 1.79 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Portfolio turnover rate | | | 126 | % | | | 149 | % | | | 162 | % | | | 155 | % | | | 177 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
34 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, Electronics Fund returned 54.75%, compared with the S&P 500 Index, which returned 26.29%. The S&P 500 Information Technology Index returned 57.84%.
The industries that contributed the most to performance were semiconductors and semiconductor materials & equipment. The industries that detracted the most from performance were life sciences tools & services and electrical components & equipment.
The holdings that contributed the most to performance were NVIDIA Corp., Broadcom, Inc. and Advanced Micro Devices, Inc. The holdings that detracted the most from performance were Enphase Energy, Inc., SolarEdge Technologies, Inc., and Wolfspeed, Inc.
Performance displayed represents past performance, which is no guarantee of future results.
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. | 11.5% |
Broadcom, Inc. | 8.2% |
Advanced Micro Devices, Inc. | 5.3% |
Intel Corp. | 5.2% |
QUALCOMM, Inc. | 4.3% |
Texas Instruments, Inc. | 4.2% |
Applied Materials, Inc. | 4.0% |
Lam Research Corp. | 3.5% |
Micron Technology, Inc. | 3.4% |
Analog Devices, Inc. | 3.4% |
Top Ten Total | 53.0% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 35 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Electronics Fund | 54.75% | 29.03% | 20.45% |
S&P 500 Information Technology Index | 57.84% | 26.95% | 20.79% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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. |
36 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
ELECTRONICS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.8% |
| | | | | | | | | |
Semiconductors - 92.6% |
NVIDIA Corp. | | | 8,202 | | | $ | 4,061,794 | |
Broadcom, Inc. | | | 2,595 | | | | 2,896,669 | |
Advanced Micro Devices, Inc.* | | | 12,642 | | | | 1,863,557 | |
Intel Corp. | | | 36,471 | | | | 1,832,668 | |
QUALCOMM, Inc. | | | 10,554 | | | | 1,526,425 | |
Texas Instruments, Inc. | | | 8,785 | | | | 1,497,491 | |
Applied Materials, Inc. | | | 8,713 | | | | 1,412,116 | |
Lam Research Corp. | | | 1,578 | | | | 1,235,984 | |
Micron Technology, Inc. | | | 14,051 | | | | 1,199,112 | |
Analog Devices, Inc. | | | 5,989 | | | | 1,189,176 | |
KLA Corp. | | | 1,825 | | | | 1,060,872 | |
Marvell Technology, Inc. | | | 14,649 | | | | 883,481 | |
Microchip Technology, Inc. | | | 9,057 | | | | 816,760 | |
NXP Semiconductor N.V. | | | 3,375 | | | | 775,170 | |
ON Semiconductor Corp.* | | | 8,650 | | | | 722,534 | |
ASML Holding N.V. — Class G | | | 873 | | | | 660,791 | |
Monolithic Power Systems, Inc. | | | 1,036 | | | | 653,488 | |
Taiwan Semiconductor Manufacturing Company Ltd. ADR | | | 5,357 | | | | 557,128 | |
Entegris, Inc. | | | 4,327 | | | | 518,461 | |
Skyworks Solutions, Inc. | | | 4,561 | | | | 512,748 | |
Teradyne, Inc. | | | 4,687 | | | | 508,633 | |
STMicroelectronics N.V. — Class Y | | | 8,472 | | | | 424,701 | |
Qorvo, Inc.* | | | 3,578 | | | | 402,919 | |
United Microelectronics Corp. ADR1 | | | 47,012 | | | | 397,722 | |
ASE Technology Holding Company Ltd. ADR | | | 41,718 | | | | 392,566 | |
Kulicke & Soffa Industries, Inc. | | | 7,147 | | | | 391,084 | |
Lattice Semiconductor Corp.* | | | 5,491 | | | | 378,824 | |
MKS Instruments, Inc. | | | 3,265 | | | | 335,871 | |
Rambus, Inc.* | | | 4,749 | | | | 324,119 | |
Wolfspeed, Inc.* | | | 6,515 | | | | 283,468 | |
GLOBALFOUNDRIES, Inc.*,1 | | | 4,571 | | | | 277,003 | |
MACOM Technology Solutions Holdings, Inc.* | | | 2,912 | | | | 270,670 | |
Synaptics, Inc.* | | | 2,257 | | | | 257,479 | |
Amkor Technology, Inc. | | | 7,651 | | | | 254,549 | |
Power Integrations, Inc. | | | 3,081 | | | | 252,981 | |
Cirrus Logic, Inc.* | | | 3,031 | | | | 252,149 | |
Silicon Laboratories, Inc.* | | | 1,866 | | | | 246,816 | |
Axcelis Technologies, Inc.* | | | 1,885 | | | | 244,466 | |
Diodes, Inc.* | | | 2,890 | | | | 232,703 | |
Allegro MicroSystems, Inc.* | | | 6,020 | | | | 182,225 | |
Ambarella, Inc.* | | | 2,946 | | | | 180,560 | |
Impinj, Inc.* | | | 1,522 | | | | 137,026 | |
Semtech Corp.* | | | 5,992 | | | | 131,285 | |
Aehr Test Systems* | | | 3,603 | | | | 95,588 | |
Total Semiconductors | | | | | | | 32,731,832 | |
| | | | | | | | | |
Energy-Alternate Sources - 5.7% |
Enphase Energy, Inc.* | | | 4,054 | | | | 535,696 | |
First Solar, Inc.* | | | 3,090 | | | | 532,345 | |
SolarEdge Technologies, Inc.* | | | 5,554 | | | | 519,854 | |
Canadian Solar, Inc.*,1 | | | 16,186 | | | | 424,559 | |
Total Energy-Alternate Sources | | | | | | | 2,012,454 | |
| | | | | | | | | |
Electrical Components & Equipment - 1.0% |
Universal Display Corp. | | | 1,819 | | | | 347,902 | |
| | | | | | | | | |
Telecommunications - 0.5% |
Credo Technology Group Holding Ltd.* | | | 9,802 | | | | 190,845 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $20,716,461) | | | | | | | 35,283,033 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.5% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 99,788 | | | | 99,788 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 80,418 | | | | 80,418 | |
Total Repurchase Agreements | | | | |
(Cost $180,206) | | | | | | | 180,206 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 1.9% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund - Class X, 5.29%4 | | | 682,156 | | | | 682,156 | |
Total Securities Lending Collateral | | | | |
(Cost $682,156) | | | | | | | 682,156 | |
| | | | | | | | | |
Total Investments - 102.2% | | | | |
(Cost $21,578,823) | | $ | 36,145,395 | |
Other Assets & Liabilities, net - (2.2)% | | | (793,742 | ) |
Total Net Assets - 100.0% | | $ | 35,351,653 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 37 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
ELECTRONICS FUND | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at December 31, 2023 — 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 December 31, 2023. |
| | 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 December 31, 2023 (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 | | $ | 35,283,033 | | | $ | — | | | $ | — | | | $ | 35,283,033 | |
Repurchase Agreements | | | — | | | | 180,206 | | | | — | | | | 180,206 | |
Securities Lending Collateral | | | 682,156 | | | | — | | | | — | | | | 682,156 | |
Total Assets | | $ | 35,965,189 | | | $ | 180,206 | | | $ | — | | | $ | 36,145,395 | |
38 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value - including $655,141 of securities loaned (cost $21,398,617) | | $ | 35,965,189 | |
Repurchase agreements, at value (cost $180,206) | | | 180,206 | |
Receivables: |
Securities sold | | | 673,095 | |
Dividends | | | 12,314 | |
Securities lending income | | | 681 | |
Interest | | | 80 | |
Total assets | | | 36,831,565 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 682,156 | |
Fund shares redeemed | | | 666,813 | |
Management fees | | | 24,534 | |
Transfer agent fees | | | 9,920 | |
Investor service fees | | | 7,216 | |
Portfolio accounting and administration fees | | | 3,031 | |
Trustees’ fees* | | | 418 | |
Miscellaneous | | | 85,824 | |
Total liabilities | | | 1,479,912 | |
Net assets | | $ | 35,351,653 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 21,464,038 | |
Total distributable earnings (loss) | | | 13,887,615 | |
Net assets | | $ | 35,351,653 | |
Capital shares outstanding | | | 172,962 | |
Net asset value per share | | $ | 204.39 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $2,665) | | $ | 298,906 | |
Interest | | | 10,361 | |
Income from securities lending, net | | | 6,522 | |
Total investment income | | | 315,789 | |
| | | | | |
Expenses: |
Management fees | | | 226,884 | |
Investor service fees | | | 66,731 | |
Transfer agent fees | | | 61,336 | |
Professional fees | | | 60,975 | |
Portfolio accounting and administration fees | | | 41,372 | |
Custodian fees | | | 3,827 | |
Trustees’ fees* | | | 3,002 | |
Miscellaneous | | | 18,253 | |
Total expenses | | | 482,380 | |
Less: |
Expenses reimbursed by Adviser | | | (6,511 | ) |
Net expenses | | | 475,869 | |
Net investment loss | | | (160,080 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 352,270 | |
Net realized gain | | | 352,270 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 9,835,469 | |
Net change in unrealized appreciation (depreciation) | | | 9,835,469 | |
Net realized and unrealized gain | | | 10,187,739 | |
Net increase in net assets resulting from operations | | $ | 10,027,659 | |
* | 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 ANNUAL REPORT | 39 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (160,080 | ) | | $ | (61,055 | ) |
Net realized gain on investments | | | 352,270 | | | | 1,725,567 | |
Net change in unrealized appreciation (depreciation) on investments | | | 9,835,469 | | | | (6,311,752 | ) |
Net increase (decrease) in net assets resulting from operations | | | 10,027,659 | | | | (4,647,240 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (745,906 | ) | | | (371,881 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 30,802,821 | | | | 11,568,962 | |
Distributions reinvested | | | 745,906 | | | | 371,881 | |
Cost of shares redeemed | | | (16,285,364 | ) | | | (12,678,763 | ) |
Net increase (decrease) from capital share transactions | | | 15,263,363 | | | | (737,920 | ) |
Net increase (decrease) in net assets | | | 24,545,116 | | | | (5,757,041 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 10,806,537 | | | | 16,563,578 | |
End of year | | $ | 35,351,653 | | | $ | 10,806,537 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 185,317 | | | | 77,122 | |
Shares issued from reinvestment of distributions | | | 3,873 | | | | 2,554 | |
Shares redeemed | | | (96,224 | ) | | | (78,267 | ) |
Net increase in shares | | | 92,966 | | | | 1,409 | |
40 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 135.09 | | | $ | 210.77 | | | $ | 162.39 | | | $ | 105.84 | | | $ | 67.30 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.04 | ) | | | (.99 | ) | | | (1.50 | ) | | | (.73 | ) | | | (.20 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 74.72 | | | | (67.42 | ) | | | 60.92 | | | | 59.27 | | | | 39.89 | |
Total from investment operations | | | 73.68 | | | | (68.41 | ) | | | 59.42 | | | | 58.54 | | | | 39.69 | |
Less distributions from: |
Net realized gains | | | (4.38 | ) | | | (7.27 | ) | | | (11.04 | ) | | | (1.99 | ) | | | (1.15 | ) |
Total distributions | | | (4.38 | ) | | | (7.27 | ) | | | (11.04 | ) | | | (1.99 | ) | | | (1.15 | ) |
Net asset value, end of period | | $ | 204.39 | | | $ | 135.09 | | | $ | 210.77 | | | $ | 162.39 | | | $ | 105.84 | |
|
Total Returnb | | | 54.75 | % | | | (32.70 | %) | | | 38.25 | % | | | 55.96 | % | | | 59.28 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 35,352 | | | $ | 10,807 | | | $ | 16,564 | | | $ | 12,151 | | | $ | 11,293 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.60 | %) | | | (0.62 | %) | | | (0.82 | %) | | | (0.62 | %) | | | (0.23 | %) |
Total expenses | | | 1.81 | % | | | 1.77 | % | | | 1.70 | % | | | 1.82 | % | | | 1.82 | % |
Net expensesc | | | 1.78 | % | | | 1.77 | % | | | 1.70 | % | | | 1.82 | % | | | 1.82 | % |
Portfolio turnover rate | | | 70 | % | | | 115 | % | | | 197 | % | | | 158 | % | | | 208 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 41 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, Energy Fund returned 1.61%, compared with the S&P 500 Index, which returned 26.29%. The S&P 500 Energy Index returned -1.33%.
The industries that contributed the most to performance were oil & gas exploration & production, oil & gas storage & transportation, oil & gas refining & marketing, and oil & gas equipment & services. The industries that detracted the most from performance were semiconductor materials & equipment, electrical components & equipment, and construction & engineering.
The holdings that contributed the most to performance were Petroleo Brasileiro S.A. ADR, Phillips 66, and Marathon Petroleum Corp. The holdings that detracted the most from performance were SolarEdge Technologies, Inc., Enphase Energy, Inc., and Chevron Corp.
Performance displayed represents past performance, which is no guarantee of future results.
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. | 5.9% |
Chevron Corp. | 4.9% |
ConocoPhillips | 3.5% |
Schlumberger N.V. | 2.6% |
EOG Resources, Inc. | 2.5% |
Phillips 66 | 2.3% |
Marathon Petroleum Corp. | 2.3% |
Pioneer Natural Resources Co. | 2.1% |
Valero Energy Corp. | 2.0% |
SolarEdge Technologies, Inc. | 2.0% |
Top Ten Total | 30.1% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
42 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Energy Fund | 1.61% | 9.77% | (1.84%) |
S&P 500 Energy Index | (1.33%) | 13.40% | 3.48% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
ENERGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.4% |
| | | | | | | | | |
Oil & Gas - 64.2% |
Exxon Mobil Corp. | | | 9,754 | | | $ | 975,205 | |
Chevron Corp. | | | 5,487 | | | | 818,441 | |
ConocoPhillips | | | 5,045 | | | | 585,573 | |
EOG Resources, Inc. | | | 3,446 | | | | 416,794 | |
Phillips 66 | | | 2,901 | | | | 386,239 | |
Marathon Petroleum Corp. | | | 2,523 | | | | 374,312 | |
Pioneer Natural Resources Co. | | | 1,568 | | | | 352,612 | |
Valero Energy Corp. | | | 2,570 | | | | 334,100 | |
Hess Corp. | | | 2,260 | | | | 325,802 | |
Occidental Petroleum Corp. | | | 5,285 | | | | 315,567 | |
Devon Energy Corp. | | | 5,942 | | | | 269,173 | |
Diamondback Energy, Inc. | | | 1,700 | | | | 263,636 | |
Shell plc ADR | | | 3,845 | | | | 253,001 | |
Petroleo Brasileiro S.A. ADR | | | 15,344 | | | | 245,044 | |
BP plc ADR | | | 6,784 | | | | 240,154 | |
Coterra Energy, Inc. — Class A | | | 8,493 | | | | 216,741 | |
Equities Corp. | | | 5,236 | | | | 202,424 | |
Suncor Energy, Inc. | | | 6,116 | | | | 195,957 | |
Canadian Natural Resources Ltd. | | | 2,911 | | | | 190,729 | |
Marathon Oil Corp. | | | 7,687 | | | | 185,718 | |
Ovintiv, Inc. | | | 3,989 | | | | 175,197 | |
Cenovus Energy, Inc. | | | 10,161 | | | | 169,181 | |
APA Corp. | | | 4,682 | | | | 167,990 | |
Chesapeake Energy Corp. | | | 2,006 | | | | 154,342 | |
Permian Resources Corp. | | | 11,294 | | | | 153,598 | |
HF Sinclair Corp. | | | 2,495 | | | | 138,647 | |
Equinor ASA ADR1 | | | 4,318 | | | | 136,621 | |
Southwestern Energy Co.* | | | 20,739 | | | | 135,840 | |
Range Resources Corp. | | | 4,391 | | | | 133,662 | |
Antero Resources Corp.* | | | 5,649 | | | | 128,119 | |
Matador Resources Co. | | | 2,221 | | | | 126,286 | |
Murphy Oil Corp. | | | 2,944 | | | | 125,591 | |
Civitas Resources, Inc. | | | 1,831 | | | | 125,204 | |
Weatherford International plc* | | | 1,271 | | | | 124,342 | |
Noble Corporation plc | | | 2,548 | | | | 122,712 | |
Transocean Ltd.* | | | 17,660 | | | | 112,141 | |
PBF Energy, Inc. — Class A | | | 2,512 | | | | 110,427 | |
SM Energy Co. | | | 2,798 | | | | 108,339 | |
Chord Energy Corp. | | | 651 | | | | 108,216 | |
Valaris Ltd.* | | | 1,534 | | | | 105,186 | |
Patterson-UTI Energy, Inc. | | | 9,454 | | | | 102,103 | |
Magnolia Oil & Gas Corp. — Class A | | | 4,784 | | | | 101,851 | |
California Resources Corp. | | | 1,811 | | | | 99,025 | |
Northern Oil and Gas, Inc. | | | 2,451 | | | | 90,859 | |
Kosmos Energy Ltd.* | | | 13,196 | | | | 88,545 | |
Helmerich & Payne, Inc. | | | 2,427 | | | | 87,906 | |
CNX Resources Corp.* | | | 4,286 | | | | 85,720 | |
Callon Petroleum Co.* | | | 2,192 | | | | 71,021 | |
Delek US Holdings, Inc. | | | 2,418 | | | | 62,384 | |
Comstock Resources, Inc. | | | 4,975 | | | | 44,029 | |
Total Oil & Gas | | | | | | | 10,642,306 | |
| | | | | | | | | |
Pipelines - 14.1% |
Williams Companies, Inc. | | | 9,257 | | | | 322,421 | |
ONEOK, Inc. | | | 4,559 | | | | 320,133 | |
Cheniere Energy, Inc. | | | 1,793 | | | | 306,083 | |
Kinder Morgan, Inc. | | | 16,327 | | | | 288,008 | |
Targa Resources Corp. | | | 2,518 | | | | 218,739 | |
Enbridge, Inc. | | | 5,463 | | | | 196,777 | |
TC Energy Corp. | | | 3,950 | | | | 154,406 | |
Golar LNG Ltd. | | | 5,163 | | | | 118,697 | |
DT Midstream, Inc. | | | 2,041 | | | | 111,847 | |
Pembina Pipeline Corp. | | | 3,111 | | | | 107,081 | |
Equitrans Midstream Corp. | | | 10,161 | | | | 103,439 | |
New Fortress Energy, Inc. | | | 2,402 | | | | 90,627 | |
Total Pipelines | | | | | | | 2,338,258 | |
| | | | | | | | | |
Oil & Gas Services - 9.8% |
Schlumberger N.V. | | | 8,402 | | | | 437,240 | |
Baker Hughes Co. | | | 8,771 | | | | 299,793 | |
Halliburton Co. | | | 7,582 | | | | 274,089 | |
TechnipFMC plc | | | 8,319 | | | | 167,545 | |
NOV, Inc. | | | 7,119 | | | | 144,373 | |
ChampionX Corp. | | | 4,034 | | | | 117,833 | |
Tidewater, Inc.* | | | 1,440 | | | | 103,839 | |
Liberty Energy, Inc. — Class A | | | 4,585 | | | | 83,172 | |
Total Oil & Gas Services | | | | | | | 1,627,884 | |
| | | | | | | | | |
Energy-Alternate Sources - 6.2% |
SolarEdge Technologies, Inc.* | | | 3,520 | | | | 329,472 | |
Enphase Energy, Inc.* | | | 1,725 | | | | 227,941 | |
First Solar, Inc.* | | | 1,313 | | | | 226,204 | |
Sunrun, Inc.* | | | 5,955 | | | | 116,897 | |
Plug Power, Inc.*,1 | | | 13,349 | | | | 60,070 | |
Green Plains, Inc.* | | | 2,228 | | | | 56,190 | |
Total Energy-Alternate Sources | | | | | | | 1,016,774 | |
| | | | | | | | | |
Transportation - 1.5% |
Scorpio Tankers, Inc. | | | 2,077 | | | | 126,282 | |
Frontline plc | | | 5,740 | | | | 115,087 | |
Total Transportation | | | | | | | 241,369 | |
| | | | | | | | | |
Mining - 1.4% |
Cameco Corp. | | | 3,685 | | | | 158,824 | |
Uranium Energy Corp.* | | | 11,800 | | | | 75,520 | |
Total Mining | | | | | | | 234,344 | |
| | | | | | | | | |
Coal - 0.8% |
Peabody Energy Corp. | | | 3,361 | | | | 81,739 | |
CONSOL Energy, Inc. | | | 490 | | | | 49,260 | |
Total Coal | | | | | | | 130,999 | |
| | | | | | | | | |
Metal Fabricate & Hardware - 0.7% |
Tenaris S.A. ADR | | | 3,479 | | | | 120,930 | |
| | | | | | | | | |
Retail - 0.7% |
Murphy USA, Inc. | | | 330 | | | | 117,665 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $8,684,609) | | | | | | | 16,470,529 | |
44 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
ENERGY FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,2 - 0.9% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 85,154 | | | $ | 85,154 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 68,624 | | | | 68,624 | |
Total Repurchase Agreements | | | | |
(Cost $153,778) | | | | | | | 153,778 | |
| | | | | | | |
| | Shares | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.7% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund - Class X, 5.29%4 | | | 117,571 | | | | 117,571 | |
Total Securities Lending Collateral | | | | |
(Cost $117,571) | | | | | | | 117,571 | |
| | | | | | | | | |
Total Investments - 101.0% | | | | |
(Cost $8,955,958) | | $ | 16,741,878 | |
Other Assets & Liabilities, net - (1.0)% | | | (166,757 | ) |
Total Net Assets - 100.0% | | $ | 16,575,121 | |
* | 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 December 31, 2023 — 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 December 31, 2023. |
| | 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 December 31, 2023 (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 | | $ | 16,470,529 | | | $ | — | | | $ | — | | | $ | 16,470,529 | |
Repurchase Agreements | | | — | | | | 153,778 | | | | — | | | | 153,778 | |
Securities Lending Collateral | | | 117,571 | | | | — | | | | — | | | | 117,571 | |
Total Assets | | $ | 16,588,100 | | | $ | 153,778 | | | $ | — | | | $ | 16,741,878 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 45 |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value - including $111,366 of securities loaned (cost $8,802,180) | | $ | 16,588,100 | |
Repurchase agreements, at value (cost $153,778) | | | 153,778 | |
Cash | | | 1,812 | |
Receivables: |
Dividends | | | 26,935 | |
Fund shares sold | | | 2,257 | |
Securities lending income | | | 164 | |
Interest | | | 69 | |
Total assets | | | 16,773,115 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 117,571 | |
Fund shares redeemed | | | 21,218 | |
Management fees | | | 10,459 | |
Transfer agent fees | | | 6,348 | |
Investor service fees | | | 3,076 | |
Portfolio accounting and administration fees | | | 1,292 | |
Trustees’ fees* | | | 182 | |
Miscellaneous | | | 37,848 | |
Total liabilities | | | 197,994 | |
Net assets | | $ | 16,575,121 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 12,205,056 | |
Total distributable earnings (loss) | | | 4,370,065 | |
Net assets | | $ | 16,575,121 | |
Capital shares outstanding | | | 67,501 | |
Net asset value per share | | $ | 245.55 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $8,302) | | $ | 742,664 | |
Interest | | | 6,198 | |
Income from securities lending, net | | | 1,870 | |
Total investment income | | | 750,732 | |
| | | | | |
Expenses: |
Management fees | | | 186,684 | |
Investor service fees | | | 54,907 | |
Transfer agent fees | | | 56,588 | |
Professional fees | | | 46,350 | |
Portfolio accounting and administration fees | | | 34,042 | |
Printing fees | | | 5,223 | |
Trustees’ fees* | | | 4,162 | |
Custodian fees | | | 3,343 | |
Line of credit fees | | | 153 | |
Miscellaneous | | | 5,870 | |
Total expenses | | | 397,322 | |
Less: |
Expenses reimbursed by Adviser | | | (4,839 | ) |
Net expenses | | | 392,483 | |
Net investment income | | | 358,249 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 3,404,126 | |
Net realized gain | | | 3,404,126 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (4,934,493 | ) |
Net change in unrealized appreciation (depreciation) | | | (4,934,493 | ) |
Net realized and unrealized loss | | | (1,530,367 | ) |
Net decrease in net assets resulting from operations | | $ | (1,172,118 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
46 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 358,249 | | | $ | 879,545 | |
Net realized gain on investments | | | 3,404,126 | | | | 3,864,436 | |
Net change in unrealized appreciation (depreciation) on investments | | | (4,934,493 | ) | | | 6,337,069 | |
Net increase (decrease) in net assets resulting from operations | | | (1,172,118 | ) | | | 11,081,050 | |
| | | | | | | | | |
Distributions to shareholders | | | (882,712 | ) | | | (270,279 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 50,045,253 | | | | 104,825,503 | |
Distributions reinvested | | | 882,712 | | | | 270,279 | |
Cost of shares redeemed | | | (55,774,636 | ) | | | (109,143,920 | ) |
Net decrease from capital share transactions | | | (4,846,671 | ) | | | (4,048,138 | ) |
Net increase (decrease) in net assets | | | (6,901,501 | ) | | | 6,762,633 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 23,476,622 | | | | 16,713,989 | |
End of year | | $ | 16,575,121 | | | $ | 23,476,622 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 202,789 | | | | 480,215 | |
Shares issued from reinvestment of distributions | | | 3,659 | | | | 1,271 | |
Shares redeemed | | | (232,237 | ) | | | (485,469 | ) |
Net decrease in shares | | | (25,789 | ) | | | (3,983 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020d | | | Year Ended
December 31,
2019d | |
Per Share Data |
Net asset value, beginning of period | | $ | 251.65 | | | $ | 171.83 | | | $ | 114.99 | | | $ | 176.90 | | | $ | 165.96 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | 4.00 | | | | 5.48 | | | | 2.42 | | | | .96 | | | | 1.71 | |
Net gain (loss) on investments (realized and unrealized) | | | (.13 | ) | | | 77.00 | | | | 55.43 | | | | (62.41 | ) | | | 9.62 | |
Total from investment operations | | | 3.87 | | | | 82.48 | | | | 57.85 | | | | (61.45 | ) | | | 11.33 | |
Less distributions from: |
Net investment income | | | (9.97 | ) | | | (2.66 | ) | | | (1.01 | ) | | | (.46 | ) | | | (.39 | ) |
Total distributions | | | (9.97 | ) | | | (2.66 | ) | | | (1.01 | ) | | | (.46 | ) | | | (.39 | ) |
Net asset value, end of period | | $ | 245.55 | | | $ | 251.65 | | | $ | 171.83 | | | $ | 114.99 | | | $ | 176.90 | |
|
Total Returnb | | | 1.61 | % | | | 48.29 | % | | | 50.46 | % | | | (34.17 | %) | | | 6.81 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 16,575 | | | $ | 23,477 | | | $ | 16,714 | | | $ | 6,189 | | | $ | 9,766 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.63 | % | | | 2.38 | % | | | 1.51 | % | | | 2.04 | % | | | 0.97 | % |
Total expenses | | | 1.81 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.83 | % |
Net expensesc | | | 1.79 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.83 | % |
Portfolio turnover rate | | | 229 | % | | | 307 | % | | | 316 | % | | | 317 | % | | | 114 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
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. |
48 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, Energy Services Fund returned 4.43%, compared with the S&P 500 Index, which returned 26.29%. The S&P 500 Energy Index returned -1.33%.
The industries that contributed the most to performance were oil & gas equipment & services, electrical components & equipment, and semiconductor materials & equipment. The industries that detracted the most from performance were oil & gas drilling, specialty chemicals, and trading companies & distributors.
The holdings that contributed the most to performance were Weatherford International plc, TechnipFMC plc, and Baker Hughes Co. The holdings that detracted the most from performance were ProFac Holding Corp. - Class A, Patterson-UTI Energy, Inc., and Halliburton Co.
Performance displayed represents past performance, which is no guarantee of future results.
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. | 13.8% |
Baker Hughes Co. | 9.5% |
Halliburton Co. | 8.7% |
NOV, Inc. | 4.6% |
Weatherford International plc | 4.4% |
TechnipFMC plc | 4.2% |
Noble Corporation plc | 3.9% |
ChampionX Corp. | 3.7% |
Transocean Ltd. | 3.5% |
Valaris Ltd. | 3.3% |
Top Ten Total | 59.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 49 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Energy Services Fund | 4.43% | 1.84% | (11.71%) |
S&P 500 Energy Index | (1.33%) | 13.40% | 3.48% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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. |
50 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
ENERGY SERVICES FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Oil & Gas Services - 64.9% |
Schlumberger N.V. | | | 15,290 | | | $ | 795,692 | |
Baker Hughes Co. | | | 15,960 | | | | 545,513 | |
Halliburton Co. | | | 13,796 | | | | 498,725 | |
NOV, Inc. | | | 12,953 | | | | 262,687 | |
TechnipFMC plc | | | 12,081 | | | | 243,311 | |
ChampionX Corp. | | | 7,341 | | | | 214,431 | |
Tidewater, Inc.* | | | 2,619 | | | | 188,856 | |
Liberty Energy, Inc. — Class A | | | 8,343 | | | | 151,342 | |
Archrock, Inc. | | | 9,110 | | | | 140,294 | |
Oceaneering International, Inc.* | | | 6,469 | | | | 137,660 | |
Helix Energy Solutions Group, Inc.* | | | 11,024 | | | | 113,327 | |
Expro Group Holdings N.V.* | | | 7,052 | | | | 112,268 | |
US Silica Holdings, Inc.* | | | 7,313 | | | | 82,710 | |
ProPetro Holding Corp.* | | | 9,432 | | | | 79,040 | |
RPC, Inc. | | | 10,525 | | | | 76,622 | |
Core Laboratories, Inc. | | | 3,100 | | | | 54,746 | |
ProFrac Holding Corp. — Class A* | | | 3,901 | | | | 33,081 | |
Total Oil & Gas Services | | | | | | | 3,730,305 | |
| | | | | | | | | |
Oil & Gas - 28.7% |
Weatherford International plc* | | | 2,588 | | | | 253,184 | |
Noble Corporation plc | | | 4,637 | | | | 223,318 | |
Transocean Ltd.* | | | 32,134 | | | | 204,051 | |
Valaris Ltd.* | | | 2,792 | | | | 191,447 | |
Patterson-UTI Energy, Inc. | | | 17,202 | | | | 185,782 | |
Helmerich & Payne, Inc. | | | 4,416 | | | | 159,947 | |
Seadrill Ltd.* | | | 3,159 | | | | 149,358 | |
Borr Drilling Ltd.* | | | 18,523 | | | | 136,329 | |
Diamond Offshore Drilling, Inc.* | | | 8,371 | | | | 108,823 | |
Nabors Industries Ltd.* | | | 441 | | | | 35,999 | |
Total Oil & Gas | | | | | | | 1,648,238 | |
| | | | | | | | | |
Machinery-Diversified - 3.1% |
Cactus, Inc. — Class A | | | 3,903 | | | | 177,196 | |
| | | | | | | | | |
Metal Fabricate & Hardware - 2.8% |
Tenaris S.A. ADR | | | 4,733 | | | | 164,519 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $2,527,439) | | | | | | | 5,720,258 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,1 - 1.0% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 31,776 | | | | 31,776 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 25,607 | | | | 25,607 | |
Total Repurchase Agreements | | | | |
(Cost $57,383) | | | | | | | 57,383 | |
| | | | | | | | | |
Total Investments - 100.5% | | | | |
(Cost $2,584,822) | | $ | 5,777,641 | |
Other Assets & Liabilities, net - (0.5)% | | | (28,099 | ) |
Total Net Assets - 100.0% | | $ | 5,749,542 | |
* | 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. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
ENERGY SERVICES FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 5,720,258 | | | $ | — | | | $ | — | | | $ | 5,720,258 | |
Repurchase Agreements | | | — | | | | 57,383 | | | | — | | | | 57,383 | |
Total Assets | | $ | 5,720,258 | | | $ | 57,383 | | | $ | — | | | $ | 5,777,641 | |
52 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $2,527,439) | | $ | 5,720,258 | |
Repurchase agreements, at value (cost $57,383) | | | 57,383 | |
Receivables: |
Securities sold | | | 349,821 | |
Dividends | | | 4,360 | |
Interest | | | 25 | |
Fund shares sold | | | 19 | |
Total assets | | | 6,131,866 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 357,606 | |
Management fees | | | 4,393 | |
Transfer agent fees | | | 2,230 | |
Investor service fees | | | 1,292 | |
Portfolio accounting and administration fees | | | 543 | |
Trustees’ fees* | | | 78 | |
Miscellaneous | | | 16,182 | |
Total liabilities | | | 382,324 | |
Net assets | | $ | 5,749,542 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 13,831,242 | |
Total distributable earnings (loss) | | | (8,081,700 | ) |
Net assets | | $ | 5,749,542 | |
Capital shares outstanding | | | 17,487 | |
Net asset value per share | | $ | 328.79 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $16) | | $ | 96,681 | |
Interest | | | 3,737 | |
Income from securities lending, net | | | 7 | |
Total investment income | | | 100,425 | |
| | | | | |
Expenses: |
Management fees | | | 71,111 | |
Investor service fees | | | 20,915 | |
Transfer agent fees | | | 22,616 | |
Professional fees | | | 16,923 | |
Portfolio accounting and administration fees | | | 12,967 | |
Trustees’ fees* | | | 2,067 | |
Custodian fees | | | 1,433 | |
Line of credit fees | | | 100 | |
Miscellaneous | | | 2,841 | |
Total expenses | | | 150,973 | |
Less: |
Expenses reimbursed by Adviser | | | (1,768 | ) |
Net expenses | | | 149,205 | |
Net investment loss | | | (48,780 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 1,053,616 | |
Net realized gain | | | 1,053,616 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (821,265 | ) |
Net change in unrealized appreciation (depreciation) | | | (821,265 | ) |
Net realized and unrealized gain | | | 232,351 | |
Net increase in net assets resulting from operations | | $ | 183,571 | |
* | 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 ANNUAL REPORT | 53 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (48,780 | ) | | $ | (78,158 | ) |
Net realized gain on investments | | | 1,053,616 | | | | 102,329 | |
Net change in unrealized appreciation (depreciation) on investments | | | (821,265 | ) | | | 1,971,965 | |
Net increase in net assets resulting from operations | | | 183,571 | | | | 1,996,136 | |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 19,749,434 | | | | 39,664,101 | |
Cost of shares redeemed | | | (31,729,898 | ) | | | (32,806,369 | ) |
Net increase (decrease) from capital share transactions | | | (11,980,464 | ) | | | 6,857,732 | |
Net increase (decrease) in net assets | | | (11,796,893 | ) | | | 8,853,868 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 17,546,435 | | | | 8,692,567 | |
End of year | | $ | 5,749,542 | | | $ | 17,546,435 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 60,926 | | | | 137,579 | |
Shares redeemed | | | (99,170 | ) | | | (121,210 | ) |
Net increase (decrease) in shares | | | (38,244 | ) | | | 16,369 | |
54 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020d | | | Year Ended
December 31,
2019d | |
Per Share Data |
Net asset value, beginning of period | | $ | 314.84 | | | $ | 220.84 | | | $ | 188.21 | | | $ | 302.92 | | | $ | 303.11 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.88 | ) | | | (2.27 | ) | | | .37 | | | | .11 | | | | 1.50 | |
Net gain (loss) on investments (realized and unrealized) | | | 15.83 | | | | 96.27 | | | | 32.56 | | | | (114.69 | ) | | | (1.69 | ) |
Total from investment operations | | | 13.95 | | | | 94.00 | | | | 32.93 | | | | (114.58 | ) | | | (.19 | ) |
Less distributions from: |
Net investment income | | | — | | | | — | | | | (.30 | ) | | | (.13 | ) | | | — | |
Total distributions | | | — | | | | — | | | | (.30 | ) | | | (.13 | ) | | | — | |
Net asset value, end of period | | $ | 328.79 | | | $ | 314.84 | | | $ | 220.84 | | | $ | 188.21 | | | $ | 302.92 | |
|
Total Returnb | | | 4.43 | % | | | 42.56 | % | | | 17.50 | % | | | (37.33 | %) | | | (0.07 | %) |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5,750 | | | $ | 17,546 | | | $ | 8,693 | | | $ | 3,825 | | | $ | 3,245 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.58 | %) | | | (0.80 | %) | | | 0.16 | % | | | 0.44 | % | | | 0.45 | % |
Total expenses | | | 1.80 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.83 | % |
Net expensesc | | | 1.78 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.83 | % |
Portfolio turnover rate | | | 290 | % | | | 337 | % | | | 301 | % | | | 817 | % | | | 423 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
d | 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. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 55 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
FINANCIAL SERVICES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the financial services sector (“Financial Services Companies”).
For the Reporting Period, Financial Services Fund returned 13.90%, compared with the S&P 500 Index, which returned 26.29%. The S&P 500 Financials Index returned 12.15%.
The industries that contributed the most to performance were financial exchanges & data, data processing & outsourced services, and asset management & custody banks. The industries that detracted the most from performance were regional banks, office REITs, and reinsurance.
The holdings that contributed the most to performance were Coinbase Global, Inc. - Class A, Blackstone, Inc. – Class A, and XP, Inc. - Class A. The holdings that detracted the most from performance were SVB Financial Group, First Republic Bank, and Signature Bank.
Performance displayed represents past performance, which is no guarantee of future results.
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 | 3.1% |
Visa, Inc. — Class A | 2.6% |
JPMorgan Chase & Co. | 2.6% |
Mastercard, Inc. — Class A | 2.1% |
Bank of America Corp. | 1.8% |
Wells Fargo & Co. | 1.6% |
Blackstone, Inc. — Class A | 1.5% |
Goldman Sachs Group, Inc. | 1.3% |
S&P Global, Inc. | 1.3% |
Prologis, Inc. | 1.3% |
Top Ten Total | 19.2% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
56 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Financial Services Fund | 13.89% | 10.05% | 7.44% |
S&P 500 Financials Index | 12.15% | 11.97% | 10.05% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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 Funds, 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
FINANCIAL SERVICES FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 98.9% |
| | | | | | | | | |
Banks - 24.1% |
JPMorgan Chase & Co. | | | 2,033 | | | $ | 345,813 | |
Bank of America Corp. | | | 7,118 | | | | 239,663 | |
Wells Fargo & Co. | | | 4,270 | | | | 210,169 | |
Goldman Sachs Group, Inc. | | | 474 | | | | 182,855 | |
Morgan Stanley | | | 1,878 | | | | 175,124 | |
Citigroup, Inc. | | | 2,946 | | | | 151,542 | |
U.S. Bancorp | | | 2,955 | | | | 127,892 | |
PNC Financial Services Group, Inc. | | | 804 | | | | 124,499 | |
Truist Financial Corp. | | | 2,958 | | | | 109,209 | |
Bank of New York Mellon Corp. | | | 1,894 | | | | 98,583 | |
Toronto-Dominion Bank | | | 1,378 | | | | 89,046 | |
NU Holdings Limited/Cayman Islands — Class A* | | | 10,677 | | | | 88,939 | |
HDFC Bank Ltd. ADR | | | 1,249 | | | | 83,820 | |
Royal Bank of Canada | | | 801 | | | | 81,005 | |
Bank of Nova Scotia | | | 1,658 | | | | 80,728 | |
Fifth Third Bancorp | | | 2,244 | | | | 77,396 | |
ICICI Bank Ltd. ADR | | | 3,238 | | | | 77,194 | |
State Street Corp. | | | 955 | | | | 73,974 | |
M&T Bank Corp. | | | 529 | | | | 72,515 | |
Regions Financial Corp. | | | 3,521 | | | | 68,237 | |
Huntington Bancshares, Inc. | | | 5,223 | | | | 66,437 | |
Northern Trust Corp. | | | 762 | | | | 64,298 | |
Citizens Financial Group, Inc. | | | 1,866 | | | | 61,839 | |
KeyCorp | | | 4,027 | | | | 57,989 | |
East West Bancorp, Inc. | | | 686 | | | | 49,358 | |
Comerica, Inc. | | | 778 | | | | 43,420 | |
First Horizon Corp. | | | 3,056 | | | | 43,273 | |
Western Alliance Bancorporation | | | 653 | | | | 42,961 | |
Zions Bancorp North America | | | 928 | | | | 40,711 | |
SouthState Corp. | | | 462 | | | | 39,016 | |
Bank OZK | | | 750 | | | | 37,373 | |
Columbia Banking System, Inc. | | | 1,386 | | | | 36,979 | |
Pinnacle Financial Partners, Inc. | | | 403 | | | | 35,150 | |
Old National Bancorp | | | 2,026 | | | | 34,219 | |
Valley National Bancorp | | | 3,127 | | | | 33,959 | |
Wintrust Financial Corp. | | | 357 | | | | 33,112 | |
First Citizens BancShares, Inc. — Class A | | | 17 | | | | 24,123 | |
Total Banks | | | | | | | 3,302,420 | |
| | | | | | | | | |
Diversified Financial Services - 21.2% |
Visa, Inc. — Class A | | | 1,356 | | | | 352,786 | |
Mastercard, Inc. — Class A | | | 678 | | | | 289,174 | |
BlackRock, Inc. — Class A | | | 205 | | | | 166,419 | |
Charles Schwab Corp. | | | 2,324 | | | | 159,891 | |
American Express Co. | | | 845 | | | | 158,302 | |
Intercontinental Exchange, Inc. | | | 1,081 | | | | 138,833 | |
CME Group, Inc. — Class A | | | 628 | | | | 132,257 | |
Capital One Financial Corp. | | | 841 | | | | 110,272 | |
Coinbase Global, Inc. — Class A* | | | 571 | | | | 99,308 | |
Ameriprise Financial, Inc. | | | 256 | | | | 97,236 | |
XP, Inc. — Class A | | | 3,662 | | | | 95,468 | |
Apollo Global Management, Inc. | | | 993 | | | | 92,538 | |
Ares Management Corp. — Class A | | | 768 | | | | 91,331 | |
Interactive Brokers Group, Inc. — Class A | | | 1,081 | | | | 89,615 | |
Discover Financial Services | | | 742 | | | | 83,401 | |
T. Rowe Price Group, Inc. | | | 709 | | | | 76,352 | |
Nasdaq, Inc. | | | 1,308 | | | | 76,047 | |
Raymond James Financial, Inc. | | | 641 | | | | 71,471 | |
Tradeweb Markets, Inc. — Class A | | | 769 | | | | 69,887 | |
Cboe Global Markets, Inc. | | | 371 | | | | 66,246 | |
LPL Financial Holdings, Inc. | | | 283 | | | | 64,416 | |
Synchrony Financial | | | 1,629 | | | | 62,212 | |
Ally Financial, Inc. | | | 1,455 | | | | 50,809 | |
SoFi Technologies, Inc.* | | | 4,952 | | | | 49,272 | |
Franklin Resources, Inc. | | | 1,585 | | | | 47,217 | |
Invesco Ltd. | | | 2,619 | | | | 46,723 | |
SEI Investments Co. | | | 676 | | | | 42,960 | |
Upstart Holdings, Inc.* | | | 718 | | | | 29,337 | |
Total Diversified Financial Services | | | | | | | 2,909,780 | |
| | | | | | | | | |
REITs - 21.2% |
Prologis, Inc. | | | 1,323 | | | | 176,356 | |
American Tower Corp. — Class A | | | 708 | | | | 152,843 | |
Equinix, Inc. | | | 162 | | | | 130,473 | |
Public Storage | | | 361 | | | | 110,105 | |
Welltower, Inc. | | | 1,206 | | | | 108,745 | |
Simon Property Group, Inc. | | | 741 | | | | 105,696 | |
Crown Castle, Inc. | | | 907 | | | | 104,477 | |
Realty Income Corp. | | | 1,725 | | | | 99,050 | |
Digital Realty Trust, Inc. | | | 728 | | | | 97,974 | |
Extra Space Storage, Inc. | | | 585 | | | | 93,793 | |
VICI Properties, Inc. | | | 2,802 | | | | 89,328 | |
Weyerhaeuser Co. | | | 2,311 | | | | 80,353 | |
AvalonBay Communities, Inc. | | | 426 | | | | 79,756 | |
SBA Communications Corp. | | | 310 | | | | 78,644 | |
Equity Residential | | | 1,196 | | | | 73,147 | |
Alexandria Real Estate Equities, Inc. | | | 563 | | | | 71,372 | |
Invitation Homes, Inc. | | | 2,077 | | | | 70,846 | |
Iron Mountain, Inc. | | | 1,007 | | | | 70,470 | |
Ventas, Inc. | | | 1,410 | | | | 70,274 | |
Essex Property Trust, Inc. | | | 254 | | | | 62,977 | |
Sun Communities, Inc. | | | 465 | | | | 62,147 | |
Mid-America Apartment Communities, Inc. | | | 457 | | | | 61,448 | |
Host Hotels & Resorts, Inc. | | | 2,993 | | | | 58,274 | |
UDR, Inc. | | | 1,465 | | | | 56,095 | |
Kimco Realty Corp. | | | 2,629 | | | | 56,024 | |
Gaming and Leisure Properties, Inc. | | | 1,130 | | | | 55,765 | |
Regency Centers Corp. | | | 822 | | | | 55,074 | |
Rexford Industrial Realty, Inc. | | | 959 | | | | 53,800 | |
American Homes 4 Rent — Class A | | | 1,446 | | | | 51,998 | |
Equity LifeStyle Properties, Inc. | | | 731 | | | | 51,565 | |
Healthpeak Properties, Inc. | | | 2,591 | | | | 51,302 | |
CubeSmart | | | 1,103 | | | | 51,124 | |
Camden Property Trust | | | 508 | | | | 50,439 | |
Lamar Advertising Co. — Class A | | | 472 | | | | 50,164 | |
Boston Properties, Inc. | | | 707 | | | | 49,610 | |
58 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
FINANCIAL SERVICES FUND | |
| | Shares | | | Value | |
Annaly Capital Management, Inc. | | | 2,515 | | | $ | 48,716 | |
Omega Healthcare Investors, Inc. | | | 1,350 | | | | 41,391 | |
AGNC Investment Corp. | | | 4,123 | | | | 40,447 | |
Sabra Health Care REIT, Inc. | | | 1,895 | | | | 27,042 | |
Total REITs | | | | | | | 2,899,104 | |
| | | | | | | | | |
Insurance - 17.3% |
Berkshire Hathaway, Inc. — Class B* | | | 1,174 | | | | 418,719 | |
Progressive Corp. | | | 905 | | | | 144,148 | |
Marsh & McLennan Companies, Inc. | | | 759 | | | | 143,808 | |
Willis Towers Watson plc | | | 518 | | | | 124,941 | |
Arch Capital Group Ltd.* | | | 1,581 | | | | 117,421 | |
Chubb Ltd. | | | 504 | | | | 113,904 | |
Aon plc — Class A | | | 370 | | | | 107,677 | |
American International Group, Inc. | | | 1,568 | | | | 106,232 | |
Aflac, Inc. | | | 1,266 | | | | 104,445 | |
Travelers Companies, Inc. | | | 536 | | | | 102,103 | |
Arthur J Gallagher & Co. | | | 453 | | | | 101,871 | |
MetLife, Inc. | | | 1,426 | | | | 94,301 | |
Prudential Financial, Inc. | | | 907 | | | | 94,065 | |
Allstate Corp. | | | 650 | | | | 90,987 | |
Hartford Financial Services Group, Inc. | | | 936 | | | | 75,236 | |
RenaissanceRe Holdings Ltd. | | | 352 | | | | 68,992 | |
Everest Group Ltd. | | | 191 | | | | 67,534 | |
Principal Financial Group, Inc. | | | 852 | | | | 67,027 | |
Cincinnati Financial Corp. | | | 586 | | | | 60,627 | |
Brown & Brown, Inc. | | | 851 | | | | 60,515 | |
W R Berkley Corp. | | | 786 | | | | 55,586 | |
Unum Group | | | 687 | | | | 31,066 | |
Erie Indemnity Co. — Class A | | | 65 | | | | 21,770 | |
Total Insurance | | | | | | | 2,372,975 | |
| | | | | | | | | |
Commercial Services - 7.8% |
S&P Global, Inc. | | | 415 | | | | 182,816 | |
PayPal Holdings, Inc.* | | | 2,074 | | | | 127,364 | |
Moody’s Corp. | | | 309 | | | | 120,683 | |
Block, Inc. — Class A* | | | 1,436 | | | | 111,075 | |
Global Payments, Inc. | | | 712 | | | | 90,424 | |
StoneCo Ltd. — Class A* | | | 4,487 | | | | 80,901 | |
FleetCor Technologies, Inc.* | | | 245 | | | | 69,239 | |
Affirm Holdings, Inc.* | | | 1,266 | | | | 62,211 | |
Toast, Inc. — Class A* | | | 2,857 | | | | 52,169 | |
MarketAxess Holdings, Inc. | | | 157 | | | | 45,977 | |
Shift4 Payments, Inc. — Class A* | | | 538 | | | | 39,995 | |
Euronet Worldwide, Inc.* | | | 332 | | | | 33,695 | |
Morningstar, Inc. | | | 101 | | | | 28,910 | |
Flywire Corp.* | | | 1,165 | | | | 26,970 | |
Total Commercial Services | | | | | | | 1,072,429 | |
| | | | | | | | | |
Private Equity - 3.3% |
Blackstone, Inc. — Class A | | | 1,548 | | | | 202,664 | |
KKR & Company, Inc. — Class A | | | 1,423 | | | | 117,896 | |
Brookfield Corp. | | | 2,034 | | | | 81,604 | |
Carlyle Group, Inc. | | | 1,239 | | | | 50,415 | |
Total Private Equity | | | | | | | 452,579 | |
| | | | | | | | | |
Software - 2.8% |
Fiserv, Inc.* | | | 1,025 | | | | 136,161 | |
MSCI, Inc. — Class A | | | 185 | | | | 104,645 | |
Fidelity National Information Services, Inc. | | | 1,527 | | | | 91,727 | |
Jack Henry & Associates, Inc. | | | 319 | | | | 52,128 | |
Total Software | | | | | | | 384,661 | |
| | | | | | | | | |
Media - 0.5% |
FactSet Research Systems, Inc. | | | 141 | | | | 67,264 | |
| | | | | | | | | |
Internet - 0.4% |
Robinhood Markets, Inc. — Class A* | | | 3,717 | | | | 47,355 | |
| | | | | | | | | |
Savings & Loans - 0.3% |
New York Community Bancorp, Inc. | | | 4,053 | | | | 41,462 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $8,184,611) | | | | | | | 13,550,029 | |
| | | | | | | | | |
PREFERRED STOCKS† - 0.5% |
Financial - 0.5% |
Itau Unibanco Holding S.A. |
ADR | | | 10,959 | | | | 76,165 | |
| | | | | | | | | |
Total Preferred Stocks | | | | |
(Cost $54,192) | | | | | | | 76,165 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,1 - 0.6% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 46,227 | | | | 46,227 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 37,253 | | | | 37,253 | |
Total Repurchase Agreements | | | | |
(Cost $83,480) | | | | | | | 83,480 | |
| | | | | | | | | |
Total Investments - 100.0% | | | | |
(Cost $8,322,283) | | $ | 13,709,674 | |
Other Assets & Liabilities, net - 0.0% | | | (6,454 | ) |
Total Net Assets - 100.0% | | $ | 13,703,220 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
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 | Repurchase Agreements — See Note 6. |
| | 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 December 31, 2023 (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 | | $ | 13,550,029 | | | $ | — | | | $ | — | | | $ | 13,550,029 | |
Preferred Stocks | | | 76,165 | | | | — | | | | — | | | | 76,165 | |
Repurchase Agreements | | | — | | | | 83,480 | | | | — | | | | 83,480 | |
Total Assets | | $ | 13,626,194 | | | $ | 83,480 | | | $ | — | | | $ | 13,709,674 | |
60 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $8,238,803) | | $ | 13,626,194 | |
Repurchase agreements, at value (cost $83,480) | | | 83,480 | |
Cash | | | 94 | |
Receivables: |
Dividends | | | 27,253 | |
Fund shares sold | | | 16,786 | |
Interest | | | 37 | |
Securities lending income | | | 34 | |
Total assets | | | 13,753,878 | |
| | | | | |
Liabilities: |
Payable for: |
Professional fees | | | 16,895 | |
Management fees | | | 8,257 | |
Fund shares redeemed | | | 7,810 | |
Printing fees | | | 4,073 | |
Transfer agent fees | | | 3,193 | |
Investor service fees | | | 2,429 | |
Portfolio accounting and administration fees | | | 1,020 | |
Trustees’ fees* | | | 135 | |
Miscellaneous | | | 6,846 | |
Total liabilities | | | 50,658 | |
Net assets | | $ | 13,703,220 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 9,701,755 | |
Total distributable earnings (loss) | | | 4,001,465 | |
Net assets | | $ | 13,703,220 | |
Capital shares outstanding | | | 143,336 | |
Net asset value per share | | $ | 95.60 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $1,393) | | $ | 253,272 | |
Interest | | | 3,386 | |
Income from securities lending, net | | | 2,522 | |
Total investment income | | | 259,180 | |
| | | | | |
Expenses: |
Management fees | | | 84,543 | |
Investor service fees | | | 24,866 | |
Transfer agent fees | | | 24,989 | |
Professional fees | | | 17,469 | |
Portfolio accounting and administration fees | | | 15,416 | |
Trustees’ fees* | | | 1,794 | |
Custodian fees | | | 1,608 | |
Line of credit fees | | | 17 | |
Miscellaneous | | | 8,668 | |
Total expenses | | | 179,370 | |
Less: |
Expenses reimbursed by Adviser | | | (2,055 | ) |
Net expenses | | | 177,315 | |
Net investment income | | | 81,865 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 280,895 | |
Net realized gain | | | 280,895 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 918,318 | |
Net change in unrealized appreciation (depreciation) | | | 918,318 | |
Net realized and unrealized gain | | | 1,199,213 | |
Net increase in net assets resulting from operations | | $ | 1,281,078 | |
* | 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 ANNUAL REPORT | 61 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 81,865 | | | $ | 89,657 | |
Net realized gain on investments | | | 280,895 | | | | 120,713 | |
Net change in unrealized appreciation (depreciation) on investments | | | 918,318 | | | | (3,347,333 | ) |
Net increase (decrease) in net assets resulting from operations | | | 1,281,078 | | | | (3,136,963 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (1,038,828 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 10,378,589 | | | | 14,196,324 | |
Distributions reinvested | | | — | | | | 1,038,828 | |
Cost of shares redeemed | | | (8,135,529 | ) | | | (19,020,715 | ) |
Net increase (decrease) from capital share transactions | | | 2,243,060 | | | | (3,785,563 | ) |
Net increase (decrease) in net assets | | | 3,524,138 | | | | (7,961,354 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 10,179,082 | | | | 18,140,436 | |
End of year | | $ | 13,703,220 | | | $ | 10,179,082 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 116,821 | | | | 139,320 | |
Shares issued from reinvestment of distributions | | | — | | | | 12,232 | |
Shares redeemed | | | (94,757 | ) | | | (191,186 | ) |
Net increase (decrease) in shares | | | 22,064 | | | | (39,634 | ) |
62 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 83.94 | | | $ | 112.74 | | | $ | 85.52 | | | $ | 89.79 | | | $ | 73.46 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .70 | | | | .65 | | | | .40 | | | | .70 | | | | .70 | |
Net gain (loss) on investments (realized and unrealized) | | | 10.96 | | | | (20.97 | ) | | | 29.49 | | | | (1.47 | ) | | | 19.67 | |
Total from investment operations | | | 11.66 | | | | (20.32 | ) | | | 29.89 | | | | (.77 | ) | | | 20.37 | |
Less distributions from: |
Net investment income | | | — | | | | (.58 | ) | | | (.38 | ) | | | (.74 | ) | | | (.71 | ) |
Net realized gains | | | — | | | | (7.90 | ) | | | (2.29 | ) | | | (2.76 | ) | | | (3.33 | ) |
Total distributions | | | — | | | | (8.48 | ) | | | (2.67 | ) | | | (3.50 | ) | | | (4.04 | ) |
Net asset value, end of period | | $ | 95.60 | | | $ | 83.94 | | | $ | 112.74 | | | $ | 85.52 | | | $ | 89.79 | |
|
Total Returnb | | | 13.89 | % | | | (18.11 | %) | | | 35.26 | % | | | (0.11 | %) | | | 28.08 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 13,703 | | | $ | 10,179 | | | $ | 18,140 | | | $ | 10,367 | | | $ | 11,327 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.82 | % | | | 0.67 | % | | | 0.39 | % | | | 0.92 | % | | | 0.83 | % |
Total expenses | | | 1.80 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Net expensesc | | | 1.78 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Portfolio turnover rate | | | 95 | % | | | 101 | % | | | 170 | % | | | 339 | % | | | 218 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 63 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
HEALTH CARE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the health care industry (“Health Care Companies”).
For the Reporting Period, Health Care Fund returned 5.03%, compared with the S&P 500 Index, which returned 26.29%. The S&P 500 Health Care Index returned 2.06%.
The industries that contributed the most to performance were biotechnology, health care equipment, and health care distributors. The industries that detracted the most from performance were health care services, managed health care, and environmental & facilities services.
The holdings that contributed the most to performance were Eli Lilly and Co., Seagen, Inc., and Vertex Pharmaceuticals, Inc. The holdings that detracted the most from performance were Pfizer, Inc., Moderna, Inc., Bristol-Myers Squibb Co.
Performance displayed represents past performance, which is no guarantee of future results.
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 |
Eli Lilly & Co. | 3.4% |
UnitedHealth Group, Inc. | 3.3% |
Johnson & Johnson | 2.9% |
Merck & Company, Inc. | 2.6% |
AbbVie, Inc. | 2.6% |
Thermo Fisher Scientific, Inc. | 2.2% |
Abbott Laboratories | 2.1% |
Danaher Corp. | 1.9% |
Amgen, Inc. | 1.9% |
Pfizer, Inc. | 1.9% |
Top Ten Total | 24.8% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
64 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Health Care Fund | 5.03% | 9.82% | 8.86% |
S&P 500 Health Care Index | 2.06% | 11.59% | 11.35% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
HEALTH CARE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.6% |
| | | | | | | | | |
Pharmaceuticals - 32.6% |
Eli Lilly & Co. | | | 794 | | | $ | 462,838 | |
Johnson & Johnson | | | 2,580 | | | | 404,389 | |
Merck & Company, Inc. | | | 3,238 | | | | 353,007 | |
AbbVie, Inc. | | | 2,260 | | | | 350,232 | |
Pfizer, Inc. | | | 9,170 | | | | 264,004 | |
CVS Health Corp. | | | 2,695 | | | | 212,797 | |
Bristol-Myers Squibb Co. | | | 4,106 | | | | 210,679 | |
Cigna Group | | | 698 | | | | 209,016 | |
Zoetis, Inc. | | | 998 | | | | 196,975 | |
Becton Dickinson & Co. | | | 733 | | | | 178,727 | |
AstraZeneca plc ADR | | | 2,646 | | | | 178,208 | |
McKesson Corp. | | | 352 | | | | 162,969 | |
Dexcom, Inc.* | | | 1,177 | | | | 146,054 | |
Novo Nordisk A/S ADR | | | 1,250 | | | | 129,312 | |
Cencora, Inc. — Class A | | | 599 | | | | 123,023 | |
Alkermes plc* | | | 4,036 | | | | 111,959 | |
GSK plc ADR | | | 2,883 | | | | 106,844 | |
Novartis AG ADR | | | 1,045 | | | | 105,514 | |
Teva Pharmaceutical Industries Ltd. ADR* | | | 9,849 | | | | 102,824 | |
Cardinal Health, Inc. | | | 999 | | | | 100,699 | |
Viatris, Inc. | | | 7,228 | | | | 78,279 | |
Neurocrine Biosciences, Inc.* | | | 585 | | | | 77,080 | |
Henry Schein, Inc.* | | | 873 | | | | 66,095 | |
Jazz Pharmaceuticals plc* | | | 466 | | | | 57,318 | |
Option Care Health, Inc.* | | | 1,591 | | | | 53,601 | |
Madrigal Pharmaceuticals, Inc.* | | | 105 | | | | 24,295 | |
Total Pharmaceuticals | | | | | | | 4,466,738 | |
| | | | | | | | | |
Healthcare-Products - 29.0% |
Thermo Fisher Scientific, Inc. | | | 575 | | | | 305,204 | |
Abbott Laboratories | | | 2,665 | | | | 293,337 | |
Danaher Corp. | | | 1,155 | | | | 267,198 | |
Intuitive Surgical, Inc.* | | | 701 | | | | 236,489 | |
Stryker Corp. | | | 714 | | | | 213,815 | |
Boston Scientific Corp.* | | | 3,384 | | | | 195,629 | |
Medtronic plc | | | 1,958 | | | | 161,300 | |
Edwards Lifesciences Corp.* | | | 1,941 | | | | 148,001 | |
IDEXX Laboratories, Inc.* | | | 261 | | | | 144,868 | |
Agilent Technologies, Inc. | | | 980 | | | | 136,250 | |
GE HealthCare Technologies, Inc. | | | 1,597 | | | | 123,480 | |
Dentsply Sirona, Inc. | | | 3,187 | | | | 113,425 | |
West Pharmaceutical Services, Inc. | | | 307 | | | | 108,101 | |
ResMed, Inc. | | | 624 | | | | 107,341 | |
Zimmer Biomet Holdings, Inc. | | | 877 | | | | 106,731 | |
Align Technology, Inc.* | | | 378 | | | | 103,572 | |
Waters Corp.* | | | 295 | | | | 97,123 | |
Baxter International, Inc. | | | 2,446 | | | | 94,562 | |
Cooper Companies, Inc. | | | 248 | | | | 93,853 | |
Hologic, Inc.* | | | 1,212 | | | | 86,597 | |
Insulet Corp.* | | | 392 | | | | 85,056 | |
Avantor, Inc.* | | | 3,718 | | | | 84,882 | |
Exact Sciences Corp.* | | | 1,093 | | | | 80,860 | |
Bio-Techne Corp. | | | 991 | | | | 76,466 | |
Penumbra, Inc.* | | | 267 | | | | 67,161 | |
Repligen Corp.* | | | 320 | | | | 57,536 | |
Natera, Inc.* | | | 916 | | | | 57,378 | |
Shockwave Medical, Inc.* | | | 288 | | | | 54,881 | |
Bruker Corp. | | | 746 | | | | 54,816 | |
Masimo Corp.* | | | 439 | | | | 51,455 | |
Inspire Medical Systems, Inc.* | | | 237 | | | | 48,213 | |
Azenta, Inc.* | | | 636 | | | | 41,429 | |
Lantheus Holdings, Inc.* | | | 650 | | | | 40,300 | |
Inari Medical, Inc.* | | | 576 | | | | 37,394 | |
Total Healthcare-Products | | | | | | | 3,974,703 | |
| | | | | | | | | |
Biotechnology - 21.0% |
Amgen, Inc. | | | 919 | | | | 264,690 | |
Vertex Pharmaceuticals, Inc.* | | | 559 | | | | 227,451 | |
Gilead Sciences, Inc. | | | 2,621 | | | | 212,327 | |
Regeneron Pharmaceuticals, Inc.* | | | 231 | | | | 202,885 | |
Moderna, Inc.* | | | 1,361 | | | | 135,351 | |
Biogen, Inc.* | | | 510 | | | | 131,973 | |
Illumina, Inc.* | | | 754 | | | | 104,987 | |
Alnylam Pharmaceuticals, Inc.* | | | 548 | | | | 104,893 | |
Cytokinetics, Inc.* | | | 1,095 | | | | 91,421 | |
BioMarin Pharmaceutical, Inc.* | | | 925 | | | | 89,188 | |
CRISPR Therapeutics AG* | | | 1,421 | | | | 88,955 | |
Argenx SE ADR* | | | 230 | | | | 87,499 | |
Royalty Pharma plc — Class A | | | 2,742 | | | | 77,023 | |
Incyte Corp.* | | | 1,209 | | | | 75,913 | |
United Therapeutics Corp.* | | | 287 | | | | 63,108 | |
Sarepta Therapeutics, Inc.* | | | 653 | | | | 62,969 | |
ImmunoGen, Inc.* | | | 1,980 | | | | 58,707 | |
Exelixis, Inc.* | | | 2,438 | | | | 58,488 | |
Intra-Cellular Therapies, Inc.* | | | 794 | | | | 56,866 | |
Ionis Pharmaceuticals, Inc.* | | | 1,099 | | | | 55,598 | |
Karuna Therapeutics, Inc.* | | | 174 | | | | 55,073 | |
Blueprint Medicines Corp.* | | | 566 | | | | 52,208 | |
Bridgebio Pharma, Inc.* | | | 1,277 | | | | 51,552 | |
Roivant Sciences Ltd.* | | | 4,413 | | | | 49,558 | |
ACADIA Pharmaceuticals, Inc.* | | | 1,542 | | | | 48,280 | |
Apellis Pharmaceuticals, Inc.* | | | 802 | | | | 48,008 | |
REVOLUTION Medicines, Inc.* | | | 1,648 | | | | 47,265 | |
Halozyme Therapeutics, Inc.* | | | 1,180 | | | | 43,613 | |
Ultragenyx Pharmaceutical, Inc.* | | | 901 | | | | 43,086 | |
Arrowhead Pharmaceuticals, Inc.* | | | 1,356 | | | | 41,494 | |
Mirati Therapeutics, Inc.* | | | 689 | | | | 40,479 | |
Guardant Health, Inc.* | | | 1,374 | | | | 37,167 | |
Axsome Therapeutics, Inc.* | | | 437 | | | | 34,781 | |
TG Therapeutics, Inc.* | | | 1,885 | | | | 32,196 | |
Total Biotechnology | | | | | | | 2,875,052 | |
| | | | | | | | | |
Healthcare-Services - 15.2% |
UnitedHealth Group, Inc. | | | 853 | | | | 449,079 | |
Elevance Health, Inc. | | | 461 | | | | 217,389 | |
HCA Healthcare, Inc. | | | 576 | | | | 155,912 | |
Humana, Inc. | | | 336 | | | | 153,824 | |
IQVIA Holdings, Inc.* | | | 602 | | | | 139,291 | |
Centene Corp.* | | | 1,760 | | | | 130,610 | |
ICON plc* | | | 458 | | | | 129,646 | |
Molina Healthcare, Inc.* | | | 262 | | | | 94,663 | |
66 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
HEALTH CARE FUND | |
| | Shares | | | Value | |
Laboratory Corporation of America Holdings | | | 408 | | | $ | 92,734 | |
Quest Diagnostics, Inc. | | | 597 | | | | 82,314 | |
Universal Health Services, Inc. — Class B | | | 457 | | | | 69,665 | |
Catalent, Inc.* | | | 1,404 | | | | 63,082 | |
Tenet Healthcare Corp.* | | | 797 | | | | 60,229 | |
Acadia Healthcare Company, Inc.* | | | 733 | | | | 56,998 | |
Medpace Holdings, Inc.* | | | 182 | | | | 55,789 | |
HealthEquity, Inc.* | | | 740 | | | | 49,062 | |
DaVita, Inc.* | | | 459 | | | | 48,085 | |
Teladoc Health, Inc.* | | | 1,928 | | | | 41,548 | |
Total Healthcare-Services | | | | | | | 2,089,920 | |
| | | | | | | | | |
Software - 0.9% |
Veeva Systems, Inc. — Class A* | | | 612 | | | | 117,822 | |
| | | | | | | | | |
Electronics - 0.7% |
Mettler-Toledo International, Inc.* | | | 83 | | | | 100,675 | |
| | | | | | | | | |
Commercial Services - 0.2% |
R1 RCM, Inc.* | | | 2,568 | | | | 27,144 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $5,061,263) | | | | | | | 13,652,054 | |
| | | | | | | | | |
RIGHTS††† - 0.0% |
Pharmaceuticals - 0.0% |
Johnson & Johnson | | | 307 | | | | — | |
| | | | | | | | | |
Total Rights | | | | |
(Cost $—) | | | | | | | — | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,1 - 0.7% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 51,147 | | | | 51,147 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 41,219 | | | | 41,219 | |
Total Repurchase Agreements | | | | |
(Cost $92,366) | | | | | | | 92,366 | |
| | | | | | | | | |
Total Investments - 100.3% | | | | |
(Cost $5,153,629) | | $ | 13,744,420 | |
Other Assets & Liabilities, net - (0.3)% | | | (34,670 | ) |
Total Net Assets - 100.0% | | $ | 13,709,750 | |
* | 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 | 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 December 31, 2023 (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 | | $ | 13,652,054 | | | $ | — | | | $ | — | | | $ | 13,652,054 | |
Rights | | | — | | | | — | | | | — | * | | | — | |
Repurchase Agreements | | | — | | | | 92,366 | | | | — | | | | 92,366 | |
Total Assets | | $ | 13,652,054 | | | $ | 92,366 | | | $ | — | | | $ | 13,744,420 | |
* | Security has a market value of $0. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 67 |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $5,061,263) | | $ | 13,652,054 | |
Repurchase agreements, at value (cost $92,366) | | | 92,366 | |
Receivables: |
Fund shares sold | | | 12,278 | |
Dividends | | | 8,880 | |
Foreign tax reclaims | | | 702 | |
Securities lending income | | | 59 | |
Interest | | | 41 | |
Total assets | | | 13,766,380 | |
| | | | | |
Liabilities: |
Payable for: |
Professional fees | | | 19,892 | |
Management fees | | | 9,726 | |
Printing fees | | | 4,796 | |
Transfer agent/fees | | | 4,263 | |
Fund shares redeemed | | | 3,243 | |
Investor service fees | | | 2,861 | |
Portfolio accounting and/administration fees | | | 1,201 | |
Trustees’ fees* | | | 171 | |
Miscellaneous | | | 10,477 | |
Total liabilities | | | 56,630 | |
Net assets | | $ | 13,709,750 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 5,789,840 | |
Total distributable earnings (loss) | | | 7,919,910 | |
Net assets | | $ | 13,709,750 | |
Capital shares outstanding | | | 168,973 | |
Net asset value per share | | $ | 81.14 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $1,099) | | $ | 185,788 | |
Interest | | | 7,176 | |
Income from securities lending, net | | | 2,711 | |
Total investment income | | | 195,675 | |
| | | | | |
Expenses: |
Management fees | | | 139,202 | |
Investor service fees | | | 40,941 | |
Transfer agent fees | | | 43,350 | |
Professional fees | | | 30,114 | |
Portfolio accounting and/administration fees | | | 25,383 | |
Trustees’ fees* | | | 3,295 | |
Custodian fees | | | 2,565 | |
Miscellaneous | | | 10,678 | |
Total expenses | | | 295,528 | |
Less: |
Expenses reimbursed by Adviser | | | (2,856 | ) |
Net expenses | | | 292,672 | |
Net investment loss | | | (96,997 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 2,685,283 | |
Net realized gain | | | 2,685,283 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (1,457,430 | ) |
Net change in unrealized appreciation (depreciation) | | | (1,457,430 | ) |
Net realized and unrealized gain | | | 1,227,853 | |
Net increase in net assets resulting from operations | | $ | 1,130,856 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
68 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (96,997 | ) | | $ | (105,957 | ) |
Net realized gain on investments | | | 2,685,283 | | | | 488,988 | |
Net change in unrealized appreciation (depreciation) on investments | | | (1,457,430 | ) | | | (3,229,043 | ) |
Net increase (decrease) in net assets resulting from operations | | | 1,130,856 | | | | (2,846,012 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (577,334 | ) | | | (999,573 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 20,127,706 | | | | 30,077,636 | |
Distributions reinvested | | | 577,334 | | | | 999,573 | |
Cost of shares redeemed | | | (24,995,781 | ) | | | (33,625,404 | ) |
Net decrease from capital share transactions | | | (4,290,741 | ) | | | (2,548,195 | ) |
Net decrease in net assets | | | (3,737,219 | ) | | | (6,393,780 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 17,446,969 | | | | 23,840,749 | |
End of year | | $ | 13,709,750 | | | $ | 17,446,969 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 255,210 | | | | 367,346 | |
Shares issued from reinvestment of distributions | | | 7,418 | | | | 12,730 | |
Shares redeemed | | | (310,729 | ) | | | (409,848 | ) |
Net decrease in shares | | | (48,101 | ) | | | (29,772 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 69 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 80.37 | | | $ | 96.58 | | | $ | 86.44 | | | $ | 74.88 | | | $ | 62.38 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.47 | ) | | | (.47 | ) | | | (.61 | ) | | | (.55 | ) | | | (.40 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 4.39 | | | | (11.24 | ) | | | 16.61 | | | | 14.32 | | | | 14.35 | |
Total from investment operations | | | 3.92 | | | | (11.71 | ) | | | 16.00 | | | | 13.77 | | | | 13.95 | |
Less distributions from: |
Net realized gains | | | (3.15 | ) | | | (4.50 | ) | | | (5.86 | ) | | | (2.21 | ) | | | (1.45 | ) |
Total distributions | | | (3.15 | ) | | | (4.50 | ) | | | (5.86 | ) | | | (2.21 | ) | | | (1.45 | ) |
Net asset value, end of period | | $ | 81.14 | | | $ | 80.37 | | | $ | 96.58 | | | $ | 86.44 | | | $ | 74.88 | |
|
Total Returnb | | | 5.03 | % | | | (12.00 | %) | | | 18.84 | % | | | 18.68 | % | | | 22.57 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 13,710 | | | $ | 17,447 | | | $ | 23,841 | | | $ | 21,049 | | | $ | 19,042 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.59 | %) | | | (0.57 | %) | | | (0.66 | %) | | | (0.71 | %) | | | (0.58 | %) |
Total expenses | | | 1.80 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Net expensesc | | | 1.79 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Portfolio turnover rate | | | 136 | % | | | 158 | % | | | 114 | % | | | 171 | % | | | 150 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
70 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, Internet Fund returned 47.40%, compared with the S&P 500 Index, which returned 26.29%. The S&P 500 Information Technology Index returned 57.84%.
The industries that contributed the most to performance were interactive media & services, applications software, and internet services & structure. The industries that detracted the most from performance were education services and data processing & outsourced services.
The holdings that contributed the most to performance were Meta Platforms, Inc. - Class A, Amazon.com, Inc., and Alphabet, Inc. - Class A. The holdings that detracted the most from performance were JD.com, Inc. ADR, Bilibili, Inc. ADR, and ZoomInfo Technologies, Inc. – Class A.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 24, 2001 |
Ten Largest Holdings | % of Total Net Assets |
Alphabet, Inc. — Class A | 7.3% |
Amazon.com, Inc. | 6.7% |
Meta Platforms, Inc. — Class A | 5.5% |
Adobe, Inc. | 3.6% |
Salesforce, Inc. | 3.6% |
Netflix, Inc. | 3.3% |
Cisco Systems, Inc. | 3.1% |
Uber Technologies, Inc. | 2.5% |
Booking Holdings, Inc. | 2.2% |
Airbnb, Inc. — Class A | 1.9% |
Top Ten Total | 39.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 71 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Internet Fund | 47.40% | 9.27% | 8.83% |
S&P 500 Information Technology Index | 57.84% | 26.95% | 20.79% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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. |
72 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
INTERNET FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.6% |
| | | | | | | | | |
Internet - 56.0% |
Alphabet, Inc. — Class A* | | | 4,150 | | | $ | 579,713 | |
Amazon.com, Inc.* | | | 3,456 | | | | 525,105 | |
Meta Platforms, Inc. — Class A* | | | 1,232 | | | | 436,079 | |
Netflix, Inc.* | | | 540 | | | | 262,915 | |
Uber Technologies, Inc.* | | | 3,188 | | | | 196,285 | |
Booking Holdings, Inc.* | | | 48 | | | | 170,267 | |
Airbnb, Inc. — Class A* | | | 1,094 | | | | 148,937 | |
Alibaba Group Holding Ltd. ADR | | | 1,454 | | | | 112,699 | |
DoorDash, Inc. — Class A* | | | 1,012 | | | | 100,077 | |
Shopify, Inc. — Class A* | | | 1,281 | | | | 99,790 | |
JD.com, Inc. ADR | | | 3,264 | | | | 94,297 | |
MercadoLibre, Inc.* | | | 60 | | | | 94,292 | |
Pinterest, Inc. — Class A* | | | 2,452 | | | | 90,822 | |
Snap, Inc. — Class A* | | | 5,077 | | | | 85,954 | |
eBay, Inc. | | | 1,954 | | | | 85,233 | |
Expedia Group, Inc.* | | | 540 | | | | 81,967 | |
Baidu, Inc. ADR* | | | 669 | | | | 79,671 | |
Trip.com Group Ltd. ADR* | | | 2,197 | | | | 79,114 | |
Sea Ltd. ADR* | | | 1,933 | | | | 78,286 | |
Okta, Inc.* | | | 849 | | | | 76,860 | |
Spotify Technology S.A.* | | | 394 | | | | 74,037 | |
VeriSign, Inc.* | | | 354 | | | | 72,910 | |
GoDaddy, Inc. — Class A* | | | 641 | | | | 68,049 | |
Zillow Group, Inc. — Class C* | | | 1,151 | | | | 66,597 | |
Bilibili, Inc. ADR*,1 | | | 5,377 | | | | 65,438 | |
Wix.com Ltd.* | | | 495 | | | | 60,895 | |
Roku, Inc.* | | | 654 | | | | 59,946 | |
F5, Inc.* | | | 330 | | | | 59,063 | |
Match Group, Inc.* | | | 1,617 | | | | 59,020 | |
Chewy, Inc. — Class A* | | | 2,459 | | | | 58,106 | |
Etsy, Inc.* | | | 680 | | | | 55,114 | |
Wayfair, Inc. — Class A* | | | 809 | | | | 49,915 | |
Lyft, Inc. — Class A* | | | 2,926 | | | | 43,861 | |
IAC, Inc.* | | | 703 | | | | 36,823 | |
Cargurus, Inc.* | | | 1,241 | | | | 29,983 | |
TripAdvisor, Inc.* | | | 1,383 | | | | 29,776 | |
Bumble, Inc. — Class A* | | | 1,788 | | | | 26,355 | |
Ziff Davis, Inc.* | | | 369 | | | | 24,793 | |
Total Internet | | | | | | | 4,419,044 | |
| | | | | | | | | |
Software - 27.8% |
Adobe, Inc.* | | | 478 | | | | 285,175 | |
Salesforce, Inc.* | | | 1,080 | | | | 284,191 | |
Workday, Inc. — Class A* | | | 537 | | | | 148,244 | |
Snowflake, Inc. — Class A* | | | 686 | | | | 136,514 | |
Datadog, Inc. — Class A* | | | 891 | | | | 108,150 | |
Electronic Arts, Inc. | | | 780 | | | | 106,712 | |
Veeva Systems, Inc. — Class A* | | | 518 | | | | 99,725 | |
MongoDB, Inc.* | | | 233 | | | | 95,262 | |
Take-Two Interactive Software, Inc.* | | | 584 | | | | 93,995 | |
Cloudflare, Inc. — Class A* | | | 1,119 | | | | 93,168 | |
ROBLOX Corp. — Class A* | | | 2,021 | | | | 92,400 | |
Zoom Video Communications, Inc. — Class A* | | | 1,096 | | | | 78,813 | |
Akamai Technologies, Inc.* | | | 629 | | | | 74,442 | |
DocuSign, Inc.* | | | 1,148 | | | | 68,249 | |
Twilio, Inc. — Class A* | | | 886 | | | | 67,221 | |
Nutanix, Inc. — Class A* | | | 1,290 | | | | 61,520 | |
NetEase, Inc. ADR | | | 648 | | | | 60,368 | |
Dropbox, Inc. — Class A* | | | 1,928 | | | | 56,837 | |
ZoomInfo Technologies, Inc. — Class A* | | | 2,695 | | | | 49,830 | |
Smartsheet, Inc. — Class A* | | | 958 | | | | 45,812 | |
Box, Inc. — Class A*,1 | | | 1,333 | | | | 34,138 | |
DigitalOcean Holdings, Inc.* | | | 720 | | | | 26,417 | |
Fastly, Inc. — Class A* | | | 1,471 | | | | 26,184 | |
Total Software | | | | | | | 2,193,367 | |
| | | | | | | | | |
Telecommunications - 10.2% |
Cisco Systems, Inc. | | | 4,845 | | | | 244,769 | |
Arista Networks, Inc.* | | | 590 | | | | 138,951 | |
Motorola Solutions, Inc. | | | 396 | | | | 123,984 | |
Telefonaktiebolaget LM Ericsson ADR | | | 11,014 | | | | 69,388 | |
Juniper Networks, Inc. | | | 1,831 | | | | 53,978 | |
Ciena Corp.* | | | 969 | | | | 43,615 | |
Nokia Oyj ADR | | | 12,338 | | | | 42,196 | |
Viasat, Inc.* | | | 1,195 | | | | 33,400 | |
Viavi Solutions, Inc.* | | | 2,785 | | | | 28,045 | |
Extreme Networks, Inc.* | | | 1,540 | | | | 27,166 | |
Total Telecommunications | | | | | | | 805,492 | |
| | | | | | | | | |
Commercial Services - 3.8% |
PayPal Holdings, Inc.* | | | 2,403 | | | | 147,568 | |
CoStar Group, Inc.* | | | 1,235 | | | | 107,927 | |
Paylocity Holding Corp.* | | | 257 | | | | 42,366 | |
Total Commercial Services | | | | | | | 297,861 | |
| | | | | | | | | |
Entertainment - 0.9% |
DraftKings, Inc. — Class A* | | | 1,908 | | | | 67,257 | |
| | | | | | | | | |
Computers - 0.5% |
Lumentum Holdings, Inc.* | | | 671 | | | | 35,173 | |
| | | | | | | | | |
Healthcare-Services - 0.4% |
Teladoc Health, Inc.* | | | 1,630 | | | | 35,127 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $3,983,370) | | | | | | | 7,853,321 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
INTERNET FUND | |
| | Face
Amount | | | Value | |
REPURCHASE AGREEMENTS††,2 - 0.6% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 27,869 | | | $ | 27,869 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 22,460 | | | | 22,460 | |
Total Repurchase Agreements | | | | |
(Cost $50,329) | | | | | | | 50,329 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.8% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund - Class X, 5.29%4 | | | 65,705 | | | | 65,705 | |
Total Securities Lending Collateral | | | | |
(Cost $65,705) | | | | | | | 65,705 | |
| | | | | | | | | |
Total Investments - 101.0% | | | | |
(Cost $4,099,404) | | $ | 7,969,355 | |
Other Assets & Liabilities, net - (1.0)% | | | (76,530 | ) |
Total Net Assets - 100.0% | | $ | 7,892,825 | |
* | 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 December 31, 2023 — 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 December 31, 2023. |
| | 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 December 31, 2023 (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 | | $ | 7,853,321 | | | $ | — | | | $ | — | | | $ | 7,853,321 | |
Repurchase Agreements | | | — | | | | 50,329 | | | | — | | | | 50,329 | |
Securities Lending Collateral | | | 65,705 | | | | — | | | | — | | | | 65,705 | |
Total Assets | | $ | 7,919,026 | | | $ | 50,329 | | | $ | — | | | $ | 7,969,355 | |
74 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value - including $63,692 of securities loaned (cost $4,049,075) | | $ | 7,919,026 | |
Repurchase agreements, at value (cost $50,329) | | | 50,329 | |
Receivables: |
Fund shares sold | | | 219,804 | |
Dividends | | | 1,946 | |
Interest | | | 23 | |
Securities lending income | | | 17 | |
Total assets | | | 8,191,145 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 201,437 | |
Return of securities lending collateral | | | 65,705 | |
Management fees | | | 5,751 | |
Transfer agent fees | | | 2,176 | |
Investor service fees | | | 1,691 | |
Portfolio accounting and administration fees | | | 710 | |
Fund shares redeemed | | | 126 | |
Trustees’ fees* | | | 100 | |
Miscellaneous | | | 20,624 | |
Total liabilities | | | 298,320 | |
Net assets | | $ | 7,892,825 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 5,082,453 | |
Total distributable earnings (loss) | | | 2,810,372 | |
Net assets | | $ | 7,892,825 | |
Capital shares outstanding | | | 92,902 | |
Net asset value per share | | $ | 84.96 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $1,077) | | $ | 20,433 | |
Interest | | | 2,406 | |
Income from securities lending, net | | | 276 | |
Total investment income | | | 23,115 | |
| | | | | |
Expenses: |
Management fees | | | 58,057 | |
Investor service fees | | | 17,075 | |
Transfer agent fees | | | 16,700 | |
Professional fees | | | 13,135 | |
Portfolio accounting and administration fees | | | 10,587 | |
Custodian fees | | | 1,141 | |
Trustees’ fees* | | | 987 | |
Line of credit fees | | | 13 | |
Miscellaneous | | | 5,634 | |
Total expenses | | | 123,329 | |
Less: |
Expenses reimbursed by Adviser | | | (1,324 | ) |
Net expenses | | | 122,005 | |
Net investment loss | | | (98,890 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (122,550 | ) |
Net realized loss | | | (122,550 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 2,672,544 | |
Net change in unrealized appreciation (depreciation) | | | 2,672,544 | |
Net realized and unrealized gain | | | 2,549,994 | |
Net increase in net assets resulting from operations | | $ | 2,451,104 | |
* | 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 ANNUAL REPORT | 75 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (98,890 | ) | | $ | (85,384 | ) |
Net realized loss on investments | | | (122,550 | ) | | | (137,501 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 2,672,544 | | | | (3,634,702 | ) |
Net increase (decrease) in net assets resulting from operations | | | 2,451,104 | | | | (3,857,587 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (1,179,293 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 16,456,245 | | | | 2,366,432 | |
Distributions reinvested | | | — | | | | 1,179,293 | |
Cost of shares redeemed | | | (15,439,003 | ) | | | (3,215,751 | ) |
Net increase from capital share transactions | | | 1,017,242 | | | | 329,974 | |
Net increase (decrease) in net assets | | | 3,468,346 | | | | (4,706,906 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 4,424,479 | | | | 9,131,385 | |
End of year | | $ | 7,892,825 | | | $ | 4,424,479 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 229,708 | | | | 27,255 | |
Shares issued from reinvestment of distributions | | | — | | | | 18,338 | |
Shares redeemed | | | (213,562 | ) | | | (34,294 | ) |
Net increase in shares | | | 16,146 | | | | 11,299 | |
76 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 57.64 | | | $ | 139.50 | | | $ | 164.44 | | | $ | 104.02 | | | $ | 82.90 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.04 | ) | | | (1.28 | ) | | | (2.50 | ) | | | (1.95 | ) | | | (1.41 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 28.36 | | | | (59.04 | ) | | | (2.98 | ) | | | 64.22 | | | | 22.53 | |
Total from investment operations | | | 27.32 | | | | (60.32 | ) | | | (5.48 | ) | | | 62.27 | | | | 21.12 | |
Less distributions from: |
Net realized gains | | | — | | | | (21.54 | ) | | | (19.46 | ) | | | (1.85 | ) | | | — | |
Total distributions | | | — | | | | (21.54 | ) | | | (19.46 | ) | | | (1.85 | ) | | | — | |
Net asset value, end of period | | $ | 84.96 | | | $ | 57.64 | | | $ | 139.50 | | | $ | 164.44 | | | $ | 104.02 | |
|
Total Returnb | | | 47.40 | % | | | (44.84 | %) | | | (4.66 | %) | | | 60.21 | % | | | 25.48 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 7,893 | | | $ | 4,424 | | | $ | 9,131 | | | $ | 14,066 | | | $ | 8,347 | |
Ratios to average net assets: |
Net investment income (loss) | | | (1.45 | %) | | | (1.55 | %) | | | (1.53 | %) | | | (1.54 | %) | | | (1.42 | %) |
Total expenses | | | 1.81 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Net expensesc | | | 1.79 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Portfolio turnover rate | | | 240 | % | | | 58 | % | | | 139 | % | | | 243 | % | | | 319 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 77 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
LEISURE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in leisure and entertainment businesses (“Leisure Companies”).
For the Reporting Period, Leisure Fund returned 22.50%, compared with the S&P 500 Index, which returned 26.29%. The S&P 500 Consumer Discretionary Index returned 42.41%.
The industries that contributed the most to performance were hotels/resorts & cruise lines, movies & entertainment, and restaurants. The industries that detracted the most from performance were tobacco, broadcasting, and distillers & vintners.
The holdings that contributed the most to performance were Netflix, Inc., Booking Holdings, Inc., and Royal Caribbean Cruises Ltd. The holdings that detracted the most from performance were Bilibili, Inc. ADR, DISH Network Corp. - Class A, and AMC Entertainment Holdings, Inc. - Class A.
Performance displayed represents past performance, which is no guarantee of future results.
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 |
Netflix, Inc. | 4.0% |
McDonald’s Corp. | 4.0% |
Comcast Corp. — Class A | 3.6% |
Walt Disney Co. | 3.4% |
Philip Morris International, Inc. | 3.3% |
Starbucks Corp. | 2.7% |
Booking Holdings, Inc. | 2.7% |
Airbnb, Inc. — Class A | 2.3% |
Altria Group, Inc. | 2.2% |
Marriott International, Inc. — Class A | 2.1% |
Top Ten Total | 30.3% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
78 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Leisure Fund | 22.50% | 6.97% | 5.58% |
S&P 500 Consumer Discretionary Index | 42.41% | 13.73% | 11.69% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 79 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
LEISURE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Retail - 19.7% |
McDonald’s Corp. | | | 662 | | | $ | 196,290 | |
Starbucks Corp. | | | 1,415 | | | | 135,854 | |
Chipotle Mexican Grill, Inc. — Class A* | | | 44 | | | | 100,626 | |
Yum! Brands, Inc. | | | 628 | | | | 82,054 | |
Darden Restaurants, Inc. | | | 359 | | | | 58,984 | |
Restaurant Brands International, Inc. | | | 651 | | | | 50,863 | |
Yum China Holdings, Inc. | | | 1,171 | | | | 49,685 | |
Domino’s Pizza, Inc. | | | 119 | | | | 49,055 | |
Texas Roadhouse, Inc. — Class A | | | 317 | | | | 38,747 | |
Wingstop, Inc. | | | 145 | | | | 37,204 | |
Shake Shack, Inc. — Class A* | | | 339 | | | | 25,127 | |
Wendy’s Co. | | | 1,247 | | | | 24,292 | |
Bloomin’ Brands, Inc. | | | 779 | | | | 21,929 | |
Papa John’s International, Inc. | | | 281 | | | | 21,421 | |
Brinker International, Inc.* | | | 436 | | | | 18,826 | |
Dave & Buster’s Entertainment, Inc.* | | | 349 | | | | 18,794 | |
Cheesecake Factory, Inc. | | | 491 | | | | 17,190 | |
Cracker Barrel Old Country Store, Inc. | | | 193 | | | | 14,876 | |
Jack in the Box, Inc. | | | 160 | | | | 13,061 | |
Total Retail | | | | | | | 974,878 | |
| | | | | | | | | |
Internet - 17.0% |
Netflix, Inc.* | | | 406 | | | | 197,673 | |
Booking Holdings, Inc.* | | | 38 | | | | 134,794 | |
Airbnb, Inc. — Class A* | | | 823 | | | | 112,043 | |
DoorDash, Inc. — Class A* | | | 761 | | | | 75,255 | |
Expedia Group, Inc.* | | | 406 | | | | 61,627 | |
Trip.com Group Ltd. ADR* | | | 1,587 | | | | 57,148 | |
Sea Ltd. ADR* | | | 1,406 | | | | 56,943 | |
Spotify Technology S.A.* | | | 289 | | | | 54,306 | |
Bilibili, Inc. ADR*,1 | | | 3,769 | | | | 45,869 | |
Roku, Inc.* | | | 492 | | | | 45,097 | |
Total Internet | | | | | | | 840,755 | |
| | | | | | | | | |
Media - 16.5% |
Comcast Corp. — Class A | | | 4,007 | | | | 175,707 | |
Walt Disney Co. | | | 1,836 | | | | 165,772 | |
Charter Communications, Inc. — Class A* | | | 225 | | | | 87,453 | |
Warner Bros Discovery, Inc.* | | | 5,944 | | | | 67,643 | |
News Corp. — Class A | | | 2,138 | | | | 52,488 | |
Fox Corp. — Class A | | | 1,646 | | | | 48,837 | |
Liberty Broadband Corp. — Class C* | | | 555 | | | | 44,727 | |
New York Times Co. — Class A | | | 754 | | | | 36,939 | |
Paramount Global — Class B | | | 2,462 | | | | 36,413 | |
Endeavor Group Holdings, Inc. — Class A | | | 1,240 | | | | 29,425 | |
Nexstar Media Group, Inc. — Class A | | | 160 | | | | 25,080 | |
Sirius XM Holdings, Inc.1 | | | 4,338 | | | | 23,729 | |
DISH Network Corp. — Class A* | | | 3,152 | | | | 18,187 | |
Total Media | | | | | | | 812,400 | |
| | | | | | | | | |
Entertainment - 9.9% |
Warner Music Group Corp. — Class A | | | 1,551 | | | | 55,510 | |
Live Nation Entertainment, Inc.* | | | 572 | | | | 53,539 | |
DraftKings, Inc. — Class A* | | | 1,435 | | | | 50,584 | |
Caesars Entertainment, Inc.* | | | 915 | | | | 42,895 | |
Churchill Downs, Inc. | | | 302 | | | | 40,749 | |
Vail Resorts, Inc. | | | 172 | | | | 36,717 | |
Light & Wonder, Inc. — Class A* | | | 430 | | | | 35,307 | |
Red Rock Resorts, Inc. — Class A | | | 579 | | | | 30,878 | |
Penn Entertainment, Inc.* | | | 1,059 | | | | 27,555 | |
International Game Technology plc | | | 867 | | | | 23,765 | |
Marriott Vacations Worldwide Corp. | | | 272 | | | | 23,090 | |
SeaWorld Entertainment, Inc.* | | | 350 | | | | 18,491 | |
Six Flags Entertainment Corp.* | | | 702 | | | | 17,606 | |
Cinemark Holdings, Inc.* | | | 1,126 | | | | 15,865 | |
AMC Entertainment Holdings, Inc. — Class A* | | | 2,243 | | | | 13,727 | |
Total Entertainment | | | | | | | 486,278 | |
| | | | | | | | | |
Lodging - 9.7% |
Marriott International, Inc. — Class A | | | 462 | | | | 104,186 | |
Hilton Worldwide Holdings, Inc. | | | 507 | | | | 92,320 | |
Las Vegas Sands Corp. | | | 1,210 | | | | 59,544 | |
Hyatt Hotels Corp. — Class A | | | 378 | | | | 49,295 | |
MGM Resorts International* | | | 1,065 | | | | 47,584 | |
Wynn Resorts Ltd. | | | 446 | | | | 40,635 | |
Wyndham Hotels & Resorts, Inc. | | | 423 | | | | 34,013 | |
Boyd Gaming Corp. | | | 447 | | | | 27,987 | |
Choice Hotels International, Inc. | | | 210 | | | | 23,793 | |
Total Lodging | | | | | | | 479,357 | |
| | | | | | | | | |
Leisure Time - 7.6% |
Royal Caribbean Cruises Ltd.* | | | 566 | | | | 73,291 | |
Carnival Corp.* | | | 3,267 | | | | 60,570 | |
Norwegian Cruise Line Holdings Ltd.* | | | 1,967 | | | | 39,419 | |
Brunswick Corp. | | | 375 | | | | 36,281 | |
Planet Fitness, Inc. — Class A* | | | 474 | | | | 34,602 | |
Harley-Davidson, Inc. | | | 819 | | | | 30,172 | |
Polaris, Inc. | | | 318 | | | | 30,137 | |
YETI Holdings, Inc.* | | | 570 | | | | 29,514 | |
Topgolf Callaway Brands Corp.* | | | 1,393 | | | | 19,976 | |
Peloton Interactive, Inc. — Class A* | | | 3,208 | | | | 19,537 | |
Total Leisure Time | | | | | | | 373,499 | |
| | | | | | | | | |
Agriculture - 6.4% |
Philip Morris International, Inc. | | | 1,717 | | | | 161,536 | |
Altria Group, Inc. | | | 2,718 | | | | 109,644 | |
British American Tobacco plc ADR | | | 1,546 | | | | 45,282 | |
Total Agriculture | | | | | | | 316,462 | |
| | | | | | | | | |
Software - 5.3% |
Electronic Arts, Inc. | | | 587 | | | | 80,307 | |
Take-Two Interactive Software, Inc.* | | | 440 | | | | 70,818 | |
ROBLOX Corp. — Class A* | | | 1,521 | | | | 69,540 | |
NetEase, Inc. ADR | | | 460 | | | | 42,854 | |
Total Software | | | | | | | 263,519 | |
80 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
LEISURE FUND | |
| | Shares | | | Value | |
Beverages - 5.0% |
Constellation Brands, Inc. — Class A | | | 346 | | | $ | 83,646 | |
Brown-Forman Corp. — Class B | | | 1,223 | | | | 69,833 | |
Anheuser-Busch InBev S.A. ADR1 | | | 727 | | | | 46,979 | |
Molson Coors Beverage Co. — Class B | | | 745 | | | | 45,601 | |
Total Beverages | | | | | | | 246,059 | |
| | | | | | | | | |
Toys, Games & Hobbies - 1.4% |
Hasbro, Inc. | | | 684 | | | | 34,925 | |
Mattel, Inc.* | | | 1,783 | | | | 33,663 | |
Total Toys, Games & Hobbies | | | | | | | 68,588 | |
| | | | | | | | | |
Food Service - 0.7% |
Aramark | | | 1,295 | | | | 36,390 | |
| | | | | | | | | |
Commercial Services - 0.3% |
Sabre Corp.* | | | 3,006 | | | | 13,226 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $2,762,685) | | | | | | | 4,911,411 | |
| | Face
Amount | | | | |
REPURCHASE AGREEMENTS††,2 - 0.6% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 17,637 | | | | 17,637 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 14,214 | | | | 14,214 | |
Total Repurchase Agreements | | | | |
(Cost $31,851) | | | | | | | 31,851 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 1.7% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund - Class X, 5.29%4 | | | 84,514 | | | | 84,514 | |
Total Securities Lending Collateral | | | | |
(Cost $84,514) | | | | | | | 84,514 | |
| | | | | | | | | |
Total Investments - 101.8% | | | | |
(Cost $2,879,050) | | $ | 5,027,776 | |
Other Assets & Liabilities, net - (1.8)% | | | (87,823 | ) |
Total Net Assets - 100.0% | | $ | 4,939,953 | |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at December 31, 2023 — 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 December 31, 2023. |
| | 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 December 31, 2023 (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 | | $ | 4,911,411 | | | $ | — | | | $ | — | | | $ | 4,911,411 | |
Repurchase Agreements | | | — | | | | 31,851 | | | | — | | | | 31,851 | |
Securities Lending Collateral | | | 84,514 | | | | — | | | | — | | | | 84,514 | |
Total Assets | | $ | 4,995,925 | | | $ | 31,851 | | | $ | — | | | $ | 5,027,776 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 81 |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value - including $82,087 of securities loaned (cost $2,847,199) | | $ | 4,995,925 | |
Repurchase agreements, at value (cost $31,851) | | | 31,851 | |
Receivables: |
Securities sold | | | 113,835 | |
Dividends | | | 8,242 | |
Fund shares sold | | | 4,343 | |
Securities lending income | | | 433 | |
Interest | | | 15 | |
Total assets | | | 5,154,644 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 111,487 | |
Return of securities lending collateral | | | 84,514 | |
Management fees | | | 3,470 | |
Transfer agent fees | | | 1,493 | |
Investor service fees | | | 1,020 | |
Portfolio accounting and administration fees | | | 429 | |
Trustees’ fees* | | | 59 | |
Miscellaneous | | | 12,219 | |
Total liabilities | | | 214,691 | |
Net assets | | $ | 4,939,953 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 4,027,402 | |
Total distributable earnings (loss) | | | 912,551 | |
Net assets | | $ | 4,939,953 | |
Capital shares outstanding | | | 45,685 | |
Net asset value per share | | $ | 108.13 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $391) | | $ | 87,730 | |
Interest | | | 2,006 | |
Income from securities lending, net | | | 20,889 | |
Total investment income | | | 110,625 | |
| | | | | |
Expenses: |
Management fees | | | 51,866 | |
Investor service fees | | | 15,255 | |
Transfer agent fees | | | 15,192 | |
Portfolio accounting and fees | | | 9,458 | |
Professional fees | | | 8,817 | |
Printing fees | | | 3,250 | |
Custodian fees | | | 1,041 | |
Trustees’ fees* | | | 900 | |
Miscellaneous | | | 4,450 | |
Total expenses | | | 110,229 | |
Less: |
Expenses reimbursed by Adviser | | | (1,092 | ) |
Net expenses | | | 109,137 | |
Net investment income | | | 1,488 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (391,440 | ) |
Net realized loss | | | (391,440 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 795,680 | |
Net change in unrealized appreciation (depreciation) | | | 795,680 | |
Net realized and unrealized gain | | | 404,240 | |
Net increase in net assets resulting from operations | | $ | 405,728 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
82 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | 1,488 | | | $ | (19,700 | ) |
Net realized loss on investments | | | (391,440 | ) | | | (233,115 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 795,680 | | | | (1,448,354 | ) |
Net increase (decrease) in net assets resulting from operations | | | 405,728 | | | | (1,701,169 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 20,564,088 | | | | 3,872,140 | |
Distributions reinvested | | | — | | | | — | |
Cost of shares redeemed | | | (19,766,173 | ) | | | (4,538,395 | ) |
Net increase (decrease) from capital share transactions | | | 797,915 | | | | (666,255 | ) |
Net increase (decrease) in net assets | | | 1,203,643 | | | | (2,367,424 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 3,736,310 | | | | 6,103,734 | |
End of year | | $ | 4,939,953 | | | $ | 3,736,310 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 200,587 | | | | 38,656 | |
Shares redeemed | | | (197,228 | ) | | | (46,415 | ) |
Net increase (decrease) in shares | | | 3,359 | | | | (7,759 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 83 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 88.27 | | | $ | 121.87 | | | $ | 122.53 | | | $ | 106.03 | | | $ | 83.01 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .02 | | | | (.44 | ) | | | (1.02 | ) | | | (.56 | ) | | | (.09 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 19.84 | | | | (33.16 | ) | | | 2.25 | | | | 21.48 | | | | 24.33 | |
Total from investment operations | | | 19.86 | | | | (33.60 | ) | | | 1.23 | | | | 20.92 | | | | 24.24 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.24 | ) |
Net realized gains | | | — | | | | — | | | | (1.89 | ) | | | (4.42 | ) | | | (.98 | ) |
Total distributions | | | — | | | | — | | | | (1.89 | ) | | | (4.42 | ) | | | (1.22 | ) |
Net asset value, end of period | | $ | 108.13 | | | $ | 88.27 | | | $ | 121.87 | | | $ | 122.53 | | | $ | 106.03 | |
|
Total Returnb | | | 22.50 | % | | | (27.57 | %) | | | 0.92 | % | | | 21.01 | % | | | 29.28 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,940 | | | $ | 3,736 | | | $ | 6,104 | | | $ | 10,822 | | | $ | 6,536 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.02 | % | | | (0.45 | %) | | | (0.78 | %) | | | (0.56 | %) | | | (0.09 | %) |
Total expenses | | | 1.81 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.83 | % |
Net expensesc | | | 1.79 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.83 | % |
Portfolio turnover rate | | | 351 | % | | | 103 | % | | | 194 | % | | | 257 | % | | | 224 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
84 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, Precious Metals Fund returned 3.83%, compared with the S&P 500 Index, which returned 26.29%. The S&P 500 Materials Index returned 12.55%.
The industries that contributed the most to performance were gold and copper. The industries that detracted the most from performance were precious metals & minerals and silver.
The holdings that contributed the most to performance were Gold Fields Ltd. ADR, Wheaton Precious Metals Corp., and Harmony Gold Mining Co Ltd. ADR. The holdings that detracted the most from performance were Sibanye Stillwater Ltd. ADR, SSR Mining, Inc., and Newmont Corp.
Performance displayed represents past performance, which is no guarantee of future results.
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. | 11.4% |
Newmont Corp. | 9.6% |
Barrick Gold Corp. | 7.8% |
Agnico Eagle Mines Ltd. | 7.2% |
Wheaton Precious Metals Corp. | 6.5% |
Franco-Nevada Corp. | 4.2% |
Royal Gold, Inc. | 3.8% |
Gold Fields Ltd. ADR | 3.8% |
Kinross Gold Corp. | 3.7% |
Anglogold Ashanti plc | 3.6% |
Top Ten Total | 61.6% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 85 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Precious Metals Fund | 3.83% | 11.37% | 3.84% |
S&P 500 Materials Index | 12.55% | 13.58% | 8.60% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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. |
86 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
PRECIOUS METALS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.4% |
| | | | | | | | | |
Mining - 99.4% |
Freeport-McMoRan, Inc. | | | 87,897 | | | $ | 3,741,775 | |
Newmont Corp. | | | 75,767 | | | | 3,135,996 | |
Barrick Gold Corp. | | | 141,076 | | | | 2,552,065 | |
Agnico Eagle Mines Ltd. | | | 43,005 | | | | 2,358,824 | |
Wheaton Precious Metals Corp. | | | 43,039 | | | | 2,123,544 | |
Franco-Nevada Corp. | | | 12,333 | | | | 1,366,620 | |
Royal Gold, Inc. | | | 10,314 | | | | 1,247,582 | |
Gold Fields Ltd. ADR | | | 84,765 | | | | 1,225,702 | |
Kinross Gold Corp. | | | 202,312 | | | | 1,223,988 | |
Anglogold Ashanti plc | | | 63,693 | | | | 1,190,422 | |
Pan American Silver Corp. | | | 68,737 | | | | 1,122,475 | |
Alamos Gold, Inc. — Class A | | | 73,951 | | | | 996,120 | |
Sibanye Stillwater Ltd. ADR | | | 152,628 | | | | 828,770 | |
B2Gold Corp. | | | 262,208 | | | | 828,577 | |
Hecla Mining Co. | | | 153,772 | | | | 739,643 | |
Osisko Gold Royalties Ltd. | | | 51,175 | | | | 730,779 | |
Eldorado Gold Corp.* | | | 55,473 | | | | 719,485 | |
SSR Mining, Inc. | | | 58,570 | | | | 630,213 | |
Harmony Gold Mining Company Ltd. ADR | | | 95,299 | | | | 586,089 | |
First Majestic Silver Corp. | | | 95,105 | | | | 584,896 | |
Sandstorm Gold Ltd. | | | 108,310 | | | | 544,799 | |
Equinox Gold Corp.* | | | 102,537 | | | | 501,406 | |
Fortuna Silver Mines, Inc.* | | | 125,960 | | | | 486,206 | |
Seabridge Gold, Inc.* | | | 35,266 | | | | 427,777 | |
SilverCrest Metals, Inc.* | | | 64,505 | | | | 422,508 | |
MAG Silver Corp.* | | | 40,457 | | | | 421,157 | |
Coeur Mining, Inc.* | | | 128,473 | | | | 418,822 | |
Novagold Resources, Inc.* | | | 108,063 | | | | 404,156 | |
IAMGOLD Corp.* | | | 135,446 | | | | 342,678 | |
Gatos Silver, Inc.* | | | 39,763 | | | | 260,050 | |
Silvercorp Metals, Inc. | | | 87,072 | | | | 228,999 | |
Endeavour Silver Corp.* | | | 82,590 | | | | 162,702 | |
Total Mining | | | | | | | 32,554,825 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $23,533,606) | | | | | | | 32,554,825 | |
| | | | | | | | | |
| | Face
Amount | | | | |
REPURCHASE AGREEMENTS††,1 - 1.6% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 281,420 | | | | 281,420 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 226,792 | | | | 226,792 | |
Total Repurchase Agreements | | | | |
(Cost $508,212) | | | | | | | 508,212 | |
| | | | | | | | | |
Total Investments - 101.0% | | | | |
(Cost $24,041,818) | | $ | 33,063,037 | |
Other Assets & Liabilities, net - (1.0)% | | | (317,236 | ) |
Total Net Assets - 100.0% | | $ | 32,745,801 | |
* | 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. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 87 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
PRECIOUS METALS FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 32,554,825 | | | $ | — | | | $ | — | | | $ | 32,554,825 | |
Repurchase Agreements | | | — | | | | 508,212 | | | | — | | | | 508,212 | |
Total Assets | | $ | 32,554,825 | | | $ | 508,212 | | | $ | — | | | $ | 33,063,037 | |
88 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $23,533,606) | | $ | 32,554,825 | |
Repurchase agreements, at value (cost $508,212) | | | 508,212 | |
Receivables: |
Fund shares sold | | | 4,007,571 | |
Foreign tax reclaims | | | 5,906 | |
Dividends | | | 1,670 | |
Interest | | | 226 | |
Securities lending income | | | 68 | |
Total assets | | | 37,078,478 | |
| | | | | |
Liabilities: |
Payable for: |
Securities purchased | | | 4,159,792 | |
Deferred foreign capital gain taxes | | | 86,192 | |
Management fees | | | 15,005 | |
Transfer agent fees | | | 6,374 | |
Investor service fees | | | 5,002 | |
Portfolio accounting and administration fees | | | 2,101 | |
Fund shares redeemed | | | 1,419 | |
Trustees’ fees* | | | 275 | |
Miscellaneous | | | 56,517 | |
Total liabilities | | | 4,332,677 | |
Net assets | | $ | 32,745,801 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 45,965,909 | |
Total distributable earnings (loss) | | | (13,220,108 | ) |
Net assets | | $ | 32,745,801 | |
Capital shares outstanding | | | 867,429 | |
Net asset value per share | | $ | 37.75 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $35,787) | | $ | 297,901 | |
Interest | | | 11,321 | |
Income from securities lending, net | | | 2,689 | |
Total investment income | | | 311,911 | |
| | | | | |
Expenses: |
Management fees | | | 149,621 | |
Investor service fees | | | 49,873 | |
Transfer agent fees | | | 50,509 | |
Professional fees | | | 47,690 | |
Portfolio accounting and administration fees | | | 30,921 | |
Trustees’ fees* | | | 3,731 | |
Custodian fees | | | 3,055 | |
Miscellaneous | | | 3,821 | |
Total expenses | | | 339,221 | |
Less: |
Expenses reimbursed by Adviser | | | (3,897 | ) |
Net expenses | | | 335,324 | |
Net investment loss | | | (23,413 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (140,443 | ) |
Net realized loss | | | (140,443 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 395,968 | |
Net change in unrealized appreciation (depreciation) | | | 395,968 | |
Net realized and unrealized gain | | | 255,525 | |
Net increase in net assets resulting from operations | | $ | 232,112 | |
* | 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 ANNUAL REPORT | 89 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | (23,413 | ) | | $ | 26,662 | |
Net realized gain (loss) on investments | | | (140,443 | ) | | | 673,417 | |
Net change in unrealized appreciation (depreciation) on investments | | | 395,968 | | | | (3,851,299 | ) |
Net increase (decrease) in net assets resulting from operations | | | 232,112 | | | | (3,151,220 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (57,952 | ) | | | (93,847 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 99,708,329 | | | | 48,465,105 | |
Distributions reinvested | | | 57,952 | | | | 93,847 | |
Cost of shares redeemed | | | (92,171,995 | ) | | | (41,494,209 | ) |
Net increase from capital share transactions | | | 7,594,286 | | | | 7,064,743 | |
Net increase in net assets | | | 7,768,446 | | | | 3,819,676 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 24,977,355 | | | | 21,157,679 | |
End of year | | $ | 32,745,801 | | | $ | 24,977,355 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 2,678,706 | | | | 1,262,223 | |
Shares issued from reinvestment of distributions | | | 1,496 | | | | 2,950 | |
Shares redeemed | | | (2,497,500 | ) | | | (1,093,320 | ) |
Net increase in shares | | | 182,702 | | | | 171,853 | |
90 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 36.48 | | | $ | 41.25 | | | $ | 47.27 | | | $ | 36.75 | | | $ | 24.14 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.04 | ) | | | .05 | | | | .06 | | | | (.37 | ) | | | (.20 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 1.43 | | | | (4.64 | ) | | | (4.40 | ) | | | 13.03 | | | | 12.81 | |
Total from investment operations | | | 1.39 | | | | (4.59 | ) | | | (4.34 | ) | | | 12.66 | | | | 12.61 | |
Less distributions from: |
Net investment income | | | (.12 | ) | | | (.18 | ) | | | (1.68 | ) | | | (2.14 | ) | | | — | |
Total distributions | | | (.12 | ) | | | (.18 | ) | | | (1.68 | ) | | | (2.14 | ) | | | — | |
Net asset value, end of period | | $ | 37.75 | | | $ | 36.48 | | | $ | 41.25 | | | $ | 47.27 | | | $ | 36.75 | |
|
Total Returnb | | | 3.83 | % | | | (11.08 | %) | | | (9.19 | %) | | | 34.30 | % | | | 52.24 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 32,746 | | | $ | 24,977 | | | $ | 21,158 | | | $ | 23,246 | | | $ | 24,882 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.12 | %) | | | 0.13 | % | | | 0.13 | % | | | (0.88 | %) | | | (0.69 | %) |
Total expenses | | | 1.70 | % | | | 1.67 | % | | | 1.59 | % | | | 1.72 | % | | | 1.72 | % |
Net expensesc | | | 1.68 | % | | | 1.67 | % | | | 1.59 | % | | | 1.72 | % | | | 1.72 | % |
Portfolio turnover rate | | | 427 | % | | | 188 | % | | | 133 | % | | | 163 | % | | | 180 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 91 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, Real Estate Fund returned 10.32%, compared with the S&P 500 Index, which returned 26.29%. The MSCI U.S. REIT Index returned 13.74%.
The industries that contributed the most to performance were real estate services, data center REITs, and retail REITs. The only industry that detracted from performance was mortgage REITs.
The holdings that contributed the most to performance were Digital Realty Trust, Inc., Welltower, Inc., and Equinix, Inc. The holdings that detracted the most from performance were Medical Properties Trust, Inc., Healthpeak Properties, Inc., and Mid-America Apartment Communities, Inc.
Performance displayed represents past performance, which is no guarantee of future results.
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 |
Prologis, Inc. | 3.9% |
American Tower Corp. — Class A | 3.4% |
Equinix, Inc. | 2.9% |
Public Storage | 2.4% |
Welltower, Inc. | 2.4% |
Simon Property Group, Inc. | 2.3% |
Crown Castle, Inc. | 2.3% |
Realty Income Corp. | 2.2% |
Digital Realty Trust, Inc. | 2.2% |
Extra Space Storage, Inc. | 2.1% |
Top Ten Total | 26.1% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
92 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Real Estate Fund | 10.32% | 4.71% | 4.92% |
MSCI U.S. REIT Index | 13.74% | 7.40% | 7.60% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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 Funds, 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 93 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
REAL ESTATE FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
REITs - 91.4% |
| | | | | | | | | |
REITs-Diversified — 21.9% |
American Tower Corp. — Class A | | | 737 | | | $ | 159,104 | |
Equinix, Inc. | | | 169 | | | | 136,111 | |
Crown Castle, Inc. | | | 944 | | | | 108,739 | |
Digital Realty Trust, Inc. | | | 758 | | | | 102,012 | |
VICI Properties, Inc. | | | 2,916 | | | | 92,962 | |
Weyerhaeuser Co. | | | 2,405 | | | | 83,622 | |
SBA Communications Corp. | | | 322 | | | | 81,688 | |
WP Carey, Inc. | | | 907 | | | | 58,783 | |
Gaming and Leisure Properties, Inc. | | | 1,177 | | | | 58,085 | |
Lamar Advertising Co. — Class A | | | 491 | | | | 52,183 | |
PotlatchDeltic Corp. | | | 651 | | | | 31,964 | |
EPR Properties | | | 634 | | | | 30,717 | |
Outfront Media, Inc. | | | 1,701 | | | | 23,746 | |
Uniti Group, Inc. | | | 3,030 | | | | 17,513 | |
Total REITs-Diversified | | | | | | | 1,037,229 | |
| | | | | | | | | |
REITs-Apartments - 12.5% |
AvalonBay Communities, Inc. | | | 443 | | | | 82,938 | |
Equity Residential | | | 1,245 | | | | 76,144 | |
Invitation Homes, Inc. | | | 2,162 | | | | 73,746 | |
Essex Property Trust, Inc. | | | 262 | | | | 64,960 | |
Mid-America Apartment Communities, Inc. | | | 475 | | | | 63,869 | |
UDR, Inc. | | | 1,524 | | | | 58,354 | |
American Homes 4 Rent — Class A | | | 1,505 | | | | 54,120 | |
Camden Property Trust | | | 528 | | | | 52,425 | |
Apartment Income REIT Corp. | | | 1,056 | | | | 36,675 | |
Independence Realty Trust, Inc. | | | 1,972 | | | | 30,172 | |
Total REITs-Apartments | | | | | | | 593,403 | |
| | | | | | | | | |
REITs-Health Care - 9.1% |
Welltower, Inc. | | | 1,255 | | | | 113,163 | |
Ventas, Inc. | | | 1,468 | | | | 73,165 | |
Healthpeak Properties, Inc. | | | 2,696 | | | | 53,381 | |
Omega Healthcare Investors, Inc. | | | 1,406 | | | | 43,108 | |
Healthcare Realty Trust, Inc. | | | 2,457 | | | | 42,334 | |
Physicians Realty Trust | | | 2,155 | | | | 28,683 | |
Sabra Health Care REIT, Inc. | | | 1,972 | | | | 28,140 | |
CareTrust REIT, Inc. | | | 1,123 | | | | 25,133 | |
Medical Properties Trust, Inc.1 | | | 4,622 | | | | 22,694 | |
Total REITs-Health Care | | | | | | | 429,801 | |
| | | | | | | | | |
REITs-Warehouse/Industries - 10.2% |
Prologis, Inc. | | | 1,377 | | | | 183,554 | |
Rexford Industrial Realty, Inc. | | | 997 | | | | 55,932 | |
Americold Realty Trust, Inc. | | | 1,573 | | | | 47,615 | |
EastGroup Properties, Inc. | | | 255 | | | | 46,803 | |
STAG Industrial, Inc. | | | 1,126 | | | | 44,207 | |
First Industrial Realty Trust, Inc. | | | 812 | | | | 42,768 | |
Terreno Realty Corp. | | | 590 | | | | 36,975 | |
LXP Industrial Trust | | | 2,760 | | | | 27,379 | |
Total REITs-Warehouse/Industries | | | | | | | 485,233 | |
| | | | | | | | | |
REITs-Storage - 7.9% |
Public Storage | | | 375 | | | | 114,375 | |
Extra Space Storage, Inc. | | | 608 | | | | 97,481 | |
Iron Mountain, Inc. | | | 1,048 | | | | 73,339 | |
CubeSmart | | | 1,148 | | | | 53,210 | |
National Storage Affiliates Trust | | | 849 | | | | 35,208 | |
Total REITs-Storage | | | | | | | 373,613 | |
| | | | | | | | | |
REITs-Office Property - 7.3% |
Alexandria Real Estate Equities, Inc. | | | 585 | | | | 74,160 | |
Boston Properties, Inc. | | | 735 | | | | 51,575 | |
Vornado Realty Trust | | | 1,239 | | | | 35,002 | |
Kilroy Realty Corp. | | | 853 | | | | 33,984 | |
Cousins Properties, Inc. | | | 1,296 | | | | 31,558 | |
SL Green Realty Corp. | | | 614 | | | | 27,734 | |
Highwoods Properties, Inc. | | | 1,100 | | | | 25,256 | |
Douglas Emmett, Inc. | | | 1,674 | | | | 24,273 | |
JBG SMITH Properties | | | 1,229 | | | | 20,905 | |
Hudson Pacific Properties, Inc. | | | 2,080 | | | | 19,365 | |
Total REITs-Office Property | | | | | | | 343,812 | |
| | | | | | | | | |
REITs-Shopping Centers - 6.8% |
Kimco Realty Corp. | | | 2,735 | | | | 58,283 | |
Regency Centers Corp. | | | 855 | | | | 57,285 | |
Federal Realty Investment Trust | | | 450 | | | | 46,373 | |
Brixmor Property Group, Inc. | | | 1,809 | | | | 42,095 | |
Kite Realty Group Trust | | | 1,569 | | | | 35,867 | |
Phillips Edison & Company, Inc. | | | 965 | | | | 35,203 | |
SITE Centers Corp. | | | 1,867 | | | | 25,447 | |
Retail Opportunity Investments Corp. | | | 1,495 | | | | 20,975 | |
Total REITs-Shopping Centers | | | | | | | 321,528 | |
| | | | | | | | | |
REITs-Hotels - 4.8% |
Host Hotels & Resorts, Inc. | | | 3,115 | | | | 60,649 | |
Ryman Hospitality Properties, Inc. | | | 371 | | | | 40,832 | |
Apple Hospitality REIT, Inc. | | | 1,728 | | | | 28,702 | |
Park Hotels & Resorts, Inc. | | | 1,792 | | | | 27,418 | |
Sunstone Hotel Investors, Inc. | | | 2,222 | | | | 23,842 | |
Pebblebrook Hotel Trust | | | 1,491 | | | | 23,826 | |
DiamondRock Hospitality Co. | | | 2,445 | | | | 22,959 | |
Total REITs-Hotels | | | | | | | 228,228 | |
| | | | | | | | | |
REITs-Single Tenant - 5.5% |
Realty Income Corp. | | | 1,796 | | | | 103,126 | |
NNN REIT, Inc. | | | 1,042 | | | | 44,910 | |
Agree Realty Corp. | | | 634 | | | | 39,910 | |
Spirit Realty Capital, Inc. | | | 905 | | | | 39,539 | |
Essential Properties Realty Trust, Inc. | | | 1,246 | | | | 31,848 | |
Total REITs-Single Tenant | | | | | | | 259,333 | |
| | | | | | | | | |
REITs-Regional Malls - 2.9% |
Simon Property Group, Inc. | | | 771 | | | | 109,975 | |
Tanger, Inc. | | | 980 | | | | 27,166 | |
Total REITs-Regional Malls | | | | | | | 137,141 | |
| | | | | | | | | |
94 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
REAL ESTATE FUND | |
| | Shares | | | Value | |
REITs-Manufactured Homes - 2.5% |
Sun Communities, Inc. | | | 483 | | | $ | 64,553 | |
Equity LifeStyle Properties, Inc. | | | 762 | | | | 53,752 | |
Total REITs-Manufactured Homes | | | | | | | 118,305 | |
| | | | | | | | | |
Total REITs | | | | | | | 4,327,626 | |
| | | | | | | | | |
Real Estate - 3.9% |
Real Estate Management/Services - 3.9% |
CBRE Group, Inc. — Class A* | | | 948 | | | | 88,249 | |
Jones Lang LaSalle, Inc.* | | | 190 | | | | 35,885 | |
Cushman & Wakefield plc* | | | 2,281 | | | | 24,635 | |
Redfin Corp.* | | | 1,895 | | | | 19,557 | |
eXp World Holdings, Inc. | | | 982 | | | | 15,241 | |
Total Real Estate Management/Services | | | | | | | 183,567 | |
| | | | | | | | | |
Total Real Estate | | | | | | | 183,567 | |
| | | | | | | | | |
Commercial Services - 2.0% |
CoStar Group, Inc.* | | | 1,110 | | | | 97,003 | |
| | | | | | | | | |
Internet - 1.6% |
E-Commerce/Services - 1.6% |
Zillow Group, Inc. — Class C* | | | 1,034 | | | | 59,827 | |
Opendoor Technologies, Inc.* | | | 3,651 | | | | 16,357 | |
Total E-Commerce/Services | | | | | | | 76,184 | |
| | | | | | | | | |
Total Internet | | | | | | | 76,184 | |
| | | | | | | | | |
Telecommunications - 0.6% |
Telecom Services - 0.6% |
DigitalBridge Group, Inc. | | | 1,551 | | | | 27,204 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $2,217,198) | | | | | | | 4,711,584 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.5% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 12,439 | | | | 12,439 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 10,024 | | | | 10,024 | |
Total Repurchase Agreements | | | | |
(Cost $22,463) | | | | | | | 22,463 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.4% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund - Class X, 5.29%4 | | | 18,342 | | | | 18,342 | |
Total Securities Lending Collateral | | | | |
(Cost $18,342) | | | | | | | 18,342 | |
| | | | | | | | | |
Total Investments - 100.4% | | | | |
(Cost $2,258,003) | | $ | 4,752,389 | |
Other Assets & Liabilities, net - (0.4)% | | | (16,819 | ) |
Total Net Assets - 100.0% | | $ | 4,735,570 | |
* | 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 December 31, 2023 — 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 December 31, 2023. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| | |
| | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 95 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
REAL ESTATE FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 4,711,584 | | | $ | — | | | $ | — | | | $ | 4,711,584 | |
Repurchase Agreements | | | — | | | | 22,463 | | | | — | | | | 22,463 | |
Securities Lending Collateral | | | 18,342 | | | | — | | | | — | | | | 18,342 | |
Total Assets | | $ | 4,729,926 | | | $ | 22,463 | | | $ | — | | | $ | 4,752,389 | |
96 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value - including $17,018 of securities loaned (cost $2,235,540) | | $ | 4,729,926 | |
Repurchase agreements, at value (cost $22,463) | | | 22,463 | |
Receivables: |
Dividends | | | 25,491 | |
Interest | | | 10 | |
Securities lending income | | | 6 | |
Total assets | | | 4,777,896 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 18,342 | |
Professional fees | | | 6,634 | |
Fund shares redeemed | | | 6,603 | |
Management fees | | | 3,241 | |
Transfer agent fees | | | 1,311 | |
Investor service fees | | | 953 | |
Portfolio accounting and administration fees | | | 400 | |
Trustees’ fees* | | | 56 | |
Miscellaneous | | | 4,786 | |
Total liabilities | | | 42,326 | |
Net assets | | $ | 4,735,570 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 3,214,559 | |
Total distributable earnings (loss) | | | 1,521,011 | |
Net assets | | $ | 4,735,570 | |
Capital shares outstanding | | | 130,242 | |
Net asset value per share | | $ | 36.36 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends | | $ | 147,220 | |
Interest | | | 1,392 | |
Income from securities lending, net | | | 164 | |
Total investment income | | | 148,776 | |
| | | | | |
Expenses: |
Management fees | | | 39,058 | |
Investor service fees | | | 11,487 | |
Transfer agent fees | | | 11,689 | |
Professional fees | | | 9,042 | |
Portfolio accounting and administration fees | | | 7,122 | |
Trustees’ fees* | | | 854 | |
Custodian fees | | | 846 | |
Line of credit fees | | | 44 | |
Miscellaneous | | | 2,808 | |
Total expenses | | | 82,950 | |
Less: |
Expenses reimbursed by Adviser | | | (861 | ) |
Net expenses | | | 82,089 | |
Net investment income | | | 66,687 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 14,694 | |
Net realized gain | | | 14,694 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 263,752 | |
Net change in unrealized appreciation (depreciation) | | | 263,752 | |
Net realized and unrealized gain | | | 278,446 | |
Net increase in net assets resulting from operations | | $ | 345,133 | |
* | 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 ANNUAL REPORT | 97 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 66,687 | | | $ | 70,918 | |
Net realized gain on investments | | | 14,694 | | | | 1,141,105 | |
Net change in unrealized appreciation (depreciation) on investments | | | 263,752 | | | | (4,132,274 | ) |
Net increase (decrease) in net assets resulting from operations | | | 345,133 | | | | (2,920,251 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (252,805 | ) | | | (419,006 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 5,951,867 | | | | 11,625,641 | |
Distributions reinvested | | | 252,805 | | | | 419,006 | |
Cost of shares redeemed | | | (6,333,619 | ) | | | (18,638,779 | ) |
Net decrease from capital share transactions | | | (128,947 | ) | | | (6,594,132 | ) |
Net decrease in net assets | | | (36,619 | ) | | | (9,933,389 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 4,772,189 | | | | 14,705,578 | |
End of year | | $ | 4,735,570 | | | $ | 4,772,189 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 169,632 | | | | 252,343 | |
Shares issued from reinvestment of distributions | | | 7,200 | | | | 10,830 | |
Shares redeemed | | | (184,063 | ) | | | (413,747 | ) |
Net decrease in shares | | | (7,231 | ) | | | (150,574 | ) |
98 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 34.71 | | | $ | 51.05 | | | $ | 38.31 | | | $ | 43.46 | | | $ | 35.99 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .50 | | | | .38 | | | | .31 | | | | .28 | | | | .68 | |
Net gain (loss) on investments (realized and unrealized) | | | 3.02 | | | | (14.10 | ) | | | 12.70 | | | | (3.19 | ) | | | 8.03 | |
Total from investment operations | | | 3.52 | | | | (13.72 | ) | | | 13.01 | | | | (2.91 | ) | | | 8.71 | |
Less distributions from: |
Net investment income | | | (.47 | ) | | | (.41 | ) | | | (.27 | ) | | | (1.16 | ) | | | (.83 | ) |
Net realized gains | | | (1.40 | ) | | | (2.21 | ) | | | — | | | | (1.08 | ) | | | (.41 | ) |
Total distributions | | | (1.87 | ) | | | (2.62 | ) | | | (.27 | ) | | | (2.24 | ) | | | (1.24 | ) |
Net asset value, end of period | | $ | 36.36 | | | $ | 34.71 | | | $ | 51.05 | | | $ | 38.31 | | | $ | 43.46 | |
|
Total Returnb | | | 10.32 | % | | | (27.40 | %) | | | 34.07 | % | | | (5.82 | %) | | | 24.43 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 4,736 | | | $ | 4,772 | | | $ | 14,706 | | | $ | 6,518 | | | $ | 12,249 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.45 | % | | | 0.90 | % | | | 0.69 | % | | | 0.76 | % | | | 1.62 | % |
Total expenses | | | 1.81 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Net expensesc | | | 1.79 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Portfolio turnover rate | | | 125 | % | | | 134 | % | | | 136 | % | | | 173 | % | | | 225 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 99 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, Retailing Fund returned 16.56%, compared with the S&P 500 Index, which returned 26.29%. The S&P 500 Consumer Discretionary Index returned 42.41%.
The industries that contributed the most to performance were broadline retail, automotive retail, and homefurnishing retail. The industries that detracted the most from performance were drug retail, distributors, and computer & electronics retail.
The holdings that contributed the most to performance were Amazon.com, Inc., PDD Holdings, Inc. ADR, and Costco Wholesale Corp. The holdings that detracted the most from performance were Dollar General Corp., Farfetch, Ltd. - Class A, and JD.com, Inc. ADR.
Performance displayed represents past performance, which is no guarantee of future results.
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% |
Home Depot, Inc. | 5.1% |
Costco Wholesale Corp. | 4.4% |
Walmart, Inc. | 4.2% |
Lowe’s Companies, Inc. | 4.1% |
TJX Companies, Inc. | 3.7% |
Target Corp. | 2.9% |
O’Reilly Automotive, Inc. | 2.6% |
Ross Stores, Inc. | 2.4% |
PDD Holdings, Inc. ADR | 2.4% |
Top Ten Total | 42.4% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
100 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Retailing Fund | 16.56% | 11.35% | 7.23% |
S&P 500 Consumer Discretionary Index | 42.41% | 13.73% | 11.69% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 101 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
RETAILING FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.3% |
| | | | | | | | | |
Retail - 67.9% |
Home Depot, Inc. | | | 440 | | | $ | 152,482 | |
Costco Wholesale Corp. | | | 202 | | | | 133,336 | |
Walmart, Inc. | | | 799 | | | | 125,962 | |
Lowe’s Companies, Inc. | | | 557 | | | | 123,960 | |
TJX Companies, Inc. | | | 1,199 | | | | 112,478 | |
Target Corp. | | | 615 | | | | 87,588 | |
O’Reilly Automotive, Inc.* | | | 83 | | | | 78,857 | |
Ross Stores, Inc. | | | 530 | | | | 73,347 | |
Dollar Tree, Inc.* | | | 433 | | | | 61,508 | |
Dollar General Corp. | | | 438 | | | | 59,546 | |
AutoZone, Inc.* | | | 23 | | | | 59,469 | |
Tractor Supply Co. | | | 243 | | | | 52,252 | |
Ulta Beauty, Inc.* | | | 106 | | | | 51,939 | |
Walgreens Boots Alliance, Inc. | | | 1,820 | | | | 47,520 | |
Genuine Parts Co. | | | 340 | | | | 47,090 | |
Best Buy Company, Inc. | | | 539 | | | | 42,193 | |
Burlington Stores, Inc.* | | | 203 | | | | 39,480 | |
CarMax, Inc.* | | | 514 | | | | 39,444 | |
Williams-Sonoma, Inc. | | | 189 | | | | 38,136 | |
Five Below, Inc.* | | | 177 | | | | 37,729 | |
Dick’s Sporting Goods, Inc. | | | 256 | | | | 37,619 | |
Floor & Decor Holdings, Inc. — Class A* | | | 336 | | | | 37,484 | |
Bath & Body Works, Inc. | | | 834 | | | | 35,996 | |
BJ’s Wholesale Club Holdings, Inc.* | | | 483 | | | | 32,197 | |
Murphy USA, Inc. | | | 79 | | | | 28,168 | |
Macy’s, Inc. | | | 1,330 | | | | 26,760 | |
AutoNation, Inc.* | | | 170 | | | | 25,531 | |
Academy Sports & Outdoors, Inc. | | | 386 | | | | 25,476 | |
GameStop Corp. — Class A*,1 | | | 1,404 | | | | 24,612 | |
Ollie’s Bargain Outlet Holdings, Inc.* | | | 316 | | | | 23,981 | |
Signet Jewelers Ltd. | | | 221 | | | | 23,705 | |
Abercrombie & Fitch Co. — Class A* | | | 266 | | | | 23,467 | |
RH* | | | 78 | | | | 22,735 | |
Gap, Inc. | | | 1,074 | | | | 22,457 | |
Lithia Motors, Inc. — Class A | | | 65 | | | | 21,403 | |
American Eagle Outfitters, Inc. | | | 1,003 | | | | 21,224 | |
Carvana Co.* | | | 399 | | | | 21,123 | |
Advance Auto Parts, Inc. | | | 342 | | | | 20,872 | |
Foot Locker, Inc. | | | 609 | | | | 18,970 | |
Boot Barn Holdings, Inc.* | | | 212 | | | | 16,273 | |
Nordstrom, Inc. | | | 824 | | | | 15,203 | |
Victoria’s Secret & Co.* | | | 567 | | | | 15,048 | |
National Vision Holdings, Inc.* | | | 658 | | | | 13,772 | |
Kohl’s Corp. | | | 462 | | | | 13,250 | |
Leslie’s, Inc.* | | | 1,881 | | | | 12,998 | |
Petco Health & Wellness Company, Inc.* | | | 1,253 | | | | 3,960 | |
Total Retail | | | | | | | 2,048,600 | |
| | | | | | | | | |
Internet - 25.9% |
Amazon.com, Inc.* | | | 2,094 | | | | 318,162 | |
PDD Holdings, Inc. ADR* | | | 489 | | | | 71,546 | |
Alibaba Group Holding Ltd. ADR | | | 847 | | | | 65,651 | |
MercadoLibre, Inc.* | | | 39 | | | | 61,290 | |
JD.com, Inc. ADR | | | 1,924 | | | | 55,584 | |
eBay, Inc. | | | 1,184 | | | | 51,646 | |
Coupang, Inc.* | | | 2,826 | | | | 45,753 | |
Chewy, Inc. — Class A* | | | 1,490 | | | | 35,209 | |
Etsy, Inc.* | | | 412 | | | | 33,393 | |
Wayfair, Inc. — Class A* | | | 490 | | | | 30,233 | |
Beyond, Inc.* | | | 461 | | | | 12,765 | |
Total Internet | | | | | | | 781,232 | |
| | | | | | | | | |
Distribution & Wholesale - 2.7% |
Pool Corp. | | | 109 | | | | 43,459 | |
LKQ Corp. | | | 815 | | | | 38,949 | |
Total Distribution & Wholesale | | | | | | | 82,408 | |
| | | | | | | | | |
Software - 1.4% |
Global-e Online Ltd* | | | 1,135 | | | | 44,980 | |
| | | | | | | | | |
Chemicals - 0.8% |
Valvoline, Inc.* | | | 644 | | | | 24,202 | |
| | | | | | | | | |
Apparel - 0.6% |
Urban Outfitters, Inc.* | | | 459 | | | | 16,382 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $1,366,940) | | | | | | | 2,997,804 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.9% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 14,230 | | | | 14,230 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 11,468 | | | | 11,468 | |
Total Repurchase Agreements | | | | |
(Cost $25,698) | | | | | | | 25,698 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.5% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund - Class X, 5.29%4 | | | 14,322 | | | | 14,322 | |
Total Securities Lending Collateral | | | | |
(Cost $14,322) | | | | | | | 14,322 | |
| | | | | | | | | |
Total Investments - 100.7% | | | | |
(Cost $1,406,960) | | $ | 3,037,824 | |
Other Assets & Liabilities, net - (0.7)% | | | (21,741 | ) |
Total Net Assets - 100.0% | | $ | 3,016,083 | |
102 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
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 December 31, 2023 — 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 December 31, 2023. |
| | 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 December 31, 2023 (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 | | $ | 2,997,804 | | | $ | — | | | $ | — | | | $ | 2,997,804 | |
Repurchase Agreements | | | — | | | | 25,698 | | | | — | | | | 25,698 | |
Securities Lending Collateral | | | 14,322 | | | | — | | | | — | | | | 14,322 | |
Total Assets | | $ | 3,012,126 | | | $ | 25,698 | | | $ | — | | | $ | 3,037,824 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 103 |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value - including $13,463 of securities loaned (cost $1,381,262) | | $ | 3,012,126 | |
Repurchase agreements, at value (cost $25,698) | | | 25,698 | |
Receivables: |
Securities sold | | | 330,018 | |
Dividends | | | 5,801 | |
Fund shares sold | | | 2,602 | |
Securities lending income | | | 47 | |
Interest | | | 12 | |
Total assets | | | 3,376,304 | |
| | | | | |
Liabilities: |
Payable for: |
Fund shares redeemed | | | 333,732 | |
Return of securities lending collateral | | | 14,322 | |
Management fees | | | 2,256 | |
Transfer agent fees | | | 1,002 | |
Investor service fees | | | 664 | |
Portfolio accounting and administration fees | | | 279 | |
Trustees’ fees* | | | 38 | |
Miscellaneous | | | 7,928 | |
Total liabilities | | | 360,221 | |
Net assets | | $ | 3,016,083 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 2,332,967 | |
Total distributable earnings (loss) | | | 683,116 | |
Net assets | | $ | 3,016,083 | |
Capital shares outstanding | | | 26,911 | |
Net asset value per share | | $ | 112.08 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $55) | | $ | 48,427 | |
Interest | | | 1,232 | |
Income from securities lending, net | | | 1,399 | |
Total investment income | | | 51,058 | |
| | | | | |
Expenses: |
Management fees | | | 31,006 | |
Investor service fees | | | 9,119 | |
Transfer agent fees | | | 9,177 | |
Portfolio accounting and administration fees | | | 5,654 | |
Professional fees | | | 5,321 | |
Printing fees | | | 1,773 | |
Custodian fees | | | 704 | |
Trustees’ fees* | | | 623 | |
Line of credit fees | | | 37 | |
Miscellaneous | | | 2,557 | |
Total expenses | | | 65,971 | |
Less: |
Expenses reimbursed by Adviser | | | (673 | ) |
Net expenses | | | 65,298 | |
Net investment loss | | | (14,240 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 224,382 | |
Net realized gain | | | 224,382 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 289,087 | |
Net change in unrealized appreciation (depreciation) | | | 289,087 | |
Net realized and unrealized gain | | | 513,469 | |
Net increase in net assets resulting from operations | | $ | 499,229 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
104 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (14,240 | ) | | $ | (27,165 | ) |
Net realized gain (loss) on investments | | | 224,382 | | | | (434,030 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 289,087 | | | | (1,063,805 | ) |
Net increase (decrease) in net assets resulting from operations | | | 499,229 | | | | (1,525,000 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (104,064 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 6,884,256 | | | | 7,032,882 | |
Distributions reinvested | | | — | | | | 104,064 | |
Cost of shares redeemed | | | (7,587,763 | ) | | | (8,909,554 | ) |
Net decrease from capital share transactions | | | (703,507 | ) | | | (1,772,608 | ) |
Net decrease in net assets | | | (204,278 | ) | | | (3,401,672 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 3,220,361 | | | | 6,622,033 | |
End of year | | $ | 3,016,083 | | | $ | 3,220,361 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 66,725 | | | | 67,226 | |
Shares issued from reinvestment of distributions | | | — | | | | 1,066 | |
Shares redeemed | | | (73,303 | ) | | | (84,122 | ) |
Net decrease in shares | | | (6,578 | ) | | | (15,830 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 105 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 96.16 | | | $ | 134.27 | | | $ | 128.69 | | | $ | 89.57 | | | $ | 71.95 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (.40 | ) | | | (.71 | ) | | | (1.27 | ) | | | (.95 | ) | | | (.45 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 16.32 | | | | (34.86 | ) | | | 16.53 | | | | 40.07 | | | | 18.07 | |
Total from investment operations | | | 15.92 | | | | (35.57 | ) | | | 15.26 | | | | 39.12 | | | | 17.62 | |
Less distributions from: |
Net realized gains | | | — | | | | (2.54 | ) | | | (9.68 | ) | | | — | | | | — | |
Total distributions | | | — | | | | (2.54 | ) | | | (9.68 | ) | | | — | | | | — | |
Net asset value, end of period | | $ | 112.08 | | | $ | 96.16 | | | $ | 134.27 | | | $ | 128.69 | | | $ | 89.57 | |
|
Total Returnb | | | 16.56 | % | | | (26.52 | %) | | | 11.75 | % | | | 43.68 | % | | | 24.49 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 3,016 | | | $ | 3,220 | | | $ | 6,622 | | | $ | 7,196 | | | $ | 3,625 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.39 | %) | | | (0.68 | %) | | | (0.92 | %) | | | (0.91 | %) | | | (0.54 | %) |
Total expenses | | | 1.81 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.83 | % |
Net expensesc | | | 1.79 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.83 | % |
Portfolio turnover rate | | | 212 | % | | | 193 | % | | | 375 | % | | | 250 | % | | | 173 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
106 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, Technology Fund returned 49.01%, compared with the S&P 500 Index, which returned 26.29%. The S&P 500 Information Technology Index returned 57.84%.
The industries that contributed the most to performance were semiconductors, application software, and systems software. No industry detracted from performance.
The holdings that contributed the most to performance were NVIDIA Corp., Meta Platforms, Inc. - Class A, and Microsoft Corp. The holdings that detracted the most from performance were SolarEdge Technologies, Inc., Enphase Energy, Inc., and ZoomInfo Technologies, Inc. – Class A.
Performance displayed represents past performance, which is no guarantee of future results.
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 |
Microsoft Corp. | 5.7% |
Apple, Inc. | 5.6% |
Alphabet, Inc. — Class A | 4.4% |
NVIDIA Corp. | 3.7% |
Meta Platforms, Inc. — Class A | 3.3% |
Broadcom, Inc. | 2.7% |
Adobe, Inc. | 1.7% |
Salesforce, Inc. | 1.7% |
Advanced Micro Devices, Inc. | 1.7% |
Intel Corp. | 1.7% |
Top Ten Total | 32.2% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 107 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Technology Fund | 49.01% | 19.01% | 14.47% |
S&P 500 Information Technology Index | 57.84% | 26.95% | 20.79% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | 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. |
108 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
TECHNOLOGY FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.5% |
| | | | | | | | | |
Software - 32.0% |
Microsoft Corp. | | | 3,625 | | | $ | 1,363,145 | |
Adobe, Inc.* | | | 696 | | | | 415,234 | |
Salesforce, Inc.* | | | 1,574 | | | | 414,182 | |
Intuit, Inc. | | | 560 | | | | 350,017 | |
Oracle Corp. | | | 3,039 | | | | 320,402 | |
ServiceNow, Inc.* | | | 444 | | | | 313,682 | |
Cadence Design Systems, Inc.* | | | 825 | | | | 224,705 | |
Synopsys, Inc.* | | | 430 | | | | 221,411 | |
Workday, Inc. — Class A* | | | 783 | | | | 216,155 | |
Atlassian Corp. — Class A* | | | 841 | | | | 200,040 | |
Snowflake, Inc. — Class A* | | | 1,001 | | | | 199,199 | |
Roper Technologies, Inc. | | | 361 | | | | 196,806 | |
Autodesk, Inc.* | | | 787 | | | | 191,619 | |
ANSYS, Inc.* | | | 441 | | | | 160,030 | |
Datadog, Inc. — Class A* | | | 1,298 | | | | 157,551 | |
Electronic Arts, Inc. | | | 1,137 | | | | 155,553 | |
Palantir Technologies, Inc. — Class A* | | | 8,704 | | | | 149,448 | |
MongoDB, Inc.* | | | 339 | | | | 138,600 | |
Take-Two Interactive Software, Inc.* | | | 852 | | | | 137,129 | |
Cloudflare, Inc. — Class A* | | | 1,632 | | | | 135,880 | |
ROBLOX Corp. — Class A* | | | 2,945 | | | | 134,645 | |
HubSpot, Inc.* | | | 223 | | | | 129,461 | |
Splunk, Inc.* | | | 849 | | | | 129,345 | |
PTC, Inc.* | | | 667 | | | | 116,698 | |
NetEase, Inc. ADR | | | 1,246 | | | | 116,077 | |
Zoom Video Communications, Inc. — Class A* | | | 1,599 | | | | 114,984 | |
Monday.com Ltd.* | | | 589 | | | | 110,620 | |
Akamai Technologies, Inc.* | | | 916 | | | | 108,409 | |
DocuSign, Inc.* | | | 1,672 | | | | 99,401 | |
Twilio, Inc. — Class A* | | | 1,293 | | | | 98,100 | |
Dynatrace, Inc.* | | | 1,786 | | | | 97,676 | |
Unity Software, Inc.* | | | 2,303 | | | | 94,170 | |
Manhattan Associates, Inc.* | | | 426 | | | | 91,726 | |
Dropbox, Inc. — Class A* | | | 2,809 | | | | 82,809 | |
BILL Holdings, Inc.* | | | 985 | | | | 80,366 | |
Gitlab, Inc. — Class A* | | | 1,253 | | | | 78,889 | |
AppLovin Corp. — Class A* | | | 1,928 | | | | 76,831 | |
ZoomInfo Technologies, Inc. — Class A* | | | 3,928 | | | | 72,629 | |
Confluent, Inc. — Class A* | | | 2,778 | | | | 65,005 | |
Five9, Inc.* | | | 760 | | | | 59,805 | |
C3.ai, Inc. — Class A*,1 | | | 1,748 | | | | 50,185 | |
MicroStrategy, Inc. — Class A* | | | 69 | | | | 43,582 | |
Total Software | | | | | | | 7,712,201 | |
| | | | | | | | | |
Semiconductors - 27.0% |
NVIDIA Corp. | | | 1,813 | | | | 897,834 | |
Broadcom, Inc. | | | 573 | | | | 639,611 | |
Advanced Micro Devices, Inc.* | | | 2,794 | | | | 411,864 | |
Intel Corp. | | | 8,059 | | | | 404,965 | |
QUALCOMM, Inc. | | | 2,332 | | | | 337,277 | |
Texas Instruments, Inc. | | | 1,942 | | | | 331,033 | |
Applied Materials, Inc. | | | 1,926 | | | | 312,147 | |
Lam Research Corp. | | | 348 | | | | 272,575 | |
Micron Technology, Inc. | | | 3,106 | | | | 265,066 | |
Analog Devices, Inc. | | | 1,324 | | | | 262,893 | |
KLA Corp. | | | 404 | | | | 234,845 | |
NXP Semiconductor N.V. | | | 1,010 | | | | 231,977 | |
ASML Holding N.V. — Class G | | | 268 | | | | 202,855 | |
Marvell Technology, Inc. | | | 3,237 | | | | 195,223 | |
Microchip Technology, Inc. | | | 2,002 | | | | 180,540 | |
Taiwan Semiconductor Manufacturing Company Ltd. ADR | | | 1,688 | | | | 175,552 | |
ON Semiconductor Corp.* | | | 1,911 | | | | 159,626 | |
STMicroelectronics N.V. — Class Y | | | 2,840 | | | | 142,369 | |
Entegris, Inc. | | | 956 | | | | 114,548 | |
Skyworks Solutions, Inc. | | | 1,008 | | | | 113,319 | |
Teradyne, Inc. | | | 1,037 | | | | 112,535 | |
Monolithic Power Systems, Inc. | | | 154 | | | | 97,140 | |
Qorvo, Inc.* | | | 791 | | | | 89,075 | |
Lattice Semiconductor Corp.* | | | 1,213 | | | | 83,685 | |
MKS Instruments, Inc. | | | 722 | | | | 74,272 | |
Rambus, Inc.* | | | 1,050 | | | | 71,663 | |
GLOBALFOUNDRIES, Inc.*,1 | | | 1,010 | | | | 61,206 | |
Axcelis Technologies, Inc.* | | | 303 | | | | 39,296 | |
Total Semiconductors | | | | | | | 6,514,991 | |
| | | | | | | | | |
Computers - 16.0% |
Apple, Inc. | | | 6,951 | | | | 1,338,276 | |
International Business Machines Corp. | | | 1,924 | | | | 314,670 | |
Crowdstrike Holdings, Inc. — Class A* | | | 805 | | | | 205,533 | |
Dell Technologies, Inc. — Class C | | | 2,452 | | | | 187,578 | |
Fortinet, Inc.* | | | 2,887 | | | | 168,976 | |
Cognizant Technology Solutions Corp. — Class A | | | 2,156 | | | | 162,843 | |
Accenture plc — Class A | | | 461 | | | | 161,770 | |
Check Point Software Technologies Ltd.* | | | 945 | | | | 144,387 | |
Infosys Ltd. ADR | | | 7,518 | | | | 138,181 | |
HP, Inc. | | | 4,385 | | | | 131,945 | |
Hewlett Packard Enterprise Co. | | | 7,277 | | | | 123,563 | |
Zscaler, Inc.* | | | 544 | | | | 120,529 | |
Western Digital Corp.* | | | 2,098 | | | | 109,872 | |
Seagate Technology Holdings plc | | | 1,284 | | | | 109,615 | |
NetApp, Inc. | | | 1,224 | | | | 107,908 | |
Super Micro Computer, Inc.* | | | 348 | | | | 98,922 | |
Pure Storage, Inc. — Class A* | | | 2,428 | | | | 86,582 | |
Amdocs Ltd. | | | 961 | | | | 84,462 | |
Lumentum Holdings, Inc.* | | | 979 | | | | 51,319 | |
Total Computers | | | | | | | 3,846,931 | |
| | | | | | | | | |
Internet - 14.3% |
Alphabet, Inc. — Class A* | | | 7,560 | | | | 1,056,056 | |
Meta Platforms, Inc. — Class A* | | | 2,245 | | | | 794,640 | |
Palo Alto Networks, Inc.* | | | 829 | | | | 244,456 | |
Shopify, Inc. — Class A* | | | 2,169 | | | | 168,965 | |
CDW Corp. | | | 638 | | | | 145,030 | |
Baidu, Inc. ADR* | | | 1,215 | | | | 144,694 | |
Sea Ltd. ADR* | | | 3,565 | | | | 144,383 | |
Pinterest, Inc. — Class A* | | | 3,574 | | | | 132,381 | |
Snap, Inc. — Class A* | | | 7,400 | | | | 125,282 | |
Okta, Inc.* | | | 1,237 | | | | 111,986 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 109 |
SCHEDULE OF INVESTMENTS (continued) | December 31, 2023 |
TECHNOLOGY FUND | |
| | Shares | | | Value | |
VeriSign, Inc.* | | | 517 | | | $ | 106,481 | |
Gen Digital, Inc. | | | 4,046 | | | | 92,330 | |
Match Group, Inc.* | | | 2,357 | | | | 86,031 | |
F5, Inc.* | | | 479 | | | | 85,731 | |
Total Internet | | | | | | | 3,438,446 | |
| | | | | | | | | |
Telecommunications - 3.6% |
Cisco Systems, Inc. | | | 7,061 | | | | 356,722 | |
Arista Networks, Inc.* | | | 861 | | | | 202,774 | |
Motorola Solutions, Inc. | | | 577 | | | | 180,653 | |
Corning, Inc. | | | 4,140 | | | | 126,063 | |
Total Telecommunications | | | | | | | 866,212 | |
| | | | | | | | | |
Electronics - 3.4% |
Amphenol Corp. — Class A | | | 2,044 | | | | 202,622 | |
TE Connectivity Ltd. | | | 1,231 | | | | 172,955 | |
Keysight Technologies, Inc.* | | | 885 | | | | 140,795 | |
Jabil, Inc. | | | 825 | | | | 105,105 | |
Flex Ltd.* | | | 3,304 | | | | 100,640 | |
Trimble, Inc.* | | | 1,859 | | | | 98,899 | |
Total Electronics | | | | | | | 821,016 | |
| | | | | | | | | |
Energy-Alternate Sources - 1.7% |
SolarEdge Technologies, Inc.* | | | 1,817 | | | | 170,071 | |
Enphase Energy, Inc.* | | | 896 | | | | 118,398 | |
First Solar, Inc.* | | | 682 | | | | 117,495 | |
Total Energy-Alternate Sources | | | | | | | 405,964 | |
| | | | | | | | | |
Commercial Services - 1.1% |
Gartner, Inc.* | | | 332 | | | | 149,768 | |
Marathon Digital Holdings, Inc.* | | | 3,034 | | | | 71,269 | |
Riot Platforms, Inc.* | | | 2,887 | | | | 44,662 | |
Total Commercial Services | | | | | | | 265,699 | |
| | | | | | | | | |
Office & Business Equipment - 0.4% |
Zebra Technologies Corp. — Class A* | | | 334 | | | | 91,292 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $9,360,399) | | | | | | | 23,962,752 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.8% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 109,049 | | | | 109,049 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 87,881 | | | | 87,881 | |
Total Repurchase Agreements | | | | |
(Cost $196,930) | | | | | | | 196,930 | |
| | | | | | | | | |
| | | Shares | | | | | |
SECURITIES LENDING COLLATERAL†,3 - 0.4% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund - Class X, 5.29%4 | | | 85,136 | | | | 85,136 | |
Total Securities Lending Collateral | | | | |
(Cost $85,136) | | | | | | | 85,136 | |
| | | | | | | | | |
Total Investments - 100.7% | | | | |
(Cost $9,642,465) | | $ | 24,244,818 | |
Other Assets & Liabilities, net - (0.7)% | | | (174,757 | ) |
Total Net Assets - 100.0% | | $ | 24,070,061 | |
* | 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 December 31, 2023 — 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 December 31, 2023. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| | |
| | See Sector Classification in Other Information section. |
110 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
TECHNOLOGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 23,962,752 | | | $ | — | | | $ | — | | | $ | 23,962,752 | |
Repurchase Agreements | | | — | | | | 196,930 | | | | — | | | | 196,930 | |
Securities Lending Collateral | | | 85,136 | | | | — | | | | — | | | | 85,136 | |
Total Assets | | $ | 24,047,888 | | | $ | 196,930 | | | $ | — | | | $ | 24,244,818 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 111 |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value - including $80,017 of securities loaned (cost $9,445,535) | | $ | 24,047,888 | |
Repurchase agreements, at value (cost $196,930) | | | 196,930 | |
Receivables: |
Dividends | | | 7,488 | |
Foreign tax reclaims | | | 496 | |
Securities lending income | | | 173 | |
Interest | | | 88 | |
Total assets | | | 24,253,063 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 85,136 | |
Professional fess | | | 35,839 | |
Management fees | | | 17,517 | |
Printing fees | | | 8,640 | |
Transfer agent fees | | | 7,252 | |
Investor service fees | | | 5,152 | |
Fund shares redeemed | | | 2,719 | |
Portfolio accounting and administration fees | | | 2,164 | |
Trustees’ fees* | | | 305 | |
Miscellaneous | | | 18,278 | |
Total liabilities | | | 183,002 | |
Net assets | | $ | 24,070,061 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 10,361,595 | |
Total distributable earnings (loss) | | | 13,708,466 | |
Net assets | | $ | 24,070,061 | |
Capital shares outstanding | | | 134,332 | |
Net asset value per share | | $ | 179.18 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $774) | | $ | 168,540 | |
Interest | | | 8,022 | |
Income from securities lending, net | | | 2,508 | |
Total investment income | | | 179,070 | |
| | | | | |
Expenses: |
Management fees | | | 180,677 | |
Investor service fees | | | 53,140 | |
Transfer agent fees | | | 51,404 | |
Professional fees | | | 41,189 | |
Portfolio accounting and administration fees | | | 32,946 | |
Trustees’ fees* | | | 3,196 | |
Custodian fees | | | 3,164 | |
Line of credit fees | | | 65 | |
Miscellaneous | | | 17,958 | |
Total expenses | | | 383,739 | |
Less: |
Expenses reimbursed by Adviser | | | (4,730 | ) |
Net expenses | | | 379,009 | |
Net investment loss | | | (199,939 | ) |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 1,768,792 | |
Net realized gain | | | 1,768,792 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 6,539,334 | |
Net change in unrealized appreciation (depreciation) | | | 6,539,334 | |
Net realized and unrealized gain | | | 8,308,126 | |
Net increase in net assets resulting from operations | | $ | 8,108,187 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
112 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment loss | | $ | (199,939 | ) | | $ | (203,223 | ) |
Net realized gain on investments | | | 1,768,792 | | | | 416,671 | |
Net change in unrealized appreciation (depreciation) on investments | | | 6,539,334 | | | | (9,756,937 | ) |
Net increase (decrease) in net assets resulting from operations | | | 8,108,187 | | | | (9,543,489 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (367,393 | ) | | | (1,319,879 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 17,766,905 | | | | 14,712,501 | |
Distributions reinvested | | | 367,393 | | | | 1,319,879 | |
Cost of shares redeemed | | | (17,265,223 | ) | | | (20,097,830 | ) |
Net increase (decrease) from capital share transactions | | | 869,075 | | | | (4,065,450 | ) |
Net increase (decrease) in net assets | | | 8,609,869 | | | | (14,928,818 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 15,460,192 | | | | 30,389,010 | |
End of year | | $ | 24,070,061 | | | $ | 15,460,192 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 118,358 | | | | 98,177 | |
Shares issued from reinvestment of distributions | | | 2,211 | | | | 9,773 | |
Shares redeemed | | | (112,819 | ) | | | (127,726 | ) |
Net increase (decrease) in shares | | | 7,750 | | | | (19,776 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 113 |
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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 122.14 | | | $ | 207.63 | | | $ | 184.01 | | | $ | 125.88 | | | $ | 93.07 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | (1.43 | ) | | | (1.65 | ) | | | (1.82 | ) | | | (.99 | ) | | | (.90 | ) |
Net gain (loss) on investments (realized and unrealized) | | | 61.07 | | | | (72.52 | ) | | | 38.58 | | | | 62.21 | | | | 37.66 | |
Total from investment operations | | | 59.64 | | | | (74.17 | ) | | | 36.76 | | | | 61.22 | | | | 36.76 | |
Less distributions from: |
Net realized gains | | | (2.60 | ) | | | (11.32 | ) | | | (13.14 | ) | | | (3.09 | ) | | | (3.95 | ) |
Total distributions | | | (2.60 | ) | | | (11.32 | ) | | | (13.14 | ) | | | (3.09 | ) | | | (3.95 | ) |
Net asset value, end of period | | $ | 179.18 | | | $ | 122.14 | | | $ | 207.63 | | | $ | 184.01 | | | $ | 125.88 | |
|
Total Returnb | | | 49.01 | % | | | (36.25 | %) | | | 20.50 | % | | | 49.25 | % | | | 39.75 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 24,070 | | | $ | 15,460 | | | $ | 30,389 | | | $ | 25,233 | | | $ | 22,439 | |
Ratios to average net assets: |
Net investment income (loss) | | | (0.94 | %) | | | (1.10 | %) | | | (0.92 | %) | | | (0.69 | %) | | | (0.79 | %) |
Total expenses | | | 1.81 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Net expensesc | | | 1.78 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Portfolio turnover rate | | | 100 | % | | | 78 | % | | | 113 | % | | | 192 | % | | | 188 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
114 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, Telecommunications Fund returned 6.30%, compared with the S&P 500 Index, which returned 26.29%. The S&P 500 Telecommunications Services Index returned 55.80%.
The industries that contributed the most to performance were communications equipment, movies & entertainment, and cable & satellite. The only industries that detract from performance were alternative carriers and integrated telecommunication services.
The holdings that contributed the most to performance were Arista Networks, Inc., Comcast Corp. - Class A, and Roku, Inc.. The holdings that detracted the most from performance were DISH Network Corp. - Class A, Lumen Technologies, Inc., and CommScope Holding Company, Inc.
Performance displayed represents past performance, which is no guarantee of future results.
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 |
Cisco Systems, Inc. | 9.0% |
Comcast Corp. — Class A | 8.6% |
Verizon Communications, Inc. | 7.6% |
AT&T, Inc. | 7.0% |
T-Mobile US, Inc. | 6.7% |
Arista Networks, Inc. | 4.3% |
Charter Communications, Inc. — Class A | 4.2% |
Motorola Solutions, Inc. | 3.8% |
Roku, Inc. | 2.6% |
Liberty Broadband Corp. — Class C | 2.6% |
Top Ten Total | 56.4% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 115 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Telecommunications Fund | 6.30% | 1.26% | 1.84% |
S&P 500 Telecommunication Services Index | 55.80% | 13.31% | 7.81% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Telecommunication Services Index are unmanaged 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. |
116 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
TELECOMMUNICATIONS FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.3% |
| | | | | | | | | |
Telecommunications - 69.7% |
Cisco Systems, Inc. | | | 3,507 | | | $ | 177,174 | |
Verizon Communications, Inc. | | | 3,993 | | | | 150,536 | |
AT&T, Inc. | | | 8,268 | | | | 138,737 | |
T-Mobile US, Inc. | | | 829 | | | | 132,914 | |
Arista Networks, Inc.* | | | 365 | | | | 85,961 | |
Motorola Solutions, Inc. | | | 241 | | | | 75,455 | |
Juniper Networks, Inc. | | | 1,551 | | | | 45,723 | |
Frontier Communications Parent, Inc.* | | | 1,554 | | | | 39,378 | |
Ciena Corp.* | | | 821 | | | | 36,953 | |
Telefonaktiebolaget LM Ericsson ADR | | | 5,606 | | | | 35,318 | |
Nice Ltd. ADR* | | | 174 | | | | 34,715 | |
Iridium Communications, Inc. | | | 779 | | | | 32,064 | |
BCE, Inc. | | | 809 | | | | 31,858 | |
Vodafone Group plc ADR | | | 3,580 | | | | 31,146 | |
America Movil SAB de CV ADR | | | 1,657 | | | | 30,688 | |
Rogers Communications, Inc. — Class B | | | 646 | | | | 30,239 | |
TELUS Corp. | | | 1,634 | | | | 29,069 | |
Viasat, Inc.* | | | 1,013 | | | | 28,313 | |
Nokia Oyj ADR | | | 8,043 | | | | 27,507 | |
InterDigital, Inc. | | | 229 | | | | 24,856 | |
Calix, Inc.* | | | 560 | | | | 24,466 | |
Viavi Solutions, Inc.* | | | 2,359 | | | | 23,755 | |
Extreme Networks, Inc.* | | | 1,305 | | | | 23,020 | |
Telephone & Data Systems, Inc. | | | 1,128 | | | | 20,699 | |
Harmonic, Inc.* | | | 1,269 | | | | 16,548 | |
Infinera Corp.* | | | 3,153 | | | | 14,977 | |
Gogo, Inc.* | | | 1,157 | | | | 11,720 | |
ADTRAN Holdings, Inc. | | | 1,554 | | | | 11,406 | |
Lumen Technologies, Inc.* | | | 4,036 | | | | 7,386 | |
CommScope Holding Company, Inc.* | | | 2,135 | | | | 6,021 | |
Total Telecommunications | | | | | | | 1,378,602 | |
| | | | | | | | | |
Media - 19.2% |
Comcast Corp. — Class A | | | 3,854 | | | | 168,998 | |
Charter Communications, Inc. — Class A* | | | 212 | | | | 82,400 | |
Liberty Broadband Corp. — Class C* | | | 628 | | | | 50,611 | |
Liberty Global Ltd. — Class C* | | | 1,946 | | | | 36,273 | |
DISH Network Corp. — Class A* | | | 4,374 | | | | 25,238 | |
Liberty Latin America Ltd. — Class C* | | | 2,230 | | | | 16,368 | |
Total Media | | | | | | | 379,888 | |
| | | | | | | | | |
Internet - 6.6% |
Roku, Inc.* | | | 558 | | | | 51,146 | |
F5, Inc.* | | | 280 | | | | 50,114 | |
Cogent Communications Holdings, Inc. | | | 374 | | | | 28,447 | |
Total Internet | | | | | | | 129,707 | |
| | | | | | | | | |
Computers - 2.5% |
Lumentum Holdings, Inc.* | | | 572 | | | | 29,984 | |
NetScout Systems, Inc.* | | | 835 | | | | 18,329 | |
Total Computers | | | | | | | 48,313 | |
| | | | | | | | | |
Electronics - 0.7% |
Applied Optoelectronics, Inc.* | | | 700 | | | | 13,524 | |
| | | | | | | | | |
Software - 0.6% |
Digi International, Inc.* | | | 475 | | | | 12,350 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $1,285,806) | | | | | | | 1,962,384 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,1 - 1.0% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 10,899 | | | | 10,899 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 8,783 | | | | 8,783 | |
Total Repurchase Agreements | | | | |
(Cost $19,682) | | | | | | | 19,682 | |
| | | | | | | | | |
Total Investments - 100.3% | | | | |
(Cost $1,305,488) | | $ | 1,982,066 | |
Other Assets & Liabilities, net - (0.3)% | | | (5,810 | ) |
Total Net Assets - 100.0% | | $ | 1,976,256 | |
* | 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. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 117 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
TELECOMMUNICATIONS FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 1,962,384 | | | $ | — | | | $ | — | | | $ | 1,962,384 | |
Repurchase Agreements | | | — | | | | 19,682 | | | | — | | | | 19,682 | |
Total Assets | | $ | 1,962,384 | | | $ | 19,682 | | | $ | — | | | $ | 1,982,066 | |
118 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $1,285,806) | | $ | 1,962,384 | |
Repurchase agreements, at value (cost $19,682) | | | 19,682 | |
Receivables: |
Dividends | | | 2,900 | |
Securities lending income | | | 19 | |
Interest | | | 9 | |
Total assets | | | 1,984,994 | |
| | | | | |
Liabilities: |
Payable for: |
Professional fees | | | 2,872 | |
Management fees | | | 1,404 | |
Fund shares redeemed | | | 989 | |
Printing fees | | | 692 | |
Transfer agent fees | | | 644 | |
Investor service fees | | | 413 | |
Portfolio accounting and administration fees | | | 174 | |
Trustees’ fees* | | | 25 | |
Miscellaneous | | | 1,525 | |
Total liabilities | | | 8,738 | |
Net assets | | $ | 1,976,256 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 2,672,014 | |
Total distributable earnings (loss) | | | (695,758 | ) |
Net assets | | $ | 1,976,256 | |
Capital shares outstanding | | | 35,618 | |
Net asset value per share | | $ | 55.48 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $1,570) | | $ | 61,221 | |
Interest | | | 893 | |
Income from securities lending, net | | | 458 | |
Total investment income | | | 62,572 | |
| | | | | |
Expenses: |
Management fees | | | 22,325 | |
Investor service fees | | | 6,566 | |
Transfer agent fees | | | 6,721 | |
Portfolio accounting and administration fees | | | 4,071 | |
Professional fees | | | 3,237 | |
Printing fees | | | 1,179 | |
Custodian fees | | | 558 | |
Trustees’ fees* | | | 440 | |
Miscellaneous | | | 2,430 | |
Total expenses | | | 47,527 | |
Less: |
Expenses reimbursed by Adviser | | | (466 | ) |
Net expenses | | | 47,061 | |
Net investment income | | | 15,511 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (266,644 | ) |
Net realized loss | | | (266,644 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 189,542 | |
Net change in unrealized appreciation (depreciation) | | | 189,542 | |
Net realized and unrealized loss | | | (77,102 | ) |
Net decrease in net assets resulting from operations | | $ | (61,591 | ) |
* | 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 ANNUAL REPORT | 119 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 15,511 | | | $ | 16,827 | |
Net realized loss on investments | | | (266,644 | ) | | | (493,385 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 189,542 | | | | (583,949 | ) |
Net decrease in net assets resulting from operations | | | (61,591 | ) | | | (1,060,507 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (16,914 | ) | | | (20,013 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 5,923,994 | | | | 2,713,464 | |
Distributions reinvested | | | 16,914 | | | | 20,013 | |
Cost of shares redeemed | | | (5,937,175 | ) | | | (6,589,223 | ) |
Net increase (decrease) from capital share transactions | | | 3,733 | | | | (3,855,746 | ) |
Net decrease in net assets | | | (74,772 | ) | | | (4,936,266 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 2,051,028 | | | | 6,987,294 | |
End of year | | $ | 1,976,256 | | | $ | 2,051,028 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 107,953 | | | | 46,758 | |
Shares issued from reinvestment of distributions | | | 314 | | | | 343 | |
Shares redeemed | | | (111,627 | ) | | | (105,977 | ) |
Net decrease in shares | | | (3,360 | ) | | | (58,876 | ) |
120 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 52.62 | | | $ | 71.41 | | | $ | 66.03 | | | $ | 60.85 | | | $ | 53.75 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .32 | | | | .37 | | | | .44 | | | | .48 | | | | .37 | |
Net gain (loss) on investments (realized and unrealized) | | | 2.98 | c | | | (18.80 | ) | | | 5.48 | | | | 5.27 | c | | | 6.73 | |
Total from investment operations | | | 3.30 | | | | (18.43 | ) | | | 5.92 | | | | 5.75 | | | | 7.10 | |
Less distributions from: |
Net investment income | | | (.44 | ) | | | (.36 | ) | | | (.54 | ) | | | (.57 | ) | | | — | |
Total distributions | | | (.44 | ) | | | (.36 | ) | | | (.54 | ) | | | (.57 | ) | | | — | |
Net asset value, end of period | | $ | 55.48 | | | $ | 52.62 | | | $ | 71.41 | | | $ | 66.03 | | | $ | 60.85 | |
|
Total Returnb | | | 6.30 | % | | | (25.85 | %) | | | 8.98 | % | | | 9.49 | % | | | 13.21 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 1,976 | | | $ | 2,051 | | | $ | 6,987 | | | $ | 3,254 | | | $ | 3,250 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.59 | % | | | 0.62 | % | | | 0.62 | % | | | 0.81 | % | | | 0.63 | % |
Total expenses | | | 1.81 | % | | | 1.77 | % | | | 1.70 | % | | | 1.82 | % | | | 1.82 | % |
Net expensesd | | | 1.79 | % | | | 1.77 | % | | | 1.70 | % | | | 1.82 | % | | | 1.82 | % |
Portfolio turnover rate | | | 260 | % | | | 113 | % | | | 237 | % | | | 258 | % | | | 263 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | 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. |
d | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 121 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
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”).
For the Reporting Period, Transportation Fund returned 24.48%, compared with the S&P 500 Index, which returned 26.29%. The S&P 500 Industrials Index returned 18.13%.
The industries that contributed the most to performance were automobile manufacturers, passenger ground transportation, and cargo ground transportation. The industries that detracted the most from performance were marine transportation and motorcycle manufacturers.
The holdings that contributed the most to performance were Tesla, Inc., Uber Technologies, Inc., and FedEx Corp. The holdings that detracted the most from performance were Fisker, Inc. - Class A, ZIM Integrated Shipping Services, Ltd., and United Parcel Service, Inc. - Class B.
Performance displayed represents past performance, which is no guarantee of future results.
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. | 10.2% |
Union Pacific Corp. | 4.8% |
Uber Technologies, Inc. | 4.2% |
United Parcel Service, Inc. — Class B | 4.2% |
CSX Corp. | 3.3% |
Norfolk Southern Corp. | 2.9% |
FedEx Corp. | 2.9% |
Ford Motor Co. | 2.9% |
General Motors Co. | 2.8% |
Old Dominion Freight Line, Inc. | 2.6% |
Top Ten Total | 40.8% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
122 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Transportation Fund | 24.48% | 11.18% | 7.27% |
S&P 500 Industrials Index | 18.13% | 14.21% | 10.00% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Industrials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | 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. |
| | THE RYDEX FUNDS ANNUAL REPORT | 123 |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
TRANSPORTATION FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.4% |
| | | | | | | | | |
Transportation - 36.7% |
Union Pacific Corp. | | | 1,101 | | | $ | 270,428 | |
United Parcel Service, Inc. — Class B | | | 1,481 | | | | 232,858 | |
CSX Corp. | | | 5,267 | | | | 182,607 | |
Norfolk Southern Corp. | | | 687 | | | | 162,393 | |
FedEx Corp. | | | 637 | | | | 161,142 | |
Old Dominion Freight Line, Inc. | | | 355 | | | | 143,892 | |
Expeditors International of Washington, Inc. | | | 753 | | | | 95,782 | |
J.B. Hunt Transport Services, Inc. | | | 451 | | | | 90,083 | |
Canadian Pacific Kansas City Ltd. | | | 1,108 | | | | 87,598 | |
Canadian National Railway Co. | | | 681 | | | | 85,554 | |
ZTO Express Cayman, Inc. ADR | | | 3,645 | | | | 77,566 | |
XPO, Inc.* | | | 827 | | | | 72,437 | |
CH Robinson Worldwide, Inc. | | | 784 | | | | 67,730 | |
Knight-Swift Transportation Holdings, Inc. | | | 1,139 | | | | 65,663 | |
Saia, Inc.* | | | 148 | | | | 64,856 | |
Landstar System, Inc. | | | 303 | | | | 58,676 | |
Hub Group, Inc. — Class A* | | | 423 | | | | 38,891 | |
Werner Enterprises, Inc. | | | 847 | | | | 35,887 | |
ArcBest Corp. | | | 296 | | | | 35,582 | |
Forward Air Corp. | | | 427 | | | | 26,845 | |
Total Transportation | | | | | | | 2,056,470 | |
| | | | | | | | | |
Auto Manufacturers - 27.3% |
Tesla, Inc.* | | | 2,310 | | | | 573,989 | |
Ford Motor Co. | | | 13,134 | | | | 160,104 | |
General Motors Co. | | | 4,372 | | | | 157,042 | |
Rivian Automotive, Inc. — Class A* | | | 4,396 | | | | 103,130 | |
NIO, Inc. ADR*,1 | | | 11,341 | | | | 102,863 | |
Li Auto, Inc. ADR* | | | 2,372 | | | | 88,784 | |
Stellantis N.V.1 | | | 3,503 | | | | 81,690 | |
Honda Motor Company Ltd. ADR | | | 2,487 | | | | 76,873 | |
Toyota Motor Corp. ADR | | | 401 | | | | 73,535 | |
Ferrari N.V. | | | 212 | | | | 71,747 | |
Lucid Group, Inc.*,1 | | | 9,237 | | | | 38,888 | |
Total Auto Manufacturers | | | | | | | 1,528,645 | |
| | | | | | | | | |
Auto Parts & Equipment - 13.5% |
Aptiv plc* | | | 1,017 | | | | 91,245 | |
Mobileye Global, Inc. — Class A* | | | 1,978 | | | | 85,687 | |
Autoliv, Inc. | | | 771 | | | | 84,957 | |
Magna International, Inc. | | | 1,414 | | | | 83,539 | |
BorgWarner, Inc. | | | 1,826 | | | | 65,462 | |
Lear Corp. | | | 455 | | | | 64,251 | |
Gentex Corp. | | | 1,887 | | | | 61,629 | |
Goodyear Tire & Rubber Co.* | | | 3,092 | | | | 44,277 | |
Adient plc* | | | 1,149 | | | | 41,778 | |
Visteon Corp.* | | | 331 | | | | 41,342 | |
Fox Factory Holding Corp.* | | | 554 | | | | 37,384 | |
QuantumScape Corp.* | | | 4,919 | | | | 34,187 | |
Luminar Technologies, Inc.*,1 | | | 5,840 | | | | 19,681 | |
Total Auto Parts & Equipment | | | | | | | 755,419 | |
| | | | | | | | | |
Airlines - 11.3% |
Delta Air Lines, Inc. | | | 2,699 | | | | 108,581 | |
Southwest Airlines Co. | | | 3,021 | | | | 87,246 | |
Ryanair Holdings plc ADR* | | | 620 | | | | 82,683 | |
Copa Holdings S.A. — Class A | | | 776 | | | | 82,497 | |
United Airlines Holdings, Inc.* | | | 1,926 | | | | 79,467 | |
American Airlines Group, Inc.* | | | 4,619 | | | | 63,465 | |
Alaska Air Group, Inc.* | | | 1,300 | | | | 50,791 | |
SkyWest, Inc.* | | | 622 | | | | 32,468 | |
JetBlue Airways Corp.* | | | 5,036 | | | | 27,950 | |
Allegiant Travel Co. — Class A | | | 227 | | | | 18,752 | |
Total Airlines | | | | | | | 633,900 | |
| | | | | | | | | |
Internet - 6.5% |
Uber Technologies, Inc.* | | | 3,852 | | | | 237,167 | |
Grab Holdings Ltd. — Class A* | | | 21,671 | | | | 73,031 | |
Lyft, Inc. — Class A* | | | 3,625 | | | | 54,339 | |
Total Internet | | | | | | | 364,537 | |
| | | | | | | | | |
Commercial Services - 2.2% |
GXO Logistics, Inc.* | | | 978 | | | | 59,814 | |
Avis Budget Group, Inc. | | | 210 | | | | 37,225 | |
Hertz Global Holdings, Inc.* | | | 2,489 | | | | 25,861 | |
Total Commercial Services | | | | | | | 122,900 | |
| | | | | | | | | |
Home Builders - 1.0% |
Thor Industries, Inc. | | | 475 | | | | 56,169 | |
| | | | | | | | | |
Leisure Time - 0.9% |
Harley-Davidson, Inc. | | | 1,348 | | | | 49,660 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $3,117,257) | | | | | | | 5,567,700 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,2 - 0.7% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 22,035 | | | | 22,035 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 17,758 | | | | 17,758 | |
Total Repurchase Agreements | | | | |
(Cost $39,793) | | | | | | | 39,793 | |
124 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
TRANSPORTATION FUND | |
| | Shares | | | Value | |
SECURITIES LENDING COLLATERAL†,3 - 2.9% |
Money Market Fund | | | | | | | | |
First American Government Obligations Fund - Class X, 5.29%4 | | | 160,483 | | | $ | 160,483 | |
Total Securities Lending Collateral | | | | |
(Cost $160,483) | | | | | | | 160,483 | |
| | | | | | | | | |
Total Investments - 103.0% | | | | |
(Cost $3,317,533) | | $ | 5,767,976 | |
Other Assets & Liabilities, net - (3.0)% | | | (170,298 | ) |
Total Net Assets - 100.0% | | $ | 5,597,678 | |
* | 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 December 31, 2023 — 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 December 31, 2023. |
| | 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 December 31, 2023 (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 | | $ | 5,567,700 | | | $ | — | | | $ | — | | | $ | 5,567,700 | |
Repurchase Agreements | | | — | | | | 39,793 | | | | — | | | | 39,793 | |
Securities Lending Collateral | | | 160,483 | | | | — | | | | — | | | | 160,483 | |
Total Assets | | $ | 5,728,183 | | | $ | 39,793 | | | $ | — | | | $ | 5,767,976 | |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 125 |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value - including $148,891 of securities loaned (cost $3,277,740) | | $ | 5,728,183 | |
Repurchase agreements, at value (cost $39,793) | | | 39,793 | |
Receivables: |
Securities sold | | | 69,413 | |
Fund shares sold | | | 2,551 | |
Dividends | | | 2,029 | |
Securities lending income | | | 333 | |
Interest | | | 18 | |
Total assets | | | 5,842,320 | |
| | | | | |
Liabilities: |
Payable for: |
Return of securities lending collateral | | | 160,483 | |
Fund shares redeemed | | | 65,365 | |
Management fees | | | 3,642 | |
Transfer agent fees | | | 1,369 | |
Investor service fees | | | 1,071 | |
Portfolio accounting and administration fees | | | 450 | |
Trustees’ fees* | | | 59 | |
Miscellaneous | | | 12,203 | |
Total liabilities | | | 244,642 | |
Net assets | | $ | 5,597,678 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 4,382,293 | |
Total distributable earnings (loss) | | | 1,215,385 | |
Net assets | | $ | 5,597,678 | |
Capital shares outstanding | | | 63,019 | |
Net asset value per share | | $ | 88.83 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $5,752) | | $ | 79,238 | |
Interest | | | 1,603 | |
Income from securities lending, net | | | 10,784 | |
Total investment income | | | 91,625 | |
| | | | | |
Expenses: |
Management fees | | | 39,709 | |
Investor service fees | | | 11,679 | |
Transfer agent fees | | | 11,461 | |
Professional fees | | | 7,788 | |
Portfolio accounting and administration fees | | | 7,241 | |
Custodian fees | | | 842 | |
Trustees’ fees* | | | 723 | |
Line of credit fees | | | 13 | |
Miscellaneous | | | 4,997 | |
Total expenses | | | 84,453 | |
Less: |
Expenses reimbursed by Adviser | | | (976 | ) |
Net expenses | | | 83,477 | |
Net investment income | | | 8,148 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | (366,324 | ) |
Net realized loss | | | (366,324 | ) |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | 872,134 | |
Net change in unrealized appreciation (depreciation) | | | 872,134 | |
Net realized and unrealized gain | | | 505,810 | |
Net increase in net assets resulting from operations | | $ | 513,958 | |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
126 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income (loss) | | $ | 8,148 | | | $ | (7,922 | ) |
Net realized loss on investments | | | (366,324 | ) | | | (237,027 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 872,134 | | | | (2,336,630 | ) |
Net increase (decrease) in net assets resulting from operations | | | 513,958 | | | | (2,581,579 | ) |
| | | | | | | | | |
Distributions to shareholders | | | — | | | | (439,796 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 15,134,541 | | | | 15,420,224 | |
Distributions reinvested | | | — | | | | 439,796 | |
Cost of shares redeemed | | | (13,379,514 | ) | | | (16,382,298 | ) |
Net increase (decrease) from capital share transactions | | | 1,755,027 | | | | (522,278 | ) |
Net increase (decrease) in net assets | | | 2,268,985 | | | | (3,543,653 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 3,328,693 | | | | 6,872,346 | |
End of year | | $ | 5,597,678 | | | $ | 3,328,693 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 180,282 | | | | 149,441 | |
Shares issued from reinvestment of distributions | | | — | | | | 5,339 | |
Shares redeemed | | | (163,909 | ) | | | (163,187 | ) |
Net increase (decrease) in shares | | | 16,373 | | | | (8,407 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 71.36 | | | $ | 124.83 | | | $ | 109.37 | | | $ | 80.67 | | | $ | 66.01 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .15 | | | | (.16 | ) | | | (.02 | ) | | | (.72 | ) | | | .09 | |
Net gain (loss) on investments (realized and unrealized) | | | 17.32 | | | | (42.05 | ) | | | 23.27 | | | | 32.30 | | | | 14.60 | |
Total from investment operations | | | 17.47 | | | | (42.21 | ) | | | 23.25 | | | | 31.58 | | | | 14.69 | |
Less distributions from: |
Net investment income | | | — | | | | — | | | | — | | | | (.14 | ) | | | — | |
Net realized gains | | | — | | | | (11.26 | ) | | | (7.79 | ) | | | (2.74 | ) | | | (.03 | ) |
Total distributions | | | — | | | | (11.26 | ) | | | (7.79 | ) | | | (2.88 | ) | | | (.03 | ) |
Net asset value, end of period | | $ | 88.83 | | | $ | 71.36 | | | $ | 124.83 | | | $ | 109.37 | | | $ | 80.67 | |
|
Total Returnb | | | 24.48 | % | | | (35.03 | %) | | | 22.17 | % | | | 40.62 | % | | | 22.24 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 5,598 | | | $ | 3,329 | | | $ | 6,872 | | | $ | 7,900 | | | $ | 4,723 | |
Ratios to average net assets: |
Net investment income (loss) | | | 0.17 | % | | | (0.17 | %) | | | (0.02 | %) | | | (0.86 | %) | | | 0.11 | % |
Total expenses | | | 1.81 | % | | | 1.77 | % | | | 1.70 | % | | | 1.82 | % | | | 1.83 | % |
Net expensesc | | | 1.79 | % | | | 1.77 | % | | | 1.70 | % | | | 1.82 | % | | | 1.83 | % |
Portfolio turnover rate | | | 318 | % | | | 343 | % | | | 326 | % | | | 373 | % | | | 277 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
128 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | December 31, 2023 |
UTILITIES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that operate public utilities (“Utilities Companies”).
For the Reporting Period, Utilities Fund returned -7.12%, compared with the S&P 500 Index, which returned 26.29%. The S&P 500 Utilities Index returned -7.08%.
The only industry that contributed to performance was independent power producers. The industries that detracted the most from performance were multi-utilities, electric utilities, and renewable electricity.
The holdings that contributed the most to performance were Constellation Energy Corp., Vistra Corp., and NRG Energy, Inc. The holdings that detracted the most from performance were NextEra Energy Partners, LP, Dominion Energy, Inc., and AES Corp.
Performance displayed represents past performance, which is no guarantee of future results.
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. | 5.4% |
Duke Energy Corp. | 4.3% |
Southern Co. | 4.2% |
Sempra | 3.4% |
American Electric Power Company, Inc. | 3.2% |
Constellation Energy Corp. | 3.1% |
PG&E Corp. | 3.1% |
Dominion Energy, Inc. | 3.1% |
Xcel Energy, Inc. | 2.9% |
Exelon Corp. | 2.8% |
Top Ten Total | 35.5% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 129 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | December 31, 2023 |
Cumulative Fund Performance*,†
Average Annual Returns*,†
Periods Ended December 31, 2023
| 1 Year | 5 Year | 10 Year |
Utilities Fund | (7.12%) | 3.94% | 6.35% |
S&P 500 Utilities Index | (7.08%) | 7.11% | 8.91% |
S&P 500 Index | 26.29% | 15.69% | 12.03% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Utilities Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | 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. |
130 | THE RYDEX FUNDS ANNUAL REPORT | |
SCHEDULE OF INVESTMENTS | December 31, 2023 |
UTILITIES FUND | |
| | Shares | | | Value | |
COMMON STOCKS† - 99.7% |
| | | | | | | | | |
Electric - 85.0% |
NextEra Energy, Inc. | | | 8,513 | | | $ | 517,080 | |
Duke Energy Corp. | | | 4,188 | | | | 406,403 | |
Southern Co. | | | 5,714 | | | | 400,666 | |
Sempra | | | 4,311 | | | | 322,161 | |
American Electric Power Company, Inc. | | | 3,719 | | | | 302,057 | |
Constellation Energy Corp. | | | 2,533 | | | | 296,082 | |
PG&E Corp. | | | 16,108 | | | | 290,427 | |
Dominion Energy, Inc. | | | 6,175 | | | | 290,225 | |
Xcel Energy, Inc. | | | 4,394 | | | | 272,032 | |
Exelon Corp. | | | 7,333 | | | | 263,255 | |
Consolidated Edison, Inc. | | | 2,828 | | | | 257,263 | |
Public Service Enterprise Group, Inc. | | | 4,145 | | | | 253,467 | |
Edison International | | | 3,501 | | | | 250,286 | |
WEC Energy Group, Inc. | | | 2,834 | | | | 238,538 | |
Eversource Energy | | | 3,576 | | | | 220,711 | |
Entergy Corp. | | | 2,119 | | | | 214,422 | |
PPL Corp. | | | 7,804 | | | | 211,488 | |
DTE Energy Co. | | | 1,908 | | | | 210,376 | |
FirstEnergy Corp. | | | 5,635 | | | | 206,579 | |
CenterPoint Energy, Inc. | | | 6,839 | | | | 195,390 | |
Ameren Corp. | | | 2,675 | | | | 193,509 | |
CMS Energy Corp. | | | 3,297 | | | | 191,457 | |
Vistra Corp. | | | 4,543 | | | | 174,996 | |
AES Corp. | | | 8,828 | | | | 169,939 | |
Alliant Energy Corp. | | | 3,240 | | | | 166,212 | |
NRG Energy, Inc. | | | 3,188 | | | | 164,820 | |
Evergy, Inc. | | | 3,083 | | | | 160,933 | |
Fortis, Inc. | | | 3,520 | | | | 144,778 | |
Pinnacle West Capital Corp. | | | 1,802 | | | | 129,456 | |
OGE Energy Corp. | | | 3,478 | | | | 121,486 | |
Algonquin Power & Utilities Corp. | | | 19,108 | | | | 120,763 | |
Clearway Energy, Inc. — Class C | | | 4,085 | | | | 112,052 | |
Portland General Electric Co. | | | 2,264 | | | | 98,122 | |
Black Hills Corp. | | | 1,646 | | | | 88,802 | |
Ormat Technologies, Inc. | | | 1,105 | | | | 83,748 | |
Northwestern Energy Group, Inc. | | | 1,595 | | | | 81,170 | |
Avista Corp. | | | 2,175 | | | | 77,734 | |
Avangrid, Inc. | | | 2,174 | | | | 70,459 | |
Hawaiian Electric Industries, Inc. | | | 4,229 | | | | 60,009 | |
Otter Tail Corp. | | | 603 | | | | 51,237 | |
Total Electric | | | | | | | 8,080,590 | |
| | | | | | | | | |
Gas - 9.2% |
Atmos Energy Corp. | | | 1,676 | | | | 194,249 | |
NiSource, Inc. | | | 5,778 | | | | 153,406 | |
Brookfield Infrastructure Corp. — Class A | | | 3,930 | | | | 138,650 | |
UGI Corp. | | | 4,464 | | | | 109,814 | |
Southwest Gas Holdings, Inc. | | | 1,541 | | | | 97,622 | |
New Jersey Resources Corp. | | | 2,176 | | | | 97,006 | |
ONE Gas, Inc. | | | 1,398 | | | | 89,081 | |
Total Gas | | | | | | | 879,828 | |
| | | | | | | | | |
Water - 4.0% |
American Water Works Company, Inc. | | | 1,782 | | | | 235,206 | |
Essential Utilities, Inc. | | | 3,886 | | | | 145,142 | |
Total Water | | | | | | | 380,348 | |
| | | | | | | | | |
Energy-Alternate Sources - 1.5% |
NextEra Energy Partners, LP | | | 2,446 | | | | 74,383 | |
Sunnova Energy International, Inc.* | | | 4,227 | | | | 64,462 | |
Total Energy-Alternate Sources | | | | | | | 138,845 | |
| | | | | | | | | |
Total Common Stocks | | | | |
(Cost $4,548,460) | | | | | | | 9,479,611 | |
| | | | | | | | | |
| | | Face
Amount | | | | | |
REPURCHASE AGREEMENTS††,1 - 0.5% |
J.P. Morgan Securities LLC
issued 12/29/23 at 5.33%
due 01/02/24 | | $ | 26,104 | | | | 26,104 | |
BofA Securities, Inc.
issued 12/29/23 at 5.35%
due 01/02/24 | | | 21,037 | | | | 21,037 | |
Total Repurchase Agreements | | | | |
(Cost $47,141) | | | | | | | 47,141 | |
| | | | | | | | | |
Total Investments - 100.2% | | | | |
(Cost $4,595,601) | | $ | 9,526,752 | |
Other Assets & Liabilities, net - (0.2)% | | | (17,915 | ) |
Total Net Assets - 100.0% | | $ | 9,508,837 | |
* | 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 ANNUAL REPORT | 131 |
SCHEDULE OF INVESTMENTS (concluded) | December 31, 2023 |
UTILITIES FUND | |
The following table summarizes the inputs used to value the Fund’s investments at December 31, 2023 (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 | | $ | 9,479,611 | | | $ | — | | | $ | — | | | $ | 9,479,611 | |
Repurchase Agreements | | | — | | | | 47,141 | | | | — | | | | 47,141 | |
Total Assets | | $ | 9,479,611 | | | $ | 47,141 | | | $ | — | | | $ | 9,526,752 | |
132 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES |
December 31, 2023 |
Assets: |
Investments, at value (cost $4,548,460) | | $ | 9,479,611 | |
Repurchase agreements, at value (cost $47,141) | | | 47,141 | |
Receivables: |
Dividends | | | 17,892 | |
Fund shares sold | | | 2,039 | |
Interest | | | 21 | |
Securities lending income | | | 3 | |
Total assets | | | 9,546,707 | |
| | | | | |
Liabilities: |
Payable for: |
Professional fees | | | 13,594 | |
Management fees | | | 6,647 | |
Printing fees | | | 3,277 | |
Transfer agent fees | | | 2,818 | |
Investor service fees | | | 1,955 | |
Fund shares redeemed | | | 1,709 | |
Portfolio accounting and administration fees | | | 821 | |
Trustees’ fees* | | | 115 | |
Miscellaneous | | | 6,934 | |
Total liabilities | | | 37,870 | |
Net assets | | $ | 9,508,837 | |
| | | | | |
Net assets consist of: |
Paid in capital | | $ | 12,131,531 | |
Total distributable earnings (loss) | | | (2,622,694 | ) |
Net assets | | $ | 9,508,837 | |
Capital shares outstanding | | | 300,272 | |
Net asset value per share | | $ | 31.67 | |
STATEMENT OF OPERATIONS |
Year Ended December 31, 2023 |
Investment Income: |
Dividends (net of foreign withholding tax of $2,287) | | $ | 347,231 | |
Interest | | | 3,242 | |
Income from securities lending, net | | | 526 | |
Total investment income | | | 350,999 | |
| | | | | |
Expenses: |
Management fees | | | 93,550 | |
Investor service fees | | | 27,515 | |
Transfer agent fees | | | 29,595 | |
Portfolio accounting and administration fees | | | 17,059 | |
Professional fees | | | 15,173 | |
Trustees’ fees* | | | 2,530 | |
Custodian fees | | | 1,814 | |
Line of credit fees | | | 44 | |
Miscellaneous | | | 11,065 | |
Total expenses | | | 198,345 | |
Less: |
Expenses reimbursed by Adviser | | | (1,823 | ) |
Net expenses | | | 196,522 | |
Net investment income | | | 154,477 | |
| | | | | |
Net Realized and Unrealized Gain (Loss): |
Net realized gain (loss) on: |
Investments | | | 925,391 | |
Net realized gain | | | 925,391 | |
Net change in unrealized appreciation (depreciation) on: |
Investments | | | (2,169,381 | ) |
Net change in unrealized appreciation (depreciation) | | | (2,169,381 | ) |
Net realized and unrealized loss | | | (1,243,990 | ) |
Net decrease in net assets resulting from operations | | $ | (1,089,513 | ) |
* | 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 ANNUAL REPORT | 133 |
STATEMENTS OF CHANGES IN NET ASSETS |
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
Net investment income | | $ | 154,477 | | | $ | 164,365 | |
Net realized gain (loss) on investments | | | 925,391 | | | | (7,415,230 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | (2,169,381 | ) | | | 150,803 | |
Net decrease in net assets resulting from operations | | | (1,089,513 | ) | | | (7,100,062 | ) |
| | | | | | | | | |
Distributions to shareholders | | | (167,571 | ) | | | (247,060 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
Proceeds from sale of shares | | | 11,180,016 | | | | 90,927,663 | |
Distributions reinvested | | | 167,571 | | | | 247,060 | |
Cost of shares redeemed | | | (17,718,262 | ) | | | (80,135,234 | ) |
Net increase (decrease) from capital share transactions | | | (6,370,675 | ) | | | 11,039,489 | |
Net increase (decrease) in net assets | | | (7,627,759 | ) | | | 3,692,367 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
Beginning of year | | | 17,136,596 | | | | 13,444,229 | |
End of year | | $ | 9,508,837 | | | $ | 17,136,596 | |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
Shares sold | | | 342,293 | | | | 2,552,843 | |
Shares issued from reinvestment of distributions | | | 5,070 | | | | 7,331 | |
Shares redeemed | | | (541,690 | ) | | | (2,451,249 | ) |
Net increase (decrease) in shares | | | (194,327 | ) | | | 108,925 | |
134 | THE RYDEX FUNDS 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.
| | Year Ended
December 31,
2023 | | | Year Ended
December 31,
2022 | | | Year Ended
December 31,
2021 | | | Year Ended
December 31,
2020 | | | Year Ended
December 31,
2019 | |
Per Share Data |
Net asset value, beginning of period | | $ | 34.65 | | | $ | 34.86 | | | $ | 30.93 | | | $ | 33.76 | | | $ | 28.43 | |
Income (loss) from investment operations: |
Net investment income (loss)a | | | .46 | | | | .29 | | | | .43 | | | | .41 | | | | .39 | |
Net gain (loss) on investments (realized and unrealized) | | | (2.92 | ) | | | .07 | | | | 4.02 | | | | (2.20 | ) | | | 5.01 | |
Total from investment operations | | | (2.46 | ) | | | .36 | | | | 4.45 | | | | (1.79 | ) | | | 5.40 | |
Less distributions from: |
Net investment income | | | (.52 | ) | | | (.31 | ) | | | (.52 | ) | | | (.55 | ) | | | (.07 | ) |
Net realized gains | | | — | | | | (.26 | ) | | | — | | | | (.49 | ) | | | — | |
Total distributions | | | (.52 | ) | | | (.57 | ) | | | (.52 | ) | | | (1.04 | ) | | | (.07 | ) |
Net asset value, end of period | | $ | 31.67 | | | $ | 34.65 | | | $ | 34.86 | | | $ | 30.93 | | | $ | 33.76 | |
|
Total Returnb | | | (7.12 | %) | | | 1.04 | % | | | 14.52 | % | | | (5.13 | %) | | | 19.01 | % |
Ratios/Supplemental Data |
Net assets, end of period (in thousands) | | $ | 9,509 | | | $ | 17,137 | | | $ | 13,444 | | | $ | 11,801 | | | $ | 16,035 | |
Ratios to average net assets: |
Net investment income (loss) | | | 1.40 | % | | | 0.83 | % | | | 1.32 | % | | | 1.34 | % | | | 1.22 | % |
Total expenses | | | 1.80 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Net expensesc | | | 1.79 | % | | | 1.77 | % | | | 1.69 | % | | | 1.82 | % | | | 1.82 | % |
Portfolio turnover rate | | | 102 | % | | | 387 | % | | | 110 | % | | | 151 | % | | | 144 | % |
a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
b | 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. |
c | Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 135 |
NOTES TO FINANCIAL STATEMENTS |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Variable Trust (the “Trust”), a Delaware statutory trust, is registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940 (the “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 December 31, 2023, 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 | Investment
Company Type |
Banking Fund | Diversified |
Basic Materials Fund | Diversified |
Biotechnology Fund | 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 (the “Adviser”), which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) serves as distributor of the Funds’ shares. 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 each Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, by the number of outstanding shares of that Fund on the specified date.
(a) Valuation of Investments
The Board of Trustees of the Trust (the “Board”) adopted policies and procedures for the valuation of the Funds’ investments (the “Fund Valuation Procedures”). The SEC adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.
Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Funds with respect to all Fund investments and other assets. As the Funds’ valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures” and collectively with the Fund Valuation Procedures, the “Valuation Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Funds’ securities and other assets.
136 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
Valuations of the Funds’ securities and other assets are supplied primarily by pricing service providers appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing service providers.
If a pricing service provider cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Adviser.
Equity securities listed or traded on a recognized U.S. securities exchange or the Nasdaq Stock Market (“NASDAQ”) National Market System will 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.
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 generally 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 the Adviser. 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 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, geopolitical 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 the Funds’ 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 December 31, 2023, 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
| | THE RYDEX FUNDS ANNUAL REPORT | 137 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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.
(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 5.33% at December 31, 2023.
(g) Indemnifications
Under the Trust’s organizational documents, the Trustees and Officers of the Trust 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 under 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.
On May 24, 2023, the Board approved a waiver and/or expense reimbursement arrangement whereby GI has agreed to waive and/or reimburse expenses for each Fund in an amount equal to an annual percentage rate of 0.05% of that Fund’s average daily net assets. This arrangement went into effect on August 1, 2023 and the end of the initial term is August 1, 2024. This agreement shall automatically renew for one-year terms, unless GI provides written notice to the applicable Fund or Funds 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 Board upon sixty days’ written notice to the Adviser. In addition, the agreement will terminate automatically if the Advisory Agreement, with respect to a Fund, is terminated, with such termination effective upon the effective date of the termination of the Advisory Agreement.
138 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 3 – Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (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.
The tax character of distributions paid during the year ended December 31, 2023 was as follows:
Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
Banking Fund | | $ | 51,206 | | | $ | — | | | $ | 51,206 | |
Biotechnology Fund | | | — | | | | 132,244 | | | | 132,244 | |
Consumer Products Fund | | | 145,745 | | | | 54,334 | | | | 200,079 | |
Electronics Fund | | | — | | | | 745,906 | | | | 745,906 | |
Energy Fund | | | 882,712 | | | | — | | | | 882,712 | |
Health Care Fund | | | 14,823 | | | | 562,511 | | | | 577,334 | |
Precious Metals Fund | | | 57,952 | | | | — | | | | 57,952 | |
Real Estate Fund | | | 63,026 | | | | 189,779 | | | | 252,805 | |
Technology Fund | | | — | | | | 367,393 | | | | 367,393 | |
Telecommunications Fund | | | 16,914 | | | | — | | | | 16,914 | |
Utilities Fund | | | 167,571 | | | | — | | | | 167,571 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 139 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributions paid during the year ended December 31, 2022 was as follows:
Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
Banking Fund | | $ | 65,582 | | | $ | — | | | $ | 65,582 | |
Basic Materials Fund | | | 211,818 | | | | — | | | | 211,818 | |
Biotechnology Fund | | | — | | | | 1,396,614 | | | | 1,396,614 | |
Consumer Products Fund | | | 253,942 | | | | 576,959 | | | | 830,901 | |
Electronics Fund | | | 326,501 | | | | 45,380 | | | | 371,881 | |
Energy Fund | | | 270,279 | | | | — | | | | 270,279 | |
Financial Services Fund | | | 927,317 | | | | 111,511 | | | | 1,038,828 | |
Health Care Fund | | | 325,376 | | | | 674,197 | | | | 999,573 | |
Internet Fund | | | — | | | | 1,179,293 | | | | 1,179,293 | |
Precious Metals Fund | | | 93,847 | | | | — | | | | 93,847 | |
Real Estate Fund | | | 328,350 | | | | 90,656 | | | | 419,006 | |
Retailing Fund | | | 104,064 | | | | — | | | | 104,064 | |
Technology Fund | | | 346,875 | | | | 973,004 | | | | 1,319,879 | |
Telecommunications Fund | | | 20,013 | | | | — | | | | 20,013 | |
Transportation Fund | | | 439,796 | | | | — | | | | 439,796 | |
Utilities Fund | | | 137,068 | | | | 109,992 | | | | 247,060 | |
Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of distributable earnings/(loss) as of December 31, 2023 were as follows:
Fund | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital Gain | | | Net Unrealized
Appreciation
(Depreciation) | | | Accumulated
Capital and
Other Losses | | | Other
Temporary
Differences | | | Total | |
Banking Fund | | $ | 62,928 | | | $ | — | | | $ | 994,433 | | | $ | (589,452 | ) | | $ | — | | | $ | 467,909 | |
Basic Materials Fund | | | 64,199 | | | | — | | | | 2,850,340 | | | | (81,517 | ) | | | 19,017 | | | | 2,852,039 | |
Biotechnology Fund | | | 12,551 | | | | 942,725 | | | | 4,927,359 | | | | — | | | | — | | | | 5,882,635 | |
Consumer Products Fund | | | 101,574 | | | | — | | | | 3,876,647 | | | | (206,088 | ) | | | — | | | | 3,772,133 | |
Electronics Fund | | | 459,071 | | | | — | | | | 13,428,544 | | | | — | | | | — | | | | 13,887,615 | |
Energy Fund | | | 358,248 | | | | — | | | | 4,869,762 | | | | (857,944 | ) | | | — | | | | 4,370,066 | |
Energy Services Fund | | | — | | | | — | | | | 1,858,568 | | | | (9,940,268 | ) | | | — | | | | (8,081,700 | ) |
Financial Services Fund | | | 142,936 | | | | — | | | | 3,858,774 | | | | — | | | | (245 | ) | | | 4,001,465 | |
Health Care Fund | | | 373,426 | | | | 20,091 | | | | 7,526,393 | | | | — | | | | — | | | | 7,919,910 | |
Internet Fund | | | — | | | | — | | | | 2,816,170 | | | | (5,798 | ) | | | — | | | | 2,810,372 | |
Leisure Fund | | | 2,061 | | | | — | | | | 1,396,732 | | | | (486,242 | ) | | | — | | | | 912,551 | |
Precious Metals Fund | | | 292,332 | | | | — | | | | 1,257,054 | | | | (14,683,302 | ) | | | (86,192 | ) | | | (13,220,108 | ) |
Real Estate Fund | | | 60,457 | | | | — | | | | 1,604,514 | | | | (153,747 | ) | | | 9,787 | | | | 1,521,011 | |
Retailing Fund | | | — | | | | — | | | | 1,301,245 | | | | (618,129 | ) | | | — | | | | 683,116 | |
Technology Fund | | | 519,273 | | | | 360,793 | | | | 12,828,400 | | | | — | | | | — | | | | 13,708,466 | |
Telecommunications Fund | | | 16,705 | | | | — | | | | 98,145 | | | | (810,608 | ) | | | — | | | | (695,758 | ) |
Transportation Fund | | | 21,532 | | | | — | | | | 2,079,282 | | | | (885,429 | ) | | | — | | | | 1,215,385 | |
Utilities Fund | | | 167,521 | | | | — | | | | 3,852,107 | | | | (6,642,322 | ) | | | — | | | | (2,622,694 | ) |
140 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of December 31, 2023, capital loss carryforwards for the Funds were as follows:
| | | Unlimited | | | Total
Capital Loss | |
Fund | | Short-Term | | | Long-Term | | | Carryforward | |
Banking Fund | | $ | (548,641 | ) | | $ | (40,811 | ) | | $ | (589,452 | ) |
Basic Materials Fund | | | (81,517 | ) | | | — | | | | (81,517 | ) |
Consumer Products Fund | | | (206,088 | ) | | | — | | | | (206,088 | ) |
Energy Fund | | | (480,818 | ) | | | (377,126 | ) | | | (857,944 | ) |
Energy Services Fund | | | (1,359,456 | ) | | | (8,580,812 | ) | | | (9,940,268 | ) |
Internet Fund | | | — | | | | (5,798 | ) | | | (5,798 | ) |
Leisure Fund | | | (398,250 | ) | | | (87,992 | ) | | | (486,242 | ) |
Precious Metals Fund | | | (4,365,056 | ) | | | (10,318,246 | ) | | | (14,683,302 | ) |
Real Estate Fund | | | (96,035 | ) | | | (57,712 | ) | | | (153,747 | ) |
Retailing Fund | | | (618,129 | ) | | | — | | | | (618,129 | ) |
Telecommunications Fund | | | (543,752 | ) | | | (266,856 | ) | | | (810,608 | ) |
Transportation Fund | | | (731,758 | ) | | | (153,671 | ) | | | (885,429 | ) |
Utilities Fund | | | (6,642,322 | ) | | | — | | | | (6,642,322 | ) |
For the year ended December 31, 2023, the following capital loss carryforward amounts were utilized:
Fund | | Utilized | |
Energy Fund | | $ | 3,200,774 | |
Energy Services Fund | | | 187,028 | |
Internet Fund | | | 79,148 | |
Retailing Fund | | | 69,822 | |
Utilities Fund | | | 191,595 | |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in real estate investment trusts, losses deferred due to wash sales, distributions in connection with redemption of fund shares, return of capital distributions received, and the “mark-to-market,” recharacterization, or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of net operating losses, foreign capital gains taxes, and corporate actions. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statements of Assets and Liabilities as of December 31, 2023 for permanent book/tax differences:
Fund | | Paid In
Capital | | | Total
Distributable
Earnings/(Loss) | |
Basic Materials Fund | | $ | 1 | | | $ | (1 | ) |
Biotechnology Fund | | | 135,399 | | | | (135,399 | ) |
Electronics Fund | | | 304,387 | | | | (304,387 | ) |
Energy Services Fund | | | (48,780 | ) | | | 48,780 | |
Financial Services Fund | | | 14,180 | | | | (14,180 | ) |
Health Care Fund | | | 512,198 | | | | (512,198 | ) |
Internet Fund | | | (99,062 | ) | | | 99,062 | |
Leisure Fund | | | (573 | ) | | | 573 | |
Real Estate Fund | | | (1,059 | ) | | | 1,059 | |
Retailing Fund | | | (14,240 | ) | | | 14,240 | |
Technology Fund | | | 485,920 | | | | (485,920 | ) |
| | THE RYDEX FUNDS ANNUAL REPORT | 141 |
NOTES TO FINANCIAL STATEMENTS (continued) |
At December 31, 2023, 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 | | $ | 2,804,214 | | | $ | 994,871 | | | $ | (438 | ) | | $ | 994,433 | |
Basic Materials Fund | | | 4,439,357 | | | | 2,900,560 | | | | (50,220 | ) | | | 2,850,340 | |
Biotechnology Fund | | | 7,369,173 | | | | 5,134,246 | | | | (206,887 | ) | | | 4,927,359 | |
Consumer Products Fund | | | 4,726,072 | | | | 3,906,031 | | | | (29,384 | ) | | | 3,876,647 | |
Electronics Fund | | | 22,716,851 | | | | 13,716,867 | | | | (288,323 | ) | | | 13,428,544 | |
Energy Fund | | | 11,872,116 | | | | 4,896,214 | | | | (26,452 | ) | | | 4,869,762 | |
Energy Services Fund | | | 3,919,073 | | | | 1,862,792 | | | | (4,224 | ) | | | 1,858,568 | |
Financial Services Fund | | | 9,850,900 | | | | 3,880,352 | | | | (21,578 | ) | | | 3,858,774 | |
Health Care Fund | | | 6,218,027 | | | | 7,562,405 | | | | (36,012 | ) | | | 7,526,393 | |
Internet Fund | | | 5,153,185 | | | | 2,837,551 | | | | (21,381 | ) | | | 2,816,170 | |
Leisure Fund | | | 3,631,044 | | | | 1,409,850 | | | | (13,118 | ) | | | 1,396,732 | |
Precious Metals Fund | | | 31,805,983 | | | | 1,257,054 | | | | — | | | | 1,257,054 | |
Real Estate Fund | | | 3,147,875 | | | | 1,616,633 | | | | (12,119 | ) | | | 1,604,514 | |
Retailing Fund | | | 1,736,579 | | | | 1,302,907 | | | | (1,662 | ) | | | 1,301,245 | |
Technology Fund | | | 11,416,418 | | | | 12,880,233 | | | | (51,833 | ) | | | 12,828,400 | |
Telecommunications Fund | | | 1,883,921 | | | | 124,407 | | | | (26,262 | ) | | | 98,145 | |
Transportation Fund | | | 3,688,694 | | | | 2,100,748 | | | | (21,466 | ) | | | 2,079,282 | |
Utilities Fund | | | 5,674,645 | | | | 3,916,721 | | | | (64,614 | ) | | | 3,852,107 | |
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 between market participants at the measurement date. 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 — | unadjusted 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. |
Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”
Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. 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 selected and applied for valuing securities or other assets are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.
142 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 5 – Securities Transactions
For the year ended December 31, 2023, the cost of purchases and proceeds from sales of investment securities, excluding short-term investments, were as follows:
Fund | | Purchases | | | Sales | |
Banking Fund | | $ | 7,107,444 | | | $ | 7,195,181 | |
Basic Materials Fund | | | 11,226,308 | | | | 12,337,245 | |
Biotechnology Fund | | | 9,614,746 | | | | 14,484,746 | |
Consumer Products Fund | | | 13,665,669 | | | | 17,110,431 | |
Electronics Fund | | | 32,864,343 | | | | 18,541,568 | |
Energy Fund | | | 51,469,883 | | | | 56,828,016 | |
Energy Services Fund | | | 23,538,011 | | | | 35,559,782 | |
Financial Services Fund | | | 11,965,656 | | | | 9,633,470 | |
Health Care Fund | | | 22,450,999 | | | | 27,370,441 | |
Internet Fund | | | 16,905,692 | | | | 15,980,998 | |
Leisure Fund | | | 21,327,655 | | | | 20,535,734 | |
Precious Metals Fund | | | 93,983,606 | | | | 86,535,820 | |
Real Estate Fund | | | 5,899,999 | | | | 6,158,322 | |
Retailing Fund | | | 7,516,610 | | | | 8,241,257 | |
Technology Fund | | | 21,307,534 | | | | 21,090,886 | |
Telecommunications Fund | | | 6,629,350 | | | | 6,617,672 | |
Transportation Fund | | | 16,106,581 | | | | 14,370,921 | |
Utilities Fund | | | 11,379,910 | | | | 17,618,435 | |
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. For the year ended December 31, 2023, 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 | | $ | 857,096 | | | $ | 768,002 | | | $ | 26,733 | |
Basic Materials Fund | | | 1,381,717 | | | | 1,323,326 | | | | 76,054 | |
Biotechnology Fund | | | 394,360 | | | | 980,275 | | | | 172,856 | |
Consumer Products Fund | | | 1,205,310 | | | | 2,313,283 | | | | 168,819 | |
Electronics Fund | | | 3,335,629 | | | | 1,830,814 | | | | (51,457 | ) |
Energy Fund | | | 9,156,347 | | | | 7,345,506 | | | | 409,163 | |
Energy Services Fund | | | 2,751,487 | | | | 5,987,571 | | | | 171,236 | |
Financial Services Fund | | | 2,064,847 | | | | 2,013,140 | | | | (14,528 | ) |
Health Care Fund | | | 1,167,518 | | | | 1,900,209 | | | | 300,619 | |
Internet Fund | | | 2,300,909 | | | | 2,702,558 | | | | (73,041 | ) |
Leisure Fund | | | 2,964,072 | | | | 2,316,186 | | | | (43,317 | ) |
Precious Metals Fund | | | 4,853,117 | | | | 6,892,637 | | | | (76,576 | ) |
Real Estate Fund | | | 807,554 | | | | 861,583 | | | | 1,015 | |
Retailing Fund | | | 1,269,424 | | | | 1,539,274 | | | | 63,506 | |
Technology Fund | | | 3,026,443 | | | | 2,977,592 | | | | 273,129 | |
Telecommunications Fund | | | 441,165 | | | | 436,630 | | | | 3,636 | |
Transportation Fund | | | 2,316,897 | | | | 1,041,459 | | | | (17,788 | ) |
Utilities Fund | | | 2,144,434 | | | | 2,112,383 | | | | 340,745 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 143 |
NOTES TO FINANCIAL STATEMENTS (continued) |
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 December 31, 2023, the repurchase agreements in the joint account were as follows:
Counterparty and
Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
BofA Securities, Inc. | | | | | | | | | | U.S. Treasury Strip | | | | | | | | |
5.35% | | | | | | | | | | 0.00% | | | | | | | | |
Due 01/02/24 | | $ | 31,762,520 | | | $ | 31,776,681 | | | Due 11/15/26 | | $ | 36,401,131 | | | $ | 32,397,771 | |
| | | | | | | | | | | | | | | | | | | |
J.P. Morgan Securities LLC | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
5.33% | | | | | | | | | | 0.50% | | | | | | | | |
Due 01/02/24 | | | 39,413,155 | | | | 39,430,661 | | | Due 05/31/27 | | | 45,123,100 | | | | 40,201,441 | |
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. Securities lending income shown on the Funds’ 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 X. 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.
144 | THE RYDEX FUNDS ANNUAL REPORT | |
NOTES TO FINANCIAL STATEMENTS (continued) |
At December 31, 2023, the following 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 | |
Banking Fund | | $ | 23,716 | | | $ | (23,716 | ) | | $ | — | | | | $ | 24,767 | | | $ | — | | | $ | 24,767 | |
Basic Materials Fund | | | 55,064 | | | | (55,064 | ) | | | — | | | | | 59,876 | | | | — | | | | 59,876 | |
Biotechnology Fund | | | 45,566 | | | | (45,566 | ) | | | — | | | | | 51,045 | | | | — | | | | 51,045 | |
Consumer Products Fund | | | 22,746 | | | | (22,746 | ) | | | — | | | | | 23,418 | | | | — | | | | 23,418 | |
Electronics Fund | | | 655,141 | | | | (655,141 | ) | | | — | | | | | 682,156 | | | | — | | | | 682,156 | |
Energy Fund | | | 111,366 | | | | (111,366 | ) | | | — | | | | | 117,571 | | | | — | | | | 117,571 | |
Internet Fund | | | 63,692 | | | | (63,692 | ) | | | — | | | | | 65,705 | | | | — | | | | 65,705 | |
Leisure Fund | | | 82,087 | | | | (82,087 | ) | | | — | | | | | 84,514 | | | | — | | | | 84,514 | |
Real Estate Fund | | | 17,018 | | | | (17,018 | ) | | | — | | | | | 18,342 | | | | — | | | | 18,342 | |
Retailing Fund | | | 13,463 | | | | (13,463 | ) | | | — | | | | | 14,322 | | | | — | | | | 14,322 | |
Technology Fund | | | 80,017 | | | | (80,017 | ) | | | — | | | | | 85,136 | | | | — | | | | 85,136 | |
Transportation Fund | | | 148,891 | | | | (148,891 | ) | | | — | | | | | 160,483 | | | | — | | | | 160,483 | |
(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 $200,000,000 line of credit from U.S. Bank, N.A. On June 5, 2023, the line of credit agreement was renewed and expires on June 3, 2024. 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 6.15% for the year ended December 31, 2023. The Funds did not have any borrowings outstanding under this agreement at December 31, 2023.
The average daily balances borrowed for the year ended December 31, 2023, were as follows:
Fund | | Average Daily Balance | |
Banking Fund | | $ | 96 | |
Basic Materials Fund | | | 63 | |
Biotechnology Fund | | | 811 | |
Consumer Products Fund | | | 868 | |
Electronics Fund | | | 126 | |
Energy Fund | | | 2,523 | |
Energy Services Fund | | | 1,532 | |
Financial Services Fund | | | 288 | |
Internet Fund | | | 192 | |
Leisure Fund | | | 49 | |
Precious Metals Fund | | | 8 | |
Real Estate Fund | | | 699 | |
Retailing Fund | | | 570 | |
Technology Fund | | | 989 | |
Telecommunications Fund | | | 96 | |
Transportation Fund | | | 197 | |
Utilities Fund | | | 690 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 145 |
NOTES TO FINANCIAL STATEMENTS (concluded) |
Note 9 – Market Risks
The value of, or income generated by, the investments held by the Funds are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which may change at any time based on changes in monetary policies and various market and other economic conditions), changes in inflation rates or expectations about inflation rates, adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the ongoing Russia-Ukraine conflict and its collateral economic and other effects, including, but not limited to, sanctions and other international trade barriers) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country, geographic region or industry could adversely affect the value, yield and return of the investments held by the Funds in a different country, geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Funds’ investments and performance of the Funds.
Note 10 – Subsequent Events
On January 1, 2024, the statute of limitations for deferred foreign taxes on capital gains from sales of Peruvian securities prior to 2018 in the Basic Materials Fund and Precious Metals Fund expired. On January 2, 2024, the deferred foreign capital gains tax liabilities were relieved, and realized gains on investments were recognized, in the amounts of $19,017 and $86,192 for the Basic Materials Fund and Precious Metals Fund, respectively.
The Funds evaluated subsequent events through the date the financial statements are issued and determined there were no additional material events that would require adjustment to or disclosure in the Funds’ financial statements.
146 | THE RYDEX FUNDS ANNUAL REPORT | |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of Banking Fund, Basic Materials Fund, Biotechnology Fund, Consumer Products Fund, Electronics Fund, Energy Fund, Energy Services Fund, Financial Services Fund, Health Care Fund, Internet Fund, Leisure Fund, Precious Metals Fund, Real Estate Fund, Retailing Fund, Technology Fund, Telecommunications Fund, Transportation Fund and Utilities Fund and the Board of Trustees of Rydex Variable Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Banking Fund, Basic Materials Fund, Biotechnology Fund, Consumer Products Fund, Electronics Fund, Energy Fund, Energy Services Fund, Financial Services Fund, Health Care Fund, Internet Fund, Leisure Fund, Precious Metals Fund, Real Estate Fund, Retailing Fund, Technology Fund, Telecommunications Fund, Transportation Fund and Utilities Fund (collectively referred to as the “Funds”), (eighteen of the funds constituting Rydex Variable Trust (the “Trust”)), including the schedules of investments, as of December 31, 2023, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (eighteen of the funds constituting Rydex Variable Trust) at December 31, 2023, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2023, by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
February 27, 2024
| | THE RYDEX FUNDS ANNUAL REPORT | 147 |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2024, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2023.
Precious Metals Fund intends to designate $35,787 of foreign tax withholding on foreign source income of $236,702.
The Funds’ investment income (dividend income plus short-term capital gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ended December 31, 2023, the following Funds had the corresponding percentages qualify for the dividends received deduction for corporations.
Fund | | Dividend
Received
Deduction | |
Banking Fund | | | 100.00 | % |
Consumer Products Fund | | | 100.00 | % |
Energy Fund | | | 100.00 | % |
Health Care Fund | | | 100.00 | % |
Precious Metals Fund | | | 95.67 | % |
Real Estate Fund | | | 5.98 | % |
Telecommunications Fund | | | 100.00 | % |
Utilities Fund | | | 100.00 | % |
With respect to the taxable year ended December 31, 2023, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
Fund | | From long-term
capital gain: | | | From long-term capital
gain, using proceeds
from shareholder
redemptions: | |
Biotechnology Fund | | $ | 132,244 | | | $ | 135,399 | |
Consumer Products Fund | | | 54,334 | | | | — | |
Electronics Fund | | | 745,906 | | | | — | |
Financial Services Fund | | | — | | | | 455 | |
Health Care Fund | | | 562,511 | | | | 512,198 | |
Real Estate Fund | | | 189,779 | | | | — | |
Technology Fund | | | 367,393 | | | | 485,920 | |
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.
148 | THE RYDEX FUNDS ANNUAL REPORT | |
OTHER INFORMATION (Unaudited)(continued) |
Tailored Shareholder Reports for Open-End Mutual Funds and Exchange-Traded Funds
Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and exchange-traded funds registered on Form N-1A to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.
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.
| | THE RYDEX FUNDS ANNUAL REPORT | 149 |
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 Funds’ 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). | 153 | Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021). |
Angela Brock-Kyle (1959) | Trustee | Since 2016 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Director, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 152 | Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Guggenheim Energy & Income Fund (2019-2023); Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018). |
150 | THE RYDEX FUNDS 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*** |
INDEPENDENT TRUSTEES - continued | | | |
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 (registered investment adviser) (1996-present); Chief Executive Officer, Lydon Media (2016-present); Vice Chairman, VettaFi, a wholly owned subsidiary of The TMX Group (financial advisor content, research, index and digital distribution provider) (2022-present). Former: Chief Executive Officer, ETF Flows, LLC (financial advisor education and research provider) (2019-2023); Director, GDX Index Partners, LLC (index provider) (2021-2023). | 152 | Current: The 2023 ETF Series Trust (4) (2023-present); The 2023 ETF Series Trust II (1) (2023-present); US Global Investors, Inc. (GROW) (1995-present). Former: Guggenheim Energy & Income Fund (2019-2023); Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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 (law firm) (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (law firm) (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 153 | Current: Advent Convertible and Income Fund (2003-present); PPM Funds (2) (2018-present); Endeavor Health (2012-present). Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
| | THE RYDEX FUNDS ANNUAL REPORT | 151 |
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. (construction and real estate development company) (2007-2017). | 152 | Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Guggenheim Energy & Income Fund (2019-2023); Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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. (registered broker dealer) (1982-1999). | 152 | Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020). |
152 | THE RYDEX FUNDS 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). | 152 | Former: Guggenheim Energy & Income Fund (2015-2023); Fiduciary/Claymore Energy Infrastructure Fund (2018-2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021). |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves during the lifetime of the Trust or until he or she dies, resigns, has reached the mandatory retirement age, is declared incompetent by a court of appropriate jurisdiction, is removed or until his or her successor is duly elected and qualified, subject to the Trust’s Independent Trustees Retirement Policy and the Trust’s organizational documents. Time served may include time served in the respective position for certain predecessor entities of the Trust. |
*** | Each Trustee serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Active 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’ Adviser and/or the parent of the Adviser. |
| | THE RYDEX FUNDS ANNUAL REPORT | 153 |
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, Mutual Fund Boards, Guggenheim Investments (2022-present); President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Mutual Funds Boards, and Senior Managing Director, Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (2018-present); Board Member, Guggenheim Partners Investment Funds plc (2022-present); Board Member, Guggenheim Global Investments plc (2022-present); Board Member, Guggenheim Partners Fund Management (Europe) Limited (2018-present). Former: Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-2022); Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Chairman of North American Executive Committee and Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
James Howley (1972) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2022 | Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-2022); 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 Megaris (1984) | Assistant Secretary | Since 2018 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing 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); Senior Managing Director, 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). |
154 | THE RYDEX FUNDS 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). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Director, 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, or until his or her earlier death, inability to serve, resignation or removal. Time served may include time served in the respective position for certain predecessor entities of the Trust. |
| | THE RYDEX FUNDS ANNUAL REPORT | 155 |
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. |
156 | THE RYDEX FUNDS 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 electronic
| | THE RYDEX FUNDS ANNUAL REPORT | 157 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
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.
158 | THE RYDEX FUNDS ANNUAL REPORT | |
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Item 2. Code of Ethics.
The registrant’s Board of Trustees has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. No substantive amendments were approved or waivers were granted to the code of ethics during the period covered by this report. The code of ethics is filed as an exhibit to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Trustees has determined that it has at least one audit committee financial expert serving on its audit committee (the “Audit Committee”), Sandra G. Sponem. Ms. Sponem is “independent,” meaning that she is not an “interested person” of the registrant (as that term is defined in Section 2(a)(19) of the Investment Company Act) and she does not accept any consulting, advisory, or other compensatory fee from the registrant (except in her capacity as a Board or committee member).
(Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the Audit Committee and Board of Trustees in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations or liability of any other member of the Audit Committee or Board of Trustees.)
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees. The aggregate Audit Fees billed by the registrant’s principal accountant for professional services rendered for the audit of the annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the fiscal years ended December 31, 2023 and December 31, 2022 were $944,917 and $944,917, respectively.
(b) Audit Related Fees. The aggregate Audit-Related Fees billed by the registrant’s principal accountant for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item for the fiscal years ended December 31, 2023 and December 31, 2022 were $0 and $0, respectively.
The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor to the registrant’s investment adviser (not including any sub-investment adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant (“Service Affiliates”) which required pre-approval by the Audit Committee which related to the review of the transfer agent function for the fiscal years ended December 31, 2023 and December 31, 2022 were $0 and $0, respectively.
(c) Tax Fees. The aggregate Tax Fees billed by the registrant’s principal accountant for professional services rendered for tax compliance, tax advice, and tax planning, including preparation of tax returns and distribution assistance, for the fiscal years ended December 31, 2023 and December 31, 2022 were $281,800 and $278,180, respectively. These services consisted of [(i) preparation of U.S. federal, state and excise tax returns; (ii) U.S. federal and state tax planning, advice and assistance regarding statutory, regulatory or administrative developments, (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired and (iv) review of U.S. federal excise distribution calculations].
(d) All Other Fees. The aggregate All Other Fees billed by the registrant’s principal accountant for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item, for the fiscal years ended December 31, 2023 and December 31, 2022 were $0 and $0, respectively.
(e) Audit Committee Pre-Approval Policies and Procedures.
(1) Audit Committee pre-approval policies and procedures:
To fulfill its responsibilities and duties the Audit Committee (the “Committee”) shall:
| 1. | Pre-Approval Policy (Trusts). Pre-approve any engagement of the independent auditors to provide any services, other than “prohibited non-audit services,” to the Trust, including the fees and other compensation to be paid to the independent auditors (unless an exception is available under Rule 2-01 of Regulation S-X). |
| (a) | The categories of services to be reviewed and considered for pre-approval include those services set forth under Section II.A.1. of the Background and Definitions for Audit Committee Charter (collectively, “Identified Services”). |
| (b) | The Committee has pre-approved Identified Services for which the estimated fees are less than $25,000. |
| (c) | For Identified Services with estimated fees of $25,000 or more, but less than $50,000, the Chair or any member of the Committee designated by the Chair is hereby authorized to pre-approve such Identified Services on behalf of the Committee. |
| (d) | For Identified Services with estimated fees of $50,000 or more, such Identified Services require pre-approval by the Committee. |
| (e) | All requests for Identified Services to be provided by the independent auditor that were pre-approved by the Committee shall be submitted to the Chief Accounting Officer (“CAO”) of the Trust by the independent auditor using the pre-approval request form. The Trust’s CAO will determine whether such services are included within the list of services that have received the general pre-approval of the Committee. |
| (f) | The independent auditors or the CAO of the Trust (or an officer of the Trust who reports to the CAO) shall report to the Committee at each of its regular scheduled meetings all audit, audit-related and permissible non-audit services initiated since the last such report (unless the services were contained in the initial audit plan, as previously presented to, and approved by, the Committee). The report shall include a general description of the services and projected fees, and the means by which such services were approved by the Committee (including the particular category of Identified Services under which pre-approval was obtained). |
| 2. | Pre-Approval Policy (Adviser or Any Control Affiliate). Pre-approve any engagement of the independent auditors, including the fees and other compensation to be paid to the independent auditors, to provide any non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust), if the engagement relates directly to the operations or financial reporting of the Trust (unless an exception is available under Rule 2-01 of Regulation S-X). |
| (a) | The Chair or any member of the Committee designated by the Chair may grant the pre-approval for non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which the estimated fees are less than $25,000. All such delegated pre-approvals shall be presented to the Committee no later than the next regularly scheduled Committee meeting. |
| (b) | For non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which the estimated fees are $25,000 or more, such services require pre-approval by the Committee. |
| a. | Pre-Approval Requirements |
| i. | Categories of Services to be Reviewed and Considered for Pre-Approval |
| a. | Annual financial statement audits |
| b. | Seed audits (related to new product filings, as required) |
| c. | SEC and regulatory filings and consents |
| a. | Accounting consultations |
| b. | Fund merger/reorganization support services |
| c. | Other accounting related matters |
| d. | Agreed upon procedures reports |
| f. | Other internal control reports |
| a. | Recurring tax services: |
| i. | Preparation of Federal and state income tax returns, including extensions |
| ii. | Preparation of calculations of taxable income, including fiscal year tax designations |
| iii. | Preparation of annual Federal excise tax returns (if applicable) |
| iv. | Preparation of calendar year excise distribution calculations |
| v. | Calculation of tax equalization on an as-needed basis |
| vi. | Preparation of monthly/quarterly estimates of tax undistributed position for closed-end funds |
| vii. | Preparation of the estimated excise distribution calculations on an as-needed basis |
| viii. | Preparation of calendar year shareholder reporting designations on Form 1099 |
| ix. | Preparation of quarterly Federal, state and local and franchise tax estimated tax payments on an as-needed basis |
| x. | Preparation of state apportionment calculations to properly allocate Fund taxable income among the states for state tax filing purposes |
| xi. | Assistance with management’s identification of passive foreign investment companies (PFICs) for tax purposes |
| b. | Permissible non-recurring tax services upon request: |
| i. | Assistance with determining ownership changes which impact a Fund’s utilization of loss carryforwards |
| ii. | Assistance with corporate actions and tax treatment of complex securities and structured products |
| iii. | Assistance with IRS ruling requests and calculation of deficiency dividends |
| iv. | Conduct training sessions for the Adviser’s internal tax resources |
| v. | Assistance with Federal, state, local and international tax planning and advice regarding the tax consequences of proposed or actual transactions |
| vi. | Tax services related to amendments to Federal, state and local returns and sales and use tax compliance |
| vii. | RIC qualification reviews |
| viii. | Tax distribution analysis and planning |
| ix. | Tax authority examination services |
| x. | Tax appeals support services |
| xi. | Tax accounting methods studies |
| xii. | Fund merger, reorganization and liquidation support services |
| xiii. | Tax compliance, planning and advice services and related projects |
| xiv. | Assistance with out of state residency status |
| xv. | Provision of tax compliance services in India for Funds with direct investments in India |
| b. | Pre-Approval Not Required |
Under Section 10A(h)(i)(1)(B) of the Exchange Act and Rule 2-01 under Regulation S-X (Section (c)(7)), pre-approval of non-audit services for the Trust pursuant to Section V.B.2 is not required, if:
1. the aggregate amount of all non-audit services provided to the Trust is no more than 5% of the total fees paid by the Trust to the independent auditors during the fiscal year in which the non-audit services are provided;
2. the services were not recognized by Trust management at the time of the engagement as non-audit services; and
3. such services are promptly brought to the attention of the Audit Committee by Trust management and the Committee approves them (which may be by delegation) prior to the completion of the audit.
Under Section 10A(h)(i)(1)(B) of the Exchange Act and Rule 2-01 under Regulation S-X (Section (c)(7)), pre-approval of non-audit services for the Adviser (or any affiliate of the Adviser providing ongoing services to the Trust) pursuant to Section V.B.3 is not required, if:
1. the aggregate amount of all non-audit services provided is no more than 5% of the total fees paid to the Trust’s independent auditors by the Trust, the Adviser and any “control affiliate” of the Adviser providing ongoing services to the Trust during the fiscal year in which the non-audit services are provided;
2. the services were not recognized by Trust management at the time of the engagement as non-audit services; and
3. such services are promptly brought to the attention of the Audit Committee by Trust management and the Committee approves them (which may be by delegation) prior to the completion of the audit.
(2) None of the services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) Non-Audit Fees. The aggregate non-audit fees billed by the registrant’s accountant for the most recent fiscal year and the preceding fiscal year for services rendered to the registrant, the investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant were $281,800 and $278,180, respectively. These aggregate fees were less than the aggregate fees billed for the same periods by the registrant’s principal accountant for audit services rendered to the registrant, the investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant.
(h) Auditor Independence. The registrant’s Audit Committee was provided with information relating to the provision of non-audit services by Ernst & Young, LLP to the registrant’s investment adviser (not including any sub adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved by the Audit Committee so that a determination could be made whether the provision of such services is compatible with maintaining Ernst & Young, LLP’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) The Schedule of Investments is included under Item 1 of this Form.
(b) Not applicable.
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.
The registrant does not currently have in place procedures by which shareholders may recommend nominees to the registrant’s board.
There have been no changes to the procedures by which shareholders may recommend nominees to the registrant’s board.
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) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that have materially affected, or are 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. Recovery of Erroneously Awarded Compensation.
(a) Not applicable.
(b) Not applicable.
Item 14. Exhibits.
(a)(1) The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is attached.
(a)(2) Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Investment Company Act (17 CFR 270.30a-2(a)) are attached.
(a)(3) Not applicable.
(a)(4) Not applicable.
(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 Investment Company 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 |
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 |
| By (Signature and Title)* | /s/ James Howley | |
| | James Howley, Chief Financial Officer,
Chief Accounting Officer, and Treasurer |
| | | |
| Date | March 7, 2024 | |
| * | Print the name and title of each signing officer under his or her signature. |
